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: March 31
Date of reporting period: September 30, 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 | | | September 30, 2011 |
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| | | | Multi Sector Fixed Income Funds |
| | | | Core Fixed Income |
| | | | Core Plus Fixed Income |
| | | | Global Income |
| | | | Strategic Income |
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Goldman Sachs Multi Sector Fixed Income Funds
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| n | CORE FIXED INCOME |
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| n | CORE PLUS FIXED INCOME |
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| n | GLOBAL INCOME |
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| n | STRATEGIC INCOME |
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| TABLE OF CONTENTS | | |
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| Principal Investment Strategies and Risks | | 1 |
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| Investment Process | | 3 |
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Portfolio Management Discussions and
Performance Summaries | | 7 |
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| Schedules of Investments | | 26 |
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| Financial Statements | | 90 |
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| Financial Highlights | | 96 |
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| Notes to Financial Statements | | 104 |
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| Other Information | | 127 |
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NOT FDIC-INSURED | | | May Lose Value | | | No Bank Guarantee |
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GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Principal Investment Strategies and Risks
This is not a complete list of risks that affect the Funds. For additional information concerning the risks applicable to the Funds, please see the Funds’ prospectus.
The Core Fixed Income Fund invests primarily in fixed income securities, including U.S. government securities, corporate debt securities, privately issued mortgage-backed securities and asset-backed securities. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. The guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund’s investments in mortgage-backed securities are subject to prepayment risks. These risks may result in greater share price volatility. The Fund may invest in foreign and emerging markets securities, which may be more volatile and less liquid than investments in U.S. securities and will be subject to the risks of currency fluctuations and political developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. The Fund may also engage in foreign currency transactions for hedging purposes (including cross hedging) or for speculative purposes. Forward foreign currency exchange contracts are subject to the risk that the counterparty to the contract will default on its obligations. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; risks of default by a counterparty; and the risks that transactions may not be liquid.
The Core Plus Fixed Income Fund invests primarily in fixed income securities, including U.S. government securities, corporate debt securities, privately issued mortgage-backed securities, asset-backed securities, high yield non-investment grade securities and fixed income securities of issuers located in emerging countries. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. The guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund’s investments in mortgage-backed securities are subject to prepayment risks. These risks may result in greater share price volatility. High yield, lower rated securities involve greater price volatility and present greater risks than higher rated fixed income securities. The Fund may also invest in foreign issuers which are denominated in currencies other than the U.S. dollar and in securities of issuers located in emerging countries denominated in any currency. The Fund’s foreign and emerging market investments may be more volatile and less liquid than its investments in U.S. securities and will be subject to the risks of currency fluctuations and sudden economic or political developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. The Fund may also engage in foreign currency transactions for hedging purposes (including cross hedging) or for speculative purposes. Forward foreign currency exchange contracts are subject to the risk that the counterparty to the contract will default on its obligations. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; risks of default by a counterparty; and the risks that transactions may not be liquid.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
The Global Income Fund invests primarily in a portfolio of fixed income securities of U.S. and foreign issuers. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. The Fund may invest in foreign and emerging market securities, which may be more volatile and less liquid than its investments in U.S. securities and will be subject to the risks of currency fluctuations and sudden economic or political developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. The Fund may also engage in foreign currency transactions for hedging purposes (including cross hedging) for speculative purposes. Forward foreign currency exchange contracts are subject to the risk that the counterparty to the contract will default on its obligations. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; risks of default by a counterparty; and the risks that transactions may not be liquid. The Fund may concentrate its investments in particular countries or regions and may be subject to greater losses than if it were less concentrated in a particular country or region. The Fund is non-diversified and may invest more of its assets in fewer issuers than diversified funds, may be more susceptible to adverse developments affecting any single issuer held in its portfolio, and may be susceptible to greater losses because of these developments.
The Strategic Income Fund invests in a broadly diversified portfolio of U.S. and foreign investment grade and non-investment grade fixed income investments including, but not limited to: U.S. Government securities (such as U.S. Treasury securities or Treasury inflation protected securities), non-U.S. sovereign debt, agency securities, corporate debt securities, agency and non-agency mortgage-backed securities, asset-backed securities, custodial receipts, municipal securities, loans and loan participations and convertible securities. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. The guarantee on certain U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund’s investments in mortgage-backed securities are subject to, among other risks, prepayment risks. These risks may result in greater share price volatility. The Fund may invest in high yield, fixed income securities that, at the time of purchase, are non-investment grade. High yield, lower rated securities involve greater price volatility, are less liquid and present greater risks than higher rated fixed income securities. The Fund may invest in loans directly or indirectly, by purchasing participations or sub-participations from financial institutions. Indirect purchases may subject the Fund to greater delays, expenses and risks than direct obligations in the case that a borrower fails to pay scheduled principal and interest. The Fund may also invest in foreign issuers which are denominated in currencies other than the U.S. dollar and in securities of issuers located in emerging countries denominated in any currency. The Fund’s foreign and emerging market investments may be more volatile and less liquid than its investments in U.S. securities and will be subject to the risks of currency fluctuations and sudden economic or political developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. The Fund may also engage in foreign currency transactions for hedging purposes (including cross hedging) or for speculative purposes. Accordingly, forward foreign currency exchange contracts are subject to the risk that attempts to hedge will be unsuccessful as well as the risks of derivatives noted below. The Fund may also make substantial investments in other derivative instruments, including interest rate futures contracts, options (including options on futures contracts, swaps, bonds, stocks and indexes), swaps (including credit default, index, basis, total return, volatility and currency swaps), other forward contracts and other derivative instruments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; risks of default by a counterparty; and the risks that transactions may not be liquid. The Fund is subject to the risks associated with implementing short positions. Taking short positions involves leverage of the Fund’s assets and presents various other risks. Losses on short positions are potentially unlimited as a loss occurs when the value of an asset with respect to which the Fund has a short position increases. Note that the implementation of short positions, as well as the use of derivatives generally, involves sophisticated investment techniques that have the potential to add additional risk to a portfolio.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
What Differentiates the Goldman Sachs Asset Management Fixed Income Investment Process?
At Goldman Sachs Asset Management, L.P. (“GSAM”), the goal of our fixed income investment process is to provide consistent, strong performance by actively managing our portfolios within a research-intensive, risk-managed framework.
A key element of our fixed income investment philosophy is to evaluate the broadest global opportunity set to capture relative value across sectors and instruments. Our globally integrated investment process involves managing dynamically along the risk/return spectrum, as we continue to develop value-added strategies through:
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| n | Assess relative value among sectors (such as mortgage-backed and corporate debt securities) and sub-sectors |
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| n | Leverage the vast resources of GSAM in selecting securities for each portfolio |
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| n | Team approach to decision making |
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| n | Manage risk by avoiding significant sector and interest rate bets |
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| n | Careful management of yield curve strategies — while closely managing portfolio duration |
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| Fixed Income portfolios that: |
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n Include domestic and global investment options, income opportunities, and access to areas of specialization |
n Capitalize on GSAM’s industry-renowned credit research capabilities |
n Use a risk-managed framework to seek total return, recognizing the importance of investors’ capital accumulation goals as well as their need for income |
MARKET REVIEW
Goldman Sachs Multi Sector Fixed Income Funds
Market Review
The six months ended September 30, 2011 (the “Reporting Period”) were dominated in the fixed income market by investor concerns about the economic outlook and fiscal challenges in the U.S. and Europe, resulting in significant volatility.
Economic growth was already slowing when the Reporting Period began in April 2011, as political unrest in the Middle East and North Africa had caused oil prices to spike, thereby reducing consumers’ disposable income. Economic growth was also under pressure in the aftermath of the massive earthquake and tsunami that had struck Japan in mid-March. The tragedy in Japan created severe disruptions in global supply chains that rely on Japanese parts, leading to a sharp drop in U.S. and global industrial production. The crisis at the Fukushima nuclear power plant also appeared to weigh heavily on sentiment among consumers, businesses and investors.
Challenges to global economic growth continued to build as the second calendar quarter progressed, as Greek budget data revealed a larger than expected deficit, raising concerns that Greece would require additional support to avoid defaulting on its debt. Despite these challenges, riskier fixed income sectors performed relatively well during the quarter, even as the yield on the 10-year U.S. Treasury note fell from approximately 3.5% at the start of April to below 3% in late June. For example, high yield corporate bonds returned 1.05% in the second calendar quarter, as measured by the Barclays Capital U.S. Corporate High Yield Bond Index, 2% Issuer Capped, while emerging market bonds returned 3.37%, as measured by the Barclays Capital Emerging Markets Index.
Early in the third calendar quarter, investors became increasingly concerned about the possibility of a Greek default and the potential implications for the rest of Europe. Policymakers responded with a number of steps that helped to stabilize markets, leading to a continuation of the relatively positive performance in riskier sectors of the fixed income market. In particular, Greece approved additional austerity measures in a closely watched vote that allowed the country to receive funds under the 2010 bailout agreement, and the International Monetary Fund and European Union agreed to a second bailout plan for Greece near the end of July.
Market volatility, however, increased dramatically in late July and early August as investors’ focus turned to the U.S. A contentious debate over increasing the U.S. debt ceiling raised concerns about the potential for a U.S. default and the possibility of a downgrade of the U.S.’ AAA credit rating. Although U.S. policymakers eventually reached an agreement to raise the debt ceiling, the budget cuts agreed to were not enough to prevent Standard & Poor’s from downgrading the U.S. to AA+. The unprecedented downgrade of U.S. sovereign debt appeared to weigh heavily on investors’ risk appetite, and riskier sectors of the financial markets fell sharply during the first week of August.
MARKET REVIEW
The sell-off in riskier asset classes continued through the rest of August and September, leading policymakers to respond with additional measures in an effort to calm markets. In a historic move, the Federal Reserve Board (“the Fed”) announced in August that it would maintain short-term interest rates at current low levels into 2013. It was the first time the Fed had pegged its “exceptionally low” rates to a specific date. The European Central Bank announced that it would begin buying Spanish and Italian government bonds. In September, the Fed took another unconventional step to boost the economy when it announced a new program, dubbed “Operation Twist” to extend the maturity of its Treasury security holdings. The Fed’s stated goal was to lower longer-term interest rates and thereby spur spending and investment. By the end of the third calendar quarter, 10-year U.S. Treasury yields had fallen to 1.92%, a decline of more than 150 basis points since the start of the Reporting Period. (A basis point is 1/100th of a percentage point.) Riskier fixed income sectors underperformed U.S. Treasuries, with both the high yield corporate bond and emerging markets debt sectors lagging U.S. Treasuries by more than 10% in the third calendar quarter overall.
Looking Ahead
Weak economic data prompted downward revisions to economic forecasts during the third calendar quarter, but looking ahead we believe policy developments will likely be the more dominant influence on the global economic outlook. At the end of September, the primary risk to growth in our view remained the turmoil in the Eurozone, where policymakers are working to reach consensus on how to address the severe debt and fiscal problems in the peripheries and to prevent further contagion across global risk markets. Though we believe economic growth will continue, albeit at a slow pace, across the largest developed economies, we see risk of a potentially sharp downturn if Europe’s sovereign debt crisis escalates. In the near term, we do not anticipate a resolution sufficient to restore either investor confidence or market stability, and thus we expect market volatility to continue in the months ahead within the financial markets.
At the end of the Reporting Period, U.S. policy was caught between two conflicting objectives — narrowing the deficit and stimulating weak economic growth. Clearly, the resolution of the policy debate has major implications for the U.S. economic outlook. Sentiment and growth forecasts had deteriorated since mid-2011, with the July/August budget impasse and debt ceiling gridlock underscoring the political challenge ahead in rectifying the U.S.’ economic problems, including unemployment and widening deficits. These issues were clearly overshadowing economic fundamentals, which, in our view, were less dire than market conditions suggested. In our view, purchasing manager indices and industrial output indicators pointed to continued, though modest, expansion. Corporate balance sheets were strong and well positioned, in our view, for increased capital expenditure. Further, commodity prices had receded substantially from their peaks earlier in the 2011. In short, we believe the U.S. economy is not headed back into recession unless pushed. Factors that could provide that push would be a more substantial tightening in credit conditions, possibly as a result of systemic crisis in Europe or another fiscal deadlock in the U.S.
MARKET REVIEW
Similarly, from an investment perspective, we believe external macro-level factors were overshadowing more positive fundamentals in fixed income markets at the end of the Reporting Period. In our view, the strongest balance sheets were to be found in two key risk asset classes — the corporate sector and the emerging markets debt sector. Several weeks of risk-averse trade had taken yields in these sectors to what we considered very attractive levels, and absent the uncertain macro environment, we believe that investors were being well compensated for the underlying risks. For example, by the end of the Reporting Period, yields on corporate bonds overall had risen back to their mid-2009 levels, yet corporate balance sheets were strong, earnings reports continued to reflect generally solid profits, and defaults in the high yield segment of the sector were near historic lows. As for emerging markets debt, despite the global economic slowdown, emerging markets generally continued to display healthier growth rates and lower debt-to-Gross Domestic Product ratios than much of the developed world. Moreover, during the third calendar quarter, many central banks in developing economies shifted from a tightening bias to an easing bias, which is usually supportive of local rates markets. Overall, then, we were, at the end of the Reporting Period, cautiously constructive in our outlook for risk assets over the months ahead.
Meanwhile, U.S. monetary policy continues to anchor short-dated U.S. Treasury yields near historic lows, and we see the potential for further declines in U.S. Treasury yields if the situation in Europe or the U.S. economy deteriorates. That said, we believe that the very low yields at the longer end of the U.S. Treasury yield curve, or spectrum of maturities, reflect rather pessimistic growth expectations driven to extremes by central bank policy. We see a risk of these longer-dated U.S. Treasury yields rising substantially on any reversal of these factors.
PORTFOLIO RESULTS
Goldman Sachs Core Fixed Income Fund
Investment Objective
The Fund seeks a total return consisting of capital appreciation and income that exceeds the total return of the Barclays Capital U.S. Aggregate Bond Index.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs Core Fixed Income Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2011 (the “Reporting Period”).
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| Q | How did the Fund perform during the Reporting Period? |
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| A | During the Reporting Period, the Fund’s Class A, B, C, Institutional, Service, IR and R Shares generated cumulative total returns, without sales charges, of 5.46%, 5.05%, 5.15%, 5.63%, 5.36%, 5.70% and 5.34%, respectively. These returns compare to the 6.20% cumulative total return of the Fund’s benchmark, the Barclays Capital U.S. Aggregate Bond Index (the “Barclays Capital Index”), during the same period. |
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| Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
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| A | Bottom-up individual issue selection within the collateralized sector contributed positively to the Fund’s performance during the Reporting Period. |
The primary detractor from Fund performance was our top-down cross-sector strategy. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark. Bottom-up individual issue selection within the government/agency sector also detracted from the Fund’s results.
Tactical management of the Fund’s duration and yield curve strategy had minimal impact on its performance during the Reporting Period. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector.
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| Q | Which fixed income market sectors most significantly affected Fund performance? |
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| A | Individual issue selection within the collateralized sector contributed positively. Our selection strategies among agency mortgage-backed securities proved particularly helpful. We maintained a bias toward lower-coupon securities, which helped due primarily to the prepayment volatility in higher-coupon agency mortgage-backed securities during the third calendar quarter. Talk of further government-induced homeowner relief efforts added to prepayment volatility, specifically discussions about potential modifications to existing refinancing programs focused on providing support for credit-impaired borrowers stuck with high mortgage rates. The Fund had the majority of its assets invested in mortgage-backed security pass-throughs within the agency mortgage-backed securities sub-sector. (Pass-through mortgages consist of a pool of residential mortgage loans, where homeowners’ monthly payments of principal, interest and prepayments pass from the original bank through a government agency or investment bank to investors.) Choices among asset-backed securities also proved beneficial. |
Exposure to non-agency mortgage-backed securities, on the other hand, and an overweighted allocation to corporate bonds, implemented via our cross-sector strategy, detracted from the Fund’s relative results. Returns posted by non-agency mortgage-backed securities and corporate bonds were negative during the Reporting Period, driven primarily by volatility caused, in turn, by Standard & Poor’s unprecedented downgrade of U.S. sovereign credit, weaker than expected U.S. economic growth and ongoing uncertainty regarding European sovereign debt. The Fund’s exposure to emerging market debt also detracted as did individual issue selection within the government/agency sector.
PORTFOLIO RESULTS
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| Q | Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period? |
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| A | Tactical management of the Fund’s duration and yield curve positioning had minimal impact on its results during the Reporting Period. That said, we shifted the Fund’s duration positioning as market conditions changed throughout. For example, positioning along the U.S. yield curve ranged from substantially shorter than the Barclays Capital Index in June to longer than the Barclays Capital Index in late August and September based on our own views and market perceptions of the economy. The Fund’s duration positioning in June detracted, as interest rates fell. However, this underperformance was recovered in late August and September as we lengthened the Fund’s duration. The yield on the 10-year Treasury note started the Reporting Period at 3.45% and ended the Reporting Period at 1.92%. |
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| Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
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| A | As market conditions warranted during the Reporting Period, the Fund engaged in over-the-counter forward foreign currency exchange contracts for passive currency management; Treasury futures to facilitate specific duration, yield curve and country strategies; swaptions (or options on interest rate swap contracts) to express an outright term structure view and manage volatility (term structure, most often depicted as a yield curve, refers to the term structure of interest rates, which is the relationship between the yield to maturity and the time to maturity for pure discount bonds); credit default swaps to manage exposure to fluctuations in credit spreads (or the differential in yields between Treasury securities and non-Treasury securities that are identical in all respects except for quality rating); and interest rate swaps to manage exposure to fluctuations in interest rates. Overall, we employ derivatives and similar instruments for the efficient management of the Fund’s portfolio. Derivatives and similar instruments allow us to manage interest rate, credit and currency risks more effectively by allowing us both to hedge and to apply active investment views with greater versatility and to afford greater risk management precision than we would otherwise be able to implement. |
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| Q | Were there any notable changes in the Fund’s weightings during the Reporting Period? |
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| A | The Fund’s exposure to investment grade corporate bonds and emerging market debt increased during the Reporting Period. The Fund’s allocation to municipal bonds was reduced. We maintained exposure to non-agency mortgage-backed securities. Also, as discussed earlier, in implementing our active duration strategy, we shifted the Fund’s duration from a shorter than Barclays Capital Index position to a longer than Barclays Capital Index position in late August amid the Fed’s bias toward keeping short-term interest rates low until mid-2013. |
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| Q | How was the Fund positioned relative to its benchmark index at the end of September 2011? |
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| A | At the end of September 2011, the Fund had overweighted allocations relative to the Barclays Capital Index in investment grade corporate bonds, quasi-government bonds, including government-guaranteed corporate bonds, asset-backed securities, emerging market debt and residential mortgage-backed securities. The Fund also had exposure to covered bonds, which is a sector not represented in the Barclays Capital Index. Covered bonds are securities created from either mortgage loans or public sector loans. The Fund had underweighted exposure relative to the benchmark index in U.S. government securities and high yield corporate bonds. The Fund had a rather neutral position compared to the Barclays Capital Index in commercial mortgage-backed securities (“CMBS”). The Fund had a longer duration than the Barclays Capital Index at the end of the Reporting Period. |
FUND BASICS
Core Fixed Income Fund
as of September 30, 2011
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| | | | | Barclays Capital
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| | 30-Day
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April 1, 2011–
| | Fund Total Return
| | U.S. Aggregate
| | Standardized
| | Standardized
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| September 30, 2011 | | (based on NAV)1 | | Bond Index2 | | Subsidized Yield3 | | Unsubsidized Yield3 | | |
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| Class A | | | 5.46 | % | | | 6.20 | % | | | 1.36 | % | | | 1.36 | % | | |
| Class B | | | 5.05 | | | | 6.20 | | | | 0.67 | | | | 0.67 | | | |
| Class C | | | 5.15 | | | | 6.20 | | | | 0.68 | | | | 0.68 | | | |
| Institutional | | | 5.63 | | | | 6.20 | | | | 1.75 | | | | 1.75 | | | |
| Service | | | 5.36 | | | | 6.20 | | | | 1.26 | | | | 1.26 | | | |
| Class IR | | | 5.70 | | | | 6.20 | | | | 1.67 | | | | 1.67 | | | |
| Class R | | | 5.34 | | | | 6.20 | | | | 1.19 | | | | 1.19 | | | |
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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. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
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| 2 | | The Barclays Capital U.S. Aggregate Bond Index represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds and mortgage-backed and asset-backed securities. The Index figure does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
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| 3 | | The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price (“POP”) per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Gross Yield does not reflect expense reductions. |
FUND BASICS
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| STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS4 | |
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| For the period ended 9/30/11 | | One Year | | Five Years | | Ten Years | | Since Inception | | Inception Date | | |
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| Class A | | | 0.81 | % | | | 3.96 | % | | | 4.36 | % | | | 5.30 | % | | 5/1/97 | | |
| Class B | | | -1.01 | | | | 3.59 | | | | 4.11 | | | | 5.14 | | | 5/1/97 | | |
| Class C | | | 3.15 | | | | 4.01 | | | | 3.99 | | | | 4.64 | | | 8/15/97 | | |
| Institutional | | | 5.20 | | | | 5.13 | | | | 5.14 | | | | 5.98 | | | 1/5/94 | | |
| Service | | | 4.68 | | | | 4.60 | | | | 4.62 | | | | 5.48 | | | 3/13/96 | | |
| Class IR | | | 5.11 | | | | N/A | | | | N/A | | | | 4.56 | | | 11/30/07 | | |
| Class R | | | 4.60 | | | | N/A | | | | N/A | | | | 4.07 | | | 11/30/07 | | |
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| 4 | | The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 3.75% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Class B Shares convert automatically to Class A Shares on or about the fifteenth day of the last month of the calendar quarter that is eight years after purchase. Returns for Class B Shares for the period after conversion reflect the performance of Class A Shares. Prior to July 29, 2009, the maximum initial sales charge applicable to Class A Shares was 4.5%, which is not reflected in the average annual total return figures shown. Because Institutional, Service, Class IR and Class R Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns. The Fund’s Class B Shares are no longer available for purchase by new or existing shareholders (although current Class B shareholders may continue to reinvest income and capital gains distributions into Class B Shares, and Class B shareholders may continue to exchange their shares for Class B Shares of certain other Goldman Sachs Funds). |
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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. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
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| | | Net Expense Ratio (Current) | | Gross Expense Ratio (Before Waivers) | | |
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| Class A | | | 0.81 | % | | | 0.81 | % | | |
| Class B | | | 1.56 | | | | 1.56 | | | |
| Class C | | | 1.56 | | | | 1.56 | | | |
| Institutional | | | 0.47 | | | | 0.47 | | | |
| Service | | | 0.97 | | | | 0.97 | | | |
| Class IR | | | 0.56 | | | | 0.56 | | | |
| Class R | | | 1.06 | | | | 1.06 | | | |
|
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| 5 | | The expense ratios of the Fund, both current (net of applicable fee waivers and/ or expense limitations) and before waivers (gross of applicable fee waivers and/ or expense limitations), are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2012, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
FUND BASICS
Percentage of Net Assets
| | |
| 6 | | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments represent repurchase agreements. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
| |
| 7 | | “Federal Agencies” are mortgage-backed securities guaranteed by the Government National Mortgage Association (“GNMA”), Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). GNMA instruments are backed by the full faith and credit of the U.S. Government. |
| |
| 8 | | “Government Guarantee Obligations” are guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program or a foreign government guarantee program and are backed by the full faith and credit of the United States or the government of a foreign country. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012 and the expiration date of a foreign country guarantee is the maturity date of the debt. |
PORTFOLIO RESULTS
Goldman Sachs Core Plus Fixed Income Fund
Investment Objective
The Fund seeks a total return consisting of capital appreciation and income that exceeds the total return of the Barclays Capital U.S. Aggregate Bond Index.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs Core Plus Fixed Income Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2011 (the “Reporting Period”).
| |
| Q | How did the Fund perform during the Reporting Period? |
| |
| A | During the Reporting Period, the Fund’s Class A, B, C, Institutional, Service, IR and R Shares generated cumulative total returns, without sales charges, of 3.85%, 3.47%, 3.57%, 4.03%, 3.78%, 3.57% and 3.72%, respectively. These returns compare to the 6.20% cumulative total return of the Fund’s benchmark, the Barclays Capital U.S. Aggregate Bond Index (the “Barclays Capital Index”), during the same time period. |
| |
| Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| |
| A | Bottom-up individual issue selection within the collateralized and corporate bond sectors contributed positively to the Fund’s performance during the Reporting Period. |
The primary detractor from Fund performance was our top-down cross-sector strategy. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark. Bottom-up individual issue selection within the government/agency sector also detracted from the Fund’s results.
Tactical management of the Fund’s duration and yield curve strategy detracted from its performance during the Reporting Period. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector.
| |
| Q | Which fixed income market sectors most significantly affected Fund performance? |
| |
| A | Individual issue selection within the collateralized and corporate bond sectors contributed positively. Within the collateralized sector, collateralized mortgage obligations (“CMOs”) and adjustable-rate mortgages (“ARMs”) drove returns most. Within the corporate bond sector, our bias toward lower quality securities helped, and in particular, choices in the industrial sector of the high yield corporate bond market and among structured products proved beneficial. So, too, did our preference for financials in the U.S. versus Europe within the investment grade corporate bond segment. Elsewhere, the Fund’s covered bond choices, specifically in Norway, buoyed results. Covered bonds, which are not a sector represented in the Barclays Capital Index, are securities created from either mortgage loans or public sector loans. |
Exposure to non-agency mortgage-backed securities, on the other hand, implemented via our cross-sector strategy, detracted from the Fund’s relative results. Returns posted by non-agency mortgage-backed securities were negative during the Reporting Period, driven primarily by volatility caused, in turn, by Standard & Poor’s unprecedented downgrade of U.S. sovereign credit, weaker than expected U.S. economic growth and ongoing uncertainty regarding European sovereign debt. Also, while individual issue selection within the corporate bond sector contributed positively, an overweighted allocation to corporate bonds detracted, as the sector lagged the Barclays Capital Index during the Reporting Period. Individual issue selection within the government/ agency sector hurt the Fund’s results as well.
PORTFOLIO RESULTS
| |
| Q | Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period? |
| |
| A | Tactical management of the Fund’s duration and yield curve positioning detracted from its results during the Reporting Period. From a yield curve perspective, disappointing performance was driven by positioning in the seven-year and 10-year segments of the U.S. yield curve, which detracted. The effect of such positioning was only partially offset by the positive effect of positioning in the five-year segment of the U.S. yield curve. As for duration strategy, we shifted the Fund’s duration positioning as market conditions changed throughout. For example, positioning along the U.S. yield curve ranged from substantially shorter than the Barclays Capital Index in June to longer than the Barclays Capital Index in late August and September based on our own views and market perceptions of the economy. The Fund’s duration positioning in June detracted, as interest rates fell. This underperformance was partially recovered in late August and September as we lengthened the Fund’s duration. The yield on the 10-year Treasury note started the Reporting Period at 3.45% and ended the Reporting Period at 1.92%. The yield on the 30-year Treasury note started the Reporting Period at 4.40% and ended the Reporting Period at 2.92%. |
| |
| Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| |
| A | As market conditions warranted during the Reporting Period, the Fund engaged in over-the-counter forward foreign currency exchange contracts for passive currency management; Treasury futures to facilitate specific duration, yield curve and country strategies; swaptions (or options on interest rate swap contracts) to express an outright term structure view and manage volatility (term structure, most often depicted as a yield curve, refers to the term structure of interest rates, which is the relationship between the yield to maturity and the time to maturity for pure discount bonds); credit default swaps to manage exposure to fluctuations in credit spreads (or the differential in yields between Treasury securities and non-Treasury securities that are identical in all respects except for quality rating); and interest rate swaps to manage exposure to fluctuations in interest rates. Overall, we employ derivatives and similar instruments for the efficient management of the Fund’s portfolio. Derivatives and similar instruments allow us to manage interest rate, credit and currency risks more effectively by allowing us both to hedge and to apply active investment views with greater versatility and to afford greater risk management precision than we would otherwise be able to implement. |
| |
| Q | Were there any notable changes in the Fund’s weightings during the Reporting Period? |
| |
| A | The Fund’s exposure to agency securities and emerging market debt was reduced toward the end of the Reporting Period. Throughout, we maintained the Fund’s substantial overweight relative to the Barclays Capital Index in asset-backed securities, and we increased the Fund’s exposure to covered bonds. We maintained the Fund’s significant underweight to government securities. We also maintained exposure to non-agency mortgage-backed securities. Also, as discussed earlier, in implementing our active duration strategy, we shifted the Fund’s duration from a shorter than Barclays Capital Index position to a longer than Barclays Capital Index position in late August amid the Fed’s bias toward keeping short-term interest rates low until mid-2013. |
| |
| Q | How was the Fund positioned relative to its benchmark index at the end of September 2011? |
| |
| A | At the end of September 2011, the Fund had overweighted allocations relative to the Barclays Capital Index in asset-backed securities, residential mortgage-backed securities, investment grade corporate bonds and emerging market debt. The Fund also had exposure to covered bonds. The Fund had underweighted exposures relative to the benchmark index in U.S. government securities, quasi-government securities and high yield corporate bonds. The Fund had a rather neutral position compared to the Barclays Capital Index in commercial mortgage-backed securities. The Fund also maintained a modest position in cash. The Fund had a longer duration than the Barclays Capital Index at the end of the Reporting Period. |
FUND BASICS
Core Plus Fixed Income Fund
as of September 30, 2011
| | | | | | | | | | | | | | | | | | | |
| | | | | Barclays Capital
| | 30-Day
| | 30-Day
| | |
April 1, 2011–
| | Fund Total Return
| | U.S. Aggregate
| | Standardized
| | Standardized
| | |
| September 30, 2011 | | (based on NAV)1 | | Bond Index2 | | Subsidized Yield3 | | Unsubsidized Yield3 | | |
|
| |
| Class A | | | 3.85 | % | | | 6.20 | % | | | 2.23 | % | | | 2.06 | % | | |
| Class B | | | 3.47 | | | | 6.20 | | | | 1.56 | | | | 1.39 | | | |
| Class C | | | 3.57 | | | | 6.20 | | | | 1.57 | | | | 1.40 | | | |
| Institutional | | | 4.03 | | | | 6.20 | | | | 2.65 | | | | 2.48 | | | |
| Service | | | 3.78 | | | | 6.20 | | | | 2.16 | | | | 1.98 | | | |
| Class IR | | | 3.57 | | | | 6.20 | | | | 2.56 | | | | 2.39 | | | |
| Class R | | | 3.72 | | | | 6.20 | | | | 2.07 | | | | 1.91 | | | |
|
| | |
| 1 | | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| |
| 2 | | The Barclays Capital U.S. Aggregate Bond Index represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds, and mortgage-backed and asset-backed securities. The Index figure does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
| |
| 3 | | The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price (“POP”) per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Gross Yield does not reflect expense reductions. |
FUND BASICS
| |
| STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS4 | |
| | | | | | | | | | | | | |
| For the period ended 9/30/11 | | One Year | | Since Inception | | Inception Date | | |
|
| |
| Class A | | | 0.18 | % | | | 4.69 | % | | 11/30/06 | | |
| Class B | | | -1.89 | | | | 4.99 | | | 6/20/07 | | |
| Class C | | | 2.34 | | | | 4.74 | | | 11/30/06 | | |
| Institutional | | | 4.50 | | | | 5.89 | | | 11/30/06 | | |
| Service | | | 4.00 | | | | 6.11 | | | 6/20/07 | | |
| Class IR | | | 4.00 | | | | 5.67 | | | 11/30/07 | | |
| Class R | | | 3.79 | | | | 5.23 | | | 11/30/07 | | |
|
| | |
| 4 | | The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 3.75% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Class B Shares convert automatically to Class A Shares on or about the fifteenth day of the last month of the calendar quarter that is eight years after purchase. Prior to July 29, 2009, the maximum initial sales charge applicable to Class A Shares was 4.5%, which is not reflected in the average annual total return figures shown. Because Institutional, Service, Class IR and Class R Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns. The Fund’s Class B Shares are no longer available for purchase by new or existing shareholders (although current Class B shareholders may continue to reinvest income and capital gains distributions into Class B Shares, and Class B shareholders may continue to exchange their shares for Class B Shares of certain other Goldman Sachs Funds). |
| |
| | The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
| | | | | | | | | | | |
| | | Net Expense Ratio (Current) | | Gross Expense Ratio (Before Waivers) | | |
|
| |
| Class A | | | 0.83 | % | | | 1.00 | % | | |
| Class B | | | 1.58 | | | | 1.75 | | | |
| Class C | | | 1.58 | | | | 1.75 | | | |
| Institutional | | | 0.49 | | | | 0.66 | | | |
| Service | | | 0.99 | | | | 1.16 | | | |
| Class IR | | | 0.58 | | | | 0.75 | | | |
| Class R | | | 1.08 | | | | 1.25 | | | |
|
| | |
| 5 | | The expense ratios of the Fund, both current (net of applicable fee waivers and/ or expense limitations) and before waivers (gross of applicable fee waivers and/ or expense limitations), are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2012, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
FUND BASICS
Percentage of Net Assets
| | |
| 6 | | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments represent repurchase agreements. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
| |
| 7 | | “Federal Agencies” are mortgage-backed securities guaranteed by the Government National Mortgage Association (“GNMA”), Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). GNMA instruments are backed by the full faith and credit of the U.S. Government. |
| |
| 8 | | “Agency Debentures” include agency securities offered by companies such as FNMA and FHLMC, which operate under a government charter. While they are required to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company. |
| |
| 9 | | “Government Guarantee Obligations” are guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program or a foreign government guarantee program and are backed by the full faith and credit of the United States or the government of a foreign country. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012 and the expiration date of a foreign country guarantee is the maturity date of the debt. |
PORTFOLIO RESULTS
Goldman Sachs Global Income Fund
Investment Objective
The Fund seeks a high total return, emphasizing current income, and, to a lesser extent, providing opportunities for capital appreciation.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Global Fixed Income Investment Management Team discusses the Goldman Sachs Global Fixed Income Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2011 (the “Reporting Period”).
| |
| Q | How did the Fund perform during the Reporting Period? |
| |
| A | During the Reporting Period, the Fund’s Class A, B, C, Institutional, Service and IR Shares generated cumulative total returns, without sales charges, of 3.78%, 3.40%, 3.34%, 3.97%, 3.72% and 3.92%, respectively. These returns compare to the 4.70% cumulative total return of the Fund’s benchmark, the Barclays Capital Global Aggregate Bond Index (USD hedged) (the “Barclays Capital Index”), during the same time period. |
| |
| Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| |
| A | Both our top-down and bottom-up strategies produced mixed results during the Reporting Period. Within our top-down strategies, our country strategy contributed positively to the Fund’s performance during the Reporting Period. In particular, having an underweight bias to European peripherals, including Portugal and Italy, and an overweight bias to Germany helped most. Risk aversion heightened on several of the European peripheral nations due to the resurfacing of the sovereign debt crisis, while Germany enjoyed generally positive economic indicators and played a central role in enhancing the Eurozone’s bailout fund for its troubled neighbors. As financial markets became increasingly nervous about sovereign debt sustainability in peripheral Europe and a flight to quality ensued, spreads on both cash bonds and credit default swaps widened. (Spreads are defined as the differential in yields between U.S. Treasuries and another sector.) Such effective country positioning was only partially offset by the detracting effect of the Fund’s underweighted positioning in the U.S., Canada and the U.K., which each performed well during the Reporting Period given the broad flight to quality among investors amidst a benign global economic growth outlook. |
Our duration and cross-sector strategies hurt. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark.
Bottom-up individual issue selection within the collateralized and government/agency sectors contributed positively to the Fund’s performance during the Reporting Period. However, security selection within the corporate bond and emerging market debt sectors detracted from the Fund’s results.
| |
| Q | Which fixed income market sectors most significantly affected Fund performance? |
| |
| A | The Fund’s overweighted allocation to asset-backed securities contributed to the Fund’s performance. So, too, did individual issue selection in the collateralized and government/agency sectors add value. Within the collateralized sector, selection of collateralized mortgage obligations (“CMOs”) and mortgage-backed security pass-throughs helped most. (Pass-through mortgages consist of a pool of residential mortgage loans, where homeowners’ monthly payments of principal, interest and prepayments pass from the original bank through a government agency or investment bank to investors.) Within the government/agency sector, an emphasis on U.S. Treasury inflation-protected securities (“TIPS”) during the second quarter of 2011 and effective selection of inflation-protected securities more broadly contributed positively to the Fund’s performance. |
Conversely, the Fund’s overweighted allocation to non-agency mortgage-backed securities, corporate bonds and commercial mortgage-backed securities (“CMBS”) detracted. Individual issue selection in the corporate bond and emerging market debt sectors also hurt. Within the corporate bond sector, security selection among investment grade bonds in the utilities and financials industries detracted most.
PORTFOLIO RESULTS
| |
| Q | Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period? |
| |
| A | The combined effect of the Fund’s duration and yield curve positioning detracted from results during the Reporting Period. As indicated earlier, duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector. |
The Fund’s duration strategy is actively managed and constantly monitored in an effort to generate greater performance and reduced risk through volatile markets. During the Reporting Period, the Fund had a longer duration relative to the Barclays Capital Index until June and ended the Reporting Period with a shorter duration than that of the Barclays Capital Index. This shorter duration positioning in the last several months of the Reporting Period hurt, as interest rates declined. Also, within our duration strategy, a short position on Eurodollar futures detracted from returns in June and July. Yields continued their downward trend as the global economic growth outlook worsened and markets became increasingly nervous about the sovereign debt sustainability of peripheral Europe.
| |
| Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| |
| A | We used derivatives and similar instruments for the efficient management of the Fund. These derivatives and similar instruments allowed us to manage interest rate, credit and currency risks more effectively by allowing us both to hedge and to apply active investment views with greater versatility and to afford greater risk management precision. |
During the Reporting Period, we used interest rate and bond exchange traded futures contracts to implement duration and country strategies within the Fund, especially in the U.S., Eurozone, U.K. and Japanese markets. Currency transactions were carried out using primarily over-the-counter (“OTC”) forward foreign exchange contracts as well as purchased OTC options. Currency transactions were used as we sought both to enhance returns and to hedge its portfolio against currency exchange rate fluctuations. Interest rate and credit default swaps were also used as cost-efficient instruments to help grant us greater precision and versatility in the management of active strategies.
| |
| Q | Did the Fund make any significant purchases or sales during the Reporting Period? |
| |
| A | Our long 10-year German Bund futures trade performed well during July and August as yields fell more than 50 basis points in those months, due mainly to increased risk aversion following Standard & Poor’s downgrade of the U.S. sovereign credit rating. (A basis point is 1/100th of a percentage point.) Conversely, our short 10-year U.S. Treasury futures trade detracted in April as U.S. economic data releases were meaningfully weaker than expected earlier in the year, leading to a decline in yields. |
| |
| Q | Were there any notable changes in the Fund’s weightings during the Reporting Period? |
| |
| A | There were no material changes in the Fund’s sector or country weightings during the Reporting Period. As indicated, however, we did make adjustments in the Fund’s duration. From a broad perspective, we maintained a generally longer duration than the Barclays Capital Index in the Fund until June and then ended the Reporting Period with a shorter duration than the Barclays Capital Index. |
| |
| Q | How was the Fund positioned relative to its benchmark index at the end of September 2011? |
| |
| A | At the end of September 2011, the Fund had overweighted allocations relative to the Barclays Capital Index in collateralized securities and in quasi-government securities. The Fund had underweighted exposure relative to the benchmark index in government securities and was rather neutral to the Barclays Capital Index in corporate bonds and emerging market debt. |
FUND BASICS
Global Income Fund
as of September 30, 2011
| | | | | | | | | | | | | | | | | | | |
| | | | | Barclays Capital
| | | | | | |
| | | | | Global Aggregate
| | 30-Day
| | 30-Day
| | |
April 1, 2011–
| | Fund Total Return
| | Bond Index
| | Standardized
| | Standardized
| | |
| September 30, 2011 | | (based on NAV)1 | | (USD hedged)2 | | Subsidized Yield3 | | Unsubsidized Yield3 | | |
|
| |
| Class A | | | 3.78 | % | | | 4.70 | % | | | 1.22 | % | | | 1.10 | % | | |
| Class B | | | 3.40 | | | | 4.70 | | | | 0.52 | | | | 0.40 | | | |
| Class C | | | 3.34 | | | | 4.70 | | | | 0.53 | | | | 0.40 | | | |
| Institutional | | | 3.97 | | | | 4.70 | | | | 1.61 | | | | 1.48 | | | |
| Service | | | 3.72 | | | | 4.70 | | | | 1.13 | | | | 1.01 | | | |
| Class IR | | | 3.92 | | | | 4.70 | | | | 1.52 | | | | 1.39 | | | |
|
| | |
| 1 | | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| |
| 2 | | The Barclays Capital Global Aggregate Bond Index (USD hedged), an unmanaged index, provides a broad based measure of the global investment-grade fixed-rate debt markets and covers the most liquid portion of the global investment grade fixed-rate bond market, including government, credit and collateralized securities. The Index figures do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
| |
| 3 | | The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price (“POP”) per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Gross Yield does not reflect expense reductions. |
FUND BASICS
| |
| STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS4 | |
| | | | | | | | | | | | | | | | | | | | | |
| For the period ended 9/30/11 | | One Year | | Five Years | | Ten Years | | Since Inception | | Inception Date | | |
|
| |
| Class A | | | -2.29 | % | | | 4.08 | % | | | 3.92 | % | | | 5.63 | % | | 8/2/91 | | |
| Class B | | | -4.28 | | | | 3.67 | | | | 3.74 | | | | 5.05 | | | 5/1/96 | | |
| Class C | | | -0.30 | | | | 4.10 | | | | 3.60 | | | | 4.25 | | | 8/15/97 | | |
| Institutional | | | 1.88 | | | | 5.24 | | | | 4.77 | | | | 6.15 | | | 8/1/95 | | |
| Service | | | 1.31 | | | | 4.72 | | | | 4.25 | | | | 4.98 | | | 3/12/97 | | |
| Class IR | | | 1.79 | | | | N/A | | | | N/A | | | | 2.65 | | | 7/30/10 | | |
|
| | |
| 4 | | The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 3.75% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Class B Shares convert automatically to Class A Shares on or about the fifteenth day of the last month of the calendar quarter that is eight years after purchase. Returns for Class B Shares for the period after conversion reflect the performance of Class A Shares. Prior to July 29, 2009, the maximum initial sales charge applicable to Class A Shares was changed 4.5%, which is not reflected in the average annual total return figures shown. Because Institutional, Service and Class IR Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns. The Fund’s Class B Shares are no longer available for purchase by new or existing shareholders (although current Class B shareholders may continue to reinvest income and capital gains distributions into Class B Shares, and Class B shareholders may continue to exchange their shares for Class B Shares of certain other Goldman Sachs Funds). |
| |
| | The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
| | | | | | | | | | | |
| | | Net Expense Ratio (Current) | | Gross Expense Ratio (Before Waivers) | | |
|
| |
| Class A | | | 1.03 | % | | | 1.13 | % | | |
| Class B | | | 1.78 | | | | 1.88 | | | |
| Class C | | | 1.78 | | | | 1.88 | | | |
| Institutional | | | 0.69 | | | | 0.79 | | | |
| Service | | | 1.19 | | | | 1.29 | | | |
| Class IR | | | 0.78 | | | | 0.88 | | | |
|
| | |
| 5 | | The expense ratios of the Fund, both current (net of applicable fee waivers and/ or expense limitations) and before waivers (gross of applicable fee waivers and/ or expense limitations), are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2012, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
FUND BASICS
| | | | | | | | | | | |
| | | Percentage of Net Assets |
| | | |
| | | as of 9/30/11 | | as of 3/31/11 | | |
|
| |
U.S. Dollar7 | | | 39.5 | % | | | 42.2 | % | | |
| Euro | | | 33.7 | | | | 30.9 | | | |
| Japanese Yen | | | 12.8 | | | | 11.1 | | | |
| British Pound | | | 4.8 | | | | 6.9 | | | |
| Canadian Dollar | | | 2.2 | | | | 3.2 | | | |
| South African Rand | | | 1.0 | | | | 0.2 | | | |
| Australian Dollar | | | 0.7 | | | | 1.0 | | | |
| Swedish Krona | | | 0.5 | | | | 0.8 | | | |
| Danish Krone | | | 0.3 | | | | 0.5 | | | |
| Polish Zloty | | | 0.3 | | | | 0.7 | | | |
| Hungary Forint | | | 0.1 | | | | 0.3 | | | |
| Mexican Peso | | | 0.1 | | | | 0.0 | | | |
|
| | |
| 6 | | The percentage shown for each currency reflects the value of investments in that category as a percentage of net assets. Figures in the above table may not sum to 100% due to the exclusion of other assets and liabilities. The above table depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
| |
| 7 | | These figures represent the value excluding short-term obligations. If short-term obligations had been included, the percentages for 9/30/11 and 3/31/11 would have been 45.8% and 45.3%, respectively. |
PORTFOLIO RESULTS
Goldman Sachs Strategic Income Fund
Investment Objective
The Fund seeks total return comprised of income and capital appreciation.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs Strategic Income Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2011 (the “Reporting Period”).
| |
| Q | How did the Fund perform during the Reporting Period? |
| |
| A | During the Reporting Period, the Fund’s Class A, C, Institutional, IR and R Shares generated cumulative total returns, without sales charges, of -3.17%, -3.54%, -3.01%, -3.05% and -3.29%, respectively. These returns compare to the 6.20% cumulative total return of the Fund’s primary benchmark, the Barclays Capital U.S. Aggregate Bond Index (the “Barclays Capital Index”), and the 0.14% cumulative total return of the Fund’s secondary benchmark, the 3-Month LIBOR Index (USD) (the “LIBOR Index”), during the same period. |
We should note that this Fund employs a benchmark agnostic strategy and thus comparisons to the benchmark index are not particularly relevant.
| |
| Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| |
| A | Within our top-down strategies, our macro country and duration strategies contributed the most positively to Fund performance. Within our country strategy, our short peripheral Europe trade — that is, short positions in France, Spain, Italy and Portugal versus a long position in Germany — contributed positively to the Fund’s performance. Risk aversion heightened on several of the European peripheral nations due to the resurfacing of the sovereign debt crisis, while Germany enjoyed generally positive economic indicators and played a central role in enhancing the Eurozone’s bailout fund for its troubled neighbors. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Bottom-up individual issue selection within the agency mortgage-backed securities sector also added value during the Reporting Period. |
These contributing factors, however, were more than offset by the detracting effect on Fund performance of our cross-sector strategy. Our cross-sector strategy is one in which we invest Fund assets based on a discipline of valuing each fixed income sector in the context of all investment opportunities within the Fund’s universe.
| |
| Q | Which fixed income market sectors most significantly affected Fund performance? |
| |
| A | Individual issue selection within the agency mortgage-backed securities sector added value. In particular, a bias toward lower coupon securities helped given the prepayment volatility in higher coupon agency mortgage-backed securities during the third calendar quarter. Discussion of further government-induced homeowner relief efforts, specifically of potential modifications to existing refinancing programs focused on providing support for credit-impaired borrowers stuck with high mortgage rates, added to prepayment volatility. |
Amidst heightened market volatility in August and September, exposure to credit-sensitive sectors, including non-agency mortgage-backed securities, high yield corporate bonds and local emerging markets debt, was the primary detractor from the Fund’s results relative to the Barclays Capital Index during the Reporting Period. The non-agency mortgage-backed securities and high yield corporate bond sectors each ended August down more than 4% and September down more than 3%. Additionally, local emerging market currencies sold off substantially in September with a broad U.S. dollar rally amidst increased concerns surrounding the Eurozone.
PORTFOLIO RESULTS
| |
| Q | Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period? |
| |
| A | The combined effect of the Fund’s duration and yield curve positioning contributed positively to results during the Reporting Period. As mentioned earlier, duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector. The Fund’s duration positioning helped most in late August when we shifted to a long U.S. duration bias amid the Federal Reserve Board’s easing bias and outlook for a continuation of subdued economic growth. The Fund maintained a short Japanese duration. We continued to believe that 1% yields for 10-year Japanese government bonds were not sustainable based on Japanese debt-to-Gross Domestic Product ratios and potential further downgrades. |
| |
| Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| |
| A | We used derivatives and similar instruments for the efficient management of the Fund. These derivatives and similar instruments allowed us to manage interest rate, credit and currency risks more effectively by allowing us both to hedge and to apply active investment views with greater versatility and to afford greater risk management precision. |
During the Reporting Period, we used interest rate and bond exchange traded futures contracts to hedge interest rate exposure and to facilitate specific duration and yield curve strategies within the Fund. Interest rate swaps were used to hedge interest rate exposure and to express an outright term structure view. (Term structure, most often depicted as a yield curve, refers to the term structure of interest rates, which is the relationship between the yield to maturity and the time to maturity for pure discount bonds.) Credit default swaps were used to hedge or increase corporate credit risk. We view credit default swaps as a cost effective way to take short positions in corporate issuers or indices, an attractive and liquid substitute for corporate bonds and as an efficient way to implement very specific views, such as that on a single name, industry, market, country, credit curve or rating bucket. Total return swaps were used to express a view, gain exposure and seek to benefit from the movements of a specific asset, such as interest-only mortgage-backed securities, without actually having to own that asset. Currency forwards were used in managing portfolio risk and in taking speculative positions in relation to future movements of the underlying asset.
| |
| Q | Were there any notable changes in the Fund’s weightings during the Reporting Period? |
| |
| A | The Fund is a broadly diversified portfolio designed to provide total return opportunities from across the fixed income spectrum. As market conditions shifted, we significantly reduced the Fund’s exposure to high yield corporate bonds early in August as part of what we considered to be prudent trimming of risk. We then broadly maintained the weighting to high yield corporate bonds through September, slightly adding to the Fund’s bank loan allocation on an opportunistic basis. Also in September, we closed out all of the Fund’s short exposures to peripheral Europe. While we remained negative on Spain, France, Italy and Portugal, we implemented this strategy due to the increased risk of a policy response and concern about increased regulation of credit default swaps and a potential ban on short selling. |
