Goldman Sachs High Yield Instl NCSRS Certified semi-annual shareholder report (management investment company)

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

(Name and address of agents for service)

Registrant’s telephone number, including area code: (312) 655-4400

Date of fiscal year end: March 31

Date of reporting period: September 30, 2011


ITEM 1.		REPORTS TO STOCKHOLDERS.

		The Semi-Annual Report to Stockholders is filed herewith.

Goldman Sachs Funds



Semi-Annual Report			September 30, 2011




			Single Sector Fixed Income Funds
			Emerging Markets Debt
			High Yield
			High Yield Floating Rate
			Investment Grade Credit
			Local Emerging Markets Debt
			U.S. Mortgages

Goldman Sachs Single Sector Fixed Income Funds


n	EMERGING MARKETS DEBT

n	HIGH YIELD

n	HIGH YIELD FLOATING RATE

n	INVESTMENT GRADE CREDIT

n	LOCAL EMERGING MARKETS DEBT

n	U.S. MORTGAGES


TABLE OF CONTENTS


Principal Investment Strategies and Risks		1

Investment Process		3

Market Review		4

Portfolio Management Discussion and Performance Summaries		11

Schedules of Investments		37

Financial Statements		90

Financial Highlights		98

Notes to Financial Statements		110

Other Information		134


NOT FDIC-INSURED	May Lose Value	No Bank Guarantee

GOLDMAN SACHS SINGLE 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 Emerging Markets Debt Fund invests primarily in sovereign and corporate debt of issuers located in or tied economically to 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 countries in which the Fund invests may have sovereign ratings that are below investment grade or are unrated. High yield, lower rated securities involve greater price volatility and present greater risks than higher rated fixed income securities. Fixed income securities of emerging countries may be less liquid and may be subject to greater price volatility than U.S. fixed income securities and will be subject to the risks of currency fluctuations and sudden economic or political developments. The liquidity of particular portfolio securities may shrink or disappear suddenly and without warning as a result of adverse economic, market or political events, or adverse investor perceptions, whether or not accurate. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. The securities markets of emerging countries may have more or less government regulation and may be subject to less extensive accounting and financial reporting requirements than the markets of more developed countries. The Fund is also subject to the risk that the issuers of sovereign debt or the government authorities that control the payment of debt may be unable or unwilling to repay principal or interest when due. The Fund may 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; the risk of default by a counterparty; and the risk 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 and 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 High Yield Fund invests primarily in high yield, fixed income securities that, at the time of purchase, are non-investment grade 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. 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 securities of foreign issuers denominated in currencies other than the U.S. dollar and in securities of issuers located in emerging countries. 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. The liquidity of particular portfolio securities may shrink or disappear suddenly and without warning as a result of adverse economic, market or political events, or adverse investor perceptions, whether or not accurate. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. The Fund may also engage in foreign currency transactions for hedging purposes (including cross hedging) or for speculative purposes. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; the risk of default by a counterparty; and the risk that transactions may not be liquid.

The High Yield Floating Rate Fund invests primarily in domestic or foreign floating rate loans and other floating or variable rate obligations rated below investment grade. High yield, lower rated instruments involve greater price volatility and present greater risks than higher rated instruments. 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’s investments in loans and fixed income instruments are subject to the risks associated with debt instruments generally, including credit, liquidity and interest rate risk. The Fund may invest in securities of foreign issuers denominated in currencies other than the U.S. dollar and in securities of issuers located in emerging countries. 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 liquidity of particular portfolio securities may shrink or disappear suddenly and without warning as a result of adverse economic, market or political events, or adverse investor perceptions, whether or not accurate. The Fund may also engage in foreign currency transactions for hedging purposes (including cross-hedging) or for speculative purposes. Forward foreign currency exchange

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

contracts are subject to the risk that the counterparty to the contract will default on its obligations. The Fund may make considerable investments in derivative instruments, including options, financial futures, swaps, options on swaps, structured securities 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; the risk of default by a counterparty; and the risk that transactions may not be liquid.

The Investment Grade Credit Fund invests primarily in investment grade fixed income 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 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; the risk of default by a counterparty; and the risk that transactions may not be liquid.

The Local Emerging Markets Debt Fund invests primarily in (i) sovereign and corporate debt of issuers located in or tied economically to emerging countries, denominated in the local currency of such emerging countries, or (ii) currencies of such 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 countries in which the Fund invests may have sovereign ratings that are below investment grade or are unrated. High yield, lower rated securities involve greater price volatility and present greater risks than higher rated fixed income securities. Fixed income securities of emerging countries may be less liquid and may be subject to greater price volatility and will be subject to the risks of currency fluctuations and sudden economic or political developments. The liquidity of particular portfolio securities may shrink or disappear suddenly and without warning as a result of adverse economic, market or political events, or adverse investor perceptions, whether or not accurate. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. The securities markets of emerging countries may have more or less government regulation and may be subject to less extensive accounting and financial reporting requirements than the markets of more developed countries. The Fund is also subject to the risk that the issuers of sovereign debt or the government authorities that control the payment of debt may be unable or unwilling to repay principal or interest when due. The Fund may 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; the risk of default by a counterparty; and the risk that transactions may not be liquid. The Fund is non-diversified and may invest more of its assets in fewer issuers than diversified funds and 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 U.S. Mortgages Fund invests primarily in securities representing direct or indirect interests in or that are collateralized by mortgage-backed securities of U.S. 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’s investments in mortgage-backed securities (MBS) are subject to prepayment risk, the risk that in a declining interest rate environment the Fund’s underlying mortgages may be prepaid, causing the Fund to have to reinvest at lower interest rates. This risk may result in greater share price volatility than a fixed income fund not invested in MBS. 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 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; the risk of default by a counterparty; and the risk that transactions may not be liquid.

GOLDMAN SACHS SINGLE 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:


n	Assess relative value among securities and sectors

n	Leverage the vast resources of GSAM in selecting securities for each portfolio


n	Team approach to decision making

n	Manage risk by avoiding significant sector and interest rate bets

Fixed Income portfolios that:

n Include domestic and global investment options, income opportunities, and access to areas of specialization such as high yield

n Capitalize on GSAM’s industry-renowned credit research capabilities

n Use a risk-managed framework to seek total return, recognizing the importance of investors’ capital accumulation goals as well as their need for income

MARKET REVIEW

Goldman Sachs Single 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 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.

The sell-off in riskier asset classes continued throughout 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 (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.

MARKET REVIEW

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 bonds and emerging markets debt sectors lagging U.S. Treasuries by more than 10% during the third calendar quarter overall.

n Investment grade corporate bonds sold off heavily during the Reporting Period because of ongoing concerns about Greece’s sovereign debt crisis and the potential of contagion to the rest of Europe as well as the financial sector. Indeed, the third calendar quarter was the most challenging three months for investment grade corporate bonds since the 2008-2009 credit crisis. During the Reporting Period as a whole, credit spreads, or the difference in yields between corporate bonds and duration-equivalent U.S. Treasury securities, widened by 78 basis points to reach 2.18% by September 30, 2011. U.S. investment grade corporate bonds generally outperformed their European counterparts. Many companies, particularly in the U.S., continued to show positive trends in cash balances and earnings per share.

The banking industry, however, struggled. European banks performed poorly after the release in July of stress test results that were not perceived as particularly meaningful. Thereafter, Bank of America was hit by litigation related to mortgage servicing, raising doubts about the bank’s level of liquidity and financial stability. During the Reporting Period, rating agencies underscored their concerns about the financial sector. Moody’s Investors Service made one- notch cuts to its ratings of Credit Agricole and Société Générale. It then downgraded Bank of America, Citigroup and Wells Fargo, with Bank of America receiving a larger than expected two-notch downgrade. On the regulatory front, the U.K. continued to discuss the so-called “ring-fencing” process (that is, placing legal barriers between “good” banks and “bad” banks in the U.K.).

New issuance of investment grade corporate bonds was muted overall, although it ramped up swiftly toward the end of the Reporting Period. Because of challenging market conditions, however, issuers had to offer substantial concessions to attract buyers.

n U.S. mortgage-backed securities lagged the rally in U.S. Treasuries during the Reporting Period amid increased market volatility and concern that falling interest rates would lead to faster prepayments. (Prepayment means paying off a debt partially or entirely before the loan term expires.) Prepayment is a risk for investors who hold mortgage-backed securities because it can deprive them of interest payments they might otherwise have received. The lower rate environment during the Reporting Period spurred economic incentives for eligible borrowers to refinance. Moreover, expectations of further homeowner relief efforts added to prepayment volatility, as government organizations hinted at modifications to existing refinancing programs to help reduce mortgage costs for credit impaired borrowers. In September, agency mortgage-backed securities rallied on the Fed’s decision to reinvest paydowns from its mortgage-backed securities and agency debt holdings back into the mortgage-backed securities market.

MARKET REVIEW

n High yield corporate bonds experienced great tumult during the Reporting Period. The second calendar quarter offered modest gains with strong corporate fundamentals overshadowed by mixed U.S. economic data. Uncertainty was the key word in the third calendar quarter. Concerns about the U.S. debt ceiling escalated as did fears about a slowdown in global economic growth and the fiscal sustainability of peripheral European countries. The high yield bond market, as represented by the Barclays Capital U.S. Corporate High Yield Index, 2% Issuer Capped, fell 5.12% during the Reporting Period, with the three months ended September 30, 2011 posting the worst quarterly performance since the first quarter of 2008. Yields trended higher, rising 251 basis points to 9.54%. During the Reporting Period, high yield bond spreads, or the difference in yields between high yield bonds and duration- equivalent U.S. Treasury securities, reached their widest levels since August 2009.

New issuance was mixed during the Reporting Period with $92.4 billion in the second quarter and $25.5 billion in the third quarter for total new issuance of $117.9 billion.¹ Demand moderated as investors became wary of riskier assets. During the Reporting Period, investment outflows from high yield mutual funds totaled $6.5 billion.² Default rates remained at historic lows with only five issuers defaulting during the Reporting Period. According to JP Morgan, the 12-month par-weighted high yield bond default rate ended September 2011 at 1.2%, well below the historical average of 4.2%.³

n The high yield loan market was adversely affected by volatility across the financial markets. During the Reporting Period, high yield loans, as represented by the Barclays Capital U.S. High Yield Loan Index, declined 4.33%. Much of the volatility was due to macroeconomic concerns in the developed markets, specifically in the European Union and the U.S. Higher quality loans performed well during the Reporting Period as investors responded to market volatility and uncertainty by targeting defensive names at attractive valuations and increasing the quality of their holdings. In general, BB-rated credit outperformed other sectors in the Barclays Capital U.S. High Yield Loan Index. Interbank offered rates, such as LIBOR and Euribor, remained relatively low as a result of central banks’ easy monetary policies. (LIBOR, or London interbank offered rates, are floating interest rates that are widely used as reference rates in bank, corporate and government lending agreements. Euribor, or the euro interbank offered rate, is a reference rate based on the averaged interest rates at which Eurozone banks lend to each other.) Furthermore, as policymakers expressed their intention to keep interest rates low for an extended period, investors had less reason to guard against rising rates, and the high yield loan market experienced investment outflows during the Reporting Period. The impact of such outflows, however, was somewhat mitigated by repayments and the presence of institutional investors who entered the market because of its attractive valuations.

n Emerging markets debt posted a modest positive return during the Reporting Period. The emerging external debt markets, as represented by J.P. Morgan EMBI Global Diversified Index, returned 1.69%. The top performers during the Reporting Period were (in U.S. dollar terms*) Mexico (+6.97%), Brazil (+6.77%) and the Philippines (+6.04%). Argentina (-18.54%), Ukraine (-9.47%) and Kazakhstan (-3.40%) turned in the weakest performance.


¹	Source: JP Morgan as of September 30, 2011

²	Source: Lipper/AMG Data

³	Source: JP Morgan as of September 30, 2011


*	All regional and market returns are in U.S. dollar terms (unless otherwise specified), are based on country-specific stock market indices and reflect the reinvestment of any dividends, if applicable.

MARKET REVIEW

For most of the Reporting Period, emerging markets debt weathered the volatility in the fixed income market. However, in September, concerns about global economic growth and European sovereign debt risk overwhelmed investor sentiment. Argentina took the brunt of selling. Declines in Argentina’s agricultural commodities prices undermined its soy export revenues, and the country’s current account balance deteriorated. Ratings agency Moody’s Investors Service lowered its outlook for Argentina’s banking system from stable to negative, citing lackluster earnings, fragile depositor confidence and exposure to political and event risks. Sentiment across Latin American markets also weakened on the sharp depreciation of Brazil’s real. The Ukrainian external debt market was roiled by concerns that the government would miss the September payment on its domestic debt. Ultimately, Ukraine’s finance ministry made the payment of approximately $400 billion, enabling the country to avoid a technical default. On the positive side, Peruvian external debt benefited from its government’s focus on fiscal policy. The finance minister pledged not to increase public spending in 2012, saying that authorities “must remain cautious” in the current global financial turmoil. During the Reporting Period, Standard & Poor’s Ratings upgraded Peru’s long-term foreign currency rating by one notch to BBB with a stable outlook.

n Local emerging markets debt declined during the Reporting Period on concerns about global economic growth and European sovereign debt risk. Currency depreciation was the main reason for local debt underperformance, as the U.S. dollar proved once again to be the preferred currency for safe-haven flows in volatile market conditions. The emerging local debt markets, as represented by the J.P. Morgan Government Bond Index-Emerging Markets Global Diversified Index, declined 4.94%. Of that return, +3.85% was derived from interest rates and -8.79% from currencies’ depreciation versus the U.S. dollar. The U.S. Dollar Index, a measure of the value of the U.S. dollar against a basket of international currencies, increased 3.55%, while emerging market currencies, as represented by the J.P. Morgan Emerging Local Markets Plus (ELMI+) Index, dropped 7.29%. Among countries, the top performers during the Reporting Period were (in U.S. dollar terms*) Indonesia (+13.35%), Peru (+9.33%) and Colombia (+4.29%). The weakest performers were Turkey (-12.36%), Russia (-11.38%) and South Africa (-10.27%).

South Africa weakened, largely as a result of the depreciation of its currency against the U.S. dollar. In addition, labor strikes hurt manufacturing output, and slowing global economic growth increased the likelihood of additional output declines. However, these challenges dispelled expectations for interest rate hikes at least in the near term. Indonesia gained mainly because of a rally in local interest rates, though the Indonesian rupiah depreciated against the U.S. dollar. Increased capital investment has helped Indonesia boost its own economic growth, and its central bank left interest rates unchanged during the Reporting Period. Peru benefited from its government’s focus on fiscal policy. The finance minister pledged not to increase public spending in 2012, as authorities “must remain cautious” in the current global financial turmoil. During the Reporting Period, Standard & Poor’s Ratings upgraded Peru’s long-term foreign currency rating by one notch to BBB with a stable outlook.

MARKET REVIEW

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 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 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.

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 market debt, despite the global economic slowdown, emerging markets generally continued to display healthier growth rates and lower debt-to-Gross Domestic Product (“GDP”) 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, 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.

MARKET REVIEW

We remain positive on investment grade corporate bonds though we expect relatively high volatility at least through the end of 2011. In our opinion, credit spreads at the end of the Reporting Period were generally wider than we might have expected given default expectations, economic growth and both the performance and volatility of the equity markets. Furthermore, credit fundamentals were strong and improving in many sectors. Because companies are generally carrying a relatively lower than average amount of debt, we expect an increase in mergers, acquisitions and share buybacks in the coming months. We have a neutral view on the banking industry. The fragility of certain peripheral Eurozone nations has affected some European bank funding. We are also concerned about risks related to U.S. banks’ mortgage exposures, the potential effects of contagion from Europe and the risk of a further slowdown in the macroeconomic picture. Although regulatory risk remains a concern, we believe changes to the regulatory framework for banks — including the Dodd-Frank legislation in the U.S. and Basel III globally — will be beneficial for financial companies in the long run. Basel III is a global regulatory standard relating to banks’ capital adequacy and liquidity. At the same time, we favor bonds lower in the capital structure because we think defensive bonds offer limited return potential.

Within U.S. mortgage-backed securities, we had, at the end of the Reporting Period, a preference for lower coupon securities. We believe that pricing of premium agency mortgage-backed securities at the end of the Reporting Period did not reflect growing prepayment risk as refinancing activity increases, possibly with the help of further housing policy initiatives. Also, we believe that improved technical and fundamental factors should continue to support attractive pricing among non-agency mortgage-backed securities. We were constructive on student loan asset-backed securities (ABS) backed by the Federal Family Education Loan Program (FFELP) relative to other ABS sectors such as credit cards and autos. We were neutral on commercial mortgage-backed securities (CMBS) as a result of our cautious outlook for U.S. economic growth.

We were cautiously optimistic on high yield corporate bonds at the end of the Reporting Period despite deterioration in the macroeconomic backdrop. Yields were approximately 10% at the end of September 2011, and given market volatility, we expect them to remain higher than fundamentals would suggest. Typically, corporations significantly increase leverage during the expansion phase of an economic cycle, which is why defaults rise when growth slows. We do not think that is the case today. During the relatively modest expansion in 2010, corporations continued to de-leverage their balance sheets. Although high yield spreads at the end of the Reporting Period seemed to suggest a 2012 default rate of 8% to 9%, we believe the default rate is likely to be approximately 3%, ranging between 2% and 4% depending on the economic environment. In our view, spreads are wide because investors want compensation for other risks, including those to the economy or to market liquidity. We believe spreads are likely to remain wide until European policymakers resolve sovereign debt concerns and could even widen further if banks are not adequately capitalized to withstand systemic risks. We expect demand for high yield corporate bonds to continue as long as U.S. government bond yields remain very low (which may drive yield-seeking investors to take more credit risk) and equity market valuations remain vulnerable to the worsening economic outlook.

MARKET REVIEW

In our opinion, the high yield loan market has the potential for dollar price appreciation and attractive current income. However, because market volatility has had a negative impact on investor appetite, we believe that there must be greater overall pricing stability across riskier fixed income assets for such potential to be realized. At the end of the Reporting Period, we viewed valuations at the upper end of the non-investment grade credit spectrum as most attractive and expected higher rated credits to lead a recovery in the asset class in general. Further, at the end of the Reporting Period, we considered the risk premium on high yield bank loans to be greater than what might be warranted in the event of a higher default rate.

In emerging markets debt, we favored Colombian and Indonesian bonds at the end of the Reporting Period. Colombia’s advantages include decreasing debt levels and strong capital inflows, while Indonesia is benefiting from continued growth in Asia and improving fundamentals. We also had a positive view on inflation-linked local Brazilian debt and believed that rates are very high even after adjusting for risk. We continued to believe that emerging markets debt can better withstand shocks to the global financial system than in years past, thanks in part to reserve accumulation and improved external debt positions. In our opinion, greater policy autonomy has also played a key role, as credible monetary policy has helped to moderate inflation and fiscal consolidation has reduced public sector debt burdens. At the end of the Reporting Period, stand-alone valuations in emerging markets debt reflected these fundamental improvements to some extent, but we believe increasing recognition of emerging markets debt as a mature fixed income sector should lead to more strategic investment allocations, consequently boosting valuations.

Local emerging markets debt has dramatically transformed in the last few years, in our view. The sector has deepened and become more liquid. The investor base has grown and become more diversified. Emerging market economies have undergone structural changes that promote macroeconomic stability and active debt management. As a result, investment inflows to local debt funds have become more consistent and stem from strategic investors. We believe that these trends are likely to persist in the future. Over the medium term, we believe that returns in local emerging markets debt are likely to be supported by currency appreciation. We base this view on the strong divergence in real GDP growth between emerging markets and mature markets as well as on expected continuing inflows to emerging markets countries. We expect current account balances and investment flows into emerging markets regions to remain robust as well. In addition, many emerging markets central banks, especially in Asia, appeared more willing to let their currencies appreciate. Finally, we believe the potential appreciation of emerging markets currencies make currency exposure through unhedged local debt look compelling over the long run. Overall, we believe emerging markets local debt continues to offer more attractive yield relative to developed markets bonds, despite the apparent gradual convergence of inflation expectations and sovereign debt risk between emerging and developed economies.

PORTFOLIO RESULTS

Goldman Sachs Emerging Markets Debt Fund

Investment Objective

The Fund seeks a high level of total return consisting of income and capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Global Fixed Income Investment Management Team discusses the Goldman Sachs Emerging Markets Debt 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 and IR Shares generated cumulative total returns, without sales charges, of 0.48%, 0.10%, 0.65% and 0.52%, respectively. These returns compare to the 1.69% cumulative total return of the Fund’s benchmark, the J.P. Morgan EMBI Global Diversified Index (with dividends reinvested) (the “Index”), during the same time period.

Q	What key factors were responsible for the Fund’s performance during the Reporting Period?

A	Country and issue selection among local currency denominated bonds detracted from the Fund’s relative performance during the Reporting Period. The Fund’s U.S. duration and yield curve positioning also dampened results. 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. Adding slightly to returns was country and issue selection of hard currency denominated debt.

Q	Which segments of emerging markets debt most significantly affected Fund performance?

A	The Fund’s overweighted exposure to the Mexican peso and the Taiwan dollar, accomplished through the use of forward foreign currency exchange contracts, detracted from relative results. The Mexican peso depreciated 14.3% during the Reporting Period, and the Taiwan dollar depreciated 4.8% in September alone. The Fund’s position in Mexican corporate debt also dampened returns. Specifically, the Fund was hampered by an investment in the bonds of a Mexican building supplies company; the holding underperformed as investor risk aversion increased during August and September.

On the positive side, the Fund benefited from an overweighted position in Brazilian local bonds, which rallied after Brazil’s central bank cut interest rates in August. Also contributing were the Fund’s holdings in Venezuelan external debt, which outperformed on news that President Chavez’s chance of winning re-election had decreased. An underweighted position in the euro, accomplished through the use of forward foreign currency exchange contracts, further enhanced results, as the currency depreciated 6.8% during September.


Q	Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A	The Fund’s U.S. duration and yield curve positioning detracted from relative results during the Reporting Period. Between April and the end of July, the Fund had a short duration bias. This position detracted when yields fell.

Q	How did the Fund use derivatives and similar instruments during the Reporting Period?

A	The Fund invested in U.S. Treasury futures, forward foreign currency exchange contracts, interest rate swaps, non-deliverable bond forwards and credit linked notes. U.S. Treasury futures were used to manage U.S. interest rate duration. Forward foreign currency exchange contracts were used for hedging purposes as well as to express a positive view on a given currency. Interest rate swaps were used to express our views on the direction of a country’s interest rates. Non-deliverable bond forwards and credit linked notes were used in place of buying a local currency denominated bond when a particular market was otherwise inaccessible as well as a more efficient means of gaining access to a local market.

PORTFOLIO RESULTS


Q	Were there any notable changes in the Fund’s weightings during the Reporting Period?

A	Through most of the Reporting Period, the Fund had little exposure to Mexican local debt. In September 2011, we shifted from that underweighted position to an overweighted allocation, as we believe that Mexico’s interest rates will decrease as a result of slack in that nation’s economy and its relatively stable inflation rate. We increased the Fund’s overweighted position in Indonesian external debt. During the Reporting Period, we shifted the Fund from an overweighted position in Peruvian external debt to an underweighted position.

Q	How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?

A	At the end of the Reporting Period, the Fund had over- weighted positions relative to the Index in Colombian and Indonesian external debt and in Brazilian local bonds. It was underweight to Peruvian external debt relative to the Index.

FUND BASICS

Emerging Markets Debt Fund

as of September 30, 2011


PERFORMANCE REVIEW


				J.P. Morgan EMBI			30-Day			30-Day
April 1, 2011–	Fund Total Return			Global Diversified			Standardized			Standardized
September 30, 2011	(based on NAV)¹			Index²			Subsidized Yield³			Unsubsidized Yield³


Class A		0.48	%		1.69	%		4.88	%		4.82	%
Class C		0.10			1.69			4.33			4.26
Institutional		0.65			1.69			5.47			5.40
Class IR		0.52			1.69			5.38			5.31


¹		The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²		The J.P. Morgan EMBI Global Diversified Index (with dividends reinvested) is an unmanaged index of debt instruments of 31 emerging countries. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³		The 30-Day Standardized Subsidized 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 Unsubsidized Yield does not reflect any applicable expense reductions.


STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS⁴


For the period ended 9/30/11	One Year			Five Years			Since Inception			Inception Date


Class A		-5.54	%		6.38	%		9.47	%	8/29/03
Class C		-2.72			6.57			6.56		9/29/06
Institutional		-0.73			7.73			10.49		8/29/03
Class IR		-0.90			N/A			2.97		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 4.5% 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 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 will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted.

		The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

FUND BASICS


EXPENSE RATIOS⁵


	Net Expense Ratio			Gross Expense Ratio
	(Current)			(Before Waivers)


Class A		1.22	%		1.29	%
Class C		1.97			2.04
Institutional		0.88			0.95
Class IR		0.97			1.04


⁵		The expense ratios of the Fund, both current (net of applicable fee waivers or expense limitations) and before waivers (gross of applicable fee waivers or expense limitations), are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The Fund’s waivers and/or expense limitations, if any, 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.


TOP TEN COUNTRY ALLOCATION⁶


	Percentage of Net Assets

	as of 9/30/11			as of 3/31/11


Indonesia		8.6	%		5.6	%
Colombia		7.6			6.3
Brazil		6.8			5.8
Russia		6.1			4.8
Mexico		6.1			5.1
Venezuela		5.3			4.1
Philippines		5.2			3.8
Ukraine		3.8			3.0
Turkey		3.6			5.1
South Africa		3.0			1.2


⁶		The percentage shown for each investment category reflects the value of investments in that country as a percentage of net assets. The above table does not include repurchase agreements of 7.4% as of 9/30/11 and 14.8% as of 3/31/11. 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.

PORTFOLIO RESULTS

Goldman Sachs High Yield Fund

Investment Objective

The Fund seeks a high level of current income and may also consider the potential for capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs High Yield Fixed Income Investment Management Team discusses the Goldman Sachs High Yield 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 -7.10%, -7.42%, -7.43%, -6.91%, -7.17%, -6.83% and -7.21%, respectively. These returns compare to the -5.12% cumulative total return of the Fund’s benchmark, the Barclays Capital U.S. Corporate High Yield Index, 2% Issuer Capped (the “Index”), during the same time period.

Q	What key factors were responsible for the Fund’s performance during the Reporting Period?

A	Security selection was the primary reason for the Fund’s relative underperformance during the Reporting Period. Other detractors included an underweighted position in high quality credits, an overweighted allocation to Europe and holdings of euro-denominated bonds and restructured equity. The Fund benefited from its underweighted position in emerging markets corporate bonds.

Q	Which segments within high yield most significantly affected Fund performance?

A	The Fund was hampered by its underweighted position relative to the Index in high quality credits, which performed well during the Reporting Period, especially during the flight to quality in August and September. Security selection was also a drag on the Fund’s relative results. The largest single detractor was the Fund’s overweight to wireless operator Sprint Nextel. Sprint Nextel’s high yield bonds sold off during the Reporting Period on speculation that selling Apple’s iPhone would curtail its profits in the short term. The Fund’s overweight to Reynolds Group Holdings also hurt its performance. Reynolds Group Holdings’ high yield bonds declined after the packaging company announced its planned $4.5 billion acquisition of Graham Packaging. In addition, a position in the restructured equity of Nortek — which the Fund received in exchange for Nortek’s bonds when the company emerged from bankruptcy — dampened relative returns as the share price fell on news of poor second quarter earnings. Overall, issue selection in the financial sector detracted. The Fund was overweight the high yield bonds of ALLY Bank and insurance companies Lloyd’s and AXA Equitable. The prices of these securities declined as investors grew increasingly concerned about the European sovereign debt crisis and its potential impact on the global financial system.

On the positive side, the Fund had a small allocation to cash during the Reporting Period, which helped reduce the impact of the market declines of August and September. In addition, an underweighted allocation to emerging markets corporate bonds was advantageous. This sector sold off amid worries about the U.S. debt ceiling and heightened fears of Eurozone sovereign debt contagion. From an industry perspective, the Fund benefited from an underweighted exposure to home construction and an overweighted allocation to consumer products. In home construction, for example, the Fund did not own K. Hovnanian Homes, Beazer Homes or Standard Pacific Homes, each of which underperformed during the Reporting Period. In consumer products, it was overweight Spectrum Brands and Sally Beauty Supply. The Fund also sought to avoid individual names that were either under stress, in bankruptcy or headed towards restructuring. It did not hold paper manufacturer NewPage, wireless broadband company Clearwire and commercial forest plantation operation Sino-Forest.

PORTFOLIO RESULTS


Q	Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A	The Fund does not use duration and yield curve positioning as active management strategies within its investment process.

Q	How did the Fund use derivatives and similar instruments during the Reporting Period?

A	To hedge against currency risk (that is, the risk that certain currencies might fluctuate in value), the Fund employed forward foreign currency exchange contracts during the Reporting Period.

Q	Were there any notable changes in the Fund’s weightings during the Reporting Period?

A	During the Reporting Period, we scaled back the Fund’s risk exposure by reducing its holdings of high yield bonds rated CCC and re-allocated the proceeds to holdings in high yield bonds rated BB. We reduced the Fund’s exposure to Europe. In addition, we added exposure to traditionally defensive industries, including energy, health care, cable, telecommunications and transportation in an effort to better position the Fund should macroeconomic uncertainty persist. We continued to reduce the Fund’s holdings of economically sensitive credits, specifically those we considered most vulnerable to adverse economic outcomes in both developed and growth markets.

Q	How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?

A	At the end of the Reporting Period, the Fund was overweight gaming and lodging, commercial services and capital goods relative to the Index. It was underweight financials, building materials and home construction versus the Index.

FUND BASICS

High Yield Fund

as of September 30, 2011


PERFORMANCE REVIEW


				Barclays Capital
				U.S. Corporate High			30-Day			30-Day
April 1, 2011–	Fund Total Return			Yield Bond Index			Standardized			Standardized
September 30, 2011	(based on NAV)¹			2% Issuer Capped²			Subsidized Yield³			Unsubsidized Yield³


Class A		-7.10	%		-5.12	%		7.38	%		7.38	%
Class B		-7.42			-5.12			6.94			6.94
Class C		-7.43			-5.12			6.95			6.95
Institutional		-6.91			-5.12			8.09			8.09
Service		-7.17			-5.12			7.56			7.56
Class IR		-6.83			-5.12			7.99			7.99
Class R		-7.21			-5.12			7.47			7.47


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. Corporate High Yield Bond Index , 2% Issuer Capped, an unmanaged index, covers the universe of U.S. dollar denominated, non-convertible, fixed rate, non-investment grade debt. Index holdings must have at least one year to final maturity, at least $150 million par amount outstanding, and be publicly issued with a rating of Ba1 or lower. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³		The 30-Day Standardized Subsidized 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 Unsubsidized Yield does not reflect any applicable 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		-5.23	%		3.53	%		7.55	%		5.54	%	8/1/97
Class B		-6.25			3.34			7.39			5.44		8/1/97
Class C		-2.45			3.73			7.26			5.13		8/15/97
Institutional		-0.38			4.89			8.45			6.28		8/1/97
Service		-0.90			4.35			7.89			5.74		8/1/97
Class IR		-0.33			N/A			N/A			4.83		11/30/07
Class R		-0.98			N/A			N/A			4.24		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 4.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). 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. Because Institutional, Service, Class R and IR Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 60 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted. The 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.


EXPENSE RATIOS⁵


	Net Expense Ratio			Gross Expense Ratio
	(Current)			(Before Waivers)


Class A		1.05	%		1.06	%
Class B		1.80			1.81
Class C		1.80			1.81
Institutional		0.71			0.72
Service		1.21			1.22
Class IR		0.80			0.81
Class R		1.30			1.31


⁵		The expense ratios of the Fund, both current (net of applicable fee waivers or expense limitations) and before waivers (gross of applicable fee waivers or expense limitations), are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The Fund’s waivers and/or expense limitations, if any, 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


TOP TEN ISSUERS AS OF 9/30/11⁶


Company	% of Net Assets			Line of Business


Sprint Nextel		2.7	%	Telecommunications – Cellular
Intelsat		2.4		Telecommunications – Satellites
HCA		2.3		Health Care – Services
CIT Group		2.0		Finance
Ford		2.0		Automotive
Ally Financial		1.6		Finance
MGM Mirage		1.5		Gaming
Reynolds Group		1.3		Packaging
AIG		1.3		Finance
AES		1.3		Utilities – Electric


⁶		The top 10 issuers may not be representative of the Fund’s future investments.


TOP TEN INDUSTRY ALLOCATIONS⁷


	Percentage of Net Assets

	as of 9/30/11			as of 3/31/11


Energy		9.1	%		7.1	%
Health Care		8.1			7.5
Finance		7.6			7.9
Utilities		6.4			4.6
Media		6.1			5.8
Gaming		5.8			6.3
Technology		5.2			6.6
Automotive		4.9			4.8
Telecommunications – Non Cellular		4.7			5.4
Packaging		3.7			3.4


⁷		The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. The above table does not include repurchase agreements of 5.8% as of 9/30/11 and 5.0% as of 3/31/11. 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.

PORTFOLIO RESULTS

Goldman Sachs High Yield Floating Rate Fund

Investment Objective

The Fund seeks a high level of current income.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs High Yield Fixed Income Investment Management Team discusses the Goldman Sachs High Yield Floating Rate 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 -3.52%, -3.86%, -3.26%, -3.31% and -3.52%, respectively. These returns compare to the -4.33% cumulative total return of the Fund’s benchmark, the Barclays Capital Bank Loan Index/U.S. High Yield Loan Index (the “Index”), during the same time period.

Q	What key factors were responsible for the Fund’s performance during the Reporting Period?

A	The Fund’s bias toward higher quality securities contributed the most to its relative performance during the Reporting Period. Security selection overall was also a plus.

Q	Which segments of the high yield floating rate loan market significantly affected Fund performance?

A	We focused on constructing a portfolio of high yield bank loans rated BB and high single-B. Higher quality loans historically outperform lower quality loans on a risk-adjusted basis during periods of high volatility and when default rates are low — as was the case during the Reporting Period. In addition, the Fund was underweight non-rated bank loans and in bank loans rated CCC and less. This “up in quality” bias contributed to the Fund’s relative outperformance as macroeconomic uncertainty increased, U.S. policymakers debated the raising of the nation’s debt ceiling and Europe’s sovereign debt challenges continued.

The Fund also benefited from overweighted positions in traditionally defensive industries, including health care, pharmaceuticals, food and beverage, and energy. Similarly, investments in specific defensive names, such as Dollar General and Clean Harbors, enhanced performance. Select purchases of new issues also added value.

Detracting from performance was the Fund’s exposure to large and liquid names in more cyclical industries. Such holdings included The Chrysler Group, First Data Corporation and Univision.


Q	Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A	The Fund does not use duration and yield curve positioning as active management strategies within its investment process.

Q	How did the Fund use derivatives and similar instruments during the Reporting Period?

A	As we sought to increase the Fund’s total return, a specialized index of loan-only credit default swaps was used as a cost- efficient instrument to grant us versatility in the management of the Fund’s investment strategy.

Q	Were there any notable changes in the Fund’s weightings during the Reporting Period?

A	No significant changes were made to the Fund’s weightings during the Reporting Period. However, the Fund made a few purchases worthy of note. The Fund bought a secured term loan and 6.5% secured notes issued by HCA (Hospital Corporation of America), the largest for-profit hospital operator in the U.S. Both purchases represent our focus on higher quality non-investment grade issues, while the secured notes additionally reflected our relative value focus and ability to target bonds with risk profiles similar to senior secured loans. Also, the Fund bought a secure term loan issued by Intelsat Jackson Holdings, which operates the world’s largest fixed satellite services business. The purchase reflects our quality focus and emphasis on the securities of industry leaders that also have substantial collateral supporting the debt they issue.

PORTFOLIO RESULTS


Q	How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?

A	At the end of the Reporting Period, the Fund was overweight energy; food, beverage and tobacco; and health care relative to the Index. It was underweight aerospace and defense, consumer products and technology compared to the Index.

FUND BASICS

High Yield Floating Rate Fund

as of September 30, 2011


PERFORMANCE REVIEW


							30-Day			30-Day
April 1, 2011–	Fund Total Return			Barclays Capital			Standardized			Standardized
September 30, 2011	(based on NAV)¹			Bank Loan Index²			Subsidized Yield³			Unsubsidized Yield³


Class A		-3.52	%		-4.33	%		3.11	%		3.01	%
Class C		-3.86			-4.33			2.43			2.33
Institutional		-3.26			-4.33			3.51			3.42
Class IR		-3.31			-4.33			3.39			3.27
Class R		-3.52			-4.33			2.95			2.86


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 Bank Loan Index provides broad and comprehensive total return metrics of the universe of syndicated term loans. To be included in the index, a bank loan must be dollar denominated, have at least $150 million funded loan, a minimum term of one year, and a minimum initial spread of LIBOR+125. It is not possible to invest directly in an index.

³		The 30-Day Standardized Subsidized 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 Unsubsidized Yield does not reflect any applicable expense reductions.


STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS⁴


For the period ended 9/30/11	Since Inception			Inception Date


Class A		-5.69	%	3/31/11
Class C		-4.82		3/31/11
Institutional		-3.26		3/31/11
Class IR		-3.31		3/31/11
Class R		-3.52		3/31/11


⁴		The Standardized Average Annual Total Returns are average annual total returns or cumulative total returns (only if performance is one year or less) 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 2.25% 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 Average Annual Total Returns.

		The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

FUND BASICS


EXPENSE RATIOS⁵


	Net Expense Ratio			Gross Expense Ratio
	(Current)			(Before Waivers)


Class A		1.08	%		1.10	%
Class C		1.83			1.85
Institutional		0.74			0.76
Class IR		0.83			0.85
Class R		1.33			1.35


⁵		The expense ratios of the Fund, both current (net of applicable fee waivers or expense limitations) and before waivers (gross of applicable fee waivers or expense limitations), are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The Fund’s waivers and/or expense limitations, if any, 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.


TOP TEN INDUSTRY ALLOCATIONS⁶


	Percentage of Net Assets

	as of 9/30/11			as of 3/31/11


Health Care		8.4	%		—
Retailers		6.8			1.1	%
Food & Beverages		6.0			1.3
Services Cyclical – Business Services		5.5			—
Health Care – Services		5.3			1.7
Automotive – Parts		5.1			—
Chemicals		4.6			—
Technology – Software/Services		4.5			1.6
Wireless Telecommunications		3.9			1.7
Media – Broadcasting & Radio		2.8			—


⁶		The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. The above table does not include repurchase agreements of 14.5% as of 9/30/11. Please note, the Fund commenced operations on 3/31/11 and thus was not fully invested on that day. 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.

PORTFOLIO RESULTS

Goldman Sachs Investment Grade Credit Fund

Investment Objective

The Fund seeks a high level of total return consisting of capital appreciation and income that exceeds the total return of the Barclays Capital U.S. Credit Index.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs Investment Grade Credit 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, Institutional and Separate Account Institutional Shares generated cumulative total returns, without sales charges, of 4.69%, 4.87% and 4.87%, respectively. These returns compare to the 5.60% cumulative total return of the Fund’s benchmark, the Barclays Capital U.S. Credit Index (the “Index”), during the same time period. During the period from inception on July 29, 2011 to September 30, 2011, the Fund’s Class IR Shares generated a cumulative total return, without sales charges, of -0.34%. This compares to the 0.61% cumulative total return of the Index during the same time period.

Q	What key factors were responsible for the Fund’s performance during the Reporting Period?

A	The Fund’s cross-sector strategy detracted the most from relative performance. In our cross-sector strategy, we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark. The combined effect of the Fund’s duration and yield curve positioning also detracted from results. 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. On the positive side, issue selection among investment grade corporate bonds contributed to the Fund’s relative returns.

Q	Which segments of investment grade credit most significantly affected Fund performance?

A	During the Reporting Period, the Fund was hampered by its cross-sector positioning, specifically its overweighted positions relative to the Index in investment-grade corporate bonds and non-agency mortgage-backed securities. As mentioned in the Market Review, riskier fixed income classes underperformed during the Reporting Period. The bearish sentiment was driven by weakness in global economic data, ongoing concerns about the future of Greece and the potential contagion to the rest of Europe and the financial sector.

On the positive side, our individual issue selection of investment grade corporate bonds added to relative results. In particular, the Fund benefited from its select investments in the bonds of financials companies, which outperformed the lagging financials sector overall. Also advantageous was the Fund’s bias toward issues at the lower end of the ratings spectrum. Many of these names performed strongly during the Reporting Period.


Q	Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A	The Fund’s U.S. duration and yield curve positioning detracted overall from its relative returns during the Reporting Period. The Fund was underweight five-year maturities on the U.S. Treasury yield curve, which dampened results when yields in this segment of the U.S. Treasury yield curve declined.