We tactically shifted the Fund’s agency mortgage-backed securities positioning throughout the Reporting Period. We maintained exposure to non-agency mortgage-backed securities. We increased the Fund’s exposure to investment grade corporate bonds and bank loans. We dramatically reduced the Fund’s allocation to U.S. government bonds. We also reduced the Fund’s positions in municipal debt and cash during the Reporting Period.
| |
| Q | How was the Fund positioned at the end of September 2011? |
| |
| A | At the end of the Reporting Period, the Fund had its greatest allocations to the agency and non-agency residential mortgage-backed securities sectors. The Fund had somewhat lesser weightings in high yield corporate bonds, emerging market debt, covered bonds, collateralized loan obligations, investment grade corporate bonds and bank loans. (Covered bonds are securities created from either mortgage loans or public sector loans. Similar in structure to collateralized mortgage obligations, collateralized loan obligations are securities backed by a pool of commercial or personal loans, structured so that there are several classes of bondholders with varying maturities, called tranches.) The Fund had modest exposures to government bonds, quasi-government bonds, municipal debt and asset-backed securities as well. The Fund also had a position in cash at the end of the Reporting Period. |
FUND BASICS
Strategic Income Fund
as of September 30, 2011
| | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | 30-Day
| | 30-Day
| | |
| | | | | Barclays Capital
| | 3-Month
| | Standardized
| | Standardized
| | |
April 1, 2011–
| | Fund Total Return
| | U.S. Aggregate
| | LIBOR Index
| | Subsidized
| | Unsubsidized
| | |
| September 30, 2011 | | (based on NAV)1 | | Bond Index2 | | (USD)3 | | Yield4 | | Yield4 | | |
|
| |
| Class A | | | -3.17 | % | | | 6.20 | % | | | 0.14 | % | | | 4.01 | % | | | 4.01 | % | | |
| Class C | | | -3.54 | | | | 6.20 | | | | 0.14 | | | | 3.41 | | | | 3.41 | | | |
| Institutional | | | -3.01 | | | | 6.20 | | | | 0.14 | | | | 4.52 | | | | 4.52 | | | |
| Class IR | | | -3.05 | | | | 6.20 | | | | 0.14 | | | | 4.43 | | | | 4.43 | | | |
| Class R | | | -3.29 | | | | 6.20 | | | | 0.14 | | | | 3.93 | | | | 3.93 | | | |
|
| | |
| 1 | | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| |
| 2 | | The Barclays Capital Global Aggregate Bond Index (USD hedged), an unmanaged index, provides a broad based measure of the global investment-grade fixed-rate debt markets and covers the most liquid portion of the global investment grade fixed-rate bond market, including government, credit and collateralized securities. The Index figures do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
| |
| 3 | | The LIBOR, the London Interbank Offered Rate, is based on the rates that contributor banks in London offer each other for inter-bank deposits. LIBOR is compiled by the British Bankers Association (BBA) and is published daily. It is not possible to invest directly in an unmanaged index. |
| |
| 4 | | The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price (“POP”) per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Gross Yield does not reflect expense reductions. |
| |
| STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS5 | |
| | | | | | | | | | | | | |
| For the period ended 9/30/11 | | One Year | | Since Inception | | Inception Date | | |
|
| |
| Class A | | | -5.65 | % | | | -3.68 | % | | 6/30/10 | | |
| Class C | | | -3.81 | | | | -1.43 | | | 6/30/10 | | |
| Institutional | | | -1.76 | | | | -0.46 | | | 6/30/10 | | |
| Class IR | | | -1.85 | | | | -0.55 | | | 6/30/10 | | |
| Class R | | | -2.33 | | | | -1.02 | | | 6/30/10 | | |
|
| | |
| 5 | | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 3.75% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Class IR and Class R Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
| |
| | The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
FUND BASICS
| | | | | | | | | | | |
| | | Net Expense Ratio (Current) | | Gross Expense Ratio (Before Waivers) | | |
|
| |
| Class A | | | 1.02 | % | | | 1.08 | % | | |
| Class C | | | 1.77 | | | | 1.83 | | | |
| Institutional | | | 0.68 | | | | 0.74 | | | |
| Class IR | | | 0.77 | | | | 0.83 | | | |
| Class R | | | 1.27 | | | | 1.33 | | | |
|
| | |
| 6 | | The expense ratios of the Fund, both current (net of applicable fee waivers and/ or expense limitations) and before waivers (gross of applicable fee waivers and/ or expense limitations), are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2012, and prior to such date the investment adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
Percentage of Net Assets
| | |
| 7 | | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments represent repurchase agreements. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
| |
| 8 | | “Federal Agencies” are mortgage-backed securities guaranteed by the Government National Mortgage Association (“GNMA”), Federal National Mortgage Association and Federal Home Loan Mortgage Corp. GNMA instruments are backed by the full faith and credit of the U.S. Government. |
| |
| 9 | | “Government Guarantee Obligations” are guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program or the Foreign Government Guarantee Program and are backed by the full faith and credit of the United States or the federal government of a foreign country. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012 and the expiration date of a foreign country guarantee is the maturity date of the debt. |
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Corporate Obligations – 29.6% |
Banks – 13.8% |
| Abbey National Treasury Services PLC |
| $ | 1,750,000 | | | | 2.875 | % | | | 04/25/14 | | | $ | 1,634,514 | |
| | 1,100,000 | | | | 4.000 | | | | 04/27/16 | | | | 1,002,838 | |
ANZ Capital Trust II(a)(b) |
| | 3,500,000 | | | | 5.360 | | | | 12/15/49 | | | | 3,425,625 | |
Astoria Financial Corp.(b) |
| | 4,050,000 | | | | 5.750 | | | | 10/15/12 | | | | 4,192,575 | |
| Bank of America Corp. |
| | 2,150,000 | | | | 3.625 | | | | 03/17/16 | | | | 1,948,760 | |
| | 3,250,000 | | | | 5.750 | | | | 12/01/17 | | | | 3,095,784 | |
Bank of Nova Scotia(a) |
| | 21,900,000 | | | | 1.450 | | | | 07/26/13 | | | | 22,117,861 | |
| | 8,900,000 | | | | 2.150 | | | | 08/03/16 | | | | 9,052,430 | |
Bank of Scotland PLC(a) |
| | 2,800,000 | | | | 5.250 | | | | 02/21/17 | | | | 3,025,291 | |
BBVA Bancomer SA(a) |
| | 3,775,000 | | | | 7.250 | | | | 04/22/20 | | | | 3,669,439 | |
Caisse Centrale Desjardins du Quebec(a) |
| | 3,700,000 | | | | 2.550 | | | | 03/24/16 | | | | 3,840,659 | |
Canadian Imperial Bank of Commerce(a) |
| | 6,300,000 | | | | 2.000 | | | | 02/04/13 | | | | 6,393,605 | |
| | 4,500,000 | | | | 2.750 | | | | 01/27/16 | | | | 4,713,161 | |
| Capital One Bank USA NA |
| | 1,825,000 | | | | 8.800 | | | | 07/15/19 | | | | 2,147,821 | |
Capital One Capital III(b) |
| | 1,225,000 | | | | 7.686 | | | | 08/15/36 | | | | 1,197,438 | |
Capital One Capital IV(b)(c) |
| | 3,475,000 | | | | 6.745 | | | | 02/17/37 | | | | 3,318,625 | |
Cie de Financement Foncier(a) |
| | 6,600,000 | | | | 2.125 | | | | 04/22/13 | | | | 6,611,649 | |
Citigroup Capital XXI(b)(c) |
| | 4,235,000 | | | | 8.300 | | | | 12/21/57 | | | | 4,139,713 | |
| Citigroup, Inc. |
| | 7,125,000 | | | | 5.000 | | | | 09/15/14 | | | | 6,948,836 | |
| | 1,860,000 | | | | 6.125 | | | | 11/21/17 | | | | 1,989,584 | |
| | 1,945,000 | | | | 5.375 | | | | 08/09/20 | | | | 2,013,585 | |
Commonwealth Bank of Australia(a)(b)(c) |
| | 3,740,000 | | | | 6.024 | | | | 03/15/49 | | | | 3,492,782 | |
| Discover Bank |
| | 2,075,000 | | | | 8.700 | | | | 11/18/19 | | | | 2,383,350 | |
DnB NOR Boligkreditt AS(a) |
| | 19,500,000 | | | | 2.100 | | | | 10/14/15 | | | | 19,734,741 | |
| | 10,900,000 | | | | 2.900 | | | | 03/29/16 | | | | 11,295,855 | |
Fifth Third Bank(c) |
| | 4,025,000 | | | | 0.402 | | | | 05/17/13 | | | | 3,941,272 | |
| HSBC Bank USA NA |
| | 2,921,000 | | | | 4.875 | | | | 08/24/20 | | | | 2,758,583 | |
ING Bank NV(a) |
| | 3,500,000 | | | | 2.375 | | | | 06/09/14 | | | | 3,394,178 | |
| | 8,000,000 | | | | 2.500 | | | | 01/14/16 | | | | 8,016,640 | |
JPMorgan Chase Capital XX(b) |
| | 1,150,000 | | | | 6.550 | | | | 09/29/36 | | | | 1,144,250 | |
| JPMorgan Chase Capital XXV |
| | 1,600,000 | | | | 6.800 | | | | 10/01/37 | | | | 1,592,000 | |
MUFG Capital Finance 1 Ltd.(b)(c) |
| | 3,050,000 | | | | 6.346 | | | | 07/25/49 | | | | 3,065,250 | |
National City Preferred Capital Trust I(b)(c) |
| | 3,675,000 | | | | 12.000 | | | | 12/10/49 | | | | 3,806,639 | |
Nordea Eiendomskreditt AS(a) |
| | 9,600,000 | | | | 1.875 | | | | 04/07/14 | | | | 9,815,222 | |
| Regions Financial Corp. |
| | 3,475,000 | | | | 5.750 | | | | 06/15/15 | | | | 3,266,500 | |
Resona Preferred Global Securities Ltd.(a)(b)(c) |
| | 3,650,000 | | | | 7.191 | | | | 07/30/49 | | | | 3,413,104 | |
| Royal Bank of Scotland PLC |
| | 1,950,000 | | | | 4.875 | (a) | | | 08/25/14 | | | | 1,963,317 | |
| | 2,800,000 | | | | 5.625 | | | | 08/24/20 | | | | 2,649,066 | |
| Sovereign Bank |
| | 975,000 | | | | 8.750 | | | | 05/30/18 | | | | 1,110,107 | |
Sparebank 1 Boligkreditt AS(a) |
| | 14,400,000 | | | | 1.250 | | | | 10/25/13 | | | | 14,463,072 | |
| | 13,400,000 | | | | 2.625 | | | | 05/27/16 | | | | 13,887,715 | |
Stadshypotek AB(a) |
| | 12,500,000 | | | | 1.450 | | | | 09/30/13 | | | | 12,574,900 | |
Sumitomo Mitsui Banking Corp.(a) |
| | 4,475,000 | | | | 2.900 | | | | 07/22/16 | | | | 4,515,315 | |
SunTrust Banks, Inc.(b) |
| | 2,450,000 | | | | 3.600 | | | | 04/15/16 | | | | 2,444,896 | |
Swedbank Hypotek AB(a)(c) |
| | 2,200,000 | | | | 0.813 | | | | 03/28/14 | | | | 2,202,801 | |
| U.S. Bancorp |
| | 3,750,000 | | | | 3.442 | | | | 02/01/16 | | | | 3,793,939 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 237,205,287 | |
| |
| |
Brokerage – 0.8% |
| Merrill Lynch & Co., Inc. |
| | 2,950,000 | | | | 6.400 | | | | 08/28/17 | | | | 2,803,865 | |
Morgan Stanley, Inc.(b) |
| | 10,500,000 | | | | 6.625 | | | | 04/01/18 | | | | 10,443,310 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 13,247,175 | |
| |
| |
Distributor(a)(b) – 0.1% |
| Ras Laffan Liquefied Natural Gas Co. Ltd. III |
| | 1,700,000 | | | | 5.500 | | | | 09/30/14 | | | | 1,838,550 | |
| |
| |
Diversified Manufacturing (a)(b) – 0.2% |
| Xylem, Inc. |
| | 2,950,000 | | | | 3.550 | | | | 09/20/16 | | | | 2,949,991 | |
| |
| |
Electric(b) – 0.7% |
Ipalco Enterprises, Inc.(a) |
| | 4,475,000 | | | | 5.000 | | | | 05/01/18 | | | | 4,217,687 | |
| Nevada Power Co. |
| | 2,725,000 | | | | 7.125 | | | | 03/15/19 | | | | 3,402,949 | |
PPL WEM Holdings PLC(a) |
| | 4,150,000 | | | | 5.375 | | | | 05/01/21 | | | | 4,374,349 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 11,994,985 | |
| |
| |
Energy – 2.6% |
Anadarko Petroleum Corp.(b) |
| | 3,800,000 | | | | 6.375 | | | | 09/15/17 | | | | 4,250,964 | |
| BP Capital Markets PLC |
| | 1,925,000 | | | | 3.200 | | | | 03/11/16 | | | | 2,001,929 | |
| | 4,000,000 | | | | 4.500 | (b) | | | 10/01/20 | | | | 4,329,366 | |
26 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS CORE FIXED INCOME FUND
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Corporate Obligations – (continued) |
Energy – (continued) |
| | | | | | | | | | | | | | | |
Dolphin Energy Ltd.(a)(b) |
| $ | 1,546,300 | | | | 5.888 | % | | | 06/15/19 | | | $ | 1,656,860 | |
Gaz Capital SA for Gazprom(d) |
| | 2,690,000 | | | | 9.250 | | | | 04/23/19 | | | | 3,120,400 | |
Nexen, Inc.(b) |
| | 1,090,000 | | | | 6.400 | | | | 05/15/37 | | | | 1,109,120 | |
| | 1,975,000 | | | | 7.500 | | | | 07/30/39 | | | | 2,269,295 | |
Pemex Project Funding Master Trust(b) |
| | 3,470,000 | | | | 6.625 | | | | 06/15/35 | | | | 3,712,900 | |
Petrobras International Finance Co.(b) |
| | 550,000 | | | | 5.750 | | | | 01/20/20 | | | | 564,185 | |
| | 4,720,000 | | | | 5.375 | | | | 01/27/21 | | | | 4,694,825 | |
PTT Exploration and Production Public Co. Ltd.(a) |
| | 2,490,000 | | | | 5.692 | | | | 04/05/21 | | | | 2,516,145 | |
Schlumberger Investment SA(a)(b) |
| | 2,350,000 | | | | 3.300 | | | | 09/14/21 | | | | 2,352,343 | |
TNK-BP Finance SA |
| | 1,570,000 | | | | 7.875 | | | | 03/13/18 | | | | 1,632,800 | |
Transocean, Inc.(b) |
| | 1,000,000 | | | | 4.950 | | | | 11/15/15 | | | | 1,051,255 | |
| | 1,875,000 | | | | 6.000 | | | | 03/15/18 | | | | 1,990,160 | |
| | 2,775,000 | | | | 6.500 | | | | 11/15/20 | | | | 3,017,616 | |
Weatherford International Ltd.(b) |
| | 3,286,000 | | | | 9.625 | | | | 03/01/19 | | | | 4,199,382 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 44,469,545 | |
| |
| |
Entertainment(b) – 0.3% |
| DIRECTV Holdings LLC |
| | 4,250,000 | | | | 3.500 | | | | 03/01/16 | | | | 4,417,598 | |
| |
| |
Financial(a) – 0.2% |
| FUEL Trust |
| | 3,575,000 | | | | 3.984 | | | | 06/15/16 | | | | 3,474,690 | |
| |
| |
Food & Beverage – 0.7% |
Anheuser-Busch InBev Worldwide, Inc.(b) |
| | 5,775,000 | | | | 7.750 | | | | 01/15/19 | | | | 7,501,879 | |
| Kraft Foods, Inc. |
| | 1,975,000 | | | | 6.500 | | | | 02/09/40 | | | | 2,420,855 | |
Wm. Wrigley Jr. Co.(a)(b) |
| | 1,400,000 | | | | 3.700 | | | | 06/30/14 | | | | 1,447,204 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 11,369,938 | |
| |
| |
Health Care – Medical Products(b) – 0.7% |
| Boston Scientific Corp. |
| | 3,375,000 | | | | 4.500 | | | | 01/15/15 | | | | 3,529,176 | |
| DENTSPLY International, Inc. |
| | 1,550,000 | | | | 2.750 | | | | 08/15/16 | | | | 1,549,991 | |
| | 2,250,000 | | | | 4.125 | | | | 08/15/21 | | | | 2,295,000 | |
| Life Technologies Corp. |
| | 1,700,000 | | | | 6.000 | | | | 03/01/20 | | | | 1,904,901 | |
| Thermo Fisher Scientific, Inc. |
| | 3,600,000 | | | | 3.600 | | | | 08/15/21 | | | | 3,718,229 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 12,997,297 | |
| |
| |
Health Care – Services(b) – 0.2% |
| Express Scripts, Inc. |
| | 3,600,000 | | | | 3.125 | | | | 05/15/16 | | | | 3,626,966 | |
| |
| |
Life Insurance(b) – 0.8% |
| Lincoln National Corp. |
| | 3,275,000 | | | | 4.850 | | | | 06/24/21 | | | | 3,109,125 | |
MetLife Capital Trust X(a) |
| | 2,000,000 | | | | 9.250 | | | | 04/08/38 | | | | 2,250,000 | |
| Reinsurance Group of America, Inc. |
| | 975,000 | | | | 5.000 | | | | 06/01/21 | | | | 1,006,714 | |
| | 2,575,000 | | | | 6.750 | (c) | | | 12/15/65 | | | | 2,240,250 | |
The Northwestern Mutual Life Insurance Co.(a) |
| | 4,175,000 | | | | 6.063 | | | | 03/30/40 | | | | 4,916,338 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 13,522,427 | |
| |
| |
Media – Cable – 0.1% |
| Comcast Cable Communications Holdings, Inc. |
| | 1,220,000 | | | | 8.375 | | | | 03/15/13 | | | | 1,343,024 | |
| |
| |
Media – Non Cable(b) – 0.9% |
| NBCUniversal Media LLC |
| | 7,525,000 | | | | 4.375 | | | | 04/01/21 | | | | 7,729,198 | |
| News America, Inc. |
| | 3,800,000 | | | | 6.150 | | | | 02/15/41 | | | | 4,019,572 | |
| WPP Finance UK |
| | 2,975,000 | | | | 8.000 | | | | 09/15/14 | | | | 3,372,514 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 15,121,284 | |
| |
| |
Metals & Mining(b) – 0.4% |
| Freeport-McMoRan Copper & Gold, Inc. |
| | 3,544,000 | | | | 8.375 | | | | 04/01/17 | | | | 3,800,940 | |
| Teck Resources Ltd. |
| | 2,450,000 | | | | 10.750 | | | | 05/15/19 | | | | 3,047,187 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 6,848,127 | |
| |
| |
Noncaptive – Financial – 0.9% |
| General Electric Capital Corp. |
| | 7,475,000 | | | | 5.625 | | | | 05/01/18 | | | | 8,136,088 | |
| International Lease Finance Corp. |
| | 4,000,000 | | | | 5.750 | | | | 05/15/16 | | | | 3,560,000 | |
| SLM Corp. |
| AUD | 1,500,000 | | | | 6.000 | | | | 05/10/12 | | | | 1,441,712 | |
| $ | 3,075,000 | | | | 6.250 | (b) | | | 01/25/16 | | | | 3,016,398 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 16,154,198 | |
| |
| |
Pipelines(b) – 0.9% |
| CenterPoint Energy Resources Corp. Series B |
| | 4,075,000 | | | | 5.950 | | | | 01/15/14 | | | | 4,425,051 | |
| El Paso Pipeline Partners Operating Co. LLC |
| | 1,650,000 | | | | 6.500 | | | | 04/01/20 | | | | 1,806,750 | |
| Energy Transfer Partners LP |
| | 1,750,000 | | | | 5.950 | | | | 02/01/15 | | | | 1,880,753 | |
| Tennessee Gas Pipeline Co. |
| | 1,450,000 | | | | 8.375 | | | | 06/15/32 | | | | 1,906,741 | |
TransCanada PipeLines Ltd.(c) |
| | 3,200,000 | | | | 6.350 | | | | 05/15/67 | | | | 3,176,000 | |
| Valmont Industries, Inc. |
| | 2,225,000 | | | | 6.625 | | | | 04/20/20 | | | | 2,577,833 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 15,773,128 | |
| |
| |
The accompanying notes are an integral part of these financial statements. 27
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Corporate Obligations – (continued) |
| | | | | | | | | | | | | | | |
Property/Casualty Insurance(b) – 0.8% |
| Arch Capital Group Ltd. |
| $ | 1,575,000 | | | | 7.350 | % | | | 05/01/34 | | | $ | 1,804,271 | |
QBE Capital Funding III Ltd.(a)(c) |
| | 2,425,000 | | | | 7.250 | | | | 05/24/41 | | | | 2,191,980 | |
QBE Insurance Group Ltd.(a)(c) |
| | 3,150,000 | | | | 5.647 | | | | 07/01/23 | | | | 2,958,852 | |
The Chubb Corp.(c) |
| | 4,225,000 | | | | 6.375 | | | | 03/29/67 | | | | 4,098,250 | |
| Transatlantic Holdings, Inc. |
| | 2,025,000 | | | | 8.000 | | | | 11/30/39 | | | | 2,371,120 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 13,424,473 | |
| |
| |
Real Estate Investment Trusts – 1.9% |
Brandywine Operating Partnership LP(b) |
| | 3,300,000 | | | | 4.950 | | | | 04/15/18 | | | | 3,183,210 | |
| Developers Diversified Realty Corp. |
| | 1,525,000 | | | | 9.625 | | | | 03/15/16 | | | | 1,727,062 | |
| | 3,500,000 | | | | 7.500 | (b) | | | 04/01/17 | | | | 3,692,500 | |
Duke Realty LP(b) |
| | 3,025,000 | | | | 5.950 | | | | 02/15/17 | | | | 3,205,206 | |
HCP, Inc.(b) |
| | 1,500,000 | | | | 6.300 | | | | 09/15/16 | | | | 1,601,559 | |
| | 2,950,000 | | | | 6.000 | | | | 01/30/17 | | | | 3,107,466 | |
Healthcare Realty Trust, Inc.(b) |
| | 2,400,000 | | | | 6.500 | | | | 01/17/17 | | | | 2,611,020 | |
Kilroy Realty LP(b) |
| | 1,125,000 | | | | 5.000 | | | | 11/03/15 | | | | 1,164,584 | |
| | 2,375,000 | | | | 6.625 | | | | 06/01/20 | | | | 2,577,383 | |
ProLogis(d) |
| | 950,000 | | | | 2.250 | | | | 04/01/37 | | | | 947,625 | |
| | 1,200,000 | | | | 1.875 | (b) | | | 11/15/37 | | | | 1,170,000 | |
Simon Property Group LP(b) |
| | 3,350,000 | | | | 10.350 | | | | 04/01/19 | | | | 4,452,357 | |
WCI Finance LLC(a)(b) |
| | 2,986,000 | | | | 5.400 | | | | 10/01/12 | | | | 3,078,369 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 32,518,341 | |
| |
| |
Retailers – 0.5% |
CVS Caremark Corp.(b)(c) |
| | 6,540,000 | | | | 6.302 | | | | 06/01/37 | | | | 6,327,450 | |
| Macy’s Retail Holdings, Inc. |
| | 2,700,000 | | | | 7.450 | | | | 07/15/17 | | | | 3,190,689 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 9,518,139 | |
| |
| |
Schools(b) – 0.3% |
| Rensselaer Polytechnic Institute |
| | 4,200,000 | | | | 5.600 | | | | 09/01/20 | | | | 4,807,446 | |
| |
| |
Technology – Hardware(b) – 0.4% |
| Hewlett-Packard Co. |
| | 2,775,000 | | | | 3.000 | | | | 09/15/16 | | | | 2,797,955 | |
| Intel Corp. |
| | 3,650,000 | | | | 1.950 | | | | 10/01/16 | | | | 3,676,335 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 6,474,290 | |
| |
| |
Tobacco – 0.1% |
| Altria Group, Inc. |
| | 1,650,000 | | | | 9.700 | | | | 11/10/18 | | | | 2,181,218 | |
| |
| |
Transportation(a) – 0.2% |
| Transnet Ltd. |
| | 4,150,000 | | | | 4.500 | | | | 02/10/16 | | | | 4,253,750 | |
| |
| |
Wirelines Telecommunications(b) – 1.1% |
| AT&T, Inc. |
| | 6,975,000 | | | | 2.950 | | | | 05/15/16 | | | | 7,188,114 | |
| | 1,900,000 | | | | 3.875 | | | | 08/15/21 | | | | 1,951,167 | |
| Qwest Communications International, Inc. |
| | 3,275,000 | | | | 8.000 | | | | 10/01/15 | | | | 3,438,750 | |
| Qwest Corp. |
| | 1,550,000 | | | | 8.375 | | | | 05/01/16 | | | | 1,699,454 | |
| Telecom Italia Capital SA |
| | 1,225,000 | | | | 4.950 | | | | 09/30/14 | | | | 1,176,501 | |
| | 3,625,000 | | | | 7.200 | | | | 07/18/36 | | | | 3,260,664 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 18,714,650 | |
| |
| |
TOTAL CORPORATE OBLIGATIONS |
(Cost $502,586,588) | | $ | 508,246,517 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Mortgage-Backed Obligations – 38.8% |
Adjustable Rate Non-Agency(c) – 1.0% |
Bear Stearns Adjustable Rate Mortgage Trust Series 2003-05, Class 1A1 |
| $ | 49,228 | | | | 2.788 | % | | | 08/25/33 | | | $ | 41,277 | |
Bear Stearns Adjustable Rate Mortgage Trust Series 2006-02, Class 3A2 |
| | 502,397 | | | | 5.718 | | | | 07/25/36 | | | | 324,347 | |
Bear Stearns Alt-A Trust Series 2005-8, Class 11A1 |
| | 1,431,117 | | | | 0.505 | | | | 10/25/35 | | | | 753,697 | |
Countrywide Home Loan Mortgage Pass-Through Trust Series 2003-37, Class 1A1 |
| | 31,410 | | | | 2.866 | | | | 08/25/33 | | | | 22,851 | |
CS First Boston Mortgage Securities Corp. Series 2003-AR9, Class 2A2 |
| | 48,908 | | | | 2.380 | | | | 03/25/33 | | | | 39,019 | |
Downey Savings & Loan Association Mortgage Loan Trust Series 2005-AR6, Class 2A1A |
| | 4,281,867 | | | | 0.520 | | | | 10/19/45 | | | | 2,632,750 | |
Harborview Mortgage Loan Trust Series 2005-16, Class 2A1A |
| | 1,175,118 | | | | 0.470 | | | | 01/19/36 | | | | 651,796 | |
Lehman XS Trust Series 2005-5N, Class 3A1A |
| | 5,145,645 | | | | 0.535 | | | | 11/25/35 | | | | 3,489,081 | |
Lehman XS Trust Series 2005-9N, Class 1A1 |
| | 6,015,727 | | | | 0.505 | | | | 02/25/36 | | | | 3,305,089 | |
Master Adjustable Rate Mortgages Trust Series 2006-OA2, Class 4A1A |
| | 2,645,793 | | | | 1.092 | | | | 12/25/46 | | | | 781,445 | |
Residential Accredit Loans, Inc. Series 2007-QH9, Class A1 |
| | 7,168,015 | | | | 6.468 | | | | 11/25/37 | | | | 3,077,086 | |
28 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS CORE FIXED INCOME FUND
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Mortgage-Backed Obligations – (continued) |
Adjustable Rate Non-Agency(c) – (continued) |
| | | | | | | | | | | | | | | |
Sequoia Mortgage Trust Series 2003-4, Class 1A2 |
| $ | 1,698,733 | | | | 0.750 | % | | | 07/20/33 | | | $ | 1,351,512 | |
Washington Mutual Mortgage Pass-Through Certificates Series 2002-AR19, Class A7 |
| | 101,517 | | | | 2.574 | | | | 02/25/33 | | | | 83,945 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 16,553,895 | |
| |
| |
Collateralized Mortgage Obligations – 2.8% |
Interest Only(c)(e) – 0.0% |
CS First Boston Mortgage Securities Corp. Series 2002-AR31, Class 5X(f) |
| | 264,980 | | | | 0.000 | | | | 11/25/32 | | | | — | |
CS First Boston Mortgage Securities Corp. Series 2003-AR18, Class 2X(f) |
| | 830,330 | | | | 0.000 | | | | 07/25/33 | | | | 1 | |
CS First Boston Mortgage Securities Corp. Series 2003-AR20, Class 2X(f) |
| | 1,111,982 | | | | 0.000 | | | | 08/25/33 | | | | 1 | |
FNMA REMIC Series 2004-47, Class EI(f) |
| | 2,448,980 | | | | 0.000 | | | | 06/25/34 | | | | 10,556 | |
Wells Fargo Mortgage Backed Securities Trust Series 2003-G, Class AI0 |
| | 3,317,835 | | | | 0.755 | | | | 06/25/33 | | | | 23,740 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 34,298 | |
| |
| |
Inverse Floaters(c) – 0.1% |
GNMA Series 2001-48, Class SA |
| | 95,306 | | | | 25.742 | | | | 10/16/31 | | | | 154,211 | |
GNMA Series 2001-51, Class SA |
| | 180,055 | | | | 31.506 | | | | 10/16/31 | | | | 309,118 | |
GNMA Series 2001-51, Class SB |
| | 186,078 | | | | 25.742 | | | | 10/16/31 | | | | 310,269 | |
GNMA Series 2002-13, Class SB |
| | 223,807 | | | | 36.496 | | | | 02/16/32 | | | | 388,979 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 1,162,577 | |
| |
| |
Inverse Floating Rate – Interest Only(c)(e) – 0.0% |
FNMA REMIC Series 2003-46, Class BS |
| | 886,508 | | | | 7.465 | | | | 04/25/17 | | | | 12,397 | |
| |
| |
Planned Amortization Class – 0.0% |
| FHLMC REMIC Series 2639, Class UL |
| | 101,875 | | | | 4.750 | | | | 03/15/22 | | | | 106,914 | |
FNMA REMIC Series 2003-134, Class ME |
| | 144,125 | | | | 4.500 | | | | 06/25/33 | | | | 152,998 | |
FNMA REMIC Series 2004-64, Class BA |
| | 101,413 | | | | 5.000 | | | | 03/25/34 | | | | 107,147 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 367,059 | |
| |
| |
Regular Floater(c) – 1.5% |
Arran Residential Mortgages Funding PLC Series 2011-1A, Class A1B(a) |
| EUR | 3,725,450 | | | | 2.735 | | | | 11/19/47 | | | | 4,981,945 | |
FHLMC REMIC Series 3038, Class XA(f) |
| $ | 37,595 | | | | 0.000 | | | | 09/15/35 | | | | 37,403 | |
FNMA REMIC Series 2004-62, Class DI(e)(f) |
| | 998,014 | | | | 0.000 | | | | 07/25/33 | | | | 2,987 | |
FNMA REMIC Series 2004-71, Class DI(e)(f) |
| | 2,523,669 | | | | 0.000 | | | | 04/25/34 | | | | 7,995 | |
Granite Mortgages PLC Series 2003-3, Class 2A |
| EUR | 1,574,376 | | | | 1.988 | | | | 01/20/44 | | | | 2,009,263 | |
Granite Mortgages PLC Series 2004-2, Class 3A |
| GBP | 249,383 | | | | 1.245 | | | | 06/20/44 | | | | 370,449 | |
Granite Mortgages PLC Series 2004-3, Class 2A1 |
| $ | 465,174 | | | | 0.631 | | | | 09/20/44 | | | | 443,116 | |
Granite Mortgages PLC Series 2004-3, Class 2A2 |
| EUR | 585,219 | | | | 1.815 | | | | 09/20/44 | | | | 746,853 | |
Granite Mortgages PLC Series 2004-3, Class 3A1 |
| GBP | 140,780 | | | | 1.285 | | | | 09/20/44 | | | | 209,121 | |
Permanent Master Issuer PLC Series 2006-1, Class 6A1 |
| | 3,200,000 | | | | 0.947 | | | | 04/15/20 | | | | 4,890,151 | |
Permanent Master Issuer PLC Series 2011-1A, Class 1A3(a) |
| EUR | 9,500,000 | | | | 2.905 | | | | 07/15/42 | | | | 12,679,358 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 26,378,641 | |
| |
| |
Sequential Fixed Rate – 1.2% |
| FHLMC Multifamily Structured Pass-Through Certificates Series K703, Class A2 |
| $ | 7,000,000 | | | | 2.699 | | | | 05/25/18 | | | | 7,140,298 | |
| FHLMC REMIC Series 2664, Class MA |
| | 64,916 | | | | 5.000 | | | | 04/15/30 | | | | 65,583 | |
NCUA Guaranteed Notes Series 2010-C1, Class APT |
| | 7,319,013 | | | | 2.650 | | | | 10/29/20 | | | | 7,572,891 | |
NCUA Guaranteed Notes Series 2010-R1, Class 2A |
| | 1,122,986 | | | | 1.840 | | | | 10/07/20 | | | | 1,127,197 | |
| NCUA Guaranteed Notes Series A4 |
| | 5,000,000 | | | | 3.000 | | | | 06/12/19 | | | | 5,135,399 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 21,041,368 | |
| |
| |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | | $ | 48,996,340 | |
| |
| |
Commercial Mortgage-Backed Securities – 2.8% |
Sequential Fixed Rate – 2.2% |
CWCapital Cobalt Ltd. Series 2006-C1, Class A4 |
| $ | 10,500,000 | | | | 5.223 | % | | | 08/15/48 | | | $ | 10,853,175 | |
GMAC Commercial Mortgage Securities, Inc. Series 2002-C1, Class A2 |
| | 346,907 | | | | 6.278 | | | | 11/15/39 | | | | 346,344 | |
Greenwich Capital Commercial Funding Corp. Series 2007-GG9, Class A4 |
| | 4,700,000 | | | | 5.444 | | | | 03/10/39 | | | | 4,960,630 | |
LB-UBS Commercial Mortgage Trust Series 2005-C5, Class A4 |
| | 9,000,000 | | | | 4.954 | | | | 09/15/30 | | | | 9,747,205 | |
LB-UBS Commercial Mortgage Trust Series 2006-C1, Class A4 |
| | 6,000,000 | | | | 5.156 | | | | 02/15/31 | | | | 6,504,976 | |
LB-UBS Commercial Mortgage Trust Series 2007-C1, Class A4 |
| | 4,690,000 | | | | 5.424 | | | | 02/15/40 | | | | 4,937,703 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 37,350,033 | |
| |
| |
The accompanying notes are an integral part of these financial statements. 29
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Mortgage-Backed Obligations – (continued) |
| | | | | | | | | | | | | | | |
Sequential Floating Rate(c) – 0.6% |
LB-UBS Commercial Mortgage Trust Series 2005-C7, Class A4 |
| $ | 10,175,000 | | | | 5.197 | % | | | 11/15/30 | | | $ | 11,038,648 | |
| |
| |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | | $ | 48,388,681 | |
| |
| |
Federal Agencies – 32.2% |
Adjustable Rate FNMA(c) – 1.0% |
| $ | 20,139 | | | | 2.452 | % | | | 06/01/33 | | | $ | 21,184 | |
| | 2,720,449 | | | | 2.470 | | | | 07/01/34 | | | | 2,881,135 | |
| | 7,036,232 | | | | 2.382 | | | | 09/01/34 | | | | 7,353,791 | |
| | 5,110,402 | | | | 2.538 | | | | 05/01/35 | | | | 5,379,976 | |
| | 1,769,116 | | | | 2.069 | | | | 06/01/35 | | | | 1,841,021 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 17,477,107 | |
| |
| |
FHLMC – 7.5% |
| | 279,661 | | | | 6.500 | | | | 12/01/13 | | | | 287,109 | |
| | 4,497 | | | | 5.500 | | | | 06/01/14 | | | | 4,865 | |
| | 804 | | | | 7.000 | | | | 10/01/14 | | | | 858 | |
| | 124,400 | | | | 6.000 | | | | 12/01/14 | | | | 128,115 | |
| | 6,628 | | | | 7.000 | | | | 05/01/15 | | | | 7,065 | |
| | 24,015 | | | | 8.000 | | | | 07/01/15 | | | | 26,221 | |
| | 8,438 | | | | 7.000 | | | | 02/01/16 | | | | 9,183 | |
| | 13,516 | | | | 7.000 | | | | 03/01/16 | | | | 14,588 | |
| | 264,977 | | | | 7.500 | | | | 05/01/16 | | | | 290,610 | |
| | 1,095 | | | | 5.000 | | | | 11/01/16 | | | | 1,176 | |
| | 1,341 | | | | 5.000 | | | | 12/01/16 | | | | 1,441 | |
| | 4,229 | | | | 5.000 | | | | 01/01/17 | | | | 4,539 | |
| | 23,886 | | | | 5.000 | | | | 02/01/17 | | | | 25,635 | |
| | 13,696 | | | | 5.000 | | | | 03/01/17 | | | | 14,699 | |
| | 1,903 | | | | 5.000 | | | | 04/01/17 | | | | 2,043 | |
| | 116,836 | | | | 5.000 | | | | 09/01/17 | | | | 125,397 | |
| | 299,352 | | | | 5.000 | | | | 10/01/17 | | | | 321,281 | |
| | 922 | | | | 7.000 | | | | 10/01/17 | | | | 1,056 | |
| | 173,916 | | | | 5.000 | | | | 11/01/17 | | | | 186,655 | |
| | 71,529 | | | | 5.000 | | | | 12/01/17 | | | | 76,769 | |
| | 107,136 | | | | 5.000 | | | | 01/01/18 | | | | 114,976 | |
| | 282,894 | | | | 5.000 | | | | 02/01/18 | | | | 303,179 | |
| | 199,034 | | | | 5.000 | | | | 03/01/18 | | | | 213,361 | |
| | 121,827 | | | | 5.000 | | | | 04/01/18 | | | | 130,709 | |
| | 76,129 | | | | 5.000 | | | | 05/01/18 | | | | 81,645 | |
| | 57,399 | | | | 5.000 | | | | 06/01/18 | | | | 61,596 | |
| | 117,351 | | | | 5.000 | | | | 07/01/18 | | | | 126,040 | |
| | 40,211 | | | | 5.000 | | | | 08/01/18 | | | | 43,177 | |
| | 184,264 | | | | 4.500 | | | | 09/01/18 | | | | 196,488 | |
| | 18,767 | | | | 5.000 | | | | 10/01/18 | | | | 20,197 | |
| | 31,052 | | | | 5.000 | | | | 11/01/18 | | | | 33,418 | |
| | 275,841 | | | | 5.000 | | | | 06/01/19 | | | | 297,327 | |
| | 1,391,966 | | | | 4.500 | | | | 10/01/23 | | | | 1,502,510 | |
| | 156,955 | | | | 5.500 | | | | 10/01/25 | | | | 170,492 | |
| | 97,534 | | | | 5.500 | | | | 11/01/25 | | | | 105,946 | |
| | 30,363 | | | | 7.000 | | | | 06/01/26 | | | | 34,794 | |
| | 54,620 | | | | 7.500 | | | | 03/01/27 | | | | 63,403 | |
| | 46,584 | | | | 7.500 | | | | 12/01/30 | | | | 52,482 | |
| | 34,308 | | | | 7.500 | | | | 01/01/31 | | | | 38,652 | |
| | 242,996 | | | | 6.500 | | | | 10/01/33 | | | | 270,741 | |
| | 697,341 | | | | 5.000 | | | | 12/01/35 | | | | 749,724 | |
| | 1,662 | | | | 5.500 | | | | 02/01/36 | | | | 1,806 | |
| | 25,684 | | | | 6.000 | | | | 04/01/37 | | | | 28,475 | |
| | 7,062 | | | | 6.000 | | | | 07/01/37 | | | | 7,830 | |
| | 325,990 | | | | 6.000 | | | | 09/01/37 | | | | 361,516 | |
| | 908,638 | | | | 5.500 | | | | 02/01/38 | | | | 984,483 | |
| | 209,341 | | | | 6.000 | | | | 07/01/38 | | | | 232,614 | |
| | 77,202 | | | | 6.500 | | | | 09/01/38 | | | | 86,490 | |
| | 2,232,616 | | | | 5.500 | | | | 10/01/38 | | | | 2,417,333 | |
| | 18,062 | | | | 6.000 | | | | 10/01/38 | | | | 20,071 | |
| | 6,024,016 | | | | 6.000 | | | | 11/01/38 | | | | 6,688,070 | |
| | 2,802,128 | | | | 5.500 | | | | 12/01/38 | | | | 3,033,964 | |
| | 322,175 | | | | 6.000 | | | | 12/01/38 | | | | 357,992 | |
| | 166,679 | | | | 6.000 | | | | 01/01/39 | | | | 185,416 | |
| | 576,896 | | | | 5.500 | | | | 02/01/39 | | | | 624,626 | |
| | 1,000,327 | | | | 5.000 | | | | 06/01/39 | | | | 1,075,678 | |
| | 6,568,569 | | | | 4.500 | | | | 09/01/39 | | | | 7,053,686 | |
| | 345,405 | | | | 4.500 | | | | 10/01/39 | | | | 371,125 | |
| | 5,909,157 | | | | 5.500 | | | | 01/01/40 | | | | 6,398,055 | |
| | 66,374 | | | | 4.000 | | | | 08/01/40 | | | | 69,511 | |
| | 182,000 | | | | 4.000 | | | | 09/01/40 | | | | 190,600 | |
| | 41,749 | | | | 4.000 | | | | 10/01/40 | | | | 43,722 | |
| | 263,537 | | | | 4.000 | | | | 11/01/40 | | | | 275,991 | |
| | 3,930,146 | | | | 4.000 | | | | 12/01/40 | | | | 4,115,862 | |
| | 10,850,000 | | | | 3.550 | | | | 11/01/41 | | | | 11,155,743 | |
| | 74,000,000 | | | | 4.000 | | | | TBA-30yr | (g) | | | 77,214,375 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 129,135,196 | |
| |
| |
FNMA – 22.5% |
| | 1,128,940 | | | | 7.040 | | | | 08/01/15 | | | | 1,250,999 | |
| | 113,011 | | | | 8.500 | | | | 10/01/15 | | | | 117,969 | |
| | 4,631 | | | | 7.000 | | | | 01/01/16 | | | | 5,000 | |
| | 4,952,932 | | | | 2.800 | | | | 03/01/18 | | | | 5,145,740 | |
| | 2,987,463 | | | | 3.740 | | | | 05/01/18 | | | | 3,214,185 | |
| | 3,480,000 | | | | 3.840 | | | | 05/01/18 | | | | 3,740,054 | |
| | 1,277,499 | | | | 4.500 | | | | 05/01/18 | | | | 1,359,988 | |
| | 3,039,366 | | | | 4.500 | | | | 06/01/18 | | | | 3,237,463 | |
| | 153,970 | | | | 5.000 | | | | 06/01/18 | | | | 165,416 | |
| | 1,558,301 | | | | 4.500 | | | | 07/01/18 | | | | 1,660,583 | |
| | 1,448,471 | | | | 4.500 | | | | 08/01/18 | | | | 1,542,790 | |
| | 28,971 | | | | 6.000 | | | | 08/01/18 | | | | 31,798 | |
| | 1,801 | | | | 6.500 | | | | 10/01/18 | | | | 1,986 | |
| | 9,000,000 | | | | 4.506 | | | | 06/01/19 | | | | 9,978,487 | |
| | 2,283,035 | | | | 3.416 | | | | 10/01/20 | | | | 2,380,577 | |
| | 5,000,000 | | | | 3.540 | | | | 10/01/20 | | | | 5,254,955 | |
| | 3,175,733 | | | | 3.375 | | | | 11/01/20 | | | | 3,302,675 | |
| | 1,687,862 | | | | 3.632 | | | | 12/01/20 | | | | 1,781,761 | |
| | 10,217,913 | | | | 3.763 | | | | 12/01/20 | | | | 10,875,724 | |
| | 500,000 | | | | 3.840 | | | | 07/01/21 | | | | 532,934 | |
| | 695,742 | | | | 5.500 | | | | 09/01/23 | | | | 757,009 | |
| | 164,262 | | | | 5.500 | | | | 10/01/23 | | | | 178,955 | |
| | 2,032,685 | | | | 5.000 | | | | 02/01/24 | | | | 2,188,387 | |
| | 310,589 | | | | 7.000 | | | | 08/01/27 | | | | 353,231 | |
| | 9,543 | | | | 6.500 | | | | 09/01/27 | | | | 10,530 | |
| | 875,243 | | | | 7.000 | | | | 03/01/28 | | | | 995,141 | |
| | 11,712 | | | | 6.500 | | | | 05/01/28 | | | | 12,922 | |
| | 2,755 | | | | 5.500 | | | | 01/01/29 | | | | 3,019 | |
30 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS CORE FIXED INCOME FUND
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Mortgage-Backed Obligations – (continued) |
FNMA – (continued) |
| | | | | | | | | | | | | | | |
| $ | 202 | | | | 5.500 | % | | | 04/01/29 | | | $ | 221 | |
| | 5,045 | | | | 7.500 | | | | 12/01/30 | | | | 5,719 | |
| | 3,333 | | | | 8.000 | | | | 01/01/31 | | | | 3,360 | |
| | 20,676 | | | | 8.000 | | | | 02/01/31 | | | | 23,480 | |
| | 244,653 | | | | 7.000 | | | | 03/01/31 | | | | 277,203 | |
| | 18,996 | | | | 5.500 | | | | 02/01/33 | | | | 20,718 | |
| | 400,205 | | | | 5.500 | | | | 03/01/33 | | | | 436,457 | |
| | 47,037 | | | | 5.500 | | | | 05/01/33 | | | | 51,298 | |
| | 54,086 | | | | 5.000 | | | | 07/01/33 | | | | 58,294 | |
| | 11,480 | | | | 5.500 | | | | 07/01/33 | | | | 12,520 | |
| | 310,296 | | | | 5.000 | | | | 08/01/33 | | | | 334,682 | |
| | 121,193 | | | | 5.500 | | | | 08/01/33 | | | | 132,172 | |
| | 39,926 | | | | 5.000 | | | | 09/01/33 | | | | 43,016 | |
| | 222,708 | | | | 5.500 | | | | 09/01/33 | | | | 242,881 | |
| | 8,494 | | | | 6.500 | | | | 09/01/33 | | | | 9,426 | |
| | 3,942 | | | | 5.500 | | | | 10/01/33 | | | | 4,299 | |
| | 29,674 | | | | 5.000 | | | | 11/01/33 | | | | 31,955 | |
| | 53,369 | | | | 5.500 | | | | 11/01/33 | | | | 58,195 | |
| | 19,141 | | | | 5.000 | | | | 12/01/33 | | | | 20,613 | |
| | 13,290 | | | | 5.500 | | | | 12/01/33 | | | | 14,492 | |
| | 18,343 | | | | 5.000 | | | | 01/01/34 | | | | 19,755 | |
| | 21,539 | | | | 5.500 | | | | 01/01/34 | | | | 23,489 | |
| | 47,197 | | | | 5.500 | | | | 02/01/34 | | | | 51,465 | |
| | 12,272 | | | | 5.000 | | | | 03/01/34 | | | | 13,216 | |
| | 5,154 | | | | 5.500 | | | | 03/01/34 | | | | 5,619 | |
| | 7,595 | | | | 5.500 | | | | 04/01/34 | | | | 8,280 | |
| | 956,672 | | | | 5.500 | | | | 05/01/34 | | | | 1,043,326 | |
| | 36,650 | | | | 5.500 | | | | 07/01/34 | | | | 39,964 | |
| | 11,522 | | | | 5.500 | | | | 08/01/34 | | | | 12,564 | |
| | 656 | | | | 5.500 | | | | 10/01/34 | | | | 716 | |
| | 448,072 | | | | 5.500 | | | | 12/01/34 | | | | 488,451 | |
| | 1,065 | | | | 6.000 | | | | 12/01/34 | | | | 1,177 | |
| | 542,475 | | | | 5.000 | | | | 04/01/35 | | | | 584,941 | |
| | 32,238 | | | | 5.500 | | | | 04/01/35 | | | | 35,138 | |
| | 30,917 | | | | 5.500 | | | | 07/01/35 | | | | 33,689 | |
| | 1,247 | | | | 5.500 | | | | 08/01/35 | | | | 1,359 | |
| | 62,814 | | | | 5.500 | | | | 09/01/35 | | | | 68,445 | |
| | 48,954 | | | | 5.500 | | | | 11/01/35 | | | | 53,342 | |
| | 5,756 | | | | 5.500 | | | | 12/01/35 | | | | 6,274 | |
| | 8,265 | | | | 5.500 | | | | 01/01/36 | | | | 9,003 | |
| | 53,493 | | | | 5.500 | | | | 02/01/36 | | | | 58,271 | |
| | 2,509,965 | | | | 5.500 | | | | 03/01/36 | | | | 2,734,680 | |
| | 112,418 | | | | 6.000 | | | | 03/01/36 | | | | 123,862 | |
| | 29,189 | | | | 5.500 | | | | 04/01/36 | | | | 31,797 | |
| | 26,212 | | | | 6.000 | | | | 04/01/36 | | | | 28,880 | |
| | 655,372 | | | | 6.000 | | | | 11/01/36 | | | | 720,263 | |
| | 1,010,935 | | | | 6.000 | | | | 12/01/36 | | | | 1,111,032 | |
| | 555,094 | | | | 6.000 | | | | 01/01/37 | | | | 610,098 | |
| | 6,472 | | | | 5.500 | | | | 02/01/37 | | | | 7,067 | |
| | 11,977 | | | | 5.500 | | | | 04/01/37 | | | | 13,076 | |
| | 11,074 | | | | 5.500 | | | | 05/01/37 | | | | 12,091 | |
| | 5,347 | | | | 5.500 | | | | 06/01/37 | | | | 5,838 | |
| | 550 | | | | 5.500 | | | | 08/01/37 | | | | 600 | |
| | 1,926 | | | | 5.500 | | | | 12/01/37 | | | | 2,105 | |
| | 38,475 | | | | 6.000 | | | | 12/01/37 | | | | 42,740 | |
| | 168,003 | | | | 5.000 | | | | 02/01/38 | | | | 179,183 | |
| | 5,180 | | | | 5.500 | | | | 02/01/38 | | | | 5,662 | |
| | 15,359 | | | | 5.500 | | | | 03/01/38 | | | | 16,786 | |
| | 5,759 | | | | 5.500 | | | | 05/01/38 | | | | 6,299 | |
| | 212,619 | | | | 6.000 | | | | 05/01/38 | | | | 233,702 | |
| | 17,683 | | | | 5.500 | | | | 06/01/38 | | | | 19,340 | |
| | 16,537 | | | | 6.000 | | | | 06/01/38 | | | | 18,411 | |
| | 19,461 | | | | 5.500 | | | | 07/01/38 | | | | 21,285 | |
| | 40,582 | | | | 6.000 | | | | 07/01/38 | | | | 45,182 | |
| | 16,612 | | | | 6.000 | | | | 08/01/38 | | | | 18,495 | |
| | 3,860,981 | | | | 6.000 | | | | 11/01/38 | | | | 4,238,646 | |
| | 279 | | | | 5.500 | | | | 12/01/38 | | | | 308 | |
| | 177,976 | | | | 4.500 | | | | 04/01/39 | | | | 190,914 | |
| | 38,420 | | | | 4.500 | | | | 05/01/39 | | | | 41,213 | |
| | 117,658 | | | | 4.500 | | | | 07/01/39 | | | | 126,538 | |
| | 514,511 | | | | 4.500 | | | | 08/01/39 | | | | 552,827 | |
| | 864,742 | | | | 5.500 | | | | 08/01/39 | | | | 942,093 | |
| | 1,429,153 | | | | 4.500 | | | | 09/01/39 | | | | 1,539,298 | |
| | 1,306,805 | | | | 4.500 | | | | 10/01/39 | | | | 1,406,986 | |
| | 177,330 | | | | 4.500 | | | | 11/01/39 | | | | 190,443 | |
| | 3,245,374 | | | | 4.500 | | | | 12/01/39 | | | | 3,487,418 | |
| | 68,206 | | | | 4.000 | | | | 02/01/40 | | | | 71,517 | |
| | 903,187 | | | | 4.000 | | | | 02/01/40 | | | | 947,198 | |
| | 134,531 | | | | 4.000 | | | | 07/01/40 | | | | 141,062 | |
| | 2,779,227 | | | | 3.500 | | | | 09/01/40 | | | | 2,856,968 | |
| | 29,157,032 | | | | 3.500 | | | | 02/01/41 | | | | 29,972,610 | |
| | 41,216,693 | | | | 4.000 | | | | 04/01/41 | | | | 43,321,193 | |
| | 10,282,563 | | | | 4.500 | | | | 04/01/41 | | | | 10,914,378 | |
| | 967,873 | | | | 5.000 | | | | 04/01/41 | | | | 1,047,180 | |
| | 179,000,000 | | | | 3.000 | | | | TBA-15yr | (g) | | | 183,780,239 | |
| | 29,000,000 | | | | 4.000 | | | | TBA-30yr | (g) | | | 30,374,570 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 386,571,836 | |
| |
| |
GNMA – 1.2% |
| | 1,807,411 | | | | 3.950 | | | | 07/15/25 | | | | 1,972,550 | |
| | 44,691 | | | | 6.000 | | | | 11/15/38 | | | | 50,029 | |
| | 1,918,234 | | | | 4.500 | | | | 06/15/39 | | | | 2,097,618 | |
| | 876,741 | | | | 4.500 | | | | 07/15/39 | | | | 958,730 | |
| | 80,875 | | | | 5.000 | | | | 07/15/39 | | | | 89,364 | |
| | 3,145,936 | | | | 5.000 | | | | 08/15/39 | | | | 3,466,305 | |
| | 181,133 | | | | 4.500 | | | | 10/15/39 | | | | 198,185 | |
| | 25,086 | | | | 3.500 | | | | 11/15/40 | | | | 26,234 | |
| | 10,000,000 | | | | 4.000 | | | | TBA-30yr | (g) | | | 10,693,750 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 19,552,765 | |
| |
| |
TOTAL FEDERAL AGENCIES | | $ | 552,736,904 | |
| |
| |
TOTAL MORTGAGE-BACKED OBLIGATIONS |
(Cost $661,597,365) | | $ | 666,675,820 | |
| |
| |
The accompanying notes are an integral part of these financial statements. 31
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Agency Debentures – 0.9% |
| FHLB |
| $ | 8,400,000 | | | | 5.375 | % | | | 05/15/19 | | | $ | 10,294,697 | |
| | 2,400,000 | | | | 5.000 | | | | 09/28/29 | | | | 2,856,223 | |
| Small Business Administration |
| | 179,022 | | | | 6.300 | | | | 06/01/18 | | | | 194,806 | |
| Tennessee Valley Authority |
| | 1,400,000 | | | | 4.625 | | | | 09/15/60 | | | | 1,686,071 | |
| |
| |
TOTAL AGENCY DEBENTURES |
(Cost $13,694,011) | | $ | 15,031,797 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Asset-Backed Securities – 4.0% |
Home Equity – 1.0% |
CIT Mortgage Loan Trust Series 2007-1, Class 2A2(a)(c) |
| $ | 3,400,000 | | | | 1.485 | % | | | 10/25/37 | | | $ | 2,533,876 | |
CIT Mortgage Loan Trust Series 2007-1, Class 2A3(a)(c) |
| | 6,500,000 | | | | 1.685 | | | | 10/25/37 | | | | 2,685,648 | |
Countrywide Home Equity Loan Trust Series 2002-E, Class A(c) |
| | 395,562 | | | | 0.489 | | | | 10/15/28 | | | | 378,566 | |
Countrywide Home Equity Loan Trust Series 2004-G, Class 2A(c) |
| | 383,795 | | | | 0.449 | | | | 12/15/29 | | | | 293,039 | |
Countrywide Home Equity Loan Trust Series 2006-HW, Class 2A1B(c) |
| | 9,564,669 | | | | 0.357 | | | | 11/15/36 | | | | 7,520,579 | |
GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 1A1 |
| | 1,260,425 | | | | 7.000 | | | | 09/25/37 | | | | 953,393 | |
GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 2A1 |
| | 1,901,419 | | | | 7.000 | | | | 09/25/37 | | | | 1,377,002 | |
Impac CMB Trust Series 2004-08, Class 1A(c) |
| | 570,933 | | | | 0.955 | | | | 10/25/34 | | | | 344,860 | |
Impac CMB Trust Series 2004-10, Class 2A(c) |
| | 713,852 | | | | 0.875 | | | | 03/25/35 | | | | 456,016 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 16,542,979 | |
| |
| |
Manufactured Housing – 0.0% |
| Mid-State Trust Series 4, Class A |
| | 832,980 | | | | 8.330 | | | | 04/01/30 | | | | 838,669 | |
| |
| |
Student Loan(c) – 3.0% |
| Brazos Higher Education Authority, Inc Series 2004 I-A-2 |
| | 10,974,748 | | | | 0.518 | | | | 06/27/22 | | | | 10,857,666 | |
Brazos Higher Education Authority, Inc. Series 2005-3, Class A14 |
| | 1,079,370 | | | | 0.468 | | | | 09/25/23 | | | | 1,064,778 | |
Brazos Higher Education Authority, Inc. Series 2011-1, Class A2 |
| | 10,000,000 | | | | 1.112 | | | | 02/25/30 | | | | 9,765,528 | |
Brazos Higher Education Authority, Inc. Series 2011-2, Class A2 |
| | 9,000,000 | | | | 1.097 | | | | 07/25/29 | | | | 8,834,173 | |
| Brazos Higher Education Authority, Inc. Student Loan Revenue Series 2005 I-A-2 |
| | 6,385,500 | | | | 0.438 | | | | 12/26/18 | | | | 6,336,906 | |
Education Funding Capital Trust I Series 2004-1, Class A2 |
| | 2,223,958 | | | | 0.507 | | | | 12/15/22 | | | | 2,195,478 | |
GCO Education Loan Funding Trust Series 2006-1, Class A10L |
| | 600,000 | | | | 0.502 | | | | 02/27/28 | | | | 509,876 | |
GCO Education Loan Funding Trust Series 2006-1, Class A11L |
| | 1,500,000 | | | | 0.542 | | | | 05/25/36 | | | | 1,226,133 | |
Knowledgeworks Foundation Student Loan Series 2010-1, Class A |
| | 2,223,846 | | | | 1.262 | | | | 02/25/42 | | | | 2,193,294 | |
Nelnet Student Loan Trust Series 2010-3A, Class A(a) |
| | 2,768,185 | | | | 1.033 | | | | 07/27/48 | | | | 2,751,588 | |
Northstar Education Finance, Inc. Series 2005-1, Class A1 |
| | 612,325 | | | | 0.353 | | | | 10/28/26 | | | | 605,795 | |
| South Carolina Student Loan Corp. Series 2005, Class A2 |
| | 5,000,000 | | | | 0.446 | | | | 12/01/20 | | | | 4,716,913 | |
US Education Loan Trust LLC Series 2006-1, Class A2(a) |
| | 978,008 | | | | 0.456 | | | | 03/01/25 | | | | 961,506 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 52,019,634 | |
| |
| |
TOTAL ASSET-BACKED SECURITIES |
(Cost $77,609,902) | | $ | 69,401,282 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Foreign Debt Obligations – 2.2% |
Sovereign – 1.9% |
| Federal Republic of Brazil |
| $ | 1,710,000 | | | | 8.250 | % | | | 01/20/34 | | | $ | 2,402,550 | |
| | 1,460,000 | | | | 7.125 | | | | 01/20/37 | | | | 1,861,500 | |
| Republic of Chile |
| | 9,450,000 | | | | 3.875 | | | | 08/05/20 | | | | 9,856,578 | |
| Republic of Colombia |
| | 7,390,000 | | | | 4.375 | | | | 07/12/21 | | | | 7,500,776 | |
| Russian Federation |
| | 100,000 | | | | 5.000 | | | | 04/29/20 | | | | 98,250 | |
| | 1,569,800 | | | | 7.500 | (h) | | | 03/31/30 | | | | 1,764,455 | |
| State of Qatar |
| | 2,000,000 | | | | 5.150 | | | | 04/09/14 | | | | 2,163,000 | |
| | 5,410,000 | | | | 5.250 | (a) | | | 01/20/20 | | | | 5,951,000 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 31,598,109 | |
| |
| |
Supranational – 0.3% |
| North American Development Bank |
| | 5,100,000 | | | | 4.375 | | | | 02/11/20 | | | | 5,663,243 | |
| |
| |
TOTAL FOREIGN DEBT OBLIGATIONS |
(Cost $35,039,475) | | $ | 37,261,352 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Municipal Debt Obligations – 0.9% |
California – 0.6% |
| California State GO Bonds Build America Taxable Series 2009 |
| $ | 2,225,000 | | | | 7.500 | % | | | 04/01/34 | | | $ | 2,678,722 | |
| | 3,925,000 | | | | 7.550 | | | | 04/01/39 | | | | 4,809,145 | |
| California State GO Bonds Build America Taxable Series 2010 |
| | 1,645,000 | | | | 7.950 | | | | 03/01/36 | | | | 1,866,516 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 9,354,383 | |
| |
| |
Illinois – 0.2% |
| Illinois State GO Bonds Build America Series 2010 |
| | 2,850,000 | | | | 7.350 | | | | 07/01/35 | | | | 3,207,134 | |
| |
| |
32 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS CORE FIXED INCOME FUND
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Municipal Debt Obligations – (continued) |
| | | | | | | | | | | | | | | |
Ohio – 0.1% |
| American Municipal Power-Ohio, Inc. RB Build America Taxable Series 2010 |
| $ | 1,700,000 | | | | 6.270 | % | | | 02/15/50 | | | $ | 1,916,648 | |
| |
| |
TOTAL MUNICIPAL DEBT OBLIGATIONS |
(Cost $12,589,636) | | $ | 14,478,165 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Government Guarantee Obligations – 12.7% |
Achmea Hypotheekbank NV(a)(i) |
| $ | 7,100,000 | | | | 3.200 | % | | | 11/03/14 | | | $ | 7,506,099 | |
ANZ National (International) Ltd.(a)(i) |
| | 12,500,000 | | | | 3.250 | | | | 04/02/12 | | | | 12,634,787 | |
BRFkredit AS(a)(i) |
| | 17,100,000 | | | | 2.050 | | | | 04/15/13 | | | | 17,449,131 | |
Citibank NA(c)(j) |
| | 3,300,000 | | | | 0.299 | | | | 05/07/12 | | | | 3,302,607 | |
| | 2,100,000 | | | | 0.301 | | | | 06/04/12 | | | | 2,101,913 | |
Citigroup Funding, Inc.(j) |
| | 36,700,000 | | | | 1.875 | | | | 10/22/12 | | | | 37,278,319 | |
| | 12,200,000 | | | | 1.875 | | | | 11/15/12 | | | | 12,402,010 | |
Commonwealth Bank of Australia(a)(i) |
| | 5,700,000 | | | | 2.500 | | | | 12/10/12 | | | | 5,824,613 | |
Danske Bank AS(a)(i) |
| | 3,500,000 | | | | 2.500 | | | | 05/10/12 | | | | 3,541,923 | |
FIH Erhvervsbank AS(a)(b)(i) |
| | 9,200,000 | | | | 2.000 | | | | 06/12/13 | | | | 9,408,776 | |
General Electric Capital Corp.(j) |
| | 7,700,000 | | | | 2.000 | | | | 09/28/12 | | | | 7,832,348 | |
| | 13,700,000 | | | | 2.625 | | | | 12/28/12 | | | | 14,076,459 | |
Israel Government AID Bond(j) |
| | 4,000,000 | | | | 5.500 | | | | 09/18/33 | | | | 5,254,106 | |
Kreditanstalt fuer Wiederaufbau MTN(i) |
| | 8,700,000 | | | | 2.500 | | | | 05/28/13 | | | | 8,984,812 | |
Landwirtschaftliche Rentenbank(i) |
| | 4,500,000 | | | | 2.125 | | | | 07/15/16 | | | | 4,658,127 | |
LeasePlan Corp. NV(a)(i) |
| | 9,000,000 | | | | 3.000 | | | | 05/07/12 | | | | 9,123,705 | |
Royal Bank of Scotland PLC(a)(i) |
| | 15,700,000 | | | | 1.500 | | | | 03/30/12 | | | | 15,781,342 | |
Swedbank AB(i) |
| | 1,100,000 | | | | 3.000 | (a) | | | 12/22/11 | | | | 1,106,113 | |
| | 14,000,000 | | | | 3.000 | | | | 12/22/11 | | | | 14,077,798 | |
| | 8,400,000 | | | | 2.800 | (a) | | | 02/10/12 | | | | 8,468,855 | |
| | 3,100,000 | | | | 2.900 | (a) | | | 01/14/13 | | | | 3,195,350 | |
Swedish Housing Finance Corp.(a)(i) |
| | 2,500,000 | | | | 3.125 | | | | 03/23/12 | | | | 2,530,315 | |
Westpac Banking Corp.(a)(i) |
| | 9,800,000 | | | | 1.900 | | | | 12/14/12 | | | | 9,961,533 | |
Westpac Securities NZ Ltd.(a)(i) |
| | 1,500,000 | | | | 2.500 | | | | 05/25/12 | | | | 1,517,329 | |
| |
| |
TOTAL GOVERNMENT GUARANTEE OBLIGATIONS |
(Cost $214,090,765) | | $ | 218,018,370 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
U.S. Treasury Obligations – 12.5% |
| United States Treasury Bonds |
| $ | 1,100,000 | | | | 6.125 | % | | | 11/15/27 | | | $ | 1,620,608 | |
| | 1,100,000 | | | | 5.375 | | | | 02/15/31 | | | | 1,548,085 | |
| | 12,500,000 | | | | 4.500 | | | | 05/15/38 | | | | 16,279,751 | |
| | 200,000 | | | | 4.250 | | | | 05/15/39 | | | | 251,656 | |
| | 8,500,000 | | | | 4.375 | (k) | | | 11/15/39 | | | | 10,927,090 | |
| | 15,700,000 | | | | 4.375 | (k) | | | 05/15/40 | | | | 20,216,577 | |
| | 23,300,000 | | | | 4.250 | | | | 11/15/40 | | | | 29,472,402 | |
| | 8,500,000 | | | | 4.375 | | | | 05/15/41 | | | | 10,983,614 | |
| United States Treasury Inflation Protected Securities |
| | 3,408,024 | | | | 0.625 | | | | 07/15/21 | | | | 3,560,840 | |
| United States Treasury Notes |
| | 71,200,000 | | | | 0.375 | | | | 07/31/13 | | | | 71,354,511 | |
| | 36,400,000 | | | | 0.625 | | | | 07/15/14 | | | | 36,618,036 | |
| | 11,000,000 | | | | 1.500 | | | | 07/31/16 | | | | 11,295,350 | |
| |
| |
TOTAL U.S. TREASURY OBLIGATIONS |
(Cost $196,889,069) | | $ | 214,128,520 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | |
| Shares | | Rate | | Value |
| |
Preferred Stock(b)(c) – 0.1% |
| JPMorgan Chase & Co. |
| | 1,200,000 | | | | 7.900 | % | | $ | 1,236,012 | |
(Cost $1,200,000) | | | | |
| |
| |
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT |
(Cost $1,715,296,811) | | $ | 1,744,477,835 | |
| |
| |
| | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Short-term Investment(l) – 17.8% |
Repurchase Agreement – 17.8% |
| Joint Repurchase Agreement Account II |
| $ | 306,300,000 | | | | 0.095 | % | | | 10/03/11 | | | $ | 306,300,000 | |
(Cost $306,300,000) | | | | |
| |
| |
TOTAL INVESTMENTS – 119.5% |
(Cost $2,021,596,811) | | $ | 2,050,777,835 | |
| |
| |
LIABILITIES IN EXCESS OF OTHER ASSETS – (19.5)% | | | (334,130,099 | ) |
| |
| |
NET ASSETS – 100.0% | | $ | 1,716,647,736 | |
| |
| |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
The accompanying notes are an integral part of these financial statements. 33
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| | |
| (a) | | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $356,691,262, which represents approximately 20.8% of net assets as of September 30, 2011. |
| |
| (b) | | Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
| |
| (c) | | Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. |
| |
| (d) | | Security with “Put” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
| |
| (e) | | Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. |
| |
| (f) | | Issued with zero coupon and interest rate is contingent upon LIBOR reaching a predetermined level. |
| |
| (g) | | TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $302,062,934, which represents approximately 17.6% of net assets as of September 30, 2011. |
| |
| (h) | | Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at September 30, 2011. |
| |
| (i) | | Guaranteed by a foreign government until maturity. Total market value of these securities amounts to $135,770,608, which represents approximately 7.9% of net assets as of September 30, 2011. |
| |
| (j) | | Guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program and is backed by the full faith and credit of the United States. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012. Total market value of these securities amounts to $82,247,762, which represents approximately 4.8% of net assets as of September 30, 2011. |
| |
| (k) | | All or a portion of security is segregated as collateral for initial margin requirement on futures transactions. |
| |
| (l) | | Joint repurchase agreement was entered into on September 30, 2011. Additional information appears on page 89. |
| | | | | |
| |
| |
Currency Abbreviations: |
| AUD | | — | | Australian Dollar |
| CAD | | — | | Canadian Dollar |
| CHF | | — | | Swiss Franc |
| EUR | | — | | Euro |
| GBP | | — | | British Pound |
| JPY | | — | | Japanese Yen |
| NOK | | — | | Norwegian Krone |
| NZD | | — | | New Zealand Dollar |
| SEK | | — | | Swedish Krona |
| |
Investment Abbreviations: |
| FHLB | | — | | Federal Home Loan Bank |
| FHLMC | | — | | Federal Home Loan Mortgage Corp. |
| FNMA | | — | | Federal National Mortgage Association |
| GNMA | | — | | Government National Mortgage Association |
| GO | | — | | General Obligation |
| LIBOR | | — | | London Interbank Offered Rate |
| MTN | | — | | Medium Term Note |
| NCUA | | — | | National Credit Union Administration |
| OTC | | — | | Over the Counter |
| RB | | — | | Revenue Bond |
| REMIC | | — | | Real Estate Mortgage Investment Conduit |
| |
| |
34 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS CORE FIXED INCOME FUND
| |
| ADDITIONAL INVESTMENT INFORMATION | |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2011, the Fund had outstanding forward foreign currency exchange contracts, both to purchase and sell foreign currencies:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| | | | | | | | | | | | | | | |
| | | Contracts to
| | Expiration
| | Current
| | Unrealized
|
| Counterparty | | Buy/Sell | | Date | | Value | | Gain |
| |
| Barclays Bank PLC | | | USD/GBP | | | 12/21/11 | | $ | 3,156,823 | | | $ | 17,858 | |
| Citibank NA | | | JPY/EUR | | | 12/21/11 | | | 3,332,203 | | | | 27,161 | |
| | | | USD/AUD | | | 12/21/11 | | | 1,954,670 | | | | 135,361 | |
| | | | USD/EUR | | | 12/21/11 | | | 2,056,845 | | | | 82,536 | |
| | | | USD/GBP | | | 12/21/11 | | | 2,073,905 | | | | 49,665 | |
| Credit Suisse International (London) | | | USD/AUD | | | 12/21/11 | | | 967,753 | | | | 85,596 | |
| | | | USD/JPY | | | 12/21/11 | | | 1,474,029 | | | | 12,971 | |
| Deutsche Bank AG (London) | | | GBP/EUR | | | 12/21/11 | | | 2,083,966 | | | | 27,062 | |
| | | | EUR/AUD | | | 12/21/11 | | | 3,110,859 | | | | 52,591 | |
| | | | EUR/CHF | | | 12/21/11 | | | 2,390,570 | | | | 17,509 | |
| | | | EUR/NZD | | | 12/21/11 | | | 2,075,826 | | | | 33,587 | |
| | | | JPY/EUR | | | 12/21/11 | | | 1,235,741 | | | | 63,803 | |
| | | | USD/AUD | | | 12/21/11 | | | 970,628 | | | | 82,892 | |
| | | | USD/EUR | | | 12/21/11 | | | 7,738,294 | | | | 142,914 | |
| | | | USD/NZD | | | 12/21/11 | | | 5,209,208 | | | | 418,453 | |
| HSBC Bank PLC | | | EUR/NOK | | | 12/21/11 | | | 6,597,462 | | | | 70,961 | |
| | | | EUR/SEK | | | 12/21/11 | | | 2,057,407 | | | | 47,988 | |
| | | | USD/SEK | | | 12/21/11 | | | 5,108,740 | | | | 378,729 | |
| JPMorgan Securities, Inc. | | | USD/CAD | | | 12/21/11 | | | 2,023,123 | | | | 114,877 | |
| | | | USD/EUR | | | 10/13/11 | | | 21,835,089 | | | | 1,630,922 | |
| | | | USD/EUR | | | 12/21/11 | | | 1,256,273 | | | | 25,129 | |
| | | | USD/GBP | | | 10/19/11 | | | 4,793,067 | | | | 117,007 | |
| | | | USD/NZD | | | 12/21/11 | | | 6,180,695 | | | | 209,411 | |
| Morgan Stanley Capital Services, Inc. | | | USD/GBP | | | 12/21/11 | | | 2,100,070 | | | | 51,141 | |
| Royal Bank of Canada | | | EUR/CAD | | | 12/21/11 | | | 2,017,711 | | | | 67,594 | |
| | | | USD/AUD | | | 12/21/11 | | | 2,092,647 | | | | 14,967 | |
| | | | USD/CAD | | | 12/21/11 | | | 5,235,159 | | | | 64,841 | |
| | | | USD/EUR | | | 12/21/11 | | | 2,052,492 | | | | 78,625 | |
| State Street Bank | | | EUR/CAD | | | 12/21/11 | | | 2,064,753 | | | | 39,303 | |
| | | | EUR/NOK | | | 12/21/11 | | | 2,095,754 | | | | 16,338 | |
| | | | USD/AUD | | | 12/21/11 | | | 3,355,517 | | | | 9,099 | |
| | | | USD/CAD | | | 12/21/11 | | | 1,045,244 | | | | 5,756 | |
| UBS AG (London) | | | CHF/EUR | | | 12/21/11 | | | 3,934,892 | | | | 14,317 | |
| | | | GBP/USD | | | 12/21/11 | | | 2,154,929 | | | | 30,392 | |
| | | | USD/CHF | | | 12/21/11 | | | 1,330,676 | | | | 206,324 | |
| | | | USD/EUR | | | 12/21/11 | | | 1,046,001 | | | | 23,852 | |
| Westpac Banking Corp. | | | USD/NZD | | | 12/21/11 | | | 1,042,874 | | | | 1,923 | |
| |
| |
TOTAL | | | | | | | | | | | | $ | 4,469,455 | |
| |
| |
The accompanying notes are an integral part of these financial statements. 35
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| |
| ADDITIONAL INVESTMENT INFORMATION (continued) | |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | | | |
| | | Contracts to
| | Expiration
| | Current
| | Unrealized
|
| Counterparty | | Buy/Sell | | Date | | Value | | Loss |
| |
| Bank of America Securities LLC | | | AUD/USD | | | 12/21/11 | | $ | 1,153,639 | | | $ | (61,197 | ) |
| | | | CAD/USD | | | 12/21/11 | | | 2,058,941 | | | | (56,059 | ) |
| | | | SEK/EUR | | | 12/21/11 | | | 1,046,001 | | | | (4,018 | ) |
| Barclays Bank PLC | | | USD/GBP | | | 12/21/11 | | | 852,311 | | | | (4,149 | ) |
| Citibank NA | | | CAD/USD | | | 12/21/11 | | | 3,531,222 | | | | (235,778 | ) |
| | | | EUR/USD | | | 12/21/11 | | | 1,021,893 | | | | (46,116 | ) |
| | | | GBP/USD | | | 12/21/11 | | | 3,169,289 | | | | (2,013 | ) |
| | | | NZD/USD | | | 12/21/11 | | | 1,960,694 | | | | (144,840 | ) |
| | | | SEK/EUR | | | 12/21/11 | | | 1,048,680 | | | | (14,786 | ) |
| Credit Suisse International (London) | | | CAD/USD | | | 12/21/11 | | | 1,525,502 | | | | (88,799 | ) |
| | | | CHF/USD | | | 12/21/11 | | | 2,079,676 | | | | (2,324 | ) |
| | | | EUR/USD | | | 12/21/11 | | | 2,105,395 | | | | (17,670 | ) |
| Deutsche Bank AG (London) | | | EUR/USD | | | 12/21/11 | | | 3,089,788 | | | | (101,447 | ) |
| | | | NZD/EUR | | | 12/21/11 | | | 2,061,198 | | | | (110,934 | ) |
| | | | NZD/USD | | | 12/21/11 | | | 2,039,516 | | | | (66,488 | ) |
| HSBC Bank PLC | | | NOK/EUR | | | 12/21/11 | | | 2,075,930 | | | | (21,106 | ) |
| | | | SEK/USD | | | 12/21/11 | | | 4,638,461 | | | | (102,539 | ) |
| JPMorgan Securities, Inc. | | | EUR/USD | | | 12/21/11 | | | 1,432,823 | | | | (17,406 | ) |
| | | | JPY/USD | | | 12/21/11 | | | 2,949,423 | | | | (13,577 | ) |
| | | | NZD/USD | | | 12/21/11 | | | 7,305,423 | | | | (533,687 | ) |
| Royal Bank of Canada | | | CAD/EUR | | | 12/21/11 | | | 1,962,089 | | | | (397 | ) |
| | | | CAD/USD | | | 12/21/11 | | | 1,045,262 | | | | (64,738 | ) |
| State Street Bank | | | AUD/USD | | | 12/21/11 | | | 733,960 | | | | (66,779 | ) |
| | | | NOK/EUR | | | 12/21/11 | | | 1,061,301 | | | | (43,637 | ) |
| UBS AG (London) | | | EUR/USD | | | 12/21/11 | | | 1,201,878 | | | | (58,680 | ) |
| Westpac Banking Corp. | | | AUD/USD | | | 12/21/11 | | | 3,707,100 | | | | (342,123 | ) |
| |
| |
TOTAL | | | | | | | | | | | | $ | (2,221,287 | ) |
| |
| |
FORWARD SALES CONTRACTS — At September 30, 2011, the Fund had the following forward sales contracts:
| | | | | | | | | | | | | | | | | | | |
| | | Interest
| | Maturity
| | Settlement
| | Principal
| | |
| Description | | Rate | | Date(g) | | Date | | Amount | | Value |
| |
| FHLMC | | | 5.500 | % | | TBA-30yr | | | 10/13/2011 | | | $ | (12,000,000 | ) | | $ | (12,979,687 | ) |
| FNMA | | | 3.500 | | | TBA-30yr | | | 10/13/2011 | | | | (20,000,000 | ) | | | (20,540,624 | ) |
| FNMA | | | 5.000 | | | TBA-30yr | | | 10/13/2011 | | | | (1,000,000 | ) | | | (1,075,625 | ) |
| |
| |
TOTAL (Proceeds Receivable: $33,872,969) | | | | | | | | | | | | | | | | $ | (34,595,936 | ) |
| |
| |
36 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS CORE FIXED INCOME FUND
| |
| ADDITIONAL INVESTMENT INFORMATION (continued) | |
FUTURES CONTRACTS — At September 30, 2011, the following futures contracts were open:
| | | | | | | | | | | | | | | |
| | | Number of
| | | | | | |
| | | Contracts
| | Expiration
| | Current
| | Unrealized
|
| Type | | Long (Short) | | Date | | Value | | Gain (Loss) |
| |
| Eurodollars | | | 75 | | | December 2011 | | $ | 18,650,625 | | | $ | (17,781 | ) |
| Eurodollars | | | 75 | | | March 2012 | | | 18,639,375 | | | | (21,642 | ) |
| Eurodollars | | | 75 | | | June 2012 | | | 18,639,375 | | | | (13,719 | ) |
| Eurodollars | | | 75 | | | September 2012 | | | 18,641,250 | | | | 1,133 | |
| Eurodollars | | | 75 | | | December 2012 | | | 18,640,313 | | | | 22,502 | |
| Eurodollars | | | 75 | | | March 2013 | | | 18,637,500 | | | | 41,236 | |
| Eurodollars | | | 13 | | | June 2013 | | | 3,228,225 | | | | 22,233 | |
| Ultra Long U.S. Treasury Bonds | | | 44 | | | December 2011 | | | 6,979,500 | | | | 659,927 | |
| 2 Year U.S. Treasury Notes | | | (44 | ) | | December 2011 | | | (9,688,938 | ) | | | 14,102 | |
| 5 Year U.S. Treasury Notes | | | 1,596 | | | December 2011 | | | 195,485,063 | | | | (31,576 | ) |
| 10 Year U.S. Treasury Notes | | | 667 | | | December 2011 | | | 86,772,531 | | | | 244,444 | |
| 30 Year U.S. Treasury Bonds | | | 271 | | | December 2011 | | | 38,651,375 | | | | 510,159 | |
| |
| |
TOTAL | | | | | | | | | | | | $ | 1,431,018 | |
| |
| |
SWAP CONTRACTS — At September 30, 2011, the Fund had outstanding swap contracts with the following terms:
INTEREST RATE SWAP CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Rates Exchanged | | | | | | |
| | | Notional
| | | | Payments
| | Payments
| | | | Upfront Payments
| | |
| | | Amount
| | Termination
| | Received by
| | Made by
| | Market
| | Made (Received)
| | Unrealized
|
| Counterparty | | (000s)(a) | | Date | | the Fund | | the Fund | | Value | | by the Fund | | Gain (Loss) |
| |
| Bank of America Securities LLC | | $ | 11,300 | | | | 12/21/21 | | | 3 month LIBOR | | | 3.500 | % | | $ | (1,371,704 | ) | | $ | (728,097 | ) | | $ | (643,607 | ) |
| Deutsche Bank Securities, Inc. | | | 5,500 | | | | 12/21/16 | | | 3 month LIBOR | | | 2.500 | | | | (304,956 | ) | | | (195,175 | ) | | | (109,781 | ) |
| | | | 4,600 | | | | 12/21/18 | | | 3 month LIBOR | | | 3.250 | | | | (448,479 | ) | | | (389,316 | ) | | | (59,163 | ) |
| | | | 2,200 | | | | 12/21/26 | | | 3 month LIBOR | | | 4.000 | | | | (417,437 | ) | | | (332,587 | ) | | | (84,850 | ) |
| | | | 7,700 | | | | 12/21/41 | | | 3 month LIBOR | | | 4.250 | | | | (2,460,450 | ) | | | (2,512,417 | ) | | | 51,967 | |
| JPMorgan Securities, Inc. | | | 18,900 | | | | 12/21/18 | | | 3 month LIBOR | | | 3.250 | | | | (1,842,664 | ) | | | (1,680,206 | ) | | | (162,458 | ) |
| | | | 7,300 | | | | 05/15/37 | | | 3 month LIBOR | | | 3.250 | | | | (755,058 | ) | | | (296,192 | ) | | | (458,866 | ) |
| Morgan Stanley Capital Services, Inc. | | | 26,500 | | | | 12/21/18 | | | 3 month LIBOR | | | 3.250 | | | | (2,583,629 | ) | | | (2,444,600 | ) | | | (139,029 | ) |
| |
| |
TOTAL | | | | | | | | | | | | | | | | $ | (10,184,377 | ) | | $ | (8,578,590 | ) | | $ | (1,605,787 | ) |
| |
| |
| | |
| (a) | | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2011. |
The accompanying notes are an integral part of these financial statements. 37
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| |
| ADDITIONAL INVESTMENT INFORMATION (continued) | |
CREDIT DEFAULT SWAP CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Credit
| | | | | | |
| | | | | | | | | | | Spread at
| | | | Upfront
| | |
| | | | | Notional
| | Rates Received
| | | | September 30,
| | | | Payments
| | |
| | | Referenced
| | Amount
| | (Paid) by
| | Termination
| | 2011
| | Market
| | Made (Received)
| | Unrealized
|
| Counterparty | | Obligation | | (000s) | | Fund | | Date | | (Basis Points)(b) | | Value | | by the Fund | | Gain (Loss) |
| |
Protection Purchased: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank of America
Securities LLC | | CDX North American
Investment Grade Index 16 | | $ | 41,800 | | | | (1.000 | ) | % | | 06/20/14 | | | 106 | | | $ | 57,060 | | | $ | (418,345 | ) | | $ | 475,405 | |
Deutsche Bank
Securities, Inc. | | CDX North American
Investment Grade Index 16 | | | 15,400 | | | | (1.000 | ) | | | 06/20/14 | | | 106 | | | | 21,022 | | | | (163,071 | ) | | | 184,093 | |
JPMorgan
Securities, Inc. | | CDX North American
Investment Grade Index 16 | | | 41,100 | | | | (1.000 | ) | | | 06/20/14 | | | 106 | | | | 56,104 | | | | (451,880 | ) | | | 507,984 | |
Morgan Stanley
Capital Services, Inc. | | CDX North American
Investment Grade Index 16 | | | 72,800 | | | | (1.000 | ) | | | 06/20/14 | | | 106 | | | | 99,377 | | | | (679,077 | ) | | | 778,454 | |
Protection Sold: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank of America
Securities LLC | | CDX North American
Investment Grade Index 16 | | | 41,800 | | | | 1.000 | | | | 06/20/16 | | | 135 | | | | (643,312 | ) | | | 56,333 | | | | (699,645 | ) |
Credit Suisse First
Boston Corp. | | Prudential Financial, Inc.
4.500%, 7/15/13 | | | 1,150 | | | | 1.000 | | | | 06/20/15 | | | 280 | | | | (71,249 | ) | | | (43,470 | ) | | | (27,779 | ) |
Deutsche Bank
Securities, Inc. | | MetLife, Inc.
5.000%, 6/15/15 | | | 4,200 | | | | 1.000 | | | | 03/20/15 | | | 322 | | | | (297,833 | ) | | | (159,245 | ) | | | (138,588 | ) |
| | | CDX North American
Investment Grade Index 16 | | | 7,975 | | | | 1.000 | | | | 06/20/16 | | | 135 | | | | (122,737 | ) | | | 22,797 | | | | (145,534 | ) |
| | | Markit CDX Index 16 | | | 15,000 | | | | 1.000 | | | | 06/20/21 | | | 233 | | | | (1,101,588 | ) | | | (434,908 | ) | | | (666,680 | ) |
JPMorgan
Securities, Inc. | | Prudential Financial, Inc.
4.500%, 7/15/13 | | | 975 | | | | 1.000 | | | | 06/20/15 | | | 280 | | | | (60,406 | ) | | | (44,496 | ) | | | (15,910 | ) |
Morgan Stanley
Capital Services, Inc. | | CDX North American
Investment Grade Index 16 | | | 55,700 | | | | 1.000 | | | | 06/20/16 | | | 135 | | | | (857,237 | ) | | | 71,756 | | | | (928,993 | ) |
| |
| |
TOTAL | | | | | | | | | | | | | | | | | | | $ | (2,920,799 | ) | | $ | (2,243,606 | ) | | $ | (677,193 | ) |
| |
| |
| | |
| (b) | | Credit spread on the Referenced Obligation, together with the term of the swap contract, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and the term of the swap contract increase. |
38 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS CORE FIXED INCOME FUND
| |
| ADDITIONAL INVESTMENT INFORMATION (continued) | |
WRITTEN OPTIONS CONTRACTS
INTEREST RATE SWAPTION CONTRACTS — At September 30, 2011, the Fund had outstanding written swaptions as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Notional
| | | | | | | | | | |
| | | | | Amount
| | Expiration
| | Strike
| | Market
| | Premiums
| | Unrealized
|
| Counterparty | | Description | | (000s) | | Date | | Price | | Value | | Received | | Gain (Loss) |
| |
| Bank of America N.A. | | Put – OTC – 10 year Interest Rate Swap for the obligation to pay a fixed rate of 2.440% versus the 3 month LIBOR maturing on November 21, 2021 | | $ | 13,700 | | | | 11/17/11 | | | | 2.440 | % | | $ | (444,995 | ) | | $ | (260,300 | ) | | $ | (184,695 | ) |
| | | Call – OTC – 10 year Interest Rate Swap for the obligation to receive a fixed rate of 2.440% versus the 3 month LIBOR maturing on November 21, 2021 | | | 13,700 | | | | 11/17/11 | | | | 2.440 | | | | (81,407 | ) | | | (260,300 | ) | | | 178,893 | |
Morgan Stanley
Capital Services, Inc. | | Put – OTC – 10 year Interest Rate Swap for the obligation to pay a fixed rate of 2.450% versus the 3 month LIBOR maturing on November 21, 2021 | | | 11,400 | | | | 11/17/11 | | | | 2.450 | | | | (378,373 | ) | | | (215,460 | ) | | | (162,913 | ) |
| | | Call – OTC – 10 year Interest Rate Swap for the obligation to receive a fixed rate of 2.450% versus the 3 month LIBOR maturing on November 21, 2021 | | | 11,400 | | | | 11/17/11 | | | | 2.450 | | | | (65,358 | ) | | | (215,460 | ) | | | 150,102 | |
| |
| |
TOTAL | | | | $ | 50,200 | | | | | | | | | | | $ | (970,133 | ) | | $ | (951,520 | ) | | $ | (18,613 | ) |
| |
| |
For the six months ended September 30, 2011, the Fund had the following written swaptions activity:
| | | | | | | | | |
| | | Notional
| | |
| | | Amount
| | Premiums
|
| | | (000s) | | Received |
| |
| Contracts Outstanding March 31, 2011 | | $ | 35,000 | | | $ | (381,190 | ) |
| |
| |
| Contracts Written | | | 607,000 | | | | (10,776,919 | ) |
| Contracts Bought to Close | | | (515,000 | ) | | | 9,423,731 | |
| Contracts Expired | | | (76,800 | ) | | | 782,858 | |
| |
| |
| Contracts Outstanding September 30, 2011 | | $ | 50,200 | | | $ | (951,520 | ) |
| |
| |
The accompanying notes are an integral part of these financial statements. 39
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
Schedule of Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Corporate Obligations – 27.9% |
Automotive(a) – 0.1% |
| The Goodyear Tire & Rubber Co. |
| $ | 439,000 | | | | 10.500 | % | | | 05/15/16 | | | $ | 477,413 | |
| |
| |
Banks – 9.8% |
| Abbey National Treasury Services PLC |
| | 925,000 | | | | 4.000 | | | | 04/27/16 | | | | 843,296 | |
ANZ Capital Trust II(a)(b) |
| | 175,000 | | | | 5.360 | | | | 07/29/49 | | | | 171,281 | |
| Bank of America Corp. |
| | 1,575,000 | | | | 6.100 | | | | 06/15/17 | | | | 1,477,416 | |
Bank of Nova Scotia(b) |
| | 1,700,000 | | | | 2.150 | | | | 08/03/16 | | | | 1,729,116 | |
Bank of Scotland PLC(b) |
| | 500,000 | | | | 5.250 | | | | 02/21/17 | | | | 540,231 | |
| Barclays Bank PLC |
| | 900,000 | | | | 6.750 | | | | 05/22/19 | | | | 964,766 | |
BBVA Bancomer SA(b) |
| | 750,000 | | | | 7.250 | | | | 04/22/20 | | | | 729,028 | |
Canadian Imperial Bank of Commerce(b) |
| | 900,000 | | | | 0.900 | | | | 09/19/14 | | | | 895,352 | |
Citigroup Capital XXI(a)(c) |
| | 741,000 | | | | 8.300 | | | | 12/21/57 | | | | 724,328 | |
| Citigroup, Inc. |
| | 400,000 | | | | 6.375 | | | | 08/12/14 | | | | 427,979 | |
| | 925,000 | | | | 5.000 | | | | 09/15/14 | | | | 902,130 | |
| | 305,000 | | | | 6.125 | | | | 11/21/17 | | | | 326,249 | |
| | 325,000 | | | | 5.375 | | | | 08/09/20 | | | | 336,460 | |
| Discover Bank |
| | 400,000 | | | | 8.700 | | | | 11/18/19 | | | | 459,441 | |
DnB NOR Boligkreditt AS(b) |
| | 3,600,000 | | | | 2.100 | | | | 10/14/15 | | | | 3,643,337 | |
| | 1,900,000 | | | | 2.900 | | | | 03/29/16 | | | | 1,969,002 | |
| Fifth Third Bancorp |
| | 300,000 | | | | 3.625 | | | | 01/25/16 | | | | 302,080 | |
Fifth Third Bank(c) |
| | 450,000 | | | | 0.402 | | | | 05/17/13 | | | | 440,639 | |
First Niagara Financial Group, Inc.(a) |
| | 325,000 | | | | 6.750 | | | | 03/19/20 | | | | 371,605 | |
| HSBC Bank USA NA |
| | 524,000 | | | | 4.875 | | | | 08/24/20 | | | | 494,864 | |
| HSBC Holdings PLC |
| | 1,000,000 | | | | 6.800 | | | | 06/01/38 | | | | 1,006,212 | |
ING Bank NV(b) |
| | 800,000 | | | | 2.375 | | | | 06/09/14 | | | | 775,812 | |
| | 1,400,000 | | | | 2.500 | | | | 01/14/16 | | | | 1,402,912 | |
JPMorgan Chase Capital XX(a) |
| | 475,000 | | | | 6.550 | | | | 09/29/36 | | | | 472,625 | |
JPMorgan Chase Capital XXII Series V(a) |
| | 250,000 | | | | 6.450 | | | | 02/02/37 | | | | 248,750 | |
Lloyds TSB Bank PLC(b) |
| | 200,000 | | | | 6.500 | | | | 09/14/20 | | | | 169,955 | |
MUFG Capital Finance 1 Ltd.(a)(c) |
| | 450,000 | | | | 6.346 | | | | 07/29/49 | | | | 452,250 | |
Nordea Eiendomskreditt AS(b) |
| | 1,700,000 | | | | 1.875 | | | | 04/07/14 | | | | 1,738,112 | |
Resona Preferred Global Securities Ltd.(a)(b)(c) |
| | 550,000 | | | | 7.191 | | | | 07/30/49 | | | | 514,303 | |
| Royal Bank of Scotland PLC |
| | 600,000 | | | | 4.875 | (b) | | | 08/25/14 | | | | 604,097 | |
| | 225,000 | | | | 5.625 | | | | 08/24/20 | | | | 212,871 | |
| Santander Holdings USA, Inc. |
| | 270,000 | | | | 4.625 | | | | 04/19/16 | | | | 253,356 | |
Sparebank 1 Boligkreditt AS(b) |
| | 2,400,000 | | | | 2.625 | | | | 05/27/16 | | | | 2,487,352 | |
SunTrust Banks, Inc.(a) |
| | 475,000 | | | | 3.600 | | | | 04/15/16 | | | | 474,010 | |
Swedbank Hypotek AB(b)(c) |
| | 400,000 | | | | 0.813 | | | | 03/28/14 | | | | 400,509 | |
| The Bear Stearns Cos. LLC |
| | 750,000 | | | | 7.250 | | | | 02/01/18 | | | | 881,510 | |
The Toronto-Dominion Bank(b) |
| | 1,800,000 | | | | 0.875 | | | | 09/12/14 | | | | 1,793,288 | |
| | 2,200,000 | | | | 1.625 | | | | 09/14/16 | | | | 2,192,410 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 33,828,934 | |
| |
| |
Brokerage(a) – 0.4% |
| Morgan Stanley, Inc. |
| | 775,000 | | | | 6.625 | | | | 04/01/18 | | | | 770,816 | |
| | 525,000 | | | | 7.300 | | | | 05/13/19 | | | | 539,442 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 1,310,258 | |
| |
| |
Building Materials(b)(c) – 0.1% |
| Cemex SAB de CV |
| EUR | 300,000 | | | | 5.369 | | | | 09/30/15 | | | | 195,003 | |
| |
| |
Chemicals(a) – 0.2% |
| The Dow Chemical Co. |
| $ | 500,000 | | | | 7.600 | | | | 05/15/14 | | | | 568,782 | |
| |
| |
Construction Machinery(a) – 0.2% |
| Case New Holland, Inc. |
| | 750,000 | | | | 7.750 | | | | 09/01/13 | | | | 778,125 | |
| |
| |
Consumer Cyclical Services(a) – 0.3% |
Ashtead Capital, Inc.(b) |
| | 175,000 | | | | 9.000 | | | | 08/15/16 | | | | 177,625 | |
| Iron Mountain, Inc. |
| | 225,000 | | | | 8.750 | | | | 07/15/18 | | | | 229,500 | |
| RSC Equipment Rental/RSC Holdings Inc. |
| | 550,000 | | | | 10.000 | (b) | | | 07/15/17 | | | | 581,625 | |
| | 250,000 | | | | 8.250 | | | | 02/01/21 | | | | 217,500 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 1,206,250 | |
| |
| |
Consumer Products(a) – 0.2% |
| ACCO Brands Corp. |
| | 675,000 | | | | 10.625 | | | | 03/15/15 | | | | 722,250 | |
| |
| |
Defense(a) – 0.1% |
| L-3 Communications Corp. |
| | 351,000 | | | | 6.375 | | | | 10/15/15 | | | | 357,143 | |
| |
| |
Distributor(a)(b) – 0.1% |
| Ras Laffan Liquefied Natural Gas Co. Ltd. III |
| | 250,000 | | | | 6.750 | | | | 09/30/19 | | | | 297,875 | |
| |
| |
40 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Corporate Obligations – (continued) |
| | | | | | | | | | | | | | | |
Diversified Manufacturing(a)(b) – 0.2% |
| Xylem, Inc. |
| $ | 550,000 | | | | 3.550 | % | | | 09/20/16 | | | $ | 549,998 | |
| |
| |
Electric(a) – 0.6% |
| Arizona Public Service Co. |
| | 375,000 | | | | 8.750 | | | | 03/01/19 | | | | 480,571 | |
Ipalco Enterprises, Inc.(b) |
| | 300,000 | | | | 5.000 | | | | 05/01/18 | | | | 282,750 | |
| Nevada Power Co. |
| | 225,000 | | | | 7.125 | | | | 03/15/19 | | | | 280,978 | |
| NRG Energy, Inc. |
| | 150,000 | | | | 7.375 | | | | 01/15/17 | | | | 154,500 | |
PPL WEM Holdings PLC(b) |
| | 750,000 | | | | 5.375 | | | | 05/01/21 | | | | 790,545 | |
Puget Sound Energy, Inc.(c) |
| | 250,000 | | | | 6.974 | | | | 06/01/67 | | | | 248,750 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 2,238,094 | |
| |
| |
Energy – 3.1% |
Anadarko Petroleum Corp.(a) |
| | 700,000 | | | | 6.375 | | | | 09/15/17 | | | | 783,072 | |
| | 400,000 | | | | 8.700 | | | | 03/15/19 | | | | 501,536 | |
| BP Capital Markets PLC |
| | 325,000 | | | | 3.200 | | | | 03/11/16 | | | | 337,988 | |
| | 1,000,000 | | | | 4.500 | (a) | | | 10/01/20 | | | | 1,082,341 | |
Cimarex Energy Co.(a) |
| | 110,000 | | | | 7.125 | | | | 05/01/17 | | | | 111,100 | |
Dolphin Energy Ltd.(a) |
| | 212,064 | | | | 5.888 | (b) | | | 06/15/19 | | | | 227,227 | |
| | 326,932 | | | | 5.888 | | | | 06/15/19 | | | | 350,308 | |
Gaz Capital SA for Gazprom(d) |
| | 870,000 | | | | 9.250 | | | | 04/23/19 | | | | 1,009,200 | |
Newfield Exploration Co.(a) |
| | 500,000 | | | | 7.125 | | | | 05/15/18 | | | | 522,500 | |
| | 200,000 | | | | 5.750 | | | | 01/30/22 | | | | 197,750 | |
Nexen, Inc.(a) |
| | 200,000 | | | | 6.400 | | | | 05/15/37 | | | | 203,508 | |
| | 375,000 | | | | 7.500 | | | | 07/30/39 | | | | 430,879 | |
Petrobras International Finance Co.(a) |
| | 60,000 | | | | 5.750 | | | | 01/20/20 | | | | 61,547 | |
| | 920,000 | | | | 5.375 | | | | 01/27/21 | | | | 915,093 | |
Petroleos de Venezuela SA(a) |
| | 370,000 | | | | 8.500 | | | | 11/02/17 | | | | 242,350 | |
Petroleos Mexicanos(a)(b) |
| | 270,000 | | | | 5.500 | | | | 01/21/21 | | | | 283,500 | |
Plains Exploration & Production Co.(a) |
| | 525,000 | | | | 10.000 | | | | 03/01/16 | | | | 573,563 | |
| | 150,000 | | | | 7.625 | | | | 06/01/18 | | | | 153,375 | |
PTT Exploration and Production Public Co. Ltd.(b) |
| | 460,000 | | | | 5.692 | | | | 04/05/21 | | | | 464,830 | |
Range Resources Corp.(a) |
| | 50,000 | | | | 7.500 | | | | 10/01/17 | | | | 52,875 | |
| | 150,000 | | | | 7.250 | | | | 05/01/18 | | | | 159,000 | |
TNK-BP Finance SA |
| | 280,000 | | | | 7.500 | | | | 07/18/16 | | | | 289,800 | |
Transocean, Inc.(a) |
| | 650,000 | | | | 6.000 | | | | 03/15/18 | | | | 689,922 | |
| | 175,000 | | | | 6.500 | | | | 11/15/20 | | | | 190,300 | |
Weatherford International Ltd.(a) |
| | 580,000 | | | | 9.625 | | | | 03/01/19 | | | | 741,218 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 10,574,782 | |
| |
| |
Food & Beverage – 0.4% |
Anheuser-Busch InBev Worldwide, Inc.(a) |
| | 625,000 | | | | 4.125 | | | | 01/15/15 | | | | 677,448 | |
| Kraft Foods, Inc. |
| | 625,000 | | | | 6.500 | | | | 02/09/40 | | | | 766,094 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 1,443,542 | |
| |
| |
Gaming(a)(b) – 0.1% |
| CityCenter Holdings LLC/CityCenter Finance Corp. |
| | 250,000 | | | | 7.625 | | | | 01/15/16 | | | | 235,625 | |
| |
| |
Health Care – Medical Products(a) – 0.3% |
| Boston Scientific Corp. |
| | 625,000 | | | | 4.500 | | | | 01/15/15 | | | | 653,551 | |
| DJO Finance LLC/DJO Finance Corp. |
| | 490,000 | | | | 10.875 | | | | 11/15/14 | | | | 490,000 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 1,143,551 | |
| |
| |
Health Care – Services(a) – 0.3% |
| Community Health Systems, Inc. |
| | 725,000 | | | | 8.875 | | | | 07/15/15 | | | | 710,500 | |
| HCA, Inc. |
| | 250,000 | | | | 7.875 | | | | 02/15/20 | | | | 257,500 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 968,000 | |
| |
| |
Life Insurance – 1.5% |
MetLife Capital Trust X(a)(b) |
| | 400,000 | | | | 9.250 | | | | 04/08/38 | | | | 450,000 | |
MetLife, Inc.(a) |
| | 825,000 | | | | 4.750 | | | | 02/08/21 | | | | 854,656 | |
Nationwide Financial Services, Inc.(a)(b) |
| | 825,000 | | | | 5.375 | | | | 03/25/21 | | | | 806,863 | |
| Prudential Financial, Inc. |
| | 850,000 | | | | 3.875 | | | | 01/14/15 | | | | 871,742 | |
| | 775,000 | | | | 6.000 | | | | 12/01/17 | | | | 839,113 | |
Reinsurance Group of America, Inc.(a)(c) |
| | 625,000 | | | | 6.750 | | | | 12/15/65 | | | | 543,750 | |
Symetra Financial Corp.(a)(b) |
| | 100,000 | | | | 6.125 | | | | 04/01/16 | | | | 105,508 | |
The Northwestern Mutual Life Insurance Co.(a)(b) |
| | 725,000 | | | | 6.063 | | | | 03/30/40 | | | | 853,735 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 5,325,367 | |
| |
| |
Media – Cable(a) – 0.7% |
Charter Communications Operating LLC(b) |
| | 325,000 | | | | 10.875 | | | | 09/15/14 | | | | 349,375 | |
| CSC Holdings LLC |
| | 125,000 | | | | 8.500 | | | | 06/15/15 | | | | 131,875 | |
| DIRECTV Holdings LLC |
| | 450,000 | | | | 6.350 | | | | 03/15/40 | | | | 497,841 | |
The accompanying notes are an integral part of these financial statements. 41
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Corporate Obligations – (continued) |
Media – Cable(a) – (continued) |
| | | | | | | | | | | | | | | |
| DIRECTV Holdings LLC/DirecTV Financing Co., Inc. |
| $ | 400,000 | | | | 5.875 | % | | | 10/01/19 | | | $ | 451,532 | |
| DISH DBS Corp. |
| | 125,000 | | | | 7.125 | | | | 02/01/16 | | | | 125,937 | |
UPCB Holding BV(b) |
| | 475,000 | | | | 6.625 | | | | 07/01/20 | | | | 447,544 | |
| Virgin Media Finance PLC |
| | 500,000 | | | | 9.500 | | | | 08/15/16 | | | | 540,000 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 2,544,104 | |
| |
| |
Media – Non Cable(a) – 1.1% |
| NBCUniversal Media LLC |
| | 1,375,000 | | | | 4.375 | | | | 04/01/21 | | | | 1,412,312 | |
| News America, Inc. |
| | 675,000 | | | | 6.150 | | | | 02/15/41 | | | | 714,003 | |
| Nielsen Finance LLC |
| | 624,000 | | | | 11.500 | | | | 05/01/16 | | | | 712,920 | |
| SGS International, Inc. |
| | 170,000 | | | | 12.000 | | | | 12/15/13 | | | | 169,575 | |
| WPP Finance UK |
| | 551,000 | | | | 8.000 | | | | 09/15/14 | | | | 624,623 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 3,633,433 | |
| |
| |
Metals & Mining(a) – 0.6% |
| Freeport-McMoRan Copper & Gold, Inc. |
| | 675,000 | | | | 8.375 | | | | 04/01/17 | | | | 723,937 | |
| Steel Dynamics, Inc. |
| | 675,000 | | | | 7.750 | | | | 04/15/16 | | | | 671,625 | |
| Teck Resources Ltd. |
| | 500,000 | | | | 10.750 | | | | 05/15/19 | | | | 621,875 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 2,017,437 | |
| |
| |
Noncaptive – Financial – 0.6% |
| Alrosa Finance SA |
| | 200,000 | | | | 7.750 | | | | 11/03/20 | | | | 186,000 | |
Capital One Capital III(a) |
| | 500,000 | | | | 7.686 | | | | 08/15/36 | | | | 488,750 | |
GE Capital Trust I(a)(c) |
| | 458,000 | | | | 6.375 | | | | 11/15/67 | | | | 437,390 | |
GEO Maquinaria(a)(b) |
| | 229,138 | | | | 9.625 | | | | 05/02/21 | | | | 194,767 | |
| International Lease Finance Corp. |
| | 375,000 | | | | 8.250 | | | | 12/15/20 | | | | 365,625 | |
SLM Corp.(a) |
| | 575,000 | | | | 6.250 | | | | 01/25/16 | | | | 564,042 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 2,236,574 | |
| |
| |
Packaging(a)(b) – 0.1% |
| Plastipak Holdings, Inc. |
| | 250,000 | | | | 8.500 | | | | 12/15/15 | | | | 247,500 | |
| |
| |
Paper(a) – 0.2% |
PE Paper Escrow GmbH(b) |
| | 475,000 | | | | 12.000 | | | | 08/01/14 | | | | 498,750 | |
| Rock-Tenn Co. |
| | 75,000 | | | | 5.625 | | | | 03/15/13 | | | | 76,875 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 575,625 | |
| |
| |
Pipelines – 1.6% |
Boardwalk Pipelines LP(a) |
| | 575,000 | | | | 5.875 | | | | 11/15/16 | | | | 643,971 | |
DCP Midstream LLC(a)(b) |
| | 500,000 | | | | 9.750 | | | | 03/15/19 | | | | 665,297 | |
El Paso Corp.(a) |
| | 500 | | | | 7.750 | | | | 01/15/32 | | | | 568 | |
El Paso Pipeline Partners Operating Co. LLC(a) |
| | 700,000 | | | | 6.500 | | | | 04/01/20 | | | | 766,500 | |
Energy Transfer Partners LP(a) |
| | 675,000 | | | | 5.950 | | | | 02/01/15 | | | | 725,433 | |
Enterprise Products Operating LLC(a)(c) |
| | 100,000 | | | | 7.034 | | | | 01/15/68 | | | | 101,000 | |
MarkWest Energy Partners LP/MarkWest Energy Finance Corp.(a) |
| | 210,000 | | | | 8.750 | | | | 04/15/18 | | | | 222,600 | |
Southern Star Central Gas Pipeline, Inc.(a)(b) |
| | 300,000 | | | | 6.000 | | | | 06/01/16 | | | | 336,958 | |
| Tennessee Gas Pipeline Co. |
| | 825,000 | | | | 8.000 | (a) | | | 02/01/16 | | | | 968,884 | |
| | 325,000 | | | | 7.625 | | | | 04/01/37 | | | | 408,505 | |
TransCanada PipeLines Ltd.(a)(c) |
| | 875,000 | | | | 6.350 | | | | 05/15/67 | | | | 868,437 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 5,708,153 | |
| |
| |
Property/Casualty Insurance(a) – 0.3% |
QBE Capital Funding III Ltd.(b)(c) |
| | 525,000 | | | | 7.250 | | | | 05/24/41 | | | | 474,552 | |
The Chubb Corp.(c) |
| | 125,000 | | | | 6.375 | | | | 03/29/67 | | | | 121,250 | |
| Transatlantic Holdings, Inc. |
| | 275,000 | | | | 8.000 | | | | 11/30/39 | | | | 322,004 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 917,806 | |
| |
| |
Real Estate Investment Trust – 1.6% |
Brandywine Operating Partnership LP(a) |
| | 625,000 | | | | 4.950 | | | | 04/15/18 | | | | 602,881 | |
| Developers Diversified Realty Corp. |
| | 265,000 | | | | 9.625 | | | | 03/15/16 | | | | 300,112 | |
| | 675,000 | | | | 7.500 | (a) | | | 04/01/17 | | | | 712,125 | |
Duke Realty LP(a) |
| | 425,000 | | | | 6.750 | | | | 03/15/20 | | | | 441,319 | |
HCP, Inc.(a) |
| | 525,000 | | | | 6.000 | | | | 01/30/17 | | | | 553,023 | |
| | 325,000 | | | | 5.375 | | | | 02/01/21 | | | | 324,882 | |
Healthcare Realty Trust, Inc.(a) |
| | 550,000 | | | | 6.500 | | | | 01/17/17 | | | | 598,359 | |
Liberty Property LP(a) |
| | 775,000 | | | | 4.750 | | | | 10/01/20 | | | | 770,578 | |
ProLogis(a)(d) |
| | 325,000 | | | | 1.875 | | | | 11/15/37 | | | | 316,875 | |
Simon Property Group LP(a) |
| | 625,000 | | | | 10.350 | | | | 04/01/19 | | | | 830,663 | |
WEA Finance LLC/WT Finance Australia Property Ltd.(a)(b) |
| | 150,000 | | | | 7.500 | | | | 06/02/14 | | | | 167,327 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 5,618,144 | |
| |
| |
42 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Corporate Obligations – (continued) |
| | | | | | | | | | | | | | | |
Retailers(a) – 0.6% |
| CVS Caremark Corp. |
| $ | 1,250,000 | | | | 6.302 | %(c) | | | 06/01/37 | | | $ | 1,209,375 | |
| | 875,000 | | | | 5.750 | | | | 05/15/41 | | | | 976,024 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 2,185,399 | |
| |
| |
Schools(a) – 0.3% |
| Rensselaer Polytechnic Institute |
| | 850,000 | | | | 5.600 | | | | 09/01/20 | | | | 972,936 | |
| |
| |
Technology(a) – 0.4% |
CommScope, Inc.(b) |
| | 500,000 | | | | 8.250 | | | | 01/15/19 | | | | 485,000 | |
| Fidelity National Information Services, Inc. |
| | 425,000 | | | | 7.875 | | | | 07/15/20 | | | | 444,125 | |
| Hewlett-Packard Co. |
| | 525,000 | | | | 3.000 | | | | 09/15/16 | | | | 529,343 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 1,458,468 | |
| |
| |
Tobacco – 0.1% |
| Altria Group, Inc. |
| | 300,000 | | | | 9.700 | | | | 11/10/18 | | | | 396,585 | |
| |
| |
Wireless Telecommunications – 0.5% |
Digicel Ltd.(a)(b) |
| | 250,000 | | | | 8.250 | | | | 09/01/17 | | | | 238,750 | |
Intelsat Jackson Holdings SA(a)(b) |
| | 625,000 | | | | 7.250 | | | | 04/01/19 | | | | 581,250 | |
Sprint Capital Corp.(a) |
| | 125,000 | | | | 8.375 | | | | 03/15/12 | | | | 126,563 | |
Verizon Wireless Capital LLC(a) |
| | 150,000 | | | | 8.500 | | | | 11/15/18 | | | | 199,376 | |
VimpelCom Holdings BV(b) |
| | 200,000 | | | | 7.504 | | | | 03/01/22 | | | | 163,000 | |
VIP Finance Ireland Ltd. for OJSC Vimpel Communications(b) |
| | 230,000 | | | | 6.493 | | | | 02/02/16 | | | | 208,725 | |
| | 420,000 | | | | 7.748 | | | | 02/02/21 | | | | 346,500 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 1,864,164 | |
| |
| |
Wirelines Telecommunications – 1.2% |
AT&T, Inc.(a) |
| | 725,000 | | | | 2.950 | | | | 05/15/16 | | | | 747,152 | |
| | 375,000 | | | | 3.875 | | | | 08/15/21 | | | | 385,099 | |
| | 450,000 | | | | 6.400 | | | | 05/15/38 | | | | 520,270 | |
Frontier Communications Corp.(a) |
| | 625,000 | | | | 6.250 | | | | 01/15/13 | | | | 624,219 | |
| MTS International Funding Ltd. |
| | 100,000 | | | | 8.625 | | | | 06/22/20 | | | | 98,500 | |
Qwest Communications International, Inc.(a) |
| EUR | 416,000 | | | | 8.000 | | | | 10/01/15 | | | | 436,800 | |
Qwest Corp.(a) |
| $ | 375,000 | | | | 8.375 | | | | 05/01/16 | | | | 411,158 | |
Telecom Italia Capital SA(a) |
| | 325,000 | | | | 7.200 | | | | 07/18/36 | | | | 292,335 | |
Verizon Communications, Inc.(a) |
| | 200,000 | | | | 6.400 | | | | 02/15/38 | | | | 240,812 | |
| | 150,000 | | | | 8.950 | | | | 03/01/39 | | | | 233,260 | |
Windstream Corp.(a) |
| EUR | 18,000 | | | | 8.625 | | | | 08/01/16 | | | | 18,675 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 4,008,280 | |
| |
| |
TOTAL CORPORATE OBLIGATIONS |
(Cost $95,774,839) | | $ | 96,605,600 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Mortgage-Backed Obligations – 43.8% |
Adjustable Rate Non-Agency(c) – 2.6% |
Adjustable Rate Mortgage Trust Series 2004-5, Class 2A1 |
| $ | 93,418 | | | | 2.811 | % | | | 04/25/35 | | | $ | 85,113 | |
Banc of America Funding Corp. Series 2007-E, Class 4A1 |
| | 1,090,694 | | | | 5.568 | | | | 07/20/47 | | | | 713,641 | |
Bear Stearns Adjustable Rate Mortgage Trust Series 2004-1, Class 21A1 |
| | 80,112 | | | | 2.473 | | | | 04/25/34 | | | | 69,137 | |
Countrywide Alternative Loan Trust Series 2005-38, Class A3 |
| | 264,778 | | | | 0.585 | | | | 09/25/35 | | | | 151,729 | |
Countrywide Home Loan Mortgage Pass-Through Trust Series 2004-HYB5, Class 2A1 |
| | 180,145 | | | | 2.699 | | | | 04/20/35 | | | | 152,258 | |
Countrywide Home Loan Mortgage Pass-Through Trust Series 2004-HYB6, Class A2 |
| | 118,575 | | | | 2.846 | | | | 11/20/34 | | | | 92,417 | |
Downey Savings & Loan Association Mortgage Loan Trust Series 2006-AR1, Class 2A1A |
| | 2,120,741 | | | | 1.182 | | | | 04/19/47 | | | | 1,215,667 | |
First Horizon Asset Securities, Inc. Series 2004-AR6, Class 2A1 |
| | 45,325 | | | | 2.697 | | | | 12/25/34 | | | | 39,424 | |
GMAC Mortgage Corp. Loan Trust Series 2004-AR1, Class 12A |
| | 157,182 | | | | 3.105 | | | | 06/25/34 | | | | 146,399 | |
Harborview Mortgage Loan Trust Series 2006-10, Class 2A1A |
| | 514,359 | | | | 0.410 | | | | 11/19/36 | | | | 316,938 | |
Indymac Index Mortgage Loan Trust Series 2005-AR13, Class 4A1 |
| | 329,979 | | | | 2.466 | | | | 08/25/35 | | | | 216,697 | |
JPMorgan Mortgage Trust Series 2005-A4, Class 2A1 |
| | 372,862 | | | | 2.796 | | | | 07/25/35 | | | | 310,147 | |
Lehman XS Trust Series 2007-4N, Class 1A1 |
| | 814,508 | | | | 0.365 | | | | 03/25/47 | | | | 600,578 | |
Master Adjustable Rate Mortgages Trust Series 2006-A2, Class 4A1B |
| | 661,448 | | | | 1.442 | | | | 12/25/46 | | | | 205,890 | |
Morgan Stanley Mortgage Loan Trust Series 2004-8AR, Class 4A1 |
| | 464,563 | | | | 2.512 | | | | 10/25/34 | | | | 380,570 | |
Residential Funding Mortgage Securities I Series 2005-SA4, Class 2A2 |
| | 419,673 | | | | 5.208 | | | | 09/25/35 | | | | 314,671 | |
Residential Funding Mortgage Securities I Series 2007-SA2, Class 2A1 |
| | 892,750 | | | | 5.623 | | | | 04/25/37 | | | | 617,247 | |
Structured Adjustable Rate Mortgage Loan Trust Series 2004-12, Class 3A2 |
| | 68,368 | | | | 2.444 | | | | 09/25/34 | | | | 56,690 | |
The accompanying notes are an integral part of these financial statements. 43
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Mortgage-Backed Obligations – (continued) |
Adjustable Rate Non-Agency(c) – (continued) |
| | | | | | | | | | | | | | | |
Structured Adjustable Rate Mortgage Loan Trust Series 2004-5, Class 3A1 |
| $ | 171,864 | | | | 2.539 | % | | | 05/25/34 | | | $ | 153,475 | |
Structured Adjustable Rate Mortgage Loan Trust Series 2005-22, Class 1A4 |
| | 2,940,250 | | | | 2.518 | | | | 12/25/35 | | | | 956,757 | |
Structured Adjustable Rate Mortgage Loan Trust Series 2006-1, Class 5A2 |
| | 1,000,000 | | | | 2.828 | | | | 02/25/36 | | | | 612,500 | |
Washington Mutual Asset-Backed Certificates Series 2007-HE1, Class 2A3 |
| | 3,000,000 | | | | 0.385 | | | | 01/25/37 | | | | 1,002,515 | |
Washington Mutual Mortgage Pass-Through Certificates Series 2004-AR03, Class A2 |
| | 166,741 | | | | 2.577 | | | | 06/25/34 | | | | 156,003 | |
Washington Mutual Mortgage Pass-Through Certificates Series 2006-AR02, Class 1A1 |
| | 425,847 | | | | 2.555 | | | | 03/25/36 | | | | 326,625 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 8,893,088 | |
| |
| |
Collateralized Mortgage Obligations – 5.7% |
Planned Amortization Class – 1.0% |
| FHLB REMIC Series 3820, Class DA |
| | 2,913,890 | | | | 4.000 | | | | 11/15/35 | | | | 3,107,310 | |
FNMA REMIC Series 2005-70, Class PA |
| | 314,911 | | | | 5.500 | | | | 08/25/35 | | | | 353,877 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 3,461,187 | |
| |
| |
Regular Floater(c) – 0.6% |
FHLMC REMIC Series 3038, Class XA(e) |
| | 5,371 | | | | 0.000 | | | | 09/15/35 | | | | 5,343 | |
Permanent Master Issuer PLC Series 2011-1A, Class 1A3(b) |
| EUR | 1,600,000 | | | | 2.905 | | | | 07/15/42 | | | | 2,135,471 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 2,140,814 | |
| |
| |
Sequential Fixed Rate – 2.4% |
Countrywide Alternative Loan Trust Series 2005-1CB, Class 2A1 |
| $ | 516,532 | | | | 6.000 | | | | 03/25/35 | | | | 442,924 | |
| FHLMC Multifamily Structured Pass-Through Certificates Series K703, Class A2 |
| | 1,300,000 | | | | 2.699 | | | | 05/25/18 | | | | 1,326,055 | |
First Horizon Alternative Mortgage Securities Series 2006-FA8, Class 1A7 |
| | 609,449 | | | | 6.000 | | | | 02/25/37 | | | | 400,917 | |
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2006-LDP8, Class A4 |
| | 3,540,000 | | | | 5.399 | | | | 05/15/45 | | | | 3,783,900 | |
NCUA Guaranteed Notes Series 2010-C1, Class APT |
| | 1,268,629 | | | | 2.650 | | | | 10/29/20 | | | | 1,312,634 | |
| NCUA Guaranteed Notes Series A4 |
| | 900,000 | | | | 3.000 | | | | 06/12/19 | | | | 924,372 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 8,190,802 | |
| |
| |
Sequential Floating Rate(c) – 1.7% |
Bear Stearns Alt-A Trust Series 2006-6, Class 1A1 |
| | 1,500,432 | | | | 0.395 | | | | 11/25/36 | | | | 552,046 | |
Countrywide Alternative Loan Trust Series 2006-0C8, Class 2A3 |
| | 6,464,109 | | | | 0.485 | | | | 11/25/36 | | | | 1,106,921 | |
Deutsche Alt-A Securities, Inc. Alternative Loan Trust Series 2006-AR3, Class A6 |
| | 6,180,238 | | | | 0.515 | | | | 08/25/36 | | | | 1,005,292 | |
Deutsche Alt-A Securities, Inc. Alternative Loan Trust Series 2007-BAR1, Class A3 |
| | 4,000,000 | | | | 0.395 | | | | 03/25/37 | | | | 1,383,012 | |
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2006-LDP7, Class A4 |
| | 1,800,000 | | | | 6.072 | | | | 04/15/45 | | | | 1,973,293 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 6,020,564 | |
| |
| |
TOTAL COLLATERALIZED
MORTGAGE OBLIGATIONS | | $ | 19,813,367 | |
| |
| |
Commercial Mortgage-Backed Securities – 0.6% |
Sequential Fixed Rate – 0.6% |
Banc of America Commercial Mortgage, Inc. Series 2002-2, Class A3 |
| $ | 375,984 | | | | 5.118 | % | | | 07/11/43 | | | $ | 378,773 | |
LB-UBS Commercial Mortgage Trust Series 2007-C1, Class A4 |
| | 1,550,000 | | | | 5.424 | | | | 02/15/40 | | | | 1,631,863 | |
| |
| |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | | $ | 2,010,636 | |
| |
| |
Federal Agencies – 34.9% |
Adjustable Rate FHLMC(c) – 0.1% |
| $ | 251,095 | | | | 2.931 | % | | | 09/01/35 | | | $ | 264,372 | |
| | 77,310 | | | | 5.737 | | | | 04/01/37 | | | | 81,519 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 345,891 | |
| |
| |
FHLMC – 6.9% |
| | 107,742 | | | | 5.000 | | | | 05/01/18 | | | | 115,925 | |
| | 201,047 | | | | 6.500 | | | | 08/01/37 | | | | 223,185 | |
| | 12,172 | | | | 6.000 | | | | 09/01/37 | | | | 13,498 | |
| | 457,830 | | | | 6.500 | | | | 10/01/37 | | | | 509,390 | |
| | 250,659 | | | | 5.500 | | | | 02/01/38 | | | | 271,582 | |
| | 14,641 | | | | 6.000 | | | | 02/01/38 | | | | 16,255 | |
| | 79,840 | | | | 6.000 | | | | 07/01/38 | | | | 88,717 | |
| | 264,458 | | | | 6.500 | | | | 09/01/38 | | | | 296,273 | |
| | 730,674 | | | | 5.500 | | | | 10/01/38 | | | | 791,127 | |
| | 15,917 | | | | 6.000 | | | | 10/01/38 | | | | 17,687 | |
| | 737,402 | | | | 5.500 | | | | 12/01/38 | | | | 798,412 | |
| | 144,224 | | | | 5.500 | | | | 02/01/39 | | | | 156,156 | |
| | 861,020 | | | | 4.500 | | | | 09/01/39 | | | | 924,520 | |
| | 738,645 | | | | 5.500 | | | | 01/01/40 | | | | 799,757 | |
| | 50,256 | | | | 4.000 | | | | 09/01/40 | | | | 52,631 | |
| | 57,050 | | | | 4.000 | | | | 11/01/40 | | | | 59,746 | |
| | 1,063,709 | | | | 4.000 | | | | 12/01/40 | | | | 1,113,974 | |
| | 2,000,000 | | | | 3.550 | | | | 11/01/41 | | | | 2,056,358 | |
| | 15,000,000 | | | | 4.000 | | | | TBA-30yr | (f) | | | 15,651,563 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 23,956,756 | |
| |
| |
44 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Mortgage-Backed Obligations – (continued) |
| | | | | | | | | | | | | | | |
FNMA – 26.8% |
| $ | 988,198 | | | | 3.070 | % | | | 12/01/17 | | | $ | 1,027,094 | |
| | 792,469 | | | | 2.800 | | | | 03/01/18 | | | | 823,318 | |
| | 1,892,060 | | | | 3.740 | | | | 05/01/18 | | | | 2,035,651 | |
| | 630,000 | | | | 3.840 | | | | 05/01/18 | | | | 677,079 | |
| | 7,366 | | | | 6.000 | | | | 12/01/18 | | | | 8,084 | |
| | 1,600,000 | | | | 4.506 | | | | 06/01/19 | | | | 1,773,953 | |
| | 397,050 | | | | 3.416 | | | | 10/01/20 | | | | 414,013 | |
| | 595,450 | | | | 3.375 | | | | 11/01/20 | | | | 619,251 | |
| | 297,858 | | | | 3.632 | | | | 12/01/20 | | | | 314,428 | |
| | 1,884,858 | | | | 3.763 | | | | 12/01/20 | | | | 2,006,202 | |
| | 85,657 | | | | 6.000 | | | | 06/01/21 | | | | 93,282 | |
| | 200,000 | | | | 3.840 | | | | 07/01/21 | | | | 213,174 | |
| | 237,436 | | | | 5.000 | | | | 08/01/23 | | | | 256,645 | |
| | 121,102 | | | | 5.500 | | | | 09/01/23 | | | | 131,770 | |
| | 54,754 | | | | 5.500 | | | | 10/01/23 | | | | 59,652 | |
| | 508,171 | | | | 5.000 | | | | 02/01/24 | | | | 547,097 | |
| | 2,877,845 | | | | 5.500 | | | | 05/01/25 | | | | 3,130,781 | |
| | 73 | | | | 6.000 | | | | 03/01/32 | | | | 81 | |
| | 308,482 | | | | 6.000 | | | | 12/01/32 | | | | 341,310 | |
| | 2,607 | | | | 6.000 | | | | 05/01/33 | | | | 2,885 | |
| | 20,146 | | | | 5.000 | | | | 08/01/33 | | | | 21,732 | |
| | 2,982 | | | | 5.500 | | | | 09/01/33 | | | | 3,252 | |
| | 1,492 | | | | 6.000 | | | | 12/01/33 | | | | 1,654 | |
| | 3,941 | | | | 5.500 | | | | 02/01/34 | | | | 4,297 | |
| | 50,342 | | | | 6.000 | | | | 02/01/34 | | | | 55,717 | |
| | 634 | | | | 5.500 | | | | 04/01/34 | | | | 692 | |
| | 37,415 | | | | 5.500 | | | | 12/01/34 | | | | 40,786 | |
| | 101,177 | | | | 5.000 | | | | 04/01/35 | | | | 109,097 | |
| | 1,891 | | | | 6.000 | | | | 04/01/35 | | | | 2,087 | |
| | 5,245 | | | | 5.500 | | | | 09/01/35 | | | | 5,716 | |
| | 158,756 | | | | 5.000 | | | | 11/01/35 | | | | 170,982 | |
| | 4,184 | | | | 6.000 | | | | 02/01/36 | | | | 4,609 | |
| | 138,348 | | | | 4.500 | | | | 03/01/36 | | | | 147,432 | |
| | 172,745 | | | | 5.000 | | | | 03/01/36 | | | | 186,048 | |
| | 25,605 | | | | 6.000 | | | | 03/01/36 | | | | 28,211 | |
| | 32,973 | | | | 6.000 | | | | 04/01/36 | | | | 36,330 | |
| | 1,260 | | | | 6.000 | | | | 05/01/36 | | | | 1,386 | |
| | 3,251 | | | | 6.000 | | | | 06/01/36 | | | | 3,577 | |
| | 77,719 | | | | 6.000 | | | | 11/01/36 | | | | 85,414 | |
| | 64,038 | | | | 6.000 | | | | 01/01/37 | | | | 70,379 | |
| | 573 | | | | 5.500 | | | | 02/01/37 | | | | 626 | |
| | 899 | | | | 5.500 | | | | 04/01/37 | | | | 982 | |
| | 925 | | | | 5.500 | | | | 05/01/37 | | | | 1,010 | |
| | 38,475 | | | | 6.000 | | | | 12/01/37 | | | | 42,740 | |
| | 1,360 | | | | 5.500 | | | | 03/01/38 | | | | 1,486 | |
| | 28,505 | | | | 5.000 | | | | 05/01/38 | | | | 30,656 | |
| | 50,721 | | | | 6.000 | | | | 05/01/38 | | | | 55,969 | |
| | 3,088,355 | | | | 5.500 | | | | 06/01/38 | | | | 3,353,957 | |
| | 16,537 | | | | 6.000 | | | | 06/01/38 | | | | 18,411 | |
| | 1,341 | | | | 5.500 | | | | 07/01/38 | | | | 1,467 | |
| | 40,582 | | | | 6.000 | | | | 07/01/38 | | | | 45,183 | |
| | 1,466 | | | | 5.500 | | | | 08/01/38 | | | | 1,604 | |
| | 16,612 | | | | 6.000 | | | | 08/01/38 | | | | 18,495 | |
| | 813 | | | | 5.500 | | | | 09/01/38 | | | | 889 | |
| | 404,056 | | | | 6.000 | | | | 11/01/38 | | | | 443,579 | |
| | 524 | | | | 5.500 | | | | 12/01/38 | | | | 573 | |
| | 67,111 | | | | 4.500 | | | | 04/01/39 | | | | 71,990 | |
| | 489,853 | | | | 4.500 | | | | 08/01/39 | | | | 527,052 | |
| | 216,185 | | | | 5.500 | | | | 08/01/39 | | | | 235,523 | |
| | 219,450 | | | | 4.500 | | | | 09/01/39 | | | | 236,363 | |
| | 110,608 | | | | 4.500 | | | | 10/01/39 | | | | 119,133 | |
| | 66,867 | | | | 4.500 | | | | 11/01/39 | | | | 71,811 | |
| | 848,561 | | | | 4.500 | | | | 12/01/39 | | | | 911,202 | |
| | 926,409 | | | | 3.500 | | | | 09/01/40 | | | | 952,323 | |
| | 148,367 | | | | 3.500 | | | | 11/01/40 | | | | 152,517 | |
| | 1,126,032 | | | | 3.500 | | | | 12/01/40 | | | | 1,157,529 | |
| | 3,523,014 | | | | 3.500 | | | | 01/01/41 | | | | 3,621,618 | |
| | 1,133,791 | | | | 3.500 | | | | 02/01/41 | | | | 1,165,571 | |
| | 6,873,490 | | | | 4.000 | | | | 04/01/41 | | | | 7,208,425 | |
| | 34,000,000 | | | | 3.000 | | | | TBA-15yr | (f) | | | 34,895,157 | |
| | 21,000,000 | | | | 4.000 | | | | TBA-30yr | (f) | | | 22,010,625 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 92,809,614 | |
| |
| |
GNMA – 1.1% |
| | 285,381 | | | | 3.950 | | | | 07/15/25 | | | | 311,455 | |
| | 8,809 | | | | 5.500 | | | | 05/15/36 | | | | 9,752 | |
| | 1,217,703 | | | | 3.500 | | | | 11/15/40 | | | | 1,273,422 | |
| | 2,000,000 | | | | 4.000 | | | | TBA-30yr | (f) | | | 2,138,750 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 3,733,379 | |
| |
| |
TOTAL FEDERAL AGENCIES | | $ | 120,845,640 | |
| |
| |
TOTAL MORTGAGE-BACKED OBLIGATIONS |
(Cost $149,493,493) | | $ | 151,562,731 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Agency Debentures – 1.0% |
| FHLB |
| $ | 700,000 | | | | 4.500 | % | | | 09/13/19 | | | $ | 815,111 | |
| | 2,400,000 | | | | 4.625 | (g) | | | 09/11/20 | | | | 2,819,863 | |
| |
| |
TOTAL AGENCY DEBENTURES |
(Cost $3,142,393) | | $ | 3,634,974 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Asset-Backed Securities – 15.1% |
Collateralized Loan Obligations(c) – 7.5% |
Black Diamond CLO Ltd. Series 2005-1A, Class A1A(b) |
| $ | 3,479,902 | | | | 0.601 | % | | | 06/20/17 | | | $ | 3,327,141 | |
Callidus Debt Partners Fund Ltd. Series 6A, Class A1T(b) |
| | 2,381,911 | | | | 0.513 | | | | 10/23/21 | | | | 2,192,532 | |
Gulf Stream Compass CLO Ltd. Series 04-1A, Class A(b) |
| | 1,670,325 | | | | 0.609 | | | | 07/15/16 | | | | 1,644,667 | |
KKR Financial CLO Ltd. Series 2006-1A, Class A1(b) |
| | 463,742 | | | | 0.592 | | | | 08/25/18 | | | | 432,914 | |
KKR Financial CLO Ltd. Series 2007-1A, Class A(b) |
| | 841,287 | | | | 0.636 | | | | 05/15/21 | | | | 768,403 | |
KKR Financial CLO Ltd. Series 2007-AA, Class A(b) |
| | 457,611 | | | | 0.999 | | | | 10/15/17 | | | | 434,953 | |
Monument Park CDO Ltd. Series 2003 1A, Class A1(b) |
| | 649,862 | | | | 0.801 | | | | 01/20/16 | | | | 632,462 | |
The accompanying notes are an integral part of these financial statements. 45
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Asset-Backed Securities – (continued) |
Collateralized Loan Obligations (c) – (continued) |
| | | | | | | | | | | | | | | |
Mountain View Funding CLO Series 2007-3A, Class A1(b) |
| $ | 1,982,321 | | | | 0.465 | % | | | 04/16/21 | | | $ | 1,844,907 | |
Mt. Wilson CLO Ltd. Series 06-1A, Class A(b) |
| | 2,433,639 | | | | 0.499 | | | | 07/15/18 | | | | 2,290,712 | |
Navigare Funding CLO Ltd. Series 06-1A, Class A(b) |
| | 3,354,274 | | | | 0.558 | | | | 05/20/19 | | | | 3,285,924 | |
Navigator CDO Ltd. Series 05-1A, Class A1B(b) |
| | 444,307 | | | | 0.502 | | | | 10/21/17 | | | | 424,121 | |
Westchester CLO Ltd. Series 2007-1X, Class A1A |
| | 6,485,623 | | | | 0.479 | | | | 08/01/22 | | | | 6,002,418 | |
WG Horizons CLO Series 06-1A, Class A1(b) |
| | 3,000,000 | | | | 0.579 | | | | 05/24/19 | | | | 2,762,016 | |
| | | �� | | | | | | | | | | | | |
| | | | | | | | | | | | | | 26,043,170 | |
| |
| |
Home Equity – 1.0% |
ACE Securities Corp. Series 2007-HE4, Class A2A(c) |
| | 7,562,609 | | | | 0.365 | | | | 05/25/37 | | | | 1,673,661 | |
Bear Stearns Asset Backed Securities Trust Series 2001-3, Class A2(c) |
| | 7,634 | | | | 1.035 | | | | 10/27/32 | | | | 6,923 | |
Bear Stearns Asset Backed Securities Trust Series 2002-2, Class A1(c) |
| | 7,014 | | | | 0.895 | | | | 10/25/32 | | | | 5,723 | |
CIT Mortgage Loan Trust Series 2007-1, Class 2A1(b)(c) |
| | 57,460 | | | | 1.235 | | | | 10/25/37 | | | | 54,712 | |
CIT Mortgage Loan Trust Series 2007-1, Class 2A2(b)(c) |
| | 150,000 | | | | 1.485 | | | | 10/25/37 | | | | 111,789 | |
CIT Mortgage Loan Trust Series 2007-1, Class 2A3(b)(c) |
| | 450,000 | | | | 1.685 | | | | 10/25/37 | | | | 185,930 | |
CS First Boston Mortgage Securities Corp. Series 2001-HE17, Class A1(c) |
| | 1,879 | | | | 0.855 | | | | 01/25/32 | | | | 1,291 | |
First Alliance Mortgage Loan Trust Series 1999-4, Class A2(c) |
| | 1,935 | | | | 0.991 | | | | 03/20/31 | | | | 1,218 | |
GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 1A1 |
| | 231,078 | | | | 7.000 | | | | 09/25/37 | | | | 174,789 | |
GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 2A1 |
| | 81,489 | | | | 7.000 | | | | 09/25/37 | | | | 59,014 | |
Home Equity Asset Trust Series 2002-1, Class A4(c) |
| | 257 | | | | 0.835 | | | | 11/25/32 | | | | 163 | |
People’s Financial Realty Mortgage Securities Trust Series 2006-1, Class 1A3(c) |
| | 5,153,298 | | | | 0.395 | | | | 09/25/36 | | | | 1,185,719 | |
Renaissance Home Equity Loan Trust Series 2003-2, Class A(c) |
| | 2,558 | | | | 0.675 | | | | 08/25/33 | | | | 2,034 | |
Renaissance Home Equity Loan Trust Series 2003-3, Class A(c) |
| | 7,195 | | | | 0.735 | | | | 12/25/33 | | | | 5,805 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 3,468,771 | |
| |
| |
Student Loan(c) – 6.6% |
Brazos Higher Education Authority, Inc. Series 2005-3, Class A14 |
| | 1,047,624 | | | | 0.468 | | | | 09/25/23 | | | | 1,033,461 | |
Brazos Higher Education Authority, Inc. Series 2010-1, Class A1 |
| | 1,814,223 | | | | 1.212 | | | | 05/25/29 | | | | 1,794,635 | |
Brazos Higher Education Authority, Inc. Series 2011-1, Class A2 |
| | 1,600,000 | | | | 1.112 | | | | 02/25/30 | | | | 1,562,484 | |
Brazos Higher Education Authority, Inc. Series 2011-2, Class A2 |
| | 1,600,000 | | | | 1.097 | | | | 07/25/29 | | | | 1,570,520 | |
| Brazos Higher Education Authority, Inc. Student Loan Revenue Series 2004 I-A-2 |
| | 1,236,591 | | | | 0.518 | | | | 06/27/22 | | | | 1,223,399 | |
| Brazos Higher Education Authority, Inc. Student Loan Revenue Series 2005 I-A-2 |
| | 1,161,000 | | | | 0.438 | | | | 12/26/18 | | | | 1,152,165 | |
Brazos Student Finance Corp. Series 2010-1, Class A1 |
| | 807,927 | | | | 1.258 | | | | 06/25/35 | | | | 800,229 | |
College Loan Corp. Trust Series 06-1, Class A3 |
| | 1,000,000 | | | | 0.343 | | | | 10/25/25 | | | | 979,479 | |
Education Funding Capital Trust I Series 2004-1, Class A2 |
| | 404,356 | | | | 0.507 | | | | 12/15/22 | | | | 399,178 | |
Educational Funding of the South, Inc. Series 2011-1, Class A2 |
| | 2,100,000 | | | | 0.903 | | | | 04/25/35 | | | | 1,943,661 | |
GCO Education Loan Funding Trust Series 2006-1, Class A10L |
| | 100,000 | | | | 0.502 | | | | 02/27/28 | | | | 84,979 | |
GCO Education Loan Funding Trust Series 2006-1, Class A11L |
| | 300,000 | | | | 0.542 | | | | 05/25/36 | | | | 245,226 | |
Goal Capital Funding Trust Series 2010-1, Class A(b) |
| | 443,748 | | | | 1.012 | | | | 08/25/48 | | | | 428,142 | |
Missouri Higher Education Loan Authority Series 2010-1, Class A1 |
| | 815,699 | | �� | | 1.262 | | | | 11/26/32 | | | | 809,118 | |
Northstar Education Finance, Inc. Series 2004-1, Class A4 |
| | 1,500,000 | | | | 0.443 | | | | 04/29/19 | | | | 1,486,332 | |
Northstar Education Finance, Inc. Series 2005-1, Class A1 |
| | 153,081 | | | | 0.353 | | | | 10/28/26 | | | | 151,449 | |
Panhandle-Plains Higher Education Authority, Inc. Series 2010-2, Class A1 |
| | 889,953 | | | | 1.376 | | | | 10/01/35 | | | | 891,052 | |
Panhandle-Plains Higher Education Authority, Inc. Series 2011-1, Class A2 |
| | 1,600,000 | | | | 1.208 | | | | 07/01/24 | | | | 1,583,007 | |
SLC Student Loan Center Series 2011-1, Class A(b) |
| | 665,905 | | | | 1.455 | | | | 10/25/27 | | | | 663,401 | |
SLM Student Loan Trust Series 2011-2, Class A2 |
| | 325,000 | | | | 1.435 | | | | 10/25/34 | | | | 320,020 | |
| South Carolina Student Loan Corp. Series 2005, Class A1 |
| | 1,813,835 | | | | 0.426 | | | | 12/03/18 | | | | 1,793,325 | |
South Carolina Student Loan Corp. Series 2006-1, Class A1 |
| | 1,500,000 | | | | 0.416 | | | | 12/02/19 | | | | 1,466,092 | |
US Education Loan Trust LLC Series 2006-1, Class A2(b) |
| | 225,694 | | | | 0.456 | | | | 03/01/25 | | | | 221,886 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 22,603,240 | |
| |
| |
TOTAL ASSET-BACKED SECURITIES |
(Cost $52,907,856) | | $ | 52,115,181 | |
| |
| |
46 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
| | | | | | | | | | | | | | | |
Foreign Debt Obligations – 2.7% |
Sovereign – 2.4% |
| Federal Republic of Brazil |
| $ | 780,000 | | | | 4.875 | % | | | 01/22/21 | | | $ | 832,650 | |
Republic of Argentina(c)(h) |
| EUR | 4,300,000 | | | | 0.000 | | | | 12/15/35 | | | | 699,952 | |
| Republic of Colombia |
| $ | 1,200,000 | | | | 4.375 | | | | 07/12/21 | | | | 1,217,988 | |
| Republic of South Africa |
| ZAR | 1,120,000 | | | | 7.250 | | | | 01/15/20 | | | | 130,384 | |
| | 7,640,000 | | | | 6.750 | | | | 03/31/21 | | | | 851,451 | |
| | 9,310,000 | | | | 10.500 | | | | 12/21/26 | | | | 1,336,568 | |
| | 7,205,000 | | | | 10.500 | | | | 12/21/26 | | | | 1,034,369 | |
| Republic of Venezuela |
| $ | 500,000 | | | | 7.750 | | | | 10/13/19 | | | | 318,750 | |
| | 90,000 | | | | 9.000 | | | | 05/07/23 | | | | 56,250 | |
| | 110,000 | | | | 8.250 | | | | 10/13/24 | | | | 64,350 | |
| | 30,000 | | | | 9.250 | | | | 05/07/28 | | | | 18,450 | |
| State of Qatar |
| | 500,000 | | | | 5.150 | | | | 04/09/14 | | | | 540,750 | |
| | 630,000 | | | | 5.250 | (b) | | | 01/20/20 | | | | 693,000 | |
| United Mexican States |
| MXN | 1,495,200 | | | | 7.500 | | | | 06/03/27 | | | | 111,554 | |
| $ | 300,000 | | | | 6.050 | | | | 01/11/40 | | | | 340,500 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 8,246,966 | |
| |
| |
Supranational – 0.3% |
| North American Development Bank |
| | 900,000 | | | | 4.375 | | | | 02/11/20 | | | | 999,396 | |
| |
| |
TOTAL FOREIGN DEBT OBLIGATIONS |
(Cost $9,665,870) | | $ | 9,246,362 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Structured Notes(c)(e) – 0.5% |
| Notas do Tesouro Nacional Series B (Issuer HSBC Corp.) |
| BRL | 3,399,192 | | | | 6.000 | % | | | 08/15/40 | | | $ | 1,861,414 | |
(Cost $2,047,315) | | | | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Municipal Debt Obligations – 0.8% |
California – 0.5% |
| California State GO Bonds Build America Taxable Series 2009 |
| $ | 375,000 | | | | 7.500 | % | | | 04/01/34 | | | $ | 451,470 | |
| | 500,000 | | | | 7.550 | | | | 04/01/39 | | | | 612,630 | |
| California State GO Bonds Build America Taxable Series 2010 |
| | 625,000 | | | | 7.950 | | | | 03/01/36 | | | | 709,162 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 1,773,262 | |
| |
| |
Illinois – 0.2% |
| Illinois State GO Bonds Build America Series 2010 |
| | 500,000 | | | | 7.350 | | | | 07/01/35 | | | | 562,655 | |
| Illinois State GO Bonds Taxable-Pension Series 2003 |
| | 225,000 | | | | 5.100 | | | | 06/01/33 | | | | 203,380 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 766,035 | |
| |
| |
Ohio – 0.1% |
| American Municipal Power-Ohio, Inc. RB Build America Taxable Series 2010 |
| | 250,000 | | | | 6.270 | | | | 02/15/50 | | | | 281,860 | |
| |
| |
TOTAL MUNICIPAL DEBT OBLIGATIONS |
(Cost $2,438,884) | | $ | 2,821,157 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Government Guarantee Obligations – 0.8% |
Achmea Hypotheekbank NV(b)(i) |
| $ | 1,800,000 | | | | 3.200 | % | | | 11/03/14 | | | $ | 1,902,955 | |
| Bank of Ireland |
| GBP | 115,000 | | | | 6.750 | (j) | | | 01/30/12 | | | | 176,193 | |
| $ | 540,000 | | | | 2.750 | (i) | | | 03/02/12 | | | | 518,520 | |
Israel Government AID Bond(j) |
| | 50,000 | | | | 5.500 | | | | 04/26/24 | | | | 64,206 | |
| | 40,000 | | | | 5.500 | | | | 09/18/33 | | | | 52,541 | |
| |
| |
TOTAL GOVERNMENT GUARANTEE OBLIGATIONS |
(Cost $2,595,110) | | $ | 2,714,415 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
U.S. Treasury Obligations – 7.3% |
| United States Treasury Bonds |
| $ | 4,500,000 | | | | 4.375 | % | | | 05/15/41 | | | $ | 5,814,855 | |
| United States Treasury Inflation Protected Securities |
| | 701,652 | | | | 0.625 | | | | 07/15/21 | | | | 733,114 | |
| United States Treasury Notes |
| | 18,600,000 | | | | 0.625 | | | | 07/15/14 | | | | 18,711,414 | |
| |
| |
TOTAL U.S. TREASURY OBLIGATIONS |
(Cost $24,075,878) | | $ | 25,259,383 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | |
| Shares | | Rate | | Value |
| |
Preferred Stock(a)(c) – 0.1% |
| JPMorgan Chase & Co. |
| | 350,000 | | | | 7.900 | % | | $ | 360,504 | |
(Cost $350,000) |
| |
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT |
(Cost $342,491,638) | | $ | 346,181,721 | |
| |
| |
| | | | | | | | | | | |
| | | | | | | | | | | |
| | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements. 47
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Short-term Investment – 20.6%(k) |
Repurchase Agreement – 20.6% |
| Joint Repurchase Agreement Account II |
| $ | 71,200,000 | | | | 0.095 | % | | | 10/03/11 | | | $ | 71,200,000 | |
(Cost $71,200,000) | | | | | | | | |
| |
| |
TOTAL INVESTMENTS – 120.6% |
(Cost $413,691,638) | | $ | 417,381,721 | |
| |
| |
LIABILITIES IN EXCESS OF OTHER ASSETS – (20.6)% | | | (71,352,699 | ) |
| |
| |
NET ASSETS – 100.0% | | $ | 346,029,022 | |
| |
| |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| | |
| (a) | | Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
| |
| (b) | | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $59,902,139, which represents approximately 17.3% of net assets as of September 30, 2011. |
| |
| (c) | | Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. |
| |
| (d) | | Security with “Put” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
| |
| (e) | | Issued with zero coupon and interest rate is contingent upon LIBOR reaching a predetermined level. |
| |
| (f) | | TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $74,696,095, which represents approximately 21.6% of net assets as of September 30, 2011. |
| |
| (g) | | All or a portion of security is segregated as collateral for initial margin requirement on futures transactions. |
| |
| (h) | | Issued with a zero coupon. Income is recognized through the accretion of discount. |
| |
| (i) | | Guaranteed by a foreign government until maturity. Total market value of these securities amounts to $2,421,475, which represents approximately 0.7% of net assets as of September 30, 2011. |
| |
| (j) | | Guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program and is backed by the full faith and credit of the United States. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012. Total market value of these securities amounts to $292,940, which represents approximately 0.1% of net assets as of September 30, 2011. |
| |
| (k) | | Joint repurchase agreement was entered into on September 30, 2011. Additional information appears on page 89. |
| | | | | |
| |
| |
Currency Abbreviations: |
| AUD | | — | | Australian Dollar |
| BRL | | — | | Brazilian Real |
| CAD | | — | | Canadian Dollar |
| CHF | | — | | Swiss Franc |
| EUR | | — | | Euro |
| GBP | | — | | British Pound |
| JPY | | — | | Japanese Yen |
| MXN | | — | | Mexican Peso |
| NOK | | — | | Norwegian Krone |
| NZD | | — | | New Zealand Dollar |
| SEK | | — | | Swedish Krona |
| ZAR | | — | | South African Rand |
| |
Investment Abbreviations: |
| BP | | — | | British Pound Offered Rate |
| CDO | | — | | Collateralized Debt Obligation |
| CDOR | | — | | Canadian Dollar Offered Rate |
| CLO | | — | | Collateralized Loan Obligation |
| EURO | | — | | Euro Offered Rate |
| FHLB | | — | | Federal Home Loan Bank |
| FHLMC | | — | | Federal Home Loan Mortgage Corp. |
| FNMA | | — | | Federal National Mortgage Association |
| GNMA | | — | | Government National Mortgage Association |
| GO | | — | | General Obligation |
| LIBOR | | — | | London Interbank Offered Rate |
| NCUA | | — | | National Credit Union Administration |
| NZDOR | | — | | New Zealand Dollar Offered Rate |
| OTC | | — | | Over the Counter |
| RB | | — | | Revenue Bond |
| REMIC | | — | | Real Estate Mortgage Investment Conduit |
| |
| |
48 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
| |
| ADDITIONAL INVESTMENT INFORMATION | |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2011, the Fund had outstanding forward foreign currency exchange contracts, both to purchase and sell foreign currencies:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| | | | | | | | | | | | | |
| | | Contracts to
| | Expiration
| | Current
| | Unrealized
|
| Counterparty | | Buy/Sell | | Date | | Value | | Gain |
| |
| Barclays Bank PLC | | USD/GBP | | 12/21/11 | | $ | 687,147 | | | $ | 3,887 | |
| Citibank NA | | JPY/EUR | | 12/21/11 | | | 725,906 | | | | 5,917 | |
| | | USD/AUD | | 12/21/11 | | | 425,428 | | | | 29,461 | |
| | | USD/EUR | | 12/21/11 | | | 218,308 | | | | 12,859 | |
| | | USD/GBP | | 12/21/11 | | | 448,749 | | | | 10,746 | |
| Credit Suisse International (London) | | USD/ZAR | | 10/28/11 | | | 2,962,331 | | | | 441,652 | |
| Deutsche Bank AG (London) | | EUR/AUD | | 12/21/11 | | | 675,652 | | | | 11,414 | |
| | | EUR/CHF | | 12/21/11 | | | 521,192 | | | | 3,817 | |
| | | EUR/NZD | | 12/21/11 | | | 450,751 | | | | 7,293 | |
| | | GBP/EUR | | 12/21/11 | | | 452,687 | | | | 5,878 | |
| | | JPY/EUR | | 12/21/11 | | | 97,740 | | | | 5,046 | |
| | | USD/EUR | | 12/21/11 | | | 1,243,835 | | | | 28,576 | |
| | | USD/NZD | | 12/21/11 | | | 1,181,249 | | | | 93,075 | |
| HSBC Bank PLC | | EUR/NOK | | 12/21/11 | | | 1,436,363 | | | | 15,449 | |
| | | EUR/SEK | | 12/21/11 | | | 446,295 | | | | 10,410 | |
| | | USD/SEK | | 12/21/11 | | | 1,072,505 | | | | 79,509 | |
| JPMorgan Securities, Inc. | | USD/CAD | | 12/21/11 | | | 439,069 | | | | 24,931 | |
| | | USD/EUR | | 10/13/11 | | | 3,816,871 | | | | 285,092 | |
| | | USD/EUR | | 12/21/11 | | | 728,585 | | | | 9,169 | |
| | | USD/NZD | | 12/21/11 | | | 1,350,582 | | | | 45,623 | |
| Morgan Stanley Capital Services, Inc. | | USD/GBP | | 12/21/11 | | | 342,494 | | | | 8,340 | |
| Royal Bank of Canada | | EUR/CAD | | 12/21/11 | | | 438,013 | | | | 14,674 | |
| | | USD/AUD | | 12/21/11 | | | 454,173 | | | | 3,249 | |
| | | USD/CAD | | 12/21/11 | | | 1,146,802 | | | | 14,198 | |
| | | USD/EUR | | 12/21/11 | | | 445,321 | | | | 17,058 | |
| Royal Bank of Scotland | | GBP/USD | | 12/21/11 | | | 462,772 | | | | 68 | |
| | | USD/AUD | | 12/21/11 | | | 210,798 | | | | 18,145 | |
| | | USD/EUR | | 12/21/11 | | | 227,683 | | | | 4,926 | |
| | | USD/JPY | | 12/21/11 | | | 323,239 | | | | 2,761 | |
| State Street Bank | | EUR/CAD | | 12/21/11 | | | 449,488 | | | | 8,556 | |
| | | EUR/NOK | | 12/21/11 | | | 455,830 | | | | 3,553 | |
| | | USD/AUD | | 12/21/11 | | | 734,918 | | | | 1,993 | |
| | | USD/CAD | | 12/21/11 | | | 229,735 | | | | 1,265 | |
| UBS AG (London) | | CHF/EUR | | 12/21/11 | | | 861,176 | | | | 3,134 | |
| | | GBP/USD | | 12/21/11 | | | 467,447 | | | | 6,593 | |
| | | USD/AUD | | 12/21/11 | | | 209,840 | | | | 18,380 | |
| | | USD/BRL | | 10/18/11 | | | 1,562,723 | | | | 283,662 | |
| | | USD/CHF | | 12/21/11 | | | 288,299 | | | | 44,701 | |
| | | USD/EUR | | 12/21/11 | | | 226,343 | | | | 5,162 | |
| | | USD/ZAR | | 10/28/11 | | | 452,003 | | | | 43,468 | |
| Westpac Banking Corp. | | USD/NZD | | 12/21/11 | | | 229,644 | | | | 424 | |
| |
| |
TOTAL | | | | | | | | | | $ | 1,634,114 | |
| |
| |
The accompanying notes are an integral part of these financial statements. 49
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| |
| ADDITIONAL INVESTMENT INFORMATION (continued) | |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | |
| | | Contracts to
| | Expiration
| | Current
| | Unrealized
|
| Counterparty | | Buy/Sell | | Date | | Value | | Loss |
| |
| Bank of America Securities LLC | | AUD/USD | | 12/21/11 | | $ | 251,041 | | | $ | (13,317 | ) |
| | | CAD/USD | | 12/21/11 | | | 450,728 | | | | (12,272 | ) |
| | | SEK/EUR | | 12/21/11 | | | 226,343 | | | | (869 | ) |
| Barclays Bank PLC | | USD/GBP | | 12/21/11 | | | 186,979 | | | | (911 | ) |
| Citibank NA | | CAD/USD | | 12/21/11 | | | 769,613 | | | | (51,387 | ) |
| | | GBP/USD | | 12/21/11 | | | 230,607 | | | | (385 | ) |
| Deutsche Bank AG (London) | | EUR/USD | | 12/21/11 | | | 669,655 | | | | (21,987 | ) |
| | | NZD/EUR | | 12/21/11 | | | 447,329 | | | | (24,075 | ) |
| | | NZD/USD | | 12/21/11 | | | 446,405 | | | | (14,552 | ) |
| HSBC Bank PLC | | NOK/EUR | | 12/21/11 | | | 451,347 | | | | (4,588 | ) |
| | | SEK/USD | | 12/21/11 | | | 1,010,658 | | | | (22,342 | ) |
| JPMorgan Securities, Inc. | | EUR/USD | | 12/21/11 | | | 767,592 | | | | (7,616 | ) |
| | | JPY/USD | | 12/21/11 | | | 642,045 | | | | (2,955 | ) |
| | | NZD/USD | | 12/21/11 | | | 1,584,774 | | | | (115,774 | ) |
| Royal Bank of Canada | | CAD/EUR | | 12/21/11 | | | 425,901 | | | | (87 | ) |
| | | CAD/USD | | 12/21/11 | | | 226,944 | | | | (14,056 | ) |
| Royal Bank of Scotland | | CHF/USD | | 12/21/11 | | | 454,866 | | | | (1,134 | ) |
| | | EUR/USD | | 12/21/11 | | | 220,986 | | | | (10,080 | ) |
| | | NZD/USD | | 12/21/11 | | | 426,699 | | | | (31,395 | ) |
| | | SEK/EUR | | 12/21/11 | | | 227,683 | | | | (3,132 | ) |
| State Street Bank | | AUD/USD | | 12/21/11 | | | 159,057 | | | | (14,471 | ) |
| | | CAD/USD | | 12/21/11 | | | 49,571 | | | | (2,896 | ) |
| | | NOK/EUR | | 12/21/11 | | | 95,676 | | | | (3,934 | ) |
| Westpac Banking Corp. | | AUD/USD | | 12/21/11 | | | 963,992 | | | | (88,965 | ) |
| |
| |
TOTAL | | | | | | | | | | $ | (463,180 | ) |
| |
| |
FORWARD SALES CONTRACTS — At September 30, 2011, the Fund had the following forward sales contracts:
| | | | | | | | | | | | | | | | | | | |
| | | Interest
| | Maturity
| | Settlement
| | Principal
| | |
| Description | | Rate | | Date(f) | | Date | | Amount | | Value |
| |
| FHLMC | | | 5.500 | % | | TBA-30yr | | | 10/13/2011 | | | $ | (2,000,000 | ) | | $ | (2,163,281 | ) |
| FNMA | | | 3.500 | | | TBA-30yr | | | 10/13/2011 | | | | (1,000,000 | ) | | | (1,027,031 | ) |
| FNMA | | | 5.500 | | | TBA-30yr | | | 10/13/2011 | | | | (3,000,000 | ) | | | (3,256,172 | ) |
| |
| |
TOTAL (Proceeds Receivable: $6,403,711) | | | | | | | | | | | | | | | | $ | (6,446,484 | ) |
| |
| |
50 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
| |
| ADDITIONAL INVESTMENT INFORMATION (continued) | |
FUTURES CONTRACTS — At September 30, 2011, the following futures contracts were open:
| | | | | | | | | | | | | | | |
| | | Number of
| | | | | | |
| | | Contracts
| | Expiration
| | Current
| | Unrealized
|
| Type | | Long (Short) | | Date | | Value | | Gain (Loss) |
| |
| Australia 3 Year Treasury Bonds | | | (88 | ) | | December 2011 | | $ | (9,089,551 | ) | | $ | 21,626 | |
| Japan 10 Year Government Bond | | | (17 | ) | | December 2011 | | | (31,348,503 | ) | | | 112,579 | |
| U.K. Life Long Gilt | | | (2 | ) | | December 2011 | | | (405,413 | ) | | | (738 | ) |
| Ultra Long U.S. Treasury Bonds | | | 88 | | | December 2011 | | | 13,959,000 | | | | 1,287,435 | |
| 5 Year German Euro-Bobl | | | (5 | ) | | December 2011 | | | (818,118 | ) | | | 325 | |
| 10 Year German Euro-Bund | | | 7 | | | December 2011 | | | 1,280,037 | | | | 831 | |
| 2 Year U.S. Treasury Notes | | | 126 | | | December 2011 | | | 27,745,594 | | | | (34,726 | ) |
| 5 Year U.S. Treasury Notes | | | 739 | | | December 2011 | | | 90,515,953 | | | | (17,652 | ) |
| 10 Year U.S. Treasury Notes | | | 97 | | | December 2011 | | | 12,619,094 | | | | (46,394 | ) |
| 30 Year U.S. Treasury Bonds | | | (30 | ) | | December 2011 | | | (4,278,750 | ) | | | (45,315 | ) |
| |
| |
TOTAL | | | | | | | | | | | | $ | 1,277,971 | |
| |
| |
SWAP CONTRACTS — At September 30, 2011, the Fund had outstanding swap contracts with the following terms:
INTEREST RATE SWAP CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Rates Exchanged | | | | Upfront
| | |
| | | Notional
| | | | Payments
| | Payments
| | | | Payments
| | |
| | | Amount
| | Termination
| | Received by
| | Made by
| | Market
| | Made (Received)
| | Unrealized
|
| Counterparty | | (000s) | | Date | | the Fund | | the Fund | | Value | | by the Fund | | Gain (Loss) |
| |
| Bank of America Securities LLC | | $ | 9,900 | (a) | | | 12/21/16 | | | 3 month LIBOR | | 2.500% | | $ | (548,921 | ) | | $ | (572,663 | ) | | $ | 23,742 | |
| Barclays Bank PLC | | EUR | 5,900 | (a) | | | 09/30/18 | | | 2.650% | | 6 month EURO | | | 23,358 | | | | — | | | | 23,358 | |
| | | | 3,200 | (a) | | | 09/30/23 | | | 6 month EURO | | 3.005 | | | (22,833 | ) | | | — | | | | (22,833 | ) |
| Citibank NA | | | 1,460 | | | | 11/05/15 | | | 2.096 | | 6 month EURO | | | 47,868 | | | | — | | | | 47,868 | |
| | | | 4,700 | (a) | | | 09/30/18 | | | 2.551 | | 6 month EURO | | | (9,592 | ) | | | — | | | | (9,592 | ) |
| | | | 2,600 | (a) | | | 09/30/23 | | | 6 month EURO | | 2.890 | | | 15,110 | | | | — | | | | 15,110 | |
| | | $ | 1,900 | (a) | | | 12/21/41 | | | 4.250 | | 3 month LIBOR | | | 607,124 | | | | 639,214 | | | | (32,090 | ) |
| Credit Suisse First Boston Corp. | | GBP | 10 | | | | 02/16/16 | | | 3.201 | | 6 month BP | | | 1,066 | | | | — | | | | 1,066 | |
| | | | 430 | | | | 02/18/16 | | | 3.124 | | 6 month BP | | | 43,580 | | | | — | | | | 43,580 | |
| | | CAD | 1,875 | | | | 07/15/16 | | | 6 month CDOR | | 2.374 | | | (79,784 | ) | | | — | | | | (79,784 | ) |
| | | EUR | 1,650 | | | | 07/19/16 | | | 2.531 | | 6 month EURO | | | 64,858 | | | | — | | | | 64,858 | |
| | | $ | 3,200 | (a) | | | 12/21/16 | | | 2.500 | | 3 month LIBOR | | | 177,429 | | | | 21,986 | | | | 155,443 | |
| Deutsche Bank Securities, Inc. | | | 14,800 | (a) | | | 09/30/13 | | | 0.500 | | 3 month LIBOR | | | (26,800 | ) | | | (14,765 | ) | | | (12,035 | ) |
| | | EUR | 33,800 | (a) | | | 03/18/14 | | | 6 month EURO | | 3.120 | | | (694,853 | ) | | | — | | | | (694,853 | ) |
| | | | 34,900 | (a) | | | 04/29/14 | | | 6 month EURO | | 3.255 | | | (758,080 | ) | | | — | | | | (758,080 | ) |
| | | | 23,550 | (a) | | | 07/15/14 | | | 6 month EURO | | 2.516 | | | (261,318 | ) | | | — | | | | (261,318 | ) |
| | | | 13,100 | (a) | | | 09/16/14 | | | 6 month EURO | | 1.700 | | | 4,641 | | | | — | | | | 4,641 | |
| | | NZD | 970 | | | | 02/22/16 | | | 3 month NZDOR | | 4.683 | | | (32,506 | ) | | | — | | | | (32,506 | ) |
| | | EUR | 23,300 | (a) | | | 03/18/16 | | | 3.455 | | 6 month EURO | | | 1,255,318 | | | | — | | | | 1,255,318 | |
| | | | 24,100 | (a) | | | 04/29/16 | | | 3.564 | | 6 month EURO | | | 1,346,415 | | | | — | | | | 1,346,415 | |
| | | | 16,150 | (a) | | | 07/15/16 | | | 2.982 | | 6 month EURO | | | 485,217 | | | | — | | | | 485,217 | |
| | | | 8,900 | (a) | | | 09/16/16 | | | 2.210 | | 6 month EURO | | | (17,854 | ) | | | — | | | | (17,854 | ) |
| | | | 5,300 | (a) | | | 03/18/20 | | | 6 month EURO | | 3.815 | | | (534,881 | ) | | | — | | | | (534,881 | ) |
| | | | 5,600 | (a) | | | 04/29/20 | | | 6 month EURO | | 3.904 | | | (591,130 | ) | | | — | | | | (591,130 | ) |
| | | | 3,725 | (a) | | | 07/15/20 | | | 6 month EURO | | 3.453 | | | (234,405 | ) | | | — | | | | (234,405 | ) |
| | | | 2,000 | (a) | | | 09/16/20 | | | 6 month EURO | | 2.700 | | | 6,561 | | | | — | | | | 6,561 | |
The accompanying notes are an integral part of these financial statements. 51
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| |
| ADDITIONAL INVESTMENT INFORMATION (continued) | |
INTEREST RATE SWAP CONTRACTS (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Rates Exchanged | | | | Upfront
| | |
| | | Notional
| | | | Payments
| | Payments
| | | | Payments
| | |
| | | Amount
| | Termination
| | Received by
| | Made by
| | Market
| | Made (Received)
| | Unrealized
|
| Counterparty | | (000s) | | Date | | the Fund | | the Fund | | Value | | by the Fund | | Gain (Loss) |
| |
| Deutsche Bank Securities, Inc. (continued) | | $ | 7,300 | (a) | | | 12/21/21 | | | 3.500% | | 3 month LIBOR | | $ | 886,145 | | | $ | 841,501 | | | $ | 44,644 | |
| | | | 4,700 | (a) | | | 12/21/41 | | | 3 month LIBOR | | 4.250% | | | (1,501,833 | ) | | | (1,533,553 | ) | | | 31,720 | |
| JPMorgan Securities, Inc. | | EUR | 13,000 | (a) | | | 09/30/14 | | | 6 month EURO | | 1.870 | | | (20,499 | ) | | | — | | | | (20,499 | ) |