PORTFOLIO RESULTS


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 used Treasury financial futures contracts to hedge interest rate exposure and facilitate specific duration and yield curve strategies; interest rate swaps to hedge interest rate exposure and 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 to implement specific credit-related investment strategies and hedge corporate spread duration (or the price sensitivity of a corporate bond to a 100 basis point change in its spread over LIBOR, or London interbank offered rates, i.e. floating interest rates widely used as reference rates in bank, corporate and government lending agreements); swaptions (or options on interest rate swap contracts) to hedge and express an outright term structure view; and forward foreign currency exchange contracts to hedge currency exposure.

Q	Were there any notable changes in the Fund’s weightings during the Reporting Period?

A	We reduced the Fund’s exposure to the banking industry during the reporting period.

Q	How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?

A	At the end of the Reporting Period, the Fund had an overweighted position relative to the Index in investment grade corporate credit. Within corporate bonds, the Fund was overweight banking, insurance, real estate investment trusts (REITs) and energy. Relative to the Index, the Fund was underweight information technology, pharmaceuticals and media cable corporate bonds.

FUND BASICS

Investment Grade Credit Fund

as of September 30, 2011


PERFORMANCE REVIEW


				Barclays Capital			30-Day			30-Day
April 1, 2011–	Fund Total Return			U.S. Credit			Standardized			Standardized
September 30, 2011	(based on NAV)¹			Index²			Subsidized Yield³			Unsubsidized Yield³


Class A		4.69	%		5.60	%		3.41	%		3.25	%
Institutional		4.87			5.60			3.89			3.73
Separate Account		4.87			5.60			3.89			3.72
Institutional

July 29, 2011–
September 30, 2011


Class IR		-0.34	%		0.61	%		3.95	%		3.75	%


¹		The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²		The Barclays Capital U.S. Credit Index is an unmanaged index which is unbundled into pure corporates (industrial, utility, and finance, including both U.S. and non-U.S. corporations) and non-corporates (sovereign, supranational, foreign agencies, and foreign local governments). The index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³		The 30-Day Standardized Subsidized 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 Unsubsidized Yield does not reflect any applicable expense reductions.


STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS⁴


For the period ended 9/30/11	One Year			Five Years			Since Inception			Inception Date


Class A		0.73	%		4.00	%		3.99	%		11/3/03
Institutional		5.03			5.15			4.89			11/3/03
Separate Account Institutional		5.03			5.21			4.94			11/3/03
Class IR		N/A			N/A			-0.34			7/29/11


⁴		The Standardized Average Annual Total Returns are average annual total returns or cumulative total returns (only if performance is one year or less) 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. 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, Separate Account Institutional and Class IR Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns.

		The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects fee waivers and/or expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

FUND BASICS


EXPENSE RATIOS⁵


	Net Expense Ratio			Gross Expense Ratio
	(Current)			(Before Waivers)


Class A		0.71	%		0.84	%
Institutional		0.37			0.50
Separate Account Institutional		0.37			0.50
Class IR		0.46			0.59


⁵		The expense ratios of the Fund, both current (net of applicable fee waivers or expense limitations) and before waivers (gross of applicable fee waivers or expense limitations), are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The Fund’s waivers and/or expense limitations, if any, 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.


SECTOR ALLOCATIONS⁶

Percentage of Net Assets


⁶		The Fund is actively managed and, as such, its composition may differ over time. 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		“Agency Debentures” include agency securities offered by companies such as the Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“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.

FUND BASICS


TOP TEN INDUSTRY ALLOCATIONS⁸


	Percentage of Net Assets

	as of 9/30/11			as of 3/31/11


Banks		17.3	%		27.9	%
Energy		9.2			7.5
Real Estate Investment Trusts		5.7			6.1
Wirelines and Wireless Telecommunications		5.3			3.4
Insurance		4.9			4.8
Electric		4.5			3.9
Food & Beverage		4.3			3.5
Media		4.1			2.1
Health Care		3.9			3.9
Pipelines		3.3			4.4


⁸		The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. 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.

PORTFOLIO RESULTS

Goldman Sachs Local Emerging
Markets Debt Fund

Investment Objective

The Fund seeks a high level of total return consisting of income and capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Global Fixed Income Investment Management Team discusses the Goldman Sachs Local Emerging Markets Debt 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 and IR Shares generated cumulative total returns, without sales charges, of -7.69%, -8.02%, -7.43% and -7.58%, respectively. These returns compare to the -4.94% cumulative total return of the Fund’s benchmark, the J.P. Morgan Government Bond Index – Emerging Markets Global Diversified Index (with dividends reinvested) (the “Index”), during the same time period.

Q	What key factors were responsible for the Fund’s performance during the Reporting Period?

A	Country and issue selection among local currency denominated bonds detracted from the Fund’s relative performance. Overall, the Fund’s positioning within emerging markets currencies added value.

Q	Which segments of local emerging markets debt most significantly affected Fund performance?

A	The Fund’s overweighted exposure to the Mexican peso, accomplished through the use of forward foreign currency exchange contracts, detracted from relative results. The currency depreciated 14.3% during the Reporting Period. As Indonesia’s bond market rallied, an underweighted position in Indonesian local debt further hampered performance. Also, the Fund’s position in Turkey’s inflation-linked local bonds detracted as inflation increased and Turkish bond prices declined.

On the positive side, the Fund benefited from an over- weighted position in Brazilian local bonds, which rallied after Brazil’s central bank cut interest rates during August. Also, underweighted positions in the Hungarian forint and Brazilian real, accomplished through the sale of forward foreign currency exchange contracts and through an underweight relative to the Index, contributed to performance. The two currencies depreciated by 13.8% and 15.4%, respectively, during September.


Q	Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A	The Fund does not use duration and yield curve positioning as active management strategies within its investment process.

Q	How did the Fund use derivatives and similar instruments during the Reporting Period?

A	The Fund invested in forward foreign currency exchange contracts, interest rate swaps, non-deliverable bond forwards and credit linked notes. Forward foreign currency exchange contracts were used for hedging purposes as well as to express a positive view on a given currency. Interest rate swaps were used to express our views on the direction of a country’s interest rates. Non-deliverable bond forwards and credit linked notes were used in place of buying a local currency denominated bond when a particular market was otherwise inaccessible as well as a more efficient means of gaining access to a local market.

PORTFOLIO RESULTS


Q	Were there any notable changes in the Fund’s weightings during the Reporting Period?

A	Through most of the Reporting Period, the Fund had little exposure to Mexican local debt. In September 2011, we shifted from that underweighted position to an overweighted position, as we believe that Mexico’s interest rates will decrease as a result of slack in that nation’s economy and its relatively stable inflation rate. We reduced the Fund’s underweighted exposure to Thai local debt and increased the Fund’s underweighted allocation to Poland’s local bonds. In our opinion, Poland’s fiscal deficit is quite high and plans to reduce it are moving at a slow pace. Further, Poland’s government debt is high with what we believe are worsening sources of stable financing. During the Reporting Period, we reduced the Fund’s overweighted exposure to the Chinese renminbi. Nevertheless, we continue to have a positive view of the renminbi and believe China’s central bank is more willing that it was in the recent past to tolerate further currency appreciation. We also reduced the Fund’s overweighted position in the Indian rupee. Although India’s balance of payments improved as exports increased, we were concerned about the possible impact of deteriorating global economic growth.

Q	How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?

A	At the end of the Reporting Period, the Fund had over- weighted positions in Brazilian, South African and Mexican local bonds as well as an overweighted position in a number of Asian currencies, including the Chinese renminbi, South Korean won and Malaysian ringgit. The Fund held underweighted positions in Polish and Thai local debt at the end of the Reporting Period.

FUND BASICS

Local Emerging Markets Debt Fund

as of September 30, 2011


PERFORMANCE REVIEW


				J.P. Morgan			30-Day			30-Day
April 1, 2011–	Fund Total Return			GBI EM Global			Standardized			Standardized
September 30, 2011	(based on NAV)¹			Diversified Index²			Subsidized Yield³			Unsubsidized Yield³


Class A		-7.69	%		-4.94	%		4.45	%		4.25	%
Class C		-8.02			-4.94			3.85			3.65
Institutional		-7.43			-4.94			5.02			4.82
Class IR		-7.58			-4.94			4.94			4.73


¹		The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²		The J.P. Morgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified Index is an unmanaged index of debt instruments of 14 Emerging Countries. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³		The 30-Day Standardized Subsidized 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 Unsubsidized Yield does not reflect any applicable expense reductions.


STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS⁴


For the period ended 9/30/11	One Year			Since Inception			Inception Date


Class A		-9.98	%		0.61	%	2/15/08
Class C		-7.32			1.20		2/15/08
Institutional		-5.27			2.27		2/15/08
Class IR		-5.46			-0.05		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 4.5% 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 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 will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted.

		The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

FUND BASICS


EXPENSE RATIOS⁵


	Net Expense Ratio			Gross Expense Ratio
	(Current)			(Before Waivers)


Class A		1.25	%		1.43	%
Class C		2.00			2.18
Institutional		0.91			1.09
Class IR		1.00			1.18


⁵		The expense ratios of the Fund, both current (net of applicable fee waivers or expense limitations) and before waivers (gross of applicable fee waivers or expense limitations), are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The Fund’s waivers and/or expense limitations, if any, 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.


TOP TEN COUNTRY ALLOCATION⁶


	Percentage of Net Assets

	as of 9/30/11			as of 3/31/11


Brazil		11.2	%		7.4	%
Indonesia		9.0			6.0
Thailand		8.5			10.1
Turkey		6.7			3.7
Malaysia		6.6			8.8
South Africa		6.1			8.6
Russia		5.9			1.1
Mexico		5.1			5.3
Colombia		4.5			2.4
Hungary		4.3			9.0


⁶		The percentage shown for each investment category reflects the value of investments in that country as a percentage of net assets. The above table does not include repurchase agreements of 19.7% as of 9/30/11 and 25.7% as of 3/31/11. 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.

PORTFOLIO RESULTS

Goldman Sachs U.S. Mortgages Fund

Investment Objective

The Fund seeks a high level of total return consisting 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 U.S. Mortgages 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, Institutional and Separate Account Institutional Shares generated cumulative total returns, without sales charges, of 3.75%, 4.02% and 3.93%, respectively. These returns compare to the 4.44% cumulative total return of the Fund’s benchmark, the Barclays Capital U.S. Securitized Bond Index (with dividends reinvested) (the “Index”), during the same time period. During the period from inception on July 29, 2011 to September 30, 2011, the Fund’s Class IR Shares generated a cumulative total return, without sales charges, of 0.95%. This compares to the 1.22% cumulative total return of the Index during the same time period.

Q	What key factors were responsible for the Fund’s performance during the Reporting Period?

A	The Fund’s duration strategy detracted the most from relative performance during the Reporting Period. Duration is a measure of the Fund’s sensitivity to changes in interest rates. The Fund’s cross-sector strategy also dampened relative results. In our cross-sector strategy, 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 among agency mortgage-backed securities contributed to the Fund’s relative returns.

Q	Which segments of the U.S. mortgage-backed securities sector most significantly affected Fund performance?

A	During the Reporting Period, the Fund’s cross-sector positioning hampered relative results. Specifically, the Fund’s exposure to non-agency mortgage-backed securities (MBS) and commercial mortgage-backed securities (CMBS) detracted. These sectors sold off during the Reporting Period in response to the downgrade of U.S. government debt, weaker than expected U.S. economic growth and continued uncertainty about the European sovereign debt crisis.

From an issue selection perspective, the Fund benefited from our focus on agency MBS with lower prepayment risk. These securities performed well as fears increased that recent record low mortgage rates could spur renewed refinancing activity. In addition, investors were concerned that the federal government might modify existing mortgage refinancing programs to support credit-impaired homeowners with high interest rate mortgages.


Q	Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A	The Fund’s duration and yield curve positioning strategy detracted from relative results during the Reporting Period. In particular, the Fund’s short duration bias early in the Reporting Period hampered relative performance as 10-year Treasury yields fell in response to slowing economic growth.

PORTFOLIO RESULTS


Q	How did the Fund use derivatives and similar instruments during the Reporting Period?

A	The Fund used U.S. Treasury futures to hedge interest rate exposure and to facilitate specific duration and yield curve strategies. Interest rate swaps were used to hedge interest rate exposure and express an outright term structure view. (Term structure, most often depicted as a yield curve, refers to the terms structure of interest rates, which is the relationship between the yield to the maturity and the time to maturity for pure discount bonds.)

Q	Were there any notable changes in the Fund’s weightings during the Reporting Period?

A	We shifted the Fund from a shorter duration bias to a longer duration bias in August after the Fed announced its intention to keep interest rates low and because we expected economic growth to remain subdued.

Q	How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?

A	At the end of the Reporting Period, the Fund had overweighted allocations relative to the Index in agency collateralized mortgage obligations (CMO), non-agency adjustable rates mortgages (ARMs), asset-backed securities (ABS) and CMBS. It was underweight relative to the Index in agency residential mortgage-backed securities (RMBS) in market value terms, specifically agency ARMS and agency pass-through mortgage securities. Pass-through mortgage securities 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.

FUND BASICS

U.S. Mortgages Fund

as of September 30, 2011


PERFORMANCE REVIEW


				Barclays Capital			30-Day			30-Day
April 1, 2011–	Fund Total Return			U.S. Securitized			Standardized			Standardized
September 30, 2011	(based on NAV)¹			Bond Index²			Subsidized Yield³			Unsubsidized Yield³


Class A		3.75	%		4.44	%		1.01	%		0.79	%
Institutional		4.02			4.44			1.39			1.16
Separate Account		3.93			4.44			1.39			1.16
Institutional

July 29, 2011–
September 30, 2011


Class IR		0.95	%		1.22	%		1.41	%		1.29	%


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. Securitized Bond Index (with dividends reinvested) is an unmanaged composite of asset-backed securities, collateralized mortgage-backed securities and fixed rate mortgage-backed securities. The index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³		The 30-Day Standardized Subsidized 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 Unsubsidized Yield does not reflect any applicable expense reductions.


STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS⁴


For the period ended 9/30/11	One Year			Five Years			Since Inception			Inception Date


Class A		0.57	%		4.25	%		4.11	%	11/3/03
Institutional		4.95			5.44			5.02		11/3/03
Separate Account Institutional		4.86			5.46			5.04		11/3/03
Class IR		N/A			N/A			0.95		7/29/11


⁴		The Standardized Average Annual Total Returns are average annual total returns or cumulative total returns (only if performance is one year or less) 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. 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 return figures shown. Because Institutional, Separate Account Institutional and Class IR Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns.

		The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects fee waivers and/or expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

FUND BASICS


EXPENSE RATIOS⁵


	Net Expense Ratio			Gross Expense Ratio
	(Current)			(Before Waivers)


Class A		0.71	%		0.89	%
Institutional		0.37			0.55
Separate Account Institutional		0.37			0.55
Class IR		0.46			0.64


⁵		The expense ratios of the Fund, both current (net of applicable fee waivers or expense limitations) and before waivers (gross of applicable fee waivers or expense limitations), are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The Fund’s waivers and/or expense limitations, if any, 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.


SECTOR ALLOCATIONS⁶

Percentage of Net Assets


⁶		The Fund is actively managed and, as such, its composition may differ over time. 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 up 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 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.

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments

September 30, 2011 (Unaudited)


Principal		Interest			Maturity
Amount		Rate			Date		Value

Sovereign Debt Obligations – 65.5%
Argentina – 2.5%
Republic of Argentina (NR/NR)
EUR	6,136,656		7.820	%^(a)		12/31/33	$	4,645,195
	28,560,000		0.000	^(a)		12/15/35		4,648,985
$	3,400,000		0.000	^(a)		12/15/35		469,200
	1,380,000		7.000			10/03/15		1,150,383
EUR	5,429,578		7.820			12/31/33		4,164,523
	1,320,000		2.260	^(b)		12/31/38		499,593

								15,577,879


Belarus – 0.7%
Republic of Belarus (B-/B3)
$	5,519,000		8.750			08/03/15		3,987,478
	400,000		8.950			01/26/18		286,000

								4,273,478


Belize^(b) – 0.1%
Government of Belize (B-/B3)
	1,330,000		6.000			02/20/29		798,000


Brazil – 3.1%
Federal Republic of Brazil (NR/Baa2)
	10,917,000		4.875			01/22/21		11,653,898
Federal Republic of Brazil (BBB-/Baa2)
	1,000,000		8.875			10/14/19		1,355,000
	2,210,000		8.250			01/20/34		3,105,050
	540,000		7.125			01/20/37		688,500
	2,360,000		5.625			01/07/41		2,542,900

								19,345,348


Chile – 0.7%
Republic of Chile (A+/Aa3)
	1,750,000		3.875			08/05/20		1,825,292
	2,800,000		3.250			09/14/21		2,718,834

								4,544,126


Colombia – 6.9%
Republic of Colombia (BBB-/Baa3)
	370,000		8.250			12/22/14		433,825
	3,368,000		7.375			01/27/17		4,016,340
	9,020,000		7.375			03/18/19		11,117,150
	5,100,000		4.375			07/12/21		5,176,449
	9,970,000		7.375			09/18/37		12,961,000
	8,020,000		6.125			01/18/41		9,062,600

								42,767,364


Costa Rica – 0.1%
Republic of Costa Rica (BB+/Baa3)
	469,000		9.995			08/01/20		633,150


Croatia – 0.9%
Republic of Croatia (BBB-/Baa3)
	660,000		6.625			07/14/20		617,100
	5,650,000		6.375	^(c)		03/24/21		5,113,250

								5,730,350


Dominican Republic – 1.8%
Dominican Republic (B+/B1)
	5,246,289		9.040			01/23/18		5,718,455
	2,630,000		7.500	^(c)		05/06/21		2,551,100
	1,964,000		7.500			05/06/21		1,901,638
	1,060,000		8.625			04/20/27		1,102,400

								11,273,593


El Salvador – 0.6%
Republic of El Salvador (BB-/Ba2)
	2,582,000		8.250			04/10/32		2,724,010
	600,000		7.650			06/15/35		582,000
	640,000		7.625	^(c)		02/01/41		614,400

								3,920,410


Gabon – 0.4%
Republic of Gabon (BB-/NR)
	590,000		8.200	^(c)		12/12/17		641,625
	1,640,000		8.200			12/12/17		1,783,500

								2,425,125


Georgia^(c) – 0.2%
Republic of Georgia (B+/Ba3)
	1,170,000		6.875			04/12/21		1,140,750


Ghana – 0.3%
Republic of Ghana (B/NR)
	1,650,000		8.500			10/04/17		1,707,750


Hungary – 0.9%
Hungary Government Bond (BBB-/Baa3)
	880,000		6.375			03/29/21		849,200
	4,610,000		7.625			03/29/41		4,464,793

								5,313,993


Iceland^(c) – 1.2%
Republic of Iceland (BBB-/Baa3)
	7,800,000		4.875			06/16/16		7,680,820


Indonesia – 8.6%
Republic of Indonesia (BB+/Ba1)
	4,650,000		6.750			03/10/14		4,998,750
	820,000		7.500			01/15/16		932,750
	7,664,000		11.625			03/04/19		10,921,200
	8,929,000		5.875	^(c)		03/13/20		9,643,320
	340,000		5.875			03/13/20		367,200
	4,950,000		4.875	^(c)		05/05/21		4,999,500
	490,000		4.875			05/05/21		494,900
	2,490,000		8.500			10/12/35		3,349,050
	3,198,000		7.750	^(c)		01/17/38		4,005,495
	10,844,000		7.750			01/17/38		13,582,110

								53,294,275


Iraq – 0.9%
Republic of Iraq (NR/NR)
	6,830,000		5.800			01/15/28		5,429,850

The accompanying notes are an integral part of these financial statements. 37

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2011 (Unaudited)


Principal		Interest			Maturity
Amount		Rate			Date		Value

Sovereign Debt Obligations – (continued)

Ivory Coast^(d) – 1.0%
Republic of Ivory Coast (NR/NR)
$	11,280,000		2.500	%		12/31/32	$	5,470,800
	1,000,000		2.500	^(c)		12/31/32		485,000

								5,955,800


Malaysia^(c) – 0.9%
Wakala Global Sukuk Bhd (A-/A3)
	5,180,000		4.646			07/06/21		5,371,223


Mexico – 3.6%
Mexican Bonos (A-/Baa1)
MXN	46,708,300		8.500			11/18/38		3,673,427
United Mexican States (BBB/Baa1)
$	1,000		7.500			01/14/12		1,013
	540,000		5.875			01/15/14		581,310
	250,000		6.625			03/03/15		282,500
	1,040,000		5.625			01/15/17		1,157,000
	3,100,000		5.950			03/19/19		3,534,000
	580,000		8.300			08/15/31		826,500
	3,696,000		6.750			09/27/34		4,536,840
	1,080,000		6.050			01/11/40		1,225,800
	6,350,000		5.750	^(e)		10/12/2110		6,191,250

								22,009,640


Nigeria – 0.8%
Republic of Nigeria (B+/NR)
	1,800,000		6.750	^(c)		01/28/21		1,755,000
	2,970,000		6.750			01/28/21		2,895,750

								4,650,750


Pakistan – 0.4%
Islamic Republic of Pakistan (B-/B3)
	1,320,000		6.875			06/01/17		990,000
	1,070,000		6.875	^(c)		06/01/17		802,500
	1,420,000		7.875			03/31/36		923,000

								2,715,500


Panama – 1.7%
Republic of Panama (BBB-/Baa3)
	184,000		7.250			03/15/15		210,220
	90,000		7.125			01/29/26		112,500
	2,247,000		8.875			09/30/27		3,213,210
	3,610,000		9.375			04/01/29		5,378,900
	1,340,000		6.700			01/26/36		1,608,000

								10,522,830


Peru – 1.5%
Republic of Peru (BBB/Baa3)
	310,000		7.125			03/30/19		373,550
	3,442,000		7.350			07/21/25		4,268,080
	3,484,000		8.750			11/21/33		4,955,990

								9,597,620


Philippines – 4.8%
Republic of Philippines (BB/Ba2)
	3,169,000		8.375			06/17/19		4,016,707
	965,000		7.500			09/25/24		1,160,413
	3,450,000		5.500			03/30/26		3,600,937
	3,302,000		9.500			02/02/30		4,829,175
	1,912,000		7.750			01/14/31		2,452,140
	11,826,000		6.375			10/23/34		13,481,640

								29,541,012


Russia – 6.1%
Russian Federation (NR/Baa1)^(c)
	800,000		3.625			04/29/15		786,000
Russian Federation (BBB/Baa1)^(b)
	1,470,500		7.500			03/31/30		1,652,842
	31,370,950		7.500			03/31/30		35,260,948

								37,699,790


Serbia^(b) – 0.4%
Republic of Serbia (BB/NR)
	2,520,000		6.750			11/01/24		2,356,200


South Africa – 1.7%
Republic of South Africa (NR/A3)
ZAR	23,205,000		6.750			03/31/21		2,586,116
Republic of South Africa (A/A3)
	8,090,000		7.250			01/15/20		941,787
	22,305,000		10.500			12/21/26		3,202,165
Republic of South Africa (BBB+/A3)
$	3,220,000		6.250			03/08/41		3,586,275

								10,316,343


Sri Lanka – 0.3%
Republic of Sri Lanka (B+/NR)
	540,000		7.400	^(c)		01/22/15		564,300
	274,000		7.400			01/22/15		286,330
Republic of Sri Lanka (B+/B1)^(c)
	1,170,000		6.250			07/27/21		1,131,621

								1,982,251


Turkey – 3.0%
Republic of Turkey (BB/Ba2)
	2,370,000		7.000			09/26/16		2,621,812
	11,635,000		5.625			03/30/21		11,882,244
	610,000		7.375			02/05/25		696,163
	590,000		11.875			01/15/30		964,650
	2,310,000		6.750			05/30/40		2,428,387

								18,593,256

38 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS EMERGING MARKETS DEBT FUND


Principal		Interest			Maturity
Amount		Rate			Date		Value

Sovereign Debt Obligations – (continued)

Ukraine – 3.7%
Ukraine Government (B+/B2)
EUR	1,000,000		4.950	%		10/13/15	$	1,118,691
$	7,680,000		6.250	^(c)		06/17/16		6,833,686
	3,940,000		6.580			11/21/16		3,536,150
	1,200,000		6.750			11/14/17		1,068,000
	5,550,000		7.750			09/23/20		4,981,125
	4,750,000		7.950	^(c)		02/23/21		4,298,750
	1,340,000		7.950			02/23/21		1,212,700

								23,049,102


Uruguay – 1.8%
Republic of Uruguay (BBB-/Ba1)
	1,146,907		8.000			11/18/22		1,427,899
	466,000		6.875			09/28/25		545,220
	680,000		7.875	^(f)		01/15/33		843,200
	6,596,000		7.625			03/21/36		8,113,080

								10,929,399


Venezuela – 3.9%
Republic of Venezuela (B+/B2)
	650,000		5.750			02/26/16		468,000
	1,170,000		13.625			08/15/18		1,140,750
	510,000		13.625			08/15/18		489,600
	8,750,000		7.750			10/13/19		5,578,125
	6,531,000		6.000			12/09/20		3,608,378
	4,030,000		9.000			05/07/23		2,518,750
	7,790,000		8.250			10/13/24		4,557,150
	7,610,000		7.650			04/21/25		4,318,675
	710,000		9.250			05/07/28		436,650
	850,000		11.950			08/05/31		626,450
	1,170,000		7.000			03/31/38		614,250

								24,356,778


TOTAL SOVEREIGN DEBT OBLIGATIONS
(Cost $412,748,790)							$	405,503,755




Foreign Debt Obligation – 1.3%
Supranational – 1.3%
Corporation Andina de Fomento (A+/A1)
$	8,029,000		3.750	%		01/15/16	$	8,092,083
(Cost $8,168,681)




Corporate Obligations – 21.5%
Brazil – 2.0%
Banco Safra SA (NR/Baa1)^(c)
BRL	1,070,000		10.250	%		08/08/16	$	540,614
Banco Votorantim SA (BB+/Baa1)^(c)
	1,389,732		6.250			05/16/16		724,875
BFF International Ltd. (BB+/Ba1)^(g)
$	2,730,000		7.250			01/28/20		2,844,765
CCL Finance Ltd. (BB/NR)
	1,058,000		9.500			08/15/14		1,201,752
Companhia Energetica de Sao Paulo (NR/Ba1)
BRL	2,329,129		9.750			01/15/15		1,372,187
Independencia International Ltd. (NR/NR)^(c)(d)(g)
$	1,277,436		12.000			12/30/16		9,708
Petrobras International Finance Co. (BBB-/A3)^(g)
	2,710,000		5.375			01/27/21		2,695,546
Vale Overseas, Ltd. (BBB+/Baa2)^(g)
	1,100,000		5.625			09/15/19		1,143,908
	2,180,000		4.625			09/15/20		2,106,735

								12,640,090


Canada – 0.5%
PTT Exploration and Production Public Co. Ltd. (BBB+/Baa1)^(c)
	3,080,000		5.692			04/05/21		3,112,340
Sino-Forest Corp. (NR/Caa1)^(d)(g)
	1,359,000		6.250			10/21/17		298,980

								3,411,320


Chile – 2.1%
AES Gener SA (BBB-/Baa3)^(c)(g)
	1,320,000		5.250			08/15/21		1,260,344
Banco del Estado de Chile (A+/Aa3)^(c)(g)
	4,670,000		4.125			10/07/20		4,665,729
Corporacion Nacional del Cobre (A/A1)
	1,160,000		3.750	^(c)		11/04/20		1,150,310
	3,385,000		6.150			10/24/36		4,081,396
E-CL SA (BBB-/NR)^(c)(g)
	2,070,000		5.625			01/15/21		2,130,523

								13,288,302


Colombia^(g) – 0.7%
EEB International Ltd. (BB/NR)
	690,000		8.750	^(c)		10/31/14		710,700
	1,020,000		8.750			10/31/14		1,050,600
TGI International Ltd. (BB/NR)
	760,000		9.500	^(c)		10/03/17		816,603
	1,440,000		9.500			10/03/17		1,549,417

								4,127,320


Hong Kong – 1.0%
Country Garden Holdings Co. (BB-/Ba3)^(h)
CNY	6,700,000		2.500			02/22/13		1,135,346
ENN Energy Holdings Ltd. (BBB-/Baa3)^(c)(g)
$	1,010,000		6.000			05/13/21		989,315
Evergrande Real Estate Group Ltd. (BB-/B2)
CNY	14,110,000		7.500			01/19/14		1,601,618
Sinochem Overseas Capital Co. Ltd. (BBB+/Baa1)^(c)
$	1,490,000		6.300			11/12/40		1,354,112
Zijin International Finance Co. Ltd. (NR/A1)
	1,260,000		4.250			06/30/16		1,201,788

								6,282,179


India – 0.5%
NTPC, Ltd. (BBB-/NR)
	3,250,000		5.625			07/14/21		3,174,919

The accompanying notes are an integral part of these financial statements. 39

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2011 (Unaudited)


Principal		Interest			Maturity
Amount		Rate			Date		Value

Corporate Obligations – (continued)

Ireland – 0.4%
MTS International Funding Ltd. (BB/Ba2)
$	660,000		8.625	%		06/22/20	$	650,100
VIP Finance Ireland Ltd. for OJSC Vimpel Communications (BB/Ba3)
	1,850,000		7.748	^(c)		02/02/21		1,526,250

								2,176,350


Kazakhstan – 2.6%
Development Bank of Kazakhstan JSC (BBB/Baa3)^(c)
	1,700,000		5.500			12/20/15		1,598,000
Kazakhstan Temir Zholy Finance BV (BBB-/Baa3)^(c)
	700,000		6.375			10/06/20		680,750
Kazatomprom (NR/Baa3)
	700,000		6.250	^(c)		05/20/15		703,500
	450,000		6.250			05/20/15		452,250
KazMunaiGaz Finance Sub BV (BBB-/Baa3)
	10,000		8.375	^(c)		07/02/13		10,350
	2,100,000		11.750	^(c)		01/23/15		2,420,250
	4,560,000		11.750			01/23/15		5,255,400
	1,080,000		7.000	^(c)		05/05/20		1,090,800
KazMunayGas National Co. (BBB-/Baa3)
	610,000		9.125			07/02/18		689,300
	400,000		7.000			05/05/20		404,000
	2,530,000		6.375	^(c)		04/09/21		2,466,750
	340,000		6.375			04/09/21		331,500

								16,102,850


Luxembourg – 2.9%
Alrosa Finance SA (BB-/Ba3)
	1,330,000		7.750			11/03/20		1,236,900
	1,700,000		7.750	^(c)		11/03/20		1,581,000
Gaz Capital SA for Gazprom (BBB/Baa1)^(h)
	6,080,000		9.250			04/23/19		7,052,800
Gazprom International SA for Gazprom (BBB+/NR)
	1,913,206		7.201			02/01/20		2,027,999
TNK-BP Finance SA (BBB-/Baa2)
	4,180,000		7.875			03/13/18		4,347,200
	1,410,000		7.250			02/02/20		1,410,000

								17,655,899


Malaysia – 0.7%
Petronas Capital Ltd. (A-/A1)
	1,630,000		5.250			08/12/19		1,767,208
	2,200,000		5.250	^(c)		08/12/19		2,385,189

								4,152,397


Mexico – 2.5%
Cemex Finance LLC (B/NR)^(g)
	660,000		9.500			12/14/16		481,531
	1,900,000		9.500	^(c)		12/14/16		1,386,224
EUR	450,000		9.625	^(c)		12/14/17		412,978
Cemex SAB de CV (B/NR)^(a)(c)
$	1,460,000		5.369			09/30/15		949,014
GEO Maquinaria (NR/NR)^(c)(g)
	1,095,875		9.625			05/02/21		931,494
Pemex Project Funding Master Trust (BBB/Baa1)^(g)
	386,000		5.750			03/01/18		419,775
	6,420,000		6.625			06/15/35		6,869,400
Petroleos Mexicanos (BBB/Baa1)^(g)
	512,000		8.000			05/03/19		627,200
	3,410,000		5.500	^(c)		01/21/21		3,580,500

								15,658,116


Netherlands – 0.4%
Arcos Dorados Holdings, Inc. (NR/Ba2)^(g)
	879,000		7.500			10/01/19		918,109
Myriad International Holding BV (NR/Baa3)
	310,000		6.375			07/28/17		320,850
VimpelCom Holdings BV (BB/Ba3)^(c)
	1,180,000		7.504			03/01/22		961,700
VimpelCom Holdings BV (NR/Ba3)
	350,000		7.504			03/01/22		278,250

								2,478,909


Philippines – 0.4%
Development Bank of Philippines (BB/NR)
	310,000		5.500			03/25/21		300,700
Energy Development Corp. (NR/NR)
	1,820,000		6.500			01/20/21		1,738,100
Quezon Power Philippines Ltd. (B+/B1)^(g)
	379,500		8.860			06/15/17		409,860

								2,448,660


Qatar^(g) – 0.5%
Ras Laffan Liquefied Natural Gas Co. Ltd. II (A/Aa3)
	2,511,420		5.298			09/30/20		2,687,219
Ras Laffan Liquefied Natural Gas Co. Ltd. III (A/Aa3)^(c)
	180,000		5.500			09/30/14		194,670

								2,881,889


South Africa – 1.3%
Eskom Holdings Ltd. (BBB+/Baa2)^(c)(g)
	1,270,000		5.750			01/26/21		1,304,208
Peermont Proprietary Global Ltd. (B-/B3)^(g)
EUR	3,670,000		7.750			04/30/14		3,785,999
Transnet Ltd. (NR/A3)
$	1,810,000		4.500	^(c)		02/10/16		1,855,250
	1,220,000		4.500			02/10/16		1,250,500

								8,195,957


South Korea^(c) – 0.2%
National Agricultural Cooperative Federation (A/A1)
	1,090,000		3.500			02/08/17		1,035,304


Turkey – 0.6%
Akbank TAS (NR/Ba1)
	1,930,000		5.125			07/22/15		1,833,500
Turkiye Garanti Bankasi AS (NR/Ba1)^(c)
	2,080,000		6.250			04/20/21		1,913,600

								3,747,100


Ukraine – 0.1%
Financing of Infrastructural Projects State Enterprise (NR/B2)
	600,000		8.375			11/03/17		561,060

40 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS EMERGING MARKETS DEBT FUND


Principal		Interest			Maturity
Amount		Rate			Date		Value

Corporate Obligations – (continued)
Ukraine – (continued)

NAK Naftogaz Ukraine (NR/NR)
$	310,000		9.500	%		09/30/14	$	292,175

								853,235


United Arab Emirates – 0.7%
Dolphin Energy Ltd. (NR/A1)^(g)
	927,780		5.888	^(c)		06/15/19		994,116
	1,210,532		5.888			06/15/19		1,297,085
Dubai Holding Commercial Operations MTN Ltd. (NR/B3)^(a)
	510,000		0.629			02/01/12		478,125
ICICI Bank Ltd. (BBB-/Baa2)^(c)(g)
	1,590,000		4.750			11/25/16		1,503,663

								4,272,989


Venezuela^(g) – 1.4%
Petroleos de Venezuela SA (B+/NR)
	310,000		5.500			04/12/37		137,950
	811,900		5.250			04/12/17		456,694
	1,320,000		8.500			11/02/17		864,600
	7,160,000		8.500	^(c)		11/02/17		4,689,800
	3,720,000		5.375			04/12/27		1,701,900
Petroleos de Venezuela SA (NR/NR)
	910,000		4.900			10/28/14		618,800

								8,469,744


TOTAL CORPORATE OBLIGATIONS
(Cost $140,637,060)							$	133,053,529




Structured Note^(a) – 1.7%
Brazil – 1.7%
Notas do Tesouro Nacional Series B (Issuer HSBC Corp.) (NR/NR)
BRL	18,674,828		0.000	%		08/15/40	$	10,226,428
(Cost $11,245,191)


TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
(Cost $572,799,722)							$	556,875,795




Short-term Investment⁽ⁱ⁾ – 7.4%
Repurchase Agreement – 7.4%
Joint Repurchase Agreement Account II
$	46,100,000		0.095	%		10/03/11	$	46,100,000
(Cost $46,100,000)


TOTAL INVESTMENTS – 97.4%
(Cost $618,899,722)							$	602,975,795


OTHER ASSETS IN EXCESS OF LIABILITIES – 2.6%								15,810,783


NET ASSETS – 100.0%							$	618,786,578

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.


(a)		Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011.

(b)		Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at September 30, 2011.

(c)		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 $112,058,873, which represents approximately 18.1% of net assets as of September 30, 2011.

(d)		Security is currently in default and/or non-income producing.

(e)		All or a portion of security is segregated as collateral for initial margin requirement on futures transactions.

(f)		Pay-in-kind securities.

(g)		Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

(h)		Security with “Put” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

(i)		Joint repurchase agreement was entered into on September 30, 2011. Additional information appears on pages 88-89.

Security ratings disclosed, if any, are obtained from Standard & Poor’s/Moody’s Investor Service. A brief description of the ratings is available in the Fund’s Statement of Additional Information.