| | | | 8,800 | (a) | | | 09/30/16 | | | 2.355 | | 6 month EURO | | | 24,567 | | | | — | | | | 24,567 | |
| | | $ | 7,400 | (a) | | | 12/21/18 | | | 3 month LIBOR | | 3.250 | | | (721,466 | ) | | | (642,753 | ) | | | (78,713 | ) |
| | | EUR | 2,000 | (a) | | | 09/30/20 | | | 6 month EURO | | 2.816 | | | (10,998 | ) | | | — | | | | (10,998 | ) |
| | | $ | 2,400 | (a) | | | 12/21/21 | | | 3 month LIBOR | | 3.500 | | | (291,335 | ) | | | (279,809 | ) | | | (11,526 | ) |
| | | | 1,800 | (a) | | | 05/15/37 | | | 3 month LIBOR | | 3.250 | | | (186,179 | ) | | | (73,034 | ) | | | (113,145 | ) |
| Morgan Stanley Capital Services, Inc. | | GBP | 2,675 | (a) | | | 12/21/16 | | | 6 month BP | | 3.000 | | | (229,616 | ) | | | (22,813 | ) | | | (206,803 | ) |
| | | $ | 700 | (a) | | | 12/21/26 | | | 4.000 | | 3 month LIBOR | | | 132,821 | | | | 58,623 | | | | 74,198 | |
| | | | 3,600 | (a) | | | 12/21/41 | | | 4.250 | | 3 month LIBOR | | | 1,150,341 | | | | 1,212,750 | | | | (62,409 | ) |
| Royal Bank of Canada | | CAD | 1,660 | | | | 11/03/15 | | | 6 month CDOR | | 2.140 | | | (56,170 | ) | | | — | | | | (56,170 | ) |
| | | | 2,520 | | | | 11/04/15 | | | 6 month CDOR | | 2.115 | | | (82,558 | ) | | | — | | | | (82,558 | ) |
| | | EUR | 2,210 | | | | 11/08/15 | | | 2.118 | | 6 month EURO | | | 75,169 | | | | — | | | | 75,169 | |
| UBS AG (London) | | | 8,200 | (a) | | | 08/26/14 | | | 6 month EURO | | 1.940 | | | (24,965 | ) | | | — | | | | (24,965 | ) |
| | | | 5,580 | (a) | | | 08/26/16 | | | 2.518 | | 6 month EURO | | | 58,760 | | | | — | | | | 58,760 | |
| | | | 1,260 | (a) | | | 08/26/20 | | | 6 month EURO | | 3.070 | | | (35,987 | ) | | | — | | | | (35,987 | ) |
| |
| |
TOTAL | | | | | | | | | | | | | | $ | (568,215 | ) | | $ | (365,316 | ) | | $ | (202,899 | ) |
| |
| |
| | |
| (a) | | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2011. |
52 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
| |
| ADDITIONAL INVESTMENT INFORMATION (continued) | |
CREDIT DEFAULT SWAP CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Credit
| | | | | | |
| | | | | | | | | | | Spread at
| | | | Upfront
| | |
| | | | | Notional
| | Rates Received
| | | | September 30,
| | | | Payments
| | |
| | | Referenced
| | Amount
| | (Paid) by
| | Termination
| | 2011
| | Market
| | Made (Received)
| | Unrealized
|
| Counterparty | | Obligation | | (000s) | | Fund | | Date | | (Basis Points)(b) | | Value | | by the Fund | | Gain (Loss) |
| |
Protection Purchased: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank of America
Securities LLC | | CDX North America
Investment Grade Index 16 | | $ | 8,000 | | | | (1.000 | )% | | 06/20/14 | | | 106 | | | $ | 10,921 | | | $ | (80,066 | ) | | $ | 90,987 | |
Deutsche Bank
Securities, Inc. | | CDX North America
Investment Grade Index 16 | | | 3,000 | | | | (1.000 | ) | | 06/20/14 | | | 106 | | | | 4,095 | | | | (31,767 | ) | | | 35,862 | |
JPMorgan
Securities, Inc. | | CDX North America
Investment Grade Index 16 | | | 7,800 | | | | (1.000 | ) | | 06/20/14 | | | 106 | | | | 10,648 | | | | (85,748 | ) | | | 96,396 | |
Morgan Stanley
Capital Services, Inc. | | CDX North America
Investment Grade Index 16 | | | 14,100 | | | | (1.000 | ) | | 06/20/14 | | | 106 | | | | 19,247 | | | | (131,525 | ) | | | 150,772 | |
Protection Sold: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank of America
Securities LLC | | CDX North America
Investment Grade Index 16 | | | 8,000 | | | | 1.000 | | | 06/20/16 | | | 135 | | | | (123,122 | ) | | | 10,781 | | | | (133,903 | ) |
Deutsche Bank
Securities, Inc. | | CDX North America
Investment Grade Index 16 | | | 1,550 | | | | 1.000 | | | 06/20/16 | | | 135 | | | | (23,855 | ) | | | 4,431 | | | | (28,286 | ) |
| | | Markit CDX Index 16 | | | 17,500 | | | | 1.000 | | | 06/20/21 | | | 233 | | | | (1,285,186 | ) | | | (541,011 | ) | | | (744,175 | ) |
Morgan Stanley
Capital Services, Inc. | | CDX North America
Investment Grade Index 16 | | | 10,800 | | | | 1.000 | | | 06/20/16 | | | 135 | | | | (166,215 | ) | | | 13,913 | | | | (180,128 | ) |
| | | Markit CDX Index 16 | | | 2,500 | | | | 1.000 | | | 06/20/21 | | | 233 | | | | (183,598 | ) | | | (68,379 | ) | | | (115,219 | ) |
| |
| |
TOTAL | | | | | | | | | | | | | | | | | | $ | (1,737,065 | ) | | $ | (909,371 | ) | | $ | (827,694 | ) |
| |
| |
| | |
| (b) | | Credit spread on the Referenced Obligation, together with the term of the swap contract, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and the term of the swap contract increase. |
WRITTEN OPTIONS CONTRACTS
INTEREST RATE SWAPTION CONTRACTS — At September 30, 2011, the Fund had outstanding written swaptions as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Notional
| | | | | | | | | | |
| | | | | Amount
| | Expiration
| | Strike
| | Market
| | Premiums
| | Unrealized
|
| Counterparty | | Description | | (000s) | | Date | | Price | | Value | | Received | | Gain (Loss) |
| |
| Bank of America N.A. | | Put – OTC – 10 year Interest Rate Swap for the obligation to pay a fixed rate of 2.440% versus the 3 month LIBOR maturing on November 21, 2021 | | $ | 15,200 | | | | 11/17/11 | | | | 2.440 | % | | $ | (493,717 | ) | | $ | (288,800 | ) | | $ | (204,917 | ) |
| | | Call – OTC – 10 year Interest Rate Swap for the obligation to receive a fixed rate of 2.440% versus the 3 month LIBOR maturing on November 21, 2021 | | | 15,200 | | | | 11/17/11 | | | | 2.440 | | | | (90,320 | ) | | | (288,800 | ) | | | 198,480 | |
Morgan Stanley
Capital Services, Inc. | | Put – OTC – 10 year Interest Rate Swap for the obligation to pay a fixed rate of 2.450% versus the 3 month LIBOR maturing on November 21, 2021 | | | 12,500 | | | | 11/17/11 | | | | 2.450 | | | | (414,884 | ) | | | (236,250 | ) | | | (178,634 | ) |
| | | Call – OTC – 10 year Interest Rate Swap for the obligation to receive a fixed rate of 2.450% versus the 3 month LIBOR maturing on November 21, 2021 | | | 12,500 | | | | 11/17/11 | | | | 2.450 | | | | (71,664 | ) | | | (236,250 | ) | | | 164,586 | |
| |
| |
TOTAL | | | | $ | 55,400 | | | | | | | | | | | $ | (1,070,585 | ) | | $ | (1,050,100 | ) | | $ | (20,485 | ) |
| |
| |
The accompanying notes are an integral part of these financial statements. 53
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| |
| ADDITIONAL INVESTMENT INFORMATION (continued) | |
INTEREST RATE SWAPTION CONTRACTS (continued)
For the six months ended September 30, 2011, the Fund had the following written swaptions activity:
| | | | | | | | | |
| | | Notional
| | |
| | | Amount
| | Premiums
|
| | | (000s) | | Received |
| |
| Contracts Outstanding March 31, 2011 | | $ | 15,000 | | | $ | (163,440 | ) |
| |
| |
| Contracts Written | | | 433,200 | | | | (8,533,921 | ) |
| Contracts Bought to Close | | | (341,400 | ) | | | 7,126,713 | |
| Contracts Expired | | | (51,400 | ) | | | 520,548 | |
| |
| |
| Contracts Outstanding September 30, 2011 | | $ | 55,400 | | | $ | (1,050,100 | ) |
| |
| |
54 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Foreign Sovereign Debt Obligations – 34.7% |
British Pound – 3.0% |
| United Kingdom Treasury |
| GBP | 630,000 | | | | 2.250 | % | | | 03/07/14 | | | $ | 1,020,049 | |
| | 7,000,000 | | | | 2.000 | | | | 01/22/16 | | | | 11,262,163 | |
| | 400,000 | | | | 4.500 | | | | 03/07/19 | | | | 734,322 | |
| | 450,000 | | | | 4.000 | | | | 03/07/22 | | | | 798,990 | |
| | 1,150,000 | | | | 4.750 | | | | 12/07/30 | | | | 2,181,706 | |
| | 3,160,000 | | | | 4.500 | | | | 09/07/34 | | | | 5,801,389 | |
| | 2,120,000 | | | | 4.500 | | | | 12/07/42 | | | | 3,898,352 | |
| | 1,060,000 | | | | 4.250 | | | | 12/07/55 | | | | 1,879,421 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 27,576,392 | |
| |
| |
Canadian Dollar – 2.2% |
| British Columbia Province of Canada |
| CAD | 800,000 | | | | 3.250 | | | | 12/18/21 | | | | 772,326 | |
| Government of Canada |
| | 2,340,000 | | | | 3.500 | | | | 06/01/13 | | | | 2,329,304 | |
| | 5,720,000 | | | | 2.500 | | | | 06/01/15 | | | | 5,716,015 | |
| | 1,760,000 | | | | 4.500 | | | | 06/01/15 | | | | 1,879,063 | |
| | 1,700,000 | | | | 4.000 | | | | 06/01/41 | | | | 2,016,509 | |
| Ontario Province of Canada |
| | 1,800,000 | | | | 4.400 | | | | 06/02/19 | | | | 1,915,104 | |
| | 4,200,000 | | | | 4.000 | | | | 06/02/21 | | | | 4,301,483 | |
| Quebec Province of Canada |
| | 1,800,000 | | | | 4.250 | | | | 12/01/21 | | | | 1,863,556 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 20,793,360 | |
| |
| |
Danish Krone – 0.3% |
| Kingdom of Denmark |
| DKK | 16,000,000 | | | | 4.000 | | | | 11/15/15 | | | | 3,214,106 | |
| |
| |
Euro – 12.8% |
| Bundesobligation |
| EUR | 8,370,000 | | | | 2.750 | | | | 04/08/16 | | | | 12,037,241 | |
| Federal Republic of Germany |
| | 7,600,000 | | | | 3.500 | | | | 01/04/16 | | | | 11,234,928 | |
| | 6,695,000 | | | | 3.250 | | | | 07/04/21 | | | | 10,059,076 | |
| | 4,800,000 | | | | 5.625 | | | | 01/04/28 | | | | 9,095,594 | |
| | 720,000 | | | | 5.500 | | | | 01/04/31 | | | | 1,376,358 | |
| | 50,000 | | | | 4.000 | | | | 01/04/37 | | | | 83,156 | |
| | 850,000 | | | | 4.250 | | | | 07/04/39 | | | | 1,487,256 | |
| | 810,000 | | | | 4.750 | | | | 07/04/40 | | | | 1,533,699 | |
| Government of Finland |
| | 7,990,000 | | | | 3.125 | | | | 09/15/14 | | | | 11,356,511 | |
| | 390,000 | | | | 4.375 | | | | 07/04/19 | | | | 605,371 | |
| Kingdom of Belgium |
| | 2,610,000 | | | | 4.000 | | | | 03/28/14 | | | | 3,650,254 | |
| | 1,470,000 | | | | 3.500 | | | | 03/28/15 | | | | 2,032,513 | |
| | 3,625,000 | | | | 3.500 | | | | 06/28/17 | | | | 4,927,499 | |
| | 395,000 | | | | 3.750 | | | | 09/28/20 | | | | 537,631 | |
| Kingdom of Spain |
| | 1,570,000 | | | | 3.250 | | | | 04/30/16 | | | | 2,023,383 | |
| | 4,785,000 | | | | 5.500 | | | | 04/30/21 | | | | 6,590,203 | |
| Kingdom of The Netherlands |
| | 9,800,000 | | | | 4.250 | | | | 07/15/13 | | | | 13,930,188 | |
Republic of Austria(a) |
| | 3,150,000 | | | | 4.350 | | | | 03/15/19 | | | | 4,756,601 | |
| Republic of Italy |
| EUR | 1,700,000 | | | | 4.750 | | | | 02/01/13 | | | $ | 2,293,700 | |
| | 3,970,000 | | | | 4.250 | | | | 02/01/15 | | | | 5,264,981 | |
| | 2,660,000 | | | | 4.750 | | | | 09/15/16 | | | | 3,503,964 | |
| | 925,000 | | | | 4.500 | | | | 02/01/18 | | | | 1,186,550 | |
| | 870,000 | | | | 3.750 | | | | 03/01/21 | | | | 1,024,780 | |
| | 850,000 | | | | 4.750 | | | | 09/01/21 | | | | 1,076,701 | |
| | 3,330,000 | | | | 6.000 | | | | 05/01/31 | | | | 4,198,592 | |
| | 720,000 | | | | 5.000 | | | | 08/01/34 | | | | 799,699 | |
| | 840,000 | | | | 5.000 | | | | 08/01/39 | | | | 921,132 | |
| | 1,070,000 | | | | 5.000 | | | | 09/01/40 | | | | 1,175,210 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 118,762,771 | |
| |
| |
Hungarian Forint – 0.1% |
| Hungary Government Bond |
| HUF | 144,110,000 | | | | 8.000 | | | | 02/12/15 | | | | 671,561 | |
| |
| |
Japanese Yen – 12.8% |
| Government of Japan |
| JPY | 2,000,000,000 | | | | 0.200 | | | | 06/15/13 | | | | 25,957,008 | |
| | 800,000,000 | | | | 1.100 | | | | 09/20/13 | | | | 10,565,954 | |
| | 1,000,000,000 | | | | 1.600 | | | | 06/20/14 | | | | 13,460,716 | |
| | 1,400,000,000 | | | | 0.400 | | | | 06/20/15 | | | | 18,238,245 | |
| | 640,000,000 | | | | 0.400 | | | | 06/20/16 | | | | 8,311,578 | |
| | 400,000,000 | | | | 1.900 | | | | 06/20/25 | | | | 5,523,132 | |
| | 875,000,000 | | | | 2.000 | | | | 12/20/25 | | | | 12,189,330 | |
| | 430,000,000 | | | | 2.100 | | | | 12/20/26 | | | | 6,015,696 | |
| | 350,000,000 | | | | 2.100 | | | | 12/20/27 | | | | 4,883,296 | |
| | 485,000,000 | | | | 2.500 | | | | 09/20/34 | | | | 7,069,260 | |
| | 250,000,000 | | | | 2.500 | | | | 03/20/38 | | | | 3,655,698 | |
| | 100,000,000 | | | | 2.200 | | | | 09/20/39 | | | | 1,379,223 | |
| | 150,000,000 | | | | 2.200 | | | | 03/20/41 | | | | 2,064,776 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 119,313,912 | |
| |
| |
Mexican Peso – 0.1% |
| United Mexican States |
| MXN | 5,008,700 | | | | 10.000 | | | | 12/05/24 | | | | 464,558 | |
| | 4,084,900 | | | | 7.500 | | | | 06/03/27 | | | | 304,767 | |
| | 4,683,400 | | | | 8.500 | | | | 11/18/38 | | | | 368,331 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 1,137,656 | |
| |
| |
Polish Zloty – 0.3% |
| Government of Poland |
| PLN | 8,000,000 | | | | 4.750 | | | | 04/25/12 | | | | 2,417,741 | |
| |
| |
South African Rand – 1.0% |
| Republic of South Africa |
| ZAR | 3,930,000 | | | | 7.250 | | | | 01/15/20 | | | | 457,506 | |
| | 16,175,000 | | | | 6.750 | | | | 03/31/21 | | | | 1,802,647 | |
| | 24,960,000 | | | | 10.500 | | | | 12/21/26 | | | | 3,583,323 | |
| | 21,205,000 | | | | 10.500 | | | | 12/21/26 | | | | 3,044,246 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 8,887,722 | |
| |
| |
Swedish Krona – 0.5% |
| Kingdom of Sweden |
| SEK | 11,000,000 | | | | 6.750 | | | | 05/05/14 | | | | 1,828,623 | |
| | 20,000,000 | | | | 4.500 | | | | 08/12/15 | | | | 3,259,708 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 5,088,331 | |
| |
| |
The accompanying notes are an integral part of these financial statements. 55
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Foreign Sovereign Debt Obligations – (continued) |
| | | | | | | | | | | | | | | |
United States Dollar – 1.6% |
| Federal Republic of Brazil |
| $ | 1,250,000 | | | | 5.625 | % | | | 01/07/41 | | | $ | 1,346,875 | |
Petroleos Mexicanos(a) |
| | 920,000 | | | | 5.500 | | | | 01/21/21 | | | | 966,000 | |
| Quebec Province of Canada |
| | 3,350,000 | | | | 5.125 | | | | 11/14/16 | | | | 3,907,515 | |
| Republic of Colombia |
| | 3,060,000 | | | | 4.375 | | | | 07/12/21 | | | | 3,105,869 | |
| Russian Federation |
| | 100,000 | | | | 5.000 | | | | 04/29/20 | | | | 98,250 | |
| | 2,279,550 | | | | 7.500 | (b) | | | 03/31/30 | | | | 2,562,214 | |
| State of Qatar |
| | 1,189,000 | | | | 5.150 | | | | 04/09/14 | | | | 1,285,904 | |
| United Mexican States |
| | 520,000 | | | | 6.050 | | | | 01/11/40 | | | | 590,200 | |
| | 760,000 | | | | 5.750 | | | | 10/12/2110 | | | | 741,000 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 14,603,827 | |
| |
| |
TOTAL FOREIGN SOVEREIGN DEBT OBLIGATIONS |
(Cost $299,716,205) | | $ | 322,467,379 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Corporate Obligations – 24.5% |
Banks – 12.7% |
| Abbey National Treasury Services PLC |
| EUR | 750,000 | | | | 2.500 | % | | | 03/18/13 | | | $ | 1,003,826 | |
| | 1,453,000 | | | | 4.125 | | | | 03/03/14 | | | | 1,921,593 | |
| | 1,400,000 | | | | 3.375 | | | | 06/08/15 | | | | 1,879,575 | |
| Bank of America Corp. |
| $ | 1,300,000 | | | | 5.750 | | | | 12/01/17 | | | | 1,238,314 | |
| | 650,000 | | | | 5.875 | | | | 01/05/21 | | | | 614,261 | |
Bank of Nova Scotia(a) |
| | 3,800,000 | | | | 2.150 | | | | 08/03/16 | | | | 3,865,083 | |
| Bank of Scotland PLC |
| | 500,000 | | | | 5.250 | | | | 02/21/17 | | | | 540,230 | |
| | 2,070,000 | | | | 5.250 | (a) | | | 02/21/17 | | | | 2,236,554 | |
Barclays Bank PLC(c) |
| EUR | 1,700,000 | | | | 4.500 | | | | 03/04/19 | | | | 2,000,052 | |
| Canadian Imperial Bank of Commerce |
| $ | 3,190,000 | | | | 2.000 | (a) | | | 02/04/13 | | | | 3,237,397 | |
| AUD | 3,500,000 | | | | 5.750 | | | | 12/19/13 | | | | 3,474,013 | |
| $ | 2,200,000 | | | | 0.900 | (a) | | | 09/19/14 | | | | 2,188,637 | |
| | 1,300,000 | | | | 2.750 | (a) | | | 01/27/16 | | | | 1,361,580 | |
| Cie de Financement Foncier |
| | 5,600,000 | | | | 2.125 | | | | 04/22/13 | | | | 5,609,884 | |
| | 900,000 | | | | 2.125 | (a) | | | 04/22/13 | | | | 901,588 | |
| Citigroup, Inc. |
| | 1,700,000 | | | | 4.750 | | | | 05/19/15 | | | | 1,739,761 | |
| | 74,000 | | | | 6.125 | | | | 11/21/17 | | | | 79,155 | |
| GBP | 700,000 | | | | 7.625 | | | | 04/03/18 | | | | 1,222,277 | |
| EUR | 800,000 | | | | 7.375 | | | | 09/04/19 | | | | 1,165,661 | |
| Credit Suisse AG |
| | 700,000 | | | | 4.750 | | | | 08/05/19 | | | | 958,524 | |
| DnB NOR Bank ASA |
| | 1,400,000 | | | | 4.375 | | | | 02/24/21 | | | | 1,900,562 | |
| DnB NOR Boligkreditt AS |
| EUR | 500,000 | | | | 2.750 | | | | 04/20/15 | | | $ | 684,547 | |
| $ | 3,500,000 | | | | 2.100 | (a) | | | 10/14/15 | | | | 3,542,133 | |
| | 6,200,000 | | | | 2.900 | (a) | | | 03/29/16 | | | | 6,425,165 | |
| EUR | 2,600,000 | | | | 3.375 | | | | 01/20/17 | | | | 3,615,797 | |
| HSBC Covered Bonds France |
| | 1,800,000 | | | | 3.375 | | | | 01/20/17 | | | | 2,475,675 | |
| HSBC Holdings PLC |
| $ | 1,150,000 | | | | 6.800 | | | | 06/01/38 | | | | 1,157,144 | |
| ING Bank NV |
| | 3,560,000 | | | | 2.500 | (a) | | | 01/14/16 | | | | 3,567,405 | |
| | 1,600,000 | | | | 4.000 | (a) | | | 03/15/16 | | | | 1,609,819 | |
| EUR | 650,000 | | | | 6.125 | (c) | | | 05/29/23 | | | | 782,929 | |
| Intesa Sanpaolo SPA |
| | 500,000 | | | | 4.125 | | | | 01/14/16 | | | | 620,533 | |
| JPMorgan Chase & Co. |
| $ | 1,600,000 | | | | 4.250 | | | | 10/15/20 | | | | 1,602,487 | |
| Lloyds TSB Bank PLC |
| | 1,300,000 | | | | 4.375 | (a) | | | 01/12/15 | | | | 1,271,932 | |
| EUR | 692,000 | | | | 5.625 | (c) | | | 03/05/18 | | | | 733,161 | |
| GBP | 900,000 | | | | 7.500 | | | | 04/15/24 | | | | 1,411,403 | |
| Morgan Stanley, Inc |
| $ | 1,650,000 | | | | 6.625 | | | | 04/01/18 | | | | 1,641,091 | |
| | 1,650,000 | | | | 4.000 | | | | 07/24/15 | | | | 1,546,888 | |
Nordea Eiendomskreditt AS(a) |
| | 3,500,000 | | | | 1.875 | | | | 04/07/14 | | | | 3,578,466 | |
| Nordea Hypotek AB |
| EUR | 1,700,000 | | | | 3.500 | | | | 01/18/17 | | | | 2,387,265 | |
| Rabobank Nederland |
| | 1,300,000 | | | | 3.875 | | | | 04/20/16 | | | | 1,821,691 | |
| Royal Bank of Scotland PLC |
| | 295,000 | | | | 4.750 | | | | 05/18/16 | | | | 368,881 | |
| $ | 900,000 | | | | 0.519 | (c) | | | 08/29/17 | | | | 579,321 | |
| EUR | 700,000 | | | | 6.934 | | | | 04/09/18 | | | | 735,044 | |
| | 950,000 | | | | 5.375 | | | | 09/30/19 | | | | 1,142,304 | |
| Sparebank 1 Boligkreditt AS |
| | 1,000,000 | | | | 5.000 | | | | 09/10/13 | | | | 1,420,885 | |
| $ | 6,300,000 | | | | 1.250 | (a) | | | 10/25/13 | | | | 6,327,594 | |
| EUR | 1,500,000 | | | | 2.500 | | | | 06/23/15 | | | | 2,030,256 | |
| $ | 4,900,000 | | | | 2.625 | (a) | | | 05/27/16 | | | | 5,078,344 | |
Swedbank Hypotek AB(a)(c) |
| | 1,320,000 | | | | 0.813 | | | | 03/28/14 | | | | 1,321,680 | |
| Swedish Covered Bond Corp. |
| EUR | 2,000,000 | | | | 3.000 | | | | 02/03/15 | | | | 2,761,415 | |
The Toronto-Dominion Bank(a) |
| $ | 4,600,000 | | | | 0.875 | | | | 09/12/14 | | | | 4,582,847 | |
| | 5,500,000 | | | | 1.625 | | | | 09/14/16 | | | | 5,481,025 | |
| UBS AG London |
| EUR | 1,600,000 | | | | 3.875 | | | | 12/02/19 | | | | 2,283,941 | |
UBS Capital Securities Jersey Ltd.(c) |
| | 950,000 | | | | 4.280 | | | | 04/29/49 | | | | 820,932 | |
| WM Covered Bond Program |
| | 700,000 | | | | 4.375 | | | | 05/19/14 | | | | 977,329 | |
| | 2,050,000 | | | | 4.000 | | | | 09/27/16 | | | | 2,859,085 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 118,384,941 | |
| |
| |
56 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS GLOBAL INCOME FUND
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Corporate Obligations – (continued) |
| | | | | | | | | | | | | | | |
Chemicals – 0.3% |
| The Dow Chemical Co. |
| $ | 2,166,000 | | | | 5.900 | % | | | 02/15/15 | | | $ | 2,387,910 | |
| |
| |
Communications – 1.8% |
| AT&T, Inc. |
| | 1,150,000 | | | | 5.600 | | | | 05/15/18 | | | | 1,329,901 | |
| | 950,000 | | | | 6.300 | | | | 01/15/38 | | | | 1,084,067 | |
| British Telecommunications PLC |
| GBP | 750,000 | | | | 6.625 | | | | 06/23/17 | | | | 1,333,384 | |
| | 150,000 | | | | 5.750 | | | | 12/07/28 | | | | 240,082 | |
| | 333,000 | | | | 6.375 | | | | 06/23/37 | | | | 547,841 | |
| Comcast Corp. |
| $ | 2,050,000 | | | | 5.700 | | | | 05/15/18 | | | | 2,362,969 | |
Deutsche Telekom International Finance BV(a) |
| | 900,000 | | | | 3.125 | | | | 04/11/16 | | | | 895,380 | |
| NBC Universal Media LLC |
| | 650,000 | | | | 5.950 | | | | 04/01/41 | | | | 723,113 | |
| TDC A/S |
| EUR | 500,000 | | | | 4.375 | | | | 02/23/18 | | | | 688,658 | |
| Telecom Italia Capital SA |
| $ | 200,000 | | | | 6.175 | | | | 06/18/14 | | | | 198,758 | |
| | 1,231,000 | | | | 4.950 | | | | 09/30/14 | | | | 1,182,263 | |
| Telecom Italia Finance SA |
| EUR | 599,000 | | | | 7.750 | | | | 01/24/33 | | | | 769,607 | |
| Time Warner Cable, Inc. |
| $ | 950,000 | | | | 6.550 | | | | 05/01/37 | | | | 1,037,818 | |
| Verizon New Jersey, Inc. |
| | 65,000 | | | | 8.000 | | | | 06/01/22 | | | | 82,637 | |
| Verizon Wireless Capital LLC |
| EUR | 1,200,000 | | | | 8.750 | | | | 12/18/15 | | | | 2,000,622 | |
| Vodafone Group PLC |
| $ | 2,600,000 | | | | 2.875 | | | | 03/16/16 | | | | 2,651,920 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 17,129,020 | |
| |
| |
Consumer Noncyclical – 1.5% |
| Altria Group, Inc. |
| | 800,000 | | | | 9.700 | | | | 11/10/18 | | | | 1,057,560 | |
| BAT International Finance PLC |
| | 1,208,000 | | | | 9.500 | (a) | | | 11/15/18 | | | | 1,639,949 | |
| GBP | 750,000 | | | | 6.375 | | | | 12/12/19 | | | | 1,363,322 | |
| Boston Scientific Corp. |
| $ | 1,504,000 | | | | 4.500 | | | | 01/15/15 | | | | 1,572,706 | |
| CVS Caremark Corp. |
| | 600,000 | | | | 4.125 | | | | 05/15/21 | | | | 623,972 | |
| | 1,550,000 | | | | 6.125 | | | | 09/15/39 | | | | 1,798,467 | |
| Imperial Tobacco Finance PLC |
| EUR | 300,000 | | | | 4.375 | | | | 11/22/13 | | | | 414,096 | |
| GBP | 800,000 | | | | 7.750 | | | | 06/24/19 | | | | 1,509,500 | |
| Kraft Foods, Inc. |
| $ | 1,200,000 | | | | 5.375 | | | | 02/10/20 | | | | 1,354,459 | |
| | 1,200,000 | | | | 6.500 | | | | 02/09/40 | | | | 1,470,899 | |
| Pfizer, Inc. |
| | 600,000 | | | | 7.200 | | | | 03/15/39 | | | | 872,671 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 13,677,601 | |
| |
| |
Electric – 0.8% |
Alliander NV(c) |
| EUR | 350,000 | | | | 4.875 | | | | 11/11/49 | | | | 463,051 | |
| DONG Energy A/S |
| | 1,000,000 | | | | 4.875 | | | | 12/16/21 | | | | 1,445,601 | |
| | 350,000 | | | | 7.750 | (c) | | | 06/01/3010 | | | | 477,900 | |
| E.ON International Finance BV |
| | 400,000 | | | | 5.500 | | | | 10/02/17 | | | | 605,541 | |
| EDF SA |
| | 950,000 | | | | 4.625 | | | | 04/26/30 | | | | 1,254,408 | |
Enel Finance International SA(a) |
| $ | 2,143,000 | | | | 5.125 | | | | 10/07/19 | | | | 2,008,580 | |
RWE AG(c) |
| EUR | 950,000 | | | | 4.625 | | | | 09/29/49 | | | | 1,170,942 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 7,426,023 | |
| |
| |
Energy – 1.7% |
| Anadarko Petroleum Corp. |
| $ | 1,600,000 | | | | 6.375 | | | | 09/15/17 | | | | 1,789,880 | |
| | 650,000 | | | | 6.950 | | | | 06/15/19 | | | | 751,347 | |
| BP Capital Markets PLC |
| GBP | 1,500,000 | | | | 4.325 | | | | 12/10/18 | | | | 2,392,828 | |
| EUR | 600,000 | | | | 4.154 | | | | 06/01/20 | | | | 830,912 | |
Dolphin Energy Ltd.(a) |
| $ | 1,245,876 | | | | 5.888 | | | | 06/15/19 | | | | 1,334,956 | |
| Gaz Capital SA for Gazprom |
| | 1,370,000 | | | | 9.250 | | | | 04/23/19 | | | | 1,589,200 | |
Marathon Petroleum Corp.(a) |
| | 650,000 | | | | 5.125 | | | | 03/01/21 | | | | 676,880 | |
| Petrobras International Finance Co. |
| | 140,000 | | | | 5.750 | | | | 01/20/20 | | | | 143,611 | |
| | 1,450,000 | | | | 5.375 | | | | 01/27/21 | | | | 1,442,266 | |
Schlumberger Investment SA(a) |
| | 600,000 | | | | 3.300 | | | | 09/14/21 | | | | 600,598 | |
TNK-BP Finance SA |
| | 268,000 | | | | 7.500 | | | | 07/18/16 | | | | 277,380 | |
| | 271,000 | | | | 6.625 | | | | 03/20/17 | | | | 270,322 | |
| | 190,000 | | | | 7.875 | | | | 03/13/18 | | | | 197,600 | |
| Transocean, Inc. |
| | 1,100,000 | | | | 6.500 | | | | 11/15/20 | | | | 1,196,172 | |
| | 9,000 | | | | 6.800 | | | | 03/15/38 | | | | 9,399 | |
| Weatherford International Ltd. |
| | 500,000 | | | | 9.625 | | | | 03/01/19 | | | | 638,981 | |
| | 1,698,000 | | | | 5.125 | | | | 09/15/20 | | | | 1,709,605 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 15,851,937 | |
| |
| |
Financial Companies – 1.8% |
| American Express Credit Corp. |
| GBP | 1,200,000 | | | | 5.375 | | | | 10/01/14 | | | | 1,989,368 | |
| $ | 700,000 | | | | 2.800 | | | | 09/19/16 | | | | 696,784 | |
Caisse centrale Desjardins du Quebec(a) |
| | 1,650,000 | | | | 2.550 | | | | 03/24/16 | | | | 1,712,726 | |
| Capital One Capital III |
| | 1,650,000 | | | | 7.686 | | | | 08/15/36 | | | | 1,612,875 | |
FUEL Trust(a) |
| | 2,300,000 | | | | 3.984 | | | | 06/15/16 | | | | 2,235,465 | |
| General Electric Capital Corp. |
| | 3,500,000 | | | | 4.625 | | | | 01/07/21 | | | | 3,605,164 | |
The accompanying notes are an integral part of these financial statements. 57
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Corporate Obligations – (continued) |
Financial Companies – (continued) |
| | | | | | | | | | | | | | | |
| Nationwide Building Society |
| EUR | 2,550,000 | | | | 4.625 | % | | | 09/13/12 | | | $ | 3,489,672 | |
| SLM Corp. |
| $ | 1,700,000 | | | | 6.250 | | | | 01/25/16 | | | | 1,667,602 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 17,009,656 | |
| |
| |
Food & Beverage – 0.5% |
| Anheuser-Busch InBev Worldwide, Inc. |
| | 700,000 | | | | 7.750 | | | | 01/15/19 | | | | 909,319 | |
| | 500,000 | | | | 6.875 | | | | 11/15/19 | | | | 633,401 | |
| | 400,000 | | | | 5.375 | | | | 01/15/20 | | | | 465,131 | |
| | 558,000 | | | | 8.200 | | | | 01/15/39 | | | | 839,301 | |
| Archer-Daniels-Midland Co. |
| | 1,432,000 | | | | 4.479 | | | | 03/01/21 | | | | 1,594,780 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 4,441,932 | |
| |
| |
Insurance – 1.5% |
Allianz Finance II BV(c) |
| EUR | 1,500,000 | | | | 5.750 | | | | 07/08/41 | | | | 1,585,393 | |
| American International Group, Inc. |
| $ | 750,000 | | | | 4.875 | | | | 09/15/16 | | | | 719,024 | |
| AON Financial Services Luxembourg SA |
| EUR | 650,000 | | | | 6.250 | | | | 07/01/14 | | | | 935,100 | |
Aviva PLC(c) |
| | 1,050,000 | | | | 6.875 | | | | 05/22/38 | | | | 1,239,687 | |
Cloverie PLC for Zurich Insurance Co.(c) |
| | 1,100,000 | | | | 7.500 | | | | 07/24/39 | | | | 1,483,540 | |
| Metropolitan Life Global Funding I |
| GBP | 1,050,000 | | | | 5.250 | | | | 01/09/14 | | | | 1,723,981 | |
| $ | 650,000 | | | | 2.000 | (a) | | | 01/10/14 | | | | 652,978 | |
Old Mutual PLC(c) |
| EUR | 100,000 | | | | 4.500 | | | | 01/18/17 | | | | 128,615 | |
| Prudential Financial, Inc. |
| $ | 2,150,000 | | | | 4.500 | | | | 11/15/20 | | | | 2,121,598 | |
QBE Capital Funding III Ltd.(a)(c) |
| | 1,000,000 | | | | 7.250 | | | | 05/24/41 | | | | 903,909 | |
Standard Life PLC(c) |
| EUR | 2,200,000 | | | | 5.314 | | | | 01/06/49 | | | | 2,240,062 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 13,733,887 | |
| |
| |
Metals & Mining – 0.8% |
Anglo American Capital PLC(a) |
| $ | 3,400,000 | | | | 9.375 | | | | 04/08/14 | | | | 3,949,722 | |
| ArcelorMittal |
| | 1,500,000 | | | | 9.850 | | | | 06/01/19 | | | | 1,708,850 | |
| Rio Tinto Finance USA Ltd. |
| | 1,158,000 | | | | 9.000 | | | | 05/01/19 | | | | 1,548,833 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 7,207,405 | |
| |
| |
Natural Gas(a) – 0.2% |
| DCP Midstream LLC |
| | 1,820,000 | | | | 5.350 | | | | 03/15/20 | | | | 1,917,439 | |
| |
| |
Real Estate Investment Trust – 0.6% |
| HCP, Inc. |
| | 1,850,000 | | | | 5.375 | | | | 02/01/21 | | | | 1,849,327 | |
| Simon Property Group LP |
| $ | 2,200,000 | | | | 5.650 | | | | 02/01/20 | | | | 2,409,428 | |
WEA Finance LLC(a) |
| | 1,600,000 | | | | 4.625 | | | | 05/10/21 | | | | 1,527,840 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 5,786,595 | |
| |
| |
Retailers – 0.1% |
| Wal-Mart Stores, Inc. |
| | 550,000 | | | | 5.000 | | | | 10/25/40 | | | | 613,673 | |
| |
| |
Transportation – 0.2% |
| Transnet Ltd. |
| | 1,940,000 | | | | 4.500 | | | | 02/10/16 | | | | 1,988,500 | |
| |
| |
TOTAL CORPORATE OBLIGATIONS |
(Cost $228,683,552) | | $ | 227,556,519 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Foreign Debt Obligations – 3.8% |
| Bank Nederlandse Gemeenten |
| EUR | 3,525,000 | | | | 4.125 | % | | | 06/28/16 | | | $ | 5,154,502 | |
Bank of America Corp.(c) |
| | 50,000 | | | | 4.000 | | | | 03/28/18 | | | | 45,521 | |
| European Investment Bank |
| | 7,900,000 | | | | 3.625 | | | | 01/15/21 | | | | 11,360,446 | |
| | 10,000,000 | | | | 2.875 | | | | 07/15/16 | | | | 13,934,082 | |
| European Union |
| | 2,100,000 | | | | 2.750 | | | | 09/21/21 | | | | 2,799,537 | |
| German Postal Pensions Securitisation 2 PLC |
| | 1,050,000 | | | | 4.250 | | | | 01/18/17 | | | | 1,537,142 | |
| |
| |
TOTAL FOREIGN DEBT OBLIGATIONS |
(Cost $35,393,140) | | $ | 34,831,230 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Asset-Backed Securities – 3.2% |
Home Equity – 0.4% |
CIT Mortgage Loan Trust Series 2007-1, Class 2A1(a)(c) |
| $ | 666,529 | | | | 1.235 | % | | | 10/25/37 | | | $ | 634,654 | |
CIT Mortgage Loan Trust Series 2007-1, Class 2A2(a)(c) |
| | 1,600,000 | | | | 1.485 | | | | 10/25/37 | | | | 1,192,412 | |
CIT Mortgage Loan Trust Series 2007-1, Class 2A3(a)(c) |
| | 2,900,000 | | | | 1.685 | | | | 10/25/37 | | | | 1,198,212 | |
GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 1A1 |
| | 136,546 | | | | 7.000 | | | | 09/25/37 | | | | 103,284 | |
GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 2A1 |
| | 176,560 | | | | 7.000 | | | | 09/25/37 | | | | 127,865 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 3,256,427 | |
| |
| |
Student Loans(c) – 2.8% |
Access Group, Inc. Series 2004-2, Class A2 |
| | 4,000,000 | | | | 0.403 | | | | 01/25/16 | | | | 3,794,401 | |
Brazos Higher Education Authority, Inc. Series 2005-3, Class A14 |
| | 476,193 | | | | 0.468 | | | | 09/25/23 | | | | 469,755 | |
College Loan Corp. Trust Series 2005-1, Class A2 |
| | 4,000,000 | | | | 0.353 | | | | 07/25/24 | | | | 3,959,083 | |
58 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS GLOBAL INCOME FUND
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Asset-Backed Securities – (continued) |
Student Loans(c) – (continued) |
| | | | | | | | | | | | | | | |
Educational Funding of the South, Inc. Series 2011-1, Class A2 |
| $ | 4,700,000 | | | | 0.903 | % | | | 04/25/35 | | | $ | 4,350,100 | |
GCO Education Loan Funding Trust Series 2006-1, Class A10L |
| | 300,000 | | | | 0.502 | | | | 02/27/28 | | | | 254,938 | |
GCO Education Loan Funding Trust Series 2006-1, Class A11L |
| | 700,000 | | | | 0.542 | | | | 05/25/36 | | | | 572,195 | |
Knowledgeworks Foundation Student Loan Series 2010-1, Class A |
| | 1,297,243 | | | | 1.262 | | | | 02/25/42 | | | | 1,279,421 | |
Nelnet Student Loan Trust Series 2010-3A, Class A(a) |
| | 1,450,002 | | | | 1.033 | | | | 07/27/48 | | | | 1,441,308 | |
Nelnet Student Loan Trust Series 2011-1A, Class A(a) |
| | 854,484 | | | | 1.085 | | | | 02/25/43 | | | | 852,566 | |
SLC Student Loan Center Series 2011-1, Class A(a) |
| | 1,712,328 | | | | 1.455 | | | | 10/25/27 | | | | 1,705,888 | |
SLC Student Loan Trust Series 2006-1, Class A4 |
| | 3,000,000 | | | | 0.427 | | | | 12/15/21 | | | | 2,953,570 | |
US Education Loan Trust LLC Series 2006-1, Class A2(a) |
| | 752,314 | | | | 0.456 | | | | 03/01/25 | | | | 739,620 | |
Wachovia Student Loan Trust Series 2006-1, Class A4(a) |
| | 4,000,000 | | | | 0.333 | | | | 04/25/23 | | | | 3,963,412 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 26,336,257 | |
| |
| |
TOTAL ASSET-BACKED SECURITIES |
(Cost $31,868,939) | | $ | 29,592,684 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Mortgage-Backed Obligations – 17.0% |
Adjustable Rate Non-Agency(c) – 0.3% |
American Home Mortgage Investment Trust Series 2004-3, Class 1A |
| $ | 11,250 | | | | 0.605 | % | | | 10/25/34 | | | $ | 10,263 | |
Countrywide Alternative Loan Trust Series 2005-38, Class A1 |
| | 264,778 | | | | 1.742 | | | | 09/25/35 | | | | 159,629 | |
Countrywide Alternative Loan Trust Series 2005-82, Class A1 |
| | 3,513,981 | | | | 0.505 | | | | 02/25/36 | | | | 1,846,109 | |
Countrywide Alternative Loan Trust Series 2006-OA1, Class 2A1 |
| | 1,222,482 | | | | 0.441 | | | | 03/20/46 | | | | 647,219 | |
| |
| |
TOTAL ADJUSTABLE RATE NON-AGENCY | | $ | 2,663,220 | |
| |
| |
Collateralized Mortgage Obligations – 4.0% |
Arkle Master Issuer PLC Series 2010-2X, Class 2A(c) |
| EUR | 1,500,000 | | | | 3.038 | | | | 05/17/60 | | | | 2,008,086 | |
Arran Residential Mortgages Funding PLC Series 2011-1A, Class A1B(a)(c) |
| | 745,090 | | | | 2.735 | | | | 11/19/47 | | | | 996,389 | |
Countrywide Home Loan Mortgage Pass-Through Trust Series 2004-HYB5, Class 2A1(c) |
| $ | 360,290 | | | | 2.699 | | | | 04/20/35 | | | | 304,517 | |
FHLMC Multifamily Structured Pass-Through Certificates Series K011, Class A2(c) |
| | 3,400,000 | | | | 4.084 | | | | 11/25/20 | | | | 3,730,687 | |
| FHLMC Multifamily Structured Pass-Through Certificates Series K703, Class A2 |
| | 3,000,000 | | | | 2.699 | | | | 05/25/18 | | | | 3,060,128 | |
GMAC Mortgage Corp. Loan Trust Series 2004-AR1, Class 12A(c) |
| | 628,727 | | | | 3.105 | | | | 06/25/34 | | | | 585,596 | |
Granite Mortgages PLC Series 2004-2, Class 3A(c) |
| GBP | 478,815 | | | | 1.245 | | | | 06/20/44 | | | | 711,262 | |
Granite Mortgages PLC Series 2004-3, Class 3A1(c) |
| | 479,044 | | | | 1.285 | | | | 09/20/44 | | | | 711,592 | |
Harborview Mortgage Loan Trust Series 2006-6, Class 3A1A(c) |
| $ | 1,516,310 | | | | 2.693 | | | | 08/19/36 | | | | 849,588 | |
Indymac Index Mortgage Loan Trust Series 2005-AR13, Class 4A1(c) |
| | 329,979 | | | | 2.466 | | | | 08/25/35 | | | | 216,697 | |
Lanark Master Issuer PLC Series 2007-1X, Class 3A2(c) |
| EUR | 3,174,229 | | | | 1.675 | | | | 12/22/54 | | | | 4,184,584 | |
Luminent Mortgage Trust Series 2006-5, Class A1A(c) |
| $ | 1,473,633 | | | | 0.425 | | | | 07/25/36 | | | | 692,512 | |
NCUA Guaranteed Notes Series 2010-C1, Class APT |
| | 3,708,300 | | | | 2.650 | | | | 10/29/20 | | | | 3,836,931 | |
NCUA Guaranteed Notes Series 2010-R1, Class 2A |
| | 165,145 | | | | 1.840 | | | | 10/07/20 | | | | 165,764 | |
Permanent Master Issuer PLC Series 2006-1, Class 6A1(c) |
| GBP | 800,000 | | | | 0.947 | | | | 04/15/20 | | | | 1,222,538 | |
Permanent Master Issuer PLC Series 2009-1, Class A3(c) |
| EUR | 3,300,000 | | | | 3.305 | | | | 07/15/42 | | | | 4,435,800 | |
Permanent Master Issuer PLC Series 2011-1A, Class 1A3(a)(c) |
| | 2,100,000 | | | | 2.905 | | | | 07/15/42 | | | | 2,802,806 | |
Residential Accredit Loans, Inc. Series 2005-Q05, Class A1(c) |
| $ | 1,600,926 | | | | 1.242 | | | | 01/25/46 | | | | 791,203 | |
Sequoia Mortgage Trust Series 2004-10, Class A3A(c) |
| | 335,261 | | | | 0.765 | | | | 11/20/34 | | | | 264,588 | |
Silverstone Master Issuer Series 2010-1A, Class A2(a)(c) |
| EUR | 2,500,000 | | | | 3.109 | | | | 01/21/55 | | | | 3,346,771 | |
Structured Adjustable Rate Mortgage Loan Trust Series 2004-12, Class 3A2(c) |
| $ | 159,524 | | | | 2.444 | | | | 09/25/34 | | | | 132,278 | |
Structured Adjustable Rate Mortgage Loan Trust Series 2004-16, Class 3A1(c) |
| | 819,541 | | | | 2.649 | | | | 11/25/34 | | | | 687,922 | |
Structured Adjustable Rate Mortgage Loan Trust Series 2004-5, Class 3A1(c) |
| | 785,665 | | | | 2.539 | | | | 05/25/34 | | | | 701,599 | |
Washington Mutual Mortgage Pass-Through Certificates Series 2007-0A1, Class A1A(c) |
| | 1,753,191 | | | | 0.942 | | | | 02/25/47 | | | | 970,474 | |
| |
| |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | | $ | 37,410,312 | |
| |
| |
The accompanying notes are an integral part of these financial statements. 59
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Mortgage-Backed Obligations – (continued) |
| | | | | | | | | | | | | | | |
Commercial Mortgage-Backed Securities – 0.3% |
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2006-LDP9, Class A3 |
| $ | 3,000,000 | | | | 5.336 | % | | | 05/15/47 | | | $ | 3,123,324 | |
| |
| |
Federal Agencies – 12.4% |
Adjustable Rate FNMA(c) – 0.9% |
| | 3,365,100 | | | | 5.751 | | | | 09/01/37 | | | | 3,577,304 | |
| | 1,518,251 | | | | 6.351 | | | | 09/01/37 | | | | 1,621,206 | |
| | 2,327,404 | | | | 5.795 | | | | 10/01/37 | | | | 2,479,153 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 7,677,663 | |
| |
| |
FHLMC – 2.0% |
| | 1,970 | | | | 5.000 | | | | 09/01/16 | | | | 2,111 | |
| | 24,986 | | | | 5.000 | | | | 11/01/16 | | | | 26,818 | |
| | 5,153 | | | | 5.000 | | | | 12/01/16 | | | | 5,537 | |
| | 68,319 | | | | 5.000 | | | | 01/01/17 | | | | 73,360 | |
| | 127,719 | | | | 5.000 | | | | 02/01/17 | | | | 137,073 | |
| | 101,902 | | | | 5.000 | | | | 03/01/17 | | | | 109,367 | |
| | 183,568 | | | | 5.000 | | | | 04/01/17 | | | | 197,016 | |
| | 7,295 | | | | 5.000 | | | | 05/01/17 | | | | 7,829 | |
| | 2,597 | | | | 5.000 | | | | 06/01/17 | | | | 2,787 | |
| | 4,613 | | | | 5.000 | | | | 08/01/17 | | | | 4,951 | |
| | 470,604 | | | | 5.000 | | | | 09/01/17 | | | | 505,079 | |
| | 532,110 | | | | 5.000 | | | | 10/01/17 | | | | 571,091 | |
| | 304,145 | | | | 5.000 | | | | 11/01/17 | | | | 326,431 | |
| | 334,183 | | | | 5.000 | | | | 12/01/17 | | | | 358,663 | |
| | 413,046 | | | | 5.000 | | | | 01/01/18 | | | | 443,863 | |
| | 935,890 | | | | 5.000 | | | | 02/01/18 | | | | 1,005,639 | |
| | 905,522 | | | | 5.000 | | | | 03/01/18 | | | | 973,394 | |
| | 770,085 | | | | 5.000 | | | | 04/01/18 | | | | 828,110 | |
| | 536,111 | | | | 5.000 | | | | 05/01/18 | | | | 576,540 | |
| | 131,955 | | | | 5.000 | | | | 06/01/18 | | | | 141,780 | |
| | 126,012 | | | | 5.000 | | | | 07/01/18 | | | | 135,344 | |
| | 71,288 | | | | 5.000 | | | | 08/01/18 | | | | 76,576 | |
| | 46,075 | | | | 5.000 | | | | 09/01/18 | | | | 49,573 | |
| | 165,944 | | | | 5.000 | | | | 10/01/18 | | | | 178,552 | |
| | 193,982 | | | | 5.000 | | | | 11/01/18 | | | | 208,722 | |
| | 133,956 | | | | 5.000 | | | | 12/01/18 | | | | 144,128 | |
| | 92,844 | | | | 5.000 | | | | 01/01/19 | | | | 99,923 | |
| | 14,139 | | | | 5.000 | | | | 02/01/19 | | | | 15,249 | |
| | 22,344 | | | | 5.000 | | | | 03/01/19 | | | | 24,098 | |
| | 90,101 | | | | 5.000 | | | | 02/01/37 | | | | 97,545 | |
| | 925,089 | | | | 4.500 | | | | 09/01/39 | | | | 993,194 | |
| | 337,779 | | | | 4.500 | | | | 10/01/39 | | | | 362,771 | |
| | 144,589 | | | | 5.000 | | | | 01/01/40 | | | | 156,670 | |
| | 4,400,000 | | | | 3.550 | | | | 11/01/41 | | | | 4,523,988 | |
| | 5,000,000 | | | | 4.000 | | | | TBA-30yr | (d) | | | 5,233,203 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 18,596,975 | |
| |
| |
FNMA – 9.4% |
| | 8,432 | | | | 5.000 | | | | 04/01/18 | | | | 9,059 | |
| | 61,805 | | | | 5.000 | | | | 05/01/18 | | | | 66,400 | |
| | 7,649 | | | | 5.000 | | | | 06/01/18 | | | | 8,217 | |
| | 7,340 | | | | 5.000 | | | | 11/01/18 | | | | 7,885 | |
| | 6,172 | | | | 5.000 | | | | 03/01/19 | | | | 6,655 | |
| | 8,347 | | | | 5.000 | | | | 04/01/19 | | | | 9,020 | |
| | 4,000,000 | | | | 4.506 | | | | 06/01/19 | | | | 4,434,883 | |
| | 1,687,461 | | | | 3.416 | | | | 10/01/20 | | | | 1,759,557 | |
| | 2,481,042 | | | | 3.375 | | | | 11/01/20 | | | | 2,580,215 | |
| | 1,290,718 | | | | 3.632 | | | | 12/01/20 | | | | 1,362,523 | |
| | 793,624 | | | | 3.763 | | | | 12/01/20 | | | | 844,716 | |
| | 400,000 | | | | 3.830 | | | | 07/01/21 | | | | 426,077 | |
| | 2,000,000 | | | | 3.840 | | | | 07/01/21 | | | | 2,131,735 | |
| | 1,600,000 | | | | 4.010 | | | | 09/01/21 | | | | 1,722,089 | |
| | 20,146 | | | | 5.000 | | | | 08/01/33 | | | | 21,732 | |
| | 11,843 | | | | 5.500 | | | | 02/01/34 | | | | 12,914 | |
| | 11,586 | | | | 5.500 | | | | 05/01/34 | | | | 12,632 | |
| | 7,405 | | | | 5.500 | | | | 10/01/34 | | | | 8,072 | |
| | 65,636 | | | | 5.500 | | | | 12/01/34 | | | | 71,551 | |
| | 16,646 | | | | 5.500 | | | | 04/01/35 | | | | 18,143 | |
| | 15,679 | | | | 5.500 | | | | 07/01/35 | | | | 17,085 | |
| | 29,426 | | | | 6.000 | | | | 07/01/38 | | | | 32,291 | |
| | 137,343 | | | | 4.500 | | | | 05/01/39 | | | | 147,327 | |
| | 62,576 | | | | 4.500 | | | | 06/01/39 | | | | 67,125 | |
| | 518,124 | | | | 4.500 | | | | 08/01/39 | | | | 557,484 | |
| | 43,526 | | | | 4.500 | | | | 09/01/39 | | | | 46,881 | |
| | 111,382 | | | | 4.500 | | | | 10/01/39 | | | | 119,967 | |
| | 178,554 | | | | 4.500 | | | | 11/01/39 | | | | 192,315 | |
| | 254,662 | | | | 4.500 | | | | 12/01/39 | | | | 274,130 | |
| | 4,936,429 | | | | 3.500 | | | | 02/01/41 | | | | 5,074,510 | |
| | 994,692 | | | | 3.500 | | | | 03/01/41 | | | | 1,022,572 | |
| | 4,921,151 | | | | 3.500 | | | | 03/01/41 | | | | 5,058,805 | |
| | 22,000,000 | | | | 3.000 | | | | TBA-15yr | (d) | | | 22,576,876 | |
| | 35,000,000 | | | | 4.000 | | | | TBA-30yr | (d) | | | 36,645,274 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 87,346,717 | |
| |
| |
GNMA – 0.1% |
| | 856,142 | | | | 3.950 | | | | 07/15/25 | | | | 934,366 | |
| | 92,413 | | | | 4.500 | | | | 10/15/39 | | | | 101,113 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 1,035,479 | |
| |
| |
TOTAL FEDERAL AGENCIES | | $ | 114,656,834 | |
| |
| |
TOTAL MORTGAGE-BACKED OBLIGATIONS |
(Cost $161,240,323) | | $ | 157,853,690 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Government Guarantee Obligations(e) – 9.5% |
Achmea Hypotheekbank NV(a) |
| $ | 4,800,000 | | | | 3.200 | % | | | 11/03/14 | | | $ | 5,074,546 | |
| FMS Wertmanagement |
| EUR | 11,000,000 | | | | 2.250 | | | | 07/14/14 | | | | 15,037,416 | |
| | 3,000,000 | | | | 3.000 | | | | 09/08/21 | | | | 4,097,030 | |
| ING Bank NV |
| | 2,600,000 | | | | 3.375 | | | | 03/03/14 | | | | 3,641,487 | |
| Kreditanstalt fuer Wiederaufbau |
| | 3,000,000 | | | | 3.125 | | | | 02/25/14 | | | | 4,201,414 | |
| | 7,700,000 | | | | 3.125 | | | | 04/08/16 | | | | 10,927,229 | |
| | 18,200,000 | | | | 2.000 | | | | 09/07/16 | | | | 24,578,783 | |
| | 7,700,000 | | | | 2.625 | | | | 08/16/19 | | | | 10,530,957 | |
60 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS GLOBAL INCOME FUND
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Government Guarantee Obligations(e) – (continued) |
| Kreditanstalt fuer Wiederaufbau (continued) |
| | | | | | | | | | | | | | | |
| AUD | 3,000,000 | | | | 6.000 | % | | | 08/20/20 | | | $ | 3,056,965 | |
| LeasePlan Corp. NV |
| EUR | 2,750,000 | | | | 3.250 | | | | 05/22/14 | | | | 3,850,438 | |
| Swedbank AB |
| | 2,550,000 | | | | 3.375 | | | | 05/27/14 | | | | 3,582,718 | |
| |
| |
TOTAL GOVERNMENT GUARANTEE OBLIGATIONS |
(Cost $90,904,018) | | $ | 88,578,983 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
U.S. Treasury Obligations – 3.3% |
| United States Treasury Bonds |
| $ | 1,710,000 | | | | 6.500 | % | | | 11/15/26 | | | $ | 2,575,961 | |
| | 890,000 | | | | 3.875 | | | | 08/15/40 | | | | 1,057,631 | |
| | 2,200,000 | | | | 4.250 | | | | 11/15/40 | | | | 2,782,802 | |
| | 2,200,000 | | | | 4.375 | (f) | | | 05/15/41 | | | | 2,842,818 | |
| United States Treasury Notes |
| | 10,000,000 | | | | 0.250 | | | | 09/15/14 | | | | 9,949,200 | |
| | 10,700,000 | | | | 2.125 | (f) | | | 08/15/21 | | | | 10,887,678 | |
| |
| |
TOTAL U.S. TREASURY OBLIGATIONS |
(Cost $28,224,613) | | $ | 30,096,090 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | Exercise
| | Expiration
| | |
| Contracts | | Rate | | Date | | Value |
| |
Options Purchased – 0.0% |
| Cross Currency Options – 0.0% |
| Put USD 5,234,000 |
| | Call TRY 8,112,700 | | | | 1.550 | % | | | 10/25/11 | | | $ | — | |
| |
| |
TOTAL OPTIONS PURCHASED |
(Cost $4,135) | | $ | — | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Short-Term Obligations – 6.3% |
Commercial Paper – 6.3% |
| Rabobank |
| $ | 22,365,269 | | | | 0.030 | % | | | 10/03/11 | | | $ | 22,365,269 | |
| Royal Bank of Scotland Group PLC |
| | 36,266,905 | | | | 0.060 | | | | 10/03/11 | | | | 36,266,905 | |
| |
| |
TOTAL SHORT-TERM OBLIGATIONS |
(Cost $58,632,174) | | $ | 58,632,174 | |
| |
| |
TOTAL INVESTMENTS – 102.3% |
(Cost $934,667,099) | | $ | 949,608,749 | |
| |
| |
LIABILITIES IN EXCESS OF OTHER ASSETS – (2.3)% | | | (20,999,926 | ) |
| |
| |
NET ASSETS – 100.0% | | $ | 928,608,823 | |
| |
| |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| | |
| (a) | | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $106,304,856, which represents approximately 11.4% of net assets as of September 30, 2011. |
| |
| (b) | | Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at September 30, 2011. |
| |
| (c) | | Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. |
| |
| (d) | | TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $64,455,353, which represents approximately 6.9% of net assets as of September 30, 2011. |
| |
| (e) | | Guaranteed by a foreign government until maturity. Total market value of these securities amounts to $88,578,983, which represents approximately 9.5% of net assets as of September 30, 2011. |
| |
| (f) | | All or a portion of security is segregated as collateral for initial margin requirement on futures transactions. |
The accompanying notes are an integral part of these financial statements. 61
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| | | | | |
| |
| |
Currency Abbreviations: |
| AUD | | — | | Australian Dollar |
| BRL | | — | | Brazilian Real |
| CAD | | — | | Canadian Dollar |
| CHF | | — | | Swiss Franc |
| CLP | | — | | Chilean Peso |
| CNY | | — | | Chinese Yuan |
| COP | | — | | Colombian Peso |
| CZK | | — | | Czech Koruna |
| DKK | | — | | Danish Krone |
| EUR | | — | | Euro |
| GBP | | — | | British Pound |
| HUF | | — | | Hungarian Forint |
| IDR | | — | | Indonesian Rupiah |
| INR | | — | | Indian Rupee |
| JPY | | — | | Japanese Yen |
| KRW | | — | | South Korean Won |
| MXN | | — | | Mexican Peso |
| MYR | | — | | Malaysian Ringgit |
| NOK | | — | | Norwegian Krone |
| NZD | | — | | New Zealand Dollar |
| PEN | | — | | Peruvian Nuevo Sol |
| PLN | | — | | Polish Zloty |
| RUB | | — | | Russian Ruble |
| SEK | | — | | Swedish Krona |
| SGD | | — | | Singapore Dollar |
| TRY | | — | | Turkish Lira |
| TWD | | — | | Taiwan Dollar |
| ZAR | | — | | South African Rand |
| |
Investment Abbreviations: |
| BP | | — | | British Pound Offered Rate |
| CDOR | | — | | Canadian Dollar Offered Rate |
| CHFOR | | — | | Swiss Franc Offered Rate |
| EURO | | — | | Euro Offered Rate |
| FHLMC | | — | | Federal Home Loan Mortgage Corp. |
| FNMA | | — | | Federal National Mortgage Association |
| GNMA | | — | | Government National Mortgage Association |
| JYOR | | — | | Japanese Yen Offered Rate |
| KWCDC | | — | | South Korean Won Certificate of Deposit |
| LIBOR | | — | | London Interbank Offered Rate |
| NCUA | | — | | National Credit Union Administration |
| NZDOR | | — | | New Zealand Dollar Offered Rate |
| OTC | | — | | Over the Counter |
| SPA | | — | | Stand-by Purchase Agreement |
| |
| |
62 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS GLOBAL INCOME FUND
| |
| ADDITIONAL INVESTMENT INFORMATION | |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2011, the Fund had outstanding forward foreign currency exchange contracts, both to purchase and sell foreign currencies:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| | | | | | | | | | | | | |
| | | Contracts to
| | Expiration
| | Current
| | Unrealized
|
| Counterparty | | Buy/Sell | | Date | | Value | | Gain |
| |
| Bank of America Securities LLC | | EUR/HUF | | 12/21/11 | | $ | 882,195 | | | $ | 52,643 | |
| | | EUR/PLN | | 12/21/11 | | | 2,279,300 | | | | 88,600 | |
| | | INR/USD | | 10/28/11 | | | 512,091 | | | | 1,091 | |
| | | JPY/AUD | | 12/21/11 | | | 2,287,156 | | | | 223,343 | |
| | | USD/CAD | | 12/21/11 | | | 922,569 | | | | 60,431 | |
| | | USD/CLP | | 10/07/11 | | | 877,933 | | | | 109,067 | |
| | | USD/CNY | | 02/08/12 | | | 941,149 | | | | 1,134 | |
| | | USD/EUR | | 12/21/11 | | | 1,901,820 | | | | 73,656 | |
| | | USD/HUF | | 12/21/11 | | | 499,737 | | | | 26,263 | |
| | | USD/INR | | 10/14/11 | | | 474,635 | | | | 8,365 | |
| Barclays Bank PLC | | EUR/HUF | | 12/21/11 | | | 32,412 | | | | 566 | |
| | | EUR/PLN | | 12/21/11 | | | 946,458 | | | | 20,523 | |
| | | JPY/EUR | | 12/21/11 | | | 1,000,464 | | | | 8,960 | |
| | | USD/EUR | | 10/13/11 | | | 5,925,631 | | | | 130,730 | |
| | | USD/EUR | | 12/21/11 | | | 958,377 | | | | 23,199 | |
| | | USD/HUF | | 10/18/11 | | | 638,911 | | | | 92,722 | |
| | | USD/INR | | 10/19/11 | | | 487,868 | | | | 9,132 | |
| | | USD/INR | | 11/04/11 | | | 814,297 | | | | 67,900 | |
| | | USD/SEK | | 12/21/11 | | | 2,194,797 | | | | 131,602 | |
| | | USD/ZAR | | 12/21/11 | | | 1,293,956 | | | | 20,044 | |
| BNP Paribas SA | | CAD/EUR | | 12/21/11 | | | 910,731 | | | | 980 | |
| | | GBP/USD | | 12/21/11 | | | 1,022,150 | | | | 393 | |
| | | USD/GBP | | 12/21/11 | | | 2,150,730 | | | | 87,200 | |
| | | USD/JPY | | 12/21/11 | | | 865,328 | | | | 3,672 | |
| Citibank NA | | CNY/USD | | 10/25/11 | | | 2,025,415 | | | | 1,326 | |
| | | CNY/USD | | 02/08/12 | | | 1,773,755 | | | | 16,641 | |
| | | EUR/NOK | | 12/21/11 | | | 2,369,779 | | | | 43,657 | |
| | | EUR/PLN | | 12/21/11 | | | 499,996 | | | | 906 | |
| | | EUR/SEK | | 12/21/11 | | | 952,847 | | | | 22,170 | |
| | | JPY/EUR | | 12/21/11 | | | 1,548,242 | | | | 12,620 | |
| | | USD/COP | | 10/18/11 | | | 515,481 | | | | 45,466 | |
| | | USD/EUR | | 10/13/11 | | | 182,587,242 | | | | 12,103,092 | |
| | | USD/EUR | | 12/21/11 | | | 7,019,118 | | | | 337,480 | |
| | | USD/INR | | 10/21/11 | | | 960,942 | | | | 22,058 | |
| | | USD/JPY | | 10/04/11 | | | 5,553,634 | | | | 29,366 | |
| | | USD/JPY | | 12/21/11 | | | 1,114,195 | | | | 3,875 | |
| | | USD/MXN | | 12/21/11 | | | 949,524 | | | | 34,476 | |
| | | USD/MYR | | 10/03/11 | | | 935,513 | | | | 9,743 | |
| | | USD/MYR | | 10/11/11 | | | 2,448,155 | | | | 10,345 | |
| | | USD/SGD | | 12/21/11 | | | 919,689 | | | | 67,311 | |
| Credit Suisse International (London) | | EUR/AUD | | 12/21/11 | | | 975,831 | | | | 5,883 | |
| | | USD/CHF | | 12/21/11 | | | 617,168 | | | | 93,832 | |
| | | USD/INR | | 11/04/11 | | | 182,728 | | | | 15,237 | |
| | | USD/JPY | | 12/21/11 | | | 680,016 | | | | 5,984 | |
| | | USD/KRW | | 10/31/11 | | | 1,331,662 | | | | 116,338 | |
| | | USD/ZAR | | 10/28/11 | | | 7,442,064 | | | | 1,109,532 | |
The accompanying notes are an integral part of these financial statements. 63
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| |
| ADDITIONAL INVESTMENT INFORMATION (continued) | |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)
| | | | | | | | | | | | | |
| | | Contracts to
| | Expiration
| | Current
| | Unrealized
|
| Counterparty | | Buy/Sell | | Date | | Value | | Gain |
| |
| Deutsche Bank AG (London) | | CNY/USD | | 10/25/11 | | $ | 2,098,145 | | | $ | 18,466 | |
| | | CNY/USD | | 02/08/12 | | | 598,375 | | | | 3,950 | |
| | | CNY/USD | | 03/01/12 | | | 4,264,380 | | | | 33,218 | |
| | | EUR/NZD | | 12/21/11 | | | 959,493 | | | | 15,525 | |
| | | GBP/EUR | | 12/21/11 | | | 964,303 | | | | 12,522 | |
| | | INR/USD | | 10/21/11 | | | 512,638 | | | | 1,638 | |
| | | USD/CZK | | 12/21/11 | | | 1,091,973 | | | | 101,889 | |
| | | USD/DKK | | 11/22/11 | | | 2,827,754 | | | | 15,757 | |
| | | USD/EUR | | 10/13/11 | | | 2,213,279 | | | | 109,596 | |
| | | USD/EUR | | 12/21/11 | | | 1,959,410 | | | | 32,755 | |
| | | USD/IDR | | 10/06/11 | | | 1,915,977 | | | | 23,128 | |
| | | USD/INR | | 10/14/11 | | | 488,342 | | | | 8,658 | |
| | | USD/INR | | 10/28/11 | | | 2,747,298 | | | | 6,702 | |
| | | USD/JPY | | 11/09/11 | | | 123,436,470 | | | | 360,670 | |
| | | USD/NZD | | 12/21/11 | | | 520,679 | | | | 2,370 | |
| | | USD/PLN | | 10/17/11 | | | 2,277,252 | | | | 315,331 | |
| | | USD/SEK | | 11/14/11 | | | 5,481,070 | | | | 415,153 | |
| HSBC Bank PLC | | EUR/NOK | | 12/21/11 | | | 3,064,858 | | | | 32,965 | |
| | | USD/AUD | | 10/28/11 | | | 6,207,968 | | | | 170,369 | |
| | | USD/BRL | | 10/18/11 | | | 456,595 | | | | 38,405 | |
| | | USD/EUR | | 12/21/11 | | | 483,491 | | | | 8,861 | |
| | | USD/PEN | | 10/24/11 | | | 1,617,454 | | | | 17,746 | |
| | | USD/TRY | | 12/21/11 | | | 953,885 | | | | 29,115 | |
| | | USD/ZAR | | 12/21/11 | | | 494,620 | | | | 13,380 | |
| | | ZAR/USD | | 12/21/11 | | | 529,574 | | | | 2,574 | |
| JPMorgan Securities, Inc. | | CNY/USD | | 02/08/12 | | | 1,782,545 | | | | 16,311 | |
| | | EUR/HUF | | 12/21/11 | | | 486,107 | | | | 62 | |
| | | USD/AUD | | 12/21/11 | | | 922,719 | | | | 49,583 | |
| | | USD/CAD | | 12/21/11 | | | 911,257 | | | | 51,743 | |
| | | USD/EUR | | 12/21/11 | | | 582,600 | | | | 11,654 | |
| | | USD/GBP | | 10/19/11 | | | 40,728,262 | | | | 994,250 | |
| | | USD/MXN | | 11/29/11 | | | 1,873,159 | | | | 50,935 | |
| | | USD/MXN | | 12/21/11 | | | 1,475,285 | | | | 215 | |
| | | USD/MYR | | 10/11/11 | | | 1,324,019 | | | | 66,481 | |
| | | USD/NZD | | 12/21/11 | | | 2,851,229 | | | | 97,153 | |
| | | USD/PLN | | 12/21/11 | | | 887,949 | | | | 100,051 | |
| | | USD/TRY | | 12/21/11 | | | 1,053,616 | | | | 1,384 | |
| | | USD/TWD | | 10/25/11 | | | 961,539 | | | | 21,461 | |
| | | USD/ZAR | | 12/21/11 | | | 524,929 | | | | 2,071 | |
| Morgan Stanley Capital Services, Inc. | | USD/HUF | | 12/21/11 | | | 2,390,525 | | | | 346,528 | |
| | | USD/INR | | 11/04/11 | | | 1,303,346 | | | | 86,654 | |
| | | USD/ZAR | | 12/21/11 | | | 496,384 | | | | 11,616 | |
| Royal Bank of Canada | | EUR/CAD | | 12/21/11 | | | 954,895 | | | | 18,784 | |
| | | USD/AUD | | 12/21/11 | | | 2,324,525 | | | | 109,375 | |
| | | USD/CAD | | 10/04/11 | | | 20,766,465 | | | | 1,356,651 | |
| | | USD/CAD | | 12/21/11 | | | 2,456,837 | | | | 30,163 | |
| | | USD/EUR | | 10/13/11 | | | 136,598,569 | | | | 10,365,659 | |
| | | USD/MYR | | 10/11/11 | | | 763,909 | | | | 17,243 | |
| | | USD/ZAR | | 12/21/11 | | | 904,472 | | | | 89,528 | |
64 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS GLOBAL INCOME FUND
| |
| ADDITIONAL INVESTMENT INFORMATION (continued) | |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)
| | | | | | | | | | | | | |
| | | Contracts to
| | Expiration
| | Current
| | Unrealized
|
| Counterparty | | Buy/Sell | | Date | | Value | | Gain |
| |
| Royal Bank of Scotland PLC | | CNY/USD | | 10/25/11 | | $ | 2,098,145 | | | $ | 18,789 | |
| | | CNY/USD | | 03/14/12 | | | 4,371,112 | | | | 63,112 | |
| | | EUR/CAD | | 12/21/11 | | | 937,930 | | | | 33,070 | |
| | | USD/CLP | | 10/07/11 | | | 441,168 | | | | 52,832 | |
| | | USD/EUR | | 12/21/11 | | | 463,401 | | | | 28,555 | |
| | | USD/GBP | | 12/21/11 | | | 961,382 | | | | 23,143 | |
| | | USD/NZD | | 12/21/11 | | | 2,420,441 | | | | 209,013 | |
| | | USD/TWD | | 10/25/11 | | | 3,922,670 | | | | 10,330 | |
| Standard Chartered Bank | | USD/EUR | | 12/21/11 | | | 706,767 | | | | 11,570 | |
| | | USD/KRW | | 10/04/11 | | | 1,088,531 | | | | 10,147 | |
| State Street Bank | | EUR/NOK | | 12/21/11 | | | 970,133 | | | | 7,563 | |
| | | USD/AUD | | 12/21/11 | | | 1,548,406 | | | | 4,199 | |
| | | USD/CAD | | 12/21/11 | | | 524,114 | | | | 2,886 | |
| UBS AG (London) | | CHF/EUR | | 12/21/11 | | | 1,814,765 | | | | 6,603 | |
| | | CNY/USD | | 02/08/12 | | | 1,773,755 | | | | 16,914 | |
| | | EUR/CHF | | 12/21/11 | | | 1,111,300 | | | | 8,363 | |
| | | EUR/HUF | | 12/21/11 | | | 903,439 | | | | 50,150 | |
| | | GBP/USD | | 12/21/11 | | | 997,220 | | | | 14,064 | |
| | | USD/BRL | | 10/11/11 | | | 854,180 | | | | 128,819 | |
| | | USD/BRL | | 10/18/11 | | | 1,366,261 | | | | 108,739 | |
| | | USD/BRL | | 10/27/11 | | | 975,700 | | | | 41,300 | |
| | | USD/CAD | | 11/17/11 | | | 20,745,113 | | | | 169,563 | |
| | | USD/EUR | | 10/13/11 | | | 1,894,269 | | | | 54,037 | |
| | | USD/EUR | | 12/21/11 | | | 952,249 | | | | 38,609 | |
| | | USD/JPY | | 10/04/11 | | | 117,820,891 | | | | 986,155 | |
| | | USD/PLN | | 12/21/11 | | | 1,360,290 | | | | 140,374 | |
| | | USD/RUB | | 10/18/11 | | | 1,430,511 | | | | 44,489 | |
| | | USD/ZAR | | 10/28/11 | | | 1,581,526 | | | | 152,090 | |
| Westpac Banking Corp. | | EUR/AUD | | 12/21/11 | | | 465,258 | | | | 19,572 | |
| | | USD/AUD | | 12/21/11 | | | 447,466 | | | | 40,054 | |
| | | USD/EUR | | 10/13/11 | | | 8,297,510 | | | | 317,268 | |
| | | USD/NZD | | 12/21/11 | | | 522,953 | | | | 964 | |
| |
| |
TOTAL | | | | | | | | | | $ | 33,849,188 | |
| |
| |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | |
| | | Contracts to
| | Expiration
| | Current
| | Unrealized
|
| Counterparty | | Buy/Sell | | Date | | Value | | Loss |
| |
| Bank of America Securities LLC | | AUD/USD | | 12/21/11 | | $ | 498,249 | | | $ | (26,993 | ) |
| | | CLP/USD | | 10/07/11 | | | 1,319,101 | | | | (89,878 | ) |
| | | KRW/USD | | 10/31/11 | | | 625,822 | | | | (1,888 | ) |
| | | PLN/EUR | | 12/21/11 | | | 1,425,026 | | | | (52,526 | ) |
| | | SEK/EUR | | 12/21/11 | | | 486,169 | | | | (1,867 | ) |
| | | TWD/USD | | 10/25/11 | | | 1,814,196 | | | | (109,243 | ) |
The accompanying notes are an integral part of these financial statements. 65
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| |
| ADDITIONAL INVESTMENT INFORMATION (continued) | |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)
| | | | | | | | | | | | | |
| | | Contracts to
| | Expiration
| | Current
| | Unrealized
|
| Counterparty | | Buy/Sell | | Date | | Value | | Loss |
| |
| Barclays Bank PLC | | AUD/USD | | 12/21/11 | | $ | 919,951 | | | $ | (43,674 | ) |
| | | EUR/HUF | | 12/21/11 | | | 489,083 | | | | (235 | ) |
| | | EUR/USD | | 10/13/11 | | | 4,186,813 | | | | (213,881 | ) |
| | | HUF/EUR | | 12/21/11 | | | 329,777 | | | | (5,661 | ) |
| | | INR/USD | | 10/07/11 | | | 725,257 | | | | (48,743 | ) |
| | | MXN/USD | | 12/21/11 | | | 1,802,748 | | | | (164,252 | ) |
| | | PLN/EUR | | 12/21/11 | | | 471,437 | | | | (19,465 | ) |
| | | SGD/USD | | 12/21/11 | | | 973,156 | | | | (9,844 | ) |
| | | USD/CNY | | 03/01/12 | | | 1,976,557 | | | | (3,557 | ) |
| | | USD/GBP | | 12/21/11 | | | 392,655 | | | | (1,912 | ) |
| | | USD/KRW | | 10/31/11 | | | 589,632 | | | | (3,905 | ) |
| | | USD/ZAR | | 12/21/11 | | | 1,122,193 | | | | (20,193 | ) |
| BNP Paribas SA | | MXN/USD | | 12/21/11 | | | 854,945 | | | | (111,055 | ) |
| Citibank NA | | COP/USD | | 10/18/11 | | | 515,481 | | | | (47,209 | ) |
| | | GBP/USD | | 12/21/11 | | | 509,517 | | | | (852 | ) |
| | | IDR/USD | | 10/06/11 | | | 953,392 | | | | (29,608 | ) |
| | | KRW/USD | | 10/31/11 | | | 3,712,482 | | | | (420,797 | ) |
| | | MXN/USD | | 12/21/11 | | | 875,547 | | | | (107,453 | ) |
| | | MYR/USD | | 11/09/11 | | | 934,179 | | | | (8,780 | ) |
| | | NZD/EUR | | 12/21/11 | | | 952,249 | | | | (49,590 | ) |
| | | TWD/USD | | 10/25/11 | | | 814,026 | | | | (50,974 | ) |
| | | USD/CNY | | 10/25/11 | | | 1,969,212 | | | | (3,212 | ) |
| | | USD/CNY | | 02/08/12 | | | 4,528,121 | | | | (35,121 | ) |
| | | USD/CNY | | 03/01/12 | | | 1,976,247 | | | | (3,247 | ) |
| | | USD/KRW | | 10/31/11 | | | 1,488,409 | | | | (12,409 | ) |
| Credit Suisse International (London) | | CHF/USD | | 12/21/11 | | | 958,928 | | | | (1,072 | ) |
| | | EUR/USD | | 12/21/11 | | | 975,018 | | | | (8,183 | ) |
| | | INR/USD | | 10/19/11 | | | 469,553 | | | | (13,447 | ) |
| | | INR/USD | | 11/04/11 | | | 2,343,596 | | | | (254,892 | ) |
| | | MYR/USD | | 10/11/11 | | | 1,405,351 | | | | (79,251 | ) |
| | | ZAR/USD | | 12/21/11 | | | 838,104 | | | | (127,895 | ) |
| Deutsche Bank AG (London) | | AUD/USD | | 12/21/11 | | | 4,273,032 | | | | (427,798 | ) |
| | | CNY/USD | | 03/01/12 | | | 3,010,652 | | | | (19,287 | ) |
| | | IDR/USD | | 12/14/11 | | | 1,902,293 | | | | (22,416 | ) |
| | | INR/USD | | 10/14/11 | | | 967,672 | | | | (26,328 | ) |
| | | KRW/USD | | 10/04/11 | | | 1,088,531 | | | | (102,469 | ) |
| | | MXN/EUR | | 12/21/11 | | | 914,749 | | | | (33,748 | ) |
| | | MYR/USD | | 10/11/11 | | | 595,294 | | | | (36,706 | ) |
| | | NZD/USD | | 12/21/11 | | | 4,374,614 | | | | (270,063 | ) |
| | | PLN/EUR | | 12/21/11 | | | 476,794 | | | | (15,369 | ) |
| | | USD/CNY | | 10/25/11 | | | 4,252,493 | | | | (3,450 | ) |
| | | USD/CNY | | 03/14/12 | | | 1,351,634 | | | | (8,187 | ) |
| | | USD/MXN | | 12/21/11 | | | 1,481,623 | | | | (6,123 | ) |
66 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS GLOBAL INCOME FUND
| |
| ADDITIONAL INVESTMENT INFORMATION (continued) | |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)
| | | | | | | | | | | | | |
| | | Contracts to
| | Expiration
| | Current
| | Unrealized
|
| Counterparty | | Buy/Sell | | Date | | Value | | Loss |
| |
| HSBC Bank PLC | | EUR/PLN | | 12/21/11 | | $ | 492,647 | | | $ | (3,799 | ) |
| | | EUR/USD | | 10/13/11 | | | 1,643,494 | | | | (50,772 | ) |
| | | HUF/EUR | | 12/21/11 | | | 483,491 | | | | (8,053 | ) |
| | | KRW/USD | | 10/31/11 | | | 1,842,451 | | | | (198,213 | ) |
| | | MXN/USD | | 12/21/11 | | | 2,119,825 | | | | (222,708 | ) |
| | | MYR/USD | | 10/11/11 | | | 1,233,562 | | | | (64,840 | ) |
| | | NOK/USD | | 12/21/11 | | | 1,681,534 | | | | (136,466 | ) |
| | | TRY/USD | | 12/21/11 | | | 971,320 | | | | (11,680 | ) |
| | | TWD/USD | | 10/25/11 | | | 1,814,196 | | | | (110,248 | ) |
| | | TWD/USD | | 10/31/11 | | | 1,259,275 | | | | (3,607 | ) |
| | | USD/CNY | | 03/14/12 | | | 752,875 | | | | (4,875 | ) |
| JPMorgan Securities, Inc. | | EUR/USD | | 12/21/11 | | | 4,286,562 | | | | (136,195 | ) |
| | | HUF/EUR | | 12/21/11 | | | 956,267 | | | | (37,510 | ) |
| | | MYR/USD | | 10/11/11 | | | 1,405,351 | | | | (78,761 | ) |
| | | USD/CNY | | 03/14/12 | | | 758,562 | | | | (6,561 | ) |
| | | USD/KRW | | 10/31/11 | | | 588,610 | | | | (3,937 | ) |
| Morgan Stanley Capital Services, Inc. | | INR/USD | | 11/04/11 | | | 2,343,596 | | | | (254,307 | ) |
| | | MYR/USD | | 10/11/11 | | | 2,833,122 | | | | (152,066 | ) |
| | | NOK/EUR | | 12/21/11 | | | 957,607 | | | | (9,288 | ) |
| | | PLN/EUR | | 12/21/11 | | | 476,794 | | | | (14,218 | ) |
| | | SEK/EUR | | 12/21/11 | | | 486,169 | | | | (6,855 | ) |
| | | USD/CNY | | 03/14/12 | | | 754,221 | | | | (6,221 | ) |
| Royal Bank of Canada | | BRL/USD | | 10/18/11 | | | 1,041,702 | | | | (13,298 | ) |
| | | CAD/USD | | 12/21/11 | | | 3,121,890 | | | | (164,110 | ) |
| | | EUR/USD | | 10/13/11 | | | 15,142,852 | | | | (995,810 | ) |
| | | IDR/USD | | 10/06/11 | | | 962,585 | | | | (26,415 | ) |
| | | ZAR/USD | | 12/21/11 | | | 885,754 | | | | (132,194 | ) |
| Royal Bank of Scotland | | AUD/USD | | 12/21/11 | | | 340,151 | | | | (30,503 | ) |
| | | CNY/USD | | 03/01/12 | | | 6,800,322 | | | | (43,348 | ) |
| | | KRW/USD | | 10/31/11 | | | 1,876,799 | | | | (92,201 | ) |
| | | MYR/USD | | 10/03/11 | | | 935,513 | | | | (63,487 | ) |
| | | USD/CNY | | 03/14/12 | | | 753,821 | | | | (5,821 | ) |
| Standard Chartered Bank | | EUR/USD | | 12/21/11 | | | 8,036 | | | | (51 | ) |
| | | KRW/USD | | 10/31/11 | | | 1,086,533 | | | | (10,032 | ) |
| State Street Bank | | EUR/USD | | 12/21/11 | | | 942,874 | | | | (46,112 | ) |
| | | MXN/USD | | 12/21/11 | | | 1,842,060 | | | | (123,940 | ) |
| | | NOK/EUR | | 12/21/11 | | | 1,051,433 | | | | (16,178 | ) |
| | | NZD/USD | | 12/21/11 | | | 912,515 | | | | (65,507 | ) |
| | | SEK/USD | | 12/21/11 | | | 2,157,636 | | | | (44,364 | ) |
| | | ZAR/USD | | 12/21/11 | �� | | 749,750 | | | | (33,850 | ) |
| UBS AG (London) | | BRL/USD | | 10/18/11 | | | 938,307 | | | | (44,693 | ) |
| | | BRL/USD | | 10/27/11 | | | 489,638 | | | | (2,362 | ) |
| | | CAD/USD | | 12/21/11 | | | 1,372,876 | | | | (99,429 | ) |
| | | EUR/USD | | 12/21/11 | | | 470,098 | | | | (23,987 | ) |
| | | RUB/USD | | 10/17/11 | | | 1,405,027 | | | | (71,973 | ) |
| Westpac Banking Corp. | | JPY/USD | | 12/21/11 | | | 1,371,164 | | | | (5,836 | ) |
| |
| |
TOTAL | | | | | | | | | | $ | (6,831,389 | ) |
| |
| |
The accompanying notes are an integral part of these financial statements. 67
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| |
| ADDITIONAL INVESTMENT INFORMATION (continued) | |
FORWARD SALES CONTRACTS — At September 30, 2011, the Fund had the following forward sales contracts:
| | | | | | | | | | | | | | | | | | | |
| | | Interest
| | Maturity
| | Settlement
| | Principal
| | |
| Description | | Rate | | Date(d) | | Date | | Amount | | Value |
| |
| FNMA (Proceeds Receivable: $3,954,141) | | | 3.500% | | | TBA-30yr | | | 10/13/2011 | | | $ | (4,000,000 | ) | | $ | (4,108,125 | ) |
| |
| |
FUTURES CONTRACTS — At September 30, 2011, the following futures contracts were open:
| | | | | | | | | | | | | | | |
| | | Number of
| | | | | | |
| | | Contracts
| | Expiration
| | Current
| | Unrealized
|
| Type | | Long (Short) | | Date | | Value | | Gain (Loss) |
| |
| Australia 3 Year Treasury Bonds | | | (517 | ) | | December 2011 | | $ | (53,401,114 | ) | | $ | 127,332 | |
| Australia 10 Year Treasury Bonds | | | 11 | | | December 2011 | | | 1,216,347 | | | | (11,301 | ) |
| Japan 10 Year Government Bond | | | (11 | ) | | December 2011 | | | (20,284,325 | ) | | | 66,454 | |
| U.K. Life Long Gilt | | | 8 | | | December 2011 | | | 1,621,652 | | | | 30,107 | |
| Ultra Long U.S. Treasury Bonds | | | 36 | | | December 2011 | | | 5,710,500 | | | | (116,247 | ) |
| 2 Year German Euro-Schatz | | | (213 | ) | | December 2011 | | | (31,283,326 | ) | | | 52,152 | |
| 5 Year German Euro-Bobl | | | (65 | ) | | December 2011 | | | (10,635,537 | ) | | | 48,002 | |
| 10 Year German Euro-Bund | | | (174 | ) | | December 2011 | | | (31,818,067 | ) | | | (87,316 | ) |
| 2 Year U.S. Treasury Notes | | | 87 | | | December 2011 | | | 19,157,672 | | | | (27,331 | ) |
| 5 Year U.S. Treasury Notes | | | 1,227 | | | December 2011 | | | 150,288,328 | | | | (87,564 | ) |
| 10 Year U.S. Treasury Notes | | | (4 | ) | | December 2011 | | | (520,375 | ) | | | (507 | ) |
| 30 Year U.S. Treasury Bonds | | | (51 | ) | | December 2011 | | | (7,273,875 | ) | | | (85,678 | ) |
| |
| |
TOTAL | | | | | | | | | | | | $ | (91,897 | ) |
| |
| |
SWAP CONTRACTS — At September 30, 2011, the Fund had outstanding swap contracts with the following terms:
INTEREST RATE SWAP CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Rates Exchanged | | | | | | |
| | | Notional
| | | | Payments
| | Payments
| | | | Upfront Payments
| | |
| | | Amount
| | Termination
| | Received by
| | Made by
| | Market
| | Made (Received)
| | Unrealized
|
| Counterparty | | (000s) | | Date | | the Fund | | the Fund | | Value | | by the Fund | | Gain (Loss) |
| |
| Barclays Bank PLC | | EUR | 9,700 | (a) | | | 09/30/18 | | | 2.650% | | 6 month EURO | | $ | 38,402 | | | $ | — | | | $ | 38,402 | |
| | | | 5,200 | (a) | | | 09/30/23 | | | 6 month EURO | | 3.005% | | | (37,104 | ) | | | — | | | | (37,104 | ) |
| Citibank NA | | KRW | 8,068,285 | | | | 07/15/14 | | | 3.905 | | 3 month KWCDC | | | 90,284 | | | | — | | | | 90,284 | |
| | | EUR | 7,740 | | | | 11/05/15 | | | 2.096 | | 6 month EURO | | | 253,767 | | | | — | | | | 253,767 | |
| | | | 22,250 | (a) | | | 12/21/16 | | | 6 month EURO | | 3.250 | | | (1,763,474 | ) | | | (441,885 | ) | | | (1,321,589 | ) |
| | | | 10,000 | (a) | | | 09/30/18 | | | 2.551 | | 6 month EURO | | | (20,409 | ) | | | — | | | | (20,409 | ) |
| | | | 6,180 | (a) | | | 10/04/18 | | | 2.623 | | 6 month EURO | | | 17,971 | | | | — | | | | 17,971 | |
| | | | 5,400 | (a) | | | 09/30/23 | | | 6 month EURO | | 2.890 | | | 31,383 | | | | — | | | | 31,383 | |
| | | | 3,360 | (a) | | | 10/04/23 | | | 6 month EURO | | 2.983 | | | (23,174 | ) | | | — | | | | (23,174 | ) |
| | | | 1,950 | (a) | | | 12/21/41 | | | 3.750 | | 6 month EURO | | | 539,632 | | | | (1,609 | ) | | | 541,241 | |
| Credit Suisse First Boston Corp. | | | 53,600 | (a) | | | 03/18/14 | | | 6 month EURO | | 3.120 | | | (1,101,897 | ) | | | — | | | | (1,101,897 | ) |
| | | | 13,800 | (a) | | | 09/23/14 | | | 6 month EURO | | 1.770 | | | (5,783 | ) | | | — | | | | (5,783 | ) |
| | | GBP | 890 | | | | 02/15/16 | | | 3.210 | | 6 month BP | | | 95,617 | | | | — | | | | 95,617 | |
| | | | 1,770 | | | | 02/16/16 | | | 3.201 | | 6 month BP | | | 188,938 | | | | — | | | | 188,938 | |
| | | | 1,960 | | | | 02/18/16 | | | 3.124 | | 6 month BP | | | 198,642 | | | | — | | | | 198,642 | |
| | | EUR | 36,800 | (a) | | | 03/18/16 | | | 3.445 | | 6 month EURO | | | 1,950,728 | | | | — | | | | 1,950,728 | |
| | | CAD | 2,975 | | | | 07/15/16 | | | 6 month CDOR | | 2.374 | | | (126,590 | ) | | | — | | | | (126,590 | ) |
68 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS GLOBAL INCOME FUND
| |
| ADDITIONAL INVESTMENT INFORMATION (continued) | |
INTEREST RATE SWAP CONTRACTS (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Rates Exchanged | | | | | | |
| | | Notional
| | | | Payments
| | Payments
| | | | Upfront Payments
| | |
| | | Amount
| | Termination
| | Received by
| | Made by
| | Market
| | Made (Received)
| | Unrealized
|
| Counterparty | | (000s) | | Date | | the Fund | | the Fund | | Value | | by the Fund | | Gain (Loss) |
| |
Credit Suisse
First Boston Corp. (continued) |
| | | EUR | 2,600 | | | | 07/19/16 | | | 2.531% | | 6 month EURO | | $ | 102,200 | | | $ | — | | | $ | 102,200 | |
| | | | 9,400 | (a) | | | 09/23/16 | | | 2.250 | | 6 month EURO | | | (7,766 | ) | | | — | | | | (7,766 | ) |
| | | $ | 16,550 | (a) | | | 12/21/16 | | | 2.500 | | 3 month LIBOR | | | 917,640 | | | | 113,708 | | | | 803,932 | |
| | | JPY | 894,000 | (a) | | | 12/21/16 | | | 0.750 | | 6 month JYOR | | | 142,137 | | | | 69,955 | | | | 72,182 | |
| | | $ | 15,800 | (a) | | | 08/15/18 | | | 2.000 | | 3 month LIBOR | | | 270,902 | | | | 242,763 | | | | 28,139 | |
| | | | 15,800 | (a) | | | 08/15/18 | | | 3 month LIBOR | | 2.000% | | | (270,902 | ) | | | (289,454 | ) | | | 18,552 | |
| | | EUR | 5,220 | (a) | | | 09/30/18 | | | 2.504 | | 6 month EURO | | | (25,364 | ) | | | — | | | | (25,364 | ) |
| | | | 8,500 | (a) | | | 03/18/20 | | | 6 month EURO | | 3.805 | | | (850,712 | ) | | | — | | | | (850,712 | ) |
| | | | 2,100 | (a) | | | 09/23/20 | | | 6 month EURO | | 2.690 | | | 9,458 | | | | — | | | | 9,458 | |
| | | $ | 15,625 | (a) | | | 12/21/21 | | | 3 month LIBOR | | 3.500 | | | (1,873,541 | ) | | | (107,968 | ) | | | (1,765,573 | ) |
| | | EUR | 2,840 | (a) | | | 09/30/23 | | | 6 month EURO | | 2.844 | | | 31,213 | | | | — | | | | 31,213 | |
| | | $ | 550 | (a) | | | 12/21/41 | | | 4.250 | | 3 month LIBOR | | | 175,747 | | | | 15,664 | | | | 160,083 | |
| Deutsche Bank Securities, Inc. | | EUR | 41,000 | (a) | | | 03/18/14 | | | 6 month EURO | | 3.120 | | | (842,869 | ) | | | — | | | | (842,869 | ) |
| | | | 38,600 | (a) | | | 07/04/14 | | | 6 month EURO | | 2.795 | | | (573,464 | ) | | | — | | | | (573,464 | ) |
| | | | 33,975 | (a) | | | 07/15/14 | | | 6 month EURO | | 2.516 | | | (376,996 | ) | | | — | | | | (376,996 | ) |
| | | | 13,100 | (a) | | | 09/16/14 | | | 6 month EURO | | 1.700 | | | 4,641 | | | | — | | | | 4,641 | |
| | | NZD | 5,310 | | | | 02/18/16 | | | 3 month NZDOR | | 4.700 | | | (181,955 | ) | | | — | | | | (181,955 | ) |
| | | | 4,350 | | | | 02/22/16 | | | 3 month NZDOR | | 4.683 | | | (145,774 | ) | | | — | | | | (145,774 | ) |
| | | EUR | 28,400 | (a) | | | 03/18/16 | | | 3.455 | | 6 month EURO | | | 1,530,087 | | | | — | | | | 1,530,087 | |
| | | | 26,400 | (a) | | | 07/04/16 | | | 3.250 | | 6 month EURO | | | 1,074,025 | | | | — | | | | 1,074,025 | |
| | | | 23,250 | (a) | | | 07/15/16 | | | 2.982 | | 6 month EURO | | | 698,532 | | | | — | | | | 698,532 | |
| | | | 8,900 | (a) | | | 09/16/16 | | | 2.210 | | 6 month EURO | | | (17,854 | ) | | | — | | | | (17,854 | ) |
| | | $ | 5,100 | (a) | | | 12/21/16 | | | 2.500 | | 3 month LIBOR | | | 282,777 | | | | 100,595 | | | | 182,182 | |
| | | EUR | 6,500 | (a) | | | 03/18/20 | | | 6 month EURO | | 3.815 | | | (655,986 | ) | | | — | | | | (655,986 | ) |
| | | | 6,100 | (a) | | | 07/04/20 | | | 6 month EURO | | 3.718 | | | (522,329 | ) | | | — | | | | (522,329 | ) |
| | | | 5,375 | (a) | | | 07/15/20 | | | 6 month EURO | | 3.453 | | | (338,238 | ) | | | — | | | | (338,238 | ) |
| | | | 2,000 | (a) | | | 09/16/20 | | | 6 month EURO | | 2.700 | | | 6,561 | | | | — | | | | 6,561 | |
| JPMorgan Securities, Inc. | | | 16,400 | (a) | | | 09/23/14 | | | 6 month EURO | | 1.750 | | | (2,678 | ) | | | — | | | | (2,678 | ) |
| | | | 11,200 | (a) | | | 09/23/16 | | | 2.240 | | 6 month EURO | | | (13,447 | ) | | | — | | | | (13,447 | ) |
| | | | 2,500 | (a) | | | 09/23/20 | | | 6 month EURO | | 2.690 | | | 11,259 | | | | — | | | | 11,259 | |
| Morgan Stanley Capital Services, Inc. | | GBP | 13,750 | (a) | | | 12/21/16 | | | 6 month BP | | 3.000 | | | (1,180,271 | ) | | | (117,264 | ) | | | (1,063,007 | ) |
| Royal Bank of Canada | | CAD | 8,770 | | | | 11/03/15 | | | 6 month CDOR | | 2.140 | | | (296,754 | ) | | | — | | | | (296,754 | ) |
| | | | 13,320 | | | | 11/04/15 | | | 6 month CDOR | | 2.115 | | | (436,377 | ) | | | — | | | | (436,377 | ) |
| | | EUR | 11,710 | | | | 11/08/15 | | | 2.118 | | 6 month EURO | | | 398,294 | | | | — | | | | 398,294 | |
| | | CAD | 4,650 | | | | 07/13/16 | | | 6 month CDOR | | 2.370 | | | (197,339 | ) | | | — | | | | (197,339 | ) |
| | | | 4,075 | | | | 07/14/16 | | | 6 month CDOR | | 2.350 | | | (169,039 | ) | | | — | | | | (169,039 | ) |
| | | EUR | 4,000 | | | | 07/15/16 | | | 2.571 | | 6 month EURO | | | 168,036 | | | | — | | | | 168,036 | |
| | | | 3,575 | | | | 07/18/16 | | | 2.574 | | 6 month EURO | | | 150,439 | | | | — | | | | 150,439 | |
| | | CAD | 6,800 | (a) | | | 09/27/17 | | | 6 month CDOR | | 1.921 | | | (20,068 | ) | | | — | | | | (20,068 | ) |
| | | | 9,100 | (a) | | | 09/27/22 | | | 2.697 | | 6 month CDOR | | | (26,430 | ) | | | — | | | | (26,430 | ) |
| | | | 2,400 | (a) | | | 09/27/42 | | | 6 month CDOR | | 2.882 | | | 54,401 | | | | — | | | | 54,401 | |
The accompanying notes are an integral part of these financial statements. 69
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| |
| ADDITIONAL INVESTMENT INFORMATION (continued) | |
INTEREST RATE SWAP CONTRACTS (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Rates Exchanged | | | | | | |
| | | Notional
| | | | Payments
| | Payments
| | | | Upfront Payments
| | |
| | | Amount
| | Termination
| | Received by
| | Made by
| | Market
| | Made (Received)
| | Unrealized
|
| Counterparty | | (000s) | | Date | | the Fund | | the Fund | | Value | | by the Fund | | Gain (Loss) |
| |
| UBS AG (London) | | $ | 11,095 | (a) | | | 12/21/13 | | | 1.250% | | 3 month LIBOR | | $ | 138,080 | | | $ | 121,983 | | | $ | 16,097 | |
| | | EUR | 12,500 | (a) | | | 08/26/14 | | | 6 month EURO | | 1.940% | | | (38,055 | ) | | | — | | | | (38,055 | ) |
| | | | 8,500 | (a) | | | 08/26/16 | | | 2.518 | | 6 month EURO | | | 89,508 | | | | — | | | | 89,508 | |
| | | CHF | 5,400 | | | | 01/06/17 | | | 2.105 | | 6 month CHFOR | | | 477,797 | | | | — | | | | 477,797 | |
| | | EUR | 1,940 | (a) | | | 08/26/20 | | | 6 month EURO | | 3.070 | | | (55,408 | ) | | | — | | | | (55,408 | ) |
| |
| |
TOTAL | | | | | | | | | | | | | | $ | (2,058,949 | ) | | $ | (293,512 | ) | | $ | (1,765,437 | ) |
| |
| |
| | |
| (a) | | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2011. |
CREDIT DEFAULT SWAP CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Credit
| | | | | | |
| | | | | | | Rates
| | | | Spread at
| | | | Upfront
| | |
| | | | | Notional
| | Received
| | | | September 30,
| | | | Payments
| | |
| | | Referenced
| | Amount
| | (Paid) by
| | Termination
| | 2011
| | Market
| | Made (Received)
| | Unrealized
|
| Counterparty | | Obligation | | (000s) | | Fund | | Date | | (Basis Points)(b) | | Value | | by the Fund | | Gain (Loss) |
| |
| Protection Purchased: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank of America
Securities LLC | | CDX North America
Investment Grade Index 16 | | $ | 37,000 | | | | (1.000 | )% | | 06/20/14 | | | 106 | | | $ | 50,507 | | | $ | (370,306 | ) | | $ | 420,813 | |
Morgan Stanley
Capital Services, Inc. | | CDX North America
Investment Grade Index 16 | | | 34,000 | | | | (1.000 | ) | | 06/20/14 | | | 106 | | | | 46,413 | | | | (317,151 | ) | | | 363,564 | |
| Protection Sold: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank of America
Securities LLC | | CDX North America
Investment Grade Index 16 | | | 16,700 | | | | 1.000 | | | 06/20/16 | | | 135 | | | | (257,017 | ) | | | 22,506 | | | | (279,523 | ) |
Morgan Stanley
Capital Services, Inc. | | CDX North America
Investment Grade Index 16 | | | 27,200 | | | | 1.000 | | | 06/20/16 | | | 135 | | | | (418,615 | ) | | | 35,040 | | | | (453,655 | ) |
| |
| |
TOTAL | | | | | | | | | | | | | | | | | | $ | (578,712 | ) | | $ | (629,911 | ) | | $ | 51,199 | |
| |
| |
| | |
| (b) | | Credit spread on the Referenced Obligation, together with the term of the swap contract, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and the term of the swap contract increase. |
70 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS GLOBAL INCOME FUND
| |
| ADDITIONAL INVESTMENT INFORMATION (continued) | |
WRITTEN OPTIONS CONTRACTS
INTEREST RATE SWAPTION CONTRACTS — At September 30, 2011, the Fund had outstanding written swaptions as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Notional
| | | | | | | | | | |
| | | | | Amount
| | Expiration
| | Strike
| | Market
| | Premiums
| | Unrealized
|
| Counterparty | | Description | | (000s) | | Date | | Price | | Value | | Received | | Gain (Loss) |
| |
| Royal Bank of Canada | | Put – OTC – 10 year Interest Rate Swap for the obligation to pay a fixed rate of 2.450% versus the 3 month LIBOR maturing on November 21, 2021 | | $ | 30,000 | | | 11/17/11 | | | 2.450 | % | | $ | (995,720 | ) | | $ | (553,500 | ) | | $ | (442,220 | ) |
| | | Call – OTC – 10 year Interest Rate Swap for the obligation to receive a fixed rate of 2.450% versus the 3 month LIBOR maturing on November 21, 2021 | | | 30,000 | | | 11/17/11 | | | 2.450 | | | | (171,994 | ) | | | (553,500 | ) | | | 381,506 | |
| |
| |
TOTAL | | | | $ | 60,000 | | | | | | | | | $ | (1,167,714 | ) | | $ | (1,107,000 | ) | | $ | (60,714 | ) |
| |
| |
For the six months ended September 30, 2011, the Fund had the following written swaptions activity:
| | | | | | | | | |
| | | Notional
| | |
| | | Amount
| | Premiums
|
| | | (000s) | | Received |
| |
| Contracts Outstanding March 31, 2011 | | $ | 31,000 | | | $ | (329,762 | ) |
| |
| |
| Contracts Written | | | 465,456 | | | | (9,229,769 | ) |
| Contracts Bought to Close | | | (341,805 | ) | | | 7,501,111 | |
| Contracts Expired | | | (94,651 | ) | | | 951,420 | |
| |
| |
| Contracts Outstanding September 30, 2011 | | $ | 60,000 | | | $ | (1,107,000 | ) |
| |
| |
The accompanying notes are an integral part of these financial statements. 71
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Corporate Obligations – 29.8% |
Automotive – 0.3% |
| Ford Motor Co. |
| $ | 5,500,000 | | | | 7.450 | % | | | 07/16/31 | | | $ | 6,050,000 | |
| |
| |
Banks – 11.1% |
| Akbank TAS |
| | 5,490,000 | | | | 5.125 | | | | 07/22/15 | | | | 5,215,500 | |
ANZ Capital Trust II(a)(b) |
| | 11,125,000 | | | | 5.360 | | | | 11/29/49 | | | | 10,888,594 | |
Bank of Scotland PLC(b) |
| | 3,100,000 | | | | 5.250 | | | | 02/21/17 | | | | 3,349,429 | |
Caisse Centrale Desjardins du Quebec(b) |
| | 2,700,000 | | | | 2.550 | | | | 03/24/16 | | | | 2,802,643 | |
Capital One Capital III(a) |
| | 11,062,000 | | | | 7.686 | | | | 08/15/36 | | | | 10,813,105 | |
Cie de Financement Foncier(b) |
| | 7,800,000 | | | | 2.125 | | | | 04/22/13 | | | | 7,813,767 | |
Citigroup Capital XXI(a)(c) |
| | 12,850,000 | | | | 8.300 | | | | 12/21/57 | | | | 12,560,875 | |
Credit Suisse AG/Guernsey(a)(c) |
| | 4,400,000 | | | | 5.860 | | | | 05/29/49 | | | | 3,454,000 | |
DnB NOR Boligkreditt AS(b) |
| | 20,095,000 | | | | 2.100 | | | | 10/14/15 | | | | 20,336,904 | |
| | 13,700,000 | | | | 2.900 | | | | 03/29/16 | | | | 14,197,543 | |
ING Bank NV(b) |
| | 8,300,000 | | | | 2.500 | | | | 01/14/16 | | | | 8,317,264 | |
Landesbank Baden-Wuerttemberg(b)(c) |
| | 33,100,000 | | | | 0.575 | | | | 06/22/12 | | | | 33,084,311 | |
National City Preferred Capital Trust I(a)(c) |
| | 10,575,000 | | | | 12.000 | | | | 12/10/49 | | | | 10,953,796 | |
Nordea Bank Norge ASA(b) |
| | 16,900,000 | | | | 0.666 | (c) | | | 04/07/14 | | | | 16,882,407 | |
Nordea Eiendomskreditt AS(b) |
| | 2,200,000 | | | | 1.875 | | | | 04/07/14 | | | | 2,249,322 | |
| Regions Bank |
| | 11,650,000 | | | | 7.500 | | | | 05/15/18 | | | | 11,417,000 | |
Resona Preferred Global Securities Ltd.(a)(b)(c) |
| | 10,550,000 | | | | 7.191 | | | | 07/30/49 | | | | 9,865,273 | |
Sparebank 1 Boligkreditt AS(b) |
| | 20,500,000 | | | | 1.250 | | | | 10/25/13 | | | | 20,589,790 | |
| | 15,800,000 | | | | 2.625 | | | | 05/27/16 | | | | 16,375,067 | |
Stadshypotek AB(b) |
| | 20,180,000 | | | | 1.450 | | | | 09/30/13 | | | | 20,300,919 | |
Swedbank Hypotek AB(b)(c) |
| | 4,400,000 | | | | 0.813 | | | | 03/28/14 | | | | 4,405,601 | |
US Bank NA(a)(c) |
| EUR | 3,150,000 | | | | 4.375 | | | | 02/28/17 | | | | 3,903,696 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 249,776,806 | |
| |
| |
Building Materials – 0.3% |
Cemex Finance LLC(a) |
| | 2,680,000 | | | | 9.500 | | | | 12/14/16 | | | | 1,955,306 | |
Cemex SAB de CV(b)(c) |
| | 8,530,000 | | | | 5.369 | | | | 09/30/15 | | | | 5,544,582 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 7,499,888 | |
| |
| |
Chemicals(a) – 0.9% |
| Huntsman International LLC |
| | 12,500,000 | | | | 5.500 | | | | 06/30/16 | | | | 11,687,500 | |
| Lyondell Chemical Co. |
| | 7,050,000 | | | | 11.000 | | | | 05/01/18 | | | | 7,596,375 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 19,283,875 | |
| |
| |
Coal(a)(b) – 0.2% |
| SunCoke Energy, Inc. |
| | 5,250,000 | | | | 7.625 | | | | 08/01/19 | | | | 5,131,875 | |
| |
| |
Construction Machinery(a) – 0.2% |
| Terex Corp. |
| | 3,750,000 | | | | 10.875 | | | | 06/01/16 | | | | 3,975,000 | |
| |
| |
Electric(a) – 0.8% |
Calpine Construction Finance Co. LP(b) |
| | 4,350,000 | | | | 8.000 | | | | 06/01/16 | | | | 4,502,250 | |
Dolphin Subsidiary II, Inc.(b) |
| | 5,175,000 | | | | 7.250 | | | | 10/15/21 | | | | 5,187,938 | |
| NRG Energy, Inc. |
| | 1,550,000 | | | | 7.375 | | | | 01/15/17 | | | | 1,596,500 | |
| NV Energy, Inc. |
| | 2,000,000 | | | | 6.750 | | | | 08/15/17 | | | | 2,020,000 | |
Puget Sound Energy, Inc.(c) |
| | 2,000,000 | | | | 6.974 | | | | 06/01/67 | | | | 1,990,000 | |
The AES Corp.(b) |
| | 2,250,000 | | | | 7.375 | | | | 07/01/21 | | | | 2,137,500 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 17,434,188 | |
| |
| |
Energy – 1.5% |
Gaz Capital SA for Gazprom(d) |
| | 8,950,000 | | | | 9.250 | | | | 04/23/19 | | | | 10,382,000 | |
Newfield Exploration Co.(a) |
| | 1,721,000 | | | | 6.625 | | | | 04/15/16 | | | | 1,738,210 | |
| | 1,550,000 | | | | 7.125 | | | | 05/15/18 | | | | 1,619,750 | |
| | 3,500,000 | | | | 5.750 | | | | 01/30/22 | | | | 3,460,625 | |
Petroleos de Venezuela SA(a) |
| | 4,440,000 | | | | 8.500 | | | | 11/02/17 | | | | 2,908,200 | |
Plains Exploration & Production Co.(a) |
| | 2,624,000 | | | | 7.750 | | | | 06/15/15 | | | | 2,702,720 | |
| | 1,200,000 | | | | 10.000 | | | | 03/01/16 | | | | 1,311,000 | |
| | 1,100,000 | | | | 7.625 | | | | 06/01/18 | | | | 1,124,750 | |
Range Resources Corp.(a) |
| | 150,000 | | | | 7.500 | | | | 10/01/17 | | | | 158,625 | |
| | 950,000 | | | | 7.250 | | | | 05/01/18 | | | | 1,007,000 | |
SandRidge Energy, Inc.(a)(b) |
| | 7,750,000 | | | | 7.500 | | | | 03/15/21 | | | | 6,936,250 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 33,349,130 | |
| |
| |
Entertainment(a) – 0.2% |
MU Finance PLC(b) |
| | 275,000 | | | | 8.375 | | | | 02/01/17 | | | | 287,375 | |
| Universal City Development Partners Ltd. |
| | 318,000 | | | | 8.875 | | | | 11/15/15 | | | | 346,620 | |
| | 3,088,000 | | | | 10.875 | | | | 11/15/16 | | | | 3,605,240 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 4,239,235 | |
| |
| |
72 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS STRATEGIC INCOME FUND
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Corporate Obligations – (continued) |
| | | | | | | | | | | | | | | |
Environmental(a) – 0.1% |
| Casella Waste Systems, Inc. |
| $ | 2,100,000 | | | | 11.000 | % | | | 07/15/14 | | | $ | 2,252,250 | |
| |
| |
Gaming(a) – 0.3% |
| MGM Resorts International |
| | 5,925,000 | | | | 10.375 | | | | 05/15/14 | | | | 6,421,219 | |
| | 500,000 | | | | 11.125 | | | | 11/15/17 | | | | 547,500 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 6,968,719 | |
| |
| |
Health Care – Services(a) – 1.5% |
| Community Health Systems, Inc. |
| | 11,625,000 | | | | 8.875 | | | | 07/15/15 | | | | 11,392,500 | |
Fresenius Medical Care US Finance, Inc.(b) |
| | 7,050,000 | | | | 5.750 | | | | 02/15/21 | | | | 6,768,000 | |
| HCA, Inc. |
| | 11,250,000 | | | | 7.500 | | | | 02/15/22 | | | | 10,293,750 | |
| Tenet Healthcare Corp. |
| | 5,050,000 | | | | 9.000 | | | | 05/01/15 | | | | 5,327,750 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 33,782,000 | |
| |
| |
Media – Cable(a) – 0.9% |
| CCO Holdings LLC/CCO Holdings Capital Corp. |
| | 5,450,000 | | | | 7.000 | | | | 01/15/19 | | | | 5,286,500 | |
Charter Communications Operating LLC(b) |
| | 3,951,000 | | | | 10.875 | | | | 09/15/14 | | | | 4,247,325 | |
| Virgin Media Finance PLC |
| | 10,125,000 | | | | 9.500 | | | | 08/15/16 | | | | 10,935,000 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 20,468,825 | |
| |
| |
Media – Non Cable(a)(b) – 0.1% |
| Sirius XM Radio, Inc. |
| | 2,850,000 | | | | 9.750 | | | | 09/01/15 | | | | 3,049,500 | |
| |
| |
Metals & Mining(a) – 0.8% |
Calcipar SA(b) |
| | 6,500,000 | | | | 6.875 | | | | 05/01/18 | | | | 5,622,500 | |
FMG Resources (August 2006) Pty Ltd.(b) |
| | 11,275,000 | | | | 6.875 | | | | 02/01/18 | | | | 10,034,750 | |
| Novelis, Inc. |
| | 1,350,000 | | | | 8.750 | | | | 12/15/20 | | | | 1,336,500 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 16,993,750 | |
| |
| |
Noncaptive – Financial – 1.3% |
| Alrosa Finance SA |
| | 6,890,000 | | | | 7.750 | | | | 11/03/20 | | | | 6,407,700 | |
CIT Group, Inc.(a) |
| | 2,003,157 | | | | 7.000 | | | | 05/01/14 | | | | 2,043,221 | |
General Motors Financial Co., Inc.(a)(b) |
| | 5,000,000 | | | | 6.750 | | | | 06/01/18 | | | | 4,750,000 | |
GEO Maquinaria(a) |
| | 727,263 | | | | 9.625 | | | | 05/02/21 | | | | 641,180 | |
| | 3,686,125 | | | | 9.625 | (b) | | | 05/02/21 | | | | 3,133,206 | |
| International Lease Finance Corp. |
| | 4,950,000 | | | | 8.250 | | | | 12/15/20 | | | | 4,826,250 | |
TNK-BP Finance SA |
| | 3,000,000 | | | | 7.500 | | | | 07/18/16 | | | | 3,105,000 | |
| | 3,560,000 | | | | 7.875 | | | | 03/13/18 | | | | 3,702,400 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 28,608,957 | |
| |
| |
Packaging(a)(b) – 0.6% |
| Plastipak Holdings, Inc. |
| | 2,865,000 | | | | 8.500 | | | | 12/15/15 | | | | 2,836,350 | |
| Reynolds Group Holdings Ltd. |
| | 8,350,000 | | | | 8.250 | | | | 02/15/21 | | | | 6,554,750 | |
| Reynolds Group Issuer, Inc. |
| | 4,750,000 | | | | 7.875 | | | | 08/15/19 | | | | 4,583,750 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 13,974,850 | |
| |
| |
Paper(a)(b) – 0.2% |
| PE Paper Escrow GmbH |
| | 5,114,000 | | | | 12.000 | | | | 08/01/14 | | | | 5,369,700 | |
| |
| |
Pipelines(a) – 1.0% |
Carrizo Oil & Gas, Inc.(d) |
| | 117,000 | | | | 4.375 | | | | 06/01/28 | | | | 115,791 | |
Enterprise Products Operating LLC(c) |
| | 3,875,000 | | | | 8.375 | | | | 08/01/66 | | | | 4,020,313 | |
| | 6,425,000 | | | | 7.034 | | | | 01/15/68 | | | | 6,489,250 | |
Goodrich Petroleum Corp.(d) |
| | 863,000 | | | | 3.250 | | | | 12/01/26 | | | | 867,703 | |
| MarkWest Energy Partners LP/MarkWest Energy Finance Corp. |
| | 3,160,000 | | | | 8.750 | | | | 04/15/18 | | | | 3,349,600 | |
| Regency Energy Partners LP |
| | 1,800,000 | | | | 9.375 | | | | 06/01/16 | | | | 1,926,000 | |
| | 5,000,000 | | | | 6.500 | | | | 07/15/21 | | | | 4,925,000 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 21,693,657 | |
| |
| |
Printing(a) – 0.0% |
| SGS International, Inc. |
| | 1,040,000 | | | | 12.000 | | | | 12/15/13 | | | | 1,037,400 | |
| |
| |
Property/Casualty Insurance(a)(c) – 1.3% |
| ING Capital Funding Trust III |
| | 2,975,000 | | | | 3.969 | | | | 12/31/49 | | | | 2,216,375 | |
QBE Capital Funding III Ltd.(b) |
| | 5,825,000 | | | | 7.250 | | | | 05/24/41 | | | | 5,265,270 | |
| The Chubb Corp. |
| | 11,125,000 | | | | 6.375 | | | | 03/29/67 | | | | 10,791,250 | |
ZFS Finance USA Trust IV(b) |
| | 11,446,000 | | | | 5.875 | | | | 05/09/32 | | | | 11,345,390 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 29,618,285 | |
| |
| |
Retailers(a) – 0.6% |
Burlington Coat Factory Warehouse Corp.(b) |
| | 3,075,000 | | | | 10.000 | | | | 02/15/19 | | | | 2,682,938 | |
CVS Caremark Corp.(c) |
| | 12,075,000 | | | | 6.302 | | | | 06/01/37 | | | | 11,682,562 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 14,365,500 | |
| |
| |
Services Cyclical – Business Services(a) – 0.5% |
| ACCO Brands Corp. |
| | 3,760,000 | | | | 10.625 | | | | 03/15/15 | | | | 4,023,200 | |
| Equinix, Inc. |
| | 1,150,000 | | | | 8.125 | | | | 03/01/18 | | | | 1,216,125 | |
| | 5,000,000 | | | | 7.000 | | | | 07/15/21 | | | | 4,975,000 | |
First Data Corp.(b) |
| | 50,000 | | | | 12.625 | | | | 01/15/21 | | | | 37,000 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 10,251,325 | |
| |
| |
The accompanying notes are an integral part of these financial statements. 73
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Corporate Obligations – (continued) |
| | | | | | | | | | | | | | | |
Services Cyclical – Rental Equipment(a) – 0.8% |
Ashtead Capital, Inc.(b) |
| $ | 7,000,000 | | | | 9.000 | % | | | 08/15/16 | | | $ | 7,105,000 | |
| RSC Equipment Rental, Inc. |
| | 1,795,000 | | | | 9.500 | | | | 12/01/14 | | | | 1,777,050 | |
| RSC Equipment Rental/RSC Holdings Inc. |
| | 5,965,000 | | | | 10.000 | (b) | | | 07/15/17 | | | | 6,307,987 | |
| | 3,125,000 | | | | 8.250 | | | | 02/01/21 | | | | 2,718,750 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 17,908,787 | |
| |
| |
Technology – 0.9% |
| Alcatel-Lucent |
| EUR | 1,750,000 | | | | 8.500 | | | | 01/15/16 | | | | 2,176,535 | |
CDW LLC/CDW Finance Corp.(a)(b) |
| $ | 4,600,000 | | | | 8.500 | | | | 04/01/19 | | | | 3,979,000 | |
Fidelity National Information Services, Inc.(a) |
| | 7,750,000 | | | | 7.625 | | | | 07/15/17 | | | | 8,098,750 | |
SunGard Data Systems, Inc.(a) |
| | 2,500,000 | | | | 10.625 | | | | 05/15/15 | | | | 2,643,750 | |
| | 2,650,000 | | | | 7.375 | | | | 11/15/18 | | | | 2,464,500 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 19,362,535 | |
| |
| |
Wireless Telecommunications – 2.3% |
Crown Castle International Corp.(a) |
| | 547,000 | | | | 9.000 | | | | 01/15/15 | | | | 585,290 | |
Intelsat Jackson Holdings SA(a)(b) |
| | 5,000,000 | | | | 7.250 | | | | 04/01/19 | | | | 4,650,000 | |
Intelsat Luxembourg SA(a)(e) |
| | 1,838,467 | | | | 11.500 | | | | 02/04/17 | | | | 1,562,697 | |
| | 6,375,000 | | | | 11.500 | | | | 02/04/17 | | | | 5,370,937 | |
Nextel Communications, Inc.(a) |
| | 11,596,000 | | | | 6.875 | | | | 10/31/13 | | | | 11,335,090 | |
| | 11,750,000 | | | | 5.950 | | | | 03/15/14 | | | | 10,986,250 | |
Sprint Capital Corp.(a) |
| | 2,450,000 | | | | 6.900 | | | | 05/01/19 | | | | 2,094,750 | |
| | 3,500,000 | | | | 6.875 | | | | 11/15/28 | | | | 2,598,750 | |
VimpelCom Holdings BV(b) |
| | 670,000 | | | | 7.504 | | | | 03/01/22 | | | | 546,050 | |
VIP Finance Ireland Ltd. for OJSC Vimpel Communications(b) |
| | 1,010,000 | | | | 6.493 | | | | 02/02/16 | | | | 916,575 | |
| | 5,980,000 | | | | 7.748 | | | | 02/02/21 | | | | 4,933,500 | |
Wind Acquisition Finance SA(a)(b) |
| | 6,900,000 | | | | 7.250 | | | | 02/15/18 | | | | 5,865,000 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 51,444,889 | |
| |
| |
Wirelines Telecommunications – 1.1% |
Frontier Communications Corp.(a) |
| | 9,175,000 | | | | 8.250 | | | | 04/15/17 | | | | 8,899,750 | |
| MTS International Funding Ltd. |
| | 400,000 | | | | 8.625 | | | | 06/22/20 | | | | 394,000 | |
| Portugal Telecom International Finance BV |
| EUR | 1,600,000 | | | | 3.750 | | | | 03/26/12 | | | | 2,113,450 | |
Qwest Communications International, Inc.(a) |
| $ | 6,150,000 | | | | 8.000 | | | | 10/01/15 | | | | 6,457,500 | |
Windstream Corp.(a) |
| | 681,000 | | | | 8.625 | | | | 08/01/16 | | | | 706,537 | |
| | 5,000,000 | | | | 7.750 | | | | 10/01/21 | | | | 4,962,500 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 23,533,737 | |
| |
| |
TOTAL CORPORATE OBLIGATIONS |
(Cost $702,997,926) | | $ | 667,424,663 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Mortgage-Backed Obligations – 43.9% |
Adjustable Rate Non-Agency(c) – 10.3% |
American Home Mortgage Assets Series 2007-2, Class A1 |
| $ | 2,650,224 | | | | 0.360 | % | | | 03/25/47 | | | $ | 1,401,885 | |
Bear Stearns Mortgage Funding Trust Series 2006-AR1, Class 2A1 |
| | 1,444,642 | | | | 0.455 | | | | 08/25/36 | | | | 755,770 | |
Bear Stearns Mortgage Funding Trust Series 2007-AR4, Class 1A1 |
| | 6,405,552 | | | | 0.435 | | | | 09/25/47 | | | | 3,583,723 | |
Countrywide Alternative Loan Trust Series 2005-61, Class 1A1 |
| | 1,148,369 | | | | 0.495 | | | | 12/25/35 | | | | 785,800 | |
Countrywide Alternative Loan Trust Series 2005-76, Class 1A1 |
| | 3,412,905 | | | | 1.722 | | | | 01/25/36 | | | | 2,283,237 | |
Countrywide Alternative Loan Trust Series 2005-81, Class A1 |
| | 11,943,217 | | | | 0.515 | | | | 02/25/37 | | | | 5,965,087 | |
Countrywide Alternative Loan Trust Series 2005-9CB, Class 1A5 |
| | 2,311,695 | | | | 0.735 | | | | 05/25/35 | | | | 1,624,845 | |
Countrywide Alternative Loan Trust Series 2007-OA11, Class A1A |
| | 2,589,248 | | | | 1.622 | | | | 11/25/47 | | | | 1,356,758 | |
Countrywide Alternative Loan Trust Series 2007-OA2, Class 2A1 |
| | 16,491,421 | | | | 0.365 | | | | 03/25/47 | | | | 7,752,932 | |
Deutsche Alt-A Securities, Inc. Alternate Loan Trust Series 2006-OA1, Class A1 |
| | 710,154 | | | | 0.435 | | | | 02/25/47 | | | | 404,558 | |
Downey Savings & Loan Association Mortgage Loan Trust Series 2006-AR2, Class 2A1A |
| | 28,742,724 | | | | 0.430 | | | | 11/19/37 | | | | 17,276,861 | |
Harborview Mortgage Loan Trust Series 2005-09, Class 2A1A |
| | 1,639,059 | | | | 0.571 | | | | 06/20/35 | | | | 1,264,376 | |
Harborview Mortgage Loan Trust Series 2006-09, Class 2A1A |
| | 6,504,119 | | | | 0.440 | | | | 11/19/36 | | | | 3,815,072 | |
Harborview Mortgage Loan Trust Series 2006-14, Class 2A1A |
| | 5,980,012 | | | | 0.380 | | | | 01/25/47 | | | | 3,202,867 | |
Indymac Index Mortgage Loan Trust Series 2005-AR13, Class 4A1 |
| | 1,649,896 | | | | 2.466 | | | | 08/25/35 | | | | 1,083,486 | |
Indymac Index Mortgage Loan Trust Series 2005-AR15, Class A1 |
| | 1,415,015 | | | | 4.933 | | | | 09/25/35 | | | | 1,122,390 | |
Indymac Index Mortgage Loan Trust Series 2005-AR23, Class 6A1 |
| | 8,999,926 | | | | 5.127 | | | | 11/25/35 | | | | 6,236,049 | |
Indymac Index Mortgage Loan Trust Series 2006-AR2, Class 1A1A |
| | 6,872,433 | | | | 0.455 | | | | 04/25/46 | | | | 3,546,666 | |
74 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS STRATEGIC INCOME FUND
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Mortgage-Backed Obligations – (continued) |
Adjustable Rate Non-Agency(c) – (continued) |
| | | | | | | | | | | | | | | |
Indymac Index Mortgage Loan Trust Series 2007-FLX4, Class 2A1 |
| $ | 11,000,587 | | | | 0.415 | % | | | 07/25/37 | | | $ | 7,127,225 | |
Lehman XS Trust Series 2006-GP1, Class A2A |
| | 7,473,459 | | | | 0.405 | | | | 05/25/46 | | | | 5,982,101 | |
Lehman XS Trust Series 2007-15N, Class 4A1 |
| | 14,507,899 | | | | 1.135 | | | | 08/25/47 | | | | 7,596,826 | |
Lehman XS Trust Series 2007-16N, Class 2A2 |
| | 724,600 | | | | 1.085 | | | | 09/25/47 | | | | 437,850 | |
Lehman XS Trust Series 2007-7N, Class 1A1A |
| | 32,732,890 | | | | 0.455 | | | | 06/25/47 | | | | 18,875,188 | |
Luminent Mortgage Trust Series 2006-6, Class A1 |
| | 12,601,163 | | | | 0.435 | | | | 10/25/46 | | | | 7,465,247 | |
Luminent Mortgage Trust Series 2006-7, Class 2A1 |
| | 15,148,690 | | | | 0.405 | | | | 12/25/36 | | | | 7,941,710 | |
Luminent Mortgage Trust Series 2007-2, Class 2A1 |
| | 3,419,692 | | | | 0.465 | | | | 05/25/37 | | | | 1,716,209 | |
Master Adjustable Rate Mortgages Trust Series 2007-2, Class A1 |
| | 7,954,637 | | | | 0.385 | | | | 03/25/47 | | | | 4,903,807 | |
Master Adjustable Rate Mortgages Trust Series 2007-3, Class 12A1 |
| | 2,599,268 | | | | 0.435 | | | | 05/25/47 | | | | 1,279,984 | |
Residential Accredit Loans, Inc. Series 2005-Q05, Class A1 |
| | 8,945,174 | | | | 1.242 | | | | 01/25/46 | | | | 4,420,848 | |
Residential Accredit Loans, Inc. Series 2006-QO10, Class A1 |
| | 9,071,236 | | | | 0.395 | | | | 01/25/37 | | | | 5,206,241 | |
Residential Accredit Loans, Inc. Series 2007-QH2, Class A1 |
| | 741,753 | | | | 0.375 | | | | 03/25/37 | | | | 437,041 | |
Residential Accredit Loans, Inc. Series 2007-QH9, Class A1 |
| | 15,319,642 | | | | 6.468 | | | | 11/25/37 | | | | 6,576,417 | |
Residential Accredit Loans, Inc. Series 2007-QO3, Class A1 |
| | 22,864,391 | | | | 0.395 | | | | 03/25/47 | | | | 11,834,078 | |
Residential Funding Mortgage Securities I Series 2005-SA4, Class 2A1 |
| | 10,664,464 | | | | 2.938 | | | | 09/25/35 | | | | 7,643,221 | |
Structured Adjustable Rate Mortgage Loan Trust Series 2006-04, Class 5A1 |
| | 10,028,935 | | | | 5.526 | | | | 05/25/36 | | | | 7,893,775 | |
Structured Asset Mortgage Investments, Inc. Series 2005-AR7, Class 5A1 |
| | 2,257,663 | | | | 1.702 | | | | 03/25/46 | | | | 1,151,736 | |
Structured Asset Mortgage Investments, Inc. Series 2006-AR6, Class 1A3 |
| | 797,198 | | | | 0.425 | | | | 07/25/46 | | | | 412,682 | |
Structured Asset Mortgage Investments, Inc. Series 2006-AR7, Class A1A |
| | 858,848 | | | | 0.445 | | | | 08/25/36 | | | | 481,097 | |
Structured Asset Mortgage Investments, Inc. Series 2006-AR8, Class A1A |
| | 6,827,364 | | | | 0.435 | | | | 10/25/36 | | | | 3,842,844 | |
Structured Asset Mortgage Investments, Inc. Series 2007-AR7, Class 1A1 |
| | 2,468,358 | | | | 1.085 | | | | 05/25/47 | | | | 1,298,660 | |
Washington Mutual Alternative Mortgage Pass-Through Certificates Series 2006-AR4, Class DA |
| | 4,930,575 | | | | 1.212 | | | | 06/25/46 | | | | 2,011,672 | |
Washington Mutual Mortgage Pass Through Certificates Series 2005-AR12, Class 1A6 |
| | 8,175,000 | | | | 2.501 | | | | 10/25/35 | | | | 6,220,358 | |
Washington Mutual Mortgage Pass Through Certificates Series 2005-AR9, Class A1A |
| | 2,237,562 | | | | 0.555 | | | | 07/25/45 | | | | 1,753,138 | |
Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR11, Class A1A |
| | 3,502,186 | | | | 0.555 | | | | 08/25/45 | | | | 2,734,094 | |
Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR19, Class A1A1 |
| | 917,293 | | | | 0.505 | | | | 12/25/45 | | | | 712,672 | |
Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR6, Class 2A1A |
| | 844,765 | | | | 0.465 | | | | 04/25/45 | | | | 666,262 | |
Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR8, Class 1A1A |
| | 587,146 | | | | 0.505 | | | | 07/25/45 | | | | 437,665 | |
Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR8, Class 2A1A |
| | 2,120,011 | | | | 0.525 | | | | 07/25/45 | | | | 1,670,738 | |
Washington Mutual Mortgage Pass-Through Certificates Series 2006-AR11, Class 3A1A |
| | 5,839,184 | | | | 1.162 | | | | 09/25/46 | | | | 2,816,727 | |
Washington Mutual Mortgage Pass-Through Certificates Series 2006-AR15, Class 1A |
| | 7,044,023 | | | | 1.082 | | | | 11/25/46 | | | | 4,097,096 | |
Washington Mutual Mortgage Pass-Through Certificates Series 2006-AR17, Class 1A |
| | 13,069,908 | | | | 1.062 | | | | 12/25/46 | | | | 7,267,518 | |
Washington Mutual Mortgage Pass-Through Certificates Series 2006-AR4, Class 1A1A |
| | 13,282,286 | | | | 1.182 | | | | 05/25/46 | | | | 9,530,986 | |
Washington Mutual Mortgage Pass-Through Certificates Series 2006-AR5, Class 4A |
| | 2,613,034 | | | | 1.232 | | | | 06/25/46 | | | | 1,115,261 | |
Washington Mutual Mortgage Pass-Through Certificates Series 2007-OA2, Class 2A |
| | 14,255,859 | | | | 0.942 | | | | 01/25/47 | | | | 5,960,011 | |
Washington Mutual Mortgage Pass-Through Certificates Series 2007-OA4, Class 1A |
| | 8,910,375 | | | | 1.012 | | | | 05/25/47 | | | | 5,342,054 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 230,323,401 | |
| |
| |
Collateralized Mortgage Obligations – 8.2% |
Regular Floater(c) – 1.1% |
Countrywide Alternative Loan Trust Series 2005-64CB, Class 1A12 |
| | 2,560,860 | | | | 1.035 | | | | 12/25/35 | | | | 1,499,717 | |
Granite Mortgages PLC Series 2003-2, Class 3A |
| GBP | 4,481,117 | | | | 1.310 | | | | 07/20/43 | | | | 6,656,633 | |
Granite Mortgages PLC Series 2003-3, Class 2A |
| EUR | 329,521 | | | | 1.988 | | | | 01/20/44 | | | | 420,544 | |
Granite Mortgages PLC Series 2004-2, Class 3A |
| GBP | 2,261,486 | | | | 1.245 | | | | 06/20/44 | | | | 3,359,356 | |
The accompanying notes are an integral part of these financial statements. 75
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Mortgage-Backed Obligations – (continued) |
Regular Floater(c) – (continued) |
| | | | | | | | | | | | | | | |
Granite Mortgages PLC Series 2004-3, Class 2A2 |
| EUR | 120,045 | | | | 1.815 | % | | | 09/20/44 | | | $ | 153,201 | |
Granite Mortgages PLC Series 2004-3, Class 3A1 |
| GBP | 2,128,130 | | | | 1.285 | | | | 09/20/44 | | | | 3,161,209 | |
Permanent Master Issuer PLC Series 2006-1, Class 6A1 |
| $ | 500,000 | | | | 0.947 | | | | 04/15/20 | | | | 764,086 | |
Permanent Master Issuer PLC Series 2009-1, Class A2 |
| | 3,200,000 | | | | 2.527 | | | | 07/15/42 | | | | 5,006,549 | |
Permanent Master Issuer PLC Series 2011-1A, Class 1A3(b) |
| EUR | 3,300,000 | | | | 2.905 | | | | 07/15/42 | | | | 4,404,408 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 25,425,703 | |
| |
| |
Sequential Fixed Rate – 6.1% |
Banc of America Funding Corp. Series 2007-8, Class 2A1 |
| $ | 4,407,334 | | | | 7.000 | | | | 10/25/37 | | | | 2,958,469 | |
BCAP LLC Trust Series 2007-AA2, Class 2A7 |
| | 3,922,276 | | | | 6.000 | | | | 04/25/37 | | | | 2,556,468 | |
Citicorp Mortgage Securities, Inc. Series 2007-4, Class 2A1 |
| | 844,625 | | | | 5.500 | | | | 05/25/22 | | | | 817,414 | |
Citimortgage Alternative Loan Trust Series 2007-A1, Class 1A7 |
| | 2,717,003 | | | | 6.000 | | | | 01/25/37 | | | | 1,810,190 | |
Citimortgage Alternative Loan Trust Series 2007-A4, Class 1A5 |
| | 9,737,464 | | | | 5.750 | | | | 04/25/37 | | | | 6,564,243 | |
Countrywide Alternative Loan Trust Series 2005-77T1, Class 1A2 |
| | 5,695,979 | | | | 6.000 | | | | 02/25/36 | | | | 3,914,700 | |
Countrywide Alternative Loan Trust Series 2007-06, Class A4 |
| | 1,793,561 | | | | 5.750 | | | | 04/25/47 | | | | 1,065,761 | |
Countrywide Alternative Loan Trust Series 2007-16CB, Class 4A7 |
| | 1,952,126 | | | | 6.000 | | | | 08/25/37 | | | | 1,447,424 | |
Countrywide Alternative Loan Trust Series 2007-18CB, Class 2A25 |
| | 1,149,684 | | | | 6.000 | | | | 08/25/37 | | | | 813,011 | |
Countrywide Home Loan Mortgage Pass-Through Trust Series 2007-1, Class A4 |
| | 17,126,620 | | | | 6.000 | | | | 03/25/37 | | | | 14,383,033 | |
Credit Suisse Mortgage Capital Certificates Trust Series 2006-8, Class 4A1 |
| | 1,051,875 | | | | 6.500 | | | | 10/25/21 | | | | 797,577 | |
| FHLMC Multifamily Structured Pass-Through Certificates Series K703, Class A2 |
| | 7,000,000 | | | | 2.699 | | | | 05/25/18 | | | | 7,140,298 | |
JPMorgan Alternative Loan Trust Series 2008-R2, Class A1(b) |
| | 17,598,514 | | | | 6.000 | | | | 11/25/36 | | | | 13,237,324 | |
Morgan Stanley Mortgage Loan Trust Series 2005-4, Class 1A |
| | 3,669,872 | | | | 5.000 | | | | 08/25/35 | | | | 3,504,240 | |
Morgan Stanley Mortgage Loan Trust Series 2006-2, Class 1A |
| | 9,596,492 | | | | 5.250 | | | | 02/25/21 | | | | 8,666,336 | |
Morgan Stanley Mortgage Loan Trust Series 2006-2, Class 2A3 |
| | 11,301,727 | | | | 5.750 | | | | 02/25/36 | | | | 9,116,139 | |
Residential Accredit Loans, Inc. Series 2006-QS12, Class 1A1 |
| | 10,743,758 | | | | 6.500 | | | | 09/25/36 | | | | 6,286,060 | |
Residential Accredit Loans, Inc. Series 2006-QS2, Class 1A9 |
| | 1,471,556 | | | | 5.500 | | | | 02/25/36 | | | | 896,470 | |
Residential Accredit Loans, Inc. Series 2006-QS4, Class A9 |
| | 7,733,985 | | | | 6.000 | | | | 04/25/36 | | | | 5,052,652 | |
Residential Accredit Loans, Inc. Series 2006-QS6, Class 1A13 |
| | 2,531,327 | | | | 6.000 | | | | 06/25/36 | | | | 1,531,741 | |
Residential Accredit Loans, Inc. Series 2006-QS7, Class A1 |
| | 1,550,081 | | | | 6.000 | | | | 06/25/36 | | | | 983,433 | |
Residential Accredit Loans, Inc. Series 2006-QS8, Class A1 |
| | 5,939,709 | | | | 6.000 | | | | 08/25/36 | | | | 3,691,449 | |
Residential Accredit Loans, Inc. Series 2006-QS8, Class A3 |
| | 4,611,081 | | | | 6.000 | | | | 08/25/36 | | | | 2,886,552 | |
Residential Accredit Loans, Inc. Series 2006-QS9, Class 1A11 |
| | 4,594,617 | | | | 6.500 | | | | 07/25/36 | | | | 3,054,170 | |
Residential Asset Securitization Trust Series 2006-A8, Class 1A1 |
| | 3,398,715 | | | | 6.000 | | | | 08/25/36 | | | | 2,374,365 | |
Residential Funding Mortgage Securities I Series 2007-S9, Class 1A1 |
| | 14,343,138 | | | | 6.000 | | | | 10/25/37 | | | | 11,343,417 | |
Wells Fargo Alternative Loan Trust Series 2007-PA2, Class 1A1 |
| | 11,002,817 | | | | 6.000 | | | | 06/25/37 | | | | 8,634,108 | |
Wells Fargo Alternative Loan Trust Series 2007-PA3, Class 1A1 |
| | 1,813,438 | | | | 5.750 | | | | 07/25/37 | | | | 1,286,361 | |
Wells Fargo Alternative Loan Trust Series 2007-PA3, Class 3A1 |
| | 7,648,705 | | | | 6.250 | | | | 07/25/37 | | | | 5,286,291 | |
Wells Fargo Mortgage Backed Securities Trust Series 2007-11, Class A85 |
| | 4,305,376 | | | | 6.000 | | | | 08/25/37 | | | | 3,957,099 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 136,056,795 | |
| |
| |
Sequential Floating Rate(c) – 0.9% |
Banc of America Funding Corp. Series 2007-2, Class 2A1 |
| | 496,539 | | | | 5.615 | | | | 03/25/37 | | | | 454,474 | |
Chaseflex Trust Series 2007-3, Class 1A2 |
| | 6,230,721 | | | | 0.695 | | | | 07/25/37 | | | | 3,357,492 | |
| FHLMC Multifamily Structured Pass-Through Certificates Series K011, Class A2 |
| | 15,000,000 | | | | 4.084 | | | | 11/25/20 | | | | 16,458,914 | |
Washington Mutual Alternative Mortgage Pass-Through Certificates Series 2006-AR10, Class A1 |
| | 1,735,323 | | | | 0.335 | | | | 12/25/36 | | | | 854,817 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 21,125,697 | |
| |
| |
Support – 0.1% |
Countrywide Alternative Loan Trust Series 2006-4CB, Class 2A4 |
| | 1,409,299 | | | | 5.500 | | | | 04/25/36 | | | | 992,483 | |
| |
| |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | | $ | 183,600,678 | |
| |
| |
Federal Agencies – 25.4% |
Adjustable Rate FNMA(c) – 0.5% |
| $ | 1,429,182 | | | | 1.993 | % | | | 10/01/34 | | | $ | 1,480,316 | |
| | 3,285,172 | | | | 1.943 | | | | 01/01/35 | | | | 3,416,280 | |
| | 3,140,467 | | | | 2.001 | | | | 01/01/35 | | | | 3,267,150 | |
| | 2,750,466 | | | | 2.684 | | | | 09/01/35 | | | | 2,884,056 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 11,047,802 | |
| |
| |
FHLMC(f) – 0.4% |
| | 8,000,000 | | | | 4.000 | | | | TBA-30yr | | | | 8,373,125 | |
| |
| |
76 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS STRATEGIC INCOME FUND
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Mortgage-Backed Obligations – (continued) |
| | | | | | | | | | | | | | | |
FNMA – 24.5% |
| $ | 7,043,751 | | | | 3.104 | % | | | 01/01/18 | | | $ | 7,349,865 | |
| | 7,844,285 | | | | 3.462 | | | | 01/01/18 | | | | 8,341,167 | |
| | 4,400,000 | | | | 3.660 | | | | 01/01/18 | | | | 4,692,930 | |
| | 1,494,678 | | | | 5.000 | | | | 01/01/18 | | | | 1,612,795 | |
| | 7,909,490 | | | | 5.000 | | | | 02/01/18 | | | | 8,534,530 | |
| | 5,500,000 | | | | 3.750 | | | | 03/01/18 | | | | 5,920,869 | |
| | 4,895,440 | | | | 5.000 | | | | 03/01/18 | | | | 5,282,298 | |
| | 7,399,327 | | | | 5.000 | | | | 04/01/18 | | | | 7,984,052 | |
| | 3,550,000 | | | | 3.840 | | | | 05/01/18 | | | | 3,815,285 | |
| | 595,324 | | | | 5.000 | | | | 05/01/18 | | | | 642,369 | |
| | 597,601 | | | | 5.000 | | | | 06/01/18 | | | | 644,826 | |
| | 11,613 | | | | 5.500 | | | | 01/01/19 | | | | 12,644 | |
| | 178,922 | | | | 5.500 | | | | 02/01/19 | | | | 194,817 | |
| | 198,048 | | | | 5.500 | | | | 03/01/19 | | | | 215,644 | |
| | 146,668 | | | | 5.500 | | | | 04/01/19 | | | | 159,700 | |
| | 84,588 | | | | 5.500 | | | | 05/01/19 | | | | 92,102 | |
| | 340,123 | | | | 5.500 | | | | 06/01/19 | | | | 370,341 | |
| | 1,215,851 | | | | 5.500 | | | | 07/01/19 | | | | 1,323,838 | |
| | 1,179,570 | | | | 5.500 | | | | 08/01/19 | | | | 1,284,291 | |
| | 1,055,796 | | | | 5.500 | | | | 09/01/19 | | | | 1,149,508 | |
| | 310,869 | | | | 5.500 | | | | 10/01/19 | | | | 338,479 | |
| | 317,778 | | | | 5.500 | | | | 11/01/19 | | | | 346,011 | |
| | 447,777 | | | | 5.500 | | | | 12/01/19 | | | | 487,561 | |
| | 60,835 | | | | 5.500 | | | | 01/01/20 | | | | 66,239 | |
| | 23,612 | | | | 5.500 | | | | 06/01/20 | | | | 25,687 | |
| | 5,930,093 | | | | 5.500 | | | | 07/01/20 | | | | 6,444,807 | |
| | 2,183,773 | | | | 3.416 | | | | 10/01/20 | | | | 2,277,073 | |
| | 3,076,492 | | | | 3.375 | | | | 11/01/20 | | | | 3,199,466 | |
| | 1,588,576 | | | | 3.632 | | | | 12/01/20 | | | | 1,676,951 | |
| | 16,547,609 | | | | 5.500 | | | | 05/01/25 | | | | 18,001,994 | |
| | 56,345 | | | | 4.000 | | | | 02/01/40 | | | | 59,080 | |
| | 36,086,175 | | | | 3.500 | | | | 02/01/41 | | | | 37,095,575 | |
| | 399,000,000 | | | | 3.000 | | | | TBA-15yr | (f) | | | 409,819,935 | |
| | 11,000,000 | | | | 4.000 | | | | TBA-30yr | (f) | | | 11,529,375 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 550,992,104 | |
| |
| |
TOTAL FEDERAL AGENCIES | | $ | 570,413,031 | |
| |
| |
TOTAL MORTGAGE-BACKED OBLIGATIONS |
(Cost $1,013,089,518) | | $ | 984,337,110 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Asset-Backed Securities – 8.8% |
Collateralized Loan Obligations(c) – 6.0% |
Black Diamond CLO Ltd. Series 2005-1A, Class A1(b) |
| $ | 6,370,599 | | | | 0.621 | % | | | 06/20/17 | | | $ | 6,068,251 | |
Black Diamond CLO Ltd. Series 2005-1A, Class A1A(b) |
| | 3,231,338 | | | | 0.601 | | | | 06/20/17 | | | | 3,089,488 | |
Black Diamond CLO Ltd. Series 2006-1A, Class AD(b) |
| | 1,000,000 | | | | 0.503 | | | | 04/29/19 | | | | 918,669 | |
Callidus Debt Partners Fund Ltd. Series 6A, Class A1T(b) |
| | 2,143,720 | | | | 0.513 | | | | 10/23/21 | | | | 1,973,279 | |
Carlyle High Yield Partners Series 2004-6A, Class A1(b) |
| | 3,472,117 | | | | 0.648 | | | | 08/11/16 | | | | 3,371,127 | |
Champlain CLO Ltd. Series 2004-1A, Class A1(b) |
| | 4,767,767 | | | | 0.727 | | | | 06/15/16 | | | | 4,611,113 | |
DFR Middle Market CLO Ltd. Series 2007-1A, Class A1A(b) |
| | 215,806 | | | | 0.511 | | | | 07/20/19 | | | | 214,451 | |
Duane Street CLO Series 2007-4A, Class A1T(b) |
| | 6,315,591 | | | | 0.516 | | | | 11/14/21 | | | | 5,800,706 | |
Greywolf CLO Ltd. Series 2007-1A, Class A(b) |
| | 9,327,400 | | | | 0.538 | | | | 02/18/21 | | | | 8,480,715 | |
Jasper CLO Ltd. Series 2005-1A, Class A(b) |
| | 32,038,455 | | | | 0.526 | | | | 08/01/17 | | | | 29,755,972 | |
Katonah Ltd. Series 7A, Class A1(b) |
| | 1,940,563 | | | | 0.546 | | | | 11/15/17 | | | | 1,862,989 | |
KKR Financial CLO Ltd. Series 2006-1A, Class A1(b) |
| | 24,300,091 | | | | 0.592 | | | | 08/25/18 | | | | 22,684,670 | |
KKR Financial CLO Ltd. Series 2007-1A, Class A(b) |
| | 13,712,725 | | | | 0.636 | | | | 05/15/21 | | | | 12,524,736 | |
KKR Financial CLO Ltd. Series 2007-AA, Class A(b) |
| | 1,307,459 | | | | 0.999 | | | | 10/15/17 | | | | 1,242,723 | |
Monument Park CDO Ltd. Series 2003 1A, Class A1(b) |
| | 2,274,518 | | | | 0.801 | | | | 01/20/16 | | | | 2,213,618 | |
Mountain View Funding CLO Series 2007-3A, Class A1(b) |
| | 6,938,124 | | | | 0.465 | | | | 04/16/21 | | | | 6,457,173 | |
Westchester CLO Ltd. Series 2007-1X, Class A1A |
| | 25,942,491 | | | | 0.479 | | | | 08/01/22 | | | | 24,009,672 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 135,279,352 | |
| |
| |
Home Equity – 1.2% |
AH Mortgage Advance Trust Series SART-1, Class A1(b) |
| | 6,400,000 | | | | 2.630 | | | | 05/10/42 | | | | 6,392,419 | |
AH Mortgage Advance Trust Series SART-2, Class A1(b) |
| | 4,700,000 | | | | 3.270 | | | | 09/15/43 | | | | 4,698,733 | |
CIT Mortgage Loan Trust Series 2007-1, Class 2A1(b)(c) |
| | 476,913 | | | | 1.235 | | | | 10/25/37 | | | | 454,106 | |
CIT Mortgage Loan Trust Series 2007-1, Class 2A2(b)(c) |
| | 1,030,000 | | | | 1.485 | | | | 10/25/37 | | | | 767,616 | |
CIT Mortgage Loan Trust Series 2007-1, Class 2A3(b)(c) |
| | 2,040,000 | | | | 1.685 | | | | 10/25/37 | | | | 842,880 | |
Countrywide Asset-Backed Certificates Series 2006-ABC1, Class A2(c) |
| | 10,375,202 | | | | 0.395 | | | | 05/25/36 | | | | 4,307,788 | |
Countrywide Asset-Backed Certificates Series 2007-2, Class 2A4(c) |
| | 20,000,000 | | | | 0.455 | | | | 08/25/37 | | | | 3,015,848 | |
First Franklin Mortgage Loan Asset-Backed Certificates Series 2006-FF18, Class A2B(c) |
| | 7,070,679 | | | | 0.345 | | | | 12/25/37 | | | | 3,947,011 | |
Soundview Home Equity Loan Trust Series 2006-EQ1, Class A4(c) |
| | 11,762,000 | | | | 0.485 | | | | 10/25/36 | | | | 3,447,129 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 27,873,530 | |
| |
| |
Student Loan(c) – 1.6% |
Educational Funding of the South, Inc. Series 2011-1, Class A2 |
| | 15,400,000 | | | | 0.903 | | | | 04/25/35 | | | | 14,253,518 | |
GCO Education Loan Funding Trust Series 2006-1, Class A10L |
| | 800,000 | | | | 0.502 | | | | 02/27/28 | | | | 679,834 | |
GCO Education Loan Funding Trust Series 2006-1, Class A11L |
| | 2,000,000 | | | | 0.542 | | | | 05/25/36 | | | | 1,634,844 | |
The accompanying notes are an integral part of these financial statements. 77
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Asset-Backed Securities – (continued) |
Student Loan(c) – (continued) |
| | | | | | | | | | | | | | | |
GCO Education Loan Funding Trust Series 2006-1, Class A8L |
| $ | 6,500,000 | | | | 0.442 | % | | | 05/25/25 | | | $ | 5,885,925 | |
Panhandle-Plains Higher Education Authority, Inc. Series 2011-1, Class A2 |
| | 10,000,000 | | | | 1.261 | | | | 07/01/24 | | | | 9,893,794 | |
SLM Student Loan Trust Series 2011-2, Class A2 |
| | 2,075,000 | | | | 1.435 | | | | 10/25/34 | | | | 2,043,204 | |
US Education Loan Trust LLC Series 2006-1, Class A2(b) |
| | 902,776 | | | | 0.456 | | | | 03/01/25 | | | | 887,544 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 35,278,663 | |
| |
| |
TOTAL ASSET-BACKED SECURITIES |
(Cost $201,409,561) | | $ | 198,431,545 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Foreign Debt Obligations – 7.0% |
Sovereign – 7.0% |
Bank Negara Monetary Notes(g) |
| MYR | 70,075,000 | | | | 0.000 | % | | | 12/06/11 | | | $ | 21,837,794 | |
| | 15,100,000 | | | | 0.000 | | | | 12/13/11 | | | | 4,702,909 | |
| Malaysia Government Bond |
| $ | 67,305,000 | | | | 3.434 | | | | 08/15/14 | | | | 21,229,800 | |
| Mexico Cetes |
| MXN | 281,862,270 | | | | 0.000 | (g) | | | 01/26/12 | | | | 20,051,163 | |
Republic of Argentina(c) |
| EUR | 8,004,897 | | | | 7.820 | | | | 12/31/33 | | | | 6,059,376 | |
| | 22,930,000 | | | | 0.000 | | | | 12/15/35 | | | | 3,732,536 | |
| Republic of Colombia |
| $ | 6,020,000 | | | | 4.375 | | | | 07/12/21 | | | | 6,110,240 | |
Republic of Ivory Coast(h) |
| | 7,003,000 | | | | 2.500 | | | | 12/31/32 | | | | 3,396,455 | |
| Republic of South Africa |
| ZAR | 5,290,000 | | | | 7.250 | | | | 01/15/20 | | | | 615,829 | |
| | 403,755,000 | | | | 6.750 | | | | 03/31/21 | | | | 44,997,078 | |
| | 33,800,000 | | | | 10.500 | | | | 12/21/26 | | | | 4,852,417 | |
| | 34,590,000 | | | | 10.500 | | | | 12/21/26 | | | | 4,965,832 | |
| Republic of Venezuela |
| $ | 6,640,000 | | | | 7.750 | | | | 10/13/19 | | | | 4,233,000 | |
| | 1,370,000 | | | | 9.000 | | | | 05/07/23 | | | | 856,250 | |
| | 1,920,000 | | | | 8.250 | | | | 10/13/24 | | | | 1,123,200 | |
| | 510,000 | | | | 9.250 | | | | 05/07/28 | | | | 313,650 | |
Russian Federation(i) |
| | 576,150 | | | | 7.500 | | | | 03/31/30 | | | | 647,593 | |
Ukraine Government(b) |
| | 8,000,000 | | | | 7.950 | | | | 02/23/21 | | | | 7,240,000 | |
| United Mexican States |
| MXN | 9,607,300 | | | | 7.500 | | | | 06/03/27 | | | | 716,783 | |
| |
| |
TOTAL FOREIGN DEBT OBLIGATIONS |
(Cost $178,651,772) | | $ | 157,681,905 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Structured Notes – 1.0% |
| Notas do Tesouro Nacional (Issuer Credit Suisse Nassau) |
| BRL | 4,912,247 | | | | 6.000 | % | | | 08/17/40 | | | $ | 2,689,970 | |
| | 26,944,814 | | | | 6.000 | | | | 08/19/40 | | | | 14,755,112 | |
Notas do Tesouro Nacional Series B (Issuer HSBC Corp.)(c) |
| | 11,026,647 | | | | 6.000 | | | | 08/15/40 | | | | 6,038,246 | |
| |
| |
TOTAL STRUCTURED NOTES |
(Cost $26,537,385) | | $ | 23,483,328 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Municipal Debt Obligations – 0.6% |
California – 0.4% |
| California State GO Bonds Build America Series 2009 |
| $ | 5,300,000 | | | | 7.350 | % | | | 11/01/39 | | | $ | 6,315,904 | |
| California State GO Bonds Build America Series 2010 |
| | 1,900,000 | | | | 7.600 | | | | 11/01/40 | | | | 2,350,661 | |
| California State GO Bonds Build America Taxable Series 2009 |
| | 500,000 | | | | 7.500 | | | | 04/01/34 | | | | 601,960 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 9,268,525 | |
| |
| |
Illinois – 0.2% |
| Illinois State GO Bonds Build America Series 2010 |
| | 650,000 | | | | 7.350 | | | | 07/01/35 | | | | 731,451 | |
Illinois State GO Bonds Taxable-Pension Series 2003(j) |
| | 2,625,000 | | | | 5.100 | | | | 06/01/33 | | | | 2,372,764 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 3,104,215 | |
| |
| |
TOTAL MUNICIPAL DEBT OBLIGATIONS |
(Cost $10,905,429) | | $ | 12,372,740 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Government Guarantee Obligations(k) – 0.2% |
| Bank of Ireland |
| EUR | 1,040,000 | | | | 6.750 | % | | | 01/30/12 | | | $ | 1,375,923 | |
| $ | 2,120,000 | | | | 2.750 | (b) | | | 03/02/12 | | | | 2,035,673 | |
| | 1,490,000 | | | | 2.750 | | | | 03/02/12 | | | | 1,430,732 | |
| |
| |
TOTAL GOVERNMENT GUARANTEE OBLIGATIONS |
(Cost $4,984,174) | | $ | 4,842,328 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
U.S. Treasury Obligation(j) – 0.4% |
| United States Treasury Inflation Protected Security |
| $ | 7,517,700 | | | | 0.625 | % | | | 07/15/21 | | | $ | 7,854,794 | |
(Cost $7,934,669) | | | | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Senior Term Loans(l) – 3.6% |
Airlines – 0.5% |
| Delta Air Lines, Inc. |
| $ | 11,595,938 | | | | 5.500 | % | | | 04/20/17 | | | $ | 10,914,676 | |
| |
| |
Automotive – 0.5% |
| Chrysler Group LLC |
| | 11,970,000 | | | | 6.000 | | | | 05/24/17 | | | | 10,405,401 | |
| |
| |
78 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS STRATEGIC INCOME FUND
| | | | | | | | | | | | | | | |
Principal
| | Interest
| | Maturity
| | |
| Amount | | Rate | | Date | | Value |
| |
Senior Term Loans(l) – (continued) |
| | | | | | | | | | | | | | | |
Automotive – Parts – 0.1% |
| Tomkins LLC |
| $ | 1,496,231 | | | | 4.250 | % | | | 09/21/16 | | | $ | 1,465,379 | |
| |
| |
Energy – Coal – 0.1% |
| Walter Energy, Inc. |
| | 2,250,000 | | | | 4.000 | | | | 04/02/18 | | | | 2,168,438 | |
| |
| |
Food & Beverages – 0.2% |
| NBTY, Inc. |
| | 4,987,437 | | | | 4.250 | | | | 10/01/17 | | | | 4,823,101 | |
| |
| |
Gaming – 0.2% |
| Caesars Entertainment Operating Co. |
| | 5,500,000 | | | | 3.247 | | | | 01/28/15 | | | | 4,568,465 | |
| |
| |
Health Care – 0.5% |
| Health Management Associates, Inc. |
| | 6,980,498 | | | | 2.119 | | | | 02/28/14 | | | | 6,554,897 | |
| Multiplan, Inc. |
| | 6,250,000 | | | | 4.750 | | | | 08/26/17 | | | | 5,901,062 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 12,455,959 | |
| |
| |
Health Care – Pharmaceutical – 0.3% |
| Endo Pharmaceuticals Holdings, Inc. |
| | 6,638,304 | | | | 4.000 | | | | 06/18/18 | | | | 6,602,722 | |
| |
| |
Media – Broadcasting & Radio – 0.3% |
| Cumulus Media, Inc. |
| | 4,600,000 | | | | 5.750 | | | | 09/17/18 | | | | 4,325,426 | |
| | 2,100,000 | | | | 7.500 | | | | 02/11/19 | | | | 1,979,250 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 6,304,676 | |
| |
| |
Metals – 0.1% |
| Novelis, Inc. |
| | 2,743,090 | | | | 3.750 | | | | 03/10/17 | | | | 2,664,227 | |
| |
| |
Services Cyclical – Business Services – 0.2% |
| First Data Corp. |
| | 4,938,593 | | | | 2.985 | | | | 09/24/14 | | | | 4,281,168 | |
| Trans Union LLC |
| | 997,494 | | | | 4.750 | | | | 02/12/18 | | | | 971,309 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 5,252,477 | |
| |
| |
Telecommunications – Internet & Data – 0.2% |
| Level 3 Financing, Inc. |
| | 5,000,000 | | | | 0.043 | | | | 10/04/18 | | | | 4,733,350 | |
| |
| |
Utilities – Electric – 0.2% |
| Calpine Corp. |
| | 4,139,599 | | | | 4.500 | | | | 04/02/18 | | | | 3,888,367 | |
| |
| |
Wireless Telecommunications – 0.2% |
| Intelsat Jackson Holdings SA |
| | 5,000,000 | | | | 5.250 | | | | 04/02/18 | | | | 4,762,500 | |
| |
| |
TOTAL SENIOR TERM LOANS |
(Cost $84,811,355) | | $ | 81,009,738 | |
| |
| |
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT |
(Cost $2,231,321,789) | | $ | 2,137,438,151 | |
| |
| |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Short-term Investment(m) – 21.2% |
Repurchase Agreement – 21.2% |
| Joint Repurchase Agreement Account II |
| $ | 476,100,000 | | | | 0.095 | % | | | 10/03/11 | | | $ | 476,100,000 | |
(Cost $476,100,000) | | | | |
| |
| |
TOTAL INVESTMENTS – 116.5% |
(Cost $2,707,421,789) | | $ | 2,613,538,151 | |
| |
| |
LIABILITIES IN EXCESS OF OTHER ASSETS – (16.5)% | | | (370,427,390 | ) |
| |
| |
NET ASSETS – 100.0% | | $ | 2,243,110,761 | |
| |
| |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| | |
| (a) | | Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
| |
| (b) | | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $489,371,465, which represents approximately 21.8% of net assets as of September 30, 2011. |
| |
| (c) | | Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. |
| |
| (d) | | Security with “Put” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
| |
| (e) | | Pay-in-kind securities. |
| |
| (f) | | TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $429,722,435, which represents approximately 19.2% of net assets as of September 30, 2011. |
| |
| (g) | | Issued with a zero coupon. Income is recognized through the accretion of discount. |
| |
| (h) | | Security is currently in default and/or non-income producing. |
| |
| (i) | | Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect at September 30, 2011. |
| |
| (j) | | A portion of this security is segregated as collateral for initial margin requirements on futures transactions. |
| |
| (k) | | Guaranteed by a foreign government until maturity. |
| |
| (l) | | Senior Term Loans often require prepayments from excess cash flows or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. The stated interest rate represents the weighted average interest rate of all contracts within the senior loan facility at September 30, 2011. Senior Term Loans typically have rates of interest which are redetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London-interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders. |
The accompanying notes are an integral part of these financial statements. 79
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| | |
| (m) | | Joint repurchase agreement was entered into on September 30, 2011. Additional information appears on page 89. |
| | | | | |
| |
| |
Currency Abbreviations: |
| AUD | | — | | Australian Dollar |
| BRL | | — | | Brazilian Real |
| CAD | | — | | Canadian Dollar |
| CHF | | — | | Swiss Franc |