Currency Abbreviations:
BRL	—	Brazilian Real
CNY	—	Chinese Yuan
COP	—	Colombian Peso
EUR	—	Euro
HUF	—	Hungarian Forint
IDR	—	Indonesian Rupiah
INR	—	Indian Rupee
KRW	—	South Korean Won
MXN	—	Mexican Peso
MYR	—	Malaysian Ringgit
PHP	—	Philippine Peso
PLN	—	Polish Zloty
RUB	—	Russian Ruble
SGD	—	Singapore Dollar
TRY	—	Turkish Lira
TWD	—	Taiwan Dollar
ZAR	—	South African Rand

Investment Abbreviations:
MTN	—	Medium Term Note
NR	—	Not Rated
TIIE	—	La Tasa de Interbank Equilibrium Interest Rate

The accompanying notes are an integral part of these financial statements. 41

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2011 (Unaudited)


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/CNY	03/01/12	$	3,191,759	$	14,241
	USD/CNY	05/09/12		34,280,904		116,813
	USD/EUR	12/21/11		11,479,973		564,267
	USD/HUF	10/18/11		1,771,705		257,120
	USD/INR	10/18/11		3,945,357		63,051
	USD/KRW	10/18/11		4,670,052		299,140
	USD/KRW	10/31/11		948,110		5,249
	USD/PHP	10/18/11		1,499,232		37,683
	USD/TRY	12/21/11		1,575,877		24,123
	USD/ZAR	12/21/11		1,463,336		142,664
Citibank NA	USD/CNY	03/01/12		3,191,258		14,742
	USD/EUR	12/21/11		4,607,226		183,822
	USD/INR	10/18/11		4,393,613		82,867
	USD/INR	10/21/11		1,566,011		45,989
	USD/KRW	10/18/11		3,691,063		381,937
	USD/MXN	12/21/11		12,565,735		1,262,965
	USD/MYR	10/11/11		3,988,344		27,656
	USD/MYR	10/18/11		2,973,420		243,580
	USD/TWD	10/18/11		1,422,146		558
	USD/TWD	10/31/11		1,992,003		9,470
Credit Suisse International (London)	USD/BRL	10/18/11		2,928,979		475,864
	USD/RUB	10/18/11		4,441,903		414,097
	USD/ZAR	10/28/11		13,297,446		1,982,507
Deutsche Bank AG (London)	USD/CNY	03/01/12		3,211,856		19,144
	USD/INR	10/18/11		4,394,097		461,903
	USD/KRW	10/18/11		5,727,697		600,303
HSBC Bank PLC	USD/BRL	10/18/11		3,192,866		518,738
	USD/IDR	10/06/11		1,548,293		45,158
	USD/INR	10/18/11		1,509,399		108,601
JPMorgan Securities, Inc.	USD/BRL	10/18/11		551,193		101,807
	USD/CNY	10/25/11		3,204,193		13,795
	USD/EUR	10/13/11		22,460,311		1,677,622
	USD/KRW	10/31/11		946,467		5,176
	USD/MXN	12/21/11		2,407,149		351
	USD/MYR	10/11/11		791,231		14,769
	USD/MYR	10/18/11		4,816,557		361,443
	USD/TWD	10/18/11		7,683,576		150,392
	USD/TWD	10/25/11		1,568,738		43,262
	ZAR/USD	10/28/11		1,562,154		51,530
Merrill Lynch International Bank Ltd	CNY/USD	10/25/11		3,204,193		23,193
Morgan Stanley & Co.	USD/EUR	12/21/11		1,556,278		59,878
	ZAR/USD	10/28/11		1,582,006		1,346
Royal Bank of Canada	USD/MYR	10/18/11		1,501,739		112,261
	USD/RUB	10/18/11		1,690,238		186,762
State Street Bank	EUR/PLN	12/21/11		2,205,689		63,142
	USD/EUR	12/21/11		4,729,103		108,845
	USD/ZAR	12/21/11		2,724,325		41,131
UBS AG (London)	USD/BRL	10/18/11		9,241,669		1,677,523
	USD/RUB	10/18/11		9,229,195		994,005
	USD/ZAR	10/28/11		3,172,548		305,093


TOTAL					$	14,397,578

42 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS EMERGING MARKETS DEBT FUND


ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS


	Contracts to	Expiration	Current		Unrealized
Counterparty	Buy/Sell	Date	Value		Loss

Barclays Bank PLC	CNY/USD	03/01/12	$	4,781,040	$	(61,960	)
	EUR/USD	12/21/11		3,083,091		(35,106	)
	INR/USD	10/18/11		5,088,051		(390,153	)
	INR/USD	10/21/11		1,566,011		(3,667	)
	KRW/USD	10/18/11		2,994,853		(363,056	)
	KRW/USD	10/31/11		1,532,908		(26,092	)
	MXN/EUR	12/21/11		1,504,045		(57,659	)
	MXN/USD	11/29/11		10,038,944		(266,907	)
	MXN/USD	12/21/11		1,525,058		(86,942	)
	PLN/EUR	12/21/11		774,121		(31,962	)
	RUB/USD	10/18/11		576,406		(57,594	)
	TWD/USD	10/18/11		9,105,722		(574,585	)
Citibank NA	CNY/USD	05/09/12		11,569,037		(93,233	)
	IDR/USD	10/06/11		1,548,293		(65,707	)
	IDR/USD	10/18/11		1,523,546		(94,454	)
	INR/USD	10/18/11		768,548		(2,452	)
	KRW/USD	10/18/11		7,104,184		(774,816	)
	MYR/USD	10/18/11		9,649,430		(631,955	)
	RUB/USD	10/18/11		7,686,970		(792,030	)
	TWD/USD	10/25/11		1,568,738		(7,034	)
	USD/CNY	10/25/11		3,225,435		(1,435	)
	USD/KRW	10/18/11		2,409,846		(2,846	)
	ZAR/USD	10/28/11		4,371,837		(599,104	)
Credit Suisse International (London)	MXN/USD	12/21/11		1,439,651		(186,349	)
	RUB/USD	10/18/11		5,499,708		(810,292	)
Deutsche Bank AG (London)	INR/USD	10/18/11		6,938,117		(649,464	)
	MXN/USD	12/21/11		1,439,709		(186,291	)
	MYR/USD	10/18/11		6,685,391		(411,341	)
	USD/MXN	12/21/11		2,417,491		(9,991	)
	ZAR/USD	12/21/11		1,218,011		(154,651	)
HSBC Bank PLC	BRL/USD	10/18/11		1,364,493		(231,507	)
	CNY/USD	03/01/12		8,981,521		(112,800	)
	CNY/USD	05/09/12		11,522,983		(70,083	)
	IDR/USD	10/18/11		1,513,569		(77,029	)
	MXN/USD	12/21/11		1,457,419		(163,581	)
	MYR/USD	10/18/11		1,842,375		(115,625	)
	PHP/USD	10/18/11		1,499,232		(23,266	)
	TWD/USD	10/31/11		1,992,003		(18,037	)
JPMorgan Securities, Inc.	BRL/USD	10/18/11		1,372,262		(211,738	)
	CNY/USD	03/01/12		3,196,912		(41,431	)
	HUF/USD	12/21/11		1,778,425		(209,023	)
	KRW/USD	10/18/11		4,170,394		(483,243	)
	PLN/EUR	12/21/11		1,540,206		(76,676	)
	TRY/USD	12/21/11		1,585,664		(19,336	)
	ZAR/USD	10/28/11		2,085,620		(315,912	)
	ZAR/USD	12/21/11		1,409,827		(216,173	)
Morgan Stanley & Co.	CNY/USD	05/09/12		11,522,983		(88,298	)
	MYR/USD	10/18/11		483,705		(9,295	)
Royal Bank of Canada	INR/USD	10/18/11		1,447,751		(154,249	)
State Street Bank	EUR/USD	12/21/11		5,654,566		(49,435	)
	KRW/USD	10/18/11		9,680,980		(671,061	)
	MXN/USD	12/21/11		2,593,883		(75,117	)
	ZAR/USD	12/21/11		1,228,541		(55,467	)
UBS AG (London)	RUB/USD	10/18/11		1,464,213		(161,787	)


TOTAL					$	(11,079,297	)

The accompanying notes are an integral part of these financial statements. 43

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2011 (Unaudited)


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)

Ultra Long U.S. Treasury Bonds		(99	)	December 2011	$	(15,703,875	)	$	(1,421,113	)
2 Year U.S. Treasury Notes		110		December 2011		24,222,344			(33,131	)
5 Year U.S. Treasury Notes		775		December 2011		94,925,391			(12,283	)
10 Year U.S. Treasury Notes		159		December 2011		20,684,906			168,397
30 Year U.S. Treasury Bonds		20		December 2011		2,852,500			70,279


TOTAL								$	(1,227,851	)

SWAP CONTRACTS — At September 30, 2011, the Fund had outstanding swap contracts with the following terms:

INTEREST RATE SWAP CONTRACTS

Rates Exchanged

Notional

Payments

Amount

Termination

Received by

Made by

Unrealized

Counterparty

(000s)

Date

the Fund

Gain (Loss)*

Bank of America Securities LLC

MXN

244,110

09/16/13

4.700

Mexico Interbank TIIE 28 Days

(70,768

)

Deutsche Bank Securities, Inc.

176,730

09/09/13

4.570

Mexico Interbank TIIE 28 Days

(82,467

)

JPMorgan Securities, Inc.

25,060

08/05/21

6.250

Mexico Interbank TIIE 28 Days

(77,090

)

TOTAL

(230,325

)


*		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.

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)^(a)		Value			by the Fund			Gain (Loss)

Protection Sold:
Bank of America Securities LLC	Ukraine Government 6.75%, 11/14/17	$	3,070		5.000	%	03/20/16		898	$	(402,895	)	$	69,250		$	(472,145	)
Deutsche Bank Securities, Inc.	Ukraine Government 6.75%, 11/14/17		1,650		5.000		12/20/16		898		(244,179	)		(114,559	)		(129,620	)


TOTAL										$	(647,074	)	$	(45,309	)	$	(601,765	)


(a)		Credit spread on the Referenced Obligation, together with the term of the swap contract, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund to make a payment or otherwise be required to perform under swap contract is generally greater as the credit spread and the term of the swap contract increase.

44 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS EMERGING MARKETS DEBT FUND


ADDITIONAL INVESTMENT INFORMATION (continued)

NON-DELIVERABLE BOND FORWARD CONTRACTS*

Notional

Amount

Referenced

Settlement

Unrealized

Counterparty

(000s)

Obligation

Date

Gain (Loss)

Deutsche Bank Securities, Inc.

COP

5,526,000

Titulos de Tesoreia
10.000% 7/24/24

10/28/11

26,428

2,442,000

Titulos de Tesoreia
10.000% 7/24/24

10/31/11

11,830

TOTAL

38,258


*		Represents a short term forward contract to purchase the referenced obligation denominated in a non-deliverable foreign currency.

The accompanying notes are an integral part of these financial statements. 45

GOLDMAN SACHS HIGH YIELD FUND

Schedule of Investments

September 30, 2011 (Unaudited)


Principal		Interest			Maturity
Amount		Rate			Date		Value

Corporate Obligations – 89.9%
Aerospace – 0.6%
Spirit AeroSystems, Inc. (BB-/Ba3)
$	3,000,000		7.500	%		10/01/17	$	3,105,000
	4,900,000		6.750			12/15/20		4,887,750
TransDigm, Inc. (B-/B3)
	17,750,000		7.750			12/15/18		18,060,625

								26,053,375


Airlines^(a) – 0.4%
Air Canada (B+/B1)
	16,475,000		9.250			08/01/15		15,651,250


Automotive – 2.6%
Chrysler Group LLC/CG Co-Issuer, Inc. (B/B2)^(a)
	11,000,000		8.000			06/15/19		8,607,500
	19,750,000		8.250			06/15/21		15,256,875
Ford Motor Co. (BB-/Ba3)
	1,750,000		6.625			10/01/28		1,710,625
	26,500,000		7.450			07/16/31		29,150,000
Ford Motor Credit Co. LLC (BB-/Ba2)
	19,750,000		7.000			04/15/15		20,638,750
	8,000,000		12.000			05/15/15		9,520,000
	10,000,000		8.000			12/15/16		10,900,000
	11,125,000		6.625			08/15/17		11,570,000
	4,100,000		5.875			08/02/21		4,079,500
General Motors Liquidation Co. (NR/WR)^(b)
	7,125,000		7.125			07/15/13		—
	2,000,000		7.700			04/15/16		—
	1,000,000		8.800			03/01/21		—
	14,500,000		8.375			07/15/33		—
Jaguar Land Rover PLC (B+/B1)^(a)
	5,200,000		8.125			05/15/21		4,638,977

								116,072,227


Automotive Parts – 2.2%
Accuride Corp. (B/B2)
	2,000,000		9.500			08/01/18		2,020,000
Allison Transmission, Inc. (CCC+/Caa1)^(a)
	7,375,000		7.125			05/15/19		6,785,000
American Axle & Manufacturing Holdings, Inc. (BB/Ba1)^(a)
	9,000,000		9.250			01/15/17		9,405,000
American Tire Distributors Holdings, Inc. (B-/B2)
	6,625,000		9.750			06/01/17		6,707,813
ArvinMeritor, Inc. (CCC+/B3)
	10,750,000		10.625			03/15/18		10,642,500
ATU Auto-Teile-Unger Handels GmbH & Co., KG (B-/B3)
EUR	8,625,000		11.000			05/15/14		9,013,167
Exide Technologies (B/B2)
$	4,000,000		8.625			02/01/18		3,710,000
Navistar International Corp. (BB-/B1)
	14,025,000		8.250			11/01/21		14,375,625
Pinafore LLC/Pinafore, Inc. (B+/B1)^(a)
	9,756,000		9.000			10/01/18		9,951,120
Pittsburgh Glass Works LLC (B+/B2)^(a)
	3,250,000		8.500			04/15/16		2,973,750
Tenneco, Inc. (BB-/B2)
	3,750,000		7.750			08/15/18		3,843,750
	7,500,000		6.875			12/15/20		7,368,750
The Goodyear Tire & Rubber Co. (B+/B1)
	9,250,000		8.750			08/15/20		9,435,000
UCI International, Inc. (CCC+/B3)
	2,250,000		8.625			02/15/19		2,086,875

								98,318,350


Beverages^(a) – 0.0%
Pernod-Ricard SA (BBB-/Baa3)
	350,000		5.750			04/07/21		385,546


Building Materials – 0.6%
Grohe Holding GmbH (CCC/B3)
EUR	5,500,000		8.625			10/01/14		6,189,599
Headwaters, Inc. (B+/B2)
$	4,625,000		7.625			04/01/19		3,607,500
PLY Gem Industries, Inc. (B-/Caa1)
	7,000,000		8.250			02/15/18		5,950,000
Roofing Supply Group LLC/Roofing Supply Finance, Inc. (B+/B2)^(a)
	6,250,000		8.625			12/01/17		6,000,000
USG Corp. (BB-/B2)^(a)
	5,250,000		9.750			08/01/14		4,921,875

								26,668,974


Capital Goods – 1.7%
Altra Holdings, Inc. (BB-/B1)
	5,000,000		8.125			12/01/16		5,087,500
Amsted Industries, Inc. (BB-/B1)^(a)
	6,000,000		8.125			03/15/18		6,195,000
Dynacast International LLC/Dynacast Finance, Inc. (B/B2)^(a)
	2,750,000		9.250			07/15/19		2,578,125
Mueller Water Products, Inc. (B+/B2)
	530,000		8.750			09/01/20		524,700
Mueller Water Products, Inc. (CCC+/Caa2)
	10,000,000		7.375			06/01/17		8,200,000
RBS Global, Inc./Rexnord LLC (B-/Caa1)
	15,750,000		8.500			05/01/18		15,041,250
RBS Global, Inc./Rexnord LLC (CCC+/Caa2)
	17,500,000		11.750			08/01/16		17,762,500
Terex Corp. (B/Caa1)
	7,250,000		8.000			11/15/17		6,398,125
Terex Corp. (BB-/B2)
	12,375,000		10.875			06/01/16		13,117,500
Thermadyne Holdings Corp. (B-/B3)
	2,000,000		9.000			12/15/17		2,030,000

								76,934,700


Chemicals – 2.5%
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC (CCC+/B3)
	6,750,000		8.875			02/01/18		5,535,000
Huntsman International LLC (B/B3)
	3,000,000		8.625			03/15/20		2,842,500
	15,750,000		8.625			03/15/21		14,923,125
Kraton Polymers LLC/Kraton Polymers Capital Corp. (B+/B2)
	5,000,000		6.750			03/01/19		4,412,500

46 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS HIGH YIELD FUND


Principal		Interest			Maturity
Amount		Rate			Date		Value

Corporate Obligations – (continued)
Chemicals – (continued)

Lyondell Chemical Co. (BB+/Ba1)
$	808,000		8.000	%^(a)		11/01/17	$	870,620
EUR	2,018,250		8.000			11/01/17		2,824,727
Lyondell Chemical Co. (BB-/Ba3)
$	10,894,086		11.000			05/01/18		11,738,378
MacDermid, Inc. (CCC+/Caa1)^(a)
	7,750,000		9.500			04/15/17		7,168,750
Nalco Co. (BB-/Ba2)
EUR	2,375,000		6.875			01/15/19		3,436,770
Omnova Solutions, Inc. (B-/B2)
$	12,625,000		7.875			11/01/18		10,163,125
OXEA Finance/Cy SCA (B+/B2)^(a)
	4,630,000		9.500			07/15/17		4,479,525
Polymer Group, Inc. (B/B1)^(a)
	5,050,000		7.750			02/01/19		5,037,375
Polypore International, Inc. (B/B3)
	9,375,000		7.500			11/15/17		9,328,125
Rockwood Specialties Group, Inc. (B+/B1)
EUR	21,810,000		7.625			11/15/14		28,635,545

								111,396,065


Conglomerates – 0.5%
Park-Ohio Industries, Inc. (CCC+/B3)
$	12,750,000		8.125			04/01/21		11,921,250
TriMas Corp. (B-/B2)
	9,000,000		9.750			12/15/17		9,315,000

								21,236,250


Construction Machinery – 0.6%
Case New Holland, Inc. (BB+/Ba2)
	8,900,000		7.875			12/01/17		9,500,750
CNH America LLC (BB+/Ba2)
	953,000		7.250			01/15/16		986,355
Dematic SA (B/B3)^(a)
	12,100,000		8.750			05/01/16		11,249,747
The Manitowoc Co., Inc. (B+/B3)
	5,875,000		8.500			11/01/20		5,493,125

								27,229,977


Consumer Products – Household & Leisure – 1.6%
Affinion Group Holdings, Inc. (B-/Caa1)
	5,375,000		11.625			11/15/15		4,273,125
Affinion Group, Inc. (B-/B3)
	18,750,000		7.875			12/15/18		14,531,250
Armored Autogroup, Inc. (CCC+/Caa1)^(a)
	10,875,000		9.250			11/01/18		9,053,437
Easton-Bell Sports, Inc. (B-/B2)
	5,500,000		9.750			12/01/16		5,795,625
Elizabeth Arden, Inc. (B+/B1)
	4,250,000		7.375			03/15/21		4,239,375
Jarden Corp. (B/B2)
	8,375,000		7.500			05/01/17		8,584,375
	1,250,000		7.500			01/15/20		1,268,750
Jarden Corp. (BB-/Ba3)
	2,375,000		8.000			05/01/16		2,493,750
Spectrum Brands Holdings, Inc. (B/B1)
	10,250,000		9.500			06/15/18		10,865,000
Spectrum Brands Holdings, Inc. (CCC+/B3)^(c)
	5,085,308		12.000			08/28/19		5,492,133
Visant Corp. (B-/Caa1)
	6,000,000		10.000			10/01/17		5,580,000

								72,176,820


Consumer Products – Industrial – 0.1%
Interline Brands, Inc. (BB-/B2)
	2,500,000		7.000			11/15/18		2,437,500


Consumer Products – Non Durable – 0.9%
Constellation Brands, Inc. (BB+/Ba2)
	3,875,000		8.375			12/15/14		4,233,437
	7,500,000		7.250			05/15/17		7,856,250
Prestige Brands, Inc. (B/B3)
	6,000,000		8.250			04/01/18		6,180,000
Sally Holdings LLC (B+/B3)
	16,000,000		10.500			11/15/16		16,680,000
Sally Holdings LLC (BB/B2)
	5,000,000		9.250			11/15/14		5,100,000

								40,049,687


Defense – 0.7%
ADS Tactical, Inc. (B/B3)^(a)
	10,006,000		11.000			04/01/18		9,780,865
DynCorp International, Inc. (B-/B2)
	1,750,000		10.375			07/01/17		1,522,500
Huntington Ingalls Industries, Inc. (B+/Ba3)^(a)
	4,000,000		6.875			03/15/18		3,720,000
L-3 Communications Corp. (BB+/Ba1)
	14,625,000		6.375			10/15/15		14,880,938

								29,904,303


Emerging Markets^(a) – 0.8%
Cemex Finance LLC (B/NR)
	9,327,000		9.500			12/14/16		6,804,902
Digicel Group Ltd. (NR/Caa1)
	18,500,000		8.875			01/15/15		17,390,000
	5,071,000		9.125			01/15/15		4,792,095
	6,500,000		10.500			04/15/18		6,370,000

								35,356,997


Energy – Coal – 1.0%
Arch Coal, Inc. (B+/B1)^(a)
	13,400,000		7.000			06/15/19		12,730,000
Foresight Energy LLC/Foresight Energy Corp. (B/Caa1)^(a)
	11,400,000		9.625			08/15/17		11,343,000
Peabody Energy Corp. (BB+/Ba1)
	2,500,000		7.375			11/01/16		2,737,500
	3,800,000		6.500			09/15/20		3,971,000
Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp. (B/B2)
	6,000,000		8.250			04/15/18		5,700,000
SunCoke Energy, Inc. (B+/B1)^(a)
	6,250,000		7.625			08/01/19		6,109,375

								42,590,875

The accompanying notes are an integral part of these financial statements. 47

GOLDMAN SACHS HIGH YIELD FUND

Schedule of Investments (continued)

September 30, 2011 (Unaudited)


Principal		Interest			Maturity
Amount		Rate			Date		Value

Corporate Obligations – (continued)

Energy – Exploration & Production – 7.0%
Antero Resources Finance Corp. (B/B3)^(a)
$	5,000,000		7.250	%		08/01/19	$	4,812,500
BreitBurn Energy Partners LP (B/B3)
	7,650,000		8.625			10/15/20		7,344,000
Brigham Exploration Co. (CCC+/Caa1)
	4,500,000		6.875			06/01/19		4,432,500
Chaparral Energy, Inc. (B-/Caa1)
	4,250,000		9.875			10/01/20		4,228,750
	6,050,000		8.250			09/01/21		5,475,250
Chesapeake Energy Corp. (BB+/Ba3)
	10,250,000		9.500			02/15/15		11,531,250
	12,000,000		7.250			12/15/18		12,780,000
	2,000,000		6.625			08/15/20		2,060,000
	5,450,000		6.875			11/15/20		5,695,250
	3,750,000		6.125			02/15/21		3,778,125
	10,000,000		2.500	^(d)		05/15/37		9,550,250
Concho Resources, Inc. (BB/B3)
	1,700,000		8.625			10/01/17		1,797,750
	8,300,000		6.500			01/15/22		8,051,000
CONSOL Energy, Inc. (BB/B1)
	7,750,000		8.000			04/01/17		8,137,500
	6,875,000		8.250			04/01/20		7,253,125
	2,500,000		6.375	^(a)		03/01/21		2,412,500
Continental Resources, Inc. (BB/B1)
	3,625,000		7.375			10/01/20		3,751,875
Copano Energy LLC/Copano Energy Finance Corp. (B+/B1)
	4,875,000		7.125			04/01/21		4,826,250
Denbury Resources, Inc. (BB-/B1)
	1,375,000		9.750			03/01/16		1,485,000
	3,500,000		6.375			08/15/21		3,377,500
Eagle Rock Energy Partners LP/Eagle Rock Energy Finance Corp. (B-/B3)^(a)
	9,500,000		8.375			06/01/19		9,025,000
Encore Acquisition Co. (NR/B1)
	3,250,000		9.500			05/01/16		3,518,125
Energy Partners Ltd. (B-/Caa1)
	5,858,000		8.250			02/15/18		5,316,135
EV Energy Partners LP (B-/B3)^(a)
	5,700,000		8.000			04/15/19		5,557,500
Forest Oil Corp. (B/B1)
	5,000,000		7.250			06/15/19		4,912,500
Key Energy Services, Inc. (BB-/B1)
	4,125,000		6.750			03/01/21		3,970,313
Laredo Petroleum, Inc. (CCC+/Caa2)^(a)
	10,250,000		9.500			02/15/19		10,762,500
Linn Energy LLC/Linn Energy Finance Corp. (B/B2)
	6,650,000		6.500	^(a)		05/15/19		6,267,625
	5,000,000		8.625			04/15/20		5,125,000
	16,300,000		7.750			02/01/21		16,137,000
Newfield Exploration Co. (BB+/Ba2)
	6,500,000		6.875			02/01/20		6,760,000
Newfield Exploration Co. (BBB-/Ba1)
	7,800,000		5.750			01/30/22		7,712,250
NFR Energy LLC/NFR Energy Finance Corp. (B-/Caa1)^(a)
	12,500,000		9.750			02/15/17		11,000,000
Oasis Petroleum, Inc. (B-/Caa1)^(a)
	3,000,000		7.250			02/01/19		2,932,500
Pioneer Drilling Co. (B/NR)
	6,367,000		9.875			03/15/18		6,621,680
Pioneer Natural Resources Co. (BB+/Ba1)
	4,000,000		6.650			03/15/17		4,280,000
	750,000		6.875			05/01/18		802,500
Plains Exploration & Production Co. (BB-/B1)
	8,250,000		7.750			06/15/15		8,497,500
	2,250,000		10.000			03/01/16		2,458,125
	9,000,000		7.000			03/15/17		8,977,500
	5,000,000		7.625			06/01/18		5,112,500
	5,000,000		8.625			10/15/19		5,375,000
	7,250,000		7.625			04/01/20		7,458,437
	4,000,000		6.625			05/01/21		3,880,000
Precision Drilling Corp. (BB+/Ba1)^(a)
	2,150,000		6.500			12/15/21		2,112,375
Range Resources Corp. (BB/Ba3)
	8,625,000		8.000			05/15/19		9,422,812
SandRidge Energy, Inc. (B-/B3)
	2,886,000		9.875	^(a)		05/15/16		3,030,300
	6,925,000		8.000	^(a)		06/01/18		6,613,375
	3,250,000		8.750			01/15/20		3,217,500
	6,875,000		7.500	^(a)		03/15/21		6,153,125
Stone Energy Corp. (B/Caa1)
	8,750,000		8.625			02/01/17		8,006,250
Unit Corp. (BB-/B3)
	5,800,000		6.625			05/15/21		5,777,417
Whiting Petroleum Corp. (BB/Ba3)
	4,000,000		7.000			02/01/14		4,260,000

								313,833,219


Energy – Services – 1.1%
Basic Energy Services, Inc. (B/B3)^(a)
	7,250,000		7.750			02/15/19		7,105,000
Cie Generale de Geophysique – Veritas (BB-/Ba3)
	1,250,000		9.500			05/15/16		1,290,706
	17,600,000		6.500	^(a)		06/01/21		15,829,122
Frac Tech Services LLC/Frac Tech Finance, Inc. (BB/Ba3)^(a)
	4,645,000		7.625			11/15/18		4,598,550
OGX Petroleo e Gas Participacoes SA (B/B1)^(a)
	14,850,000		8.500			06/01/18		13,355,175
Trinidad Drilling Ltd. (BB-/B2)^(a)
	8,200,000		7.875			01/15/19		8,155,005

								50,333,558


Entertainment & Leisure – 0.9%
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp. (B-/B2)
	6,625,000		9.125			08/01/18		7,055,625
GWR Operating Partnership LLP (BB-/B3)
	8,000,000		10.875			04/01/17		8,240,000
MU Finance PLC (NR/NR)^(a)
	13,250,000		8.375			02/01/17		13,846,250
Palace Entertainment Holdings LLC/Palace Entertainment Holdings Corp. (B-/B2)^(a)
	7,975,000		8.875			04/15/17		7,307,094

48 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS HIGH YIELD FUND


Principal		Interest			Maturity
Amount		Rate			Date		Value

Corporate Obligations – (continued)
Entertainment & Leisure – (continued)

Regal Entertainment Group (B-/B3)
$	1,100,000		9.125	%		08/15/18	$	1,075,250
Universal City Development Partners Ltd. (B/Baa2)
	3,088,000		10.875			11/15/16		3,605,240

								41,129,459


Finance – 6.5%
ACE Cash Express, Inc. (B/B3)^(a)
	12,925,000		11.000			02/01/19		11,503,250
Ally Financial, Inc. (B+/B1)
	7,000,000		6.750			12/01/14		6,650,000
	8,500,000		8.300			02/12/15		8,245,000
	34,080,000		6.250			12/01/17		29,479,200
	10,050,000		8.000			03/15/20		9,095,250
	1,875,000		7.500			09/15/20		1,678,125
	13,000,000		8.000			11/01/31		11,375,000
American General Finance Corp. (B/B3)
	12,164,000		6.900			12/15/17		8,545,210
CIT Group, Inc. (B+/B2)
	31,325,000		5.250	^(a)		04/01/14		29,602,125
	6,300,733		7.000			05/01/16		6,080,207
	21,749,000		7.000	^(a)		05/02/16		20,770,295
	34,300,000		7.000	^(a)		05/02/17		33,185,250
Citigroup Capital XXI (BB+/Baa3)^(e)
	12,450,000		8.300			12/21/57		12,169,875
General Motors Financial Co., Inc. (B/B1)^(a)
	8,250,000		6.750			06/01/18		7,837,500
International Lease Finance Corp. (BBB-/B1)
	13,635,000		6.625			11/15/13		13,089,600
	12,125,000		8.625			09/15/15		11,943,125
	12,500,000		5.750			05/15/16		11,125,000
	10,500,000		8.750			03/15/17		10,473,750
	2,250,000		8.875			09/01/17		2,255,625
	9,500,000		8.250			12/15/20		9,262,500
International Lease Finance Corp. (BBB-/Ba3)^(a)
	1,000,000		6.750			09/01/16		985,000
Lloyds Banking Group PLC (C/B3)^(a)(b)(e)
	4,242,000		5.920			10/29/49		2,014,653
National Money Mart Co. (B+/B2)
	8,250,000		10.375			12/15/16		8,415,000
Oppenheimer Holdings, Inc. (B+/B2)
	5,625,000		8.750			04/15/18		5,428,125
Provident Funding Associates (B/B2)^(a)
	6,125,000		10.125			02/15/19		5,451,250
RBS Capital Trust I (C/B3)
	6,375,000		4.709			12/29/49		2,932,500
RBS Capital Trust III (C/B3)
	7,750,000		5.512			09/29/49		3,526,250
Regions Bank (BB+/Ba3)
	1,100,000		7.500			05/15/18		1,078,000
Royal Bank of Scotland Group PLC (C/Ba3)^(a)
	2,000,000		6.990			10/29/49		1,280,808
Speedy Cash, Inc. (B/B3)^(a)
	5,700,000		10.750			05/15/18		5,757,000

								291,234,473


Finance Insurance – 0.9%
AXA SA (BBB/Baa1)^(a)(e)
	22,525,000		6.463			12/14/49		14,303,375
HUB International Holdings, Inc. (CCC+/B3)^(a)
	6,750,000		9.000			12/15/14		6,530,625
Liberty Mutual Group, Inc. (BB/Baa3)^(a)
	14,625,000		7.800			03/15/37		12,431,250
Towergate Finance PLC (NR/B1)
GBP	6,250,000		8.500			02/15/18		8,284,316

								41,549,566


Food – 1.6%
Bakkavor Group HF (B/B2)^(a)
	2,125,000		8.250			02/15/18		2,286,181
Bumble Bee Acquisition Corp. (B/B2)^(a)
$	7,750,000		9.000			12/15/17		7,440,000
Bumble Bee Holdco SCA (CCC+/Caa1)^(a)(c)
	10,375,000		9.625			03/15/18		8,611,250
Dean Foods Co. (B-/B2)
	4,500,000		7.000			06/01/16		4,275,000
Del Monte Foods Co. (CCC+/B3)^(a)
	15,750,000		7.625			02/15/19		13,387,500
Foodcorp Pty Ltd. (B-/B2)
EUR	5,250,000		8.750			03/01/18		5,908,297
Pinnacle Foods Finance LLC (CCC+/B3)
$	15,242,000		9.250			04/01/15		15,089,580
Pinnacle Foods Finance LLC (CCC+/Caa1)
	13,000,000		10.625			04/01/17		13,000,000

								69,997,808


Gaming – 5.6%
Caesars Entertainment Operating Co., Inc. (B/B3)
	16,000,000		11.250			06/01/17		16,100,000
Caesars Entertainment Operating Co., Inc. (CCC/Caa3)
	10,000,000		12.750			04/15/18		6,775,000
Caesars Entertainment Operating Co., Inc. (CCC/NR)
	23,419,000		10.000			12/15/18		13,665,774
Chukchansi Economic Development Authority (B-/Caa2)^(a)
	5,345,000		8.000			11/15/13		3,688,050
CityCenter Holdings LLC (CCC/Caa2)^(a)(c)
	11,500,000		10.750			01/15/17		10,157,056
CityCenter Holdings LLC/CityCenter Finance Corp. (B/B2)^(a)
	7,125,000		7.625			01/15/16		6,715,312
Downstream Development Authority of the Quapaw Tribe of Oklahoma (B/B3)^(a)
	4,100,000		10.500			07/01/19		3,854,000
Gala Group Finance PLC (B+/B2)^(a)
GBP	2,000,000		8.875			09/01/18		2,454,757
Gateway Casinos & Entertainment Ltd. (BB-/B3)^(a)
CAD	6,375,000		8.875			11/15/17		6,144,432
Isle of Capri Casinos, Inc. (B-/B3)
$	6,250,000		7.750			03/15/19		5,812,500
Isle of Capri Casinos, Inc. (CCC+/Caa1)
	2,118,000		7.000			03/01/14		1,922,085
Las Vegas Sands Corp. (BB/Ba3)
	1,500,000		6.375			02/15/15		1,515,000

The accompanying notes are an integral part of these financial statements. 49

GOLDMAN SACHS HIGH YIELD FUND

Schedule of Investments (continued)

September 30, 2011 (Unaudited)


Principal		Interest			Maturity
Amount		Rate			Date		Value

Corporate Obligations – (continued)
Gaming – (continued)

Marina District Finance Co., Inc. (BB-/B2)
$	4,900,000		9.500	%		10/15/15	$	4,385,500
	5,350,000		9.875			08/15/18		4,574,250
MCE Finance Ltd. (B+/B1)
	10,875,000		10.250			05/15/18		11,527,500
MGM Resorts International (B/Ba3)
	11,500,000		13.000			11/15/13		13,052,500
	4,750,000		11.125			11/15/17		5,201,250
	1,250,000		9.000			03/15/20		1,287,500
MGM Resorts International (CCC+/Caa1)
	21,500,000		6.625			07/15/15		18,221,250
	15,000,000		7.500			06/01/16		12,900,000
	12,500,000		10.000	^(a)		11/01/16		11,812,500
	4,000,000		11.375			03/01/18		4,070,000
Mohegan Tribal Gaming Authority (CC/Ca)
	1,555,000		7.125			08/15/14		808,600
Mohegan Tribal Gaming Authority (CC/Caa2)
	8,750,000		6.125			02/15/13		5,425,000
Peermont Proprietary Global Ltd. (B-/B3)
EUR	11,250,000		7.750			04/30/14		11,605,583
Peninsula Gaming LLC (B/Caa1)
$	11,065,000		10.750			08/15/17		10,677,725
Pinnacle Entertainment, Inc. (B/Caa1)
	8,475,000		7.500			06/15/15		8,241,937
	5,375,000		8.750			05/15/20		5,186,875
Pinnacle Entertainment, Inc. (BB/B1)
	6,000,000		8.625			08/01/17		6,090,000
Scientific Games International, Inc. (BB-/B1)
	4,500,000		9.250			06/15/19		4,567,500
Shingle Springs Tribal Gaming Authority (CCC/Caa2)^(a)
	10,000,000		9.375			06/15/15		5,800,000
Snoqualmie Entertainment Authority (B-/Caa1)^(a)
	11,750,000		9.125			02/01/15		11,162,500
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. (B-/B3)^(a)
	1,850,000		8.625			04/15/16		1,859,250
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. (BBB-/Ba3)
	5,000,000		7.750			08/15/20		5,325,000
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. (BBB-/NR)
	2,125,000		7.875			11/01/17		2,295,000
Yonkers Racing Corp. (B+/B1)^(a)
	4,500,000		11.375			07/15/16		4,680,000

								249,561,186


Health Care – Medical Products – 1.5%
Accellent, Inc. (B+/B1)
	5,500,000		8.375			02/01/17		5,335,000
Alere, Inc. (B/B2)
	5,000,000		7.875			02/01/16		4,725,000
Alere, Inc. (B-/B3)
	6,750,000		9.000			05/15/16		6,446,250
	1,500,000		8.625			10/01/18		1,368,750
Catalent Pharma Solutions, Inc. (B/Caa1)^(c)
	12,875,118		9.500			04/15/15		11,845,109
Catalent Pharma Solutions, Inc. (B-/Caa1)
EUR	2,625,000		9.750			04/15/17		2,567,296
ConvaTec Healthcare E SA (B/Caa1)
	6,733,000		10.500	^(a)		12/15/18		5,958,705
EUR	2,000,000		10.875			12/15/18		2,183,792
ConvaTec Healthcare E SA (B+/Ba3)
	750,000		7.375			12/15/17		911,134
DJO Finance LLC/DJO Finance Corp. (B-/B3)^(a)
$	5,750,000		7.750			04/15/18		5,016,875
DJO Finance LLC/DJO Finance Corp. (CCC+/Caa1)^(a)
	2,250,000		9.750			10/15/17		1,940,625
Fresenius Medical Care US Finance, Inc. (BB/Ba2)
	6,625,000		6.875			07/15/17		6,926,948
	8,414,000		5.750	^(a)		02/15/21		8,077,440
VWR Funding, Inc. (B-/Caa1)^(c)
	3,751,562		10.250			07/15/15		3,709,357

								67,012,281


Health Care – Pharmaceutical – 1.2%
Capsugel FinanceCo. SCA (B/Caa1)^(a)
EUR	7,900,000		9.875			08/01/19		9,816,682
Endo Pharmaceuticals Holdings, Inc. (BB-/Ba3)^(a)
$	12,250,000		7.250			01/15/22		12,357,188
Mylan, Inc. (BB/NR)
	12,030,000		1.250			03/15/12		11,990,903
Valeant Pharmaceuticals International (BB/B1)^(a)
	5,000,000		6.500			07/15/16		4,662,500
	14,625,000		6.875			12/01/18		13,345,312

								52,172,585


Health Care – Services – 5.4%
American Renal Holdings Co., Inc. (B/B2)
	2,255,000		8.375			05/15/18		2,266,275
American Renal Holdings Co., Inc. (CCC+/Caa2)
	12,114,078		9.750			03/01/16		11,992,937
CDRT Merger Sub, Inc. (B-/Caa1)^(a)
	14,000,000		8.125			06/01/19		13,020,000
Community Health Systems, Inc. (B/B3)
	27,000,000		8.875			07/15/15		26,460,000
DaVita, Inc. (B/B2)
	9,434,000		6.375			11/01/18		9,056,640
	4,650,000		6.625			11/01/20		4,464,000
Gentiva Health Services, Inc. (CCC+/B3)
	4,850,000		11.500			09/01/18		3,855,750
HCA, Inc. (B-/B3)
	4,750,000		6.500			02/15/16		4,560,000
	25,400,000		7.500			02/15/22		23,241,000
HCA, Inc. (BB/Ba3)
	12,625,000		8.500			04/15/19		13,319,375
	28,950,000		6.500			02/15/20		28,153,875
	8,150,000		7.875			02/15/20		8,394,500
	21,250,000		7.250			09/15/20		21,356,250
HCA, Inc. (BB-/B2)
	1,625,000		9.875			02/15/17		1,755,000
HEALTHSOUTH Corp. (B+/B2)
	2,300,000		7.250			10/01/18		2,179,250
	8,725,000		7.750			09/15/22		7,917,938

50 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS HIGH YIELD FUND


Principal		Interest			Maturity
Amount		Rate			Date		Value

Corporate Obligations – (continued)
Health Care – Services – (continued)

MPT Operating Partnership LP/MPT Finance Corp. (BB/Ba2)^(a)
$	18,261,000		6.875	%		05/01/21	$	17,576,212
OnCure Holdings, Inc. (B/B3)
	6,250,000		11.750			05/15/17		5,531,250
Patheon, Inc. (B+/B1)^(a)
	3,875,000		8.625			04/15/17		3,293,750
Radiation Therapy Services, Inc. (CCC+/B3)
	4,375,000		9.875			04/15/17		3,762,500
STHI Holding Corp. (B/B2)^(a)
	3,250,000		8.000			03/15/18		3,144,375
Tenet Healthcare Corp. (BB-/B1)
	5,500,000		10.000			05/01/18		5,967,500
	12,563,000		8.875			07/01/19		13,253,965
Tenet Healthcare Corp. (CCC+/Caa1)
	9,750,000		8.000			08/01/20		8,970,000
US Oncology, Inc. (NR/NR)
	32,250,000		9.125			08/15/17		241,875

								243,734,217


Home Construction – 0.1%
KB HOME (B+/B2)
	1,500,000		6.250			06/15/15		1,237,500
Meritage Homes Corp. (B+/NR)
	2,122,000		7.150			04/15/20		1,984,070

								3,221,570


Lodging – 0.4%
Felcor Lodging LP (NR/B2)
	5,802,000		10.000			10/01/14		6,034,080
Host Hotels & Resorts LP (BB+/Ba1)
	6,700,000		6.750			06/01/16		6,783,750
	6,300,000		6.000			11/01/20		6,079,500

								18,897,330


Machinery^(a) – 0.3%
Constellation Enterprises LLC (B/B2)
	5,125,000		10.625			02/01/16		5,022,500
Dresser-Rand Group, Inc. (B+/B1)
	11,500,000		6.500			05/01/21		10,580,000

								15,602,500


Media – 1.1%
Allbritton Communications Co. (B/B2)
	5,650,000		8.000			05/15/18		5,296,875
DISH DBS Corp. (BB-/Ba3)
	6,525,000		7.125			02/01/16		6,573,937
	29,850,000		6.750	^(a)		06/01/21		28,506,750
Gray Television, Inc. (CCC/Caa2)
	11,375,000		10.500			06/29/15		10,123,750

								50,501,312


Media – Broadcasting & Radio – 1.4%
Bonten Media Acquisition Co. (CCC-/Caa3)^(a)(c)
	4,440,457		9.000			06/01/15		3,163,826
Clear Channel Communications, Inc. (CCC+/Caa1)
	9,500,000		9.000			03/01/21		7,030,000
Cumulus Media, Inc. (CCC+/B3)^(a)
	9,450,000		7.750			05/01/19		7,701,750
Entravision Communications Corp. (B/B1)
	2,000,000		8.750			08/01/17		1,880,000
Fox Acquisition Sub LLC (CCC+/Caa2)^(a)
	1,250,000		13.375			07/15/16		1,315,625
LIN Television Corp. (B-/B3)
	4,000,000		6.500			05/15/13		3,860,000
LIN Television Corp. (BB-/Ba3)
	2,875,000		8.375			04/15/18		2,889,375
Local TV Finance LLC (CCC+/Caa2)^(a)(c)
	4,443,459		9.250			06/15/15		4,087,982
Nexstar Broadcasting, Inc./Mission Broadcasting, Inc. (B/B3)
	3,250,000		8.875			04/15/17		3,209,375
Sinclair Television Group, Inc. (BB-/Ba3)^(a)
	8,750,000		9.250			11/01/17		9,100,000
Univision Communications, Inc. (B+/B2)^(a)
	5,500,000		6.875			05/15/19		4,867,500
	1,500,000		7.875			11/01/20		1,380,000
Univision Communications, Inc. (CCC+/Caa2)^(a)
	6,000,000		8.500			05/15/21		4,500,000
XM Satellite Radio, Inc. (BB-/B2)^(a)
	8,850,000		7.625			11/01/18		8,761,500

								63,746,933


Media – Cable – 2.7%
Adelphia Communications Corp. (NR/NR)
	2,000,000		10.250			06/15/49		3,200
CCO Holdings LLC/CCO Holdings Capital Corp. (BB-/B1)
	1,000,000		7.250			10/30/17		1,000,000
	3,125,000		7.875			04/30/18		3,203,125
	15,000,000		7.000			01/15/19		14,550,000
	1,750,000		8.125			04/30/20		1,828,750
	10,000,000		6.500			04/30/21		9,400,000
Charter Communications Operating LLC (BB+/Ba2)^(a)
	10,000,000		10.875			09/15/14		10,750,000
CSC Holdings LLC (BB/Ba3)
	9,125,000		8.500			04/15/14		9,809,375
	4,600,000		8.500			06/15/15		4,853,000
	1,550,000		7.875			02/15/18		1,627,500
	1,750,000		7.625			07/15/18		1,820,000
	11,000,000		8.625			02/15/19		12,045,000
Kabel Baden-Wurttemberg GmbH & Co. (B+/B1)^(a)
	3,750,000		7.500			03/15/19		3,675,000
Unitymedia GmbH (B-/B3)
EUR	750,000		9.625			12/01/19		967,614
UPC Holding BV (B-/B2)
	5,000,000		8.000			11/01/16		6,271,487
	23,375,000		8.375			08/15/20		27,025,529
Virgin Media Finance PLC (BB-/Ba2)
$	11,000,000		8.375			10/15/19		11,715,000
Virgin Media Investment Holdings Ltd. (BBB-/Baa3)
	125,000		6.500			01/15/18		133,057
Ziggo Bond Co. BV (B/B1)
EUR	1,375,000		8.000			05/15/18		1,770,882