| EUR | | — | | Euro |
| GBP | | — | | British Pound |
| JPY | | — | | Japanese Yen |
| MXN | | — | | Mexican Peso |
| MYR | | — | | Malaysian Ringgit |
| NOK | | — | | Norwegian Krone |
| NZD | | — | | New Zealand Dollar |
| SEK | | — | | Swedish Krona |
| ZAR | | — | | South African Rand |
| |
Investment Abbreviations: |
| AUDOR | | — | | Australian Dollar Offered Rate |
| BP | | — | | British Pound Offered Rate |
| CDO | | — | | Collateralized Debt Obligation |
| CDOR | | — | | Canadian Dollar Offered Rate |
| CLO | | — | | Collateralized Loan Obligation |
| EURO | | — | | Euro Offered Rate |
| FHLMC | | — | | Federal Home Loan Mortgage Corp. |
| FNMA | | — | | Federal National Mortgage Association |
| GO | | — | | General Obligation |
| JYOR | | — | | Japanese Yen Offered Rate |
| LIBOR | | — | | London Interbank Offered Rate |
| OTC | | — | | Over the Counter |
| SART | | — | | Servicer Advance Revolving Trust |
| |
| |
80 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS STRATEGIC INCOME FUND
| |
| ADDITIONAL INVESTMENT INFORMATION | |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2011, the Fund had outstanding forward foreign currency exchange contracts, both to purchase and sell foreign currencies:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| | | | | | | | | | | | | |
| | | Contracts to
| | Expiration
| | Current
| | Unrealized
|
| Counterparty | | Buy/Sell | | Date | | Value | | Gain |
| |
| Barclays Bank PLC | | USD/EUR | | 10/13/11 | | $ | 9,039,164 | | | $ | 322,771 | |
| | | USD/GBP | | 12/21/11 | | | 12,934,250 | | | | 73,168 | |
| | | USD/JPY | | 10/04/11 | | | 3,916,286 | | | | 32,031 | |
| | | USD/MXN | | 11/29/11 | | | 2,136,131 | | | | 56,794 | |
| Citibank NA | | JPY/EUR | | 12/21/11 | | | 14,017,217 | | | | 114,254 | |
| | | USD/AUD | | 12/21/11 | | | 8,218,239 | | | | 569,112 | |
| | | USD/EUR | | 12/21/11 | | | 8,602,722 | | | | 345,836 | |
| | | USD/GBP | | 12/21/11 | | | 8,674,253 | | | | 207,728 | |
| | | USD/NZD | | 12/21/11 | | | 4,290,486 | | | | 7,968 | |
| | | USD/ZAR | | 10/28/11 | | | 9,019,319 | | | | 251,165 | |
| Credit Suisse International (London) | | USD/AUD | | 12/21/11 | | | 4,041,568 | | | | 357,469 | |
| | | USD/CAD | | 12/21/11 | | | 820,472 | | | | 47,759 | |
| | | USD/JPY | | 12/21/11 | | | 6,056,702 | | | | 53,298 | |
| Deutsche Bank AG (London) | | EUR/AUD | | 12/21/11 | | | 12,974,705 | | | | 218,836 | |
| | | EUR/CHF | | 12/21/11 | | | 10,055,553 | | | | 73,647 | |
| | | EUR/NZD | | 12/21/11 | | | 8,669,705 | | | | 140,275 | |
| | | GBP/EUR | | 12/21/11 | | | 8,702,835 | | | | 113,013 | |
| | | JPY/EUR | | 12/21/11 | | | 1,968,837 | | | | 101,654 | |
| | | USD/AUD | | 12/21/11 | | | 13,788,092 | | | | 42,857 | |
| | | USD/EUR | | 12/21/11 | | | 32,354,672 | | | | 597,808 | |
| | | USD/NZD | | 12/21/11 | | | 22,572,569 | | | | 1,793,859 | |
| HSBC Bank PLC | | EUR/NOK | | 12/21/11 | | | 27,752,008 | | | | 298,497 | |
| | | EUR/SEK | | 12/21/11 | | | 8,571,219 | | | | 199,921 | |
| | | USD/SEK | | 12/21/11 | | | 22,992,903 | | | | 1,704,546 | |
| | | USD/ZAR | | 10/28/11 | | | 46,694,411 | | | | 6,969,242 | |
| JPMorgan Securities, Inc. | | EUR/CAD | | 12/21/11 | | | 8,634,394 | | | | 159,514 | |
| | | EUR/NOK | | 12/21/11 | | | 8,761,302 | | | | 64,750 | |
| | | USD/CAD | | 12/21/11 | | | 8,426,524 | | | | 478,476 | |
| | | USD/EUR | | 10/13/11 | | | 57,764,395 | | | | 4,314,579 | |
| | | USD/EUR | | 12/21/11 | | | 5,232,684 | | | | 104,669 | |
| | | USD/GBP | | 10/19/11 | | | 20,510,976 | | | | 500,709 | |
| | | USD/NZD | | 12/21/11 | | | 25,537,526 | | | | 871,947 | |
| Morgan Stanley & Co. | | USD/GBP | | 12/21/11 | | | 7,834,343 | | | | 190,783 | |
| Royal Bank of Canada | | EUR/CAD | | 12/21/11 | | | 8,389,637 | | | | 281,055 | |
| | | USD/AUD | | 12/21/11 | | | 8,740,443 | | | | 62,515 | |
| | | USD/CAD | | 12/21/11 | | | 15,525,234 | | | | 182,767 | |
| | | USD/EUR | | 10/13/11 | | | 17,254,718 | | | | 475,214 | |
| | | USD/EUR | | 12/21/11 | | | 8,619,798 | | | | 330,200 | |
| Royal Bank of Scotland PLC | | GBP/USD | | 12/21/11 | | | 8,694,509 | | | | 1,287 | |
| | | USD/AUD | | 12/21/11 | | | 4,075,104 | | | | 350,780 | |
| UBS AG (London) | | CHF/EUR | | 12/21/11 | | | 16,168,148 | | | | 58,826 | |
| | | GBP/USD | | 12/21/11 | | | 8,998,349 | | | | 126,909 | |
| | | USD/BRL | | 10/18/11 | | | 22,227,244 | | | | 4,034,631 | |
| | | USD/CAD | | 12/21/11 | | | 4,301,027 | | | | 20,973 | |
| | | USD/CHF | | 12/21/11 | | | 5,585,030 | | | | 865,970 | |
| | | USD/EUR | | 12/21/11 | | | 4,348,739 | | | | 99,164 | |
| | | USD/ZAR | | 10/28/11 | | | 2,195,749 | | | | 211,158 | |
| |
| |
TOTAL | | | | | | | | | | $ | 28,480,384 | |
| |
| |
The accompanying notes are an integral part of these financial statements. 81
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| |
| ADDITIONAL INVESTMENT INFORMATION (continued) | |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | | | |
| | | Contracts to
| | Expiration
| | Current
| | Unrealized
|
| Counterparty | | Buy/Sell | | Date | | Value | | Loss |
| |
| Bank of America N.A. | | | AUD/USD | | | 12/21/11 | | $ | 4,854,098 | | | $ | (257,496 | ) |
| | | | CAD/USD | | | 12/21/11 | | | 9,026,241 | | | | (245,759 | ) |
| | | | SEK/EUR | | | 12/21/11 | | | 4,348,739 | | | | (16,703 | ) |
| Barclays Bank PLC | | | JPY/USD | | | 11/09/11 | | | 7,504,098 | | | | (25,845 | ) |
| | | | USD/GBP | | | 12/21/11 | | | 3,504,292 | | | | (17,060 | ) |
| Citibank NA | | | AUD/USD | | | 12/21/11 | | | 16,647,142 | | | | (1,523,310 | ) |
| | | | CAD/USD | | | 12/21/11 | | | 14,855,128 | | | | (991,872 | ) |
| | | | EUR/USD | | | 10/13/11 | | | 4,445,460 | | | | (133,915 | ) |
| | | | GBP/USD | | | 12/21/11 | | | 4,341,022 | | | | (7,255 | ) |
| Credit Suisse International (London) | | | CHF/USD | | | 12/21/11 | | | 8,544,452 | | | | (9,548 | ) |
| | | | EUR/USD | | | 10/13/11 | | | 5,159,937 | | | | (258,320 | ) |
| | | | EUR/USD | | | 12/21/11 | | | 8,793,908 | | | | (73,803 | ) |
| Deutsche Bank AG (London) | | | EUR/USD | | | 10/13/11 | | | 37,153,733 | | | | (690,163 | ) |
| | | | EUR/USD | | | 12/21/11 | | | 13,966,043 | | | | (475,872 | ) |
| | | | NZD/EUR | | | 12/21/11 | | | 8,607,744 | | | | (463,268 | ) |
| | | | NZD/USD | | | 12/21/11 | | | 8,389,981 | | | | (273,512 | ) |
| HSBC Bank PLC | | | NOK/EUR | | | 12/21/11 | | | 8,708,193 | | | | (88,535 | ) |
| | | | NOK/EUR | | | 12/21/11 | | | 3,329,050 | | | | (137,808 | ) |
| | | | SEK/USD | | | 12/21/11 | | | 19,511,669 | | | | (431,331 | ) |
| JPMorgan Securities, Inc. | | | AUD/USD | | | 12/21/11 | | | 3,082,439 | | | | (281,321 | ) |
| | | | EUR/USD | | | 12/21/11 | | | 5,983,661 | | | | (72,690 | ) |
| | | | JPY/USD | | | 12/21/11 | | | 12,406,889 | | | | (57,111 | ) |
| | | | NZD/USD | | | 12/21/11 | | | 30,435,093 | | | | (2,223,390 | ) |
| Royal Bank of Canada | | | AUD/USD | | | 10/28/11 | | | 8,637,217 | | | | (245,387 | ) |
| | | | CAD/EUR | | | 12/21/11 | | | 8,288,989 | | | | (1,678 | ) |
| | | | CAD/USD | | | 12/21/11 | | | 4,387,274 | | | | (271,726 | ) |
| | | | JPY/USD | | | 10/04/11 | | | 11,416,629 | | | | (70,251 | ) |
| Royal Bank of Scotland PLC | | | EUR/USD | | | 12/21/11 | | | 4,288,470 | | | | (195,611 | ) |
| | | | NZD/USD | | | 12/21/11 | | | 8,223,243 | | | | (605,033 | ) |
| | | | SEK/EUR | | | 12/21/11 | | | 4,367,489 | | | | (60,066 | ) |
| |
| |
TOTAL | | | | | | | | | | | | $ | (10,205,639 | ) |
| |
| |
FORWARD SALES CONTRACTS — At September 30, 2011, the Fund had the following forward sales contracts
| | | | | | | | | | | | | | | | | | | |
| | | Interest
| | Maturity
| | Settlement
| | Principal
| | |
| Description | | Rate | | Date(f) | | Date | | Amount | | Value |
| |
| FNMA (Proceeds Receivable: $36,000,469) | | | 3.500% | | | TBA-30yr | | | 10/13/2011 | | | $ | (36,000,000 | ) | | $ | (36,973,123 | ) |
| |
| |
82 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS STRATEGIC INCOME FUND
| |
| ADDITIONAL INVESTMENT INFORMATION (continued) | |
FUTURES CONTRACTS — At September 30, 2011, the following futures contracts were open:
| | | | | | | | | | | | | | | |
| | | Number of
| | | | | | |
| | | Contracts
| | Expiration
| | Current
| | Unrealized
|
| Type | | Long (Short) | | Date | | Value | | Gain (Loss) |
| |
| Japan 10 Year Government Bond | | | (63 | ) | | December 2011 | | $ | (116,173,862 | ) | | $ | 417,280 | |
| Ultra Long U.S. Treasury Bonds | | | 64 | | | December 2011 | | | 10,152,000 | | | | 963,064 | |
| 5 Year German Euro-Bobl | | | 77 | | | December 2011 | | | 12,599,021 | | | | (11,800 | ) |
| 10 Year German Euro-Bund | | | (182 | ) | | December 2011 | | | (33,280,967 | ) | | | (10,564 | ) |
| 2 Year U.S. Treasury Notes | | | (230 | ) | | December 2011 | | | (50,646,719 | ) | | | 70,042 | |
| 5 Year U.S. Treasury Notes | | | 6,487 | | | December 2011 | | | 794,556,140 | | | | 87,542 | |
| 10 Year U.S. Treasury Notes | | | (1,676 | ) | | December 2011 | | | (218,037,125 | ) | | | (213,690 | ) |
| 30 Year U.S. Treasury Bonds | | | (1,547 | ) | | December 2011 | | | (220,640,875 | ) | | | (2,285,960 | ) |
| |
| |
TOTAL | | | | | | | | | | | | $ | (984,086 | ) |
| |
| |
SWAP CONTRACTS — At September 30, 2011, the Fund had outstanding swap contracts with the following terms:
INTEREST RATE SWAP CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Rates Exchanged | | | | | | |
| | | Notional
| | | | Payments
| | Payments
| | | | Upfront Payments
| | |
| | | Amount
| | Termination
| | Received by
| | Made by
| | Market
| | Made (Received)
| | Unrealized
|
| Counterparty | | (000s) | | Date | | the Fund | | the Fund | | Value | | by the Fund | | Gain (Loss) |
| |
| Bank of America Securities LLC | | $ | 120,600 | (a) | | | 09/30/13 | | | 3 month LIBOR | | 0.500% | | $ | 218,378 | | | $ | 107,442 | | | $ | 110,936 | |
| | | | 28,100 | (a) | | | 12/21/16 | | | 3 month LIBOR | | 2.500 | | | (1,558,048 | ) | | | (1,625,438 | ) | | | 67,390 | |
| | | CAD | 19,600 | (a) | | | 07/21/17 | | | 6 month CDOR | | 2.910 | | | (1,009,645 | ) | | | — | | | | (1,009,645 | ) |
| | | | 26,200 | (a) | | | 07/22/17 | | | 6 month CDOR | | 2.821 | | | (1,243,305 | ) | | | — | | | | (1,243,305 | ) |
| | | | 37,500 | (a) | | | 08/09/17 | | | 6 month CDOR | | 2.173 | | | (639,379 | ) | | | — | | | | (639,379 | ) |
| | | | 30,700 | (a) | | | 08/29/17 | | | 6 month CDOR | | 2.115 | | | (408,796 | ) | | | — | | | | (408,796 | ) |
| | | | 24,300 | (a) | | | 08/31/17 | | | 6 month CDOR | | 2.180 | | | (392,542 | ) | | | — | | | | (392,542 | ) |
| | | | 27,400 | (a) | | | 09/12/17 | | | 6 month CDOR | | 1.830 | | | 9,918 | | | | — | | | | 9,918 | |
| | | | 18,500 | (a) | | | 09/13/17 | | | 6 month CDOR | | 1.875 | | | (30,032 | ) | | | — | | | | (30,032 | ) |
| | | | 16,100 | (a) | | | 09/14/17 | | | 6 month CDOR | | 1.898 | | | (41,673 | ) | | | — | | | | (41,673 | ) |
| | | $ | 60,300 | (a) | | | 12/21/18 | | | 3.250% | | 3 month LIBOR | | | 5,878,974 | | | | 5,608,454 | | | | 270,520 | |
| | | CAD | 26,800 | (a) | | | 07/21/22 | | | 3.696 | | 6 month CDOR | | | 2,333,571 | | | | — | | | | 2,333,571 | |
| | | | 35,800 | (a) | | | 07/22/22 | | | 3.624 | | 6 month CDOR | | | 2,897,337 | | | | — | | | | 2,897,337 | |
| | | | 50,900 | (a) | | | 08/09/22 | | | 3.158 | | 6 month CDOR | | | 2,040,429 | | | | — | | | | 2,040,429 | |
| | | | 41,300 | (a) | | | 08/29/22 | | | 2.972 | | 6 month CDOR | | | 935,953 | | | | — | | | | 935,953 | |
| | | | 32,800 | (a) | | | 08/31/22 | | | 3.029 | | 6 month CDOR | | | 895,747 | | | | — | | | | 895,747 | |
| | | | 37,000 | (a) | | | 09/12/22 | | | 2.631 | | 6 month CDOR | | | (270,128 | ) | | | — | | | | (270,128 | ) |
| | | | 24,500 | (a) | | | 09/13/22 | | | 2.627 | | 6 month CDOR | | | (189,726 | ) | | | — | | | | (189,726 | ) |
| | | | 21,400 | (a) | | | 09/14/22 | | | 2.658 | | 6 month CDOR | | | (110,485 | ) | | | — | | | | (110,485 | ) |
| | | | 7,800 | (a) | | | 07/21/42 | | | 6 month CDOR | | 4.010 | | | (1,492,918 | ) | | | — | | | | (1,492,918 | ) |
| | | | 10,400 | (a) | | | 07/22/42 | | | 6 month CDOR | | 3.949 | | | (1,871,899 | ) | | | — | | | | (1,871,899 | ) |
| | | | 14,600 | (a) | | | 08/09/42 | | | 6 month CDOR | | 3.586 | | | (1,622,862 | ) | | | — | | | | (1,622,862 | ) |
| | | | 11,500 | (a) | | | 08/29/42 | | | 6 month CDOR | | 3.325 | | | (705,715 | ) | | | — | | | | (705,715 | ) |
| | | | 9,100 | (a) | | | 08/31/42 | | | 6 month CDOR | | 3.377 | | | (644,601 | ) | | | — | | | | (644,601 | ) |
| | | | 9,800 | (a) | | | 09/12/42 | | | 6 month CDOR | | 2.900 | | | 182,887 | | | | — | | | | 182,887 | |
| | | | 6,500 | (a) | | | 09/13/42 | | | 6 month CDOR | | 2.850 | | | 182,102 | | | | — | | | | 182,102 | |
| | | | 5,700 | (a) | | | 09/14/42 | | | 6 month CDOR | | 2.888 | | | 120,191 | | | | — | | | | 120,191 | |
| Barclays Bank PLC | | EUR | 103,900 | (a) | | | 09/30/18 | | | 2.650 | | 6 month EURO | | | 411,337 | | | | — | | | | 411,337 | |
| | | | 56,100 | (a) | | | 09/30/23 | | | 6 month EURO | | 3.005 | | | (400,292 | ) | | | — | | | | (400,292 | ) |
| BNP Paribas SA | | CAD | 30,000 | (a) | | | 12/21/16 | | | 6 month CDOR | | 3.000 | | | (1,984,441 | ) | | | (523,889 | ) | | | (1,460,552 | ) |
The accompanying notes are an integral part of these financial statements. 83
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| |
| ADDITIONAL INVESTMENT INFORMATION (continued) | |
INTEREST RATE SWAP CONTRACTS (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Rates Exchanged | | | | | | |
| | | Notional
| | | | Payments
| | Payments
| | | | Upfront Payments
| | |
| | | Amount
| | Termination
| | Received by
| | Made by
| | Market
| | Made (Received)
| | Unrealized
|
| Counterparty | | (000s) | | Date | | the Fund | | the Fund | | Value | | by the Fund | | Gain (Loss) |
| |
| Citibank NA | | EUR | 7,130 | | | | 11/05/15 | | | 2.096% | | 6 month EURO | | $ | 233,768 | | | $ | — | | | $ | 233,768 | |
| | | $ | 41,000 | (a) | | | 12/21/16 | | | 2.500 | | 3 month LIBOR | | | 2,273,309 | | | | 2,531,304 | | | | (257,995 | ) |
| | | CAD | 49,075 | (a) | | | 12/21/16 | | | 6 month CDOR | | 3.000% | | | (3,246,215 | ) | | | (805,667 | ) | | | (2,440,548 | ) |
| | | EUR | 111,200 | (a) | | | 09/30/18 | | | 2.551 | | 6 month EURO | | | (226,943 | ) | | | — | | | | (226,943 | ) |
| | | | 63,520 | (a) | | | 10/04/18 | | | 2.623 | | 6 month EURO | | | 184,717 | | | | — | | | | 184,717 | |
| | | JPY | 15,844,000 | (a) | | | 12/21/18 | | | 6 month JYOR | | 1.000 | | | (4,171,676 | ) | | | (3,962,364 | ) | | | (209,312 | ) |
| | | $ | 30,200 | (a) | | | 12/21/21 | | | 3.500 | | 3 month LIBOR | | | 3,665,971 | | | | 3,568,650 | | | | 97,321 | |
| | | EUR | 41,000 | (a) | | | 12/21/21 | | | 6 month EURO | | 3.750 | | | (5,775,059 | ) | | | (5,405,905 | ) | | | (369,154 | ) |
| | | | 60,000 | (a) | | | 09/30/23 | | | 6 month EURO | | 2.890 | | | 348,702 | | | | — | | | | 348,702 | |
| | | | 34,500 | (a) | | | 10/04/23 | | | 6 month EURO | | 2.983 | | | (237,947 | ) | | | — | | | | (237,947 | ) |
| | | $ | 19,700 | (a) | | | 12/21/26 | | | 3 month LIBOR | | 4.000 | | | (3,737,960 | ) | | | (3,126,984 | ) | | | (610,976 | ) |
| | | | 8,700 | (a) | | | 12/21/41 | | | 4.250 | | 3 month LIBOR | | | 2,779,990 | | | | 2,926,929 | | | | (146,939 | ) |
| Credit Suisse First Boston Corp. | | EUR | 69,200 | (a) | | | 03/11/14 | | | 6 month EURO | | 3.240 | | | (1,534,731 | ) | | | — | | | | (1,534,731 | ) |
| | | | 73,600 | (a) | | | 03/15/14 | | | 6 month EURO | | 3.120 | | | (1,523,063 | ) | | | — | | | | (1,523,063 | ) |
| | | | 78,500 | (a) | | | 03/18/14 | | | 6 month EURO | | 3.120 | | | (1,613,786 | ) | | | — | | | | (1,613,786 | ) |
| | | | 106,600 | (a) | | | 07/01/14 | | | 6 month EURO | | 2.765 | | | (1,547,846 | ) | | | — | | | | (1,547,846 | ) |
| | | | 51,200 | (a) | | | 09/09/14 | | | 6 month EURO | | 1.828 | | | (70,951 | ) | | | — | | | | (70,951 | ) |
| | | | 60,200 | (a) | | | 09/09/14 | | | 6 month EURO | | 1.810 | | | (69,940 | ) | | | — | | | | (69,940 | ) |
| | | | 58,800 | (a) | | | 09/23/14 | | | 6 month EURO | | 1.770 | | | (24,642 | ) | | | — | | | | (24,642 | ) |
| | | AUD | 113,960 | (a) | | | 12/21/14 | | | 6 month AUDOR | | 5.500 | | | (4,199,649 | ) | | | (3,317,914 | ) | | | (881,735 | ) |
| | | GBP | 5,640 | | | | 02/16/16 | | | 3.201 | | 6 month BP | | | 602,041 | | | | — | | | | 602,041 | |
| | | | 6,620 | | | | 02/18/16 | | | 3.124 | | 6 month BP | | | 670,924 | | | | — | | | | 670,924 | |
| | | EUR | 47,700 | (a) | | | 03/11/16 | | | 3.536 | | 6 month EURO | | | 2,732,522 | | | | — | | | | 2,732,522 | |
| | | | 50,900 | (a) | | | 03/15/16 | | | 3.437 | | 6 month EURO | | | 2,714,448 | | | | — | | | | 2,714,448 | |
| | | | 54,000 | (a) | | | 03/18/16 | | | 3.445 | | 6 month EURO | | | 2,888,852 | | | | — | | | | 2,888,852 | |
| | | | 72,800 | (a) | | | 07/01/16 | | | 3.215 | | 6 month EURO | | | 2,876,368 | | | | — | | | | 2,876,368 | |
| | | CAD | 12,900 | | | | 07/15/16 | | | 6 month CDOR | | 2.374 | | | (548,913 | ) | | | — | | | | (548,913 | ) |
| | | EUR | 11,325 | | | | 07/19/16 | | | 2.531 | | 6 month EURO | | | 445,162 | | | | — | | | | 445,162 | |
| | | | 34,800 | (a) | | | 09/09/16 | | | 2.395 | | 6 month EURO | | | 183,089 | | | | — | | | | 183,089 | |
| | | | 41,000 | (a) | | | 09/09/16 | | | 2.365 | | 6 month EURO | | | 169,605 | | | | — | | | | 169,605 | |
| | | | 40,000 | (a) | | | 09/23/16 | | | 2.250 | | 6 month EURO | | | (33,048 | ) | | | — | | | | (33,048 | ) |
| | | | 53,000 | (a) | | | 12/21/16 | | | 3.250 | | 6 month EURO | | | 4,200,635 | | | | 1,056,889 | | | | 3,143,746 | |
| | | $ | 70,820 | (a) | | | 12/21/16 | | | 2.500 | | 3 month LIBOR | | | 3,926,726 | | | | 3,730,939 | | | | 195,787 | |
| | | | 75,075 | (a) | | | 12/21/16 | | | 2.500 | | 3 month LIBOR | | | 4,162,651 | | | | 515,810 | | | | 3,646,841 | |
| | | EUR | 58,280 | (a) | | | 09/30/18 | | | 2.504 | | 6 month EURO | | | (283,180 | ) | | | — | | | | (283,180 | ) |
| | | | 1,325 | (a) | | | 12/21/18 | | | 3.500 | | 6 month EURO | | | 137,996 | | | | 29,725 | | | | 108,271 | |
| | | | 11,000 | (a) | | | 03/11/20 | | | 6 month EURO | | 3.870 | | | (1,166,058 | ) | | | — | | | | (1,166,058 | ) |
| | | | 11,700 | (a) | | | 03/15/20 | | | 6 month EURO | | 3.793 | | | (1,161,835 | ) | | | — | | | | (1,161,835 | ) |
| | | | 12,400 | (a) | | | 03/18/20 | | | 6 month EURO | | 3.805 | | | (1,241,038 | ) | | | — | | | | (1,241,038 | ) |
| | | | 16,770 | (a) | | | 07/01/20 | | | 6 month EURO | | 3.683 | | | (1,389,968 | ) | | | — | | | | (1,389,968 | ) |
| | | | 9,300 | (a) | | | 09/09/20 | | | 6 month EURO | | 2.930 | | | (127,004 | ) | | | — | | | | (127,004 | ) |
| | | | 7,900 | (a) | | | 09/09/20 | | | 6 month EURO | | 2.935 | | | (130,730 | ) | | | — | | | | (130,730 | ) |
| | | | 9,000 | (a) | | | 09/23/20 | | | 6 month EURO | | 2.690 | | | 40,534 | | | | — | | | | 40,534 | |
| | | | 14,520 | (a) | | | 12/21/21 | | | 3.750 | | 6 month EURO | | | 2,045,216 | | | | 989,987 | | | | 1,055,229 | |
| | | | 31,760 | (a) | | | 09/30/23 | | | 6 month EURO | | 2.844 | | | 349,058 | | | | — | | | | 349,058 | |
| Deutsche Bank Securities, Inc. | | | 150,000 | (a) | | | 03/15/14 | | | 6 month EURO | | 3.107 | | | (3,078,752 | ) | | | — | | | | (3,078,752 | ) |
| | | | 39,100 | (a) | | | 03/18/14 | | | 6 month EURO | | 2.955 | | | (720,515 | ) | | | — | | | | (720,515 | ) |
| | | | 60,100 | (a) | | | 03/18/14 | | | 6 month EURO | | 3.120 | | | (1,235,522 | ) | | | — | | | | (1,235,522 | ) |
84 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS STRATEGIC INCOME FUND
| |
| ADDITIONAL INVESTMENT INFORMATION (continued) | |
INTEREST RATE SWAP CONTRACTS (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Rates Exchanged | | | | | | |
| | | Notional
| | | | Payments
| | Payments
| | | | Upfront Payments
| | |
| | | Amount
| | Termination
| | Received by
| | Made by
| | Market
| | Made (Received)
| | Unrealized
|
| Counterparty | | (000s) | | Date | | the Fund | | the Fund | | Value | | by the Fund | | Gain (Loss) |
| |
Deutsche Bank
Securities, Inc. (continued) | | $ | 192,900 | (a) | | | 07/04/14 | | | 6 month EURO | | 2.795% | | $ | (2,865,834 | ) | | $ | — | | | $ | (2,865,834 | ) |
| | | | 218,150 | (a) | | | 07/15/14 | | | 6 month EURO | | 2.516 | | | (2,420,656 | ) | | | — | | | | (2,420,656 | ) |
| | | EUR | 189,400 | (a) | | | 09/16/14 | | | 6 month EURO | | 1.700 | | | 67,094 | | | | — | | | | 67,094 | |
| | | AUD | 71,500 | (a) | | | 12/21/14 | | | 6 month AUDOR | | 5.500 | | | (2,634,915 | ) | | | (2,649,348 | ) | | | 14,433 | |
| | | | 5,100 | | | | 02/28/15 | | | 3 month LIBOR | | 1.414 | | | (105,098 | ) | | | — | | | | (105,098 | ) |
| | | GBP | 10 | | | | 02/11/16 | | | 3.188% | | 6 month BP | | | 1,062 | | | | — | | | | 1,062 | |
| | | NZD | 10 | | | | 02/15/16 | | | 3 month NZDOR | | 4.690 | | | (338 | ) | | | — | | | | (338 | ) |
| | | | 11,080 | | | | 02/18/16 | | | 3 month NZDOR | | 4.700 | | | (379,673 | ) | | | — | | | | (379,673 | ) |
| | | | 14,720 | | | | 02/22/16 | | | 3 month NZDOR | | 4.683 | | | (493,285 | ) | | | — | | | | (493,285 | ) |
| | | EUR | 51,900 | (a) | | | 03/15/16 | | | 3.425 | | 6 month EURO | | | 2,744,165 | | | | — | | | | 2,744,165 | |
| | | | 51,900 | (a) | | | 03/15/16 | | | 3.425 | | 6 month EURO | | | 2,745,149 | | | | — | | | | 2,745,149 | |
| | | | 27,000 | (a) | | | 03/18/16 | | | 3.318 | | 6 month EURO | | | 1,313,937 | | | | — | | | | 1,313,937 | |
| | | | 41,500 | (a) | | | 03/18/16 | | | 3.455 | | 6 month EURO | | | 2,235,867 | | | | — | | | | 2,235,867 | |
| | | | 132,000 | (a) | | | 07/04/16 | | | 3.250 | | 6 month EURO | | | 5,185,406 | | | | — | | | | 5,185,406 | |
| | | | 149,375 | (a) | | | 07/15/16 | | | 2.982 | | 6 month EURO | | | 4,487,882 | | | | — | | | | 4,487,882 | |
| | | | 128,900 | (a) | | | 09/16/16 | | | 2.210 | | 6 month EURO | | | (258,578 | ) | | | — | | | | (258,578 | ) |
| | | $ | 7,000 | (a) | | | 12/21/16 | | | 3 month LIBOR | | 2.500 | | | (388,126 | ) | | | (385,597 | ) | | | (2,529 | ) |
| | | EUR | 25,000 | (a) | | | 12/21/16 | | | 3.250 | | 6 month EURO | | | 1,981,432 | | | | 609,739 | | | | 1,371,693 | |
| | | JPY | 8,070,000 | (a) | | | 12/21/18 | | | 6 month JYOR | | 1.000 | | | (2,124,806 | ) | | | (1,871,802 | ) | | | (253,004 | ) |
| | | EUR | 23,800 | (a) | | | 03/15/20 | | | 6 month EURO | | 3.772 | | | (2,321,522 | ) | | | — | | | | (2,321,522 | ) |
| | | | 6,200 | (a) | | | 03/18/20 | | | 6 month EURO | | 3.705 | | | (568,611 | ) | | | — | | | | (568,611 | ) |
| | | | 9,600 | (a) | | | 03/18/20 | | | 6 month EURO | | 3.815 | | | (968,841 | ) | | | — | | | | (968,841 | ) |
| | | | 30,400 | (a) | | | 07/04/20 | | | 6 month EURO | | 3.718 | | | (2,603,082 | ) | | | — | | | | (2,603,082 | ) |
| | | | 34,400 | (a) | | | 07/15/20 | | | 6 month EURO | | 3.453 | | | (2,164,720 | ) | | | — | | | | (2,164,720 | ) |
| | | | 29,100 | (a) | | | 09/16/20 | | | 6 month EURO | | 2.700 | | | 95,468 | | | | — | | | | 95,468 | |
| | | $ | 92,200 | (a) | | | 12/21/21 | | | 3.500 | | 3 month LIBOR | | | 11,192,134 | | | | 11,571,812 | | | | (379,678 | ) |
| | | | 10,300 | (a) | | | 12/21/26 | | | 3 month LIBOR | | 4.000 | | | (1,954,365 | ) | | | (1,557,111 | ) | | | (397,254 | ) |
| | | | 10,100 | (a) | | | 12/21/31 | | | 4.250 | | 3 month LIBOR | | | 2,589,260 | | | | 1,708,000 | | | | 881,260 | |
| | | EUR | 5 | (a) | | | 12/21/41 | | | 6 month EURO | | 3.750 | | | (1,384 | ) | | | (627 | ) | | | (757 | ) |
| | | $ | 41,100 | (a) | | | 12/21/41 | | | 3 month LIBOR | | 4.250 | | | (13,133,054 | ) | | | (13,410,434 | ) | | | 277,380 | |
| JPMorgan Securities, Inc. | | EUR | 86,100 | (a) | | | 09/20/14 | | | 6 month EURO | | 1.840 | | | (116,343 | ) | | | — | | | | (116,343 | ) |
| | | | 124,300 | (a) | | | 09/23/14 | | | 6 month EURO | | 1.750 | | | (20,300 | ) | | | — | | | | (20,300 | ) |
| | | | 59,000 | (a) | | | 09/20/16 | | | 2.350 | | 6 month EURO | | | 180,161 | | | | — | | | | 180,161 | |
| | | | 36,900 | (a) | | | 09/23/16 | | | 2.230 | | 6 month EURO | | | (58,122 | ) | | | — | | | | (58,122 | ) |
| | | | 47,600 | (a) | | | 09/23/16 | | | 2.240 | | 6 month EURO | | | (57,151 | ) | | | — | | | | (57,151 | ) |
| | | $ | 21,900 | (a) | | | 12/21/16 | | | 3 month LIBOR | | 2.500 | | | (1,214,280 | ) | | | (902,131 | ) | | | (312,149 | ) |
| | | EUR | 13,300 | (a) | | | 09/20/20 | | | 6 month EURO | | 2.820 | | | (84,900 | ) | | | — | | | | (84,900 | ) |
| | | | 8,300 | (a) | | | 09/23/20 | | | 6 month EURO | | 2.665 | | | 54,507 | | | | — | | | | 54,507 | |
| | | | 10,700 | (a) | | | 09/23/20 | | | 6 month EURO | | 2.690 | | | 48,190 | | | | — | | | | 48,190 | |
| | | $ | 94,800 | (a) | | | 12/21/21 | | | 3.500 | | 3 month LIBOR | | | 11,507,747 | | | | 11,484,264 | | | | 23,483 | |
| | | | 68,800 | (a) | | | 12/21/21 | | | 3 month LIBOR | | 3.500 | | | (8,351,614 | ) | | | (8,021,193 | ) | | | (330,421 | ) |
| Morgan Stanley Capital Services, Inc. | | | 90,400 | (a) | | | 12/21/14 | | | 3 month LIBOR | | 1.750 | | | (2,498,397 | ) | | | (866,897 | ) | | | (1,631,500 | ) |
| | | GBP | 62,350 | (a) | | | 12/21/16 | | | 6 month BP | | 3.000 | | | (5,114,046 | ) | | | (531,740 | ) | | | (4,582,306 | ) |
| | | $ | 158,600 | (a) | | | 12/21/16 | | | 3 month LIBOR | | 2.500 | | | (8,793,825 | ) | | | (9,061,850 | ) | | | 268,025 | |
| | | EUR | 37,000 | (a) | | | 12/21/21 | | | 6 month EURO | | 3.750 | | | (5,211,638 | ) | | | (5,293,571 | ) | | | 81,933 | |
| | | $ | 20,600 | (a) | | | 12/21/26 | | | 3 month LIBOR | | 4.000 | | | (3,908,729 | ) | | | (614,925 | ) | | | (3,293,804 | ) |
| | | | 16,800 | (a) | | | 12/21/41 | | | 4.250 | | 3 month LIBOR | | | 5,368,255 | | | | 5,659,499 | | | | (291,244 | ) |
The accompanying notes are an integral part of these financial statements. 85
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| |
| ADDITIONAL INVESTMENT INFORMATION (continued) | |
INTEREST RATE SWAP CONTRACTS (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Rates Exchanged | | | | | | |
| | | Notional
| | | | Payments
| | Payments
| | | | Upfront Payments
| | |
| | | Amount
| | Termination
| | Received by
| | Made by
| | Market
| | Made (Received)
| | Unrealized
|
| Counterparty | | (000s) | | Date | | the Fund | | the Fund | | Value | | by the Fund | | Gain (Loss) |
| |
| Royal Bank of Canada | | CAD | 8,080 | | | | 11/03/15 | | | 6 month CDOR | | 2.140% | | $ | (273,406 | ) | | $ | — | | | $ | (273,406 | ) |
| | | $ | 12,250 | | | | 11/04/15 | | | 6 month CDOR | | 2.115 | | | (401,322 | ) | | | — | | | | (401,322 | ) |
| | | EUR | 10,770 | | | | 11/08/15 | | | 2.118% | | 6 month EURO | | | 366,322 | | | | — | | | | 366,322 | |
| | | CAD | 22,700 | | | | 07/13/16 | | | 6 month CDOR | | 2.370 | | | (963,353 | ) | | | — | | | | (963,353 | ) |
| | | | 17,550 | | | | 07/14/16 | | | 6 month CDOR | | 2.350 | | | (728,007 | ) | | | — | | | | (728,007 | ) |
| | | EUR | 19,550 | | | | 07/15/16 | | | 2.571 | | 6 month EURO | | | 821,278 | | | | — | | | | 821,278 | |
| | | | 15,425 | | | | 07/18/16 | | | 2.574 | | 6 month EURO | | | 649,096 | | | | — | | | | 649,096 | |
| | | CAD | 12,600 | (a) | | | 09/26/17 | | | 6 month CDOR | | 1.838 | | | 9,816 | | | | — | | | | 9,816 | |
| | | | 11,100 | (a) | | | 09/27/17 | | | 6 month CDOR | | 1.921 | | | (32,759 | ) | | | — | | | | (32,759 | ) |
| | | | 16,700 | (a) | | | 09/26/22 | | | 2.568 | | 3 month CDOR | | | (229,149 | ) | | | — | | | | (229,149 | ) |
| | | | 14,700 | (a) | | | 09/27/22 | | | 2.697 | | 3 month CDOR | | | (42,697 | ) | | | — | | | | (42,697 | ) |
| | | | 4,400 | (a) | | | 09/26/42 | | | 6 month CDOR | | 2.722 | | | 230,423 | | | | — | | | | 230,423 | |
| | | | 3,900 | (a) | | | 09/27/42 | | | 6 month CDOR | | 2.882 | | | 88,402 | | | | — | | | | 88,402 | |
| UBS AG (London) | | GBP | 8,550 | (a) | | | 12/21/13 | | | 6 month BP | | 2.000 | | | (182,748 | ) | | | (32,280 | ) | | | (150,468 | ) |
| | | EUR | 109,660 | (a | | | 08/26/14 | | | 6 month EURO | | 1.940 | | | (333,860 | ) | | | — | | | | (333,860 | ) |
| | | AUD | 66,000 | (a) | | | 12/21/14 | | | 6 month AUDOR | | 5.500 | | | (2,432,229 | ) | | | (2,370,966 | ) | | | (61,263 | ) |
| | | EUR | 74,740 | (a) | | | 08/26/16 | | | 2.518 | | 6 month EURO | | | 787,036 | | | | — | | | | 787,036 | |
| | | NZD | 22,075 | (a) | | | 12/21/16 | | | 3 month NZDOR | | 4.750 | | | (661,362 | ) | | | — | | | | (661,362 | ) |
| | | $ | 38,000 | (a) | | | 12/21/16 | | | 2.500 | | 3 month LIBOR | | | 2,106,969 | | | | 2,294,157 | | | | (187,188 | ) |
| | | EUR | 17,040 | (a) | | | 08/26/20 | | | 6 month EURO | | 3.070 | | | (486,683 | ) | | | — | | | | (486,683 | ) |
| | | GBP | 30,540 | (a) | | | 12/21/21 | | | 3.750 | | 6 month BP | | | 4,626,790 | | | | 3,676,890 | | | | 949,900 | |
| |
| |
TOTAL | | | | | | | | | | | | | | $ | (16,074,310 | ) | | $ | (8,268,143 | ) | | $ | (7,806,167 | ) |
| |
| |
| | |
| (a) | | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2011. |
CREDIT DEFAULT SWAP CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Credit
| | | | | | |
| | | | | | | | | | | Spread at
| | | | Upfront
| | |
| | | | | Notional
| | Rates Received
| | | | September 30,
| | | | Payments
| | |
| | | Referenced
| | Amount
| | (Paid) by
| | Termination
| | 2011
| | Market
| | Made (Received)
| | Unrealized
|
| Counterparty | | Obligation | | (000s) | | Fund | | Date | | (Basis Points)(b) | | Value | | by the Fund | | Gain (Loss) |
| |
Protection Purchased: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank of America
Securities LLC | | CDX North America
Investment Grade Index 16 | | $ | 54,800 | | | (1.000)% | | 06/20/14 | | | 106 | | | $ | 74,805 | | | $ | (548,453 | ) | | $ | 623,258 | |
Deutsche Bank
Securities LLC | | CDX North America
Investment Grade Index 16 | | | 20,200 | | | (1.000) | | 06/20/14 | | | 106 | | | | 27,574 | | | | (213,899 | ) | | | 241,473 | |
JPMorgan
Securities, Inc. | | CDX North America
Investment Grade Index 16 | | | 54,000 | | | (1.000) | | 06/20/14 | | | 106 | | | | 73,712 | | | | (593,688 | ) | | | 667,400 | |
Morgan Stanley
Capital Services, Inc. | | CDX North America
Investment Grade Index 16 | | | 95,600 | | | (1.000) | | 06/20/14 | | | 106 | | | | 130,500 | | | | (891,755 | ) | | | 1,022,255 | |
| | | CDX North America
Investment Grade Index 16 | | | 38,000 | | | (5.000) | | 12/20/16 | | | 821 | | | | 4,655,961 | | | | 3,583,450 | | | | 1,072,511 | |
86 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS STRATEGIC INCOME FUND
| |
| ADDITIONAL INVESTMENT INFORMATION (continued) | |
CREDIT DEFAULT SWAP CONTRACTS (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Credit
| | | | | | |
| | | | | | | | | | | Spread at
| | | | Upfront
| | |
| | | | | Notional
| | Rates Received
| | | | September 30,
| | | | Payments
| | |
| | | Referenced
| | Amount
| | (Paid) by
| | Termination
| | 2011
| | Market
| | Made (Received)
| | Unrealized
|
| Counterparty | | Obligation | | (000s) | | Fund | | Date | | (Basis Points)(b) | | Value | | by the Fund | | Gain (Loss) |
| |
Protection Sold: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank of America
Securities LLC | | CDX North America
Investment Grade Index 16 | | $ | 54,800 | | | 1.000% | | 06/20/16 | | | 135 | | | $ | (843,386 | ) | | $ | 73,852 | | | $ | (917,238 | ) |
| | | CDX North America
Investment Grade Index 16 | | | 5,000 | | | 1.000 | | 06/20/21 | | | 233 | | | | (367,196 | ) | | | (143,087 | ) | | | (224,109 | ) |
Deutsche Bank
Securities, Inc. | | CDX North America
Investment Grade Index 16 | | | 10,475 | | | 1.000 | | 06/20/16 | | | 135 | | | | (161,212 | ) | | | 29,944 | | | | (191,156 | ) |
| | | CDX North America
Investment Grade Index 16 | | | 140,000 | | | 1.000 | | 06/20/21 | | | 233 | | | | (10,281,491 | ) | | | (4,202,052 | ) | | | (6,079,439 | ) |
Morgan Stanley
Capital Services, Inc. | | CDX North America
Investment Grade Index 16 | | | 73,100 | | | 1.000 | | 06/20/16 | | | 135 | | | | (1,125,027 | ) | | | 94,172 | | | | (1,219,199 | ) |
| | | CDX North America
Investment Grade Index 16 | | | 2,500 | | | 1.000 | | 06/20/21 | | | 233 | | | | (183,598 | ) | | | (68,379 | ) | | | (115,219 | ) |
| | | CDX North America
Investment Grade Index 16 | | | 2,500 | | | 1.000 | | 06/20/21 | | | 233 | | | | (183,598 | ) | | | (68,379 | ) | | | (115,219 | ) |
| |
| |
TOTAL | | | | | | | | | | | | | | | | $ | (8,182,956 | ) | | $ | (2,948,274 | ) | | $ | (5,234,682 | ) |
| |
| |
| | |
| (b) | | Credit spread on the Referenced Obligation, together with the term of the swap contract, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and the term of the swap contract increase. |
TOTAL RETURN SWAP CONTRACTS
| | | | | | | | | | | | | | | | | | | |
| | | Notional
| | | | | | | | |
| | | Amount
| | Reference
| | Termination
| | Financing
| | Unrealized
|
| Counterparty | | (000s) | | Security | | Date | | Fee# | | Gain (Loss)* |
| |
| Citibank NA | | $ | 19,147 | | | Markit IOS Fannie-Mae Index,
30 yr Fixed Rate, 6.500%, Series 67 | | | 01/12/38 | | | | One month LIBOR | | | $ | 292,607 | |
| | | | 15,668 | | | Markit IOS Fannie-Mae Index,
30 yr Fixed Rate, 5.000%, Series 9 | | | 01/12/40 | | | | One month LIBOR | | | | 221,757 | |
| | | | 46,000 | | | Markit IOS Ginnie-Mae Index,
30 yr Fixed Rate, 5.000%, Series 10 | | | 01/12/41 | | | | One month LIBOR | | | | 1,030,400 | |
| Credit Suisse International (London) | | | 38,034 | | | Markit IOS Fannie-Mae Index,
30 yr Fixed Rate, 5.500%, Series 5 | | | 01/12/36 | | | | One month LIBOR | | | | 982,746 | |
| | | | 38,023 | | | Markit IOS Fannie-Mae Index,
30 yr Fixed Rate, 4.500%, Series 9 | | | 01/12/40 | | | | One month LIBOR | | | | 639,064 | |
| JPMorgan Securities, Inc. | | | 18,000 | | | Markit IOS Fannie-Mae Index,
30 yr Fixed Rate, 5.000%, Series 9 | | | 01/12/40 | | | | One month LIBOR | | | | 283,375 | |
| Morgan Stanley Capital Services, Inc. | | | 25,897 | | | Markit IOS Ginnie-Mae Index,
30 yr Fixed Rate, 5.000%, Series 10 | | | 01/12/41 | | | | One month LIBOR | | | | 545,742 | |
| |
| |
TOTAL | | | | | | | | | | | | | | | | $ | 3,995,691 | |
| |
| |
| | |
| # | | The Fund receives annual coupon payments in accordance with the swap contract(s). On the termination date of the swap contract(s), the Fund will either receive from or pay to the counterparty an amount equal to the net of the accrued financing fees and the value of the reference security subtracted from the original notional cost (notional multiplied by the price change of the reference security, converted to U.S. Dollars). |
| * | | There are no upfront payments on the swap contract(s), therefore the unrealized gain/loss of the swap contract(s) is equal to their market value. |
The accompanying notes are an integral part of these financial statements. 87
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
September 30, 2011 (Unaudited)
| |
| ADDITIONAL INVESTMENT INFORMATION (continued) | |
WRITTEN OPTIONS CONTRACTS
INTEREST RATE SWAPTION CONTRACTS — At September 30, 2011, the Fund had outstanding written swaptions as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Notional
| | | | | | | | | | |
| | | | | Amount
| | Expiration
| | Strike
| | Market
| | Premiums
| | Unrealized
|
| Counterparty | | Description | | (000s) | | Date | | Price | | Value | | Received | | Gain (Loss) |
| |
| Bank of America N.A. | | Put – OTC – 10 year Interest Rate Swap for the obligation to pay a fixed rate of 2.440% versus the 3 month LIBOR maturing on November 21, 2021 | | $ | 219,400 | | | | 11/17/11 | | | | 2.440 | % | | $ | (7,126,419 | ) | | $ | (4,168,600 | ) | | $ | (2,957,819 | ) |
| | | Call – OTC – 10 year Interest Rate Swap for the obligation to receive a fixed rate of 2.440% versus the 3 month LIBOR maturing on November 21, 2021 | | | 219,400 | | | | 11/17/11 | | | | 2.440 | | | | (1,303,697 | ) | | | (4,168,600 | ) | | | 2,864,903 | |
Morgan Stanley
Capital Services, Inc. | | Put – OTC – 10 year Interest Rate Swap for the obligation to pay a fixed rate of 2.450% versus the 3 month LIBOR maturing on November 21, 2021 | | | 181,800 | | | | 11/17/11 | | | | 2.450 | | | | (6,034,064 | ) | | | (3,436,020 | ) | | | (2,598,044 | ) |
| | | Call – OTC – 10 year Interest Rate Swap for the obligation to receive a fixed rate of 2.450% versus the 3 month LIBOR maturing on November 21, 2021 | | | 181,800 | | | | 11/17/11 | | | | 2.450 | | | | (1,042,285 | ) | | | (3,436,020 | ) | | | 2,393,735 | |
| |
| |
TOTAL | | | | $ | 802,400 | | | | | | | | | | | $ | (15,506,465 | ) | | $ | (15,209,240 | ) | | $ | (297,225 | ) |
| |
| |
For the six months ended September 30, 2011, the Fund had the following written swaptions activity:
| | | | | | | | | |
| | | Notional
| | |
| | | Amount
| | Premiums
|
| | | (000s) | | Received |
| |
| Contracts Outstanding March 31, 2011 | | $ | 77,000 | | | $ | (838,465 | ) |
| |
| |
| Contracts Written | | | 5,315,800 | | | | (113,872,284 | ) |
| Contracts Bought to Close | | | (4,258,900 | ) | | | 95,846,048 | |
| Contracts Expired | | | (331,500 | ) | | | 3,655,461 | |
| |
| |
| Contracts Outstanding September 30, 2011 | | $ | 802,400 | | | $ | (15,209,240 | ) |
| |
| |
88 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Schedule of Investments
September 30, 2011 (Unaudited)
| |
| ADDITIONAL INVESTMENT INFORMATION | |
JOINT REPURCHASE AGREEMENT ACCOUNT II — At September 30, 2011, certain Funds had undivided interests in the Joint Repurchase Agreement Account II, with a maturity date of October 3, 2011, as follows:
| | | | | | | | | | | | | |
| | | | | | | Collateral
|
| | | Principal
| | Maturity
| | Value
|
| Fund | | Amount | | Value | | Allocation |
| |
| Core Fixed Income | | $ | 306,300,000 | | | $ | 306,302,435 | | | $ | 313,597,059 | |
| |
| |
| Core Plus Fixed Income | | | 71,200,000 | | | | 71,200,566 | | | | 72,896,215 | |
| |
| |
| Strategic Income | | | 476,100,000 | | | | 476,103,785 | | | | 487,442,245 | |
| |
| |
REPURCHASE AGREEMENTS — At September 30, 2011, the Principal Amounts of certain Funds’ interest in the Joint Repurchase Agreement Account II were as follows:
| | | | | | | | | | | | | | | | | |
| | | Interest
| | Core Fixed
| | Core Plus
| | Strategic
|
| Counterparty | | Rate | | Income | | Fixed Income | | Income |
| |
| Barclays Capital, Inc. | | | 0.050 | % | | $ | 30,978,444 | | | $ | 7,200,996 | | | $ | 48,151,607 | |
| |
| |
| Barclays Capital, Inc. | | | 0.100 | | | | 10,173,545 | | | | 2,364,859 | | | | 15,813,336 | |
| |
| |
| BNP Paribas Securities Co. | | | 0.120 | | | | 61,677,115 | | | | 14,336,959 | | | | 95,868,347 | |
| |
| |
| Credit Suisse Securities LLC | | | 0.040 | | | | 11,445,238 | | | | 2,660,467 | | | | 17,790,002 | |
| |
| |
| JPMorgan Securities | | | 0.090 | | | | 116,995,765 | | | | 27,195,882 | | | | 181,853,358 | |
| |
| |
| Wells Fargo Securities LLC | | | 0.110 | | | | 75,029,893 | | | | 17,440,837 | | | | 116,623,350 | |
| |
| |
TOTAL | | | | | | $ | 306,300,000 | | | $ | 71,200,000 | | | $ | 476,100,000 | |
| |
| |
At September 30, 2011, the Joint Repurchase Agreement Account II was fully collateralized by:
| | | | | | | | | |
| | | Interest
| | Maturity
|
| Issuer | | Rates | | Dates |
| |
| Federal Farm Credit Bank | | | 1.375 to 5.410 | % | | | 04/12/12 to 04/17/36 | |
| |
| |
| Federal Home Loan Bank | | | 0.150 to 0.250 | | | | 05/25/12 to 08/17/12 | |
| |
| |
| Federal Home Loan Mortgage Corp. | | | 0.000 to 6.250 | | | | 04/25/12 to 09/01/41 | |
| |
| |
| Federal National Mortgage Association | | | 1.250 to 8.500 | | | | 05/01/12 to 10/01/41 | |
| |
| |
| U.S. Treasury Notes | | | 1.375 to 4.000 | | | | 01/31/14 to 08/15/21 | |
| |
| |
The accompanying notes are an integral part of these financial statements. 89
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Statements of Assets and Liabilities
September 30, 2011 (Unaudited)
| | | | | | | |
| | | Core Fixed
| | |
| | | Income Fund | | |
Assets: |
| | | | | | | |
| Investments in securities, at value (identified cost $1,715,296,811, $342,491,638, $934,667,099 and $2,231,321,789, respectively) | | $ | 1,744,477,835 | | | |
| Repurchase agreement, at value which equals cost | | | 306,300,000 | | | |
Cash(a) | | | 132,869 | | | |
| Foreign currencies, at value (identified cost $83, $32,284, $199,089 and $6,960,315, respectively) | | | 78 | | | |
| Receivables: | | | | | | |
| Investment securities sold on an extended-delivery basis | | | 321,375,000 | | | |
| Investment securities sold, at value | | | 49,928,200 | | | |
| Fund shares sold | | | 15,202,122 | | | |
| Collateral on certain derivative contracts | | | 13,690,271 | | | |
| Interest, at value | | | 11,398,615 | | | |
| Forward foreign currency exchange contracts, at value | | | 4,469,455 | | | |
| Due from broker — variation margin | | | 261,292 | | | |
| Swap contracts, at value (includes upfront payments made (received) of $(1,712,373), $2,444,968, $(24,398) and $59,406,145, respectively) | | | 233,563 | | | |
| Reimbursement from investment adviser | | | — | | | |
| Due from broker — upfront payment | | | — | | | |
| Other assets | | | 4,392 | | | |
| |
| |
Total assets | | | 2,467,473,692 | | | |
| |
| |
| | | | | | | |
| | | | | | | |
Liabilities: |
| | | | | | | |
| Payables: | | | | | | |
| Investment securities purchased on an extended-delivery basis | | | 587,868,008 | | | |
| Investment securities purchased | | | 11,539,827 | | | |
| Fund shares redeemed | | | 99,061,382 | | | |
| Forward sale contracts, at value (proceeds received $33,872,969, $6,403,711, $3,954,141 and $36,000,469, respectively) | | | 34,595,936 | | | |
| Swap contracts, at value (includes upfront payments received of $9,109,823, $3,719,655, $899,025 and $70,622,562, respectively) | | | 13,338,739 | | | |
| Forward foreign currency exchange contracts, at value | | | 2,221,287 | | | |
| Written Options Contracts, at value (premium received $951,520, $1,050,100, $1,107,000 and $15,209,240, respectively) | | | 970,133 | | | |
| Amounts owed to affiliates | | | 734,362 | | | |
| Income distribution | | | 216,436 | | | |
| Collateral on certain derivative contracts | | | 50,000 | | | |
| Due to broker — variation margin | | | — | | | |
| Accrued expenses and other liabilities | | | 229,846 | | | |
| |
| |
Total liabilities | | | 750,825,956 | | | |
| |
| |
| | | | | | | |
| | | | | | | |
Net Assets: |
| | | | | | | |
| Paid-in capital | | | 1,760,920,632 | | | |
| Accumulated undistributed (distributions in excess of) net investment income | | | 6,634,305 | | | |
| Accumulated net realized gain (loss) from investment, futures, options, swaps and foreign currency related transactions | | | (80,733,896 | ) | | |
| Net unrealized gain (loss) on investments, futures, options, swaps and translation of assets and liabilities denominated in foreign currencies | | | 29,826,695 | | | |
| |
| |
NET ASSETS | | $ | 1,716,647,736 | | | |
| | | | | | | |
| Net Assets: | | | | | | |
| Class A | | $ | 252,776,291 | | | |
| Class B | | | 9,958,057 | | | |
| Class C | | | 27,915,177 | | | |
| Institutional | | | 1,421,701,117 | | | |
| Service | | | 3,327,409 | | | |
| Class IR | | | 951,202 | | | |
| Class R | | | 18,483 | | | |
| | | | | | | |
| | | | | | | |
| Total Net Assets | | $ | 1,716,647,736 | | | |
| | | | | | | |
| Shares Outstanding $0.001 par value (unlimited shares authorized): | | | | | | |
| Class A | | | 24,728,363 | | | |
| Class B | | | 969,645 | | | |
| Class C | | | 2,716,407 | | | |
| Institutional | | | 138,518,486 | | | |
| Service | | | 323,979 | | | |
| Class IR | | | 92,991 | | | |
| Class R | | | 1,806 | | | |
| | | | | | | |
Net asset value, offering and redemption price per share:(b) | | | | | | |
| Class A | | | $10.22 | | | |
| Class B | | | 10.27 | | | |
| Class C | | | 10.28 | | | |
| Institutional | | | 10.26 | | | |
| Service | | | 10.27 | | | |
| Class IR | | | 10.23 | | | |
| Class R | | | 10.23 | | | |
| | | | | | | |
| | |
| (a) | | Includes restricted cash of $536,985 on deposit with counterparty for the Core Plus Fixed Income Fund relating to initial margin requirements and collateral on futures transactions. |
| (b) | | Maximum public offering price per share for Class A Shares of the Core Fixed Income, Core Plus Fixed Income, Global Income and Strategic Income Funds (NAV per share multiplied by 1.0390) is $10.62, $10.83, $13.48 and $9.91, respectively. At redemption, Class B and Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value or the original purchase price of the shares. |
90 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
| | | | | | | | | | | | | |
Core Plus Fixed
| | Global
| | Strategic
| | |
| Income Fund | | Income Fund | | Income Fund | | |
| |
| | | | | | | | | | | | | |
| $ | 346,181,721 | | | $ | 949,608,749 | | | $ | 2,137,438,151 | | | |
| | 71,200,000 | | | | — | | | | 476,100,000 | | | |
| | 546,893 | | | | 2,243,066 | | | | 5,244,464 | | | |
| | 31,934 | | | | 197,775 | | | | 6,921,707 | | | |
| | | | | | | | | | | | | |
| | 52,940,684 | | | | 28,663,828 | | | | 362,532,034 | | | |
| | 2,194,919 | | | | 1,813,968 | | | | 62,651,048 | | | |
| | 289,515 | | | | 39,814,271 | | | | 8,450,086 | | | |
| | 3,521,959 | | | | 4,383,398 | | | | 53,390,555 | | | |
| | 2,076,508 | | | | 8,362,216 | | | | 13,748,024 | | | |
| | 1,634,114 | | | | 33,849,188 | | | | 28,480,384 | | | |
| | 194,201 | | | | — | | | | — | | | |
| | 6,451,259 | | | | 10,236,018 | | | | 124,181,199 | | | |
| | 48,295 | | | | 90,564 | | | | — | | | |
| | — | | | | — | | | | 4,604,758 | | | |
| | 799 | | | | 3,955 | | | | 161,247 | | | |
| |
| |
| | 487,312,801 | | | | 1,079,266,996 | | | | 3,283,903,657 | | | |
| |
| |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | 120,829,961 | | | | 88,767,813 | | | | 777,857,520 | | | |
| | 2,496,070 | | | | 34,497,734 | | | | 9,109,756 | | | |
| | 408,373 | | | | 1,301,764 | | | | 15,592,542 | | | |
| | 6,446,484 | | | | 4,108,125 | | | | 36,973,123 | | | |
| | 8,756,539 | | | | 12,873,679 | | | | 144,442,774 | | | |
| | 463,180 | | | | 6,831,389 | | | | 10,205,639 | | | |
| | 1,070,585 | | | | 1,167,714 | | | | 15,506,465 | | | |
| | 186,841 | | | | 560,095 | | | | 1,539,312 | | | |
| | 12,565 | | | | — | | | | 814,491 | | | |
| | 466,969 | | | | — | | | | 27,498,226 | | | |
| | — | | | | 335,539 | | | | 1,145,485 | | | |
| | 146,212 | | | | 214,321 | | | | 107,563 | | | |
| |
| |
| | 141,283,779 | | | | 150,658,173 | | | | 1,040,792,896 | | | |
| |
| |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| |
| | | | | | | | | | | | | |
| | 336,426,496 | | | | 910,780,428 | | | | 2,374,633,799 | | | |
| | (1,786,061 | ) | | | (12,752,594 | ) | | | (15,222,029 | ) | | |
| | 6,355,726 | | | | (8,505,154 | ) | | | (29,215,828 | ) | | |
| | 5,032,861 | | | | 39,086,143 | | | | (87,085,181 | ) | | |
| |
| |
| $ | 346,029,022 | | | $ | 928,608,823 | | | $ | 2,243,110,761 | | | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| $ | 98,504,875 | | | $ | 208,746,513 | | | $ | 956,474,372 | | | |
| | 5,649,334 | | | | 2,657,213 | | | | — | | | |
| | 10,774,080 | | | | 7,316,560 | | | | 142,976,642 | | | |
| | 228,490,093 | | | | 709,240,612 | | | | 1,074,181,023 | | | |
| | 12,903 | | | | 193,588 | | | | — | | | |
| | 2,577,971 | | | | 454,337 | | | | 69,451,195 | | | |
| | 19,766 | | | | — | | | | 27,529 | | | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| $ | 346,029,022 | | | $ | 928,608,823 | | | $ | 2,243,110,761 | | | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | 9,449,163 | | | | 16,093,027 | | | | 100,208,633 | | | |
| | 542,439 | | | | 205,624 | | | | — | | | |
| | 1,034,387 | | | | 567,767 | | | | 14,976,907 | | | |
| | 21,930,309 | | | | 54,762,415 | | | | 112,567,530 | | | |
| | 1,238 | | | | 14,968 | | | | — | | | |
| | 248,049 | | | | 35,075 | | | | 7,279,312 | | | |
| | 1,897 | | | | — | | | | 2,886 | | | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | $10.42 | | | | $12.97 | | | | $9.54 | | | |
| | 10.41 | | | | 12.92 | | | | — | | | |
| | 10.42 | | | | 12.89 | | | | 9.55 | | | |
| | 10.42 | | | | 12.95 | | | | 9.54 | | | |
| | 10.42 | | | | 12.93 | | | | — | | | |
| | 10.39 | | | | 12.95 | | | | 9.54 | | | |
| | 10.42 | | | | — | | | | 9.54 | | | |
| | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements. 91
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Statements of Operations
For the Six Months Ended September 30, 2011 (Unaudited)
| | | | | |
| | | Core Fixed
|
| | | Income Fund |
| |
Investment income: |
| | | | | |
| Interest | | $ | 24,689,653 | |
| |
| |
| | | | | |
| | | | | |
Expenses: |
| | | | | |
| Management fees | | | 3,410,309 | |
Distribution and Service fees(a) | | | 647,089 | |
Transfer Agent fees(a) | | | 538,745 | |
| Custody and accounting fees | | | 199,512 | |
| Printing and mailing costs | | | 70,633 | |
| Registration fees | | | 58,105 | |
| Professional fees | | | 56,686 | |
| Trustee fees | | | 9,980 | |
| Service Share fees — Shareholder Administration Plan | | | 4,725 | |
| Service Share fees — Service Plan | | | 4,725 | |
| Amortization of offering costs | | | — | |
| Other | | | 24,893 | |
| |
| |
Total expenses | | | 5,025,402 | |
| |
| |
Less — expense reductions | | | — | |
| |
| |
Net expenses | | | 5,025,402 | |
| |
| |
NET INVESTMENT INCOME | | | 19,664,251 | |
| |
| |
| | | | | |
| | | | | |
Realized and unrealized gain (loss) from investment, futures, options, swaps and foreign currency related transactions: |
| | | | | |
| Net realized gain (loss) from: | | | | |
| Investment transactions | | | 38,655,817 | |
| Futures transactions | | | 17,264,906 | |
| Written options | | | (1,656,493 | ) |
| Swap contracts | | | (712,181 | ) |
| Foreign currency related transactions (includes $(1,628,044), $(540,981), $(20,058,178) and $(8,093,760) of net realized losses on forward foreign currency exchange contracts, respectively) | | | (1,854,648 | ) |
| Net change in unrealized gain (loss) on: | | | | |
| Investments | | | 24,912,425 | |
| Futures | | | 1,968,883 | |
| Written options | | | (50,544 | ) |
| Swap contracts | | | (3,469,474 | ) |
| Translation of assets and liabilities denominated in foreign currencies (includes $2,971,119, $1,475,925, $37,103,275 and $22,011,412 of net unrealized gains on forward foreign currency exchange contracts, respectively) | | | 2,953,802 | |
| |
| |
Net realized and unrealized gain (loss) from investment, futures, options, swaps and foreign currency related transactions | | | 78,012,493 | |
| |
| |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 97,676,744 | |
| |
| |
| | |
| (a) | | Class specific Distribution and Service, and Transfer Agent fees were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Distribution and Service Fees | | Transfer Agent Fees |
Fund | | Class A | | Class B | | Class C | | Class R | | Class A | | Class B | | Class C | | Institutional | | Service | | Class IR | | Class R |
| Core Fixed Income | | $ | 457,525 | | | $ | 52,316 | | | $ | 137,204 | | | $ | 44 | | | $ | 237,913 | | | $ | 6,801 | | | $ | 17,837 | | | $ | 275,036 | | | $ | 756 | | | $ | 391 | | | $ | 11 | |
| Core Plus Fixed Income | | | 122,128 | | | | 29,798 | | | | 53,778 | | | | 81 | | | | 63,506 | | | | 3,874 | | | | 6,991 | | | | 42,819 | | | | 2 | | | | 1,525 | | | | 21 | |
| Global Income | | | 239,848 | | | | 14,254 | | | | 36,084 | | | | — | | | | 124,721 | | | | 1,853 | | | | 4,691 | | | | 108,067 | | | | 30 | | | | 107 | | | | — | |
| Strategic Income | | | 1,218,585 | | | | — | | | | 622,488 | | | | 70 | | | | 633,664 | | | | — | | | | 80,924 | | | | 205,440 | | | | — | | | | 29,000 | | | | 18 | |
92 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
| | | | | | | | | | | | | |
Core Plus Fixed
| | Global
| | Strategic
| | |
| Income Fund | | Income Fund | | Income Fund | | |
| |
| |
| | | | | | | | | | | | | |
| $ | 5,741,139 | | | $ | 11,572,279 | | | $ | 45,544,924 | | | |
| |
| |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| |
| | | | | | | | | | | | | |
| | 744,526 | | | | 2,413,436 | | | | 6,131,184 | | | |
| | 205,785 | | | | 290,186 | | | | 1,841,143 | | | |
| | 118,738 | | | | 239,469 | | | | 949,046 | | | |
| | 125,570 | | | | 294,788 | | | | 126,269 | | | |
| | 43,667 | | | | 61,136 | | | | 27,011 | | | |
| | 33,258 | | | | 50,885 | | | | 22,688 | | | |
| | 61,868 | | | | 60,851 | | | | 57,827 | | | |
| | 8,252 | | | | 8,627 | | | | 11,915 | | | |
| | 16 | | | | 187 | | | | — | | | |
| | 16 | | | | 187 | | | | — | | | |
| | — | | | | — | | | | 43,631 | | | |
| | 7,533 | | | | 13,391 | | | | 4,147 | | | |
| |
| |
| | 1,349,229 | | | | 3,433,143 | | | | 9,214,861 | | | |
| |
| |
| | (273,924 | ) | | | (475,738 | ) | | | — | | | |
| |
| |
| | 1,075,305 | | | | 2,957,405 | | | | 9,214,861 | | | |
| |
| |
| | 4,665,834 | | | | 8,614,874 | | | | 36,330,063 | | | |
| |
| |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | 6,449,705 | | | | 8,333,863 | | | | 36,391,018 | | | |
| | 5,026,652 | | | | 2,042,686 | | | | (13,894,996 | ) | | |
| | (1,793,676 | ) | | | (1,156,246 | ) | | | (21,185,888 | ) | | |
| | (462,701 | ) | | | 744,880 | | | | (14,235,409 | ) | | |
| | | | | | | | | | | | | |
| | (535,256 | ) | | | (14,458,626 | ) | | | (11,011,584 | ) | | |
| | | | | | | | | | | | | |
| | (2,747,722 | ) | | | (8,334,726 | ) | | | (104,074,362 | ) | | |
| | 1,285,949 | | | | (47,018 | ) | | | 544,804 | | | |
| | (34,262 | ) | | | (74,934 | ) | | | (367,279 | ) | | |
| | (691,376 | ) | | | (1,734,363 | ) | | | (7,353,546 | ) | | |
| | | | | | | | | | | | | |
| | 1,457,998 | | | | 34,744,738 | | | | 21,741,258 | | | |
| |
| |
| | 7,955,311 | | | | 20,060,254 | | | | (113,445,984 | ) | | |
| |
| |
| $ | 12,621,145 | | | $ | 28,675,128 | | | $ | (77,115,921 | ) | | |
| |
| |
The accompanying notes are an integral part of these financial statements. 93
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Statements of Changes in Net Assets
| | | | | | | | | |
| | | Core Fixed Income Fund |
| | | For the
| | |
| | | Six Months Ended
| | For the Fiscal
|
| | | September 30, 2011
| | Year Ended
|
| | | (Unaudited) | | March 31, 2011 |
| |
From operations: |
| | | | | | | | | |
| Net investment income | | $ | 19,664,251 | | | $ | 40,016,269 | |
| Net realized gain (loss) from investment, futures, options, swaps and foreign currency related transactions | | | 51,697,401 | | | | 52,021,013 | |
| Net change in unrealized gain (loss) on investments, futures, options, swaps and translation of assets and liabilities denominated in foreign currencies | | | 26,315,092 | | | | (2,433,241 | ) |
| |
| |
Net increase (decrease) in net assets resulting from operations | | | 97,676,744 | | | | 89,604,041 | |
| |
| |
| | | | | | | | | |
| | | | | | | | | |
Distributions to shareholders: |
| | | | | | | | | |
| From net investment income | | | | | | | | |
| Class A Shares | | | (3,723,674 | ) | | | (18,737,976 | ) |
| Class B Shares | | | (68,220 | ) | | | (243,780 | ) |
| Class C Shares | | | (178,682 | ) | | | (543,505 | ) |
| Institutional Shares | | | (16,512,663 | ) | | | (25,457,284 | ) |
| Service Shares | | | (35,866 | ) | | | (105,829 | ) |
Class IR Shares(b) | | | (7,071 | ) | | | (33,337 | ) |
| Class R Shares | | | (160 | ) | | | (345 | ) |
| From net realized gains | | | | | | | | |
| Class A Shares | | | — | | | | — | |
| Class B Shares | | | — | | | | — | |
| Class C Shares | | | — | | | | — | |
| Institutional Shares | | | — | | | | — | |
| Service Shares | | | — | | | | — | |
Class IR Shares(b) | | | — | | | | — | |
| Class R Shares | | | — | | | | — | |
| From capital | | | | | | | | |
| Class A Shares | | | — | | | | — | |
| Class B Shares | | | — | | | | — | |
| Class C Shares | | | — | | | | — | |
| Institutional Shares | | | — | | | | — | |
| Service Shares | | | — | | | | — | |
Class IR Shares(b) | | | — | | | | — | |
| Class R Shares | | | — | | | | — | |
| |
| |
Total distributions to shareholders | | | (20,526,336 | ) | | | (45,122,056 | ) |
| |
| |
| | | | | | | | | |
| | | | | | | | | |
From share transactions: |
| | | | | | | | | |
| Proceeds from sales of shares | | | 689,319,225 | | | | 964,825,615 | |
| Reinvestment of distributions | | | 19,131,164 | | | | 35,424,211 | |
| Cost of shares redeemed | | | (849,793,083 | ) | | | (830,033,503 | ) |
| |
| |
Net increase (decrease) in net assets resulting from share transactions | | | (141,342,694 | ) | | | 170,216,323 | |
| |
| |
TOTAL INCREASE (DECREASE) | | | (64,192,286 | ) | | | 214,698,308 | |
| |
| |
| | | | | | | | | |
| | | | | | | | | |
Net assets: |
| | | | | | | | | |
| Beginning of period | | | 1,780,840,022 | | | | 1,566,141,714 | |
| |
| |
| End of period | | $ | 1,716,647,736 | | | $ | 1,780,840,022 | |
| |
| |
Accumulated undistributed (distributions in excess) of net investment income | | $ | 6,634,305 | | | $ | 7,496,390 | |
| |
| |
| | |
| (a) | | Commenced operations on June 30, 2010. |
| (b) | | Commenced operations on July 30, 2010 for Global Income Fund |
| (c) | | Net of $5,018 and $11,114 of redemption fees remitted to the Core Plus Fixed Income Fund and Global Income Fund, respectively, for the fiscal year ended March 31, 2011. |
94 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Core Plus Fixed Income Fund | | Global Income Fund | | Strategic Income Fund | | |
For the
| | | | For the
| | | | For the
| | | | |
Six Months Ended
| | For the Fiscal
| | Six Months Ended
| | For the Fiscal
| | Six Months Ended
| | For the Period
| | |
September 30, 2011
| | Year Ended
| | September 30, 2011
| | Year Ended
| | September 30, 2011
| | Ended
| | |
| (Unaudited) | | March 31, 2011 | | (Unaudited) | | March 31, 2011 | | (Unaudited) | | March 31, 2011(a) | | |
| |
| |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 4,665,834 | | | $ | 9,428,620 | | | $ | 8,614,874 | | | $ | 20,782,295 | | | $ | 36,330,063 | | | $ | 12,278,713 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | 8,684,724 | | | | 5,695,800 | | | | (4,493,443 | ) | | | 9,665,394 | | | | (23,936,859 | ) | | | (15,687,729 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | (729,413 | ) | | | 4,449,005 | | | | 24,553,697 | | | | (15,682,161 | ) | | | (89,509,125 | ) | | | 2,423,944 | | | |
| |
| |
| | 12,621,145 | | | | 19,573,425 | | | | 28,675,128 | | | | 14,765,528 | | | | (77,115,921 | ) | | | (985,072 | ) | | |
| |
| |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | (1,321,829 | ) | | | (2,826,074 | ) | | | (1,989,868 | ) | | | (4,785,933 | ) | | | (17,446,643 | ) | | | (5,373,900 | ) | | |
| | (58,254 | ) | | | (172,357 | ) | | | (19,320 | ) | | | (55,227 | ) | | | — | | | | — | | | |
| | (105,339 | ) | | | (263,483 | ) | | | (49,210 | ) | | | (113,235 | ) | | | (1,770,882 | ) | | | (268,268 | ) | | |
| | (3,259,369 | ) | | | (6,438,296 | ) | | | (6,596,214 | ) | | | (16,488,915 | ) | | | (20,225,675 | ) | | | (6,158,573 | ) | | |
| | (164 | ) | | | (328 | ) | | | (1,488 | ) | | | (1,978 | ) | | | — | | | | — | | | |
| | (34,707 | ) | | | (10,494 | ) | | | (1,919 | ) | | | (359 | ) | | | (861,394 | ) | | | (132,535 | ) | | |
| | (403 | ) | | | (987 | ) | | | — | | | | — | | | | (464 | ) | | | (148 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | — | | | | (3,081,210 | ) | | | — | | | | — | | | | — | | | | (610,007 | ) | | |
| | — | | | | (250,208 | ) | | | — | | | | — | | | | — | | | | — | | | |
| | — | | | | (405,603 | ) | | | — | | | | — | | | | — | | | | (32,269 | ) | | |
| | — | | | | (6,400,667 | ) | | | — | | | | — | | | | — | | | | (607,998 | ) | | |
| | — | | | | (391 | ) | | | — | | | | — | | | | — | | | | — | | | |
| | — | | | | (11,554 | ) | | | — | | | | — | | | | — | | | | (13,000 | ) | | |
| | — | | | | (1,271 | ) | | | — | | | | — | | | | — | | | | (20 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | — | | | | (83,230 | ) | | | — | | | | — | | | | — | | | | (594,948 | ) | | |
| | — | | | | (5,076 | ) | | | — | | | | — | | | | — | | | | — | | | |
| | — | | | | (7,760 | ) | | | — | | | | — | | | | — | | | | (29,700 | ) | | |
| | — | | | | (189,611 | ) | | | — | | | | — | | | | — | | | | (681,820 | ) | | |
| | — | | | | (10 | ) | | | — | | | | — | | | | — | | | | — | | | |
| | — | | | | (309 | ) | | | — | | | | — | | | | — | | | | (14,673 | ) | | |
| | — | | | | (29 | ) | | | — | | | | — | | | | — | | | | (16 | ) | | |
| |
| |
| | (4,780,065 | ) | | | (20,148,948 | ) | | | (8,658,019 | ) | | | (21,445,647 | ) | | | (40,305,058 | ) | | | (14,517,875 | ) | | |
| |
| |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | 56,088,596 | | | | 90,380,853 | | | | 352,721,442 | | | | 282,590,902 | | | | 1,158,157,501 | | | | 1,901,482,228 | | | |
| | 4,699,811 | | | | 17,632,789 | | | | 8,412,670 | | | | 20,944,288 | | | | 36,323,880 | | | | 13,178,008 | | | |
| | (31,847,127 | ) | | | (105,790,017 | )(c) | | | (137,469,867 | ) | | | (529,129,975 | )(c) | | | (567,294,460 | ) | | | (165,812,470 | ) | | |
| |
| |
| | 28,941,280 | | | | 2,223,625 | | | | 223,664,245 | | | | (225,594,785 | ) | | | 627,186,921 | | | | 1,748,847,766 | | | |
| |
| |
| | 36,782,360 | | | | 1,648,102 | | | | 243,681,354 | | | | (232,274,904 | ) | | | 509,765,942 | | | | 1,733,344,819 | | | |
| |
| |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | 309,246,662 | | | | 307,598,560 | | | | 684,927,469 | | | | 917,202,373 | | | | 1,733,344,819 | | | | — | | | |
| |
| |
| $ | 346,029,022 | | | $ | 309,246,662 | | | $ | 928,608,823 | | | $ | 684,927,469 | | | $ | 2,243,110,761 | | | $ | 1,733,344,819 | | | |
| |
| |
| $ | (1,786,061 | ) | | $ | (1,671,830 | ) | | $ | (12,752,594 | ) | | $ | (12,709,449 | ) | | $ | (15,222,029 | ) | | $ | (11,247,034 | ) | | |
| |
| |
The accompanying notes are an integral part of these financial statements. 95
GOLDMAN SACHS CORE FIXED INCOME FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Income (loss) from
| | Distributions
| | |
| | | Net asset
| | investment operations | | to shareholders | | |
| | | value,
| | Net
| | Net realized
| | Total from
| | From net
| | From net
| | | | | | |
| | | beginning
| | investment
| | and unrealized
| | investment
| | investment
| | realized
| | From
| | Total
| | |
| Year - Share Class | | of period | | income(a) | | gain (loss) | | operations | | income | | gains | | Capital | | distributions | | |
| |
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED) |
| 2011 - A | | $ | 9.79 | | | $ | 0.10 | | | $ | 0.43 | | | $ | 0.53 | | | $ | (0.10 | ) | | $ | — | | | $ | — | | | $ | (0.10 | ) | | |
| 2011 - B | | | 9.84 | | | | 0.06 | | | | 0.44 | | | | 0.50 | | | | (0.07 | ) | | | — | | | | — | | | | (0.07 | ) | | |
| 2011 - C | | | 9.84 | | | | 0.06 | | | | 0.45 | | | | 0.51 | | | | (0.07 | ) | | | — | | | | — | | | | (0.07 | ) | | |
| 2011 - Institutional | | | 9.83 | | | | 0.12 | | | | 0.43 | | | | 0.55 | | | | (0.12 | ) | | | — | | | | — | | | | (0.12 | ) | | |
| 2011 - Service | | | 9.84 | | | | 0.09 | | | | 0.44 | | | | 0.53 | | | | (0.10 | ) | | | — | | | | — | | | | (0.10 | ) | | |
| 2011 - IR | | | 9.79 | | | | 0.11 | | | | 0.45 | | | | 0.56 | | | | (0.12 | ) | | | — | | | | — | | | | (0.12 | ) | | |
| 2011 - R | | | 9.80 | | | | 0.09 | | | | 0.43 | | | | 0.52 | | | | (0.09 | ) | | | — | | | | — | | | | (0.09 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FOR THE FISCAL YEARS ENDED MARCH 31, |
| 2011 - A | | | 9.53 | | | | 0.21 | | | | 0.29 | | | | 0.50 | | | | (0.24 | ) | | | — | | | | — | | | | (0.24 | ) | | |
| 2011 - B | | | 9.57 | | | | 0.14 | | | | 0.29 | | | | 0.43 | | | | (0.16 | ) | | | — | | | | — | | | | (0.16 | ) | | |
| 2011 - C | | | 9.58 | | | | 0.14 | | | | 0.28 | | | | 0.42 | | | | (0.16 | ) | | | — | | | | — | | | | (0.16 | ) | | |
| 2011 - Institutional | | | 9.57 | | | | 0.24 | | | | 0.29 | | | | 0.53 | | | | (0.27 | ) | | | — | | | | — | | | | (0.27 | ) | | |
| 2011 - Service | | | 9.58 | | | | 0.20 | | | | 0.28 | | | | 0.48 | | | | (0.22 | ) | | | — | | | | — | | | | (0.22 | ) | | |
| 2011 - IR | | | 9.54 | | | | 0.23 | | | | 0.28 | | | | 0.51 | | | | (0.26 | ) | | | — | | | | — | | | | (0.26 | ) | | |
| 2011 - R | | | 9.54 | | | | 0.18 | | | | 0.29 | | | | 0.47 | | | | (0.21 | ) | | | — | | | | — | | | | (0.21 | ) | | |
| |
|
| 2010 - A | | | 8.27 | | | | 0.31 | | | | 1.27 | | | | 1.58 | | | | (0.32 | ) | | | — | | | | — | | | | (0.32 | ) | | |
| 2010 - B | | | 8.31 | | | | 0.24 | | | | 1.27 | | | | 1.51 | | | | (0.25 | ) | | | — | | | | — | | | | (0.25 | ) | | |
| 2010 - C | | | 8.31 | | | | 0.24 | | | | 1.28 | | | | 1.52 | | | | (0.25 | ) | | | — | | | | — | | | | (0.25 | ) | | |
| 2010 - Institutional | | | 8.30 | | | | 0.34 | | | | 1.28 | | | | 1.62 | | | | (0.35 | ) | | | — | | | | — | | | | (0.35 | ) | | |
| 2010 - Service | | | 8.31 | | | | 0.30 | | | | 1.27 | | | | 1.57 | | | | (0.30 | ) | | | — | | | | — | | | | (0.30 | ) | | |
| 2010 - IR | | | 8.28 | | | | 0.31 | | | | 1.29 | | | | 1.60 | | | | (0.34 | ) | | | — | | | | — | | | | (0.34 | ) | | |
| 2010 - R | | | 8.28 | | | | 0.28 | | | | 1.28 | | | | 1.56 | | | | (0.30 | ) | | | — | | | | — | | | | (0.30 | ) | | |
| |
|
| 2009 - A | | | 9.57 | | | | 0.42 | | | | (1.23 | ) | | | (0.81 | ) | | | (0.44 | ) | | | (0.05 | ) | | | — | | | | (0.49 | ) | | |
| 2009 - B | | | 9.61 | | | | 0.35 | | | | (1.23 | ) | | | (0.88 | ) | | | (0.37 | ) | | | (0.05 | ) | | | — | | | | (0.42 | ) | | |
| 2009 - C | | | 9.61 | | | | 0.35 | | | | (1.23 | ) | | | (0.88 | ) | | | (0.37 | ) | | | (0.05 | ) | | | — | | | | (0.42 | ) | | |
| 2009 - Institutional | | | 9.60 | | | | 0.45 | | | | (1.23 | ) | | | (0.78 | ) | | | (0.47 | ) | | | (0.05 | ) | | | — | | | | (0.52 | ) | | |
| 2009 - Service | | | 9.61 | | | | 0.41 | | | | (1.24 | ) | | | (0.83 | ) | | | (0.42 | ) | | | (0.05 | ) | | | — | | | | (0.47 | ) | | |
| 2009 - IR | | | 9.58 | | | | 0.44 | | | | (1.23 | ) | | | (0.79 | ) | | | (0.46 | ) | | | (0.05 | ) | | | — | | | | (0.51 | ) | | |
| 2009 - R | | | 9.57 | | | | 0.40 | | | | (1.22 | ) | | | (0.82 | ) | | | (0.42 | ) | | | (0.05 | ) | | | — | | | | (0.47 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FOR THE PERIOD NOVEMBER 1, 2007 TO MARCH 31, 2008* |
| 2008 - A | | | 9.86 | | | | 0.19 | | | | (0.28 | ) | | | (0.09 | ) | | | (0.20 | ) | | | — | | | | — | | | | (0.20 | ) | | |
| 2008 - B | | | 9.90 | | | | 0.16 | | | | (0.28 | ) | | | (0.12 | ) | | | (0.17 | ) | | | — | | | | — | | | | (0.17 | ) | | |
| 2008 - C | | | 9.91 | | | | 0.16 | | | | (0.29 | ) | | | (0.13 | ) | | | (0.17 | ) | | | — | | | | — | | | | (0.17 | ) | | |
| 2008 - Institutional | | | 9.90 | | | | 0.21 | | | | (0.30 | ) | | | (0.09 | ) | | | (0.21 | ) | | | — | | | | — | | | | (0.21 | ) | | |
| 2008 - Service | | | 9.91 | | | | 0.19 | | | | (0.30 | ) | | | (0.11 | ) | | | (0.19 | ) | | | — | | | | — | | | | (0.19 | ) | | |
| 2008 - IR (Commenced November 30, 2007) | | | 10.01 | | | | 0.16 | | | | (0.43 | ) | | | (0.27 | ) | | | (0.16 | ) | | | — | | | | — | | | | (0.16 | ) | | |
| 2008 - R (Commenced November 30, 2007) | | | 10.01 | | | | 0.14 | | | | (0.44 | ) | | | (0.30 | ) | | | (0.14 | ) | | | — | | | | — | | | | (0.14 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FOR THE FISCAL YEARS ENDED OCTOBER 31, |
| 2007 - A | | | 9.82 | | | | 0.44 | | | | 0.02 | | | | 0.46 | | | | (0.42 | ) | | | — | | | | — | | | | (0.42 | ) | | |
| 2007 - B | | | 9.86 | | | | 0.37 | | | | 0.02 | | | | 0.39 | | | | (0.35 | ) | | | — | | | | — | | | | (0.35 | ) | | |
| 2007 - C | | | 9.87 | | | | 0.37 | | | | 0.02 | | | | 0.39 | | | | (0.35 | ) | | | — | | | | — | | | | (0.35 | ) | | |
| 2007 - Institutional | | | 9.86 | | | | 0.48 | | | | 0.02 | | | | 0.50 | | | | (0.46 | ) | | | — | | | | — | | | | (0.46 | ) | | |
| 2007 - Service | | | 9.86 | | | | 0.43 | | | | 0.03 | | | | 0.46 | | | | (0.41 | ) | | | — | | | | — | | | | (0.41 | ) | | |
| |
|
| 2006 - A | | | 9.87 | | | | 0.41 | | | | (0.01 | ) | | | 0.40 | | | | (0.38 | ) | | | (0.06 | ) | | | (0.01 | ) | | | (0.45 | ) | | |
| 2006 - B | | | 9.91 | | | | 0.34 | | | | (0.01 | ) | | | 0.33 | | | | (0.31 | ) | | | (0.06 | ) | | | (0.01 | ) | | | (0.38 | ) | | |
| 2006 - C | | | 9.91 | | | | 0.34 | | | | — | | | | 0.34 | | | | (0.31 | ) | | | (0.06 | ) | | | (0.01 | ) | | | (0.38 | ) | | |
| 2006 - Institutional | | | 9.90 | | | | 0.45 | | | | — | | | | 0.45 | | | | (0.42 | ) | | | (0.06 | ) | | | (0.01 | ) | | | (0.49 | ) | | |
| 2006 - Service | | | 9.91 | | | | 0.40 | | | | (0.01 | ) | | | 0.39 | | | | (0.37 | ) | | | (0.06 | ) | | | (0.01 | ) | | | (0.44 | ) | | |
| |
|
| | |
| * | | The Fund changed its fiscal year end from October 31 to March 31. |
| (a) | | Calculated based on the average shares outstanding methodology. |
| (b) | | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (c) | | Annualized. |
96 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS CORE FIXED INCOME FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Ratio of
| | Portfolio
| | Portfolio
| | |
| | | | | Net assets,
| | Ratio of
| | Ratio of
| | net investment
| | turnover rate
| | turnover rate
| | |
Net asset
| | | | end of
| | net expenses
| | total expenses
| | income
| | (including the
| | (excluding the
| | |
value, end
| | Total
| | period
| | to average
| | to average
| | to average
| | effect of mortgage
| | effect of mortgage
| | |
| of period | | return(b) | | (in 000s) | | net assets | | net assets | | net assets | | dollar rolls) | | dollar rolls) | | |
| |
| |
| $ | 10.22 | | | | 5.46 | % | | $ | 252,776 | | | | 0.81 | %(c) | | | 0.81 | %(c) | | | 1.95 | %(c) | | | 365 | % | | | 254 | % | | |
| | 10.27 | | | | 5.05 | | | | 9,958 | | | | 1.56 | (c) | | | 1.56 | (c) | | | 1.21 | (c) | | | 365 | | | | 254 | | | |
| | 10.28 | | | | 5.15 | | | | 27,915 | | | | 1.56 | (c) | | | 1.56 | (c) | | | 1.21 | (c) | | | 365 | | | | 254 | | | |
| | 10.26 | | | | 5.63 | | | | 1,421,701 | | | | 0.47 | (c) | | | 0.47 | (c) | | | 2.30 | (c) | | | 365 | | | | 254 | | | |
| | 10.27 | | | | 5.36 | | | | 3,327 | | | | 0.97 | (c) | | | 0.97 | (c) | | | 1.80 | (c) | | | 365 | | | | 254 | | | |
| | 10.23 | | | | 5.70 | | | | 951 | | | | 0.56 | (c) | | | 0.56 | (c) | | | 2.26 | (c) | | | 365 | | | | 254 | | | |
| | 10.23 | | | | 5.34 | | | | 18 | | | | 1.06 | (c) | | | 1.06 | (c) | | | 1.72 | (c) | | | 365 | | | | 254 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | 9.79 | | | | 5.24 | | | | 694,255 | | | | 0.81 | | | | 0.81 | | | | 2.13 | | | | 554 | | | | 378 | | | |
| | 9.84 | | | | 4.55 | | | | 11,234 | | | | 1.56 | | | | 1.56 | | | | 1.39 | | | | 554 | | | | 378 | | | |
| | 9.84 | | | | 4.44 | | | | 27,993 | | | | 1.56 | | | | 1.56 | | | | 1.38 | | | | 554 | | | | 378 | | | |
| | 9.83 | | | | 5.58 | | | | 1,041,837 | | | | 0.47 | | | | 0.47 | | | | 2.45 | | | | 554 | | | | 378 | | | |
| | 9.84 | | | | 5.17 | | | | 3,966 | | | | 0.97 | | | | 0.97 | | | | 1.98 | | | | 554 | | | | 378 | | | |
| | 9.79 | | | | 5.39 | | | | 1,538 | | | | 0.56 | | | | 0.56 | | | | 2.30 | | | | 554 | | | | 378 | | | |
| | 9.80 | | | | 4.98 | | | | 17 | | | | 1.06 | | | | 1.06 | | | | 1.88 | | | | 554 | | | | 378 | | | |
| |
|
| | 9.53 | | | | 19.32 | | | | 804,834 | | | | 0.82 | | | | 0.82 | | | | 3.37 | | | | 418 | | | | 330 | | | |
| | 9.57 | | | | 18.36 | | | | 16,680 | | | | 1.57 | | | | 1.57 | | | | 2.68 | | | | 418 | | | | 330 | | | |
| | 9.58 | | | | 18.48 | | | | 33,260 | | | | 1.57 | | | | 1.57 | | | | 2.62 | | | | 418 | | | | 330 | | | |
| | 9.57 | | | | 19.79 | | | | 705,704 | | | | 0.48 | | | | 0.48 | | | | 3.78 | | | | 418 | | | | 330 | | | |
| | 9.58 | | | | 19.05 | | | | 5,580 | | | | 0.98 | | | | 0.98 | | | | 3.30 | | | | 418 | | | | 330 | | | |
| | 9.54 | | | | 19.58 | | | | 69 | | | | 0.57 | | | | 0.57 | | | | 3.30 | | | | 418 | | | | 330 | | | |
| | 9.54 | | | | 19.03 | | | | 14 | | | | 1.07 | | | | 1.07 | | | | 3.10 | | | | 418 | | | | 330 | | | |
| |
|
| | 8.27 | | | | (8.63 | ) | | | 600,963 | | | | 0.80 | | | | 0.81 | | | | 4.70 | | | | 413 | | | | 371 | | | |
| | 8.31 | | | | (9.26 | ) | | | 17,694 | | | | 1.55 | | | | 1.56 | | | | 3.95 | | | | 413 | | | | 371 | | | |
| | 8.31 | | | | (9.26 | ) | | | 24,655 | | | | 1.55 | | | | 1.56 | | | | 3.95 | | | | 413 | | | | 371 | | | |
| | 8.30 | | | | (8.27 | ) | | | 851,372 | | | | 0.46 | | | | 0.47 | | | | 5.04 | | | | 413 | | | | 371 | | | |
| | 8.31 | | | | (8.72 | ) | | | 7,333 | | | | 0.96 | | | | 0.97 | | | | 4.55 | | | | 413 | | | | 371 | | | |
| | 8.28 | | | | (8.39 | ) | | | 9 | | | | 0.55 | | | | 0.56 | | | | 4.97 | | | | 413 | | | | 371 | | | |
| | 8.28 | | | | (8.81 | ) | | | 9 | | | | 1.05 | | | | 1.06 | | | | 4.51 | | | | 413 | | | | 371 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | 9.57 | | | | (0.99 | ) | | | 809,957 | | | | 0.78 | (c) | | | 0.78 | (c) | | | 4.63 | (c) | | | 239 | | | | 193 | | | |
| | 9.61 | | | | (1.28 | ) | | | 21,415 | | | | 1.53 | (c) | | | 1.53 | (c) | | | 3.89 | (c) | | | 239 | | | | 193 | | | |
| | 9.61 | | | | (1.38 | ) | | | 28,402 | | | | 1.53 | (c) | | | 1.53 | (c) | | | 3.89 | (c) | | | 239 | | | | 193 | | | |
| | 9.60 | | | | (0.94 | ) | | | 1,571,578 | | | | 0.44 | (c) | | | 0.44 | (c) | | | 4.97 | (c) | | | 239 | | | | 193 | | | |
| | 9.61 | | | | (1.04 | ) | | | 24,199 | | | | 0.94 | (c) | | | 0.94 | (c) | | | 4.47 | (c) | | | 239 | | | | 193 | | | |
| | 9.58 | | | | (2.75 | ) | | | 10 | | | | 0.53 | (c) | | | 0.53 | (c) | | | 4.66 | (c) | | | 239 | | | | 193 | | | |
| | 9.57 | | | | (2.90 | ) | | | 10 | | | | 1.03 | (c) | | | 1.03 | (c) | | | 4.22 | (c) | | | 239 | | | | 193 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | 9.86 | | | | 4.84 | | | | 798,223 | | | | 0.80 | | | | 0.81 | | | | 4.51 | | | | 166 | | | | 141 | | | |
| | 9.90 | | | | 4.05 | | | | 20,736 | | | | 1.55 | | | | 1.56 | | | | 3.74 | | | | 166 | | | | 141 | | | |
| | 9.91 | | | | 4.05 | | | | 23,008 | | | | 1.55 | | | | 1.56 | | | | 3.76 | | | | 166 | | | | 141 | | | |
| | 9.90 | | | | 5.21 | | | | 1,684,860 | | | | 0.44 | | | | 0.45 | | | | 4.87 | | | | 166 | | | | 141 | | | |
| | 9.91 | | | | 4.68 | | | | 29,899 | | | | 0.94 | | | | 0.95 | | | | 4.32 | | | | 166 | | | | 141 | | | |
| |
|
| | 9.82 | | | | 4.21 | | | | 714,877 | | | | 0.83 | | | | 0.84 | | | | 4.25 | | | | 562 | | | | 516 | | | |
| | 9.86 | | | | 3.42 | | | | 22,971 | | | | 1.58 | | | | 1.59 | | | | 3.49 | | | | 562 | | | | 516 | | | |
| | 9.87 | | | | 3.52 | | | | 20,937 | | | | 1.58 | | | | 1.59 | | | | 3.49 | | | | 562 | | | | 516 | | | |
| | 9.86 | | | | 4.69 | | | | 1,558,971 | | | | 0.46 | | | | 0.47 | | | | 4.65 | | | | 562 | | | | 516 | | | |
| | 9.86 | | | | 4.06 | | | | 46,600 | | | | 0.96 | | | | 0.97 | | | | 4.13 | | | | 562 | | | | 516 | | | |
| |
|
The accompanying notes are an integral part of these financial statements. 97
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Income (loss) from
| | Distributions
| | |
| | | Net asset
| | investment operations | | to shareholders | | |
| | | value,
| | Net
| | Net realized
| | Total from
| | From net
| | From net
| | | | |
| | | beginning
| | investment
| | and unrealized
| | investment
| | investment
| | realized
| | Total
| | |
| Year - Share Class | | of period | | income(a) | | gain (loss) | | operations | | income | | gains | | distributions | | |
| |
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED) |
| 2011 - A | | $ | 10.17 | | | $ | 0.14 | | | $ | 0.25 | | | $ | 0.39 | | | $ | (0.14 | ) | | $ | — | | | $ | (0.14 | ) | | |
| 2011 - B | | | 10.16 | | | | 0.10 | | | | 0.25 | | | | 0.35 | | | | (0.10 | ) | | | — | | | | (0.10 | ) | | |
| 2011 - C | | | 10.16 | | | | 0.10 | | | | 0.26 | | | | 0.36 | | | | (0.10 | ) | | | — | | | | (0.10 | ) | | |
| 2011 - Institutional | | | 10.17 | | | | 0.15 | | | | 0.26 | | | | 0.41 | | | | (0.16 | ) | | | — | | | | (0.16 | ) | | |
| 2011 - Service | | | 10.17 | | | | 0.13 | | | | 0.25 | | | | 0.38 | | | | (0.13 | ) | | | — | | | | (0.13 | ) | | |
| 2011 - IR | | | 10.18 | | | | 0.15 | | | | 0.21 | | | | 0.36 | | | | (0.15 | ) | | | — | | | | (0.15 | ) | | |
| 2011 - R | | | 10.17 | | | | 0.12 | | | | 0.26 | | | | 0.38 | | | | (0.13 | ) | | | — | | | | (0.13 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FOR THE FISCAL YEARS ENDED MARCH 31, |
| 2011 - A | | | 10.20 | | | | 0.28 | | | | 0.33 | | | | 0.61 | | | | (0.31 | )(d) | | | (0.33 | ) | | | (0.64 | ) | | |
| 2011 - B | | | 10.20 | | | | 0.21 | | | | 0.31 | | | | 0.52 | | | | (0.23 | )(d) | | | (0.33 | ) | | | (0.56 | ) | | |
| 2011 - C | | | 10.20 | | | | 0.21 | | | | 0.31 | | | | 0.52 | | | | (0.23 | )(d) | | | (0.33 | ) | | | (0.56 | ) | | |
| 2011 - Institutional | | | 10.20 | | | | 0.32 | | | | 0.32 | | | | 0.64 | | | | (0.34 | )(d) | | | (0.33 | ) | | | (0.67 | ) | | |
| 2011 - Service | | | 10.20 | | | | 0.27 | | | | 0.32 | | | | 0.59 | | | | (0.29 | )(d) | | | (0.33 | ) | | | (0.62 | ) | | |
| 2011 - IR | | | 10.21 | | | | 0.31 | | | | 0.32 | | | | 0.63 | | | | (0.33 | )(d) | | | (0.33 | ) | | | (0.66 | ) | | |
| 2011 - R | | | 10.20 | | | | 0.26 | | | | 0.32 | | | | 0.58 | | | | (0.28 | )(d) | | | (0.33 | ) | | | (0.61 | ) | | |
| |
|
| 2010 - A | | | 9.16 | | | | 0.34 | | | | 1.07 | | | | 1.41 | | | | (0.37 | ) | | | — | | | | (0.37 | ) | | |
| 2010 - B | | | 9.15 | | | | 0.28 | | | | 1.07 | | | | 1.35 | | | | (0.30 | ) | | | — | | | | (0.30 | ) | | |
| 2010 - C | | | 9.15 | | | | 0.28 | | | | 1.07 | | | | 1.35 | | | | (0.30 | ) | | | — | | | | (0.30 | ) | | |
| 2010 - Institutional | | | 9.16 | | | | 0.37 | | | | 1.07 | | | | 1.44 | | | | (0.40 | ) | | | — | | | | (0.40 | ) | | |
| 2010 - Service | | | 9.16 | | | | 0.34 | | | | 1.05 | | | | 1.39 | | | | (0.35 | ) | | | — | | | | (0.35 | ) | | |
| 2010 - IR | | | 9.16 | | | | 0.32 | | | | 1.12 | | | | 1.44 | | | | (0.39 | ) | | | — | | | | (0.39 | ) | | |
| 2010 - R | | | 9.16 | | | | 0.31 | | | | 1.07 | | | | 1.38 | | | | (0.34 | ) | | | — | | | | (0.34 | ) | | |
| |
|
| 2009 - A | | | 9.90 | | | | 0.43 | | | | (0.75 | ) | | | (0.32 | ) | | | (0.42 | ) | | | — | | | | (0.42 | ) | | |
| 2009 - B | | | 9.90 | | | | 0.36 | | | | (0.76 | ) | | | (0.40 | ) | | | (0.35 | ) | | | — | | | | (0.35 | ) | | |
| 2009 - C | | | 9.90 | | | | 0.36 | | | | (0.76 | ) | | | (0.40 | ) | | | (0.35 | ) | | | — | | | | (0.35 | ) | | |
| 2009 - Institutional | | | 9.90 | | | | 0.46 | | | | (0.74 | ) | | | (0.28 | ) | | | (0.46 | ) | | | — | | | | (0.46 | ) | | |
| 2009 - Service | | | 9.90 | | | | 0.41 | | | | (0.74 | ) | | | (0.33 | ) | | | (0.41 | ) | | | — | | | | (0.41 | ) | | |
| 2009 - IR | | | 9.91 | | | | 0.45 | | | | (0.75 | ) | | | (0.30 | ) | | | (0.45 | ) | | | — | | | | (0.45 | ) | | |
| 2009 - R | | | 9.91 | | | | 0.40 | | | | (0.75 | ) | | | (0.35 | ) | | | (0.40 | ) | | | — | | | | (0.40 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FOR THE PERIOD NOVEMBER 1, 2007 TO MARCH 31, 2008* |
| 2008 - A | | | 9.99 | | | | 0.18 | | | | (0.05 | ) | | | 0.13 | | | | (0.22 | ) | | | — | | | | (0.22 | ) | | |
| 2008 - B | | | 9.99 | | | | 0.15 | | | | (0.05 | ) | | | 0.10 | | | | (0.19 | ) | | | — | | | | (0.19 | ) | | |
| 2008 - C | | | 9.99 | | | | 0.15 | | | | (0.05 | ) | | | 0.10 | | | | (0.19 | ) | | | — | | | | (0.19 | ) | | |
| 2008 - Institutional | | | 9.99 | | | | 0.20 | | | | (0.05 | ) | | | 0.15 | | | | (0.24 | ) | | | — | | | | (0.24 | ) | | |
| 2008 - Service | | | 9.99 | | | | 0.18 | | | | (0.05 | ) | | | 0.13 | | | | (0.22 | ) | | | — | | | | (0.22 | ) | | |
| 2008 - IR (Commenced November 30, 2007) | | | 10.12 | | | | 0.15 | | | | (0.17 | ) | | | (0.02 | ) | | | (0.19 | ) | | | — | | | | (0.19 | ) | | |
| 2008 - R (Commenced November 30, 2007) | | | 10.12 | | | | 0.14 | | | | (0.18 | ) | | | (0.04 | ) | | | (0.17 | ) | | | — | | | | (0.17 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FOR THE PERIOD ENDED OCTOBER 31, |
| 2007 - A (Commenced November 30, 2006) | | | 10.00 | | | | 0.39 | | | | (0.02 | ) | | | 0.37 | | | | (0.38 | ) | | | — | | | | (0.38 | ) | | |
| 2007 - B (Commenced June 20, 2007) | | | 9.77 | | | | 0.14 | | | | 0.21 | | | | 0.35 | | | | (0.13 | ) | | | — | | | | (0.13 | ) | | |
| 2007 - C (Commenced November 30, 2006) | | | 10.00 | | | | 0.33 | | | | (0.02 | ) | | | 0.31 | | | | (0.32 | ) | | | — | | | | (0.32 | ) | | |
| 2007 - Institutional (Commenced November 30, 2006) | | | 10.00 | | | | 0.42 | | | | (0.01 | ) | | | 0.41 | | | | (0.42 | ) | | | — | | | | (0.42 | ) | | |
| 2007 - Service (Commenced June 20, 2007) | | | 9.77 | | | | 0.16 | | | | 0.21 | | | | 0.37 | | | | (0.15 | ) | | | — | | | | (0.15 | ) | | |
| |
|
| | |
| * | | The Fund changed its fiscal year end from October 31 to March 31. |
| (a) | | Calculated based on the average shares outstanding methodology. |
| (b) | | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (c) | | Annualized. |
| (d) | | Includes a tax return of capital amounting to less than $0.01 per share. |
| (e) | | Includes a non-recurring reduction of expenses of a merged fund which amounted to 0.06% of average net assets. |
98 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS CORE PLUS FIXED INCOME FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Ratio of
| | Portfolio
| | Portfolio
| | |
| | | | | Net assets,
| | Ratio of
| | Ratio of
| | net investment
| | turnover rate
| | turnover rate
| | |
Net asset
| | | | end of
| | net expenses
| | total expenses
| | income
| | (including the
| | (excluding the
| | |
value, end
| | Total
| | period
| | to average
| | to average
| | to average
| | effect of mortgage
| | effect of mortgage
| | |
| of period | | return(b) | | (in 000s) | | net assets | | net assets | | net assets | | dollar rolls) | | dollar rolls) | | |
| |
| |
| $ | 10.42 | | | | 3.85 | % | | $ | 98,505 | | | | 0.83 | %(c) | | | 1.00 | %(c) | | | 2.64 | %(c) | | | 364 | % | | | 253 | % | | |
| | 10.41 | | | | 3.47 | | | | 5,649 | | | | 1.58 | (c) | | | 1.75 | (c) | | | 1.89 | (c) | | | 364 | | | | 253 | | | |
| | 10.42 | | | | 3.57 | | | | 10,774 | | | | 1.58 | (c) | | | 1.75 | (c) | | | 1.89 | (c) | | | 364 | | | | 253 | | | |
| | 10.42 | | | | 4.03 | | | | 228,490 | | | | 0.49 | (c) | | | 0.66 | (c) | | | 2.98 | (c) | | | 364 | | | | 253 | | | |
| | 10.42 | | | | 3.78 | | | | 13 | | | | 0.99 | (c) | | | 1.16 | (c) | | | 2.48 | (c) | | | 364 | | | | 253 | | | |
| | 10.39 | | | | 3.57 | | | | 2,578 | | | | 0.58 | (c) | | | 0.75 | (c) | | | 2.83 | (c) | | | 364 | | | | 253 | | | |
| | 10.42 | | | | 3.72 | | | | 20 | | | | 1.08 | (c) | | | 1.25 | (c) | | | 2.40 | (c) | | | 364 | | | | 253 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | 10.17 | | | | 6.06 | | | | 93,196 | | | | 0.83 | | | | 1.00 | | | | 2.72 | | | | 673 | | | | 525 | | | |
| | 10.16 | | | | 5.27 | | | | 6,349 | | | | 1.58 | | | | 1.75 | | | | 2.01 | | | | 673 | | | | 525 | | | |
| | 10.16 | | | | 5.27 | | | | 10,824 | | | | 1.58 | | | | 1.75 | | | | 1.99 | | | | 673 | | | | 525 | | | |
| | 10.17 | | | | 6.42 | | | | 198,465 | | | | 0.49 | | | | 0.66 | | | | 3.07 | | | | 673 | | | | 525 | | | |
| | 10.17 | | | | 5.91 | | | | 12 | | | | 0.99 | | | | 1.16 | | | | 2.58 | | | | 673 | | | | 525 | | | |
| | 10.18 | | | | 6.32 | | | | 364 | | | | 0.58 | | | | 0.75 | | | | 2.96 | | | | 673 | | | | 525 | | | |
| | 10.17 | | | | 5.80 | | | | 36 | | | | 1.08 | | | | 1.25 | | | | 2.49 | | | | 673 | | | | 525 | | | |
| |
|
| | 10.20 | | | | 15.60 | | | | 94,351 | | | | 0.83 | | | | 1.14 | | | | 3.48 | | | | 419 | | | | 313 | | | |
| | 10.20 | | | | 14.75 | | | | 9,193 | | | | 1.58 | | | | 1.89 | | | | 2.87 | | | | 419 | | | | 313 | | | |
| | 10.20 | | | | 14.75 | | | | 12,661 | | | | 1.58 | | | | 1.89 | | | | 2.83 | | | | 419 | | | | 313 | | | |
| | 10.20 | | | | 15.99 | | | | 191,051 | | | | 0.49 | | | | 0.80 | | | | 3.72 | | | | 419 | | | | 313 | | | |
| | 10.20 | | | | 15.42 | | | | 12 | | | | 0.99 | | | | 1.30 | | | | 3.44 | | | | 419 | | | | 313 | | | |
| | 10.21 | | | | 16.00 | | | | 294 | | | | 0.58 | | | | 0.89 | | | | 3.23 | | | | 419 | | | | 313 | | | |
| | 10.20 | | | | 15.30 | | | | 37 | | | | 1.08 | | | | 1.39 | | | | 3.15 | | | | 419 | | | | 313 | | | |
| |
|
| | 9.16 | | | | (3.17 | ) | | | 45,686 | | | | 0.75 | (e) | | | 1.33 | (e) | | | 4.57 | (e) | | | 365 | | | | 330 | | | |
| | 9.15 | | | | (4.00 | ) | | | 10,626 | | | | 1.50 | (e) | | | 2.08 | (e) | | | 3.82 | (e) | | | 365 | | | | 330 | | | |
| | 9.15 | | | | (4.00 | ) | | | 11,040 | | | | 1.50 | (e) | | | 2.08 | (e) | | | 3.82 | (e) | | | 365 | | | | 330 | | | |
| | 9.16 | | | | (2.84 | ) | | | 43,681 | | | | 0.41 | (e) | | | 0.99 | (e) | | | 4.91 | (e) | | | 365 | | | | 330 | | | |
| | 9.16 | | | | (3.34 | ) | | | 10 | | | | 0.91 | (e) | | | 1.49 | (e) | | | 4.38 | (e) | | | 365 | | | | 330 | | | |
| | 9.16 | | | | (3.02 | ) | | | 10 | | | | 0.50 | (e) | | | 1.08 | (e) | | | 4.82 | (e) | | | 365 | | | | 330 | | | |
| | 9.16 | | | | (3.49 | ) | | | 10 | | | | 1.00 | (e) | | | 1.58 | (e) | | | 4.32 | (e) | | | 365 | | | | 330 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | 9.90 | | | | 1.21 | | | | 54,330 | | | | 0.79 | (c) | | | 1.21 | (c) | | | 4.37 | (c) | | | 96 | | | | 63 | | | |
| | 9.90 | | | | 0.99 | | | | 13,843 | | | | 1.54 | (c) | | | 1.96 | (c) | | | 3.63 | (c) | | | 96 | | | | 63 | | | |
| | 9.90 | | | | 0.99 | | | | 11,727 | | | | 1.54 | (c) | | | 1.96 | (c) | | | 3.63 | (c) | | | 96 | | | | 63 | | | |
| | 9.90 | | | | 1.45 | | | | 51,281 | | | | 0.45 | (c) | | | 0.87 | (c) | | | 4.73 | (c) | | | 96 | | | | 63 | | | |
| | 9.90 | | | | 1.26 | | | | 11 | | | | 0.95 | (c) | | | 1.37 | (c) | | | 4.26 | (c) | | | 96 | | | | 63 | | | |
| | 9.91 | | | | (0.26 | ) | | | 10 | | | | 0.54 | (c) | | | 0.96 | (c) | | | 4.49 | (c) | | | 96 | | | | 63 | | | |
| | 9.91 | | | | (0.41 | ) | | | 10 | | | | 1.04 | (c) | | | 1.46 | (c) | | | 4.00 | (c) | | | 96 | | | | 63 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | 9.99 | | | | 3.93 | | | | 53,541 | | | | 0.83 | (c) | | | 1.51 | (c) | | | 4.45 | (c) | | | 350 | | | | 312 | | | |
| | 9.99 | | | | 3.60 | | | | 15,077 | | | | 1.58 | (c) | | | 2.26 | (c) | | | 3.86 | (c) | | | 350 | | | | 312 | | | |
| | 9.99 | | | | 3.13 | | | | 11,798 | | | | 1.58 | (c) | | | 2.26 | (c) | | | 3.78 | (c) | | | 350 | | | | 312 | | | |
| | 9.99 | | | | 4.21 | | | | 31,155 | | | | 0.47 | (c) | | | 1.15 | (c) | | | 4.62 | (c) | | | 350 | | | | 312 | | | |
| | 9.99 | | | | 3.83 | | | | 10 | | | | 0.97 | (c) | | | 1.65 | (c) | | | 4.42 | (c) | | | 350 | | | | 312 | | | |
| |
|
The accompanying notes are an integral part of these financial statements. 99
GOLDMAN SACHS GLOBAL INCOME FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Income (loss) from
| | Distributions
| | |
| | | Net asset
| | investment operations | | to shareholders | | |
| | | value,
| | Net
| | Net realized
| | Total from
| | From net
| | From net
| | | | |
| | | beginning
| | investment
| | and unrealized
| | investment
| | investment
| | realized
| | Total
| | |
| Year - Share Class | | of period | | income(a) | | gain (loss) | | operations | | income | | gains | | distributions | | |
| |
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED) |
| 2011 - A | | $ | 12.63 | | | $ | 0.13 | | | $ | 0.35 | | | $ | 0.48 | | | $ | (0.14 | ) | | $ | — | | | $ | (0.14 | ) | | |
| 2011 - B | | | 12.58 | | | | 0.09 | | | | 0.34 | | | | 0.43 | | | | (0.09 | ) | | | — | | | | (0.09 | ) | | |
| 2011 - C | | | 12.55 | | | | 0.09 | | | | 0.34 | | | | 0.43 | | | | (0.09 | ) | | | — | | | | (0.09 | ) | | |
| 2011 - Institutional | | | 12.61 | | | | 0.15 | | | | 0.35 | | | | 0.50 | | | | (0.16 | ) | | | — | | | | (0.16 | ) | | |
| 2011 - Service | | | 12.59 | | | | 0.12 | | | | 0.35 | | | | 0.47 | | | | (0.13 | ) | | | — | | | | (0.13 | ) | | |
| 2011 - IR | | | 12.61 | | | | 0.14 | | | | 0.35 | | | | 0.49 | | | | (0.15 | ) | | | — | | | | (0.15 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FOR THE FISCAL YEARS ENDED MARCH 31, |
| 2011 - A | | | 12.74 | | | | 0.26 | | | | (0.10 | ) | | | 0.16 | | | | (0.27 | ) | | | — | | | | (0.27 | ) | | |
| 2011 - B | | | 12.69 | | | | 0.17 | | | | (0.11 | ) | | | 0.06 | | | | (0.17 | ) | | | — | | | | (0.17 | ) | | |
| 2011 - C | | | 12.66 | | | | 0.16 | | | | (0.09 | ) | | | 0.07 | | | | (0.18 | ) | | | — | | | | (0.18 | ) | | |
| 2011 - Institutional | | | 12.72 | | | | 0.30 | | | | (0.09 | ) | | | 0.21 | | | | (0.32 | ) | | | — | | | | (0.32 | ) | | |
| 2011 - Service | | | 12.70 | | | | 0.24 | | | | (0.10 | ) | | | 0.14 | | | | (0.25 | ) | | | — | | | | (0.25 | ) | | |
| 2011 - IR (Commenced July 30, 2010) | | | 12.91 | | | | 0.19 | | | | (0.29 | ) | | | (0.10 | ) | | | (0.20 | ) | | | — | | | | (0.20 | ) | | |
| |
|
| 2010 - A | | | 12.30 | | | | 0.38 | | | | 1.35 | | | | 1.73 | | | | (1.29 | ) | | | — | | | | (1.29 | ) | | |
| 2010 - B | | | 12.25 | | | | 0.29 | | | | 1.34 | | | | 1.63 | | | | (1.19 | ) | | | — | | | | (1.19 | ) | | |
| 2010 - C | | | 12.23 | | | | 0.28 | | | | 1.34 | | | | 1.62 | | | | (1.19 | ) | | | — | | | | (1.19 | ) | | |
| 2010 - Institutional | | | 12.28 | | | | 0.42 | | | | 1.35 | | | | 1.77 | | | | (1.33 | ) | | | — | | | | (1.33 | ) | | |
| 2010 - Service | | | 12.27 | | | | 0.36 | | | | 1.34 | | | | 1.70 | | | | (1.27 | ) | | | — | | | | (1.27 | ) | | |
| |
|
| 2009 - A | | | 12.91 | | | | 0.45 | | | | (0.60 | ) | | | (0.15 | ) | | | (0.46 | ) | | | — | | | | (0.46 | ) | | |
| 2009 - B | | | 12.87 | | | | 0.35 | | | | (0.60 | ) | | | (0.25 | ) | | | (0.37 | ) | | | — | | | | (0.37 | ) | | |
| 2009 - C | | | 12.84 | | | | 0.35 | | | | (0.59 | ) | | | (0.24 | ) | | | (0.37 | ) | | | — | | | | (0.37 | ) | | |
| 2009 - Institutional | | | 12.89 | | | | 0.49 | | | | (0.59 | ) | | | (0.10 | ) | | | (0.51 | ) | | | — | | | | (0.51 | ) | | |
| 2009 - Service | | | 12.88 | | | | 0.43 | | | | (0.60 | ) | | | (0.17 | ) | | | (0.44 | ) | | | — | | | | (0.44 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FOR THE PERIOD NOVEMBER 1, 2007 TO MARCH 31, 2008* |
| 2008 - A | | | 12.93 | | | | 0.17 | | | | — | | | | 0.17 | | | | (0.19 | ) | | | — | | | | (0.19 | ) | | |
| 2008 - B | | | 12.88 | | | | 0.13 | | | | 0.01 | | | | 0.14 | | | | (0.15 | ) | | | — | | | | (0.15 | ) | | |
| 2008 - C | | | 12.86 | | | | 0.13 | | | | — | | | | 0.13 | | | | (0.15 | ) | | | — | | | | (0.15 | ) | | |
| 2008 - Institutional | | | 12.91 | | | | 0.19 | | | | — | | | | 0.19 | | | | (0.21 | ) | | | — | | | | (0.21 | ) | | |
| 2008 - Service | | | 12.90 | | | | 0.16 | | | | — | | | | 0.16 | | | | (0.18 | ) | | | — | | | | (0.18 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FOR THE FISCAL YEARS ENDED OCTOBER 31, |
| 2007 - A | | | 12.74 | | | | 0.37 | | | | 0.20 | | | | 0.57 | | | | (0.34 | ) | | | (0.04 | ) | | | (0.38 | ) | | |
| 2007 - B | | | 12.70 | | | | 0.27 | | | | 0.19 | | | | 0.46 | | | | (0.25 | ) | | | (0.03 | ) | | | (0.28 | ) | | |
| 2007 - C | | | 12.67 | | | | 0.27 | | | | 0.20 | | | | 0.47 | | | | (0.25 | ) | | | (0.03 | ) | | | (0.28 | ) | | |
| 2007 - Institutional | | | 12.73 | | | | 0.42 | | | | 0.18 | | | | 0.60 | | | | (0.38 | ) | | | (0.04 | ) | | | (0.42 | ) | | |
| 2007 - Service | | | 12.71 | | | | 0.35 | | | | 0.20 | | | | 0.55 | | | | (0.32 | ) | | | (0.04 | ) | | | (0.36 | ) | | |
| |
|
| 2006 - A | | | 13.25 | | | | 0.34 | | | | (0.09 | ) | | | 0.25 | | | | (0.71 | ) | | | (0.05 | ) | | | (0.76 | ) | | |
| 2006 - B | | | 13.20 | | | | 0.24 | | | | (0.08 | ) | | | 0.16 | | | | (0.62 | ) | | | (0.04 | ) | | | (0.66 | ) | | |
| 2006 - C | | | 13.18 | | | | 0.24 | | | | (0.09 | ) | | | 0.15 | | | | (0.62 | ) | | | (0.04 | ) | | | (0.66 | ) | | |
| 2006 - Institutional | | | 13.23 | | | | 0.38 | | | | (0.07 | ) | | | 0.31 | | | | (0.76 | ) | | | (0.05 | ) | | | (0.81 | ) | | |
| 2006 - Service | | | 13.22 | | | | 0.32 | | | | (0.08 | ) | | | 0.24 | | | | (0.70 | ) | | | (0.05 | ) | | | (0.75 | ) | | |
| |
|
| | |
| * | | The Fund changed its fiscal year end from October 31 to March 31. |
| (a) | | Calculated based on the average shares outstanding methodology. |
| (b) | | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (c) | | Annualized. |
100 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS GLOBAL INCOME FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Ratio of
| | Portfolio
| | Portfolio
| | |
| | | | | Net assets,
| | Ratio of
| | Ratio of
| | net investment
| | turnover rate
| | turnover rate
| | |
Net asset
| | | | end of
| | net expenses
| | total expenses
| | income
| | (including the
| | (excluding the
| | |
value, end
| | Total
| | period
| | to average
| | to average
| | to average
| | effect of mortgage
| | effect of mortgage
| | |
| of period | | return(b) | | (in 000s) | | net assets | | net assets | | net assets | | dollar rolls) | | dollar rolls) | | |
| |
| |
| $ | 12.97 | | | | 3.78 | % | | $ | 208,747 | | | | 1.03 | %(c) | | | 1.16 | %(c) | | | 2.09 | %(c) | | | 164 | % | | | 131 | % | | |
| | 12.92 | | | | 3.40 | | | | 2,657 | | | | 1.78 | (c) | | | 1.91 | (c) | | | 1.36 | (c) | | | 164 | | | | 131 | | | |
| | 12.89 | | | | 3.34 | | | | 7,317 | | | | 1.78 | (c) | | | 1.91 | (c) | | | 1.35 | (c) | | | 164 | | | | 131 | | | |
| | 12.95 | | | | 3.97 | | | | 709,241 | | | | 0.69 | (c) | | | 0.82 | (c) | | | 2.42 | (c) | | | 164 | | | | 131 | | | |
| | 12.93 | | | | 3.72 | | | | 194 | | | | 1.19 | (c) | | | 1.32 | (c) | | | 1.94 | (c) | | | 164 | | | | 131 | | | |
| | 12.95 | | | | 3.92 | | | | 454 | | | | 0.78 | (c) | | | 0.91 | (c) | | | 2.17 | (c) | | | 164 | | | | 131 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | 12.63 | | | | 1.27 | | | | 204,116 | | | | 1.03 | | | | 1.13 | | | | 2.03 | | | | 430 | | | | 427 | | | |
| | 12.58 | | | | 0.50 | | | | 2,979 | | | | 1.78 | | | | 1.88 | | | | 1.29 | | | | 430 | | | | 427 | | | |
| | 12.55 | | | | 0.60 | | | | 7,676 | | | | 1.78 | | | | 1.88 | | | | 1.29 | | | | 430 | | | | 427 | | | |
| | 12.61 | | | | 1.62 | | | | 469,982 | | | | 0.69 | | | | 0.79 | | | | 2.36 | | | | 430 | | | | 427 | | | |
| | 12.59 | | | | 1.12 | | | | 151 | | | | 1.19 | | | | 1.29 | | | | 1.89 | | | | 430 | | | | 427 | | | |
| | 12.61 | | | | (0.78 | ) | | | 23 | | | | 0.78 | (c) | | | 0.88 | (c) | | | 2.28 | (c) | | | 430 | | | | 427 | | | |
| |
|
| | 12.74 | | | | 14.73 | | | | 218,572 | | | | 1.03 | | | | 1.11 | | | | 3.02 | | | | 267 | | | | 267 | | | |
| | 12.69 | | | | 13.92 | | | | 5,143 | | | | 1.78 | | | | 1.86 | | | | 2.30 | | | | 267 | | | | 267 | | | |
| | 12.66 | | | | 13.80 | | | | 7,606 | | | | 1.78 | | | | 1.86 | | | | 2.22 | | | | 267 | | | | 267 | | | |
| | 12.72 | | | | 15.14 | | | | 685,787 | | | | 0.69 | | | | 0.77 | | | | 3.36 | | | | 267 | | | | 267 | | | |
| | 12.70 | | | | 14.50 | | | | 95 | | | | 1.19 | | | | 1.27 | | | | 2.87 | | | | 267 | | | | 267 | | | |
| |
|
| | 12.30 | | | | (1.10 | ) | | | 202,926 | | | | 1.02 | | | | 1.11 | | | | 3.61 | | | | 168 | | | | 168 | | | |
| | 12.25 | | | | (1.93 | ) | | | 6,572 | | | | 1.77 | | | | 1.86 | | | | 2.85 | | | | 168 | | | | 168 | | | |
| | 12.23 | | | | (1.85 | ) | | | 4,863 | | | | 1.77 | | | | 1.86 | | | | 2.85 | | | | 168 | | | | 168 | | | |
| | 12.28 | | | | (0.76 | ) | | | 664,853 | | | | 0.68 | | | | 0.77 | | | | 3.94 | | | | 168 | | | | 168 | | | |
| | 12.27 | | | | (1.26 | ) | | | 214 | | | | 1.18 | | | | 1.27 | | | | 3.44 | | | | 168 | | | | 168 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | 12.91 | | | | 1.33 | | | | 311,900 | | | | 1.01 | (c) | | | 1.07 | (c) | | | 3.17 | (c) | | | 141 | | | | 141 | | | |
| | 12.87 | | | | 1.10 | | | | 10,479 | | | | 1.76 | (c) | | | 1.82 | (c) | | | 2.42 | (c) | | | 141 | | | | 141 | | | |
| | 12.84 | | | | 1.02 | | | | 6,110 | | | | 1.76 | (c) | | | 1.82 | (c) | | | 2.44 | (c) | | | 141 | | | | 141 | | | |
| | 12.89 | | | | 1.48 | | | | 1,077,177 | | | | 0.67 | (c) | | | 0.73 | (c) | | | 3.54 | (c) | | | 141 | | | | 141 | | | |
| | 12.88 | | | | 1.27 | | | | 380 | | | | 1.17 | (c) | | | 1.23 | (c) | | | 3.03 | (c) | | | 141 | | | | 141 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | 12.93 | | | | 4.46 | | | | 324,537 | | | | 1.04 | | | | 1.10 | | | | 2.92 | | | | 116 | | | | 116 | | | |
| | 12.88 | | | | 3.59 | | | | 11,127 | | | | 1.79 | | | | 1.85 | | | | 2.13 | | | | 116 | | | | 116 | | | |
| | 12.86 | | | | 3.69 | | | | 5,282 | | | | 1.79 | | | | 1.85 | | | | 2.13 | | | | 116 | | | | 116 | | | |
| | 12.91 | | | | 4.76 | | | | 1,089,450 | | | | 0.68 | | | | 0.74 | | | | 3.30 | | | | 116 | | | | 116 | | | |
| | 12.90 | | | | 4.31 | | | | 376 | | | | 1.18 | | | | 1.24 | | | | 2.75 | | | | 116 | | | | 116 | | | |
| |
|
| | 12.74 | | | | 2.07 | | | | 252,962 | | | | 1.05 | | | | 1.17 | | | | 2.63 | | | | 97 | | | | 97 | | | |
| | 12.70 | | | | 1.36 | | | | 17,716 | | | | 1.80 | | | | 1.93 | | | | 1.89 | | | | 97 | | | | 97 | | | |
| | 12.67 | | | | 1.28 | | | | 6,908 | | | | 1.80 | | | | 1.93 | | | | 1.89 | | | | 97 | | | | 97 | | | |
| | 12.73 | | | | 2.53 | | | | 590,541 | | | | 0.68 | | | | 0.80 | | | | 3.00 | | | | 97 | | | | 97 | | | |
| | 12.71 | | | | 1.93 | | | | 435 | | | | 1.18 | | | | 1.31 | | | | 2.51 | | | | 97 | | | | 97 | | | |
| |
|
The accompanying notes are an integral part of these financial statements. 101
GOLDMAN SACHS STRATEGIC INCOME FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Income (loss) from
| | Distributions
| | |
| | | Net asset
| | investment operations | | to shareholders | | |
| | | value,
| | Net
| | Net realized
| | Total from
| | From net
| | From net
| | | | | | |
| | | beginning
| | investment
| | and unrealized
| | investment
| | investment
| | realized
| | From
| | Total
| | |
| Year - Share Class | | of period | | income | | gain (loss) | | operations | | income | | gains | | capital | | distributions | | |
| |
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED) |
| 2011 - A | | $ | 10.03 | | | $ | 0.16 | (c) | | $ | (0.47 | ) | | $ | (0.31 | ) | | $ | (0.18 | ) | | $ | — | | | $ | — | | | $ | (0.18 | ) | | |
| 2011 - C | | | 10.04 | | | | 0.12 | (c) | | | (0.47 | ) | | | (0.35 | ) | | | (0.14 | ) | | | — | | | | — | | | | (0.14 | ) | | |
| 2011 - Institutional | | | 10.03 | | | | 0.18 | (c) | | | (0.48 | ) | | | (0.30 | ) | | | (0.19 | ) | | | — | | | | — | | | | (0.19 | ) | | |
| 2011 - IR | | | 10.03 | | | | 0.17 | (c) | | | (0.47 | ) | | | (0.30 | ) | | | (0.19 | ) | | | — | | | | — | | | | (0.19 | ) | | |
| 2011 - R | | | 10.03 | | | | 0.15 | (c) | | | (0.48 | ) | | | (0.33 | ) | | | (0.16 | ) | | | — | | | | — | | | | (0.16 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FOR THE PERIOD ENDED MARCH 31, |
| 2011 - A (Commenced June 30, 2010) | | | 10.00 | | | | 0.17 | | | | 0.06 | | | | 0.23 | | | | (0.16 | ) | | | (0.02 | ) | | | (0.02 | ) | | | (0.20 | ) | | |
| 2011 - C (Commenced June 30, 2010) | | | 10.00 | | | | 0.12 | | | | 0.06 | | | | 0.18 | | | | (0.10 | ) | | | (0.02 | ) | | | (0.02 | ) | | | (0.14 | ) | | |
| 2011 - Institutional (Commenced June 30, 2010) | | | 10.00 | | | | 0.20 | | | | 0.05 | | | | 0.25 | | | | (0.18 | ) | | | (0.02 | ) | | | (0.02 | ) | | | (0.22 | ) | | |
| 2011 - IR (Commenced June 30, 2010) | | | 10.00 | | | | 0.19 | | | | 0.05 | | | | 0.24 | | | | (0.17 | ) | | | (0.02 | ) | | | (0.02 | ) | | | (0.21 | ) | | |
| 2011 - R (Commenced June 30, 2010) | | | 10.00 | | | | 0.16 | | | | 0.05 | | | | 0.21 | | | | (0.14 | ) | | | (0.02 | ) | | | (0.02 | ) | | | (0.18 | ) | | |
| |
|
| | |
| (a) | | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| (b) | | Annualized. |
| (c) | | Calculated based on the average shares outstanding methodology. |
102 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS STRATEGIC INCOME FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Ratio of
| | Portfolio
| | Portfolio
| | |
| | | | | Net assets,
| | Ratio of
| | Ratio of
| | net investment
| | turnover rate
| | turnover rate
| | |
Net asset
| | | | end of
| | net expenses
| | total expenses
| | income
| | (including the
| | (excluding the
| | |
value, end
| | Total
| | period
| | to average
| | to average
| | to average
| | effect of mortgage
| | effect of mortgage
| | |
| of period | | return(a) | | (in 000s) | | net assets(b) | | net assets(b) | | net assets(b) | | dollar rolls) | | dollar rolls) | | |
| |
| |
| $ | 9.54 | | | | (3.17 | )% | | $ | 956,474 | | | | 0.97 | % | | | 0.97 | % | | | 3.21 | % | | | 326 | % | | | 257 | % | | |
| | 9.55 | | | | (3.54 | ) | | | 142,977 | | | | 1.72 | | | | 1.72 | | | | 2.49 | | | | 326 | | | | 257 | | | |
| | 9.54 | | | | (3.01 | ) | | | 1,074,181 | | | | 0.63 | | | | 0.63 | | | | 3.57 | | | | 326 | | | | 257 | | | |
| | 9.54 | | | | (3.05 | ) | | | 69,451 | | | | 0.72 | | | | 0.72 | | | | 3.55 | | | | 326 | | | | 257 | | | |
| | 9.54 | | | | (3.29 | ) | | | 28 | | | | 1.22 | | | | 1.22 | | | | 2.95 | | | | 326 | | | | 257 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | 10.03 | | | | 2.37 | | | | 820,664 | | | | 1.02 | | | | 1.08 | | | | 2.63 | | | | 342 | | | | 281 | | | |
| | 10.04 | | | | 1.81 | | | | 82,982 | | | | 1.77 | | | | 1.83 | | | | 1.81 | | | | 342 | | | | 281 | | | |
| | 10.03 | | | | 2.51 | | | | 804,517 | | | | 0.68 | | | | 0.74 | | | | 2.96 | | | | 342 | | | | 281 | | | |
| | 10.03 | | | | 2.44 | | | | 25,158 | | | | 0.77 | | | | 0.83 | | | | 2.82 | | | | 342 | | | | 281 | | | |
| | 10.03 | | | | 2.09 | | | | 25 | | | | 1.27 | | | | 1.33 | | | | 2.07 | | | | 342 | | | | 281 | | | |
| |
|
The accompanying notes are an integral part of these financial statements. 103
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Notes to Financial Statements
September 30, 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:
| | | | | |
| | | | | Diversified/
|
| Fund | | Share Classes Offered* | | Non-diversified |
| |
| Core Fixed Income and Core Plus Fixed Income | | A, B, C, Institutional, Service, IR and R | | Diversified |
| |
| |
| Global Income | | A, B, C, Institutional, Service and IR | | Non-diversified |
| |
| |
| Strategic Income | | A, C, Institutional, IR and R | | Diversified |
| |
| |
| | |
| * | | Class B Shares are generally no longer available for purchase by current or prospective investors. |
Class A Shares are sold with a front-end sales charge of up to 3.75%. Class B Shares were sold with a contingent deferred sales charge (“CDSC”) that declines from 5.00% to zero, depending upon the period of time the shares are held. Class C Shares are sold with a CDSC of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Service, Class IR and Class R Shares are not subject to a sales charge.
Goldman Sachs Asset Management, L.P., (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to each of the Core Fixed Income, Core Plus Fixed Income and Strategic Income Funds pursuant to a management agreement with the Trust. Goldman Sachs Asset Management International (“GSAMI”), an affiliate of GSAM and Goldman Sachs, serves as investment adviser pursuant to a management agreement with the Trust on behalf of the Global Income Fund (the management agreements with GSAM and GSAMI are collectively referred to herein as the “Agreements”).
| |
| 2. SIGNIFICANT ACCOUNTING POLICIES | |
The following is a summary of the significant accounting policies consistently followed by the Funds. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that may affect the amounts and disclosures in the financial statements. Actual results could differ from those estimates and assumptions.
A. Investment Valuation — The investment valuation policy of the Funds is to value investments at market value. Debt securities for which market quotations are readily available are valued on the basis of quotations furnished by an independent pricing service approved by the trustees or provided by securities dealers. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. If accurate quotations are not readily available, or if GSAM or GSAMI believes that such quotations do not accurately reflect fair value, the fair value of the Funds’ investments may be determined under valuation procedures approved by the trustees. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at amortized cost, which approximates market value.
Investments in equity securities and investment companies traded on a United States (“U.S.”) securities exchange or the NASDAQ system are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, such securities and investment companies are valued at the last bid price for long positions and at the last ask price for short positions. Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price. In the absence of market quotations, broker quotes will be utilized or the security will be fair valued. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share (“NAV”) of the investment company on the valuation date.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
| |
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) | |
GSAM and GSAMI, consistent with their procedures and applicable regulatory guidance, may make an adjustment to the previous closing prices of either domestic or foreign securities in light of significant events to reflect what they believe to be the fair value of the securities at the time of determining the Funds’ NAV. Significant events that could affect a large number of securities in a particular market may include, but are not limited to: situations relating to one or more single issuers in a market sector; significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions or market closings; equipment failures; natural or man-made disasters or acts of God; armed conflicts; government actions or other developments; as well as the same or similar events which may affect specific issuers or the securities markets even though not tied directly to the securities markets. Other significant events that could relate to a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; corporate announcements, including those relating to earnings, products and regulatory news; significant litigation; and trading halts or suspensions.
B. Investment Transactions and Investment Income — For financial reporting purposes, investment transactions are reflected on trade date. For daily NAV calculation purposes, investment transactions are accounted for on the following business day. Realized gains and losses on sales of portfolio securities are calculated using the identified cost basis. Dividend income is recognized on the ex-dividend date, net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Funds, where applicable. Certain dividends from foreign securities will be recorded when the Funds are informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted. Realized gains and losses resulting from principal paydowns on mortgage-backed and asset-backed securities are included in interest income. Market discounts, original issue discount and market premiums on debt securities are accreted/amortized to interest income over the life of the security with a corresponding adjustment in the cost basis of that security. In addition, it is the Funds’ policy to accrue for foreign capital gains taxes, if applicable, on certain foreign securities held by the Funds. An estimated foreign capital gains tax is recorded daily on net unrealized gains on these securities and is payable upon the sale of such securities when a gain is realized.
Investment income and unrealized and realized gains or losses are allocated daily to each class of shares of the respective Fund based upon the relative proportion of net assets of each class.
C. Expenses — Expenses incurred by the Funds, which may not specifically relate to the Funds, may be shared with other registered investment companies having management agreements with GSAM or its affiliates, as appropriate. These expenses are allocated to the Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses 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 net assets 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. Offering Costs — Offering costs paid in connection with the offering of shares of the Strategic Income Fund have been amortized on a straight-line basis over 12 months from the date of commencement of operations.
E. Redemption Fees — Prior to October 1, 2010, a 2% redemption fee was imposed on the redemption of shares (including by exchange) of the Core Plus Fixed Income and Global Income Funds held for 30 calendar days or less. For this purpose, the Funds used a first-in first-out method so that shares held longest were treated as being redeemed first and shares held shortest were treated as being redeemed last. Redemption fees were reimbursed to a Fund and were reflected as a reduction in share redemptions. Redemption fees were credited to Paid-in Capital and were allocated to each share class of a Fund on a pro-rata basis. Effective October 1, 2010, the redemption fee for each of the Core Plus Fixed Income Fund and the Global Income Fund was eliminated.
F. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2011 (Unaudited)
| |
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) | |
recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid according to the following schedule:
| | | | | |
| | | Income Distributions
| | Capital Gains Distributions
|
| Fund | | Declared/Paid | | Declared/Paid |
| |
| Core Fixed Income, Core Plus Fixed Income and Strategic Income | | Daily/Monthly | | Annually |
| |
| |
| Global Income | | Monthly | | Annually |
| |
| |
Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. 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.
G. Foreign Currency Translations — The books and records of the Funds are maintained in U.S. dollars. Amounts denominated in foreign currencies are translated into U.S. dollars on the following basis: (i) investment valuations, foreign currency and other assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars based upon 4:00 p.m. Eastern Time exchange rates; and (ii) purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions as of 4:00 p.m. Eastern Time.
Net realized and unrealized gain (loss) on foreign currency transactions represents: (i) foreign exchange gains and losses from the sale and holdings of foreign currencies; (ii) currency gains and losses between trade date and settlement date on investment security transactions and forward foreign currency exchange contracts; and (iii) gains and losses from the difference between amounts of dividends, interest and foreign withholding taxes recorded and the amounts actually received. The effect of changes in foreign currency exchange rates on securities and derivative instruments is included with the net realized and change in unrealized gain (loss) on investments on the Statements of Operations, however, the effect of changes in foreign currency exchange rates on fixed income securities sold during the period is included with the net realized gain (loss) on foreign currency related transactions. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included as an increase or decrease to net change in unrealized gain (loss) on translation of assets and liabilities denominated in foreign currencies.
H. Forward Foreign Currency Exchange Contracts — All forward foreign currency exchange contracts are marked to market daily at the applicable forward rate. Unrealized gains or losses on forward foreign currency exchange contracts are recorded by the Funds on a daily basis and realized gains or losses are recorded on the settlement date of a contract.
Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
The contractual amounts of forward foreign currency exchange contracts do not necessarily represent the amounts potentially subject to risk, and the overall risk at the portfolio level may be mitigated by any applicable related and offsetting transactions. The Funds must set aside liquid assets, or engage in other appropriate measures to cover their obligations under these contracts.
I. Futures Contracts — Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the Funds deposit cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Funds equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset in unrealized gains or losses. The Funds recognize a realized gain or loss when a contract is closed or expires.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
| |
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) | |
The use of futures contracts involves, to varying degrees, elements of market and counterparty risk which may exceed the amounts recognized in the Statements of Assets and Liabilities. Futures contracts may be illiquid, and exchanges may limit fluctuations in futures contract prices during a single day. Changes in the value of a futures contract may not directly correlate with changes in the value of the underlying securities. These risks may decrease the effectiveness of the Funds’ strategies and potentially result in a loss. The Funds must set aside liquid assets, or engage in other appropriate measures to cover their obligations under these contracts.
J. Mortgage-Backed and Asset-Backed Securities — The Funds may invest in mortgage-backed and/or asset-backed securities. Mortgage-backed securities represent direct or indirect participations in, or are collateralized by and payable from, mortgage loans secured by residential and/or commercial real property. These securities may include mortgage pass-through securities, collateralized mortgage obligations, real estate mortgage investment conduit pass-through or participation certificates and stripped mortgage-backed securities. Asset-backed securities include securities whose principal and interest payments are collateralized by pools of assets such as auto loans, credit card receivables, leases, installment contracts and personal property. Asset-backed securities also include home equity line of credit loans and other second-lien mortgages.
The value of certain mortgage-backed and asset-backed securities (including adjustable rate mortgage loans) may be particularly sensitive to changes in prevailing interest rates. The value of these securities may also fluctuate in response to the market’s perception of the creditworthiness of the issuers. Early repayment of principal on mortgage-backed or asset-backed securities may expose a Fund to the risk of earning a lower rate of return upon reinvestment of principal. Asset-backed securities may present credit risks that are not presented by mortgage-backed securities because they generally do not have the benefit of a security interest in collateral that is comparable to mortgage assets. Some asset-backed securities may only have a subordinated claim on collateral. In addition, while mortgage-backed and asset-backed securities may be supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers, if any, will meet their obligations.
Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all of the interest payments (the interest-only, or “IO” and/or the high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all of the principal payments (the principal-only, or “PO”) from a pool of mortgage loans. Little to no principal will be received at the maturity of an IO; as a result, periodic adjustments are recorded to reduce the cost of the security through maturity. These adjustments are included in interest income. Payments received for PO’s are treated as a proportionate reduction to the cost basis of the securities and excess amounts are recorded as gains.
K. Mortgage Dollar Rolls — The Funds may enter into mortgage dollar rolls (“dollar rolls”) in which the Funds sell securities in the current month for delivery and simultaneously contracts with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. The Funds treat dollar rolls as two separate transactions: one involving the purchase of a security and a separate transaction involving a sale.
During the settlement period between sale and repurchase, the Funds will not be entitled to accrue interest and principal payments on the securities sold. Dollar roll transactions involve the risk that the market value of the securities sold by the Funds may decline below the repurchase price of those securities. In the event the buyer of the securities in a dollar roll transaction files for bankruptcy or becomes insolvent, the Funds’ use of proceeds from the transaction may be restricted pending a determination by, or with respect to, the other counterparty.
L. Options — When the Funds write call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current market value of the option written. Swaptions are options on interest rate swap contracts. Options on a futures contract may be written with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. When a written option expires on its stipulated expiration date or the Funds enter into a closing purchase transaction, the Funds realize a gain or loss without regard to any unrealized gain or loss on the underlying future, swap, security or currency transaction, and the liability related to such option is extinguished. When a written call option is exercised, the Funds realize a gain or loss from the sale of the underlying future, swap, security or currency transaction, and the proceeds of the sale are increased by the premium originally received. When a written put
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2011 (Unaudited)
| |
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) | |
option is exercised, the amount of the premium originally received will reduce the cost of the future, swap, security or currency transaction that the Funds purchase upon exercise. There is a risk of loss from a change in value of such options which may exceed the related premiums received. The Funds must set aside liquid assets, or engage in other appropriate measures to cover their obligations under written option contracts.
Upon the purchase of a call option or a put option by the Funds, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current market value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied voluntary parameters at specified terms. If an option which the Funds have purchased expires on the stipulated expiration date, the Funds will realize a loss in the amount of the cost of the option. If the Funds enter into a closing sale transaction, the Funds will realize a gain or loss, depending on whether the sale proceeds for the closing sale transaction are greater or less than the cost of the option. If the Funds exercise a purchased put option, the Funds will realize a gain or loss from the sale of the underlying future, swap, security or currency transaction, and the proceeds from such sale will be decreased by the premium originally paid. If the Funds exercise a purchased call option, the cost of the future, swap, security or currency transaction which the Funds purchase upon exercise will be increased by the premium originally paid. Purchased over the counter options are subject to the risk that the counterparty may default on its obligations, which could result in a loss to the Funds.
M. Repurchase Agreements — The 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.
Pursuant to exemptive relief granted by the Securities and Exchange Commission and terms and conditions contained therein, the Funds, together with other registered investment companies having management agreements with GSAM, or its affiliates, may transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements. Under these joint accounts, the Funds maintain pro rata credit exposure to the underlying repurchase agreements’ counterparties. With the exception of certain transaction fees, the Funds are not subject to any expenses in relation to these investments.
N. Senior Term Loans — The Strategic Income Fund may invest in Senior Term Loans, which are not registered securities under the Securities Act of 1933, as amended (the “1933 Act”), contain certain restrictions on resale and cannot be sold publicly. Senior Term Loans are portions of loans originated by banks and sold in pieces to investors, typically on an extended delivery basis. These floating rate loans (“Loans”) in which the Fund invests are arranged through private negotiations between the borrower and one or more financial institutions (“Lenders”). The Fund invests in such Loans in the form of participations in Loans (“Participations”) or assignments of all or a portion of loans from third parties (“Assignments”). Participations typically result in the Fund having a contractual relationship only with the Lender, not with the borrower. The Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participations and only upon receipt by the Lender of the payments from the borrower. In connection with purchasing Participations, the Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement relating to the Loan, nor any rights of set-off against the borrower, and the Fund will not benefit directly from any collateral supporting the Loan in which it has purchased the Participation. As a result, the Fund assumes the credit risk of both the borrower and the Lender that is selling the Participation. Assignments typically result in the Fund having a direct contractual relationship with the borrower, and the Fund may enforce compliance by the borrower with the terms of the loan agreement. All Senior Term Loans involve interest rate risk, liquidity risk and credit risk, including the potential default or insolvency of the borrower. Senior Term Loans are marked to market daily using pricing vendor quotations and the change in value, if any, is recorded as an unrealized gain or loss.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
| |
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) | |
O. Structured Notes — The Funds may invest in structured notes, the values of which are based on the price movements of a reference security or index. Fluctuations in value are recorded as unrealized gain or loss. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted. On the termination date, the Funds will receive a payment from the issuer based on the value of the referenced security (notional amount multiplied by price of the referenced security) and record a realized gain or loss. Structured notes are subject to various risks including credit, issuer, liquidity and interest rate risks.
P. Swap Contracts — Swaps are marked to market daily using either pricing vendor quotations, counterparty prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upfront payments made and/or received by the Funds, are recorded as an asset and/or liability, and realized gains or losses are recognized ratably over the contract’s term/event, with the exception of forward starting interest rate swaps, whose realized gains or losses are recognized ratably from the effective start date. Periodic payments received or made on swap contracts are recorded as realized gains or losses. Gains or losses are realized upon termination of a swap contract and are recorded on the Statements of Operations.
Risks may arise as a result of the failure of the counterparty to the swap contract to comply with the terms of the swap contract. The loss incurred by the failure of a counterparty is generally limited to the net payment to be received by the Funds and/or the termination value at the end of the contract. Therefore, GSAM considers the creditworthiness of each counterparty to a contract in evaluating potential credit risk. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying reference asset or index. Entering into these agreements involves, to varying degrees, market risk, liquidity risk and elements of credit, legal and documentation risk in excess of amounts recognized in the Statements of Assets and Liabilities. The Funds may pay or receive cash as collateral on these contracts which is recorded as an asset and/or liability. The Funds must set aside liquid assets, or engage in other appropriate measures to cover their obligations under these contracts.