								122,448,519

The accompanying notes are an integral part of these financial statements. 51

GOLDMAN SACHS HIGH YIELD FUND

Schedule of Investments (continued)

September 30, 2011 (Unaudited)


Principal			Interest			Maturity
Amount			Rate			Date		Value

Corporate Obligations – (continued)

Media – Diversified – 0.4%
Quebecor Media, Inc. (B+/B1)^(a)
CAD	12,875,000			7.375	%		01/15/21	$	12,198,908
Videotron Ltee (BB/Ba1)
$	5,625,000			9.125			04/15/18		6,145,313

									18,344,221


Metals – 2.0%
AK Steel Corp. (BB/Ba3)
	5,625,000			7.625			05/15/20		4,907,812
Aleris International, Inc. (B+/B1)^(a)
	2,252,000			7.625			02/15/18		2,021,170
Calcipar SA (BB-/B1)
EUR	8,121,000			2.737	^(e)		07/01/14		9,520,095
$	12,900,000			6.875	^(a)		05/01/18		11,158,500
FMG Resources (August 2006) Pty Ltd. (B+/B1)^(a)
	6,150,000			6.375			02/01/16		5,535,000
	12,060,000			6.875			02/01/18		10,733,400
JMC Steel Group (B/B3)^(a)
	4,550,000			8.250			03/15/18		4,231,500
Novelis, Inc. (B/B2)
	8,625,000			8.375			12/15/17		8,452,500
	11,000,000			8.750			12/15/20		10,890,000
Steel Dynamics, Inc. (BB+/Ba2)
	7,750,000			7.375			11/01/12		7,943,750
	5,500,000			7.750			04/15/16		5,472,500
Thompson Creek Metals Co., Inc. (B/B3)^(a)
	8,000,000			7.375			06/01/18		7,320,000
Tube City IMS Corp. (B-/Caa1)
	3,500,000			9.750			02/01/15		3,342,500

									91,528,727


Packaging – 3.7%
AEP Industries, Inc. (B-/B2)
	690,000			8.250			04/15/19		650,325
Ardagh Glass Finance PLC (B-/B3)
EUR	6,000,000			8.750			02/01/20		6,229,837
Ardagh Packaging Finance PLC (B-/B3)
$	1,875,000			9.125	^(a)		10/15/20		1,725,000
EUR	5,250,000			9.250			10/15/20		5,521,444
Ardagh Packaging Finance PLC (BB-/Ba3)
	8,250,000			7.375			10/15/17		10,278,465
Ball Corp. (BB+/Ba1)
$	13,221,000			5.750			05/15/21		12,824,370
Berry Plastics Corp. (B/B1)^(e)
	8,550,000			4.999			02/15/15		7,833,938
Crown Americas LLC (BB/Ba3)
	7,500,000			7.625			05/15/17		7,931,250
	1,250,000			6.250	^(a)		02/01/21		1,256,250
Crown Cork & Seal Co., Inc. (BB-/B1)
	1,000,000			7.375			12/15/26		992,500
Crown European Holdings SA (BB/Ba1)
EUR	1,625,000			7.125			08/15/18		2,106,394
Graham Packaging Co. LP (B-/Caa1)
$	22,250,000			9.875			10/15/14		22,583,750
Graphic Packaging International, Inc. (BB-/B2)
	5,300,000			9.500			06/15/17		5,697,500
Greif Luxembourg Finance SCA (BB/Ba2)^(a)
EUR	6,400,000			7.375			07/15/21		8,059,935
Reynolds Group Holdings Ltd. (B-/Caa1)^(a)
	8,750,000			8.250			02/15/21		6,868,750
Reynolds Group Issuer, Inc. (B-/Caa1)
EUR	9,500,000			8.000			12/15/16		9,800,270
	22,375,000			9.500			06/15/17		19,937,550
$	6,250,000			9.000	^(a)		05/15/18		5,250,000
	5,000,000			9.000	^(a)		04/15/19		4,200,000
Reynolds Group Issuer, Inc. (BB-/Ba3)^(a)
	2,375,000			8.750			10/15/16		2,363,125
	1,125,000			7.125			04/15/19		1,046,250
	10,200,000			7.875			08/15/19		9,843,000
Sealed Air Corp. (BB/B1)^(a)
	10,000,000			8.125			09/15/19		10,075,000
	1,600,000			8.375			09/15/21		1,612,000

									164,686,903


Paper – 1.0%
Ainsworth Lumber Co., Ltd. (B-/Caa1)^(a)(c)
	9,096,875			11.000			07/29/15		6,185,875
Longview Fibre Paper & Packaging, Inc. (B+/B2)^(a)
	8,400,000			8.000			06/01/16		8,169,000
PE Paper Escrow GmbH (BB/Ba2)^(a)
	6,875,000			12.000			08/01/14		7,218,750
Sappi Papier Holding GmbH (B/B2)^(a)
	3,875,000			7.500			06/15/32		3,061,250
Sappi Papier Holding GmbH (BB/Ba2)^(a)
	6,500,000			6.625			04/15/21		5,525,000
Stone Container Finance Co. of Canada II (NR/WR)^(b)
	2,250,000			7.375			07/15/14		45,000
Stora Enso Oyj (BB/Ba2)^(a)
	8,085,000			7.250			04/15/36		6,867,606
Verso Paper Holdings LLC/Verso Paper, Inc. (B/B2)
	5,000,000			8.750			02/01/19		3,425,000
Weyerhaeuser Co. (BBB-/Ba1)
	4,375,000			7.375			03/15/32		4,362,834

									44,860,315


Printing – 0.3%
American Reprographics Co. (B+/B1)
	5,750,000			10.500			12/15/16		5,261,250
Checkout Holding Corp. (B-/B3)^(a)(f)
	6,375,000			0.000			11/15/15		3,490,313
SGS International, Inc. (B/B2)
	5,750,000			12.000			12/15/13		5,735,625

									14,487,188


Publishing – 0.4%
Houghton Mifflin Harcourt Publishing Co. (NR/Caa1)^(a)
	14,050,000	��		10.500			06/01/19		9,835,000
Morris Publishing Group LLC (NR/NR)
	1,197,445			10.000			09/01/14		916,046
Nielsen Finance LLC (B+/B2)
	3,250,000			11.500			05/01/16		3,713,125
	4,500,000			7.750			10/15/18		4,612,500

52 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS HIGH YIELD FUND


Principal		Interest			Maturity
Amount		Rate			Date		Value

Corporate Obligations – (continued)
Publishing – (continued)

Truvo Subsidiary Corp. (NR/WR)^(b)
EUR	16,750,000		8.500	%		12/01/14	$	–

								19,076,671


Real Estate – 0.4%
CB Richard Ellis Services, Inc. (B+/Ba1)
$	5,250,000		6.625			10/15/20		5,040,000
CB Richard Ellis Services, Inc. (B+/Ba2)
	5,000,000		11.625			06/15/17		5,612,500
Realogy Corp. (CC/Caa1)^(a)
	7,925,000		7.875			02/15/19		5,943,750

								16,596,250


Restaurants – 0.7%
CKE Holdings, Inc. (CCC/Caa1)^(a)(c)
	9,509,062		10.500			03/14/16		8,367,975
DineEquity, Inc. (CCC+/B3)
	18,000,000		9.500			10/30/18		17,640,000
Seminole Hard Rock Entertainment, Inc. (BB/B2)^(a)(e)
	7,000,000		2.847			03/15/14		6,230,000

								32,237,975


Retailers – 1.4%
Burlington Coat Factory Warehouse Corp. (CCC/Caa1)^(a)
	7,250,000		10.000			02/15/19		6,325,625
Claire’s Stores, Inc. (CCC/Caa3)
	20,750,000		8.875			03/15/19		15,043,750
Levi Strauss & Co. (B+/B2)
EUR	3,900,000		7.750			05/15/18		4,545,771
Limited Brands, Inc. (BB+/Ba1)
$	11,000,000		6.625			04/01/21		11,123,750
Michaels Stores, Inc. (CCC/Caa1)
	7,250,000		7.750			11/01/18		6,796,875
RadioShack Corp. (BB/Ba2)^(a)
	4,250,000		6.750			05/15/19		3,973,750
The Jones Group, Inc. (B+/Ba3)
	17,000,000		6.875			03/15/19		15,385,000

								63,194,521


Retailers – Food & Drug – 0.9%
Ingles Markets, Inc. (BB-/B1)
	6,000,000		8.875			05/15/17		6,270,000
Rite Aid Corp. (B-/Caa2)
	10,000,000		7.500			03/01/17		9,575,000
Rite Aid Corp. (CCC/Caa3)
	5,400,000		9.375			12/15/15		4,711,500
	10,500,000		9.500			06/15/17		8,531,250
Supervalu, Inc. (B/B2)
	5,375,000		7.500			11/15/14		5,280,938
	5,500,000		8.000			05/01/16		5,197,500

								39,566,188


Services Cyclical – Business Services – 2.1%
ACCO Brands Corp. (B-/Caa1)
	6,875,000		7.625			08/15/15		6,600,000
Carlson Wagonlit BV (CCC+/Caa1)^(e)
EUR	10,500,000		7.360			05/01/15		10,620,093
CoreLogic, Inc. (B+/Ba3)^(a)
	21,250,000		7.250			06/01/21		19,018,750
Garda World Security Corp. (B/B2)^(a)
	3,000,000		9.750			03/15/17		3,045,000
Good Sam Enterprises LLC (NR/B3)
	3,570,000		11.500			12/01/16		3,355,800
iPayment, Inc. (CCC+/B3)^(a)
	4,250,000		10.250			05/15/18		3,995,000
ISS Holdings A/S (B/Caa1)
EUR	3,736,000		8.875			05/15/16		4,404,669
Sitel LLC/Sitel Finance Corp. (B-/Caa2)
$	14,575,000		11.500			04/01/18		11,587,125
The Geo Group, Inc. (B+/B1)
	11,425,000		6.625			02/15/21		10,968,000
TransUnion LLC/TransUnion Financing Corp. (B-/B3)
	10,500,000		11.375			06/15/18		11,418,750
West Corp. (B/B3)
	4,875,000		8.625			10/01/18		4,753,125
West Corp. (B-/Caa1)
	4,560,000		11.000			10/15/16		4,696,800

								94,463,112


Services Cyclical – Consumer Services – 0.0%
Service Corp. International (BB-/Ba3)
	1,750,000		6.750			04/01/16		1,793,750


Services Cyclical – Rental Equipment – 1.0%
B-Corp Merger Sub, Inc. (CCC+/Caa1)^(a)
	8,400,000		8.250			06/01/19		7,602,000
EC Finance PLC (B+/B2)
EUR	2,200,000		9.750			08/01/17		2,151,638
Hertz Corp. (B-/B2)
$	2,708,000		7.375			01/15/21		2,464,280
Maxim Crane Works LP (B/Caa1)^(a)
	5,000,000		12.250			04/15/15		4,250,000
RSC Equipment Rental, Inc. (B-/Caa1)
	16,834,000		9.500			12/01/14		16,665,660
RSC Equipment Rental/RSC Holdings Inc. (B-/Caa1)
	7,500,000		8.250			02/01/21		6,525,000
United Rentals North America, Inc. (B/B2)
	6,500,000		10.875			06/15/16		7,052,500

								46,711,078


Technology – Hardware – 2.5%
Alcatel-Lucent (B/B1)
EUR	4,250,000		8.500			01/15/16		5,285,871
Alcatel-Lucent USA, Inc. (B/B1)
$	11,000,000		6.450			03/15/29		9,020,000
Brightstar Corp. (BB-/B1)^(a)
	10,750,000		9.500			12/01/16		10,965,000
CDW LLC/CDW Finance Corp. (CCC+/Caa1)^(a)
	13,125,000		8.500			04/01/19		11,353,125
CDW LLC/CDW Finance Corp. (CCC+/NR)
	6,250,000		12.535			10/12/17		6,000,000

The accompanying notes are an integral part of these financial statements. 53

GOLDMAN SACHS HIGH YIELD FUND

Schedule of Investments (continued)

September 30, 2011 (Unaudited)


Principal		Interest			Maturity
Amount		Rate			Date		Value

Corporate Obligations – (continued)
Technology – Hardware – (continued)

CommScope, Inc. (B/B3)^(a)
$	23,000,000		8.250	%		01/15/19	$	22,310,000
EN Germany Holdings BV (B-/B3)
EUR	10,500,000		10.750			11/15/15		12,380,646
Freescale Semiconductor, Inc. (CCC+/Caa1)
$	9,250,000		8.050			02/01/20		8,325,000
	13,076,000		10.750			08/01/20		13,076,000
MEMC Electronic Materials, Inc. (BB/B1)
	12,125,000		7.750			04/01/19		10,306,250
Seagate HDD Cayman (BB+/Ba1)^(a)
	1,950,000		7.000			11/01/21		1,823,250

								110,845,142


Technology – Software/Services – 2.7%
Aspect Software, Inc. (B-/Caa1)
	5,585,000		10.625			05/15/17		5,668,775
Eagle Parent, Inc. (CCC+/Caa1)^(a)
	5,750,000		8.625			05/01/19		4,887,500
Equinix, Inc. (BB-/Ba2)
	5,750,000		7.000			07/15/21		5,721,250
Fidelity National Information Services, Inc. (BB-/Ba2)
	6,100,000		7.625			07/15/17		6,374,500
	400,000		7.875			07/15/20		418,000
First Data Corp. (B-/Caa1)
	2,247,000		9.875			09/24/15		1,876,245
	18,950,000		8.250	^(a)		01/15/21		14,970,500
	18,237,000		12.625	^(a)		01/15/21		13,495,380
	27,320,000		8.750	^(a)(c)		01/15/22		21,582,800
iGate Corp. (B+/B2)^(a)
	6,529,000		9.000			05/01/16		6,137,260
Sabre Holdings Corp. (CCC+/Caa1)
	8,250,000		8.350			03/15/16		6,785,625
Serena Software, Inc. (CCC+/Caa1)
	6,076,000		10.375			03/15/16		6,197,520
SunGard Data Systems, Inc. (B/Caa1)
	11,000,000		10.625			05/15/15		11,632,500
	15,000,000		7.375			11/15/18		13,950,000
Travelport, Inc. (C/Caa3)
	4,500,000		11.875			09/01/16		1,777,500

								121,475,355


Telecommunications – 2.3%
Cincinnati Bell, Inc. (B/B2)
	2,500,000		8.375			10/15/20		2,306,250
Cincinnati Bell, Inc. (CCC+/B3)
	2,750,000		8.750			03/15/18		2,420,000
Frontier Communications Corp. (BB/Ba2)
	6,750,000		7.875			04/15/15		6,817,500
	26,500,000		8.250			04/15/17		25,705,000
	10,000,000		8.125			10/01/18		9,625,000
Level 3 Escrow, Inc. (CCC/B3)^(a)
	4,875,000		8.125			07/01/19		4,326,562
Level 3 Financing, Inc. (CCC/B3)
	10,000		9.250			11/01/14		9,900
	4,250,000		8.750			02/15/17		3,888,750
	10,000,000		10.000			02/01/18		9,600,000
Qwest Communications International, Inc. (BB/Baa3)
	9,750,000		7.125			04/01/18		9,530,625
Sunrise Communications Holdings SA (B/B3)
EUR	2,500,000		8.500			12/31/18		3,064,556
Sunrise Communications International SA (BB/Ba3)
	500,000		7.000			12/31/17		644,515
CHF	2,625,000		7.000			12/31/17		2,875,800
Windstream Corp. (B+/Ba3)
$	5,000,000		7.875			11/01/17		5,075,000
	8,000,000		7.750			10/15/20		7,720,000
	9,500,000		7.750			10/01/21		9,428,750

								103,038,208


Telecommunications – Cellular – 3.5%
CC Holdings GS V LLC/Crown Castle GS III Corp. (BB/Baa3)^(a)
	5,125,000		7.750			05/01/17		5,496,563
Crown Castle International Corp. (B-/B1)
	1,125,000		9.000			01/15/15		1,203,750
	4,300,000		7.125			11/01/19		4,434,375
Nextel Communications, Inc. (BB-/Ba3)
	11,568,000		7.375			08/01/15		10,873,920
Sprint Capital Corp. (BB-/B1)
	50,250,000		6.900			05/01/19		42,963,750
	15,382,000		6.875			11/15/28		11,421,135
	46,625,000		8.750			03/15/32		40,330,625
Sprint Nextel Corp. (BB-/B1)
	10,250,000		6.000			12/01/16		8,712,500
	8,175,000		8.375			08/15/17		7,592,531
Wind Acquisition Finance SA (BB/Ba2)
	1,025,000		7.250	^(a)		02/15/18		871,250
EUR	19,900,000		7.375			02/15/18		22,395,258

								156,295,657


Telecommunications – Satellites – 2.4%
Intelsat Jackson Holdings Ltd. (B/B3)
$	10,125,000		9.500			06/15/16		10,251,563
Intelsat Jackson Holdings SA (B/B3)^(a)
	15,125,000		7.250			04/01/19		14,066,250
	8,500,000		7.250			10/15/20		7,862,500
	13,000,000		7.500			04/01/21		12,122,500
Intelsat Jackson Holdings SA (CCC+/Caa2)
	15,250,000		11.250			06/15/16		15,449,775
Intelsat Luxembourg SA (CCC+/Caa3)
	12,000,000		11.250			02/04/17		10,380,000
	37,253,906		11.500	^(c)		02/04/17		31,665,820
	6,500,000		11.500	^(a)(c)		02/04/17		5,476,250

								107,274,658


Textiles & Apparel – 0.6%
Hanesbrands, Inc. (BB-/B1)
	11,525,000		6.375			12/15/20		11,150,437
Quiksilver, Inc. (B/Ba3)
EUR	2,825,000		8.875			12/15/17		3,444,162
Quiksilver, Inc. (CCC+/Caa1)
$	11,500,000		6.875			04/15/15		10,120,000

								24,714,599

54 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS HIGH YIELD FUND


Principal		Interest			Maturity
Amount		Rate			Date		Value

Corporate Obligations – (continued)

Transportation – 0.7%
Aguila 3 SA (B/B2)^(a)
$	13,875,000		7.875	%		01/31/18	$	12,452,812
Commercial Barge Line Co. (B+/B2)
	3,475,000		12.500			07/15/17		3,692,188
Florida East Coast Railway Corp. (B-/B3)
	4,625,000		8.125			02/01/17		4,497,812
Platinum Equity LLC (CCC+/Caa1)^(a)(c)
	9,115,546		10.625			02/15/16		7,110,126
Western Express, Inc. (CCC+/Caa2)^(a)
	5,100,000		12.500			04/15/15		3,315,000

								31,067,938


Utilities – Distribution – 0.4%
AmeriGas Partners LP/AmeriGas Finance Corp. (NR/Ba3)
	2,150,000		6.250			08/20/19		2,058,625
Ferrellgas LP/Ferrellgas Finance Corp. (B+/Ba3)
	800,000		9.125			10/01/17		805,000
	3,900,000		6.500			05/01/21		3,354,000
Ferrellgas Partners LP/Ferellgas Partners Finance Corp. (B-/B2)
	3,006,000		8.625			06/15/20		2,945,880
Inergy LP/Inergy Finance Corp. (B+/Ba3)
	3,500,000		7.000			10/01/18		3,290,000
	7,875,000		6.875			08/01/21		7,402,500

								19,856,005


Utilities – Electric – 4.3%
Calpine Corp. (BB-/B1)^(a)
	33,200,000		7.250			10/15/17		32,038,000
	6,650,000		7.500			02/15/21		6,417,250
Covanta Holding Corp. (B/Ba3)
	6,054,000		7.250			12/01/20		6,023,730
Dolphin Subsidiary II, Inc. (BB+/Ba1)^(a)
	24,900,000		7.250			10/15/21		24,962,250
Dynegy Holdings, Inc. (CC/Ca)
	7,000,000		7.500			06/01/15		4,585,000
Edison Mission Energy (B-/Caa1)
	26,121,000		7.000			05/15/17		15,933,810
	8,857,000		7.200			05/15/19		5,048,490
GenOn Energy, Inc. (B/B3)
	11,500,000		9.875			10/15/20		10,810,000
NRG Energy, Inc. (BB-/B1)^(a)
	19,315,000		7.625			01/15/18		17,914,662
	18,000,000		7.875			05/15/21		16,380,000
NV Energy, Inc. (BB+/Ba2)
	11,000,000		6.250			11/15/20		11,330,000
Puget Energy, Inc. (BB+/Ba1)
	8,045,000		6.000			09/01/21		7,909,610
The AES Corp. (BB-/B1)
	4,500,000		7.750			10/15/15		4,612,500
	14,300,000		8.000			10/15/17		14,300,000
	6,000,000		8.000			06/01/20		6,000,000
	9,250,000		7.375	^(a)		07/01/21		8,787,500

								193,052,802


Utilities – Pipelines – 1.7%
Crosstex Energy LP/Crosstex Energy Finance Corp. (B+/B2)
	6,045,000		8.875			02/15/18		6,196,125
El Paso Corp. (BB-/Ba3)
	10,500,000		7.000			06/15/17		11,812,500
	2,555,000		7.250			06/01/18		2,855,213
	4,000,000		6.500			09/15/20		4,310,000
	2,000,000		7.800			08/01/31		2,275,000
El Paso Natural Gas Co. (BB/Baa3)
	2,750,000		8.375			06/15/32		3,536,919
El Paso Pipeline Partners Operating Co. LLC (BB/Ba1)
	4,750,000		5.000			10/01/21		4,750,069
Energy Transfer Equity LP (BB-/Ba2)
	5,475,000		7.500			10/15/20		5,625,563
Enterprise Products Operating LLC (BB/Ba1)^(e)
	3,750,000		8.375			08/01/66		3,890,625
	3,285,000		7.034			01/15/68		3,317,850
MarkWest Energy Partners LP/MarkWest Energy Finance Corp. (BB/Ba3)
	2,500,000		6.750			11/01/20		2,525,000
Regency Energy Partners LP (BB-/B1)
	9,000,000		9.375			06/01/16		9,630,000
	8,250,000		6.500			07/15/21		8,126,250
Targa Resources Partners LP (NR/B1)
	5,625,000		11.250			07/15/17		6,173,437

								75,024,551


TOTAL CORPORATE OBLIGATIONS
(Cost $4,284,171,005)							$	4,027,631,226




Senior Term Loans^(g) – 0.7%
Automotive Parts – 0.0%
Allison Transmission, Inc. (B/B2)
$	971,990		2.980	%		08/07/14	$	914,584


Finance – 0.1%
Nuveen Investments, Inc. (B/B3)
	5,150,717		3.319			11/13/14		4,700,029


Gaming – 0.1%
Caesars Entertainment Operating Co. (B/Caa1)
	3,750,000		3.247			01/28/15		3,114,863


Media – Broadcasting & Radio – 0.3%
Clear Channel Communications, Inc. (CCC+/Caa1)
	23,136,608		3.889			01/28/16		16,144,957


Services Cyclical – Rental Equipment – 0.2%
Ahern Rentals, Inc. (CCC+/Ca)
	3,746,539		18.000			12/15/12		3,371,885
Avis Budget Car Rental LLC (BB/Ba1)
	4,300,000		5.000			09/21/18		4,271,319

								7,643,204


TOTAL SENIOR TERM LOANS
(Cost $37,803,679)							$	32,517,637

The accompanying notes are an integral part of these financial statements. 55

GOLDMAN SACHS HIGH YIELD FUND

Schedule of Investments (continued)

September 30, 2011 (Unaudited)


Shares		Rate			Value

Preferred Stocks – 0.3%
Ally Financial, Inc.^(a)
	5,000		7.000	%	$	3,348,282
Las Vegas Sands Corp.
	46,250		10.000			5,168,178
Lucent Technologies Capital Trust I
	1,175		7.750			969,375
Spanish Broadcasting Systems, Inc.^(b)(c)(d)
	3,074		10.750			2,121,060


TOTAL PREFERRED STOCKS
(Cost $13,014,840)					$	11,606,895


Shares		Description	Value

Common Stocks – 0.1%
	377,456	Accuride Corp.^(b)	$	1,932,575
	109,952	General Motors Co.^(b)		2,218,831
	1,035	Leucadia National Corp.		23,474
	6,252	Masonite Worldwide Holdings^(b)		178,182
	90,000	Nortek, Inc.^(b)		1,980,000
	1,656	Nycomed^(b)		22
	3,874	Panolam Holdings Co.^(b)		39
	2,500	Port Townsend Holdings Co., Inc.^(b)		—
	250	Simmons Bedding Co.^(b)		—


TOTAL COMMON STOCKS
(Cost $23,557,937)			$	6,333,123


		Expiration
Units		Date		Value

Warrants^(b) – 0.1%
General Motors Co.
	99,955		07/10/16	$	1,163,476
	99,955		07/10/19		792,643
Masonite Worldwide Holdings
	30,311		06/09/14		36,373
	22,734		05/20/16		28,418
Nortek, Inc.
	11,520		12/07/14		23,040


TOTAL WARRANTS
(Cost $8,012,696)				$	2,043,950


TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
(Cost $4,366,560,157)				$	4,080,132,831


Principal		Interest			Maturity
Amount		Rate			Date		Value

Short-term Investment^(h) – 5.8%
Repurchase Agreement – 5.8%
Joint Repurchase Agreement Account II
$	259,600,000		0.095	%		10/03/11	$	259,600,000
(Cost $259,600,000)


TOTAL INVESTMENTS – 96.9%
(Cost $4,626,160,157)							$	4,339,732,831


OTHER ASSETS IN EXCESS OF LIABILITIES – 3.1%								138,823,503


NET ASSETS – 100.0%							$	4,478,556,334

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 $1,319,527,475, which represents approximately 29.5% of net assets as of September 30, 2011.

(b)		Security is currently in default and/or non-income producing.

(c)		Pay-in-kind securities.

(d)		Security with “Put” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

(e)		Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011.

(f)		Issued with a zero coupon. Income is recognized through the accretion of discount.

(g)		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.

(h)		Joint repurchase agreement was entered into on September 30, 2011. Additional information appears on pages 88-89.

56 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS HIGH YIELD FUND

Security ratings disclosed, if any, are obtained from Standard & Poor’s/Moody’s Investors Service. A brief description of the ratings is available in the Fund’s Statement of Additional Information.




Currency Abbreviations:
CAD	—	Canadian Dollar
CHF	—	Swiss Franc
EUR	—	Euro
GBP	—	British Pound

Investment Abbreviations:
NR	—	Not Rated
WR	—	Withdrawn Rating


	As a % of
	Net Assets

Investments Industry Classifications†
Aerospace		0.6	%
Airlines		0.4
Automotive		2.7
Automotive Parts		2.2
Building Materials		0.6
Capital Goods		1.7
Chemicals		2.5
Conglomerates		0.5
Construction Machinery		0.9
Consumer Products		2.6
Defense		0.7
Emerging Markets		0.8
Energy		9.1
Entertainment & Leisure		0.9
Finance		7.6
Food		1.6
Gaming		5.8
Health Care		8.1
Home Construction		0.1
Lodging		0.4
Media		6.1
Metals		2.0
Packaging		3.7
Paper		1.0
Printing		0.3
Publishing		0.4
Real Estate		0.4
Restaurants		0.7
Retailers		2.3
Services Cyclical		3.3
Short-term Investments#		8.9
Technology		5.2
Telecommunications		8.2
Textiles & Apparel		0.6
Transportation		0.7
Utilities		6.4


TOTAL INVESTMENTS		100.0	%


†		Industry concentrations greater than one-tenth of one percent are disclosed.

#		Short-term Investments include repurchase agreements and other assets/liabilities.

The accompanying notes are an integral part of these financial statements. 57

GOLDMAN SACHS HIGH YIELD FUND

Schedule of Investments (continued)

September 30, 2011 (Unaudited)


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

10/05/11

29,260,428

1,176,169

Citibank NA

USD/EUR

10/05/11

292,711,954

18,637,681

Deutsche Bank AG (London)

USD/CAD

10/05/11

12,282,634

883,717

TOTAL

20,697,567

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS


	Contracts to	Expiration	Current		Unrealized
Counterparty	Buy/Sell	Date	Value		Loss

Royal Bank of Canada	GBP/USD	10/05/11	$	15,372,578	$	(185,333	)
UBS AG (London)	EUR/USD	10/05/11		23,807,776		(420,317	)


TOTAL					$	(605,650	)

58 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Schedule of Investments

September 30, 2011 (Unaudited)


Principal		Interest			Maturity
Amount		Rate			Date		Value

Corporate Obligations – 6.4%
Airlines^(a)(b) – 0.2%
Delta Air Lines, Inc. (BB-/Ba2)
$	1,000,000		9.500	%		09/15/14	$	1,040,000


Chemicals^(a) – 0.6%
Lyondell Chemical Co. (BB+/Ba1)^(b)
	2,000,000		8.000			11/01/17		2,155,000
Lyondell Chemical Co. (BB-/Ba3)
	1,500,000		11.000			05/01/18		1,616,250

								3,771,250


Commercial Services^(a)(b) – 0.3%
Altegrity, Inc. (CCC+/Caa2)
	2,000,000		10.500			11/01/15		1,865,000


Consumer Products – Household & Leisure^(a) – 0.1%
Spectrum Brands Holdings, Inc. (B/B1)
	750,000		9.500			06/15/18		795,000


Energy – Coal^(a)(b) – 0.4%
Arch Coal, Inc. (B+/B1)
	2,600,000		7.000			06/15/19		2,470,000


Environmental^(a) – 0.7%
Clean Harbors, Inc. (BB+/Ba3)
	4,000,000		7.625			08/15/16		4,180,000


Finance^(a)(b) – 0.3%
International Lease Finance Corp. (BBB-/Ba3)
	2,000,000		7.125			09/01/18		1,960,000


Gaming^(a) – 0.2%
MGM Resorts International (B/Ba3)
	1,000,000		11.125			11/15/17		1,095,000


Health Care^(a) – 0.3%
Community Health Systems, Inc. (B/B3)
	2,000,000		8.875			07/15/15		1,960,000


Health Care – Services^(a) – 0.4%
American Renal Holdings Co., Inc. (B/B2)
	1,000,000		8.375			05/15/18		1,005,000
OnCure Holdings, Inc. (B/B3)
	1,500,000		11.750			05/15/17		1,327,500

								2,332,500


Packaging^(a) – 0.7%
Berry Plastics Corp. (B/B1)^(c)
	2,000,000		4.999			02/15/15		1,832,500
Reynolds Group Issuer, Inc. (BB-/Ba3)^(b)
	2,000,000		8.750			10/15/16		1,990,000

								3,822,500


Paper^(a)(b) – 0.1%
Longview Fibre Paper & Packaging, Inc. (B+/B2)
	750,000		8.000			06/01/16		729,375


Technology – Software/Services – 0.3%
Network Solutions, Inc. (B/B1)
	1,769,666		2.490			03/07/14		1,743,121


Telecommunications – Cellular^(a) – 1.1%
Nextel Communications, Inc. (BB-/Ba3)
	1,500,000		6.875			10/31/13		1,466,250
	3,250,000		5.950			03/15/14		3,038,750
Wind Acquisition Finance SA (BB/Ba2)^(b)
	2,000,000		7.250			02/15/18		1,700,000

								6,205,000


Textiles & Apparel^(a)(c) – 0.4%
Hanesbrands, Inc. (BB-/B1)
	2,500,000		3.770			12/15/14		2,393,750


Utilities – Pipelines^(a) – 0.3%
MarkWest Energy Partners LP/MarkWest Energy Finance Corp. (BB/Ba3)
	1,500,000		8.750			04/15/18		1,590,000


TOTAL CORPORATE OBLIGATIONS
(Cost $39,987,266)							$	37,952,496




Senior Term Loans^(d) – 83.5%
Aerospace – 1.1%
Transdigm, Inc. (BB-/Ba2)
$	6,967,412		4.000	%		02/14/17	$	6,798,661


Airlines – 1.4%
Delta Air Lines, Inc. (BB-/Ba2)
	1,743,744		4.250			03/07/16		1,593,346
	7,431,375		5.500			04/20/17		6,994,782

								8,588,128


Automotive – 0.9%
Autoparts Holdings Ltd. (B-/Caa1)
	1,000,000		10.500			01/29/18		980,000
Chrysler Group LLC (B+/B2)
	4,987,500		6.000			05/24/17		4,335,584

								5,315,584


Automotive – Parts – 5.1%
Allison Transmission, Inc. (B/B2)
	5,826,420		2.980			08/07/14		5,482,312
Delphi Corp. (BBB/Baa3)
	10,276,316		3.500			03/31/17		10,135,017
Remy International, Inc. (B+/B1)
	3,974,045		6.250			12/16/16		3,820,051
Tomkins LLC (BB/NR)
	11,241,508		4.250			09/21/16		11,009,708

								30,447,088


Brokerage – 0.7%
MSCI, Inc. (BB+/Ba2)
	3,980,000		3.750			03/14/17		3,948,160


Chemicals – 4.0%
Ashland, Inc. (BB/Baa3)
	5,500,000		3.750			08/23/18		5,451,875
Nalco Co. (BB+/Ba1)
	6,818,711		4.500			10/05/17		6,773,571
Rockwood Specialties Group, Inc. (BBB-/Ba1)
	4,477,500		3.750			02/09/18		4,453,501
Solutia, Inc.(BB+/Ba1)
	7,228,752		3.500			08/01/17		7,058,876

								23,737,823

The accompanying notes are an integral part of these financial statements. 59

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Schedule of Investments (continued)

September 30, 2011 (Unaudited)


Principal		Interest			Maturity
Amount		Rate			Date		Value

Senior Term Loans^(d) – (continued)

Consumer Products – Household & Leisure – 2.2%
Armored Autogroup, Inc. (B+/Ba3)
$	1,989,975		6.000	%		11/04/16	$	1,838,239
BJ’s Wholesale Club, Inc. (NR/NR)
	3,500,000		0.000			09/28/18		3,381,875
	1,500,000		0.000			03/15/19		1,448,445
Huish Detergents, Inc. (BB/B2)
	1,000,000		4.490			10/26/14		843,750
Renfro Corp. (B/B2)
	2,487,437		5.500			05/23/17		2,387,939
Spectrum Brands, Inc. (B/B1)
	1,769,060		5.000			06/17/16		1,745,178
Visant Holding Corp. (BB-/B1)
	1,492,481		5.250			12/22/16		1,358,994

								13,004,420


Diversified Manufacturing – 0.3%
Manitowoc Co., Inc. (BB/Ba2)
	1,995,000		4.250			11/13/17		1,928,926


Energy – 1.7%
AES Corp.(BB+/Ba1)
	7,467,487		4.250			06/01/18		7,291,479
Frac Tech International LLC (NR/B2)
	3,000,000		6.250			05/06/16		2,933,850

								10,225,329


Energy – Coal – 1.9%
Walter Energy, Inc. (BB-/NR)
	11,476,250		4.000			04/02/18		11,060,236


Entertainment – 0.5%
Rovi Solutions Corp. (BB+/Ba1)
	2,879,253		4.000			02/07/18		2,828,866


Environmental – 0.5%
EnergySolutions LLC (BB+/Ba2)
	2,925,513		6.250			08/12/16		2,867,002


Finance – 0.5%
iPayment, Inc.(B+/Ba2)
	1,634,267		5.750			05/08/17		1,585,239
Springleaf Finance Corp. (B+/B2)
	1,500,000		5.500			05/10/17		1,296,000

								2,881,239


Food & Beverages – 6.0%
Burger King Corp. (BB-/Ba3)
	4,974,937		4.500			10/19/16		4,792,755
Del Monte Foods Co. (B+/Ba3)
	6,982,500		4.500			03/08/18		6,476,269
Dole Food Co. Inc. (BB-/Ba2)
	956,235		5.045			07/06/18		940,104
	1,775,865		5.057			07/06/18		1,745,906
Michael Foods Group, Inc. (BB-/B1)
	9,201,256		4.250			02/23/18		8,879,212
NBTY, Inc. (BB-/Ba3)
	9,949,875		4.250			10/02/17		9,622,026
U.S. Foodservice, Inc. (NR/B3)
	3,233,117		2.737			07/03/14		2,944,173

								35,400,445


Gaming – 2.1%
Caesars Entertainment Operating Co. (B/Caa1)
	3,500,000		3.247			01/28/15		2,907,205
Chester Downs and Marina LLC (B+/B3)
	3,988,515		12.375			07/29/16		3,968,572
Isle of Capri Casinos, Inc. (NR/Ba3)
	3,775,037		4.750			11/01/13		3,689,118
MGM Mirage, Inc. (CCC+/B3)
	2,000,000		7.000			02/21/14		1,881,000

								12,445,895


Health Care – 8.1%
Community Health Systems, Inc. (BB/Ba3)
	316,131		2.569			07/25/14		295,108
	6,161,554		2.569			07/25/14		5,751,811
Convatec, Inc. (B+/Ba3)
	6,467,419		5.750			12/22/16		6,160,216
HCA, Inc. (BB-/Ba3)
	9,000,000		3.619			03/31/17		8,453,250
HCA, Inc. (BB/Ba3)
	7,650,000		3.250			02/15/20		7,439,625
Health Management Associates, Inc. (BB-/B1)
	1,818,034		1.750			02/28/14		1,707,189
MedAssets, Inc. (BB-/Ba3)
	3,777,123		5.250			11/16/16		3,687,416
Multiplan, Inc. (B/Ba3)
	11,497,972		4.750			08/26/17		10,856,041
Renal Advantage Holdings, Inc. (B/Ba3)
	3,989,950		5.750			12/16/16		3,963,337

								48,313,993


Health Care – Medical Products – 0.5%
Biomet, Inc. (BB-/B1)
	2,987,040		3.314			03/25/15		2,846,858


Health Care – Pharmaceutical – 1.2%
Aptalis Pharma, Inc. (NR/B1)
	1,238,734		5.500			02/10/17		1,094,422
Endo Pharmaceuticals Holdings, Inc. (BBB-/Ba1)
	3,218,571		4.000			06/18/18		3,201,320
Warner Chilcott Corp.(BBB-/Ba3)
	1,364,571		4.250			03/15/18		1,325,476
	938,143		4.250			03/15/18		911,265
Warner Chilcott Corp. LLC (BBB-/Ba3)
	682,286		4.250			03/15/18		662,738

								7,195,221


Health Care – Services – 4.9%
DaVita, Inc. (BB/Ba2)
	15,429,181		4.500			10/20/16		15,217,029
Emdeon Business Services LLC (BB/Ba3)
	2,650,314		2.240			11/18/13		2,625,480
Emergency Medical Services Corp. (B+/B1)
	2,238,750		5.250			05/25/18		2,126,186
Universal Health Services, Inc. (BB+/NR)
	6,216,010		4.000			11/15/16		6,018,403
Valitas Health Services, Inc. (NR/Ba3)
	2,992,500		5.750			05/18/17		2,887,762

								28,874,860


Lodging – 0.5%
Ameristar Casinos, Inc. (NR/Ba3)
	995,000		4.000			04/13/18		960,076
Las Vegas Sands LLC (BB-/Ba3)
	1,238,371		1.740			05/23/14		1,180,019

60 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND


Principal		Interest			Maturity
Amount		Rate			Date		Value

Senior Term Loans^(d) – (continued)
Lodging – (continued)

Las Vegas Sands LLC (BB/Ba3)
$	254,057		1.740	%		05/23/14	$	242,086
Las Vegas Sands LLC (B+/B3)
	414,227		2.740			11/23/16		384,830
Las Vegas Sands LLC (B-/B3)
	83,254		2.740			11/23/16		77,345

								2,844,356


Media – Broadcasting & Radio – 2.8%
Cumulus Media, Inc. (B/Ba2)
	3,850,000		5.750			09/17/18		3,620,193
	1,000,000		7.500			02/11/19		942,500
Hubbard Radio LLC (NR/Caa1)
	4,239,375		5.250			04/28/17		4,069,800
	2,750,000		8.750			04/30/18		2,677,813
Univision Communications, Inc. (B-/B2)
	6,000,000		4.489			03/31/17		5,035,020

								16,345,326


Media – Cable – 1.9%
Charter Communications Operating LLC (BB+/Ba2)
	6,959,532		3.500			09/06/16		6,715,949
CSC Holdings, Inc. (BBB-/Baa3)
	2,984,211		1.985			03/29/16		2,897,161
	1,989,899		1.985			03/29/16		1,925,227