The Funds may invest in the following types of swaps:
An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in specified prices, rates or indices for a specified amount of an underlying asset or notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
A credit default swap is an agreement that involves one party making a stream of payments to another party in exchange for the right to receive protection on a reference security or obligation. A Fund may use credit default swaps to provide a measure of protection against defaults of the reference security or obligation or to take a short position with respect to the likelihood of default. A Fund’s investment in credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. If a Fund buys protection through a credit default swap and no credit event occurs, its payments are limited to the periodic payments previously made to the counterparty. Upon the occurrence of a specified credit event, a Fund, as a buyer of credit protection, is entitled to receive an amount equal to the notional amount of the swap and deliver to the seller the defaulted reference obligation in a physically settled trade. A Fund may also receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade.
As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if the Fund sells protection through a credit default swap, the Fund could suffer a loss because the value of the referenced obligation may be less than the premium payments received. Upon the occurrence of a specified credit event, a Fund, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional amount of the swap in a physically settled trade. A Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade. Recovery values are at times established through the credit event auction process in which market participants are ensured that a transparent price has been set for the defaulted security or obligation. In addition, a Fund is entitled to a return of any assets, which have been pledged as collateral to the counterparty.
The maximum potential amount of future payments (undiscounted) that the Funds as sellers of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. These potential amounts
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2011 (Unaudited)
| |
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) | |
would be partially offset by any recovery values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where the Funds bought credit protection.
A total return swap is an agreement that gives a Fund the right to receive the appreciation in the value of a specified security, index or other instrument in return for a fee paid to the counterparty, which will typically be an agreed upon interest rate. If the underlying asset declines in value over the term of the swap, the Fund may also be required to pay the dollar value of that decline to the counterparty.
Q. Treasury Inflation Protected Securities — The Funds may invest in treasury inflation protected securities (“TIPS”), including structured bonds in which the principal amount is adjusted daily to keep pace with inflation, as measured by the U.S. Consumer Pricing Index for Urban Consumers. The adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost. Such adjustments may have a significant impact on the Funds’ distributions and may result in a return of capital to shareholders. The repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.
R. When-Issued Securities and Forward Commitments — The Funds may purchase when-issued securities, including TBA (“To Be Announced”) securities that have been authorized, but not yet issued in the market. When-issued securities are purchased in order to secure what is considered to be an advantageous price or yield to the Fund at the time of entering into the transaction. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended delivery basis, for a fixed price at a future date. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Although the Funds will generally purchase securities on a when-issued or forward commitment basis with the intention of acquiring the securities for their portfolios, the Funds may dispose of when-issued securities or forward commitments prior to settlement which may result in a realized gain or loss. When purchasing a security on a when-issued basis or entering into a forward commitment, the Funds must “set aside” liquid assets, or engage in other appropriate measures to “cover” their obligations under these contracts.
| |
| 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 investments, 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 and GSAMI’s assumptions in determining fair value measurement).
The levels used for classifying investments are not necessarily an indication of the risk associated with investing in those investments.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
| |
| 3. FAIR VALUE OF INVESTMENTS (continued) | |
The following is a summary of the Funds’ investments and derivatives categorized in the fair value hierarchy as of September 30, 2011:
| | | | | | | | | | | | | |
CORE FIXED INCOME
| | | | | | |
| Investment Type | | Level 1 | | Level 2 | | Level 3 |
| |
Assets | | | | | | | | | | | | |
| Fixed Income | | | | | | | | | | | | |
| Corporate Obligations | | $ | — | | | $ | 508,246,517 | | | $ | — | |
| Mortgage-Backed Obligations | | | — | | | | 666,675,820 | | | | — | |
U.S. Treasury Obligations and/or Other U.S. Government Agencies | | | 214,128,520 | | | | 15,031,797 | | | | — | |
| Asset-Backed Securities | | | — | | | | 69,401,282 | | | | — | |
| Foreign Debt Obligations | | | — | | | | 37,261,352 | | | | — | |
| Municipal Debt Obligations | | | — | | | | 14,478,165 | | | | — | |
| Government Guarantee Obligations | | | — | | | | 218,018,370 | | | | — | |
Common Stock and/or Other Equity Investments | | | — | | | | 1,236,012 | | | | — | |
| Short-term Investments | | | — | | | | 306,300,000 | | | | — | |
| |
| |
Total | | $ | 214,128,520 | | | $ | 1,836,649,315 | | | $ | — | |
| |
| |
Liabilities | | | | | | | | | | | | |
| Fixed Income | | | | | | | | | | | | |
| Mortgage-Backed Obligations — Forward Sales Contracts | | $ | — | | | $ | (34,595,936 | ) | | $ | — | |
| |
| |
| | | | | | | | | | | | | |
| Derivative Type | | Level 1 | | Level 2 | | Level 3 |
| |
Assets | | | | | | | | | | | | |
| Forward Foreign Currency Exchange Contracts* | | $ | — | | | $ | 4,469,455 | | | $ | — | |
| Futures Contracts* | | | 1,515,736 | | | | — | | | | — | |
| Credit Default Swap Contracts | | | — | | | | 233,563 | | | | — | |
| |
| |
Total | | $ | 1,515,736 | | | $ | 4,703,018 | | | $ | — | |
| |
| |
Liabilities | | | | | | | | | | | | |
| Forward Foreign Currency Exchange Contracts* | | $ | — | | | $ | (2,221,287 | ) | | $ | — | |
| Futures Contracts* | | | (84,718 | ) | | | — | | | | — | |
| Interest Rate Swap Contracts | | | — | | | | (10,184,377 | ) | | | — | |
| Credit Default Swap Contracts | | | — | | | | (3,154,362 | ) | | | — | |
| Written Options Contracts | | | — | | | | (970,133 | ) | | | — | |
| |
| |
Total | | $ | (84,718 | ) | | $ | (16,530,159 | ) | | $ | — | |
| |
| |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2011 (Unaudited)
| |
| 3. FAIR VALUE OF INVESTMENTS (continued) | |
| | | | | | | | | | | | | |
| CORE PLUS FIXED INCOME |
| Investment Type | | Level 1 | | Level 2 | | Level 3 |
| |
Assets | | | | | | | | | | | | |
| Fixed Income | | | | | | | | | | | | |
| Corporate Obligations | | $ | — | | | $ | 96,605,600 | | | $ | — | |
| Mortgage-Backed Obligations | | | — | | | | 151,562,731 | | | | — | |
U.S. Treasury Obligations and/or Other U.S. Government Agencies | | | 25,259,383 | | | | 3,634,974 | | | | — | |
| Asset-Backed Securities | | | — | | | | 52,115,181 | | | | — | |
| Foreign Debt Obligations | | | — | | | | 9,246,362 | | | | — | |
| Structured Notes | | | — | | | | 1,861,414 | | | | — | |
| Municipal Debt Obligations | | | — | | | | 2,821,157 | | | | — | |
| Government Guarantee Obligations | | | — | | | | 2,714,415 | | | | — | |
Common Stock and/or Other Equity Investments | | | — | | | | 360,504 | | | | — | |
| Short-term Investments | | | — | | | | 71,200,000 | | | | — | |
| |
| |
Total | | $ | 25,259,383 | | | $ | 392,122,338 | | | $ | — | |
| |
| |
Liabilities | | | | | | | | | | | | |
| Fixed Income | | | | | | | | | | | | |
| Mortgage-Backed Obligations — Forward Sales Contracts | | $ | — | | | $ | (6,446,484 | ) | | $ | — | |
| |
| |
| | | | | | | | | | | | | |
| Derivative Type | | Level 1 | | Level 2 | | Level 3 |
| |
Assets | | | | | | | | | | | | |
| Forward Foreign Currency Exchange Contracts* | | $ | — | | | $ | 1,634,114 | | | $ | — | |
| Futures Contracts* | | | 1,422,796 | | | | — | | | | — | |
| Interest Rate Swap Contracts | | | — | | | | 6,406,348 | | | | — | |
| Credit Default Swap Contracts | | | — | | | | 44,911 | | | | — | |
| |
| |
Total | | $ | 1,422,796 | | | $ | 8,085,373 | | | $ | — | |
| |
| |
Liabilities | | | | | | | | | | | | |
| Forward Foreign Currency Exchange Contracts* | | $ | — | | | $ | (463,180 | ) | | $ | — | |
| Futures Contracts* | | | (144,825 | ) | | | — | | | | — | |
| Interest Rate Swap Contracts | | | — | | | | (6,974,563 | ) | | | — | |
| Credit Default Swap Contracts | | | — | | | | (1,781,976 | ) | | | — | |
| Written Options Contracts | | | — | | | | (1,070,585 | ) | | | — | |
| |
| |
Total | | $ | (144,825 | ) | | $ | (10,290,304 | ) | | $ | — | |
| |
| |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
| |
| 3. FAIR VALUE OF INVESTMENTS (continued) | |
| | | | | | | | | | | | | |
| GLOBAL INCOME |
| Investment Type | | Level 1 | | Level 2 | | Level 3 |
| |
Assets | | | | | | | | | | | | |
| Fixed Income | | | | | | | | | | | | |
| Foreign Sovereign Debt Obligations | | $ | 239,943,796 | | | $ | 82,523,583 | | | $ | — | |
| Corporate Obligations | | | — | | | | 227,556,519 | | | | — | |
| Foreign Debt Obligations | | | — | | | | 34,831,230 | | | | — | |
| Asset-Backed Securities | | | — | | | | 29,592,684 | | | | — | |
| Mortgage-Backed Obligations | | | — | | | | 157,853,690 | | | | — | |
| Government Guarantee Obligations | | | — | | | | 88,578,983 | | | | — | |
U.S. Treasury Obligations and/or Other U.S. Government Agencies | | | 30,096,090 | | | | — | | | | — | |
| Short-term Obligations | | | — | | | | 58,632,174 | | | | — | |
| |
| |
Total | | $ | 270,039,886 | | | $ | 679,568,863 | | | $ | — | |
| |
| |
Liabilities | | | | | | | | | | | | |
| Fixed Income | | | | | | | | | | | | |
| Mortgage-Backed Obligations — Forward Sales Contracts | | $ | — | | | $ | (4,108,125 | ) | | $ | — | |
| |
| |
| | | | | | | | | | | | | |
| Derivative Type | | Level 1 | | Level 2 | | Level 3 |
| |
Assets | | | | | | | | | | | | |
| Forward Foreign Currency Exchange Contracts* | | $ | — | | | $ | 33,849,188 | | | $ | — | |
| Futures Contracts* | | | 324,047 | | | | — | | | | — | |
| Interest Rate Swap Contracts | | | — | | | | 10,139,098 | | | | — | |
| Credit Default Swap Contracts | | | — | | | | 96,920 | | | | — | |
| |
| |
Total | | $ | 324,047 | | | $ | 44,085,206 | | | $ | — | |
| |
| |
Liabilities | | | | | | | | | | | | |
| Forward Foreign Currency Exchange Contracts* | | $ | — | | | $ | (6,831,389 | ) | | $ | — | |
| Futures Contracts* | | | (415,944 | ) | | | — | | | | — | |
| Interest Rate Swap Contracts | | | — | | | | (12,198,047 | ) | | | — | |
| Credit Default Swap Contracts | | | — | | | | (675,632 | ) | | | — | |
| Written Options Contracts | | | — | | | | (1,167,714 | ) | | | — | |
| |
| |
Total | | $ | (415,944 | ) | | $ | (20,872,782 | ) | | $ | — | |
| |
| |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2011 (Unaudited)
| |
| 3. FAIR VALUE OF INVESTMENTS (continued) | |
| | | | | | | | | | | | | |
| STRATEGIC INCOME |
| Investment Type | | Level 1 | | Level 2 | | Level 3 |
| |
Assets | | | | | | | | | | | | |
| Fixed Income | | | | | | | | | | | | |
| Corporate Obligations | | $ | — | | | $ | 667,424,663 | | | $ | — | |
| Mortgage-Backed Obligations | | | — | | | | 984,337,110 | | | | — | |
| Asset-Backed Securities | | | — | | | | 198,431,545 | | | | — | |
| Foreign Debt Obligations | | | — | | | | 157,681,905 | | | | — | |
| Structured Notes | | | — | | | | 23,483,328 | | | | — | |
| Municipal Debt Obligations | | | — | | | | 12,372,740 | | | | — | |
| Government Guarantee Obligations | | | — | | | | 4,842,328 | | | | — | |
U.S. Treasury Obligations and/or Other U.S. Government Agencies | | | 7,854,794 | | | | — | | | | — | |
| Senior Term Loans | | | — | | | | 81,009,738 | | | | — | |
Common Stock and/or Other Equity Investments | | | — | | | | — | | | | — | |
| Short-term Investments | | | — | | | | 476,100,000 | | | | — | |
| |
| |
Total | | $ | 7,854,794 | | | $ | 2,605,683,357 | | | $ | — | |
| |
| |
Liabilities | | | | | | | | | | | | |
| Fixed Income | | | | | | | | | | | | |
| Mortgage-Backed Obligations — Forward Sales Contracts | | $ | — | | | $ | (36,973,123 | ) | | $ | — | |
| |
| |
| | | | | | | | | | | | | |
| Derivative Type | | Level 1 | | Level 2 | | Level 3 |
| |
Assets | | | | | | | | | | | | |
| Forward Foreign Currency Exchange Contracts* | | $ | — | | | $ | 28,480,384 | | | $ | — | |
| Futures Contracts* | | | 1,537,928 | | | | — | | | | — | |
| Interest Rate Swap Contracts | | | — | | | | 115,222,956 | | | | — | |
| Total Return Swap Contracts | | | — | | | | 3,995,691 | | | | — | |
| Credit Default Swap Contracts | | | — | | | | 4,962,552 | | | | — | |
| |
| |
Total | | $ | 1,537,928 | | | $ | 152,661,583 | | | $ | — | |
| |
| |
Liabilities | | | | | | | | | | | | |
| Forward Foreign Currency Exchange Contracts* | | $ | — | | | $ | (10,205,639 | ) | | $ | — | |
| Futures Contracts* | | | (2,522,014 | ) | | | — | | | | — | |
| Interest Rate Swap Contracts | | | — | | | | (131,297,266 | ) | | | — | |
| Credit Default Swap Contracts | | | — | | | | (13,145,508 | ) | | | — | |
| Written Options Contracts | | | — | | | | (15,506,465 | ) | | | — | |
| |
| |
Total | | $ | (2,522,014 | ) | | $ | (170,154,878 | ) | | $ | — | |
| |
| |
| | |
| * | | Amount shown represents unrealized gain (loss) at period end. |
| |
| 4. INVESTMENTS IN DERIVATIVES | |
The Funds may make investments in derivative instruments, including, but not limited to options, futures, swaps, swaptions and other derivatives relating to foreign currency transactions. A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. Derivative instruments may be privately negotiated contracts
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
| |
| 4. INVESTMENTS IN DERIVATIVES (continued) | |
(often referred to as over the counter (“OTC”) derivatives) or they may be listed and traded on an exchange. Derivative contracts may involve future commitments to purchase or sell financial instruments or commodities at specified terms on a specified date, or to exchange interest payment streams or currencies based on a notional or contractual amount. Derivative instruments may involve a high degree of financial risk. The use of derivatives also involves the risk of loss if the investment adviser is incorrect in its expectation of the timing or level of fluctuations in securities prices, interest rates or currency prices. Investments in derivative instruments also include the risk of default by the counterparty, the risk that the investment may not be liquid and the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument.
During the six months ended September 30, 2011, the Funds entered into certain derivative contract types. These instruments were used to meet the Funds’ investment objectives and to obtain and/or manage exposure related to the risks below. The following tables set forth, by certain risk types, the gross value of these derivative contracts for trading activities as of September 30, 2011. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.
| | | | | | | | | | | | | | | | |
| Core Fixed Income |
| |
| | | Statements of Assets
| | | | | Statements of Assets
| | | | |
| | | and Liabilities
| | | | | and Liabilities
| | | | |
| Risk | | Location | | Assets | | | Location | | Liabilities | | |
| Interest rate | | Due from broker — variation margin | | $ | 1,515,736 | (a) | | | Payables for swap contracts, at value; Due to broker — variation margin; Options written, at value | | $ | (11,239,228 | )(a)(b) | | |
| | | | | | | | | | | | | | | | |
| Credit | | Receivable for swap contracts, at value | | | 233,563 | | | | Payable for swap contracts, at value | | | (3,154,362 | )(b) | | |
| | | | | | | | | | | | | | | | |
| Currency | | Receivable for forward foreign currency exchange contracts, at value | | | 4,469,455 | | | | Payable for forward foreign currency exchange contracts, at value | | | (2,221,287 | ) | | |
| | | | | | | | | | | | | | | | |
Total | | | | $ | 6,218,754 | | | | | | $ | (16,614,877 | ) | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| Core Plus Fixed Income |
| |
| | | Statements of Assets
| | | | | Statements of Assets
| | | | |
| | | and Liabilities
| | | | | and Liabilities
| | | | |
| Risk | | Location | | Assets | | | Location | | Liabilities | | |
| Interest rate | | Receivables for swap contracts, at value; Due from broker — variation margin | | $ | 7,829,144 | (a) | | | Payables for swap contracts, at value; Due to broker — variation margin; Options written, at value | | $ | (8,189,973 | )(a)(b) | | |
| | | | | | | | | | | | | | | | |
| Credit | | Receivables for swap contracts, at value | | | 44,911 | | | | Payables for swap contracts, at value | | | (1,781,976 | )(b) | | |
| | | | | | | | | | | | | | | | |
| Currency | | Receivables for forward foreign currency exchange contracts, at value | | | 1,634,114 | | | | Payables for forward foreign currency exchange contracts, at value | | | (463,180 | ) | | |
| | | | | | | | | | | | | | | | |
Total | | | | $ | 9,508,169 | | | | | | $ | (10,435,129 | ) | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2011 (Unaudited)
| |
| 4. INVESTMENTS IN DERIVATIVES (continued) | |
| | | | | | | | | | | | | | | | |
| Global Income |
| |
| | | Statements of Assets
| | | | | Statements of Assets
| | | | |
| | | and Liabilities
| | | | | and Liabilities
| | | | |
| Risk | | Location | | Assets | | | Location | | Liabilities | | |
| Interest rate | | Receivables for swap contracts, at value; Due from broker — variation margin | | $ | 10,463,145 | (a) | | | Payables for swap contracts, at value; Due to broker — variation margin; Options written, at value | | $ | (13,781,705 | )(a)(b) | | |
| | | | | | | | | | | | | | | | |
| Credit | | Receivables for swap contracts, at value | | | 96,920 | | | | Payables for swap contracts, at value | | | (675,632 | )(b) | | |
| | | | | | | | | | | | | | | | |
| Currency | | Investments in Securities, at value; Receivables for forward foreign currency exchange contracts, at value | | | 33,849,188 | | | | Payables for forward foreign currency exchange contracts, at value | | | (6,831,389 | ) | | |
| | | | | | | | | | | | | | | | |
Total | | | | $ | 44,409,253 | | | | | | $ | (21,288,726 | ) | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| Strategic Income |
| |
| | | Statements of Assets
| | | | | Statements of Assets
| | | | |
| | | and Liabilities
| | | | | and Liabilities
| | | | |
| Risk | | Location | | Assets | | | Location | | Liabilities | | |
| Interest rate | | Receivables for swap contracts, at value; Due from broker — variation margin | | $ | 120,756,575 | (a) | | | Payables for swap contracts, at value; Due to broker — variation margin; Options written, at value | | $ | (149,325,745 | )(a)(b) | | |
| | | | | | | | | | | | | | | | |
| Credit | | Receivables for swap contracts, at value | | | 4,962,552 | | | | Payables for swap contracts, at value | | | (13,145,508 | )(b) | | |
| | | | | | | | | | | | | | | | |
| Currency | | Receivables for forward foreign currency exchange contracts, at value | | | 28,480,384 | | | | Payables for forward foreign currency exchange contracts, at value | | | (10,205,639 | ) | | |
| | | | | | | | | | | | | | | | |
Total | | | | $ | 154,199,511 | | | | | | $ | (172,676,892 | ) | | |
| | | | | | | | | | | | | | | | |
| | |
| (a) | | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
| (b) | | Aggregate of amounts include $13,338,739, $8,756,539, $12,873,679 and $144,442,774 for Core Fixed Income, Core Plus Fixed Income, Global Income and Strategic Income Funds, respectively, which represent the payments to be made pursuant to bilateral agreements should counterparties exercise their “right to terminate” provisions based on, among others, the Funds’ performance, their failure to pay on its obligations or failure to pledge collateral. Such amounts do not include incremental charges directly associated with the close-out of the agreements. They also do not reflect the fair value of any assets pledged as collateral which, through the daily margining process, substantially offsets the aforementioned amounts and for which the Funds are entitled to a full return. |
The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the six months ended September 30, 2011. These gains (losses) should be considered in the context that these derivative contracts may have been executed to economically hedge certain securities, and accordingly, certain gains (losses) on
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
| |
| 4. INVESTMENTS IN DERIVATIVES (continued) | |
such derivative contracts may offset certain (losses) gains attributable to securities. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:
| | | | | | | | | | | | | | | | |
| Core Fixed Income |
| |
| | | | | Net
| | Net Change in
| | | Average
|
| | | | | Realized
| | Unrealized
| | | Number of
|
| Risk | | Statements of Operations Location | | Gain (Loss) | | Gain (Loss) | | | Contracts(a) |
| Interest rate | | Net realized gain (loss) from investment transactions, futures transactions, swap contracts and written options/Net change in unrealized gain (loss) on futures, swap contracts and written options | | $ | 16,037,096 | | | $ | (625,953 | ) | | | | 1,673 | |
| | | | | | | | | | | | | | | | |
| Credit | | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | | | 662,995 | | | | (925,182 | ) | | | | 10 | |
| | | | | | | | | | | | | | | | |
| Currency | | Net realized gain (loss) from foreign currency related transactions/Net change in unrealized gain (loss) on translation of assets and liabilities denominated in foreign currencies | | | (1,628,044 | ) | | | 2,971,119 | | | | | 158 | |
| | | | | | | | | | | | | | | | |
Total | | | | $ | 15,072,047 | | | $ | 1,419,984 | | | | | 1,841 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| Core Plus Fixed Income |
| |
| | | | | Net
| | Net Change in
| | | Average
|
| | | | | Realized
| | Unrealized
| | | Number of
|
| Risk | | Statements of Operations Location | | Gain (Loss) | | Gain (Loss) | | | Contracts(a) |
| Interest rate | | Net realized gain (loss) from investment transactions, futures transactions, swap contracts and written options/Net change in unrealized gain (loss) on futures, swap contracts and written options | | $ | 4,812,831 | | | $ | 1,388,005 | | | | | 1,048 | |
| | | | | | | | | | | | | | | | |
| Credit | | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | | | (184,587 | ) | | | (827,694 | ) | | | | 13 | |
| | | | | | | | | | | | | | | | |
| Currency | | Net realized gain (loss) from foreign currency related transactions/Net change in unrealized gain (loss) on translation of assets and liabilities denominated in foreign currencies | | | (540,981 | ) | | | 1,475,925 | | | | | 137 | |
| | | | | | | | | | | | | | | | |
Total | | | | $ | 4,087,263 | | | $ | 2,036,236 | | | | | 1,198 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| Global Income |
| |
| | | | | Net
| | Net Change in
| | | Average
|
| | | | | Realized
| | Unrealized
| | | Number of
|
| Risk | | Statements of Operations Location | | Gain (Loss) | | Gain (Loss) | | | Contracts(a) |
| Interest rate | | Net realized gain (loss) from investment transactions, futures transactions, swap contracts and written options/Net change in unrealized gain (loss) on futures, swap contracts and written options | | $ | 2,058,910 | | | $ | (1,918,507 | ) | | | | 2,423 | |
| | | | | | | | | | | | | | | | |
| Credit | | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | | | 1,354,739 | | | | 62,192 | | | | | 8 | |
| | | | | | | | | | | | | | | | |
| Currency | | Net realized gain (loss) from investment transactions and foreign currency related transactions/Net change in unrealized gain (loss) on investments and translation of assets and liabilities denominated in foreign currencies | | | (20,760,003 | ) | | | 37,166,911 | | | | | 792 | |
| | | | | | | | | | | | | | | | |
Total | | | | $ | (17,346,354 | ) | | $ | 35,310,596 | | | | | 3,223 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2011 (Unaudited)
| |
| 4. INVESTMENTS IN DERIVATIVES (continued) | |
| | | | | | | | | | | | | | | | |
| Strategic Income |
| |
| | | | | Net
| | Net Change in
| | | Average
|
| | | | | Realized
| | Unrealized
| | | Number of
|
| Risk | | Statements of Operations Location | | Gain (Loss) | | Gain (Loss) | | | Contracts(a) |
| Interest rate | | Net realized gain (loss) from investment transactions, futures transactions, swap contracts and written options/Net change in unrealized gain (loss) on futures, swap contracts and written options | | $ | (32,719,926 | ) | | $ | (1,543,272 | ) | | | | 12,306 | |
| | | | | | | | | | | | | | | | |
| Credit | | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | | | (546,348 | ) | | | (5,632,749 | ) | | | | 47 | |
| | | | | | | | | | | | | | | | |
| Currency | | Net realized gain (loss) from foreign currency related transactions/Net change in unrealized gain (loss) on translation of assets and liabilities denominated in foreign currencies | | | (8,093,760 | ) | | | 22,011,412 | | | | | 142 | |
| | | | | | | | | | | | | | | | |
Total | | | | $ | (41,360,034 | ) | | $ | 14,835,391 | | | | | 12,495 | |
| | | | | | | | | | | | | | | | |
| | |
| (a) | | Average number of contracts is based on the average of month and balances for the six months ended September 30, 2011. |
| |
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS | |
A. Management Agreement — Under the Agreements, GSAM and GSAMI manage the Funds, subject to the general supervision of the trustees.
As compensation for the services rendered pursuant to the Agreements, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM and GSAMI are entitled to a management fee accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
For the six months ended September 30, 2011, contractual management fees with GSAM and GSAMI were at the following rates:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Contractual Management Rate |
| | | First
| | Next
| | Next
| | Next
| | Over
| | Effective
|
| Fund | | $1 billion | | $1 billion | | $3 billion | | $3 billion | | $8 billion | | Rate |
| |
| Core Fixed Income | | | 0.40 | % | | | 0.36 | % | | | 0.34 | % | | | 0.33 | % | | | 0.32 | % | | | 0.38 | % |
| |
| |
| Core Plus Fixed Income | | | 0.45 | | | | 0.41 | | | | 0.39 | | | | 0.38 | | | | 0.37 | | | | 0.45 | |
| |
| |
| Global Income | | | 0.65 | | | | 0.59 | | | | 0.56 | | | | 0.55 | | | | 0.54 | | | | 0.65 | |
| |
| |
| Strategic Income | | | 0.60 | | | | 0.54 | | | | 0.51 | | | | 0.50 | | | | 0.49 | | | | 0.56 | |
| |
| |
B. Distribution and Service Plans — The Trust, on behalf of each Fund, has adopted Distribution and Service Plans (the “Plans”). Under the Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee, accrued daily and
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
| |
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) | |
paid monthly for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, at the following annual rates calculated on a Fund’s average daily net assets of each respective share class:
| | | | | | | | | | | | | | | | | | | |
| | | Distribution and Service Plan Rates | | |
| | | Class A* | | Class B | | Class C | | Class R* | | |
| |
| Distribution Plan | | | 0.25 | % | | | 0.75 | % | | | 0.75 | % | | | 0.50 | % | | |
| |
| |
| Service Plan | | | — | | | | 0.25 | | | | 0.25 | | | | — | | | |
| |
| |
| | |
| * | | With respect to Class A and Class R Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution Plan to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority. |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A front end sales charge and Class B and Class C CDSC. During the six months ended September 30, 2011, Goldman Sachs advised that it retained the following approximate amounts:
| | | | | | | | | | | | | |
| | | Front End
| | Contingent Deferred
|
| | | Sales Charge | | Sales Charge |
| Fund | | Class A | | Class B | | Class C |
| |
| Core Fixed Income | | $ | 7,900 | | | $ | — | | | $ | 400 | |
| |
| |
| Core Plus Fixed Income | | | 7,500 | | | | — | | | | — | |
| |
| |
| Global Income | | | 6,300 | | | | — | | | | — | |
| |
| |
| Strategic Income | | | 102,500 | | | | N/A | | | | — | |
| |
| |
D. Service Plan and Shareholder Administration Plan — The Trust, on behalf of each Fund that offers Service Shares, has adopted a Service Plan and a Shareholder Administration Plan. These plans allow service organizations to provide varying levels of personal and account maintenance and shareholder administration services to their customers who are beneficial owners of such shares. The Service Plan and Shareholder Administration Plan each provide for compensation to the service organizations which is accrued daily and paid monthly at an annual rate of 0.25% (0.50% in aggregate) of the average daily net assets of the Service 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 fees charged for such transfer agency services are accrued daily and paid monthly at an annual rate as follows: 0.13% of the average daily net assets for Class A, Class B, Class C, Class IR and Class R Shares and 0.04% of the average daily net assets for Institutional and Service Shares.
F. Other Expense Agreements and Affiliated Transactions — GSAM and GSAMI have agreed to limit certain “Other Expense” of the Funds (excluding management fees, distribution and service fees, transfer agent fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees and litigation, indemnification, shareholder meetings and other extraordinary expenses, exclusive of any custody and transfer agent fee credit reductions) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM and GSAMI for prior fiscal year expense reimbursements, if any. The Other Expense limitations for the Core Fixed Income, Core Plus Fixed Income, Global Income and Strategic Income Funds as an annual percentage rate of average daily net assets are 0.104%, 0.004%, 0.004% and 0.054%, respectively. These Other Expense reimbursements will remain in place through at least July 29, 2012, and prior to such date GSAM and GSAMI may not terminate the arrangements without the approval of the trustees. In
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2011 (Unaudited)
| |
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) | |
addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Funds’ expenses.
For the six months ended September 30, 2011, these expense reductions, including Other Expense reimbursements, were as follows (in thousands):
| | | | | | | | | | | | | |
| | | | | Other
| | Total
|
| | | Custody Fee
| | Expense
| | Expense
|
| Fund | | Credits | | Reimbursements | | Reductions |
| |
| Core Plus Fixed Income | | $ | 1 | | | $ | 273 | | | $ | 274 | |
| |
| |
| Global Income | | | 1 | | | | 475 | | | | 476 | |
| |
| |
As of September 30, 2011, the amounts owed to affiliates of the Funds were as follows (in thousands):
| | | | | | | | | | | | | | | | | |
| | | | | Distribution
| | | | |
| | | Management
| | and Service
| | Transfer
| | |
| Fund | | Fees | | Fees | | Agent Fees | | Total |
| |
| Core Fixed Income | | $ | 570 | | | $ | 83 | | | $ | 81 | | | $ | 734 | |
| |
| |
| Core Plus Fixed Income | | | 133 | | | | 34 | | | | 20 | | | | 187 | |
| |
| |
| Global Income | | | 464 | | | | 51 | | | | 45 | | | | 560 | |
| |
| |
| Strategic Income | | | 1,063 | | | | 315 | | | | 161 | | | | 1,539 | |
| |
| |
G. Line of Credit Facility — As of September 30, 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, GSAMI 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 temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended September 30, 2011, the Funds did not have any borrowings under the facility.
H. Other Transactions with Affiliates — For the six months ended September 30, 2011, Goldman Sachs earned approximately $66,600, $46,400 and $387,100 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of Core Fixed Income, Core Plus Fixed Income and Strategic Income Funds, respectively.
As of September 30, 2011, the following Fund of Funds Portfolios were the beneficial owners of 5% or more of total outstanding shares of the following Funds:
| | | | | | | | | | | | | |
| | | Goldman Sachs
| | Goldman Sachs
| | Goldman Sachs
|
| | | Balanced Strategy
| | Growth Strategy
| | Growth and Income
|
| Fund | | Portfolio | | Portfolio | | Strategy Portfolio |
| |
| Core Fixed Income | | | — | % | | | — | % | | | 8 | % |
| |
| |
| Global Income | | | 17 | | | | 16 | | | | 36 | |
| |
| |
As of September 30, 2011, Goldman Sachs Group, Inc. was the beneficial owner of approximately 63% of the Class R Shares of the Core Fixed Income Fund, 100% and 61% of the Service and Class R Shares, respectively, of the Core Plus Fixed Income Fund and 36% of the Class R Shares of the Strategic Income Fund.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
| |
| 6. PORTFOLIO SECURITIES TRANSACTIONS | |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended September 30, 2011, were as follows:
| | | | | | | | | | | | | | | | | |
| | | | | | | Sales and
| | Sales and
|
| | | Purchases of
| | Purchases (Excluding
| | Maturities of
| | Maturities (Excluding
|
| | | U.S. Government and
| | U.S. Government and
| | U.S. Government and
| | U.S. Government and
|
| Fund | | Agency Obligations | | Agency Obligations) | | Agency Obligations | | Agency Obligations) |
| |
| Core Fixed Income | | $ | 6,348,442,911 | | | $ | 330,945,785 | | | $ | 6,400,496,448 | | | $ | 280,560,711 | |
| |
| |
| Core Plus Fixed Income | | | 1,189,788,218 | | | | 76,552,963 | | | | 1,162,197,818 | | | | 78,050,890 | |
| |
| |
| Global Income | | | 936,066,423 | | | | 498,082,886 | | | | 851,388,544 | | | | 369,530,774 | |
| |
| |
| Strategic Income | | | 6,162,498,764 | | | | 1,446,958,573 | | | | 6,057,377,554 | | | | 767,017,686 | |
| |
| |
As of the Funds’ most recent fiscal year end, March 31, 2011, the Funds’ capital loss carryforwards and certain timing differences, on a tax basis were as follows:
| | | | | | | | | | | | | | | | | |
| | | | | Core Plus
| | | | |
| | | Core Fixed
| | Fixed
| | Global
| | Strategic
|
| | | Income | | Income | | Income | | Income |
| |
Capital loss carryforward:(1) | | | | | | | | | | | | | | | | |
| Expiring 2018 | | $ | (122,614,098 | ) | | $ | — | | | $ | (3,262,640 | ) | | $ | — | |
| |
| |
| Timing differences (Post October Losses, Income Distributions Payable and Straddle Losses) | | $ | (10,987,783 | ) | | $ | (4,130,450 | ) | | $ | (22,901,723 | ) | | $ | (21,792,386 | ) |
| |
| |
| | |
| (1) | | Expiration occurs on March 31 of the year indicated. |
As of September 30, 2011, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | | |
| | | | | Core Plus
| | | | |
| | | Core Fixed
| | Fixed
| | Global
| | Strategic
|
| | | Income | | Income | | Income | | Income |
| |
| Tax Cost | | $ | 2,022,546,742 | | | $ | 413,854,546 | | | $ | 935,254,303 | | | $ | 2,707,525,141 | |
| |
| |
| Gross unrealized gain | | | 60,915,136 | | | | 10,420,167 | | | | 42,250,868 | | | | 14,486,888 | |
| Gross unrealized loss | | | (32,684,043 | ) | | | (6,892,992 | ) | | | (27,896,422 | ) | | | (108,473,878 | ) |
| |
| |
| Net unrealized security gain (loss) | | $ | 28,231,093 | | | $ | 3,527,175 | | | $ | 14,354,446 | | | $ | (93,986,990 | ) |
| |
| |
The difference between GAAP-basis and tax-basis unrealized gains (losses), as of the most recent fiscal year end, is attributable primarily to wash sales, net mark-to-market gains (losses) on regulated futures contracts and forward foreign currency exchange contracts, and differences related to the tax treatment of swap transactions.
GSAM and GSAMI have reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and have 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
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2011 (Unaudited)
| |
| 7. TAX INFORMATION (continued) | |
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.
The Funds’ risks include, but are not limited to, the following:
Foreign Custody Risk — A Fund that invests in foreign securities may hold such securities and foreign currency with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). In some countries, Foreign Custodians may be subject to little or no regulatory oversight or independent evaluation of their operations. Further, the laws of certain countries may place limitations on the Fund’s ability to recover its assets if a Foreign Custodian enters into bankruptcy. Investments in emerging markets may be subject to greater custody risks than investments in more developed markets. Custody services in emerging market countries are often undeveloped and may be less regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries.
Funds’ Shareholder Concentration Risk — Certain funds, accounts, individuals or Goldman Sachs affiliates may from time to time own (beneficially or of record) or control a significant percentage of the Funds’ shares. Redemptions by these entities of their holdings in the Funds may impact the Funds’ liquidity and NAV. These redemptions may also force the Funds to sell securities.
Liquidity Risk — The Funds may make investments that may be illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions.
Market and Credit Risks — In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Funds may also be exposed to credit risk in the event that an issuer fails to perform or that an institution or entity with which the Funds have unsettled or open transaction defaults.
Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, be subject to government ownership controls, have delayed settlements and their prices may be more volatile than those of comparable securities in the U.S.
Portfolio Concentration Risk — As a result of certain of the Funds’ ability to invest a large percentage of their assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Funds’ investments more than if their investments were not so concentrated.
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 and GSAMI believe the risk of loss under these arrangements to be remote.
Subsequent events after the balance sheet date have been evaluated through the date the financial statements were issued. GSAM and GSAMI have concluded that there is no impact requiring adjustment or disclosure in the financial statements.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
| |
| 11. SUMMARY OF SHARE TRANSACTIONS | |
Share activity is as follows:
| | | | | | | | | | | | | | | | | |
| | | Core Fixed Income Fund |
| | | For the Six Months Ended
| | |
| | | September 30, 2011
| | For the Fiscal Year Ended
|
| | | (Unaudited) | | March 31, 2011 |
| | | |
| | | Shares | | Dollars | | Shares | | Dollars |
| |
Class A Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 5,620,218 | | | $ | 56,173,837 | | | | 20,456,010 | | | $ | 200,547,562 | |
| Reinvestment of distributions | | | 361,255 | | | | 3,619,180 | | | | 1,568,544 | | | | 15,406,024 | |
Shares converted from Class B(a) | | | 39,638 | | | | 398,737 | | | | 69,840 | | | | 681,579 | |
| Shares redeemed | | | (52,175,823 | ) | | | (520,389,801 | ) | | | (35,632,521 | ) | | | (348,879,781 | ) |
| |
| |
| | | | (46,154,712 | ) | | | (460,198,047 | ) | | | (13,538,127 | ) | | | (132,244,616 | ) |
| |
| |
Class B Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 113,644 | | | | 1,156,350 | | | | 195,387 | | | | 1,930,674 | |
| Reinvestment of distributions | | | 6,064 | | | | 61,206 | | | | 22,552 | | | | 222,242 | |
Shares converted to Class A(a) | | | (39,475 | ) | | | (398,737 | ) | | | (69,518 | ) | | | (681,579 | ) |
| Shares redeemed | | | (252,785 | ) | | | (2,550,818 | ) | | | (748,478 | ) | | | (7,359,232 | ) |
| |
| |
| | | | (172,552 | ) | | | (1,731,999 | ) | | | (600,057 | ) | | | (5,887,895 | ) |
| |
| |
Class C Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 397,766 | | | | 4,034,503 | | | | 945,507 | | | | 9,317,512 | |
| Reinvestment of distributions | | | 15,375 | | | | 155,380 | | | | 48,299 | | | | 476,496 | |
| Shares redeemed | | | (540,898 | ) | | | (5,448,851 | ) | | | (1,621,501 | ) | | | (15,962,202 | ) |
| |
| |
| | | | (127,757 | ) | | | (1,258,968 | ) | | | (627,695 | ) | | | (6,168,194 | ) |
| |
| |
Institutional Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 62,475,253 | | | | 626,946,241 | | | | 76,342,627 | | | | 749,289,053 | |
| Reinvestment of distributions | | | 1,510,699 | | | | 15,263,029 | | | | 1,944,933 | | | | 19,206,654 | |
| Shares redeemed | | | (31,442,536 | ) | | | (318,957,389 | ) | | | (46,058,607 | ) | | | (453,668,488 | ) |
| |
| |
| | | | 32,543,416 | | | | 323,251,881 | | | | 32,228,953 | | | | 314,827,219 | |
| |
| |
Service Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 30,900 | | | | 310,077 | | | | 47,188 | | | | 465,200 | |
| Reinvestment of distributions | | | 2,492 | | | | 25,138 | | | | 8,026 | | | | 79,113 | |
| Shares redeemed | | | (112,598 | ) | | | (1,136,342 | ) | | | (234,819 | ) | | | (2,322,898 | ) |
| |
| |
| | | | (79,206 | ) | | | (801,127 | ) | | | (179,605 | ) | | | (1,778,585 | ) |
| |
| |
Class IR Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 68,989 | | | | 697,421 | | | | 334,408 | | | | 3,273,396 | |
| Reinvestment of distributions | | | 701 | | | | 7,071 | | | | 3,377 | | | | 33,337 | |
| Shares redeemed | | | (133,835 | ) | | | (1,309,876 | ) | | | (187,830 | ) | | | (1,840,835 | ) |
| |
| |
| | | | (64,145 | ) | | | (605,384 | ) | | | 149,955 | | | | 1,465,898 | |
| |
| |
Class R Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 79 | | | | 796 | | | | 227 | | | | 2,218 | |
| Reinvestment of distributions | | | 16 | | | | 160 | | | | 35 | | | | 345 | |
| Shares redeemed | | | — | | | | (6 | ) | | | (7 | ) | | | (67 | ) |
| |
| |
| | | | 95 | | | | 950 | | | | 255 | | | | 2,496 | |
| |
| |
NET INCREASE (DECREASE) | | | (14,054,861 | ) | | $ | (141,342,694 | ) | | | 17,433,679 | | | $ | 170,216,323 | |
| |
| |
| | |
| (a) | | Class B Shares automatically convert into Class A Shares on or about the fifteenth day of the last month of the calendar quarter that is eight years after the initial purchase date of either the Fund or another Goldman Sachs Fund. |
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2011 (Unaudited)
| |
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) | |
Share activity is as follows:
| | | | | | | | | | | | | | | | | |
| | | Core Plus Fixed Income Fund |
| | | For the Six Months Ended
| | |
| | | September 30, 2011
| | For the Fiscal Year Ended
|
| | | (Unaudited) | | March 31, 2011 |
| | | |
| | | Shares | | Dollars | | Shares | | Dollars |
| |
Class A Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 2,032,993 | | | $ | 21,091,956 | | | | 4,278,566 | | | $ | 44,373,342 | |
| Reinvestment of distributions | | | 124,529 | | | | 1,292,591 | | | | 435,628 | | | | 4,445,864 | |
Shares converted from Class B(a) | | | 54,954 | | | | 571,673 | | | | 136,191 | | | | 1,401,285 | |
| Shares redeemed | | | (1,924,529 | ) | | | (19,971,900 | ) | | | (4,934,797 | ) | | | (51,231,925 | ) |
| |
| |
| | | | 287,947 | | | | 2,984,320 | | | | (84,412 | ) | | | (1,011,434 | ) |
| |
| |
Class B Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 65,045 | | | | 676,364 | | | | 77,460 | | | | 804,184 | |
| Reinvestment of distributions | | | 5,123 | | | | 53,116 | | | | 38,091 | | | | 387,705 | |
Shares converted to Class A(a) | | | (55,006 | ) | | | (571,673 | ) | | | (136,323 | ) | | | (1,401,285 | ) |
| Shares redeemed | | | (97,426 | ) | | | (1,008,943 | ) | | | (256,251 | ) | | | (2,647,614 | ) |
| |
| |
| | | | (82,264 | ) | | | (851,136 | ) | | | (277,023 | ) | | | (2,857,010 | ) |
| |
| |
Class C Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 215,825 | | | | 2,239,775 | | | | 310,795 | | | | 3,222,660 | |
| Reinvestment of distributions | | | 7,779 | | | | 80,681 | | | | 50,889 | | | | 517,498 | |
| Shares redeemed | | | (254,156 | ) | | | (2,633,880 | ) | | | (538,453 | ) | | | (5,549,242 | ) |
| |
| |
| | | | (30,552 | ) | | | (313,424 | ) | | | (176,769 | ) | | | (1,809,084 | ) |
| |
| |
Institutional Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 2,837,657 | | | | 29,420,962 | | | | 4,040,265 | | | | 41,893,580 | |
| Reinvestment of distributions | | | 312,178 | | | | 3,238,481 | | | | 1,200,055 | | | | 12,256,349 | |
| Shares redeemed | | | (739,127 | ) | | | (7,690,920 | ) | | | (4,452,173 | ) | | | (46,321,349 | ) |
| |
| |
| | | | 2,410,708 | | | | 24,968,523 | | | | 788,147 | | | | 7,828,580 | |
| |
| |
Service Shares | | | | | | | | | | | | | | | | |
| Reinvestment of distributions | | | 15 | | | | 164 | | | | 72 | | | | 729 | |
| |
| |
| | | | 15 | | | | 164 | | | | 72 | | | | 729 | |
| |
| |
Class IR Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 259,822 | | | | 2,657,909 | | | | 8,147 | | | | 85,015 | |
| Reinvestment of distributions | | | 3,318 | | | | 34,386 | | | | 2,189 | | | | 22,357 | |
| Shares redeemed | | | (50,866 | ) | | | (522,179 | ) | | | (3,328 | ) | | | (34,443 | ) |
| |
| |
| | | | 212,274 | | | | 2,170,116 | | | | 7,008 | | | | 72,929 | |
| |
| |
Class R Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 157 | | | | 1,630 | | | | 200 | | | | 2,072 | |
| Reinvestment of distributions | | | 38 | | | | 392 | | | | 225 | | | | 2,287 | |
| Shares redeemed | | | (1,846 | ) | | | (19,305 | ) | | | (538 | ) | | | (5,444 | ) |
| |
| |
| | | | (1,651 | ) | | | (17,283 | ) | | | (113 | ) | | | (1,085 | ) |
| |
| |
NET INCREASE | | | 2,796,477 | | | $ | 28,941,280 | | | | 256,910 | | | $ | 2,223,625 | |
| |
| |
| | |
| (a) | | Class B Shares automatically convert into Class A Shares on or about the fifteenth day of the last month of the calendar quarter that is eight years after the initial purchase date of either the Fund or another Goldman Sachs Fund. |
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
| |
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) | |
Share activity is as follows:
| | | | | | | | | | | | | | | | | |
| | | Global Income Fund |
| | | For the Six Months Ended
| | |
| | | September 30, 2011
| | For the Fiscal Year Ended
|
| | | (Unaudited) | | March 31, 2011 |
| | | |
| | | Shares | | Dollars | | Shares | | Dollars |
| |
Class A Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 4,140,477 | | | $ | 53,469,166 | | | | 7,164,312 | | | $ | 92,328,807 | |
| Reinvestment of distributions | | | 148,112 | | | | 1,902,374 | | | | 356,354 | | | | 4,577,375 | |
Shares converted from Class B(a) | | | 7,265 | | | | 93,896 | | | | 15,357 | | | | 196,530 | |
| Shares redeemed | | | (4,368,014 | ) | | | (55,923,631 | ) | | | (8,531,063 | ) | | | (109,494,625 | ) |
| |
| |
| | | | (72,160 | ) | | | (458,195 | ) | | | (995,040 | ) | | | (12,391,913 | ) |
| |
| |
Class B Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 20,117 | | | | 257,281 | | | | 50,054 | | | | 641,159 | |
| Reinvestment of distributions | | | 1,302 | | | | 16,642 | | | | 3,740 | | | | 47,862 | |
Shares converted to Class A(a) | | | (7,293 | ) | | | (93,896 | ) | | | (15,417 | ) | | | (196,530 | ) |
| Shares redeemed | | | (45,319 | ) | | | (579,994 | ) | | | (206,928 | ) | | | (2,641,452 | ) |
| |
| |
| | | | (31,193 | ) | | | (399,967 | ) | | | (168,551 | ) | | | (2,148,961 | ) |
| |
| |
Class C Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 83,369 | | | | 1,070,471 | | | | 270,046 | | | | 3,463,207 | |
| Reinvestment of distributions | | | 3,229 | | | | 41,167 | | | | 7,045 | | | | 89,854 | |
| Shares redeemed | | | (130,735 | ) | | | (1,664,188 | ) | | | (266,158 | ) | | | (3,402,584 | ) |
| |
| |
| | | | (44,137 | ) | | | (552,550 | ) | | | 10,933 | | | | 150,477 | |
| |
| |
Institutional Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 23,146,299 | | | | 297,404,607 | | | | 14,466,176 | | | | 186,039,479 | |
| Reinvestment of distributions | | | 502,601 | | | | 6,450,053 | | | | 1,264,416 | | | | 16,227,410 | |
| Shares redeemed | | | (6,163,080 | ) | | | (79,248,665 | ) | | | (32,375,924 | ) | | | (413,552,491 | ) |
| |
| |
| | | | 17,485,820 | | | | 224,605,995 | | | | (16,645,332 | ) | | | (211,285,602 | ) |
| |
| |
Service Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 5,148 | | | | 66,643 | | | | 7,495 | | | | 95,225 | |
| Reinvestment of distributions | | | 41 | | | | 515 | | | | 111 | | | | 1,428 | |
| Shares redeemed | | | (2,229 | ) | | | (28,389 | ) | | | (3,041 | ) | | | (38,798 | ) |
| |
| |
| | | | 2,960 | | | | 38,769 | | | | 4,565 | | | | 57,855 | |
| |
| |
Class IR Shares(b) | | | | | | | | | | | | | | | | |
| Shares sold | | | 35,047 | | | | 453,274 | | | | 1,773 | | | | 23,025 | |
| Reinvestment of distributions | | | 149 | | | | 1,919 | | | | 28 | | | | 359 | |
| Shares redeemed | | | (1,920 | ) | | | (25,000 | ) | | | (2 | ) | | | (25 | ) |
| |
| |
| | | | 33,276 | | | | 430,193 | | | | 1,799 | | | | 23,359 | |
| |
| |
NET INCREASE (DECREASE) | | | 17,374,566 | | | $ | 223,664,245 | | | | (17,791,626 | ) | | $ | (225,594,785 | ) |
| |
| |
| | |
| (a) | | Class B Shares automatically convert into Class A Shares on or about the fifteenth day of the last month of the calendar quarter that is eight years after the initial purchase date of either the Fund or another Goldman Sachs Fund. |
| (b) | | Commenced operations on July 30, 2010. |
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2011 (Unaudited)
| |
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) | |
Share activity is as follows:
| | | | | | | | | | | | | | | | | |
| | | Strategic Income Fund |
| | | |
| | | For the Six Months Ended
| | |
| | | September 30, 2011
| | For the Period Ended
|
| | | (Unaudited) | | March 31, 2011(a) |
| | | |
| | | Shares | | Dollars | | Shares | | Dollars |
| | | |
Class A Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 44,942,979 | | | $ | 449,547,383 | | | | 89,180,089 | | | $ | 902,865,509 | |
| Reinvestment of distributions | | | 1,693,087 | | | | 16,768,324 | | | | 594,621 | | | | 6,005,313 | |
| Shares redeemed | | | (28,207,974 | ) | | | (279,729,471 | ) | | | (7,994,169 | ) | | | (80,868,992 | ) |
| |
| |
| | | | 18,428,092 | | | | 186,586,236 | | | | 81,780,541 | | | | 828,001,830 | |
| |
| |
Class C Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 7,401,302 | | | | 74,036,068 | | | | 8,491,229 | | | | 86,020,641 | |
| Reinvestment of distributions | | | 146,308 | | | | 1,446,202 | | | | 30,174 | | | | 304,566 | |
| Shares redeemed | | | (839,045 | ) | | | (8,275,357 | ) | | | (253,061 | ) | | | (2,565,553 | ) |
| |
| |
| | | | 6,708,565 | | | | 67,206,913 | | | | 8,268,342 | | | | 83,759,654 | |
| |
| |
Institutional Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 57,979,353 | | | | 578,986,722 | | | | 87,528,084 | | | | 885,812,875 | |
| Reinvestment of distributions | | | 1,743,839 | | | | 17,251,977 | | | | 664,407 | | | | 6,707,819 | |
| Shares redeemed | | | (27,340,959 | ) | | | (270,286,762 | ) | | | (8,007,194 | ) | | | (80,909,598 | ) |
| |
| |
| | | | 32,382,233 | | | | 325,951,937 | | | | 80,185,297 | | | | 811,611,096 | |
| |
| |
Class IR Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 5,591,112 | | | | 55,584,001 | | | | 2,637,349 | | | | 26,758,208 | |
| Reinvestment of distributions | | | 87,120 | | | | 856,910 | | | | 15,874 | | | | 160,130 | |
| Shares redeemed | | | (907,355 | ) | | | (9,002,833 | ) | | | (144,788 | ) | | | (1,468,307 | ) |
| |
| |
| | | | 4,770,877 | | | | 47,438,078 | | | | 2,508,435 | | | | 25,450,031 | |
| |
| |
Class R Shares | | | | | | | | | | | | | | | | |
| Shares sold | | | 330 | | | | 3,327 | | | | 2,496 | | | | 24,995 | |
| Reinvestment of distributions | | | 47 | | | | 467 | | | | 18 | | | | 180 | |
| Shares redeemed | | | (3 | ) | | | (37 | ) | | | (2 | ) | | | (20 | ) |
| |
| |
| | | | 374 | | | | 3,757 | | | | 2,512 | | | | 25,155 | |
| |
| |
NET INCREASE | | | 62,290,141 | | | $ | 627,186,921 | | | | 172,745,127 | | | $ | 1,748,847,766 | |
| |
| |
| | |
| (a) | | Commenced operations on June 30, 2010. |
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Fund Expenses — Six Month Period Ended September 30, 2011 (Unaudited)
As a shareholder of Class A, Class B, Class C, Institutional, Service, Class IR or Class R Shares of a Fund, you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares), contingent deferred sales charges on redemptions (with respect to Class B and Class C Shares), and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Class A, Class B, Class C and Class R Shares); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class B, Class C, Institutional, Service, Class IR or Class R Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from April 1, 2011 through September 30, 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 heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratios 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.
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| | | | Core Fixed Income Fund | | | Core Plus Fixed Income Fund | | | Global Income Fund | | | Strategic Income Fund |
| | | | | | | | | | Expenses
| | | | | | | | | Expenses
| | | | | | | | | Expenses
| | | | | | | | | Expenses
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| | | | Beginning
| | | Ending
| | | Paid for the
| | | Beginning
| | | Ending
| | | Paid for the
| | | Beginning
| | | Ending
| | | Paid for the
| | | Beginning
| | | Ending
| | | Paid for the
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| | | | Account Value
| | | Account Value
| | | 6 Months Ended
| | | Account Value
| | | Account Value
| | | 6 Months Ended
| | | Account Value
| | | Account Value
| | | 6 Months Ended
| | | Account Value
| | | Account Value
| | | 6 Months Ended
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| Share Class | | | 4/1/11 | | | 9/30/11 | | | 9/30/11* | | | 4/1/11 | | | 9/30/11 | | | 9/30/11* | | | 4/1/11 | | | 9/30/11 | | | 9/30/11* | | | 4/1/11 | | | 9/30/11 | | | 9/30/11* |
Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Actual | | | $ | 1,000.00 | | | | $ | 1,054.60 | | | | $ | 4.16 | | | | $ | 1,000.00 | | | | $ | 1,038.50 | | | | $ | 4.23 | | | | $ | 1,000.00 | | | | $ | 1,037.80 | | | | $ | 5.25 | | | | $ | 1,000.00 | | | | $ | 968.30 | | | | $ | 4.77 | |
| Hypothetical 5% return | | | | 1,000.00 | | | | | 1,020.95 | + | | | | 4.09 | | | | | 1,000.00 | | | | | 1,020.85 | + | | | | 4.19 | | | | | 1,000.00 | | | | | 1,019.85 | + | | | | 5.20 | | | | | 1,000.00 | | | | | 1,020.15 | + | | | | 4.90 | |
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Class B | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Actual | | | | 1,000.00 | | | | | 1,050.50 | | | | | 8.00 | | | | | 1,000.00 | | | | | 1,034.70 | | | | | 8.04 | | | | | 1,000.00 | | | | | 1,034.00 | | | | | 9.05 | | | | | N/A | | | | | N/A | | | | | N/A | |
| Hypothetical 5% return | | | | 1,000.00 | | | | | 1,017.20 | + | | | | 7.87 | | | | | 1,000.00 | | | | | 1,017.10 | + | | | | 7.97 | | | | | 1,000.00 | | | | | 1,016.10 | + | | | | 8.97 | | | | | N/A | | | | | N/A | | | | | N/A | |
| |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Actual | | | | 1,000.00 | | | | | 1,051.50 | | | | | 8.00 | | | | | 1,000.00 | | | | | 1,035.70 | | | | | 8.04 | | | | | 1,000.00 | | | | | 1,033.40 | | | | | 9.05 | | | | | 1,000.00 | | | | | 964.60 | | | | | 8.45 | |
| Hypothetical 5% return | | | | 1,000.00 | | | | | 1,017.20 | + | | | | 7.87 | | | | | 1,000.00 | | | | | 1,017.10 | + | | | | 7.97 | | | | | 1,000.00 | | | | | 1,016.10 | + | | | | 8.97 | | | | | 1,000.00 | | | | | 1,016.40 | + | | | | 8.67 | |
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Institutional | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Actual | | | | 1,000.00 | | | | | 1,056.30 | | | | | 2.42 | | | | | 1,000.00 | | | | | 1,040.30 | | | | | 2.50 | | | | | 1,000.00 | | | | | 1,039.70 | | | | | 3.52 | | | | | 1,000.00 | | | | | 969.90 | | | | | 3.10 | |
| Hypothetical 5% return | | | | 1,000.00 | | | | | 1,022.65 | + | | | | 2.38 | | | | | 1,000.00 | | | | | 1,022.55 | + | | | | 2.48 | | | | | 1,000.00 | | | | | 1,021.55 | + | | | | 3.49 | | | | | 1,000.00 | | | | | 1,021.85 | + | | | | 3.18 | |
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Service | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Actual | | | | 1,000.00 | | | | | 1,053.60 | | | | | 4.98 | | | | | 1,000.00 | | | | | 1,037.80 | | | | | 5.04 | | | | | 1,000.00 | | | | | 1,037.20 | | | | | 6.06 | | | | | N/A | | | | | N/A | | | | | N/A | |
| Hypothetical 5% return | | | | 1,000.00 | | | | | 1,020.15 | + | | | | 4.90 | | | | | 1,000.00 | | | | | 1,020.05 | + | | | | 5.00 | | | | | 1,000.00 | | | | | 1,019.05 | + | | | | 6.01 | | | | | N/A | | | | | N/A | | | | | N/A | |
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Class IR | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Actual | | | | 1,000.00 | | | | | 1,057.00 | | | | | 2.88 | | | | | 1,000.00 | | | | | 1,035.70 | | | | | 2.95 | | | | | 1,000.00 | | | | | 1,039.20 | | | | | 3.98 | | | | | 1,000.00 | | | | | 969.50 | | | | | 3.55 | |
| Hypothetical 5% return | | | | 1,000.00 | | | | | 1,022.00 | + | | | | 2.83 | | | | | 1,000.00 | | | | | 1,022.10 | + | | | | 2.93 | | | | | 1,000.00 | | | | | 1,021.10 | + | | | | 3.94 | �� | | | | 1,000.00 | | | | | 1,021.40 | + | | | | 3.64 | |
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Class R | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Actual | | | | 1,000.00 | | | | | 1,053.40 | | | | | 5.44 | | | | | 1,000.00 | | | | | 1,037.20 | | | | | 5.50 | | | | | N/A | | | | | N/A | | | | | N/A | | | | | 1,000.00 | | | | | 967.10 | | | | | 6.00 | |
| Hypothetical 5% return | | | | 1,000.00 | | | | | 1,019.70 | + | | | | 5.35 | | | | | 1,000.00 | | | | | 1,019.60 | + | | | | 5.45 | | | | | N/A | | | | | N/A | | | | | N/A | | | | | 1,000.00 | | | | | 1,018.90 | + | | | | 6.16 | |
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| * | | Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended September 30, 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: |
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| Fund | | Class A | | Class B | | Class C | | Institutional | | Service | | Class IR | | Class R |
| |
| |
| Core Fixed Income | | | 0.81 | % | | | 1.56 | % | | | 1.56 | % | | | 0.47 | % | | | 0.97 | % | | | 0.56 | % | | | 1.06 | % |
| Core Plus Fixed Income | | | 0.83 | | | | 1.58 | | | | 1.58 | | | | 0.49 | | | | 0.99 | | | | 0.58 | | | | 1.08 | |
| Global Income | | | 1.03 | | | | 1.78 | | | | 1.78 | | | | 0.69 | | | | 1.19 | | | | 0.78 | | | | N/A | |
| Strategic Income | | | 0.97 | | | | N/A | | | | 1.72 | | | | 0.63 | | | | N/A | | | | 0.72 | | | | 1.22 | |
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| | |
| + | | 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. |
127
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited)
Background
The Goldman Sachs Core Fixed Income, Goldman Sachs Core Plus Fixed Income, Goldman Sachs Global Income and Goldman Sachs Strategic Income Funds (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held during the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreements (the “Management Agreements”) on behalf of Core Fixed Income, Core Plus Fixed Income and Strategic Income Funds with Goldman Sachs Asset Management, L.P. (“GSAM”) and on behalf of Global Income Fund with Goldman Sachs Asset Management International (together with GSAM, the “Investment Advisers”).
The Management Agreements were most recently approved for continuation until June 30, 2012 by the Board of Trustees, including those Trustees who are not parties to the Management Agreements or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 15-16, 2011 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held three meetings over the course of the year since the Management Agreements were last approved. At those Committee meetings, regularly scheduled Board meetings and/or the Annual Meeting, the Board, or the Independent Trustees, as applicable, considered matters relating to the Management Agreements, including:
| | |
| | (a) | the nature and quality of the advisory, administrative and other services provided to the Funds by the Investment Advisers and their affiliates, including information about: |
| | |
| | (i) | the structure, staff and capabilities of the Investment Advisers and their portfolio management teams; |
| | (ii) | the groups within the Investment Advisers and their affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services and operations), controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, market risk analysis, finance and strategy and central funding), sales and distribution support groups and others (e.g., information technology and training); |
| | (iii) | trends in headcount; |
| | (iv) | the Investment Advisers’ financial resources and ability to hire and retain talented personnel and strengthen their operations; and |
| | (v) | the parent company’s support of the Investment Advisers and their mutual fund business, as expressed by the firm’s senior management; |
| | |
| | (b) | information on the investment performance of the Funds, including comparisons to the performance of similar mutual funds, as provided by a third party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), benchmark performance indices, comparable institutional composites managed by the Investment Advisers (in the case of Core Fixed Income, Core Plus Fixed Income and Global Income Funds), and general investment outlooks in the markets in which the Funds invest; |
| | (c) | the terms of the Management Agreements and agreements with affiliated service providers entered into by the Trust on behalf of the Funds; |
| | (d) | expense information for the Funds, including: |
| | |
| | (i) | the relative management fee and expense levels of the Funds (in the case of Strategic Income Fund, the expense levels were estimates) as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
| | (ii) | each Fund’s expense trends over time (with the exception of Strategic Income Fund, which commenced operations in 2010); and |
| | (iii) | to the extent the Investment Advisers manage institutional accounts or collective investment vehicles having investment objectives and policies similar to those of the Funds, comparative information on the advisory fees charged and services provided to those accounts by the Investment Advisers; |
| | |
| | (e) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Funds; |
| | (f) | the undertakings of the Investment Advisers to reimburse certain expenses of the Funds that exceed specified levels, and a summary of contractual fee reductions made by the Investment Advisers and their affiliates over the past several years with respect to the Funds; |
| | (g) | information relating to the profitability of the Management Agreements and the transfer agency and distribution and service arrangements of each of the Funds and the Trust as a whole to the Investment Advisers and their affiliates; |
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
| | |
| | (h) | whether each Fund’s existing management fee schedule adequately addressed any economies of scale; |
| | (i) | a summary of the “fall-out” benefits derived by the Investment Advisers and their affiliates from their relationships with the Funds, including the fees received by the Investment Advisers’ affiliates from the Funds for transfer agency, distribution and other services; |
| | (j) | a summary of potential benefits derived by the Funds as a result of their relationship with the Investment Advisers; |
| | (k) | information regarding portfolio trading and how the Investment Advisers carry out their duty to seek best execution; |
| | (l) | portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
| | (m) | the nature and quality of the services provided to the Funds by their unaffiliated service providers, and the Investment Advisers’ general oversight and evaluation (including reports on due diligence) of those service providers as part of the administration services provided under the Management Agreements; and |
| | (n) | the Investment Advisers’ processes and policies addressing various types of potential conflicts of interest; their approach to risk management; the annual review of the effectiveness of the Funds’ compliance program; and compliance reports. |
The Trustees also received an overview of the Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity and the payment of Rule 12b-1 distribution and service fees by the Funds and the payment of non-Rule 12b-1 shareholder service and/or administration fees by Core Fixed Income, Core Plus Fixed Income and Global Income Funds’ Service Shares. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Advisers and their affiliates to intermediaries that promote the sale, distribution and/or servicing of Fund shares.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual fund portfolios for which the Board of Trustees has responsibility. In evaluating the Management Agreements at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Advisers, their affiliates, their services and the Funds. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Advisers and their affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Advisers or their affiliates present. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
Nature, Extent and Quality of the Services Provided Under the Management Agreements
As part of their review, the Trustees considered the nature, extent and quality of the services provided by the Investment Advisers. In this regard, the Trustees considered both the investment advisory services, and the other, non-advisory services, that are provided to the Funds by the Investment Advisers and their affiliates. The Trustees noted the transition in the leadership and changes in personnel of various portfolio management teams that had occurred in recent periods, the potential benefit to the Funds of recent increases in headcount at the Investment Advisers and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Advisers. The Independent Trustees concluded that the Investment Advisers had committed substantial financial and operational resources to the Funds and expressed confidence that the Investment Advisers would continue to do so in the future. The Trustees also observed that the Investment Advisers had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Advisers.
Investment Performance
The Trustees also considered the investment performance of the Funds and the Investment Advisers. In this regard, they compared the investment performance of each Fund (with the exception of Strategic Income Fund, which commenced operations in 2010) to the performance of other comparable SEC-registered funds using rankings and ratings compiled by the Outside Data Provider as of December 31, 2010, and updated performance information prepared by the Investment Advisers using the peer groups identified by the Outside Data Provider (for each of the Funds). The information on each Fund’s (except for Strategic Income Fund) investment performance was provided for the one-, three-, five- and ten-year periods ending on the applicable dates, to the extent that each Fund had been in existence for those periods. The Trustees also reviewed each Fund’s (except for Strategic Income Fund) investment performance over time on a year-by-year basis relative to its performance benchmark. In addition, they
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
considered the investment performance trends of the Funds (except for Strategic Income Fund) over time, and reviewed the investment performance of each Fund in light of its investment objective and policies, market conditions and credit and duration parameters. The Trustees also received information comparing the Core Fixed Income, Core Plus Fixed Income and Global Income Funds’ performance to that of comparable institutional composites managed by the Investment Advisers. The Trustees considered whether each Fund had operated within its investment policies and had complied with its investment limitations.
In addition, the Trustees considered materials prepared and presentations made by the Investment Advisers’ senior management and portfolio management personnel, in which Fund performance was assessed. The Trustees also considered the Investment Advisers’ periodic reports with respect to the Funds’ risk profiles, and how the Investment Advisers’ approach to risk monitoring and management influences portfolio management.
The Independent Trustees noted that for the one-year period ended May 31, 2011, the Core Plus Fixed Income Fund’s performance placed it in the top half of its peer group, and that the Core Fixed Income and Core Plus Fixed Income Funds had outperformed their respective benchmark indices for the same period. They also noted that the Core Fixed Income and Global Income Funds had each ranked in the bottom half of its respective peer group. The Independent Trustees observed that the Core Fixed Income and Global Income Funds had performance for multiple time periods that was in the bottom half of their peer groups and that they had communicated their concerns to the Investment Advisers’ senior management. The Independent Trustees noted that they had received assurances from the Investment Advisers’ senior management that measures would continue to be taken to address the Funds’ performance. The Independent Trustees noted that the Strategic Income Fund had commenced operations in 2010 and concluded that the Fund had provided a reasonable level of performance to investors in light of its investment policies and given prevailing conditions in the markets in which it invests.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual fee rates payable by each Fund under the Management Agreements. In this regard, the Trustees considered information on the services rendered by the Investment Advisers to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of the Funds’ management fees and breakpoints to those of relevant peer groups and category universes; an expense analysis which compared each Fund’s expenses to a peer group and a category universe; and a five-year history (or, in the case of Funds that commenced investment operations within a shorter period, since the year in which it commenced operations), comparing each Fund’s expenses to the peer and category medians. The analyses also compared each Fund’s transfer agency fees, custody and accounting fees, distribution fees, other expenses and fee waivers/reimbursements to those of other funds in the peer group and the peer group median. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.
In addition, the Trustees considered the Investment Advisers’ undertakings to limit the Funds’ “other expenses” ratios (excluding certain expenses) to certain specified levels. They also considered, to the extent that the Investment Advisers manage institutional accounts or collective investment vehicles having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Advisers to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to institutional accounts, which generally operated under less stringent legal and regulatory structures, required fewer services from the Investment Advisers to a smaller number of client contact points, were less time-intensive and paid lower fees. By contrast, the Trustees noted that the Investment Advisers provide substantial administrative services to the Funds under the terms of the Management Agreements.
In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if they believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed the Investment Advisers’ revenues and pre-tax profit margins with respect to the Trust and each of the Funds. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service) and the Investment Advisers’ expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Advisers for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also reviewed the report of the internal audit group within the Goldman Sachs organization, which included an assessment of the reasonableness and consistency of the Investment Advisers’ expense allocation methodology and an
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
evaluation of the accuracy of the Investment Advisers’ profitability analysis calculations. Profitability data for the Trust and each Fund were provided for 2010 and 2009 (2010 only for Strategic Income Fund), and the Trustees considered this information in relation to the Investment Advisers’ overall profitability. The Trustees considered the Investment Advisers’ revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.
Economies of Scale
The Trustees considered the information that had been provided regarding the Investment Advisers’ profitability and the rationale for the Funds’ breakpoint structure. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreements for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:
| | | | | | | | | | | | | | | | | |
| | | Core Fixed
| | Core Plus
| | Global
| | Strategic
|
Average Daily
| | Income
| | Fixed Income
| | Income
| | Income
|
| Net Assets | | Fund | | Fund | | Fund | | Fund |
| |
| First $1 billion | | | 0.40 | % | | | 0.45 | % | | | 0.65 | % | | | 0.60 | % |
| Next $1 billion | | | 0.36 | | | | 0.41 | | | | 0.59 | | | | 0.54 | |
| Next $3 billion | | | 0.34 | | | | 0.39 | | | | 0.56 | | | | 0.51 | |
| Next $3 billion | | | 0.33 | | | | 0.38 | | | | 0.55 | | | | 0.50 | |
| Over $8 billion | | | 0.32 | | | | 0.37 | | | | 0.54 | | | | 0.49 | |
The Trustees noted that the breakpoints at the $5 and $8 billion asset levels had been proposed by the Investment Advisers and approved by the Trustees in 2008 to further share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Advisers relating to the costs of the services provided by the Investment Advisers and their affiliates and their realized profits; information comparing fee rates charged by the Investment Advisers with fee rates charged to other funds in the peer group; and the Investment Advisers’ undertakings to limit the Funds’ “other expenses” ratios (excluding certain expenses) to certain amounts. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability would be passed along to shareholders at the specified asset levels. They also noted that GSAM was passing along savings to shareholders of the Core Fixed Income Fund, which had asset levels above at least the first breakpoint during the prior fiscal year.
Other Benefits to the Investment Advisers and Their Affiliates
The Trustees also considered the other benefits derived by the Investment Advisers and their affiliates from their relationship with the Funds as stated above, including: (a) transfer agency fees received by Goldman, Sachs & Co. (“Goldman Sachs”); (b) futures commissions earned by Goldman Sachs for executing futures transactions on behalf of the Funds; (c) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Advisers; (d) the Investment Advisers’ ability to leverage the infrastructure designed to service the Funds on behalf of their other clients; (e) the Investment Advisers’ ability to cross-market other products and services to Fund shareholders; (f) Goldman Sachs’ retention of certain fees as Fund Distributor; (g) the Investment Advisers’ ability to negotiate better pricing with custodians on behalf of their other clients, as a result of the relationship with the Funds; and (h) the possibility that the working relationship between the Investment Advisers and the Funds’ third party service providers may cause those service providers to be open to doing business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Funds and Their Shareholders
The Trustees also noted that the Funds receive certain potential benefits as a result of their relationship with the Investment Advisers, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Advisers; (b) improved servicing and pricing from vendors because of the volume of business generated by the Investment Advisers and their affiliates; (c) improved servicing from broker-dealers because of the volume of business generated by the Investment Advisers and their affiliates; (d) the Investment Advisers’ ability to negotiate favorable terms with derivatives counterparties as a result of the size and reputation of the Goldman Sachs organization; (e) the advantages gained from the Investment Advisers’ knowledge and experience gained from managing other accounts and products; (f) the Investment Advisers’ ability to hire and retain qualified personnel to provide services to the Funds because of the reputation of the Goldman Sachs organization; (g) the Funds’ access, through the Investment Advisers, to certain firmwide
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
resources (e.g., proprietary databases); and (h) the Funds’ access to certain affiliated distribution channels. The Trustees noted the competitive nature of the mutual fund marketplace, and noted further that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Advisers and that those shareholders have a general expectation that the relationship will continue.
Conclusion
In connection with their consideration of the Management Agreements, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by its respective Investment Adviser, the Investment Advisers’ costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Advisers’ continued management likely would benefit each applicable Fund and its shareholders and that the Management Agreements should be approved and continued with respect to each applicable Fund until June 30, 2012.
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 $699.7 billion in assets under management as of September 30, 2011, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. GSAM’s assets under management includes assets managed by Goldman Sachs Asset Management, LP and its Investment Advisory Affiliates. Additionally, GSAM ranks in the top 10 asset management firms worldwide, based on assets under management.1
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| 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 Fund
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
n Brazil Equity Fund
n China Equity Fund
n Korea Equity Fund
n India 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.
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| 1 | Ranking for Goldman Sachs Group, Inc., includes Goldman Sachs Asset Management, Private Wealth Management and Merchant Banking 2010 year-end assets. Ranked 10th in total assets worldwide. Pensions & Investments, June 2011. |
| 2 | An investment in a money market fund 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 was renamed 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. |
Financial Square Fundssm are registered service marks of Goldman, Sachs & Co.
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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
GOLDMAN, SACHS & CO.
Distributor and Transfer Agent | | OFFICERS
James A. McNamara, President
George F. Travers, Principal Financial Officer
Peter V. Bonanno, Secretary
Scott M. McHugh, Treasurer
GOLDMAN SACHS ASSET MANAGEMENT, L.P.
Investment Adviser
GOLDMAN SACHS ASSET MANAGEMENT
INTERNATIONAL
Investment Adviser
Christchurch Court, 10-15 Newgate Street
London, England EC1 A7H0 |
Visit our Website 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. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (I) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (II) on the Securities and Exchange Commission Web site at http://www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q will become available on the SEC’s website at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. When available, the Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. When available, Form N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Holdings and allocations shown are as of September 30, 2011 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.
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.
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).
Copyright 2011 Goldman, Sachs & Co. All rights reserved. 63381.MF.MED.TMPL/11/2011 MSFISAR11/50.7K
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| | | The information required by this Item is only required in an annual report on this Form N-CSR. |
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| ITEM 3. | | AUDIT COMMITTEE FINANCIAL EXPERT. |
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| | | 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. |
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| ITEM 5. | | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
| | | |
| | | Not applicable. |
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| 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. |
| | | |
| | | 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. |
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| | (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. |
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| | (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 | | |
| | | | |
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| | | | | James A. McNamara | | |
| | | | | President/Principal Executive Officer | | |
| | | | | Goldman Sachs Trust | | |
| | | | | | | |
| Date: | | | | December 7, 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. |
| | | | | | | |
| By: | | | | /s/ James A. McNamara | | |
| | | | |
| | |
| | | | | James A. McNamara | | |
| | | | | President/Principal Executive Officer | | |
| | | | | Goldman Sachs Trust | | |
| | | | | | | |
| Date: | | | | December 7, 2011 | | |
| | | | | | | |
| By: | | | | /s/ George F. Travers | | |
| | | | |
| | |
| | | | | George F. Travers | | |
| | | | | Principal Financial Officer | | |
| | | | | Goldman Sachs Trust | | |
| | | | | | | |
| Date: | | | | December 7, 2011 | | |