								11,538,337


Media – Non Cable – 2.3%
Lamar Media Corp. (BB/Baa3)
	947,778		4.000			12/30/16		934,746
Nielsen Finance LLC (NR/Ba2)
	6,462,255		3.476			05/02/16		6,195,686
Weather Channel (BB-/Ba3)
	6,982,456		4.250			02/13/17		6,882,118

								14,012,550


Metals – 2.3%
Metaldyne Co. LLC (B+/B1)
	2,985,000		5.250			05/18/17		2,887,988
Novelis, Inc. (BB-/Ba2)
	8,949,887		3.750			03/10/17		8,692,578
Potters Industries (NR/Ba3)
	997,500		6.000			05/05/17		957,600
Potters Industries (NR/Caa1)
	1,000,000		10.250			11/13/17		970,000

								13,508,166


Metals & Mining – 0.4%
SunCoke Energy, Inc (BB+/Ba1)
	2,493,750		4.000			07/26/18		2,456,344


Packaging – 1.4%
LabelCorp Holdings, Inc. (B+/B1)
	3,491,250		7.000			05/31/17		3,438,881
Reynolds Group Holdings, Inc. (NR/Ba3)
	3,976,259		5.250			02/09/18		3,851,564
Reynolds Group Holdings, Inc. (NR/Ba3)
	1,000,000		5.250			08/09/18		968,890

								8,259,335


Restaurants – 1.9%
DineEquity, Inc. (BB-/Ba2)
	4,750,000		4.250			10/19/17		4,589,165
Dunkin’ Brands, Inc. (B/B3)
	5,974,987		4.000			11/23/17		5,773,929
OSI Restaurant Partners LLC (BB-/B1)
	88,361		2.413			06/14/13		82,021
OSI Restaurant Partners LLC (B+/B3)
	905,852		2.563			06/14/14		840,857

								11,285,972


Retailers – 6.8%
Academy Ltd. (B/B2)
	2,500,000		4.500			08/03/18		2,386,450
Bass Pro Group LLC (BB-/Ba3)
	3,491,250		5.254			06/13/17		3,352,333
CDWC LLC (B/B2)
	3,500,000		4.250			07/14/17		3,106,250
Dollar General Corp.(BB-/Ba3)
	4,000,000		2.991			07/07/14		3,960,400
General Nutrition Centers, Inc. (B+/B1)
	2,062,500		4.250			03/02/18		2,002,089
Gymboree Corp. (B+/B1)
	746,241		5.000			02/23/18		663,736
Michaels Stores, Inc. (B/B2)
	8,239,496		4.802			07/31/16		7,853,311
Neiman-Marcus Group, Inc. (BB-/B3)
	2,125,000		4.750			05/16/18		1,960,908
Petco Animal Supplies, Inc. (B/B1)
	5,500,000		4.500			11/24/17		5,193,375
Pilot Travel Centers LLC (BB+/Ba2)
	4,387,500		4.250			03/30/18		4,319,845
Savers, Inc. (BB-/Ba3)
	2,985,000		4.250			03/03/17		2,930,285
Supervalu, Inc. (BB-/Ba3)
	2,985,000		4.500			04/28/18		2,746,588

								40,475,570


Services Cyclical – Business Services – 5.5%
Fifth Third Processing Solutions LLC (BB-/Ba3)
	6,222,491		4.500			11/03/16		6,009,121
First Data Corp. (B+/B1)
	3,907,890		2.985			09/24/14		3,387,672
	3,785,076		4.235			03/23/18		3,058,039
ServiceMaster Co. (B+/B1)
	382,906		2.740			07/24/14		356,941
	3,845,016		2.744			07/24/14		3,584,285
Trans Union LLC (NR/Ba3)
	8,955,000		4.750			02/12/18		8,719,931
Waste Industries USA, Inc. (B+/B1)
	2,985,000		4.750			03/17/17		2,798,438
West Corp. (BB-/Ba3)
	1,000,000		4.567			07/15/16		965,420
	3,585,538		4.570			07/15/16		3,461,550

								32,341,397


Services Cyclical – Consumer Services – 0.7%
Acosta, Inc. (B+/NR)
	4,518,675		4.750			03/01/18	$	4,304,038

The accompanying notes are an integral part of these financial statements. 61

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Schedule of Investments (continued)

September 30, 2011 (Unaudited)


Principal		Interest			Maturity
Amount		Rate			Date		Value

Senior Term Loans^(d) – (continued)

Services Cyclical – Rental Equipment – 0.5%
Avis Budget Car Rental LLC (BB/Ba1)
$	750,000		5.000	%		09/21/18	$	744,997
BakerCorp International, Inc. (B/Ba3)
	2,000,000		5.000			06/01/18		1,920,000

								2,664,997


Technology – 0.5%
Sensata Technologies Finance Co. LLC (BB+/Ba3)
	2,992,500		4.000			05/11/18		2,904,610


Technology – Software/Services – 4.2%
Aspect Software, Inc. (B+/Ba3)
	2,840,256		6.250			05/06/16		2,795,891
Autotrader.com, Inc. (BB+/Ba3)
	6,969,987		4.000			12/15/16		6,795,738
CCC Information Services, Inc.(B+/B1)
	2,000,000		5.500			11/11/15		1,954,000
Dealer Computer Services, Inc. (BB+/Ba2)
	3,990,000		3.750			04/20/18		3,900,225
Sungard Data Systems, Inc. (BB/Ba3)
	10,000,000		3.892			02/26/16		9,618,800

								25,064,654


Telecommunications – Internet & Data – 1.4%
Level 3 Financing, Inc. (B+/Ba3)
	5,000,000		8.500			03/13/14		5,200,000
Level 3 Financing, Inc. (B+/Ba3)
	3,000,000		4.250			09/03/18		2,840,010

								8,040,010


Telecommunications – Wirelines – 1.2%
CommScope, Inc. (BB/Ba3)
	7,289,940		5.000			01/14/18		7,139,622


Utilities – Electric – 1.7%
Calpine Corp. (B+/B1)
	10,696,250		4.500			04/02/18		10,047,095


Wireless Telecommunications – 3.9%
BBHI Acquisition LLC (BB+/Ba3)
	7,917,899		4.500			12/14/17		7,620,977
Intelsat Jackson Holdings SA (BB-/B1)
	12,967,500		5.250			04/02/18		12,351,544
Telx Group, Inc. (B+/B1)
	3,500,000		6.500			10/06/17		3,330,845

								23,303,366


TOTAL SENIOR TERM LOANS
(Cost $514,045,710)							$	495,244,479


TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
(Cost $554,032,976)							$	533,196,975




Short-term Investment^(e) – 14.5%
Repurchase Agreement – 14.5%
Joint Repurchase Agreement Account II
$	86,000,000		0.095	%		10/03/11	$	86,000,000
(Cost $86,000,000)


TOTAL INVESTMENTS – 104.4%
(Cost $640,032,976)							$	619,196,975


LIABILITIES IN EXCESS OF OTHER ASSETS – (4.4)%								(26,145,512	)


NET ASSETS – 100.0%							$	593,051,463

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 $13,909,375, which represents approximately 2.4% 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)		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.

(e)		Joint repurchase agreement was entered into on September 30, 2011. Additional information appears on pages 88-89.

Security ratings disclosed, if any, are obtained from Standard & Poor’s /Moody’s Investors Service. A brief description of the ratings is available in the Fund’s Statement of Additional Information.




Investment Abbreviations:
NR	—	Not Rated

62 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Schedule of Investments

September 30, 2011 (Unaudited)


Principal		Interest			Maturity
Amount		Rate			Date			Value

Corporate Obligations – 79.5%
Banks – 17.3%
Abbey National Treasury Services PLC
$	2,700,000		2.875	%		04/25/14		$	2,521,821
	3,875,000		4.000			04/27/16	��		3,532,725
ANZ Capital Trust II^(a)(b)
	2,800,000		5.360			12/15/49			2,740,500
Astoria Financial Corp.^(b)
	2,900,000		5.750			10/15/12			3,002,091
Bank of America Corp.
	7,950,000		5.625			07/01/20			7,400,599
Bank of Scotland PLC^(a)
	1,000,000		5.250			02/21/17			1,080,461
Capital One Capital IV^(b)(c)
	6,400,000		6.745			02/17/37			6,112,000
Citigroup Capital XXI^(b)(c)
	5,277,000		8.300			12/21/57			5,158,267
Citigroup, Inc.
	3,975,000		5.500			10/15/14			4,141,282
	2,220,000		6.125			11/21/17			2,374,665
	2,600,000		5.375			08/09/20			2,691,682
Discover Bank
	3,700,000		8.700			11/18/19			4,249,829
Fifth Third Bank^(c)
	2,950,000		0.402			05/17/13			2,888,634
HSBC Capital Funding LP^(a)(b)(c)
	1,050,000		4.610			12/29/49			928,216
ING Bank NV^(a)
	5,400,000		2.375			06/09/14			5,236,731
	2,700,000		2.500			01/14/16			2,705,616
JPMorgan Chase Capital XX^(b)
	3,100,000		6.550			09/29/36			3,084,500
JPMorgan Chase Capital XXV
	1,300,000		6.800			10/01/37			1,293,500
Manufacturers & Traders Trust Co.^(b)(c)
	3,525,000		1.872			04/01/13			3,521,394
	2,003,000		5.585			12/28/20			1,877,812
Merrill Lynch & Co., Inc.
	1,250,000		6.400			08/28/17			1,188,078
MUFG Capital Finance 1 Ltd.^(b)(c)
	3,025,000		6.346			07/25/49			3,040,125
National City Preferred Capital Trust I^(b)(c)
	2,400,000		12.000			12/10/49			2,485,968
Nordea Eiendomskreditt AS^(a)
	2,800,000		1.875			04/07/14			2,862,773
Regions Financial Corp.
	3,600,000		5.750			06/15/15			3,384,000
Resona Bank Ltd.^(a)(b)(c)
	1,475,000		5.850			04/15/49			1,453,052
Royal Bank of Scotland PLC^(a)
	3,825,000		4.875			08/25/14			3,851,121
Santander Holdings USA, Inc.
	855,000		4.625			04/19/16			802,293
Sumitomo Mitsui Banking Corp.^(a)
	5,325,000		2.900			07/22/16			5,372,973

									90,982,708


Brokerage – 2.5%
Morgan Stanley & Co.
	4,250,000		4.750			04/01/14			4,041,274
	7,100,000		6.625	^(b)		04/01/18			7,061,667
	1,725,000		7.300	^(b)		05/13/19			1,772,454

									12,875,395


Chemicals^(b) – 2.2%
Incitec Pivot Ltd.^(a)
	3,700,000		4.000			12/07/15			3,771,380
The Dow Chemical Co.
	6,823,000		7.600			05/15/14			7,761,596

									11,532,976


Distributors^(a)(b) – 0.8%
Ras Laffan Liquefied Natural Gas Co. Ltd. III
	2,300,000		6.750			09/30/19			2,740,450
Southern Star Central Gas Pipeline, Inc.
	1,100,000		6.000			06/01/16			1,235,514

									3,975,964


Diversified Manufacturing^(a)(b) – 1.7%
Illinois Tool Works, Inc.
	4,900,000		4.875			09/15/41			5,455,611
Xylem, Inc.
	3,650,000		3.550			09/20/16			3,649,989

									9,105,600


Electric^(b) – 4.5%
Arizona Public Service Co.
	6,115,000		8.750			03/01/19			7,836,518
Enel Finance International SA^(a)
	1,275,000		3.875			10/07/14			1,244,159
Ipalco Enterprises, Inc.^(a)
	4,025,000		5.000			05/01/18			3,793,562
Nevada Power Co.
	2,675,000		7.125			03/15/19			3,340,510
PPL WEM Holdings PLC^(a)
	3,700,000		5.375			05/01/21			3,900,022
Progress Energy, Inc.
	1,000,000		7.000			10/30/31			1,281,696
Puget Sound Energy, Inc.^(c)
	2,000,000		6.974			06/01/67			1,990,000

									23,386,467


Energy – 9.2%
Anadarko Petroleum Corp.^(b)
	7,428,000		6.375			09/15/17			8,309,517
	1,825,000		8.700			03/15/19			2,288,259
BP Capital Markets PLC^(b)
	8,600,000		4.500			10/01/20			9,308,136
Dolphin Energy Ltd.^(a)(b)
	485,980		5.888			06/15/19			520,728
Gaz Capital SA for Gazprom^(d)
	990,000		9.250			04/23/19			1,148,400
Nexen, Inc.^(b)
	535,000		6.400			05/15/37			544,385
	2,525,000		7.500			07/30/39			2,901,250

The accompanying notes are an integral part of these financial statements. 63

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Schedule of Investments (continued)

September 30, 2011 (Unaudited)


Principal		Interest			Maturity
Amount		Rate			Date		Value

Corporate Obligations – (continued)
Energy – (continued)

Pemex Project Funding Master Trust^(b)
$	900,000		6.625	%		06/15/35	$	963,000
Petrobras International Finance Co.^(b)
	430,000		5.750			01/20/20		441,090
	2,440,000		5.375			01/27/21		2,426,986
Petroleos Mexicanos^(a)(b)
	1,130,000		5.500			01/21/21		1,186,500
PTT Exploration and Production Public Co. Ltd.^(a)
	820,000		5.692			04/05/21		828,610
Schlumberger Investment SA^(a)(b)
	1,800,000		3.300			09/14/21		1,801,795
TNK-BP Finance SA
	470,000		7.500			07/18/16		486,450
Transocean, Inc.^(b)
	7,825,000		6.000			03/15/18		8,305,601
Valero Logistics^(b)
	2,000,000		6.050			03/15/13		2,111,361
Weatherford International Ltd.^(b)
	3,775,000		9.625			03/01/19		4,824,305

								48,396,373


Financial^(a) – 1.0%
FUEL Trust
	5,350,000		3.984			06/15/16		5,199,885


Food & Beverage – 4.3%
Anheuser-Busch InBev Worldwide, Inc.^(b)
	6,281,000		4.125			01/15/15		6,808,084
Cargill, Inc.^(a)(b)
	5,700,000		4.307			05/14/21		6,179,934
Kraft Foods, Inc.
	7,900,000		6.500			02/09/40		9,683,421

								22,671,439


Health Care – Medical Products^(b) – 3.1%
Boston Scientific Corp.
	5,100,000		4.500			01/15/15		5,332,978
DENTSPLY International, Inc.
	650,000		2.750			08/15/16		649,996
Humana, Inc.
	2,765,000		7.200			06/15/18		3,320,488
Life Technologies Corp.
	2,675,000		4.400			03/01/15		2,835,906
Thermo Fisher Scientific, Inc.
	3,975,000		2.250			08/15/16		3,974,978

								16,114,346


Health Care – Services^(b) – 0.8%
Express Scripts, Inc.
	3,975,000		3.125			05/15/16		4,004,775


Life Insurance – 2.7%
American International Group, Inc.^(b)
	1,175,000		6.400			12/15/20		1,184,693
Lincoln National Corp.^(b)
	1,200,000		4.300			06/15/15		1,243,610
MetLife Capital Trust X^(a)(b)
	1,500,000		9.250			04/08/38		1,687,500
Nationwide Financial Services, Inc.^(a)(b)
	2,450,000		5.375			03/25/21		2,396,139
Prudential Financial, Inc.
	3,650,000		6.000			12/01/17		3,951,951
Reinsurance Group of America, Inc.^(b)
	1,650,000		5.000			06/01/21		1,703,671
	2,100,000		6.750			12/15/65		1,827,000

								13,994,564


Media – Cable – 1.0%
Comcast Cable Communications Holdings, Inc.
	2,200,000		8.375			03/15/13		2,421,846
Cox Communications, Inc.^(a)(b)
	2,025,000		8.375			03/01/39		2,789,351

								5,211,197


Media – Non Cable^(b) – 3.1%
NBCUniversal Media LLC
	7,325,000		2.875			04/01/16		7,457,187
News America, Inc.
	5,350,000		6.150			02/15/41		5,659,134
WPP Finance UK
	2,875,000		8.000			09/15/14		3,259,152

								16,375,473


Metals & Mining^(b) – 1.0%
Freeport-McMoRan Copper & Gold, Inc.
	5,075,000		8.375			04/01/17		5,442,937


Noncaptive – Financial – 2.8%
GE Capital Trust I^(b)(c)
	3,280,000		6.375			11/15/67		3,132,400
General Electric Capital Corp.
	2,325,000		5.625			05/01/18		2,530,623
	2,150,000		6.375	^(b)(c)		11/15/67		2,053,250
International Lease Finance Corp.
	3,225,000		5.750			05/15/16		2,870,250
SLM Corp.^(b)
	4,100,000		6.250			01/25/16		4,021,864

								14,608,387


Pipelines^(b) – 3.3%
Energy Transfer Partners LP
	3,727,000		5.950			02/01/15		4,005,467
Enterprise Products Operating LLC
	3,973,000		7.550			04/15/38		4,971,407
Tennessee Gas Pipeline Co.
	1,460,000		7.000			10/15/28		1,739,575
	2,125,000		8.375			06/15/32		2,794,362
TransCanada PipeLines Ltd.^(c)
	3,875,000		6.350			05/15/67		3,845,937

								17,356,748


Property/Casualty Insurance^(b) – 2.2%
Arch Capital Group Ltd.
	1,245,000		7.350			05/01/34		1,426,234
QBE Capital Funding III Ltd.^(a)(c)
	3,175,000		7.250			05/24/41		2,869,911

64 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND


Principal		Interest			Maturity
Amount		Rate			Date		Value

Corporate Obligations – (continued)
Property/Casualty Insurance ^(b) – (continued)

QBE Insurance Group Ltd.^(a)(c)
$	855,000		5.647	%		07/01/23	$	803,117
Transatlantic Holdings, Inc.
	3,725,000		8.000			11/30/39		4,361,690
XL Group Ltd.
	2,125,000		5.750			10/01/21		2,112,417

								11,573,369


Real Estate Investment Trusts – 5.7%
Brandywine Operating Partnership LP^(b)
	1,000,000		4.950			04/15/18		964,609
Developers Diversified Realty Corp.
	590,000		9.625			03/15/16		668,175
	3,750,000		7.500	^(b)		04/01/17		3,956,250
Duke Realty LP^(b)
	2,875,000		8.250			08/15/19		3,308,588
HCP, Inc.^(b)
	2,975,000		6.300			09/15/16		3,176,425
Kilroy Realty LP^(b)
	2,300,000		5.000			11/03/15		2,380,928
	1,125,000		6.625			06/01/20		1,220,865
Pan Pacific Retail Properties, Inc.^(b)
	1,350,000		5.950			06/01/14		1,436,708
Post Apartment Homes LP^(b)
	3,000,000		6.300			06/01/13		3,172,853
ProLogis^(d)
	8,000,000		2.250			04/01/37		7,980,000
UDR, Inc.^(b)
	1,900,000		4.250			06/01/18		1,894,392

								30,159,793


Retailers – 3.2%
CVS Caremark Corp.^(b)
	8,125,000		6.302	^(c)		06/01/37		7,860,937
Macy’s Retail Holdings, Inc.
	4,125,000		7.450			07/15/17		4,874,665
O’Reilly Automotive, Inc.^(b)
	4,050,000		4.625			09/15/21		4,097,062

								16,832,664


Technology – Hardware^(b) – 1.0%
Hewlett-Packard Co.
	1,400,000		3.000			09/15/16		1,411,581
Intel Corp.
	3,950,000		1.950			10/01/16		3,978,499

								5,390,080


Tobacco – 0.5%
Altria Group, Inc.
	2,075,000		9.700			11/10/18		2,743,046


Transportation^(a) – 0.3%
Transnet Ltd.
	1,550,000		4.500			02/10/16		1,588,750


Wireless Telecommunications^(b) – 2.2%
America Movil SAB de C.V.
	3,925,000		2.375			09/08/16		3,807,072
AT&T, Inc.
	2,300,000		3.875			08/15/21		2,361,939
	2,300,000		6.400			05/15/38		2,659,157
Telecom Italia Capital SA
	2,665,000		5.250			10/01/15		2,544,811

								11,372,979


Wirelines Telecommunications^(b) – 3.1%
AT&T, Inc.
	6,375,000		2.950			05/15/16		6,569,781
Qwest Communications International, Inc.
	1,725,000		8.000			10/01/15		1,811,250
Qwest Corp.
	4,150,000		8.375			05/01/16		4,550,152
Telecom Italia Capital SA
	3,550,000		4.950			09/30/14		3,409,452

								16,340,635


TOTAL CORPORATE OBLIGATIONS
(Cost $410,838,254)							$	417,236,550




Mortgage-Backed Obligations – 2.9%
Collateralized Mortgage Obligations – 2.9%
Countrywide Alternative Loan Trust Series 2007-06, Class A4
$	1,195,707		5.750	%		04/25/47	$	710,507
Countrywide Alternative Loan Trust Series 2007-15CB, Class A5
	1,922,955		5.750			07/25/37		1,303,830
Countrywide Alternative Loan Trust Series 2007-16CB, Class 4A7
	1,464,094		6.000			08/25/37		1,085,568
FHLMC Multifamily Structured-Pass Through Certificates Series K703, Class A2
	1,500,000		2.699			05/25/18		1,530,064
NCUA Guaranteed Notes Series 2010-C1, Class A2
	2,500,000		2.900			10/29/20		2,623,047
Permanent Master Issuer PLC Series 2011-1A, Class 1A3^(a)(c)
EUR	3,000,000		2.905			07/15/42		4,004,008
Residential Asset Securitization Trust Series 2007-A2, Class 1A3
$	907,763		6.000			04/25/37		655,047
Structured Adjustable Rate Mortgage Loan Trust Series 2005-21, Class 7A1^(c)
	1,548,648		5.485			11/25/35		1,250,223
Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR15, Class A1A1^(c)
	1,290,503		0.495			11/25/45		952,964
Wells Fargo Alternative Loan Trust Series 2007-PA2, Class 1A1
	1,222,535		6.000			06/25/37		959,345


TOTAL MORTGAGE-BACKED OBLIGATIONS
(Cost $15,486,887)							$	15,074,603

The accompanying notes are an integral part of these financial statements. 65

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Schedule of Investments (continued)

September 30, 2011 (Unaudited)


Principal		Interest			Maturity
Amount		Rate			Date		Value



Agency Debentures – 0.1%
Tennessee Valley Authority
$	500,000		4.625	%		09/15/60	$	602,168
(Cost $493,500)




Asset-Backed Securities^(c) – 0.7%
Student Loan – 0.7%
Brazos Higher Education Authority, Inc. Series 2011-2, Class A3
$	2,300,000		1.247	%		10/27/36	$	2,093,668
Louisiana Public Facilities Authority Series 2011-A, Class A3
	1,500,000		1.203			04/25/35		1,433,310


TOTAL ASSET-BACKED SECURITIES
(Cost $3,625,078)							$	3,526,978




Foreign Debt Obligations – 3.5%
Sovereign – 3.1%
Federal Republic of Brazil
$	820,000		8.250	%		01/20/34	$	1,152,100
	4,250,000		7.125			01/20/37		5,418,750
Republic of Colombia
	1,810,000		4.375			07/12/21		1,837,132
	230,000		7.375			09/18/37		299,000
	930,000		6.125			01/18/41		1,050,900
Russian Federation^(e)
	1,118,900		7.500			03/31/30		1,257,643
State of Qatar
	600,000		5.150			04/09/14		648,900
United Mexican States
	3,800,000		6.050			01/11/40		4,313,000

								15,977,425


Supranational – 0.4%
North American Development Bank
	2,000,000		4.375			02/11/20		2,220,880


TOTAL FOREIGN DEBT OBLIGATIONS
(Cost $16,424,284)							$	18,198,305




Municipal Debt Obligations – 2.9%
California – 1.6%
California State GO Bonds Build America Taxable Series 2009
$	1,450,000		7.500	%		04/01/34	$	1,745,684
	455,000		7.300			10/01/39		541,050
California State GO Bonds Build America Taxable Series 2010
	2,645,000		7.625			03/01/40		3,260,544
California State University RB Build America Bonds Series 2010
	2,825,000		6.484			11/01/41		3,219,483

								8,766,761


Illinois – 1.2%
Chicago Illinois Metropolitan Water Reclamation District GO Bonds Build America Bonds Taxable Direct Payment Series 2009
	1,775,000		5.720			12/01/38		2,157,246
Illinois State GO Bonds Build America Series 2010
	3,875,000		6.630			02/01/35		4,067,200

								6,224,446


New Jersey – 0.1%
New Jersey State Turnpike Authority RB Build America Taxable Series 2009 F
	350,000		7.414			01/01/40		482,157


TOTAL MUNICIPAL DEBT OBLIGATIONS
(Cost $13,541,680)							$	15,473,364




U.S. Treasury Obligations – 3.8%
United States Treasury Inflation Protected Securities
$	1,002,360		0.625	%		07/15/21	$	1,047,306
United States Treasury Notes
	9,600,000		0.375	^(f)		07/31/13		9,620,833
	9,200,000		0.625			07/15/14		9,255,108


TOTAL U.S. TREASURY OBLIGATIONS
(Cost $19,888,329)							$	19,923,247


Shares		Rate			Value

Preferred Stock^(b)(c) – 0.3%
JPMorgan Chase & Co.
	1,575,000		7.900	%	$	1,622,266
(Cost $1,598,068)


TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
(Cost $481,896,080)					$	491,657,481


Principal		Interest			Maturity
Amount		Rate			Date		Value

Short-term Investment – 0.2%^(g)
Repurchase Agreement – 0.2%
Joint Repurchase Agreement Account II
$	1,100,000		0.095	%		10/03/11	$	1,100,000
(Cost $1,100,000)


TOTAL INVESTMENTS – 93.9%
(Cost $482,996,080)							$	492,757,481


OTHER ASSETS IN EXCESS OF LIABILITIES – 6.1%								32,193,707


NET ASSETS – 100.0%							$	524,951,188

66 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

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 $83,878,358, which represents approximately 16.0% 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)		Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at September 30, 2011.

(f)		All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.

(g)		Joint repurchase agreement was entered into on September 30, 2011. Additional information appears on pages 88-89.




Currency Abbreviation:
EUR	—	Euro

Investment Abbreviations:
FHLMC	—	Federal Home Loan Mortgage Corp.
GO	—	General Obligation
LIBOR	—	London Interbank Offered Rate
NCUA	—	National Credit Union Administration
OTC	—	Over the Counter
RB	—	Revenue Bond

The accompanying notes are an integral part of these financial statements. 67

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Schedule of Investments (continued)

September 30, 2011 (Unaudited)


ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2011, the Fund had outstanding forward foreign currency exchange contracts to sell foreign currencies:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

Contracts

Expiration

Current

Unrealized

Counterparty

To Buy/Sell

Date

Value

Gain

JPMorgan Securities, Inc.

USD/EUR

10/13/11

3,993,722

298,302

FUTURES CONTRACTS — At September 30, 2011, the following futures contracts were open:


	Number of
	Contracts		Expiration	Current		Unrealized
Type	Long		Date	Value		Gain (Loss)

Ultra Long U.S. Treasury Bonds		102	December 2011	$	16,179,750	$	1,217,019
2 Year U.S. Treasury Notes		203	December 2011		44,701,235		(55,136	)
5 Year U.S. Treasury Notes		410	December 2011		50,218,594		6,158
10 Year U.S. Treasury Notes		204	December 2011		26,539,125		(96,555	)
30 Year U.S. Treasury Bonds		341	December 2011		48,635,125		660,222


TOTAL						$	1,731,708

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)

Deutsche Bank Securities, Inc.	$	1,700		12/21/16	2.500%	3 month LIBOR	$	94,259		$	93,961		$	298
		2,000		12/21/26	3 month LIBOR	4.000%		(379,489	)		(302,352	)		(77,137	)
		2,600		12/21/41	3 month LIBOR	4.250		(830,801	)		(848,348	)		17,547
Morgan Stanley Capital Services, Inc.		8,400		12/21/16	2.500	3 month LIBOR		465,751			480,085			(14,334	)
		9,900		12/21/21	3 month LIBOR	3.500		(1,201,758	)		(871,142	)		(330,616	)


TOTAL							$	(1,852,038	)	$	(1,447,796	)	$	(404,242	)


(a)		Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2011.

68 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND


ADDITIONAL INVESTMENT INFORMATION (continued)

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	$	12,400		(1.000	)%	06/20/14		106	$	16,927		$	(124,102	)	$	141,029
Deutsche Bank Securities, Inc.	CDX North America Investment Grade Index 16		3,900		(1.000	)	06/20/14		106		5,324			(41,297	)		46,621
JPMorgan Securities, Inc.	CDX North America Investment Grade Index 16		10,400		(1.000	)	06/20/14		106		14,196			(114,360	)		128,556
Morgan Stanley Capital Services, Inc.	CDX North America Investment Grade Index 16		24,200		(1.000	)	06/20/14		106		33,034			(225,737	)		258,771
Protection Sold:
Bank of America Securities LLC	CDX North America Investment Grade Index 16		12,400		1.000		06/20/16		135		(190,839	)		16,711			(207,550	)
Credit Suisse International (London)	Prudential Financial, Inc. 4.50% 07/15/13		2,350		1.000		06/20/15		280		(145,595	)		(88,829	)		(56,766	)
Deutsche Bank Securities, Inc.	MetLife, Inc. 5.00% 06/15/15		1,825		1.000		03/20/15		322		(129,416	)		(67,588	)		(61,828	)
	MetLife, Inc. 5.00% 06/15/15		5,200		1.000		09/20/15		330		(430,596	)		(244,325	)		(186,271	)
	Markit MCDX Index 16		32,500		1.000		06/20/21		233		(2,386,774	)		(974,653	)		(1,412,121	)
Morgan Stanley Capital Services, Inc.	CDX North America Investment Grade Index 16		19,200		1.000		06/20/16		135		(295,493	)		24,734			(320,227	)
	Markit MCDX Index 16		2,500		1.000		06/20/21		233		(183,598	)		(68,379	)		(115,219	)


TOTAL										$	(3,692,830	)	$	(1,907,825	)	$	(1,785,005	)


(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.

The accompanying notes are an integral part of these financial statements. 69

GOLDMAN SACHS INVESTMENT GRADE CREDIT 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	$	14,600	11/17/11		2.440	%	$	(474,228	)	$	(277,400	)	$	(196,828	)
	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		14,600	11/17/11		2.440			(86,755	)		(277,400	)		190,645
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		12,000	11/17/11		2.450			(398,288	)		(226,800	)		(171,488	)
	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		12,000	11/17/11		2.450			(68,798	)		(226,800	)		158,002


TOTAL		$	53,200					$	(1,028,069	)	$	(1,008,400	)	$	(19,669	)

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	$	13,000		$	(141,665	)


Contracts Written		279,400			(6,496,100	)
Contracts Bought to Close		(208,900	)		5,349,820
Contracts Expired		(30,300	)		279,545


Contracts Outstanding September 30, 2011	$	53,200		$	(1,008,400	)

70 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments

September 30, 2011 (Unaudited)


Principal		Interest			Maturity
Amount		Rate			Date		Value

Sovereign Debt Obligations – 57.1%
Argentina^(a) – 0.8%
Republic of Argentina (NR/NR)
$	10,680,000		0.000	%		12/15/35	$	1,473,840
ARS	340,750,000		0.000			12/15/35		11,658,836
EUR	7,340,000		0.000			12/15/35		1,194,803

								14,327,479


Brazil – 7.8%
Brazil Letras do Tesouro Nacional (NR/NR)
BRL	73,267,093		6.000			08/15/40		40,121,419
Brazil Notas do Tesouro Nacional (NR/Baa2)
	8,169,000		10.000			01/01/12		4,331,183
	35,791,000		10.000			01/01/17		17,963,693
	142,201,000		10.000			01/01/21		69,310,218

								131,726,513


Chile – 0.2%
Republic of Chile (A+/Aa3)
CLP	1,537,000,000		5.500			08/05/20		3,093,741


Colombia – 2.0%
Republic of Colombia (BBB-/Baa3)
COP	27,890,000,000		7.750			04/14/21		15,799,179
	27,937,000,000		9.850			06/28/27		18,734,292

								34,533,471


Hungary – 4.3%
Hungary Government Bond (BBB-/Baa3)
HUF	9,084,320,000		5.500			02/12/16		38,645,083
	2,523,000,000		6.750			02/24/17		11,081,526
	5,305,000,000		6.750			11/24/17		23,136,625

								72,863,234


Indonesia – 6.2%
Republic of Indonesia (BB+/Ba1)
IDR	69,557,000,000		10.000			07/15/17		9,278,223
	47,086,000,000		15.000			07/15/18		7,654,823
	63,600,000,000		11.000			11/15/20		9,225,256
	23,544,000,000		12.800			06/15/21		3,763,290
Republic of Indonesia (NR/Ba1)
	121,486,000,000		8.250			07/15/21		15,272,131
	401,300,000,000		10.500			08/15/30		59,350,398

								104,544,121


Ivory Coast^(b) – 0.0%
Republic of Ivory Coast (NR/NR)
$	1,226,000		2.500			12/31/32		594,610


Malaysia – 6.6%
Malaysia Government Bond (NR/A3)
MYR	500,000		3.741			02/27/15		158,575
	92,325,000		4.262			09/15/16		30,076,116
	131,025,000		4.378			11/29/19		43,032,016
	120,175,000		4.160			07/15/21		39,110,987

								112,377,694


Mexico – 4.7%
Mexican Bonos (A-/Baa1)
MXN	235,779,100		10.000			11/20/36	$	21,110,284
	744,728,800		8.500			11/18/38		58,570,042

								79,680,326


Peru – 1.4%
Peru Government Bond (BBB+/Baa3)
PEN	1,971,000		9.910			05/05/15		839,878
	11,400,000		7.840			08/12/20		4,655,798
	14,750,000		8.200			08/12/26		6,197,097
	24,180,000		6.900			08/12/37		8,788,881
Peru Government Bond (NR/NR)
	9,790,000		6.850			02/12/42		3,508,657

								23,990,311


Poland – 2.8%
Poland Government Bond (A/A2)
PLN	102,843,932		3.000			08/24/16		31,429,322
	8,825,000		5.250			10/25/20		2,548,529
	45,375,000		5.750			10/25/21		13,533,111

								47,510,962


Russia – 0.4%
Russian Federation (BBB+/Baa1)
RUB	250,000,000		7.850			03/10/18		7,628,343


South Africa – 4.2%
Republic of South Africa (A/A3)
ZAR	501,350,000		10.500			12/21/26		71,975,127
	1,345,000		10.500			12/21/26		193,092

								72,168,219


Thailand – 8.5%
Thailand Government Bond (A-/Baa1)
THB	2,302,475,000		3.625			05/22/15		74,345,232
	166,325,000		3.125			12/11/15		5,273,772
	895,425,000		4.125			11/18/16		29,528,763
	505,500,000		2.800			10/10/17		15,593,615
	123,500,000		3.875			06/13/19		4,005,515
	478,025,000		3.650			12/17/21		15,324,703

								144,071,600


Turkey – 6.7%
Turkey Government Bond (BBB-/NR)
TRY	111,850,684		9.000			05/21/14		70,267,797
Turkey Government Bond (NR/NR)
	8,000,000		0.000	^(c)		04/25/12		4,123,665
	56,775,000		0.000	^(c)		02/20/13		27,302,935
	20,025,000		11.000			08/06/14		11,465,024

								113,159,421

The accompanying notes are an integral part of these financial statements. 71

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2011 (Unaudited)


Principal		Interest			Maturity
Amount		Rate			Date		Value

Sovereign Debt Obligations – (continued)

Venezuela – 0.5%
Republic of Venezuela (B+/B2)
$	4,590,000		7.750	%		10/13/19	$	2,926,125
	4,780,000		9.000			05/07/23		2,987,500
	3,050,000		8.250			10/13/24		1,784,250
	500,000		9.250			05/07/28		307,500

								8,005,375


TOTAL SOVEREIGN DEBT OBLIGATIONS
(Cost $1,032,135,093)							$	970,275,420




Structured Notes – 12.7%
Brazil – 3.1%
Letras Financieras DoTe (Issuer Barclays Bank PLC) (NR/NR)^(c)
BRL	12,213,000		0.000	%		11/09/11	$	31,745,720
Notas do Tesouro Nacional (Issuer Credit Suisse AG) (NR/NR)
	32,333,776		6.000			08/19/40		17,706,134
Notas do Tesouro Nacional Series B (Issuer HSBC Corp.) (NR/NR)^(a)
	6,508,209		0.000			08/15/40		3,563,927

								53,015,781


Colombia^(d) – 2.5%
Republic of Columbia (Issuer Citigroup Funding, Inc.) (NR/NR)
COP	26,491,000,000		11.000			10/25/18		16,897,964
	24,174,000,000		11.250	^(a)		10/25/18		15,420,006
	11,545,000,000		11.000			07/27/20		7,317,736
	4,226,000,000		11.000			07/25/24		2,612,631

								42,248,337


Indonesia – 2.8%
Republic of Indonesia (Issuer Barclays Bank PLC) (NR/NR)
IDR	140,000,000,000		10.000			07/17/17		18,395,904
Republic of Indonesia (Issuer HSBC Corp.) (NR/NR)
	46,000,000,000		10.000			07/15/17		6,099,684
Republic of Indonesia (Issuer JPMorgan Chase Bank NA) (A+/NR)
	89,100,000,000		10.000			07/17/17		11,802,962
Republic of Indonesia (Issuer JPMorgan Chase Bank NA) (NR/NR)
	80,000,000,000		11.000			11/17/20		11,575,882

								47,874,432


Russia – 4.3%
Russian Federation (Issuer Deutsche Bank AG (London)) (NR/NR)
RUB	85,000,000		7.350			01/22/16		2,587,037
Russian Federation (Issuer JPMorgan Chase Bank NA) (NR/NR)
	2,315,400,000		7.350			01/22/16		70,470,884

								73,057,921


TOTAL STRUCTURED NOTES
(Cost $231,189,330)							$	216,196,471




Corporate Obligations – 5.8%
Brazil^(d) – 0.3%
Banco Safra SA (NR/Baa1)
BRL	5,580,000		10.250	%		08/08/16	$	2,819,276
Banco Votorantim SA (BB+/Baa1)
	3,793,868		6.250			05/16/16		1,978,857

								4,798,133


Hong Kong – 0.5%
Evergrande Real Estate Group Ltd. (BB-/B2)
CNY	51,700,000		7.500			01/19/14		5,868,438
Melco Crown Entertainment, Ltd. (NR/NR)
CNY	21,750,000		3.750			05/09/13		3,197,334

								9,065,772


Ireland – 0.0%
MTS International Funding Ltd. (BB/Ba2)
$	320,000		8.625			06/22/20		315,200


Luxembourg^(e) – 0.8%
Gaz Capital SA for Gazprom (BBB/Baa1)
	12,050,000		9.250			04/23/19		13,978,000


Mexico^(a)(d) – 0.4%
Cemex SAB de CV (B/NR)
	10,660,000		5.369			09/30/15		6,929,103


Netherlands^(d) – 0.3%
VimpelCom Holdings BV (BB/Ba3)
	6,010,000		7.504			03/01/22		4,898,150


Russia – 1.2%
Red Arrow International Leasing PLC (BBB/Baa2)
RUB	21,653,401		8.375			06/30/12		665,762
RSHB Capital SA for OJSC Russian Agricultural Bank (NR/Baa1)
	632,800,000		7.500			03/25/13		19,603,872

								20,269,634


South Africa – 1.9%
Transnet Ltd. (NR/NR)
ZAR	8,000,000		9.250			11/14/17		1,015,422
	46,000,000		10.500			09/17/20		6,129,177
	18,000,000		10.800			11/06/23		2,430,503
	7,000,000		9.500			08/19/25		866,564
	181,000,000		8.900			11/14/27		21,231,261

								31,672,927


United Kingdom^(d) – 0.1%
Arcos Dorados Holdings, Inc. (NR/Ba2)
BRL	2,900,000		10.250			07/13/16		1,511,486


United States – 0.1%
JPMorgan Chase & Co. (A+/Aa3)
PHP	52,000,000		6.000			10/10/12		1,227,902


Venezuela – 0.2%
Petroleos de Venezuela SA (NR/NR)
$	2,490,000		4.900			10/28/14		1,693,200

72 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND


Principal		Interest			Maturity
Amount		Rate			Date		Value

Corporate Obligations – (continued)
Venezuela – (continued)

Petroleos de Venezuela SA (B+/NR)^(f)
$	3,600,000		8.500	%		11/02/17	$	2,358,000

								4,051,200


TOTAL CORPORATE OBLIGATIONS
(Cost $114,356,510)							$	98,717,507


TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
(Cost $1,377,680,933)							$	1,285,189,398




Short-term Investment^(g) – 19.7%
Repurchase Agreement – 19.7%
Joint Repurchase Agreement Account II
$	333,700,000		0.095	%		10/03/11	$	333,700,000
(Cost $333,700,000)


TOTAL INVESTMENTS – 95.3%
(Cost $1,711,380,933)							$	1,618,889,398


OTHER ASSETS IN EXCESS OF LIABILITIES – 4.7%								79,462,090


NET ASSETS – 100.0%							$	1,698,351,488

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.


(a)		Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011.

(b)		Security is currently in default and/or non-income producing.

(c)		Issued with a zero coupon. Income is recognized through the accretion of discount.

(d)		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 $60,385,209, which represents approximately 3.6% of net assets as of September 30, 2011.

(e)		Security with “Put” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

(f)		Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

(g)		Joint repurchase agreement was entered into on September 30, 2011. Additional information appears on pages 88-89.

Security ratings disclosed, if any, are obtained from Standard & Poor’s /Moody’s Investor Service. A brief description of the ratings is available in the Fund’s Statement of Additional Information.




Currency Abbreviations:
ARS	—	Argentine Peso
BRL	—	Brazilian Real
CLP	—	Chilean Peso
CNY	—	Chinese Yuan
COP	—	Colombian Peso
EUR	—	Euro
HUF	—	Hungarian Forint
IDR	—	Indonesian Rupiah
INR	—	Indian Rupee
KRW	—	South Korean Won
MXN	—	Mexican Peso
MYR	—	Malaysian Ringgit
PEN	—	Peruvian Nuevo Sol
PHP	—	Philippine Peso
PLN	—	Polish Zloty
RUB	—	Russian Ruble
THB	—	Thai Baht
TRY	—	Turkish Lira
TWD	—	Taiwan Dollar
ZAR	—	South African Rand

Investment Abbreviations:
BUBOR	—	Budapest Interbank Offered Rate
JIBAR	—	Johannesburg Interbank Agreed Rate
LIBOR	—	London Interbank Offered Rate
NR	—	Not Rated
TIIE	—	La Tasa de Interbank Equilibrium Interest Rate

The accompanying notes are an integral part of these financial statements. 73

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2011 (Unaudited)


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 NA	EUR/PLN		12/21/11	$	8,461,955	$	29,269
	USD/TWD		10/25/11		35,135,446		314,554
Barclays Bank PLC	EUR/HUF		12/21/11		14,128,173		800,133
	EUR/PLN		12/21/11		8,840,604		191,702
	USD/BRL		10/18/11		8,294,911		362,089
	USD/CNY		03/01/12		18,338,177		81,823
	USD/CNY		05/09/12		108,925,368		315,632
	USD/COP		10/18/11		16,100,289		1,514,303
	USD/EUR		12/21/11		23,062,348		1,133,568
	USD/HUF		12/21/11		27,614,216		2,184,708
	USD/IDR		10/18/11		6,238,566		437,434
	USD/INR		10/18/11		4,504,084		308,916
	USD/KRW		10/18/11		10,800,685		1,052,635
	USD/KRW		10/31/11		5,159,515		28,567
	USD/MXN		12/21/11		2,052,288		117,392
	USD/MYR		10/18/11		11,442,562		784,938
	USD/PHP		10/18/11		21,287,399		535,047
	USD/RUB		10/18/11		4,313,814		474,186
	USD/ZAR		12/21/11		19,644,952		1,002,048
	ZAR/USD		12/21/11		4,222,138		14,624
Citibank NA	EUR/PLN		12/21/11		4,257,988		7,714
	USD/CLP		10/18/11		11,037,324		1,369,676
	USD/CNY		03/01/12		18,335,302		84,698
	USD/EUR		12/21/11		18,769,088		842,947
	USD/INR		10/21/11		8,859,813		260,187
	USD/KRW		10/18/11		14,056,855		1,573,145
	USD/MXN		12/21/11		8,577,564		311,436
	USD/MYR		10/11/11		22,130,334		154,666
	USD/MYR		10/18/11		22,727,081		1,861,919
Credit Suisse International (London)	USD/BRL		10/18/11		16,350,265		2,656,390
	USD/COP		10/18/11		16,208,400		1,291,600
	USD/RUB		10/18/11		66,647,372		7,183,628
	USD/TWD		10/18/11		18,041,821		1,133,179
Deutsche Bank AG (London)	USD/CLP		10/18/11		4,296,631		513,369
	USD/CNY		03/01/12		18,707,497		111,503
	USD/COP		10/18/11		4,561,659		329,341
	USD/INR		10/18/11		22,344,345		2,319,655
	USD/INR		10/28/11		25,853,539		279,461
	USD/KRW		10/18/11		34,302,822		3,595,178
	USD/MYR		10/18/11		34,975,450		2,339,050
	USD/PEN		10/18/11		7,731,153		98,847
	USD/PHP		10/18/11		6,992,396		197,604
HSBC Bank PLC	EUR/PLN		12/21/11		18,596,987		963,633
	USD/BRL		10/18/11		46,454,916		6,827,440
	USD/COP		10/18/11		4,829,564		354,436
	USD/EUR		12/21/11		4,517,492		82,791
	USD/IDR		10/06/11		9,296,472		271,147
	USD/IDR		10/18/11		24,577,946		1,422,054
	USD/INR		10/18/11		8,963,108		644,892
	USD/MXN		12/21/11		4,900,217		186,783

74 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT 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

HSBC Bank PLC (continued)	USD/MYR		10/18/11	$	39,008,039	$	2,280,961
	USD/PEN		10/18/11		9,361,991		83,081
	USD/PLN		12/21/11		11,298,318		1,035,682
	USD/TRY		12/21/11		18,635,701		499,538
	USD/ZAR		12/21/11		19,959,387		1,173,657
	ZAR/USD		12/21/11		4,314,970		20,970
JPMorgan Securities, Inc.	EUR/HUF		12/21/11		4,210,252		538	��
	USD/BRL		10/18/11		3,755,369		693,631
	USD/CNY		10/25/11		48,578,625		209,154
	USD/KRW		10/31/11		5,150,575		28,169
	USD/MXN		12/21/11		13,331,059		1,941
	USD/MYR		10/11/11		4,476,444		83,556
	USD/MYR		10/18/11		7,150,419		536,581
	USD/RUB		10/18/11		52,187,537		6,201,463
	USD/TRY		12/21/11		6,517,440		8,560
	USD/TWD		10/25/11		8,875,244		244,756
	USD/ZAR		12/21/11		4,277,125		16,875
	ZAR/USD		10/28/11		7,881,470		259,981
Merrill Lynch & Co., Inc.	CNY/USD		10/25/11		48,578,625		351,625
	USD/MYR		10/18/11		13,135,412		803,588
Morgan Stanley & Co.	USD/CLP		10/18/11		8,597,288		1,062,712
	USD/COP		10/18/11		17,758,984		1,626,401
	USD/EUR		12/21/11		9,164,897		352,621
	USD/IDR		10/18/11		39,961,365		2,626,635
	USD/MYR		10/18/11		6,693,010		451,990
	USD/ZAR		12/21/11		10,814,577		944,865
Royal Bank of Canada	USD/BRL		10/18/11		23,269,051		3,485,949
	USD/MYR		10/18/11		11,502,169		859,831
	USD/RUB		10/18/11		12,978,002		1,433,998
Royal Bank of Scotland PLC	USD/CNY		05/09/12		65,474,468		279,595
	USD/IDR		10/18/11		11,554,492		673,508
	USD/INR		10/18/11		11,082,542		901,458
	USD/PEN		10/18/11		8,020,058		73,942
	USD/RUB		10/18/11		7,294,484		775,516
State Street Bank	USD/KRW		10/18/11		10,937,914		1,046,086
UBS AG (London)	USD/BRL		10/18/11		12,665,197		1,007,803
	USD/RUB		10/18/11		69,920,746		6,789,643


TOTAL						$	89,878,797

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS


	Contracts to	Expiration		Current		Unrealized
Counterparty	Buy/Sell	Date		Value		Loss

Bank of America NA	PLN/EUR		12/21/11	$	4,518,831	$	(59,328	)
	PLN/USD		12/21/11		10,039,998		(375,209	)
Barclays Bank PLC	CLP/USD		10/18/11		1,634,668		(173,709	)
	CNY/USD		03/01/12		22,960,445		(297,555	)
	EUR/HUF		12/21/11		4,417,830		(2,125	)
	EUR/USD		12/21/11		8,380,062		(95,420	)
	HUF/EUR		12/21/11		9,238,559		(387,393	)
	HUF/EUR		12/21/11		3,084,005		(52,935	)

The accompanying notes are an integral part of these financial statements. 75

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT 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 (continued)	INR/USD		10/18/11	$	30,758,044	$	(2,388,627	)
	KRW/USD		10/18/11		26,365,660		(2,142,400	)
	MXN/EUR		12/21/11		8,964,001		(343,644	)
	MXN/USD		12/21/11		17,230,450		(1,549,550	)
	MYR/USD		10/18/11		87,367,285		(6,382,716	)
	PLN/EUR		12/21/11		4,559,011		(188,233	)
	PLN/USD		12/21/11		19,022,732		(1,204,306	)
	RUB/USD		10/18/11		4,514,116		(451,043	)
	TWD/USD		10/18/11		58,250,990		(3,706,559	)
Citibank NA	CNY/USD		05/09/12		58,390,374		(470,556	)
	IDR/USD		10/06/11		9,296,472		(394,528	)
	IDR/USD		10/18/11		41,799,623		(2,425,377	)
	IDR/USD		12/15/11		12,010,953		(974,047	)
	INR/USD		10/18/11		4,225,521		(13,479	)
	KRW/USD		10/18/11		43,315,551		(4,721,449	)
	MYR/USD		10/18/11		81,291,079		(5,290,824	)
	RUB/USD		10/18/11		49,346,791		(5,244,209	)
	USD/CNY		10/25/11		18,248,119		(8,119	)
	USD/KRW		10/18/11		13,348,765		(15,765	)
Credit Suisse International (London)	COP/USD		10/18/11		31,067,622		(2,891,278	)
	MXN/USD		12/21/11		8,538,739		(1,105,261	)
	RUB/USD		10/18/11		33,429,682		(4,925,318	)
Deutsche Bank AG (London)	CLP/USD		10/18/11		10,621,730		(1,287,270	)
	EUR/USD		10/13/11		8,919,160		(186,987	)
	INR/USD		10/18/11		45,660,800		(4,282,337	)
	MXN/USD		12/21/11		88,949,177		(9,603,102	)
	MYR/USD		10/18/11		82,636,181		(4,723,318	)
	PEN/USD		10/18/11		25,113,202		(179,484	)
	PLN/EUR		12/21/11		4,601,869		(148,337	)
	TWD/USD		10/18/11		6,695,345		(361,655	)
	USD/MXN		12/21/11		13,388,330		(55,330	)
HSBC Bank PLC	BRL/USD		10/18/11		12,509,403		(1,484,597	)
	CNY/USD		03/01/12		42,874,461		(538,468	)
	CNY/USD		05/09/12		58,004,731		(352,787	)
	EUR/PLN		12/21/11		4,450,019		(34,314	)
	HUF/EUR		12/21/11		4,521,510		(75,313	)
	HUF/USD		12/21/11		16,929,042		(282,186	)
	IDR/USD		10/18/11		19,995,674		(499,812	)
	MXN/USD		12/21/11		17,921,852		(1,896,593	)
	MYR/USD		10/18/11		13,218,781		(499,219	)
	PHP/USD		10/18/11		34,778,885		(539,707	)
	PLN/USD		12/21/11		86,518,311		(8,483,457	)
	RUB/USD		10/18/11		69,258,817		(10,310,023	)
	TRY/USD		12/21/11		57,580,319		(2,006,428	)
	TWD/USD		10/31/11		10,832,134		(98,085	)
	USD/IDR		10/18/11		3,238,058		(12,058	)
	ZAR/USD		12/21/11		30,206,897		(571,169	)
JPMorgan Securities, Inc.	CNY/USD		03/01/12		48,468,245		(628,122	)
	EUR/USD		12/21/11		8,840,784		(46,908	)
	HUF/USD		12/21/11		9,485,483		(1,114,852	)
	KRW/USD		10/18/11		24,088,347		(2,788,733	)
	PLN/EUR		12/21/11		9,077,842		(451,923	)
	TRY/USD		12/21/11		8,755,236		(106,764	)

76 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT 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

JPMorgan Securities, Inc. (continued)	ZAR/USD		12/21/11	$	8,361,851	$	(1,282,149	)
Morgan Stanley & Co.	BRL/USD		10/18/11		4,994,705		(969,295	)
	CLP/USD		10/18/11		10,387,005		(708,467	)
	CNY/USD		05/09/12		58,004,731		(444,479	)
	COP/USD		10/18/11		14,755,991		(1,306,009	)
	IDR/USD		10/18/11		49,041,046		(2,512,327	)
	PLN/EUR		12/21/11		4,601,869		(137,227	)
	TRY/USD		12/21/11		1,550,873		(45,447	)
	ZAR/USD		12/21/11		33,151,517		(864,004	)
Royal Bank of Canada	BRL/USD		10/18/11		8,478,765		(108,235	)
	INR/USD		10/18/11		8,820,254		(939,746	)
	RUB/USD		10/18/11		6,842,748		(704,252	)
Royal Bank of Scotland PLC	KRW/USD		10/18/11		33,533,987		(3,701,556	)
	KRW/USD		10/31/11		8,343,203		(134,797	)
	RUB/USD		10/18/11		72,399,473		(10,743,115	)
State Street Bank	MXN/USD		12/21/11		22,306,237		(303,431	)
	ZAR/USD		12/21/11		6,951,696		(313,860	)
UBS AG (London)	BRL/USD		10/18/11		42,006,522		(6,459,388	)
	BRL/USD		10/27/11		4,409,727		(21,273	)
	RUB/USD		10/18/11		23,035,510		(2,995,490	)
Westpac Banking Corp.	EUR/USD		12/21/11		1,671,459		(24,074	)


TOTAL						$	(136,648,921	)

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	Made by	Market			Made (Received)			Unrealized
Counterparty		(000s)			Date		by the Fund	the Fund	Value			by the Fund			Gain (Loss)

								Mexico Interbank TIIE
Bank of America Securities LLC	MXN		697,520			09/16/13	4.700%	28 Days	$	(202,213	)	$	—		$	(202,213	)
								Mexico Interbank TIIE
			302,500			09/08/21	6.729	28 Days		(174,156	)		—			(174,156	)
								Mexico Interbank TIIE
			279,500			09/17/21	6.720	28 Days		(238,891	)		(3,290	)		(235,601	)
	HUF		6,390,000			09/29/13	6.420	6 month BUBOR		(166,392	)		—			(166,392	)
Barclays Bank PLC	TWD		546,000			06/03/16	3 month TWD	1.460%		(327,456	)		—			(327,456	)
	HUF		351,610	^(a)		10/04/16	7.020	6 month BUBOR		2,800			—			2,800
Deutsche Bank Securities, Inc.								Mexico Interbank TIIE
	MXN		521,100			09/09/13	4.570	28 Days		(243,160	)		—			(243,160	)
	TWD		670,000			01/28/16	3 month TWD	1.630		(572,922	)		—			(572,922	)
HSBC Bank PLC	ZAR		273,000			09/28/21	7.670	3 month JIBAR		(480,137	)		—			(480,137	)

The accompanying notes are an integral part of these financial statements. 77

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT 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	Made by	Market			Made (Received)			Unrealized
Counterparty		(000s)		Date		by the Fund	the Fund	Value			by the Fund			Gain (Loss)

JPMorgan Securities, Inc.	TWD		393,000		01/26/21	3 month TWD	2.070%	$	(844,472	)	$	—		$	(844,472	)
							Mexico Interbank TIIE
	MXN		325,000		06/15/21	7.160%	28 Days		610,490			—			610,490
	ZAR		460,000		06/27/21	8.060	3 month JIBAR		831,354			—			831,354
			70,250		09/13/21	7.660	3 month JIBAR		(121,036	)		—			(121,036	)


TOTAL								$	(1,926,191	)	$	(3,290	)	$	(1,922,901	)


(a)		Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2011.

NON-DELIVERABLE BOND FORWARD CONTRACTS*

Notional

Amount

Referenced

Settlement

Unrealized

Counterparty

(000s)

Obligation

Date

Gain (Loss)

Deutsche Bank Securities, Inc.

COP

35,183,000

Titulos de Tesoreria
10.000% 7/24/24

10/28/11

168,259

10,972,000

Titulos de Tesoreria
10.000% 7/24/24

10/31/11

53,154

TOTAL

221,413


*		Represents a short term forward contract to purchase the referenced obligation denominated in a non-deliverable foreign currency.

78 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS U.S. MORTGAGES FUND

Schedule of Investments

September 30, 2011 (Unaudited)


Principal		Interest			Maturity
Amount		Rate			Date			Value

Mortgage-Backed Obligations – 100.3%
Collateralized Mortgage Obligations – 8.0%
Adjustable Rate Non-Agency^(a) – 2.0%
Adjustable Rate Mortgage Trust Series 2004-5, Class 2A1
$	256,899		2.811	%		04/25/35		$	234,060
American Home Mortgage Investment Trust Series 2004-3, Class 1A
	7,636		0.605			10/25/34			6,966
Bear Stearns Adjustable Rate Mortgage Trust Series 2004-1, Class 21A1
	267,041		2.473			04/25/34			230,456
Bear Stearns Alt-A Trust Series 2004-3, Class A1
	91,928		0.875			04/25/34			66,550
Bear Stearns Alt-A Trust Series 2005-5, Class 21A1
	1,271,518		2.554			07/25/35			818,603
Countrywide Alternative Loan Trust Series 2005-16, Class A1
	948,188		1.887			06/25/35			558,095
Countrywide Alternative Loan Trust Series 2005-38, Class A1
	264,777		1.742			09/25/35			159,629
Countrywide Home Loan Mortgage Pass-Through Trust Series 2003-52, Class A1
	305,592		2.762			02/19/34			257,308
Countrywide Home Loan Mortgage Pass-Through Trust Series 2004-HYB6, Class A2
	355,725		2.846			11/20/34			277,252
Harborview Mortgage Loan Trust Series 2005-15, Class 2A11
	635,421		0.501			10/20/45			390,593
Harborview Mortgage Loan Trust Series 2005-16, Class 2A1A
	391,706		0.470			01/19/36			217,266
Impac CMB Trust Series 2004-08, Class 1A
	100,753		0.955			10/25/34			60,858
JPMorgan Mortgage Trust Series 2005-A4, Class 2A1
	1,118,587		2.796			07/25/35			930,441
Master Adjustable Rate Mortgages Trust Series 2007-1, Class I2A3
	1,244,290		0.982			01/25/47			497,330
Morgan Stanley Mortgage Loan Trust Series 2004-8AR, Class 4A1
	1,161,408		2.512			10/25/34			951,425
Mortgage IT Trust Series 2005-5, Class A1
	877,467		0.495			12/25/35			552,123
Sequoia Mortgage Trust Series 2004-09, Class A2
	397,357		0.820			10/20/34			304,455
Structured Adjustable Rate Mortgage Loan Trust Series 2004-5, Class 3A1
	515,593		2.539			05/25/34			460,424
Structured Adjustable Rate Mortgage Loan Trust Series 2004-12, Class 3A2
	227,892		2.444			09/25/34			188,968
Structured Adjustable Rate Mortgage Loan Trust Series 2004-19, Class 2A2
	128,553		2.573			01/25/35			84,018

									7,246,820


Interest Only^(b) – 0.6%
ABN AMRO Mortgage Corp. Series 2003-8, Class A2
	12,814		5.500			06/25/33			849
CS First Boston Mortgage Securities Corp. Series 2002-AR31, Class 5X^(a)(c)
	58,813		0.000			11/25/32			—
CS First Boston Mortgage Securities Corp. Series 2003-19, Class 1A2
	31,920		5.250			07/25/33			1,970
FHLMC REMIC Series 3673, Class SA^(a)
	7,167,224		6.191			05/15/40			934,085
FHLMC REMIC Series 3743, Class SA^(a)
	4,586,453		5.171			10/15/40			568,060
FHLMC STRIPS Series 256, Class 56
	5,832,967		4.500			05/15/23			490,229
FNMA REMIC Series 2004-47, Class EI^(a)(c)
	597,782		0.000			06/25/34			2,577
FNMA REMIC Series 2004-62, Class DI^(a)(c)
	239,523		0.000			07/25/33			717
Master Adjustable Rate Mortgages Trust Series 2003-2, Class 3AX^(a)
	26,213		0.123			08/25/33			115
Master Adjustable Rate Mortgages Trust Series 2003-2, Class 4AX^(a)
	7,842		0.320			07/25/33			89

									1,998,691


Inverse Floaters^(a) – 0.0%
GNMA Series 2001-48, Class SA
	13,615		25.742			10/16/31			22,030
GNMA Series 2001-51, Class SB
	13,291		25.742			10/16/31			22,162

									44,192


Planned Amortization Class – 1.7%
FHLMC REMIC Series 3748
	1,000,000		4.000			11/15/39			1,069,849
FNMA REMIC Series 2003-88, Class TH
	5,000,000		4.500			09/25/18			5,344,875

									6,414,724


Regular Floater^(a)(c) – 0.0%
FHLMC REMIC Series 3038, Class XA
	5,371		0.000			09/15/35			5,343


Sequential Fixed Rate – 3.7%
FHLMC Multifamily Structured Pass Through Certificates, Series K702, Class A2
	2,200,000		3.154			02/25/18			2,303,620
FHLMC Multifamily Structured-Pass Through Certificates Series K703, Class A2
	1,300,000		2.699			05/25/18			1,326,055
FHLMC REMIC Series 2042, Class N
	353,437		6.500			03/15/28	��		400,926
FHLMC REMIC Series 2590, Class NV
	1,000,000		5.000			03/15/18			1,081,084
FHLMC REMIC Series 2770, Class TW
	7,300,000		4.500			03/15/19			7,972,981
FHLMC REMIC Series 2844, Class BY
	149,312		4.000			06/15/18			151,392

The accompanying notes are an integral part of these financial statements. 79

GOLDMAN SACHS U.S. MORTGAGES FUND

Schedule of Investments (continued)

September 30, 2011 (Unaudited)


Principal		Interest			Maturity
Amount		Rate			Date		Value

Mortgage-Backed Obligations – (continued)
Sequential Fixed Rate – (continued)

FNMA REMIC Series 2000-16, Class ZG
$	530,648		8.500	%		06/25/30	$	612,902

								13,848,960


TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS							$	29,558,730


Commercial Mortgage-Backed Securities – 9.9%
Sequential Fixed Rate – 2.7%
Bear Stearns Commercial Mortgage Securities, Inc. Series 2002-TOP6, Class A2
$	3,488,794		6.460	%		10/15/36	$	3,518,955
Citigroup Commercial Mortgage Trust Series 2006-C5, Class A4
	1,750,000		5.431			10/15/49		1,877,210
Credit Suisse Mortgage Capital Certificates Trust Series 2006-C4, Class A3
	825,000		5.467			09/15/39		860,822
LB-UBS Commercial Mortgage Trust Series 2006-C1, Class A4
	3,640,000		5.156			02/15/31		3,946,352

								10,203,339


Sequential Floating Rate^(a) – 7.2%
Banc of America Commercial Mortgage, Inc. Series 2005-6, Class A4
	5,000,000		5.367			09/10/47		5,494,440
Banc of America Commercial Mortgage, Inc. Series 2006-2, Class A4
	2,000,000		5.921			05/10/45		2,200,357
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2005-CB11, Class A4
	7,500,000		5.335			08/12/37		8,186,402
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2005-LDP1, Class A4
	2,000,000		5.038			03/15/46		2,157,711
Merrill Lynch/Countrywide Commercial Mortgage Trust Series 2006-1, Class A4
	3,000,000		5.607			02/12/39		3,211,945
Morgan Stanley Capital I Series 2006-HQ9, Class A4
	2,769,000		5.731			07/12/44		2,998,506
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Class A4
	2,250,000		5.923			05/15/43		2,422,211

								26,671,572


TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES							$	36,874,911


Federal Agencies – 82.4%
Adjustable Rate FHLMC^(a) – 0.3%
$	226,763		2.500	%		04/01/33	$	237,251
	96,693		2.570			09/01/33		101,100
	42,757		2.365			10/01/34		44,477
	81,703		2.500			11/01/34		85,479
	81,278		2.494			02/01/35		85,666
	294,980		2.511			06/01/35		308,680
	299,178		2.516			08/01/35		313,098

								1,175,751


Adjustable Rate FNMA^(a) – 0.7%
	8,913		2.609			07/01/22		9,165
	23,503		2.588			07/01/27		24,333
	39,875		2.588			11/01/27		41,275
	7,883		2.588			01/01/31		8,198
	9,332		2.588			06/01/32		9,709
	27,605		2.609			08/01/32		28,680
	65,672		2.609			05/01/33		68,266
	31,466		1.861			06/01/33		32,272
	365,124		2.526			06/01/33		382,682
	25,547		2.451			07/01/33		26,719
	359,237		2.610			08/01/33		372,304
	3,298		2.717			09/01/33		3,482
	1,381		2.324			12/01/33		1,416
	196,287		2.431			12/01/33		205,962
	8,067		2.522			04/01/34		8,459
	475,903		2.730			08/01/34		503,874
	99,219		2.681			11/01/34		104,113
	143,026		2.444			02/01/35		149,431
	239,288		2.370			03/01/35		249,165
	92,336		2.685			04/01/35		97,477
	144,212		2.617			05/01/35		152,226
	20,103		2.588			11/01/35		20,816
	106,355		2.588			12/01/37		110,162
	49,298		2.588			01/01/38		51,069
	45,583		2.588			11/01/40		47,398

								2,708,653


Adjustable Rate GNMA^(a) – 0.7%
	51,928		2.375			06/20/23		53,311
	25,319		2.625			07/20/23		25,887
	26,308		2.625			08/20/23		26,902
	67,857		2.625			09/20/23		69,395
	19,604		2.375			03/20/24		20,112
	169,624		2.375			04/20/24		174,385
	20,557		2.375			05/20/24		21,128
	177,951		2.375			06/20/24		183,462
	99,195		2.625			07/20/24		102,309
	135,507		2.625			08/20/24		139,408
	42,997		2.625			09/20/24		44,024
	50,443		2.125			11/20/24		52,433
	19,158		2.125			12/20/24		19,916
	26,718		2.500			12/20/24		28,262
	33,890		2.375			01/20/25		35,225
	17,153		2.375			02/20/25		17,859
	60,184		2.375			05/20/25		62,739
	47,571		2.625			07/20/25		49,504
	23,041		2.375			02/20/26		23,691
	1,273		2.625			07/20/26		1,306
	63,229		2.375			01/20/27		65,587
	22,907		2.375			02/20/27		23,575
	176,017		2.375			04/20/27		181,483
	20,120		2.375			05/20/27		20,747
	18,728		2.375			06/20/27		19,335
	6,979		2.125			11/20/27		7,176
	28,726		2.125			12/20/27		29,540
	56,129		2.375			01/20/28		57,815

80 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS U.S. MORTGAGES FUND


Principal		Interest			Maturity
Amount		Rate			Date			Value

Mortgage-Backed Obligations – (continued)
Adjustable Rate GNMA^(a) – (continued)

$	19,649		2.250	%		02/20/28		$	20,242
	20,418		2.375			03/20/28			21,034
	108,309		2.625			07/20/29			111,423
	46,044		2.625			08/20/29			47,371
	13,365		2.625			09/20/29			13,770
	55,016		2.125			10/20/29			56,661
	64,774		2.125			11/20/29			66,687
	15,867		2.125			12/20/29			16,331
	20,308		2.250			01/20/30			20,944
	11,742		2.250			02/20/30			12,112
	50,225		2.250			03/20/30			51,875
	62,435		2.375			04/20/30			64,537
	164,375		2.375			05/20/30			171,011
	13,968		2.375			06/20/30			14,440
	135,632		2.625			07/20/30			142,164
	25,491		2.625			09/20/30			26,786
	48,933		1.875			10/20/30			50,475
	210,851		1.750			12/20/34			217,195

									2,681,574


FHLMC – 18.5%
	12,440		6.000			12/01/14			12,811
	15,709		6.000			03/01/16			17,075
	1,371		5.000			09/01/16			1,469
	14,901		5.000			11/01/16			15,992
	1,009		5.000			12/01/16			1,085
	44,442		5.000			01/01/17			47,724
	81,330		5.000			02/01/17			87,286
	67,552		5.000			03/01/17			72,501
	127,956		5.000			04/01/17			137,331
	2,988		5.000			05/01/17			3,207
	3,296		5.000			08/01/17			3,537
	338,372		5.000			09/01/17			363,161
	385,138		5.000			10/01/17			413,355
	216,241		5.000			11/01/17			232,082
	222,185		5.000			12/01/17			238,461
	271,145		5.000			01/01/18			291,371
	648,511		5.000			02/01/18			696,825
	627,605		5.000			03/01/18			674,666
	533,718		5.000			04/01/18			573,919
	60,051		4.500			05/01/18			64,174
	377,573		5.000			05/01/18			406,041
	96,198		5.000			06/01/18			103,361
	91,875		5.000			07/01/18			98,678
	51,902		5.000			08/01/18			55,751
	33,593		5.000			09/01/18			36,144
	117,022		5.000			10/01/18			125,913
	134,618		5.000			11/01/18			144,849
	64,259		5.000			12/01/18			69,140
	12,690		5.000			01/01/19			13,654
	4,103		5.000			02/01/19			4,425
	373,440		5.500			04/01/20			405,356
	1,430,775		4.500			08/01/23			1,544,401
	120,624		7.000			04/01/31			135,829
	1,622,620		7.000			09/01/31			1,827,110
	545,804		7.000			04/01/32			612,804
	1,532,292		7.000			05/01/32			1,720,387
	687,928		6.000			05/01/33			761,827
	38,281		5.500			12/01/33			41,639
	592,740		5.000			12/01/35			637,265
	529,222		5.500			01/01/36			574,969
	1,246		5.500			02/01/36			1,354
	24,027		5.000			02/01/37			26,012
	12,842		6.000			04/01/37			14,238
	3,531		6.000			07/01/37			3,915
	156,088		6.000			09/01/37			173,099
	250,659		5.500			02/01/38			271,582
	59,370		6.000			07/01/38			65,970
	1,461,348		5.500			10/01/38			1,582,254
	774,272		5.500			12/01/38			838,332
	161,088		6.000			12/01/38			178,996
	83,337		6.000			01/01/39			92,707
	173,069		5.500			02/01/39			187,388
	3,230,028		4.500			05/01/39			3,468,243
	7,000,706		4.500			09/01/39			7,516,029
	1,943,181		4.500			10/01/39			2,086,981
	2,954,578		5.500			01/01/40			3,199,028
	32,039		4.000			08/01/40			33,553
	87,852		4.000			09/01/40			92,004
	31,587		3.500			10/01/40			32,465
	349,253		3.500			11/01/40			358,967
	127,211		4.000			11/01/40			133,222
	133,262		3.500			12/01/40			136,967
	1,897,102		4.000			12/01/40			1,986,750
	1,190,880		4.500			12/01/40			1,260,474
	201,753		4.500			01/01/41			213,695
	70,572		3.500			02/01/41			72,534
	961,622		4.000			02/01/41			1,014,999
	678,561		4.000			03/01/41			716,227
	1,106,282		4.500			03/01/41			1,171,636
	1,776,491		4.500			04/01/41			1,885,494
	271,633		4.500			05/01/41			288,390
	831,239		4.500			07/01/41			885,791
	12,982,268		4.500			08/01/41			13,740,919
	264,321		4.500			08/01/41			281,274
	11,000,000		4.000			TBA-30yr	^(d)		11,477,813

									68,756,877


FNMA – 57.2%
	2,049		5.500			04/01/16			2,222
	2,540		5.500			08/01/16			2,754
	30,802		5.500			11/01/16			33,399
	24,448		5.500			12/01/16			26,509
	34,761		5.500			01/01/17			37,692
	2,677		5.500			05/01/17			2,907
	12,445		5.500			07/01/17			13,512
	1,937		5.500			09/01/17			2,103
	25,285		5.500			01/01/18			27,453
	20,491		5.500			02/01/18			22,249
	2,629		6.000			02/01/18			2,885
	891,528		2.800			03/01/18			926,233
	580,841		5.000			03/01/18			624,018

The accompanying notes are an integral part of these financial statements. 81

GOLDMAN SACHS U.S. MORTGAGES FUND

Schedule of Investments (continued)

September 30, 2011 (Unaudited)


Principal		Interest			Maturity
Amount		Rate			Date		Value

Mortgage-Backed Obligations – (continued)
FNMA – (continued)

$	37,214		5.500	%		04/01/18	$	40,351
	2,530,000		3.840			05/01/18		2,719,062
	8,899		5.500			05/01/18		9,649
	28,578		6.000			05/01/18		31,366
	773,262		5.000			06/01/18		830,743
	1,608,349		4.000			08/01/18		1,711,861
	38,407		5.000			09/01/18		41,262
	156,026		6.000			11/01/18		171,250
	162,260		7.000			11/01/18		177,148
	1,473,602		4.500			12/01/18		1,576,093
	287,152		6.000			12/01/18		315,167
	241,108		6.000			01/01/19		264,631
	6,051		5.500			02/01/19		6,589
	27,649		5.500			04/01/19		30,106
	77,578		6.000			04/01/19		85,147
	6,272		5.500			05/01/19		6,823
	17,143		6.000			05/01/19		18,815
	38,024		5.500			07/01/19		41,402
	95,633		5.500			08/01/19		104,131
	42,715		5.500			09/01/19		46,509
	98,767		5.500			10/01/19		107,543
	37,156		5.500			11/01/19		40,457
	26,586		5.500			12/01/19		28,949
	163,124		5.500			02/01/20		177,617
	763,922		4.500			03/01/20		817,054
	893,362		3.416			10/01/20		931,530
	1,290,142		3.375			11/01/20		1,341,712
	44,284		5.500			01/01/21		48,218
	3,681,085		4.377			04/01/21		4,108,677
	65,501		7.000			09/01/21		75,348
	195,572		7.000			06/01/22		225,171
	84,541		7.000			07/01/22		97,293
	25,155		4.500			04/01/23		26,795
	1,991		7.000			01/01/29		2,282
	3,682		7.000			09/01/29		4,198
	1,866		7.000			02/01/30		2,139
	35,926		7.000			08/01/31		40,829
	2,252		7.000			03/01/32		2,572
	2,519		7.000			04/01/32		2,876
	3,113		7.000			05/01/32		3,555
	7,974		7.000			06/01/32		9,106
	6,716		4.000			07/01/32		7,042
	2,822		7.000			07/01/32		3,223
	112,514		6.000			01/01/33		124,487
	4,926		6.000			02/01/33		5,450
	595,456		5.500			04/01/33		649,396
	93,642		6.000			06/01/33		103,935
	30,192		6.000			07/01/33		33,511
	128,455		5.000			08/01/33		138,555
	6,888		5.000			09/01/33		7,418
	14,883		5.500			09/01/33		16,232
	70,621		6.000			09/01/33		78,384
	15,286		6.000			10/01/33		16,951
	7,578		5.000			11/01/33		8,161
	7,784		5.000			01/01/34		8,383
	109,550		5.500			02/01/34		119,456
	22,386		5.500			03/01/34		24,410
	30,493		5.500			04/01/34		33,246
	121,423		5.500			07/01/34		132,384
	23,033		5.500			08/01/34		25,116
	58,918		5.500			10/01/34		64,228
	56,361		6.000			11/01/34		62,310
	684,861		5.500			12/01/34		746,580
	1,177,884		6.000			12/01/34		1,302,206
	7,994		5.000			03/01/35		8,609
	16,646		5.000			04/01/35		17,927
	700,473		6.000			04/01/35		775,256
	19,274		5.500			06/01/35		21,002
	130,137		5.000			07/01/35		140,218
	44,682		5.500			07/01/35		48,687
	57,161		5.000			08/01/35		61,564
	31,597		5.500			08/01/35		34,431
	98,500		5.000			09/01/35		106,086
	26,180		5.500			09/01/35		28,527
	34,736		5.000			10/01/35		37,411
	395,408		6.000			10/01/35		436,030
	31,054		5.000			11/01/35		33,446
	11,508		5.500			12/01/35		12,543
	10,154		6.000			12/01/35		11,188
	26,236		5.500			04/01/36		28,579
	14,125		6.000			04/01/36		15,563
	77,441		6.000			05/01/36		85,109
	19,636		5.000			07/01/36		21,149
	289,744		6.000			11/01/36		318,432
	238,741		6.000			01/01/37		262,380
	20,856		5.500			02/01/37		22,771
	1,681,231		6.000			03/01/37		1,847,697
	70,007		5.500			04/01/37		76,516
	4,615		5.500			05/01/37		5,039
	177,377		5.000			06/01/37		192,176
	1,957		5.500			06/01/37		2,137
	32,799		5.500			07/01/37		35,822
	6,973		5.500			08/01/37		7,616
	351,784		6.500			10/01/37		389,051
	2,993		5.500			02/01/38		3,272
	28,308		5.500			03/01/38		30,938
	113,804		5.500			04/01/38		124,366
	27,471		5.500			05/01/38		30,034
	97,138		6.000			05/01/38		106,640
	4,123,591		5.500			06/01/38		4,478,268
	8,041		5.500			07/01/38		8,795
	7,596		5.500			08/01/38		8,309
	5,250		5.500			09/01/38		5,742
	1,706,015		6.000			11/01/38		1,872,890
	2,716		5.500			12/01/38		2,971
	12,068		4.000			01/01/39		12,653
	1,715,422		5.000			01/01/39		1,849,975
	1,196,448		6.500			01/01/39		1,326,645
	188,777		4.000			02/01/39		197,941
	33,411		5.500			02/01/39		36,573
	64,485		4.000			03/01/39		67,615
	35,924		4.000			04/01/39		37,667

82 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS U.S. MORTGAGES FUND


Principal		Interest			Maturity
Amount		Rate			Date			Value

Mortgage-Backed Obligations – (continued)
FNMA – (continued)

$	28,489		4.000	%		05/01/39		$	29,872
	1,949		4.000			06/01/39			2,045
	71,928		4.000			07/01/39			75,419
	65,258		4.500			07/01/39			70,247
	388,365		4.000			08/01/39			407,217
	27,068		4.500			08/01/39			29,138
	270,232		5.500			08/01/39			294,404
	27,333		4.000			09/01/39			28,660
	89,322		4.500			09/01/39			96,206
	693,324		4.500			10/01/39			746,758
	446,513		4.500			11/01/39			480,925
	26,233		4.000			12/01/39			27,506
	27,266		4.500			12/01/39			29,367
	57,833		4.500			01/01/40			62,290
	37,754		4.000			02/01/40			39,594
	57,931		4.000			07/01/40			60,743
	94,441		4.500			09/01/40			100,244
	574,024		4.500			10/01/40			609,295
	6,915,904		3.500			01/01/41			7,109,355
	680,964		4.500			01/01/41			722,806
	7,009,076		3.500			02/01/41			7,205,133
	482,010		4.500			02/01/41			511,627
	3,927,709		4.000			04/01/41			4,119,100
	967,873		5.000			04/01/41			1,047,180
	14,969,215		4.500			08/01/41			15,893,681
	78,000,000		3.000			TBA-15yr	^(d)		80,048,908
	6,000,000		3.500			TBA-30yr	^(d)		6,162,187
	27,000,000		4.000			TBA-30yr	^(d)		28,251,250
	13,000,000		5.000			TBA-30yr	^(d)		13,983,125
	7,000,000		5.500			TBA-30yr	^(d)		7,597,734

									212,883,298


GNMA – 5.0%
	267,273		5.500			07/15/20			288,980
	380,508		3.950			07/15/25			415,274
	3,313		6.000			03/15/26			3,716
	21,207		6.000			04/15/26			23,789
	845,448		5.500			01/15/39			935,608
	857,329		4.500			05/15/39			937,502
	1,858,006		4.500			06/15/39			2,031,758
	876,741		4.500			07/15/39			958,730
	89,367		4.500			10/15/39			97,780
	2,019,558		3.500			11/15/40			2,111,967
	10,000,000		4.000			TBA-30yr	^(d)		10,693,750

									18,498,854


TOTAL FEDERAL AGENCIES								$	306,705,007


TOTAL MORTGAGE-BACKED OBLIGATIONS
(Cost $367,814,833)								$	373,138,648




Asset-Backed Securities – 6.7%
Home Equity – 0.7%
CIT Mortgage Loan Trust Series 2007-1, Class 2A2^(a)(e)
$	570,000		1.485	%		10/25/37		$	424,797
CIT Mortgage Loan Trust Series 2007-1, Class 2A3^(a)(e)
	1,100,000		1.685			10/25/37			454,494
Countrywide Home Equity Loan Trust Series 2002-E, Class A^(a)
	15,823		0.489			10/15/28			15,142
Countrywide Home Equity Loan Trust Series 2003-D, Class A^(a)
	82,709		0.489			06/15/29			74,395
Countrywide Home Equity Loan Trust Series 2004-G, Class 2A^(a)
	51,173		0.449			12/15/29			39,072
Countrywide Home Equity Loan Trust Series 2004-I, Class A^(a)
	494,166		0.519			02/15/34			323,842
Countrywide Home Equity Loan Trust Series 2004-J, Class 2A^(a)
	51,511		0.519			12/15/33			37,001
Countrywide Home Equity Loan Trust Series 2004-O, Class 1A^(a)
	196,574		0.509			02/15/34			120,229
Countrywide Home Equity Loan Trust Series 2005-A, Class 2A^(a)
	313,279		0.469			04/15/35			194,897
GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 1A1
	357,120		7.000			09/25/37			270,128
GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 2A1
	461,773		7.000			09/25/37			334,415
Residential Asset Mortgage Products, Inc. Series 2004-RZ1, Class AII^(a)
	201,860		0.715			03/25/34			123,779

									2,412,191


Student Loan^(a) – 6.0%
Access Group, Inc. Series 2005-2, Class A1
	31,074		0.398			08/22/17			31,041
Brazos Higher Education Authority, Inc. Series 2005-3, Class A14
	1,428,578		0.468			09/25/23			1,409,266
Brazos Higher Education Authority, Inc. Series 2010-1, Class A1
	1,995,646		1.212			05/25/29			1,974,098
Brazos Higher Education Authority, Inc. Series 2011-1, Class A2
	2,000,000		1.112			02/25/30			1,953,106
Brazos Higher Education Authority, Inc. Series 2011-2, Class A3
	1,800,000		1.247			10/27/36			1,638,523
Brazos Higher Education Authority, Inc. Student Loan Revenue Series 2004 I-A-2
	2,936,904		0.518			06/27/22			2,905,573
Brazos Higher Education Authority, Inc. Student Loan Revenue Series 2005 I-A-2
	1,451,250		0.438			12/26/18			1,440,206
College Loan Corp. Trust Series 2004-1, Class A3
	1,430,186		0.413			04/25/21			1,422,625
Education Funding Capital Trust I Series 2004-1, Class A2
	606,534		0.507			12/15/22			598,767
Educational Services of America, Inc. Series 2010-1, Class A1^(e)
	180,439		1.103			07/25/23			180,328
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			245,227
Goal Capital Funding Trust Series 2010-1, Class A^(e)
	709,997		1.012			08/25/48			685,027

The accompanying notes are an integral part of these financial statements. 83

GOLDMAN SACHS U.S. MORTGAGES FUND

Schedule of Investments (continued)

September 30, 2011 (Unaudited)


Principal		Interest			Maturity
Amount		Rate			Date		Value

Asset-Backed Securities – (continued)
Student Loan^(a) – (continued)

Knowledgeworks Foundation Student Loan Series 2010-1, Class A
$	555,961		1.262	%		02/25/42	$	548,323
Louisiana Public Facilities Authority Series 2011-A, Class A3^(f)
	1,200,000		1.203			04/25/35		1,146,648
Nelnet Student Loan Trust Series 2010-3A, Class A^(e)
	703,031		1.033			07/27/48		698,816
Northstar Education Finance, Inc. Series 2004-1, Class A4
	2,000,000		0.443			04/29/19		1,981,776
Northstar Education Finance, Inc. Series 2005-1, Class A1
	229,622		0.353			10/28/26		227,173
SLC Student Loan Center Series 2011-1, Class A^(e)
	951,293		1.455			10/25/27		947,716
SLM Student Loan Trust Series 2003-10A, Class A1D^(c)(e)
	300,000		0.000		��	12/15/16		299,906
SLM Student Loan Trust Series 2003-10A, Class A1E^(c)(e)
	318,600		0.000			12/15/16		318,500
South Carolina Student Loan Corp. Series 2005, Class A2
	1,500,000		0.446			12/01/20		1,415,074
US Education Loan Trust LLC Series 2006-1, Class A2^(e)
	263,310		0.456			03/01/25		258,867

								22,411,565


TOTAL ASSET-BACKED SECURITIES
(Cost $26,474,165)							$	24,823,756


TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
(Cost $394,288,998)							$	397,962,404




Short-term Investment^(g) – 32.9%
Repurchase Agreement – 32.9%
Joint Repurchase Agreement Account II
$	122,400,000		0.095	%		10/03/11	$	122,400,000
(Cost $122,400,000)


TOTAL INVESTMENTS – 139.9%
(Cost $516,688,998)							$	520,362,404


LIABILITIES IN EXCESS OF OTHER ASSETS – (39.9)%								(148,278,176	)


NET ASSETS – 100.0%							$	372,084,228

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.


(a)		Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011.

(b)		Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.

(c)		Issued with zero coupon and interest rate is contingent upon LIBOR reaching a predetermined level.

(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 $158,214,767 which represents approximately 42.5% of net assets as of September 30, 2011.

(e)		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 amounted to $4,268,451, which represents approximately 1.1% 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.

(g)		Joint repurchase agreement was entered into on September 30, 2011. Additional information appears on pages 88-89.




Investment Abbreviations:
FHLMC	—	Federal Home Loan Mortgage Corp.
FNMA	—	Federal National Mortgage Association
GNMA	—	Government National Mortgage Association
LIBOR	—	London Interbank Offered Rate
OTC	—	Over the Counter
REMIC	—	Real Estate Mortgage Investment Conduit
STRIPS	—	Separate Trading of Registered Interest and Principal of Securities

84 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS U.S. MORTGAGES FUND


ADDITIONAL INVESTMENT INFORMATION

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

FHLMC		4.500	%	TBA-30yr		10/13/2011	$	(13,000,000	)	$	(13,753,086	)
FHLMC		5.000		TBA-15yr		10/18/2011		(3,000,000	)		(3,215,859	)
FHLMC		5.500		TBA-30yr		10/13/2011		(6,000,000	)		(6,489,844	)
FNMA		4.500		TBA-30yr		10/13/2011		(2,000,000	)		(2,121,562	)


TOTAL (Proceeds Receivable: $25,645,625)										$	(25,580,351	)

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		8		December 2011	$	1,989,400		$	(618	)
Eurodollars		8		March 2012		1,988,200			(1,316	)
Eurodollars		8		June 2012		1,988,200			(882	)
Eurodollars		8		September 2012		1,988,400			182
Eurodollars		8		December 2012		1,988,300			1,882
Eurodollars		8		March 2013		1,988,000			3,582
Eurodollars		(9	)	June 2013		(2,234,925	)		2,005
Ultra Long U.S. Treasury Bonds		(21	)	December 2011		(3,331,125	)		(326,035	)
2 Year U.S. Treasury Notes		(8	)	December 2011		(1,761,625	)		2,112
5 Year U.S. Treasury Notes		15		December 2011		1,837,266			2,619
10 Year U.S. Treasury Notes		19		December 2011		2,471,781			(13,688	)
30 Year U.S. Treasury Bonds		19		December 2011		2,709,875			21,466


TOTAL								$	(308,691	)

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)

Deutsche Bank Securities, Inc.	$	2,700		12/21/16	3 month LIBOR	2.500%	$	(149,706	)	$	(51,104	)	$	(98,602	)
		1,600		12/21/21	3.500%	3 month LIBOR		194,224			190,000			4,224
		3,300		12/21/21	3 month LIBOR	3.500		(400,586	)		(235,190	)		(165,396	)
		1,200		12/21/26	3 month LIBOR	4.000		(227,693	)		(181,411	)		(46,282	)
		1,700		12/21/41	4.2500	3 month LIBOR		543,216			630,789			(87,573	)
		1,700		12/21/41	3 month LIBOR	4.250		(543,216	)		(554,689	)		11,473
JPMorgan Securities, Inc.		5,000		12/21/21	3.500	3 month LIBOR		606,949			720,342			(113,393	)
		2,100		12/21/31	3 month LIBOR	4.250		(538,361	)		(574,149	)		35,788
		3,200		05/15/37	3 month LIBOR	3.250		(330,985	)		(129,838	)		(201,147	)
Morgan Stanley Capital Services, Inc.		18,000		12/21/18	3 month LIBOR	3.250		(1,754,918	)		(1,660,483	)		(94,435	)


TOTAL							$	(2,601,076	)	$	(1,845,733	)	$	(755,343	)


(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. 85

GOLDMAN SACHS U.S. MORTGAGES 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	$	8,300	11/17/11		2.440	%	$	(269,596	)	$	(157,700	)	$	(111,896	)
	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		8,300	11/17/11		2.440			(49,319	)		(157,700	)		108,381
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		6,800	11/17/11		2.450			(225,697	)		(128,520	)		(97,177	)
	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		6,800	11/17/11		2.450			(38,985	)		(128,520	)		89,535


TOTAL		$	30,200					$	(583,597	)	$	(572,440	)	$	(11,157	)

86 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS U.S. MORTGAGES FUND


ADDITIONAL INVESTMENT INFORMATION (continued)

WRITTEN OPTIONS CONTRACTS — 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	$	10,000		$	(108,875	)


Contracts Written		257,800			(5,035,341	)
Contracts Bought to Close		(213,600	)		4,366,331
Contracts Expired		(24,000	)		205,445


Contracts Outstanding September 30, 2011	$	30,200		$	(572,440	)

The accompanying notes are an integral part of these financial statements. 87

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Schedule of Investments

September 30, 2011 (Unaudited)


ADDITIONAL INVESTMENT INFORMATION

JOINT REPURCHASE AGREEMENT ACCOUNT II — At September 30, 2011, the 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

Emerging Markets Debt	$	46,100,000	$	46,100,367	$	47,198,251


High Yield		259,600,000		259,602,064		265,784,513


High Yield Floating Rate		86,000,000		86,000,684		88,048,799


Investment Grade Credit		1,100,000		1,100,009		1,126,206


Local Emerging Markets Debt		333,700,000		333,702,653		341,649,815


U.S. Mortgages		122,400,000		122,400,973		125,315,965

88 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS


ADDITIONAL INVESTMENT INFORMATION (continued)

REPURCHASE AGREEMENTS — At September 30, 2011, the Principal Amounts of the Funds’ interest in the Joint Repurchase Agreement Account II were as follows:


								High				Local
				Emerging				Yield		Investment		Emerging
	Interest			Markets		High		Floating		Grade		Markets		U.S.
Counterparty	Rate			Debt		Yield		Rate		Credit		Debt		Mortgages

Barclays Capital, Inc.		0.050	%	$	4,662,443	$	26,255,318	$	8,697,833	$	111,251	$	33,749,614	$	12,379,241


Barclays Capital, Inc.		0.100			1,531,180		8,622,436		2,856,431		36,536		11,083,617		4,065,432


BNP Paribas Securities Co.		0.120			9,282,778		52,273,520		17,317,114		221,498		67,194,428		24,646,683


Credit Suisse Securities LLC		0.040			1,722,577		9,700,241		3,213,485		41,103		12,469,069		4,573,611


JPMorgan Securities		0.090			17,608,570		99,158,018		32,848,957		420,161		127,461,596		46,752,471


Wells Fargo Securities LLC		0.110			11,292,452		63,590,467		21,066,180		269,451		81,741,676		29,982,562


TOTAL				$	46,100,000	$	259,600,000	$	86,000,000	$	1,100,000	$	333,700,000	$	122,400,000

At September 30, 2011, the Joint Repurchase Agreement Account II was fully collateralized by:


Issuer	Interest Rates			Maturity 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 SINGLE SECTOR FIXED INCOME FUNDS

Statements of Assets and Liabilities

September 30, 2011 (Unaudited)


	Emerging Markets
	Debt Fund
Assets:

Investments in securities, at value (identified cost $572,799,722, $4,366,560,157, $554,032,976, $481,896,080, $1,377,680,933 and $394,288,998, respectively)	$	556,875,795
Repurchase agreement, at value which equals cost		46,100,000
Cash		2,269,050
Foreign currencies, at value (identified cost $128,607 and $2,759,162 for Emerging Markets Debt and Local Emerging Markets Debt, respectively)		126,651
Receivables:
Investment securities sold on an extended-delivery basis		—
Investment securities sold, at value		3,633,092
Forward foreign currency exchange contracts, at value		14,397,578
Interest, at value		8,408,245
Fund shares sold		5,618,479
Collateral on certain derivative contracts		680,000
Non-deliverable bond forward contracts, at value		38,258
Reimbursement from investment adviser		32,251
Swap contracts, at value (includes upfront payments made of $68,550 and $1,541,131 for Investment Grade Credit and U.S. Mortgages, respectively)		—
Due from broker — variation margin, at value		—
Deferred offering costs		—
Foreign tax reclaims, at value		—
Other assets, at value		1,819


Total assets		638,181,218




Liabilities:

Payables:
Investment securities purchased on an extended-delivery basis		—
Investment securities purchased, at value		2,090,160
Forward foreign currency exchange contracts, at value		11,079,297
Fund shares redeemed		4,104,458
Swap contracts, at value (includes upfront payments received of $45,309, $0, $0, $3,424,171, $3,290 and $3,386,864, respectively)		877,399
Amounts owed to affiliates		507,028
Income distributions		342,374
Due to broker — variation margin, at value		224,259
Collateral on certain derivative contracts		—
Forward sale contracts, at value (proceeds received $25,645,625 for U.S. Mortgages Fund)		—
Written Options Contracts, at value (premium received of $1,008,400 and $572,440 for Investment Grade Credit and U.S. Mortgages, respectively)		—
Deferred foreign capital gains tax		—
Accrued expenses and other liabilities		169,665


Total liabilities		19,394,640




Net Assets:

Paid-in capital		628,205,615
Accumulated undistributed (distributions in excess of) net investment income		(6,483,654	)
Accumulated net realized gain (loss) from investment, futures, options, swap and foreign currency related transactions		11,772,159
Net unrealized gain (loss) on investments, futures, options, swaps and translation of assets and liabilities denominated in foreign currencies		(14,707,542	)


NET ASSETS	$	618,786,578

Net Assets:
Class A	$	144,772,437
Class B		—
Class C		29,255,959
Institutional		441,958,934
Service		—
Separate Account Institutional Shares		—
Class IR		2,799,248
Class R		—


Total Net Assets	$	618,786,578

Shares Outstanding $0.001 par value (unlimited shares authorized):
Class A		12,016,141
Class B		—
Class C		2,430,121
Institutional		36,647,923
Service		—
Separate Account Institutional Shares		—
Class IR		232,213
Class R		—

Net asset value, offering and redemption price per share:^(a)
Class A		$12.05
Class B		—
Class C		12.04
Institutional		12.06
Service		—
Separate Account Institutional Shares		—
Class IR		12.05
Class R		—


(a)		Maximum public offering price per share for Class A shares of Emerging Markets Debt, High Yield, and Local Emerging Markets Debt Funds (NAV per share multiplied by 1.0471), High Yield Floating Rate Fund (NAV per share multiplied by 1.0230), Investment Grade Credit and U.S. Mortgages Funds (NAV per share multiplied by 1.0390) is $12.62, $6.92, $9.09, $9.74, $10.14 and $10.90, 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 SINGLE SECTOR FIXED INCOME FUNDS


High Yield			High Yield Floating			Investment Grade			Local Emerging			U.S. Mortgages
Fund			Rate Fund			Credit Fund			Markets Debt Fund			Fund


$	4,080,132,831		$	533,196,975		$	491,657,481		$	1,285,189,398		$	397,962,404
	259,600,000			86,000,000			1,100,000			333,700,000			122,400,000
	2,585,925			742,652			902,278			307,661			8,500
	—			—			—			2,495,018			—

	2,894			5,236,315			—			—			180,050,840
	4,526,979			—			28,244,351			83,854,127			9,876,633
	20,697,567			—			298,302			89,878,797			—
	101,883,376			2,983,608			6,564,714			25,774,959			853,761
	100,585,266			5,574,640			1,344,810			17,498,352			17,649
	—			—			5,620,325			11,682,662			2,570,128
	—			—			—			221,413			—
	—			48,032			40,813			138,537			49,597
	—			—			629,491			1,444,644			1,344,389
	—			—			322,318			—			—
	—			188,931			—			—			—
	23,278			—			—			74,723			—
	21,601			—			1,647			5,405			1,183


	4,570,059,717			633,971,153			536,726,530			1,852,265,696			715,135,084







	4,214,000			34,824,307			—			—			301,383,594
	66,061,956			—			2,993,083			50,750			10,631,250
	605,650			—			—			136,648,921			—
	13,211,638			5,610,561			1,015,084			7,049,760			513,097
	—			—			6,174,359			3,370,835			3,945,465
	2,912,533			316,216			199,905			1,496,988			115,098
	2,467,468			12,570			141,148			349,429			127,927
	—			—			—			—			31,297
	740,000			—			100,000			2,490,000			—
	—			—			—			—			25,580,351
	—			—			1,028,069			—			583,597
	—			—			—			2,006,572			—
	1,290,138			156,036			123,694			450,953			139,180


	91,503,383			40,919,690			11,775,342			153,914,208			343,050,856






	4,688,499,050			621,155,586			486,127,156			1,834,844,536			376,387,409
	7,276,723			(148,219	)		(156,319	)		(25,140,495	)		(457,313	)
	49,617,443			(7,119,903	)		29,399,219			34,413,895			(6,509,357	)
	(266,836,882	)		(20,836,001	)		9,581,132			(145,766,448	)		2,663,489


$	4,478,556,334		$	593,051,463		$	524,951,188		$	1,698,351,488		$	372,084,228


$	661,733,297		$	928,998		$	140,389,884		$	751,883,103		$	5,100,664
	33,596,865			—			—			—			—
	99,580,215			194,530			—			19,196,252			—
	3,619,317,786			591,716,654			149,847,282			913,040,135			12,121,215
	19,087,848			—			—			—			—
	—			—			234,713,026			—			354,861,339
	31,072,908			201,638			996			14,231,998			1,010
	14,167,415			9,643			—			—			—


$	4,478,556,334		$	593,051,463		$	524,951,188		$	1,698,351,488		$	372,084,228


	100,043,471			97,543			14,391,134			86,577,332			486,271
	5,068,246			—			—			—			—
	15,035,268			20,431			—			2,206,847			—
	545,590,001			62,098,982			15,357,522			105,122,968			1,153,225
	2,887,332			—			—			—			—
	—			—			24,049,700			—			33,824,390
	4,687,411			21,167			102			1,639,568			96
	2,141,886			1,012			—			—			—


	$6.61			$9.52			$9.76			$8.68			$10.49
	6.63			—			—			—			—
	6.62			9.52			—			8.70			—
	6.63			9.53			9.76			8.69			10.51
	6.61			—			—			—			—
	—			—			9.76			—			10.49
	6.63			9.53			9.76			8.68			10.51
	6.61			9.53			—			—			—

The accompanying notes are an integral part of these financial statements. 91

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statements of Operations

For the Six Months Ended September 30, 2011 (Unaudited)


	Emerging Markets
	Debt Fund

Investment income:

Interest (net of foreign withholding taxes of $996,745 for Local Emerging Markets Debt)	$	18,827,929
Dividends (net of foreign withholding taxes of $2,724 for High Yield)		—


Total investment income		18,827,929




Expenses:

Management fees		2,550,240
Distribution and Service fees^(a)		347,831
Transfer Agent fees^(a)		211,069
Custody and accounting fees		126,417
Printing and mailing costs		59,321
Professional fees		54,836
Registration fees		46,198
Trustee fees		8,861
Amortization of offering costs		—
Service Share fees — Shareholder Administration Plan		—
Service Share fees — Service Plan		—
Other		11,826


Total expenses		3,416,599



Less — expense reductions		(168,044	)


Net expenses		3,248,555


NET INVESTMENT INCOME		15,579,374




Realized and unrealized gain (loss) from investment, futures, options, swap and foreign currency related transactions:

Net realized gain (loss) from:
Investment transactions (net of foreign tax of $1,126,293 for Local Emerging Markets Debt)		9,527,047
Futures transactions		4,724,793
Written options		—
Swap contracts		1,130,264
Foreign currency related transactions (includes $(2,067,038), $(6,206,897), $22,852 and $32,503,033 of realized gains (losses) on forward foreign currency exchange contracts for Emerging Markets Debt, High Yield, Investment Grade Credit and Local Emerging Markets Debt)		(3,484,349	)
Net change in unrealized gain (loss) on:
Investments (net of deferred foreign taxes of $2,006,572 for Local Emerging Markets Debt)		(25,612,531	)
Futures		(845,459	)
Written options		—
Swap contracts		(687,772	)
Non-deliverable bond forward contracts		38,258
Translation of assets and liabilities denominated in foreign currencies (includes $3,423,543, $35,968,109, $298,302 and $(75,392,375) of net unrealized gains (losses) on forward foreign currency exchange contracts for Emerging Markets Debt, High Yield, Investment Grade Credit and Local Emerging Markets Debt)		3,213,634


Net realized and unrealized gain (loss) from investment, futures, options, swap, non-deliverable bond forward and foreign currency related transactions		(11,996,115	)


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	3,583,259


(a)		Class specific Distribution and Service, Transfer Agent and Account Service fees were as follows:


	Distribution and Service Fees								Transfer Agent Fees
																			Separate
																			Account
																			Institutional
Fund	Class A		Class B		Class C		Class R		Class A		Class B		Class C		Institutional		Service		Shares		Class IR^(b)		Class R
Emerging Markets Debt	$	189,854	$	—	$	157,977	$	—	$	98,724	$	—	$	20,537	$	90,376	$	—	$	—	$	1,432	$	—
High Yield		987,236		206,028		553,471		34,980		513,363		26,784		71,951		780,782		4,469		—		10,372		9,095
High Yield Floating Rate		1,197		—		594		25		622		—		78		100,974		—		—		222		7
Investment Grade Credit		181,592		—		—		—		94,428		—		—		28,804		—		49,537		—		—
Local Emerging Markets Debt		1,292,619		—		97,988		—		672,162		—		12,738		226,742		—		—		8,243		—
U.S. Mortgages		6,477		—		—		—		3,368		—		—		7,146		—		69,105		—		—


(b)		Commenced operations on July 29, 2011 for Investment Grade Credit and U.S. Mortgages Funds.

92 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS


High Yield			High Yield Floating			Investment Grade			Local Emerging			U.S. Mortgages
Fund			Rate Fund			Credit Fund			Markets Debt Fund			Fund



$	202,450,274		$	9,980,558		$	12,446,153		$	59,644,449		$	4,247,614
	793,900			—			—			—			—


	203,244,174			9,980,558			12,446,153			59,644,449			4,247,614






	16,116,449			1,518,897			1,073,966			9,810,347			772,877
	1,781,715			1,816			181,592			1,390,607			6,477
	1,416,816			101,903			172,769			919,885			79,619
	167,280			101,838			73,454			1,034,616			132,556
	72,481			41,743			26,209			64,602			21,167
	80,602			101,002			59,966			57,272			64,161
	79,387			5,862			28,546			47,091			29,885
	16,609			8,539			8,441			11,700			8,359
	—			152,452			—			—			—
	27,930			—			—			—			—
	27,930			—			—			—			—
	45,947			4,522			10,137			33,340			9,444


	19,833,146			2,038,574			1,635,080			13,369,460			1,124,545



	—			(159,563	)		(384,312	)		(947,389	)		(393,346	)


	19,833,146			1,879,011			1,250,768			12,422,071			731,199


	183,411,028			8,101,547			11,195,385			47,222,378			3,516,415







	108,120,916			(6,317,263	)		13,302,102			29,851,316			12,518,205
	—			—			7,286,162			—			(1,820,425	)
	—			—			(1,249,161	)		—			(778,915	)
	144,097			(797,431	)		144,402			9,442,553			(1,128,678	)

	(14,169,156	)		—			11,368			1,351,377			—

	(634,454,629	)		(20,780,661	)		(4,853,454	)		(145,760,448	)		2,793,207
	—			—			1,929,289			—			(75,138	)
	—			—			(31,631	)		—			(20,234	)
	—			(850	)		(2,493,312	)		1,593,729			(550,955	)
	—			—			—			221,413			—

	34,916,127			—			296,936			(78,859,685	)		—



	(505,442,645	)		(27,896,205	)		14,342,701			(182,159,745	)		10,937,067


$	(322,031,617	)	$	(19,794,658	)	$	25,538,086		$	(134,937,367	)	$	14,453,482

The accompanying notes are an integral part of these financial statements. 93

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statements of Changes in Net Assets


	Emerging Markets Debt Fund
	For the
	Six Months Ended			For the Fiscal
	September 30, 2011			Year Ended
	(Unaudited)			March 31, 2011

From operations:

Net investment income (loss)	$	15,579,374		$	27,307,148
Net realized gain (loss) from investment, futures, options, swap and foreign currency related transactions		11,897,755			18,223,597
Net change in unrealized gain (loss) on investments, futures, options, swaps, non-deliverable bond forwards and translation of assets and liabilities denominated in foreign currencies		(23,893,870	)		(9,560,087	)


Net increase (decrease) in net assets resulting from operations		3,583,259			35,970,658




Distributions to shareholders:

From net investment income
Class A Shares		(3,595,623	)		(9,205,130	)
Class B Shares		—			—
Class C Shares		(629,439	)		(1,144,433	)
Institutional Shares		(11,447,535	)		(22,394,332	)
Service Shares		—			—
Class IR Shares^(b)		(54,208	)		(44,727	)
Class R Shares		—			—
From net realized gains
Class A Shares		—			(193,475	)
Class C Shares		—			(30,420	)
Institutional Shares		—			(434,675	)
Class IR Shares^(b)		—			(1,313	)
Class R Shares		—			—


Total distributions to shareholders		(15,726,805	)		(33,448,505	)




From share transactions:

Proceeds from sales of shares		143,778,781			491,014,666
Proceeds received in connection with in-kind subscriptions		—			12,379,470
Reinvestment of distributions		13,739,443			29,056,269
Cost of shares redeemed		(152,154,787	)^(c)		(303,416,681	)^(c)


Net increase (decrease) in net assets resulting from share transactions		5,363,437			229,033,724


TOTAL INCREASE (DECREASE)		(6,780,109	)		231,555,877




Net assets:

Beginning of period		625,566,687			394,010,810


End of period	$	618,786,578		$	625,566,687


Accumulated undistributed (distribution in excess of) net investment income (loss)	$	(6,483,654	)	$	(6,336,223	)


(a)		Commenced operations on March 31, 2011.
(b)		Commenced operations on July 30, 2010 for Emerging Markets Debt Fund.
(c)		Net of $29,949 and $91,546, and $243,136 and $335,607 of redemption fees for Emerging Markets Debt Fund and High Yield Fund, respectively, for the six months ended September 30, 2011 and the fiscal year ended March 31, 2011, respectively.

94 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS


High Yield Fund						High Yield Floating Rate Fund
For the						For the
Six Months Ended			For the Fiscal			Six Months Ended			For the
September 30, 2011			Year Ended			September 30, 2011			Period Ended
(Unaudited)			March 31, 2011			(Unaudited)			March 31, 2011^(a)



$	183,411,028		$	461,312,350		$	8,101,547		$	(2,280	)
	94,095,857			183,936,907			(7,114,694	)		(5,209	)

	(599,538,502	)		59,723,657			(20,781,511	)		(54,490	)


	(322,031,617	)		704,972,914			(19,794,658	)		(61,979	)






	(28,711,531	)		(80,169,957	)		(14,450	)		—
	(1,343,754	)		(3,635,779	)		—			—
	(3,613,306	)		(7,548,453	)		(1,351	)		—
	(148,421,977	)		(365,686,554	)		(8,225,727	)		—
	(794,994	)		(1,596,021	)		—			—
	(610,122	)		(124,551	)		(5,900	)		—
	(492,605	)		(704,866	)		(120	)		—

	—			—			—			—
	—			—			—			—
	—			—			—			—
	—			—			—			—
	—			—			—			—
	—			—			—			—


	(183,988,289	)		(459,466,181	)		(8,247,548	)		—






	752,001,610			1,990,564,571			616,103,973			118,918,916
	—			—			—			—
	164,609,284			310,058,551			8,200,654			—
	(1,487,165,745	)^(c)		(3,188,107,981	)^(c)		(122,067,895	)		—


	(570,554,851	)		(887,484,859	)		502,236,732			118,918,916


	(1,076,574,757	)		(641,978,126	)		474,194,526			118,856,937






	5,555,131,091			6,197,109,217			118,856,937			—


$	4,478,556,334		$	5,555,131,091		$	593,051,463		$	118,856,937


$	7,276,723		$	7,853,984		$	(148,219	)	$	(2,218	)

The accompanying notes are an integral part of these financial statements. 95

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statements of Changes in Net Assets


	Investment Grade Credit Fund
	For the
	Six Months Ended			For the Fiscal
	September 30, 2011			Year Ended
	(Unaudited)			March 31, 2011

From operations:

Net investment income	$	11,195,385		$	27,840,577
Net realized gain from investment, futures, options, swap and foreign currency related transactions		19,494,873			35,685,331
Net change in unrealized gain (loss) on investments, futures, options, swaps, non-deliverable bond forwards and translation of assets and liabilities denominated in foreign currencies		(5,152,172	)		(9,659,236	)


Net increase (decrease) in net assets resulting from operations		25,538,086			53,866,672




Distributions to shareholders:

From net investment income
Class A Shares		(2,894,741	)		(7,319,482	)
Class C Shares		—			—
Institutional Shares^(a)		(3,114,765	)		(8,457,290	)
Class IR Shares		(7	)		—
Separate Account Institutional Shares		(5,351,142	)		(12,260,657	)
From net realized gains
Class A Shares		—			(114,182	)
Class C Shares		—			—
Institutional Shares		—			(133,535	)
Class IR Shares^(a)(b)		—			—
Separate Account Institutional Shares		—			(167,990	)


Total distributions to shareholders		(11,360,655	)		(28,453,136	)




From share transactions:

Proceeds from sales of shares		51,856,734			170,905,568
Proceeds received in connection with in-kind subscriptions		—			18,159,598
Reinvestment of distributions		10,408,259			21,548,532
Cost of shares redeemed		(105,274,608	)		(313,307,611	)


Net increase (decrease) in net assets resulting from share transactions		(43,009,615	)		(102,693,913	)


TOTAL INCREASE (DECREASE)		(28,832,184	)		(77,280,377	)




Net assets:

Beginning of period		553,783,372			631,063,749


End of period	$	524,951,188		$	553,783,372


Accumulated undistributed (distribution in excess of) net investment income	$	(156,319	)	$	8,951


(a)		Commenced operations on July 30, 2010 for Local Emerging Markets Debt Fund.
(b)		Commenced operations on July 29, 2011 for Investment Grade Credit and U.S. Mortgages Funds.
(c)		Net of $14,299 and $65,153 of redemption fees for Local Emerging Markets Debt Fund for the six months ended September 30, 2011 and the fiscal year ended March 31, 2011, respectively.

96 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS


Local Emerging Markets Debt Fund						U.S. Mortgages Fund
For the						For the
Six Months Ended			For the Fiscal			Six Months Ended			For the Fiscal
September 30, 2011			Year Ended			September 30, 2011			Year Ended
(Unaudited)			March 31, 2011			(Unaudited)			March 31, 2011



$	47,222,378		$	71,074,504		$	3,516,415		$	10,822,593
	40,645,246			39,778,871			8,790,187			10,889,341
	(222,804,991	)		54,827,604			2,146,880			(848,096	)


	(134,937,367	)		165,680,979			14,453,482			20,863,838







	(21,388,552	)		(58,138,747	)		(45,759	)		(199,066	)
	(329,399	)		(473,184	)		—			—
	(25,380,345	)		(55,623,403	)		(364,416	)		(1,511,392	)
	(275,044	)		(233,499	)		(4	)		—
	—			—			(3,645,278	)		(10,155,559	)

	—			(8,809,208	)		—			—
	—			(102,339	)		—			—
	—			(8,487,066	)		—			—
	—			(50,009	)		—			—
	—			—			—			—


	(47,373,340	)		(131,917,455	)		(4,055,457	)		(11,866,017	)






	605,217,305			1,680,267,280			64,032,802			242,039,882
	—			—			—			5,870,871
	45,211,841			108,927,820			3,238,377			9,620,680
	(898,564,780	)^(c)		(492,243,393	)^(c)		(113,638,771	)		(303,467,890	)


	(248,135,634	)		1,296,951,707			(46,367,592	)		(45,936,457	)


	(430,446,341	)		1,330,715,231			(35,969,567	)		(36,938,636	)






	2,128,797,829			798,082,598			408,053,795			444,992,431


$	1,698,351,488		$	2,128,797,829		$	372,084,228		$	408,053,795


$	(25,140,495	)	$	(24,989,533	)	$	(457,313	)	$	81,729

The accompanying notes are an integral part of these financial statements. 97

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period


			Income (loss) from								Distributions
			investment operations								to shareholders

	Net asset
	value,		Net		Net realized			Total from			From net			From net
	beginning		investment		and unrealized			investment			investment			realized			Total
Year - Share Class	of period		income^(a)		gain (loss)			operations			income			gains			distributions

FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2011 - A	$	12.28	$	0.29	$	(0.22	)	$	0.07		$	(0.30	)	$	—		$	(0.30	)
2011 - C		12.27		0.25		(0.23	)		0.02			(0.25	)		—			(0.25	)
2011 - Institutional		12.29		0.32		(0.23	)		0.09			(0.32	)		—			(0.32	)
2011 - IR		12.29		0.31		(0.24	)		0.07			(0.31	)		—			(0.31	)


FOR THE FISCAL YEARS ENDED MARCH 31,
2011 - A		11.99		0.59		0.42			1.01			(0.71	)		(0.01	)		(0.72	)
2011 - C		11.98		0.49		0.43			0.92			(0.62	)		(0.01	)		(0.63	)
2011 - Institutional		12.00		0.63		0.42			1.05			(0.75	)		(0.01	)		(0.76	)
2011 - IR (Commenced July 30, 2010)		12.44		0.41		(0.04	)		0.37			(0.51	)		(0.01	)		(0.52	)


2010 - A		9.19		0.70		2.96			3.66			(0.86	)		—			(0.86	)
2010 - C		9.16		0.61		2.99			3.60			(0.78	)		—			(0.78	)
2010 - Institutional		9.20		0.74		2.96			3.70			(0.90	)		—			(0.90	)


2009 - A		11.63		0.68		(2.50	)		(1.82	)		(0.57	)		(0.05	)		(0.62	)
2009 - C		11.60		0.60		(2.50	)		(1.90	)		(0.49	)		(0.05	)		(0.54	)
2009 - Institutional		11.63		0.72		(2.50	)		(1.78	)		(0.60	)		(0.05	)		(0.65	)


FOR THE PERIOD NOVEMBER 1, 2007 TO MARCH 31, 2008*
2008 - A		12.16		0.30		(0.37	)		(0.07	)		(0.31	)		(0.15	)		(0.46	)
2008 - C		12.14		0.25		(0.36	)		(0.11	)		(0.28	)		(0.15	)		(0.43	)
2008 - Institutional		12.17		0.32		(0.38	)		(0.06	)		(0.33	)		(0.15	)		(0.48	)


FOR THE FISCAL YEARS ENDED OCTOBER 31,
2007 - A		11.98		0.63		0.38			1.01			(0.62	)		(0.21	)		(0.83	)
2007 - C		11.97		0.53		0.38			0.91			(0.53	)		(0.21	)		(0.74	)
2007 - Institutional		11.99		0.67		0.39			1.06			(0.67	)		(0.21	)		(0.88	)


2006 - A		11.75		0.60		0.69			1.29			(0.65	)		(0.41	)		(1.06	)
2006 - C (Commenced September 6, 2006)		11.78		0.01		0.22			0.23			(0.04	)		—			(0.04	)
2006 - Institutional		11.76		0.64		0.69			1.33			(0.69	)		(0.41	)		(1.10	)


*		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)		Portfolio turnover rates exclude portfolio securities received as a result of in-kind subscriptions.

98 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS EMERGING MARKETS DEBT FUND




													Ratio of
					Net assets,		Ratio of			Ratio of			net investment
Net asset					end of		net expenses			total expenses			income			Portfolio
value, end		Total			period		to average			to average			to average			turnover
of period		return^(b)			(in 000s)		net assets			net assets			net assets			rate


$	12.05		0.48	%	$	144,772		1.22	%^(c)		1.27	%^(c)		4.69	%^(c)		44	%
	12.04		0.10			29,256		1.97	^(c)		2.02	^(c)		3.94	^(c)		44
	12.06		0.65			441,959		0.88	^(c)		0.93	^(c)		5.00	^(c)		44
	12.05		0.52			2,799		0.97	^(c)		1.02	^(c)		4.93	^(c)		44



	12.28		8.46			156,901		1.22			1.29			4.75			116	^(d)
	12.27		7.65			31,205		1.97			2.04			4.00			116	^(d)
	12.29		8.82			436,068		0.88			0.95			5.12			116	^(d)
	12.29		2.96			1,392		0.97	^(c)		1.05	^(c)		4.96	^(c)		116	^(d)


	11.99		40.98			105,352		1.22			1.31			6.27			121
	11.98		40.28			10,629		1.97			2.06			5.41			121
	12.00		41.42			278,030		0.88			0.97			6.63			121


	9.19		(15.89	)		40,814		1.22			1.44			6.58			132
	9.16		(16.57	)		1,661		1.97			2.19			5.97			132
	9.20		(15.59	)		109,375		0.88			1.10			7.03			132



	11.63		(0.51	)		87,818		1.21	^(c)		1.36	^(c)		6.03	^(c)		41
	11.60		(0.82	)		1,890		1.96	^(c)		2.11	^(c)		5.20	^(c)		41
	11.63		(0.37	)		145,067		0.87	^(c)		1.02	^(c)		6.51	^(c)		41



	12.16		8.86			84,661		1.23			1.38			5.23			81
	12.14		7.80			995		1.98			2.13			4.64			81
	12.17		9.25			188,311		0.87			1.02			5.68			81


	11.98		11.63			69,302		1.23			1.53			5.17			167
	11.97		1.98			1		1.71	^(c)		1.75	^(c)		1.36	^(c)		167
	11.99		11.93			85,073		0.86			1.16			5.51			167

The accompanying notes are an integral part of these financial statements. 99

GOLDMAN SACHS HIGH YIELD FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period


			Income (loss) from
			investment operations
											Distributions
	Net asset										to shareholders
	value,		Net		Net realized			Total from			from net
	beginning		investment		and unrealized			investment			investment
Year - Share Class	of period		income^(a)		gain (loss)			operations			income

FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2011 - A	$	7.38	$	0.26	$	(0.77	)	$	(0.51	)	$	(0.26	)
2011 - B		7.40		0.24		(0.77	)		(0.53	)		(0.24	)
2011 - C		7.39		0.24		(0.77	)		(0.53	)		(0.24	)
2011 - Institutional		7.40		0.28		(0.77	)		(0.49	)		(0.28	)
2011 - Service		7.38		0.26		(0.77	)		(0.51	)		(0.26	)
2011 - IR		7.39		0.27		(0.76	)		(0.49	)		(0.27	)
2011 - R		7.38		0.25		(0.77	)		(0.52	)		(0.25	)


FOR THE FISCAL YEARS ENDED MARCH 31,
2011 - A		7.07		0.55		0.30			0.85			(0.54	)
2011 - B		7.08		0.49		0.32			0.81			(0.49	)
2011 - C		7.08		0.49		0.31			0.80			(0.49	)
2011 - Institutional		7.09		0.57		0.31			0.88			(0.57	)
2011 - Service		7.06		0.53	��	0.32			0.85			(0.53	)
2011 - IR		7.07		0.56		0.32			0.88			(0.56	)
2011 - R		7.07		0.53		0.31			0.84			(0.53	)


2010 - A		5.18		0.53		1.90			2.43			(0.54	)
2010 - B		5.18		0.49		1.90			2.39			(0.49	)
2010 - C		5.18		0.49		1.90			2.39			(0.49	)
2010 - Institutional		5.19		0.56		1.91			2.47			(0.57	)
2010 - Service		5.17		0.53		1.89			2.42			(0.53	)
2010 - IR		5.18		0.55		1.90			2.45			(0.56	)
2010 - R		5.17		0.52		1.91			2.43			(0.53	)


2009 - A		7.12		0.55		(1.92	)		(1.37	)		(0.57	)
2009 - B		7.13		0.51		(1.94	)		(1.43	)		(0.52	)
2009 - C		7.12		0.51		(1.93	)		(1.42	)		(0.52	)
2009 - Institutional		7.13		0.57		(1.92	)		(1.35	)		(0.59	)
2009 - Service		7.12		0.54		(1.93	)		(1.39	)		(0.56	)
2009 - IR		7.12		0.57		(1.93	)		(1.36	)		(0.58	)
2009 - R		7.12		0.53		(1.93	)		(1.40	)		(0.55	)


FOR THE PERIOD NOVEMBER 1, 2007 TO MARCH 31, 2008*
2008 - A		7.93		0.24		(0.78	)		(0.54	)		(0.27	)
2008 - B		7.94		0.22		(0.79	)		(0.57	)		(0.24	)
2008 - C		7.93		0.22		(0.79	)		(0.57	)		(0.24	)
2008 - Institutional		7.94		0.25		(0.78	)		(0.53	)		(0.28	)
2008 - Service		7.92		0.24		(0.78	)		(0.54	)		(0.26	)
2008 - IR (Commenced November 30, 2007)		7.68		0.20		(0.54	)		(0.34	)		(0.22	)
2008 - R (Commenced November 30, 2007)		7.68		0.19		(0.54	)		(0.35	)		(0.21	)


FOR THE FISCAL YEARS ENDED OCTOBER 31,
2007 - A		8.04		0.60		(0.10	)		0.50			(0.61	)
2007 - B		8.05		0.54		(0.10	)		0.44			(0.55	)
2007 - C		8.04		0.54		(0.10	)		0.44			(0.55	)
2007 - Institutional		8.05		0.63		(0.10	)		0.53			(0.64	)
2007 - Service		8.03		0.59		(0.10	)		0.49			(0.60	)


2006 - A		7.81		0.58		0.23			0.81			(0.58	)
2006 - B		7.82		0.53		0.22			0.75			(0.52	)
2006 - C		7.81		0.53		0.22			0.75			(0.52	)
2006 - Institutional		7.82		0.61		0.23			0.84			(0.61	)
2006 - Service		7.80		0.57		0.23			0.80			(0.57	)


*		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 HIGH YIELD FUND


													Ratio of
					Net assets,		Ratio of			Ratio of			net investment
Net asset					end of		net expenses			total expenses			income			Portfolio
value, end		Total			period		to average			to average			to average			turnover
of period		return^(b)			(in 000s)		net assets			net assets			net assets			rate


$	6.61		(7.10	)%	$	661,733		1.06	%^(c)		1.06	%^(c)		7.25	%^(c)		29	%
	6.63		(7.42	)		33,597		1.81	^(c)		1.81	^(c)		6.50	^(c)		29
	6.62		(7.43	)		99,580		1.81	^(c)		1.81	^(c)		6.51	^(c)		29
	6.63		(6.91	)		3,619,318		0.72	^(c)		0.72	^(c)		7.58	^(c)		29
	6.61		(7.17	)		19,088		1.22	^(c)		1.22	^(c)		7.09	^(c)		29
	6.63		(6.83	)		31,073		0.81	^(c)		0.81	^(c)		7.63	^(c)		29
	6.61		(7.21	)		14,167		1.31	^(c)		1.31	^(c)		7.02	^(c)		29



	7.38		12.56			862,655		1.05			1.06			7.63			46
	7.40		11.87			45,430		1.80			1.81			6.86			46
	7.39		11.72			114,921		1.80			1.81			6.85			46
	7.40		12.93			4,492,556		0.71			0.72			7.94			46
	7.38		12.54			23,208		1.21			1.22			7.44			46
	7.39		12.99			3,081		0.80			0.81			7.79			46
	7.38		12.29			13,279		1.30			1.31			7.36			46


	7.07		48.28			1,339,958		1.05			1.06			8.38			35
	7.08		47.38			60,649		1.80			1.81			7.61			35
	7.08		47.38			111,997		1.80			1.81			7.56			35
	7.09		48.88			4,655,677		0.71			0.72			8.64			35
	7.06		48.13			22,639		1.21			1.22			8.14			35
	7.07		48.63			786		0.80			0.81			8.01			35
	7.07		48.20			5,404		1.30			1.31			7.78			35


	5.18		(20.12	)		1,636,406		1.07			1.08			9.10			14
	5.18		(20.73	)		53,589		1.82			1.83			8.20			14
	5.18		(20.72	)		74,325		1.82			1.83			8.25			14
	5.19		(19.81	)		1,986,033		0.73			0.74			9.49			14
	5.17		(20.28	)		12,582		1.23			1.24			8.98			14
	5.18		(19.91	)		8		0.82			0.83			9.31			14
	5.17		(20.47	)		183		1.32			1.33			9.95			14



	7.12		(6.82	)		1,650,027		1.07	^(c)		1.09	^(c)		7.87	^(c)		11
	7.13		(7.23	)		92,953		1.82	^(c)		1.84	^(c)		7.12	^(c)		11
	7.12		(7.11	)		101,138		1.82	^(c)		1.84	^(c)		7.12	^(c)		11
	7.13		(6.68	)		1,628,668		0.73	^(c)		0.75	^(c)		8.22	^(c)		11
	7.12		(6.89	)		10,573		1.23	^(c)		1.25	^(c)		7.72	^(c)		11
	7.12		(4.35	)		10		0.82	^(c)		0.84	^(c)		8.20	^(c)		11
	7.12		(4.51	)		9		1.32	^(c)		1.34	^(c)		7.73	^(c)		11



	7.93		6.41			1,777,150		1.09			1.11			7.46			50
	7.94		5.61			115,817		1.84			1.86			6.72			50
	7.93		5.61			119,073		1.84			1.86			6.71			50
	7.94		6.79			1,646,138		0.73			0.75			7.82			50
	7.92		6.28			8,399		1.24			1.26			7.34			50


	8.04		10.76			1,395,265		1.12			1.14			7.38			41
	8.05		9.93			96,743		1.87			1.89			6.64			41
	8.04		9.94			90,528		1.87			1.89			6.64			41
	8.05		11.16			1,296,429		0.75			0.77			7.76			41
	8.03		10.63			2,980		1.25			1.27			7.26			41

The accompanying notes are an integral part of these financial statements. 101

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period


			Income (loss) from
			investment operations
												Distributions
	Net asset											to shareholders
	value,		Net			Net realized			Total from			from net
	beginning		investment			and unrealized			investment			investment
Year - Share Class	of period		income (loss)^(a)			gain (loss)			operations			income

FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2011 - A	$	10.00	$	0.14		$	(0.49	)	$	(0.35	)	$	(0.13	)
2011 - C		9.99		0.11			(0.48	)		(0.37	)		(0.10	)
2011 - Institutional		9.99		0.16			(0.47	)		(0.31	)		(0.15	)
2011 - IR		10.00		0.16			(0.30	)		(0.14	)		(0.33	)
2011 - R		10.00		0.12			(0.47	)		(0.35	)		(0.12	)


FOR THE PERIOD ENDED MARCH 31,
2011 - A (Commenced March 31, 2011)		10.00		—	^(d)		—	^(d)		—	^(d)		—
2011 - C (Commenced March 31, 2011)		10.00		—	^(d)		(0.01	)		(0.01	)		—
2011 - Institutional (Commenced March 31, 2011)		10.00		—	^(d)		(0.01	)		(0.01	)		—
2011 - IR (Commenced March 31, 2011)		10.00		—	^(d)		—	^(d)		—	^(d)		—
2011 - R (Commenced March 31, 2011)		10.00		—	^(d)		—	^(d)		—	^(d)		—


(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)		Amount is less than $0.005 per share.

102 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND




													Ratio of
					Net assets,		Ratio of			Ratio of			net investment
Net asset					end of		net expenses			total expenses			income (loss)			Portfolio
value, end		Total			period		to average			to average			to average			turnover
of period		return^(b)			(in 000s)		net assets^(c)			net assets^(c)			net assets^(c)			rate


$	9.52		(3.52	)%	$	929		1.08	%		1.14	%		2.95	%		37	%
	9.52		(3.86	)		195		1.83			1.89			2.21			37
	9.53		(3.26	)		591,717		0.74			0.80			3.20			37
	9.53		(3.31	)		202		0.83			0.89			3.41			37
	9.53		(3.52	)		10		1.33			1.39			2.32			37



	10.00		—			10		1.08			1.47			(1.08	)		—
	9.99		—			10		1.83			2.22			(1.83	)		—
	9.99		—			118,817		0.74			1.13			(0.74	)		—
	10.00		—			10		0.83			1.22			(0.83	)		—
	10.00		—			10		1.33			1.72			(1.33	)		—

The accompanying notes are an integral part of these financial statements. 103

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period


			Income (loss) from								Distributions
			investment operations								to shareholders
	Net asset
	value,		Net		Net realized			Total from			From net			From net
	beginning		investment		and unrealized			investment			investment			realized			Total
Year - Share Class	of period		income^(a)		gain (loss)			operations			income			gains			distributions

FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2011 - A	$	9.50	$	0.19	$	0.26		$	0.45		$	(0.19	)	$	—		$	(0.19	)
2011 - Institutional		9.51		0.21		0.25			0.46			(0.21	)		—			(0.21	)
2011 - Separate Account Institutional		9.51		0.21		0.25			0.46			(0.21	)		—			(0.21	)
2011 - IR (Commenced July 29, 2011)		9.86		0.07		(0.10	)		(0.03	)		(0.07	)		—			(0.07	)


FOR THE FISCAL YEARS ENDED MARCH 31,
2011 - A		9.14		0.38		0.37			0.75			(0.38	)		(0.01	)		(0.39	)
2011 - Institutional		9.14		0.41		0.38			0.79			(0.41	)		(0.01	)		(0.42	)
2011 - Separate Account Institutional		9.14		0.41		0.38			0.79			(0.41	)		(0.01	)		(0.42	)


2010 - A		7.75		0.43		1.40			1.83			(0.44	)		—			(0.44	)
2010 - Institutional		7.75		0.46		1.40			1.86			(0.47	)		—			(0.47	)
2010 - Separate Account Institutional		7.75		0.47		1.39			1.86			(0.47	)		—			(0.47	)


2009 - A		9.64		0.51		(1.83	)		(1.32	)		(0.57	)		—			(0.57	)
2009 - Institutional		9.66		0.55		(1.85	)		(1.30	)		(0.61	)		—			(0.61	)
2009 - Separate Account Institutional		9.65		0.57		(1.86	)		(1.29	)		(0.61	)		—			(0.61	)


FOR THE PERIOD NOVEMBER 1, 2007 TO MARCH 31, 2008*
2008 - A		9.90		0.22		(0.27	)		(0.05	)		(0.21	)		—			(0.21	)
2008 - Institutional		9.92		0.23		(0.27	)		(0.04	)		(0.22	)		—			(0.22	)
2008 - Separate Account Institutional		9.91		0.23		(0.26	)		(0.03	)		(0.23	)		—			(0.23	)


FOR THE FISCAL YEARS ENDED OCTOBER 31,
2007 - A		9.95		0.51		(0.08	)		0.43			(0.48	)		—			(0.48	)
2007 - Institutional		9.97		0.55		(0.08	)		0.47			(0.52	)		—			(0.52	)
2007 - Separate Account Institutional		9.96		0.56		(0.08	)		0.48			(0.53	)		—			(0.53	)


2006 - A		9.93		0.47		—			0.47			(0.45	)		—			(0.45	)
2006 - Institutional		9.95		0.51		—			0.51			(0.49	)		—			(0.49	)
2006 - Separate Account Institutional		9.94		0.52		(0.01	)		0.51			(0.49	)		—			(0.49	)


*		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)		Portfolio turnover rates exclude portfolio securities received as a result of in-kind subscriptions.

104 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND


													Ratio of
					Net assets,		Ratio of			Ratio of			net investment
Net asset					end of		net expenses			total expenses			income			Portfolio
value, end		Total			period		to average			to average			to average			turnover
of period		return^(b)			(in 000s)		net assets			net assets			net assets			rate


$	9.76		4.69	%	$	140,390		0.71	%^(c)		0.85	%^(c)		3.92	%^(c)		56	%
	9.76		4.87			149,847		0.37	^(c)		0.51	^(c)		4.26	^(c)		56
	9.76		4.87			234,713		0.37	^(c)		0.51	^(c)		4.26	^(c)		56
	9.76		(0.34	)		1		0.46	^(c)		0.60	^(c)		4.12	^(c)		56



	9.50		8.37			147,820		0.74			0.87			3.98			100	^(d)
	9.51		8.73			143,057		0.40			0.53			4.33			100	^(d)
	9.51		8.77			262,907		0.37			0.50			4.36			100	^(d)


	9.14		23.96			167,774		0.76			0.89			4.90			90
	9.14		24.39			190,478		0.41			0.55			5.17			90
	9.14		24.45			272,812		0.36			0.50			5.39			90


	7.75		(14.00	)		53,185		0.76			0.97			6.22			135
	7.75		(13.83	)		22,809		0.40			0.63			6.52			135
	7.75		(13.72	)		171,003		0.35			0.58			6.52			135



	9.64		(0.54	)		9,455		0.76	^(c)		0.95	^(c)		5.31	^(c)		15
	9.66		(0.39	)		10,504		0.40	^(c)		0.61	^(c)		5.67	^(c)		15
	9.65		(0.37	)		226,207		0.35	^(c)		0.56	^(c)		5.72	^(c)		15



	9.90		4.44			8,615		0.79			0.97			5.17			74
	9.92		4.83			10,893		0.40			0.60			5.59			74
	9.91		4.89			239,358		0.35			0.55			5.61			74


	9.95		4.84			3,420		0.79			1.04			4.82			74
	9.97		5.35			3,317		0.40			0.65			5.21			74
	9.96		5.30			206,122		0.35			0.60			5.26			74

The accompanying notes are an integral part of these financial statements. 105

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period


			Income (loss) from								Distributions
			investment operations								to shareholders

	Net asset
	value,		Net		Net realized			Total from			From net			From net
	beginning		investment		and unrealized			investment			investment			realized			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	$	9.59	$	0.20	$	(0.91	)	$	(0.71	)	$	(0.20	)	$	—		$	—		$	(0.20	)
2011 - C		9.61		0.16		(0.91	)		(0.75	)		(0.16	)		—			—			(0.16	)
2011 - Institutional		9.59		0.22		(0.90	)		(0.68	)		(0.22	)		—			—			(0.22	)
2011 - IR		9.59		0.21		(0.91	)		(0.70	)		(0.21	)		—			—			(0.21	)


FOR THE FISCAL YEARS ENDED MARCH 31,
2011 - A		9.31		0.41		0.60			1.01			(0.64	)		(0.09	)		—			(0.73	)
2011 - C		9.33		0.32		0.61			0.93			(0.56	)		(0.09	)		—			(0.65	)
2011 - Institutional		9.31		0.44		0.60			1.04			(0.67	)		(0.09	)		—			(0.76	)
2011 - IR (Commenced July 30, 2010)		9.43		0.28		0.46			0.74			(0.49	)		(0.09	)		—			(0.58	)


2010 - A		7.23		0.42		2.10			2.52			(0.44	)		—			—			(0.44	)
2010 - C		7.24		0.36		2.10			2.46			(0.37	)		—			—			(0.37	)
2010 - Institutional		7.23		0.45		2.10			2.55			(0.47	)		—			—			(0.47	)


2009 - A		9.85		0.50		(2.64	)		(2.14	)		(0.20	)		—			(0.28	)		(0.48	)
2009 - C		9.85		0.48		(2.67	)		(2.19	)		(0.18	)		—			(0.24	)		(0.42	)
2009 - Institutional		9.85		0.53		(2.64	)		(2.11	)		(0.22	)		—			(0.29	)		(0.51	)


FOR THE PERIOD ENDED MARCH 31,
2008 - A (Commenced February 15, 2008)		10.00		0.04		(0.14	)		(0.10	)		(0.05	)		—			—			(0.05	)
2008 - C (Commenced February 15, 2008)		10.00		0.04		(0.14	)		(0.10	)		(0.05	)		—			—			(0.05	)
2008 - Institutional (Commenced February 15, 2008)		10.00		0.06		(0.15	)		(0.09	)		(0.06	)		—			—			(0.06	)


(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.

106 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND




													Ratio of
					Net assets,		Ratio of			Ratio of			net investment
Net asset					end of		net expenses			total expenses			income			Portfolio
value, end		Total			period		to average			to average			to average			turnover
of period		return^(b)			(in 000s)		net assets			net assets			net assets			rate


$	8.68		(7.69	)%	$	751,883		1.29	%^(c)		1.38	%^(c)		4.12	%^(c)		112	%
	8.70		(8.02	)		19,196		2.04	^(c)		2.13	^(c)		3.35	^(c)		112
	8.69		(7.43	)		913,040		0.95	^(c)		1.04	^(c)		4.46	^(c)		112
	8.68		(7.58	)		14,232		1.04	^(c)		1.13	^(c)		4.32	^(c)		112



	9.59		11.30			1,055,640		1.35			1.43			4.30			154
	9.61		10.45			16,724		2.10			2.18			3.37			154
	9.59		11.68			1,048,186		1.01			1.09			4.63			154
	9.59		8.13			8,247		1.10	^(c)		1.16	^(c)		4.40	^(c)		154


	9.31		35.39			419,456		1.35			1.49			4.74			134
	9.33		34.47			936		2.10			2.24			4.09			134
	9.31		35.84			377,691		1.01			1.15			5.16			134


	7.23		(22.32	)		20,385		1.33			1.65			5.99			92
	7.24		(22.79	)		30		2.08			2.40			5.17			92
	7.23		(22.05	)		97,877		0.99			1.31			6.30			92



	9.85		(0.93	)		1,482		1.35	^(c)		2.98	^(c)		4.29	^(c)		3
	9.85		(1.01	)		127		2.10	^(c)		3.73	^(c)		4.30	^(c)		3
	9.85		(0.89	)		60,432		1.01	^(c)		2.64	^(c)		5.52	^(c)		3

The accompanying notes are an integral part of these financial statements. 107

GOLDMAN SACHS U.S. MORTGAGES FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period


			Income (loss) from								Distributions
			investment operations								to shareholders
	Net asset
	value,		Net		Net realized			Total from			From net			From net
	beginning		investment		and unrealized			investment			investment			realized			Total
Year - Share Class	of period		income^(a)		gain (loss)			operations			income			gains			distributions

FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2011 - A	$	10.20	$	0.08	$	0.30		$	0.38		$	(0.09	)	$	—		$	(0.09	)
2011 - Institutional		10.21		0.10		0.31			0.41			(0.11	)		—			(0.11	)
2011 - Separate Account Institutional		10.20		0.09		0.31			0.40			(0.11	)		—			(0.11	)
2011 - IR (Commenced July 29, 2011)		10.45		0.04		0.06			0.10			(0.04	)		—			(0.04	)


FOR THE FISCAL YEARS ENDED MARCH 31,
2011 - A		9.99		0.22		0.22			0.44			(0.23	)		—			(0.23	)
2011 - Institutional		10.00		0.25		0.23			0.48			(0.27	)		—			(0.27	)
2011 - Separate Account Institutional		9.99		0.25		0.23			0.48			(0.27	)		—			(0.27	)


2010 - A		9.27		0.32		0.76			1.08			(0.36	)		—			(0.36	)
2010 - Institutional		9.29		0.38		0.73			1.11			(0.40	)		—			(0.40	)
2010 - Separate Account Institutional		9.28		0.38		0.73			1.11			(0.40	)		—			(0.40	)


2009 - A		9.62		0.37		(0.27	)		0.10			(0.38	)		(0.07	)		(0.45	)
2009 - Institutional		9.64		0.39		(0.26	)		0.13			(0.41	)		(0.07	)		(0.48	)
2009 - Separate Account Institutional		9.64		0.41		(0.29	)		0.12			(0.41	)		(0.07	)		(0.48	)


FOR THE PERIOD NOVEMBER 1, 2007 TO MARCH 31, 2008*
2008 - A		9.91		0.19		(0.29	)		(0.10	)		(0.19	)		—			(0.19	)
2008 - Institutional		9.93		0.20		(0.28	)		(0.08	)		(0.21	)		—			(0.21	)
2008 - Separate Account Institutional		9.93		0.21		(0.29	)		(0.08	)		(0.21	)		—			(0.21	)


FOR THE FISCAL YEARS ENDED OCTOBER 31,
2007 - A		9.90		0.44		0.04			0.48			(0.47	)		—			(0.47	)
2007 - Institutional		9.91		0.47		0.05			0.52			(0.50	)		—			(0.50	)
2007 - Separate Account Institutional		9.91		0.48		0.05			0.53			(0.51	)		—			(0.51	)


2006 - A		9.82		0.41		0.08			0.49			(0.41	)		—			(0.41	)
2006 - Institutional		9.82		0.45		0.08			0.53			(0.44	)		—			(0.44	)
2006 - Separate Account Institutional		9.82		0.45		0.09			0.54			(0.45	)		—			(0.45	)


*		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)		Portfolio turnover rates exclude portfolio securities received as a result of in-kind subscriptions.

108 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS U.S. MORTGAGES 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)


$	10.49		3.75	%	$	5,101		0.71	%^(c)		0.91	%^(c)		1.49	%^(c)		661	%		410	%
	10.51		4.02			12,121		0.37	^(c)		0.57	^(c)		1.83	^(c)		661			410
	10.49		3.93			354,861		0.37	^(c)		0.57	^(c)		1.82	^(c)		661			410
	10.51		0.95			1		0.46	^(c)		0.66	^(c)		2.09	^(c)		661			410



	10.20		4.46			5,511		0.74			0.92			2.14			905	^(d)		609	^(d)
	10.21		4.81			54,096		0.40			0.58			2.41			905	^(d)		609	^(d)
	10.20		4.84			348,447		0.37			0.55			2.42			905	^(d)		609	^(d)


	9.99		11.84			12,791		0.76			0.94			3.29			628			464
	10.00		12.11			62,950		0.41			0.60			3.88			628			464
	9.99		12.17			369,251		0.36			0.55			3.91			628			464


	9.27		0.90			3,637		0.76			0.91			3.93			560			511
	9.29		1.38			89,617		0.40			0.57			4.22			560			511
	9.28		1.32			431,500		0.35			0.52			4.39			560			511



	9.62		(0.80	)		7,021		0.76	^(c)		0.91	^(c)		4.58	^(c)		483			295
	9.64		(0.75	)		164,236		0.40	^(c)		0.57	^(c)		4.94	^(c)		483			295
	9.64		(0.73	)		507,194		0.35	^(c)		0.52	^(c)		4.98	^(c)		483			295



	9.91		4.96			7,044		0.78			0.94			4.43			610			380
	9.93		5.43			153,795		0.40			0.58			4.81			610			380
	9.93		5.48			532,819		0.35			0.53			4.84			610			380


	9.90		5.21			6,973		0.79			0.98			4.24			1,665			1,442
	9.91		5.56			117,497		0.40			0.61			4.64			1,665			1,442
	9.91		5.73			307,935		0.35			0.56			4.62			1,665			1,442

The accompanying notes are an integral part of these financial statements. 109

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements

September 30, 2011 (Unaudited)


1. ORGANIZATION

Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:


		Diversified/
Fund	Share Classes Offered*	Non-diversified

Emerging Markets Debt, Local Emerging Markets Debt	A, C, Institutional and IR	Non-diversified


High Yield	A, B, C, Institutional, Service, IR and R	Diversified


High Yield Floating Rate (Commenced operations March 31, 2011)	A, C, Institutional, IR and R	Diversified


Investment Grade Credit, U.S. Mortgages	A, Institutional, IR and Separate Account Institutional	Diversified


*		The High Yield Fund’s Class B Shares are generally no longer available for purchase by current or prospective investors.

Class A Shares of the Emerging Markets Debt, High Yield, High Yield Floating Rate, Investment Grade Credit, Local Emerging Markets Debt and U.S. Mortgages Funds are sold with a front-end sales charge of up to 4.50%, 4.50%, 2.25%, 3.75%, 4.50% and 3.75%, respectively. 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, Separate Account Institutional, Class IR and Class R Shares are not subject to a sales charge. Class IR Shares of the Investment Grade Credit and U.S. Mortgages Funds commenced operations on July 29, 2011.

Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to the Funds pursuant to a management agreement (the “Agreement”) with the Trust.


2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of the significant accounting policies consistently followed by the Funds. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that may affect the amounts and disclosures in the financial statements. Actual results could differ from those estimates and assumptions.

A. Investment Valuation — 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 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

110

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS


2. SIGNIFICANT ACCOUNTING POLICIES (continued)

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.

GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the previous closing prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Funds’ NAV. Significant events that could affect a large number of securities in a particular market may include, but are not limited to: situations relating to one or more single issuers in a market sector; significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions or market closings; equipment failures; natural or man-made disasters or acts of God; armed conflicts; government actions or other developments; as well as the same or similar events which may affect specific issuers or the securities markets even though not tied directly to the securities markets. Other significant events that could relate to a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; corporate announcements, including those relating to earnings, products and regulatory news; significant litigation; 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. 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. In-Kind Transactions — The Funds may allow investors, under certain circumstances, to purchase shares with securities instead of cash. In addition, the Trust reserves the right to redeem an investor’s shares by distributing securities instead of cash. These are known as in-kind transactions. Securities included as part of in-kind purchases and redemptions of Fund shares are valued in the same manner as they are valued for purposes of computing the Fund’s NAV, in accordance with the Funds’ valuation procedures, and such valuations are as of the date the trade is submitted pursuant to the procedures specified in the Funds’ prospectus.

E. Offering Costs — Offering costs paid in connection with the offering of shares of the High Yield Floating Rate Fund are being amortized on a straight-line basis over 12 months from the date of commencement of operations.

F. Redemption Fees — A 2% redemption fee will be imposed on the redemption of shares (including by exchange) held for 60 calendar days or less with respect to the High Yield Fund and 30 calendar days or less with respect to the Emerging Markets Debt and Local Emerging Markets Debt Funds. For this purpose, the Funds use a first-in first-out method so that shares held longest will be treated as being redeemed first and shares held shortest will be treated as being redeemed last. Redemption fees are

111

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2011 (Unaudited)


2. SIGNIFICANT ACCOUNTING POLICIES (continued)

reimbursed to a Fund and are reflected as a reduction in share redemptions. Redemption fees are credited to Paid-in Capital and are allocated to each share class of a Fund on a pro-rata basis.

G. 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 recorded on the ex-dividend date. Income distributions, if any, are declared daily and paid monthly, and capital gains distributions, if any, are declared and paid 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.

H. 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.

I. 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.

J. 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.

112

GOLDMAN SACHS SINGLE 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.

K. Mortgage-Backed and Asset-Backed Securities — The High Yield, Investment Grade Credit and U.S. Mortgages Funds may invest in mortgage-backed securities, and each Fund, except the High Yield Floating Rate Fund, may invest in 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.

L. Mortgage Dollar Rolls — The Investment Grade Credit and U.S. Mortgages 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.

M. Non-Deliverable Bond Forwards Disclosure — The Emerging Markets Debt and Local Emerging Markets Debt Funds may invest in non-deliverable bond forwards. A non-deliverable bond forward is a short term forward contract between two parties to buy or sell a bond denominated in a non-deliverable foreign currency at a specified future time and price. Non-deliverable bond forwards are marked to market daily using market quotations. Unrealized gains or losses on non-deliverable bond forwards are recorded by the Funds on a daily basis, and realized gains or losses are recorded on the termination date of a contract. The use of these instruments involves market risk, currency risk and counterparty risk. These instruments may be illiquid, and changes in their values may not directly correlate with changes in the value of the underlying bonds. These risks may decrease the

113

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2011 (Unaudited)


2. SIGNIFICANT ACCOUNTING POLICIES (continued)

effectiveness of the Funds’ strategies and result in losses. The Funds must set aside liquid assets or engage in other appropriate measures to cover their obligations under these contracts.

N. 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 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.

O. 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.

P. Senior Term Loans — All Funds (except U.S. Mortgages 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 a Fund invests are arranged through private negotiations between the borrower and one or more financial institutions (“Lenders”). A 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 a Fund having a contractual relationship only with the Lender, not with the borrower. A Fund has the right to receive payments of

114

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS


2. SIGNIFICANT ACCOUNTING POLICIES (continued)

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, a 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 they have purchased the Participation. As a result, a Fund assumes the credit risk of both the borrower and the Lender that is selling the Participation. Assignments typically result in a 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.

Q. 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.

R. 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

115

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2011 (Unaudited)


2. SIGNIFICANT ACCOUNTING POLICIES (continued)

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 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.

S. 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.

T. 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’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.

116

GOLDMAN SACHS SINGLE 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:


EMERGING MARKETS DEBT
Investment Type	Level 1			Level 2			Level 3

Assets
Fixed Income
Sovereign Debt Obligations	$	—		$	405,503,755		$	—
Foreign Debt Obligation		—			8,092,083			—
Corporate Obligations		—			133,053,529			—
Structured Notes		—			10,226,428			—
Short-term Investments		—			46,100,000			—


Total	$	—		$	602,975,795		$	—



Derivative Type

Assets
Forward Foreign Currency Exchange Contracts*	$	—		$	14,397,578		$	—
Futures Contracts*		238,676			—			—
Non-Deliverable Bond Forward Contracts*		—			38,258			—


Total	$	238,676		$	14,435,836		$	—


Liabilities
Forward Foreign Currency Exchange Contracts*	$	—		$	(11,079,297	)	$	—
Futures Contracts*		(1,466,527	)		—			—
Interest Rate Swap Contracts		—			(230,325	)		—
Credit Default Swap Contracts		—			(647,074	)		—


Total	$	(1,466,527	)	$	(11,956,696	)	$	—




HIGH YIELD
Investment Type	Level 1			Level 2			Level 3

Assets
Fixed Income
Corporate Obligations	$	—		$	4,027,631,226		$	—
Senior Term Loans		—			32,517,637			—
Common Stock and/or Other Equity Investments		4,174,880			15,809,088			—
Short-term Investments		—			259,600,000			—


Total	$	4,174,880		$	4,335,557,951		$	—

117

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2011 (Unaudited)


3. FAIR VALUE OF INVESTMENTS (continued)


HIGH YIELD (continued)
Derivative Type	Level 1		Level 2			Level 3

Assets
Forward Foreign Currency Exchange Contracts*	$	—	$	20,697,567		$	—


Liabilities
Forward Foreign Currency Exchange Contracts*	$	—	$	(605,650	)	$	—


HIGH YIELD FLOATING RATE
Investment Type	Level 1		Level 2		Level 3

Assets
Fixed Income
Corporate Obligations	$	—	$	37,952,496	$	—
Senior Term Loans		—		495,244,479		—
Short-term Investments		—		86,000,000		—


Total	$	—	$	619,196,975	$	—




INVESTMENT GRADE CREDIT
Investment Type	Level 1		Level 2		Level 3

Assets
Fixed Income
Corporate Obligations	$	—	$	417,236,550	$	—
Mortgage-Backed Obligations		—		15,074,603		—
Asset-Backed Securities		—		3,526,978		—
Foreign Debt Obligations		—		18,198,305		—
Municipal Debt Obligations		—		15,473,364		—
U.S. Treasury Obligations and/or Other U.S. Government Agencies		19,923,247		602,168		—
Common Stock and/or Other Equity Investments		—		1,622,266		—
Short-term Investments		—		1,100,000		—


Total	$	19,923,247	$	472,834,234	$	—

118

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS


3. FAIR VALUE OF INVESTMENTS (continued)


INVESTMENT GRADE CREDIT (continued)
Derivative Type	Level 1			Level 2			Level 3

Assets
Forward Foreign Currency Exchange Contracts*	$	—		$	298,302		$	—
Futures Contracts*		1,883,399			—			—
Interest Rate Swap Contracts		—			560,010			—
Credit Default Swap Contracts		—			69,481			—


Total	$	1,883,399		$	927,793		$	—


Liabilities
Futures Contracts*	$	(151,691	)	$	—		$	—
Interest Rate Swap Contracts		—			(2,412,048	)		—
Credit Default Swap Contracts		—			(3,762,311	)		—
Written Options Contracts		—			(1,028,069	)		—


Total	$	(151,691	)	$	(7,202,428	)	$	—




LOCAL EMERGING MARKETS DEBT
Investment Type	Level 1			Level 2			Level 3

Assets
Fixed Income
Sovereign Debt Obligations	$	—		$	970,275,420		$	—
Structured Notes		—			216,196,471			—
Corporate Obligations		—			98,717,507			—
Short-term Investments		—			333,700,000			—


Total	$	—		$	1,618,889,398		$	—



Derivative Type

Assets
Forward Foreign Currency Exchange Contracts*	$	—		$	89,878,797		$	—
Interest Rate Swap Contracts		—			1,444,644			—
Non-Deliverable Bond Forward Contracts*		—			221,413			—


Total	$	—		$	91,544,854		$	—


Liabilities
Forward Foreign Currency Exchange Contracts*	$	—		$	(136,648,921	)	$	—
Interest Rate Swap Contracts		—			(3,370,835	)		—


Total	$	—		$	(140,019,756	)	$	—

119

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2011 (Unaudited)


3. FAIR VALUE OF INVESTMENTS (continued)


U.S. MORTGAGES
Investment Type	Level 1			Level 2			Level 3

Assets
Fixed Income
Mortgage-Backed Obligations	$	—		$	373,138,648		$	—
Asset-Backed Securities		—			24,823,756			—
Short-term Investments		—			122,400,000			—


Total	$	—		$	520,362,404		$	—


Liabilities
Fixed Income
Mortgage-Backed Obligations — Forward Sales Contracts	$	—		$	(25,580,351	)	$	—


Derivative Type

Assets
Futures Contracts*	$	33,848		$	—		$	—
Interest Rate Swap Contracts		—			1,344,389			—


Total	$	33,848		$	1,344,389		$	—


Liabilities
Futures Contracts*	$	(342,539	)	$	—		$	—
Interest Rate Swap Contracts		—			(3,945,465	)		—
Written Options Contracts		—			(583,597	)		—


Total	$	(342,539	)	$	(4,529,062	)	$	—


*		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 (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.

120

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS


4. INVESTMENTS IN DERIVATIVES (continued)

Emerging Markets Debt

Statements of Assets

and Liabilities

Risk

Location

Assets

Location

Liabilities

Interest rate

Receivables for swap contracts, at value; Due from broker — variation margin, at value; Receivables for non-deliverable bond forward contracts, at value

276,934

^(a)

Payables for swap contracts, at value; Due to broker — variation margin, at value

(1,696,852

)^(a)(b)

Credit

—

Payables for swap contracts, at value

(647,074

)^(b)

Currency

Receivables for forward foreign currency exchange contracts, at value

14,397,578

Payables for forward foreign currency exchange contracts, at value

(11,079,297

)

Total

14,674,512

(13,423,223

)

High Yield

Statements of Assets

and Liabilities

Risk

Location

Assets

Location

Liabilities

Currency

Receivables for forward foreign currency exchange contracts, at value

20,697,567

Payables for forward foreign currency exchange contracts, at value

(605,650

)

Investment Grade Credit

Statements of Assets

and Liabilities

Risk

Location

Assets

Location

Liabilities

Interest rate

Receivables for swap contracts, at value; Due from broker — variation margin, at value

2,443,409

^(a)

Payables for swap contracts, at value; Due to broker — variation margin, at value; Options written, at value

(3,591,808

)^(a)(b)

Credit

Receivables for swap contracts, at value

69,481

Payables for swap contracts, at value

(3,762,311

)^(b)

Currency

Receivables for forward foreign currency exchange contracts, at value

298,302

—

Total

2,811,192

(7,354,119

)

Local Emerging Markets Debt

Statements of Assets

and Liabilities

Risk

Location

Assets

Location

Liabilities

Interest rate

Receivables for swap contracts, at value; Receivables for non-deliverable bond forward contracts, at value

1,666,057

Payables for swap contracts, at value

(3,370,835

)^(b)

Currency

Receivables for forward foreign currency exchange contracts, at value

89,878,797

Payables for forward foreign currency exchange contracts, at value

(136,648,921

)

Total

91,544,854

(140,019,756

)

121

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2011 (Unaudited)


4. INVESTMENTS IN DERIVATIVES (continued)

U.S. Mortgages

Statements of Assets

and Liabilities

Risk

Location

Assets

Location

Liabilities

Interest rate

Receivables for swap contracts, at value; Due to broker — variation margin;

1,378,237

^(a)

Payables for swap contracts, at value; Due from broker — variation margin; Options written, at value

(4,871,601

)^(a)(b)


(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 $877,399, $6,174,359, $3,370,835 and $3,945,465 for Emerging Markets Debt, Investment Grade Credit, Local Emerging Markets Debt and U.S. Mortgages 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 their 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 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:


Emerging Markets Debt

		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 futures transactions and swap contracts/Net change in unrealized gain (loss) on futures non-deliverable bond forward and swap contracts	$	6,097,118		$	(811,828	)		813

Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		(242,061	)		(683,145	)		2

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		(2,067,038	)		3,423,543			119

Total		$	3,788,019		$	1,928,570			934



High Yield

		Net			Net Change in			Average
		Realized			Unrealized			Number of
Risk	Statements of Operations Location	Gain (Loss)			Gain (Loss)			Contracts^(a)
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts	$	144,097		$	—			—

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		(6,206,897	)		35,968,109			6

Total		$	(6,062,800	)	$	35,968,109			6

122

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS


4. INVESTMENTS IN DERIVATIVES (continued)


High Yield Floating Rate

		Net			Net Change in			Average
		Realized			Unrealized			Number of
Risk	Statements of Operations Location	Gain (Loss)			Gain (Loss)			Contracts^(a)
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts	$	(797,431	)	$	(850	)		3



Investment Grade Credit

		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 futures transactions, swap contracts and written options /Net change in unrealized gain (loss) on futures, swap contracts and written options	$	7,313,710		$	1,549,972			1,228

Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		372,794			(2,145,629	)		21

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		22,852			298,302			1

Total		$	7,709,356		$	(297,355	)		1,250



Local Emerging Markets Debt

		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 swap contracts/Net change in unrealized gain (loss) on non-deliverable bond forward and swap contracts	$	9,442,553		$	1,815,142			16

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		32,503,033			(75,392,375	)		203

Total		$	41,945,586		$	(73,577,233	)		219



U.S. Mortgages

		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 futures transactions, swap contracts and written options/Net change in unrealized gain (loss) on futures, swap contracts and written options	$	(2,804,254	)	$	(646,327	)		606


(a)		Average number of contracts is based on the average of month end balances for the six months ended September 30, 2011.

123

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2011 (Unaudited)


5. AGREEMENTS AND AFFILIATED TRANSACTIONS

A. Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the trustees.

As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is 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 and effective net management fees with GSAM were at the following rates:


	Contractual Management Rate																		Effective Net
	First			Next			Next			Next			Over			Effective			Management
Fund	$1 billion			$1 billion			$3 billion			$3 billion			$8 billion			Rate			Rate

Emerging Markets Debt		0.80	%		0.80	%		0.72	%		0.68	%		0.67	%		0.80	%		0.80	%


High Yield		0.70			0.70			0.63			0.60			0.59			0.66			0.66


High Yield Floating Rate		0.60			0.54			0.51			0.50			0.49			0.60			0.60


Investment Grade Credit		0.40			0.36			0.34			0.33			0.32			0.40			0.33	*


Local Emerging Markets Debt		0.90			0.90			0.81			0.77			0.75			0.89			0.84	#


U.S. Mortgages		0.40			0.36			0.34			0.33			0.32			0.40			0.33	*


*		GSAM has agreed to waive a portion of its management fee in order to achieve an effective net management rate of 0.33% as an annual percentage rate of the average daily net assets of the Investment Grade Credit and U.S. Mortgages Funds through at least July 29, 2012. Prior to such date GSAM may not terminate the arrangement without the approval of the trustees.
#		Effective June 30, 2011, GSAM has agreed to waive a portion of its management fee in order to achieve an effective net management fee rate of 0.80% as an annual percentage rate of the average daily net assets of the Local Emerging Markets Debt Fund through at least July 29, 2012. Prior to such date GSAM may not terminate the arrangement without the approval of the trustees.

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 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 front end sales charges of $7,300, $50,200, $800 and $13,000 for the Emerging Markets Debt, High Yield, Investment Grade Credit and Local Emerging Markets Debt Funds, respectively. Goldman Sachs retained no contingent deferred sales charges.

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

124

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS


5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

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, Separate Account Institutional and Service Shares.

F. Other Expense Agreements and Affiliated Transactions — GSAM has 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), account service fees, taxes, interest, brokerage fees and litigation, indemnification, shareholder meetings and other extraordinary expenses, exclusive of any custody and transfer agent fee credit reductions) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations for the Emerging Markets Debt, High Yield, High Yield Floating Rate, Investment Grade Credit, Local Emerging Markets Debt and U.S. Mortgages Funds, as an annual percentage rate of average daily net assets, are 0.044%, 0.024%, 0.104%, 0.004%, 0.074% and 0.004%, respectively. These Other Expense reimbursements will remain in place through at least July 29, 2012 and prior to such date GSAM may not terminate the arrangements without the approval of the trustees. In addition, the Funds have entered into certain offset arrangements with the custodian 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 any fee waivers and Other Expense reimbursements, were as follows (in thousands):


					Other		Total
	Management		Custody Fee		Expense		Expense
Fund	Fee Waivers		Credits		Reimbursements		Reductions

Emerging Markets Debt	$	—	$	1	$	167	$	168


High Yield Floating Rate		—		7		153		160


Investment Grade Credit		188		1		195		384


Local Emerging Markets Debt		511		2		434		947


U.S. Mortgages		135		1		257		393

125

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2011 (Unaudited)


5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

As of September 30, 2011, the amounts owed to affiliates of the Funds were as follows (in thousands):


	Management		Distribution and		Transfer
Fund	Fees		Service Fees		Agent Fees		Total

Emerging Markets Debt	$	417	$	56	$	34	$	507


High Yield		2,440		261		212		2,913


High Yield Floating Rate		296		—		20		316


Investment Grade Credit		143		29		28		200


Local Emerging Markets Debt		1,190		184		123		1,497


U.S. Mortgages		101		1		13		115

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 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 $13,000, $21,800, and $15,600 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, executed on behalf of Emerging Markets Debt, Investment Grade Credit and U.S. Mortgages Funds, respectively.

As of September 30, 2011, the Goldman Sachs Satellite Strategies Portfolio was the beneficial owner of 24%, 20% and 8% of total outstanding shares of the Emerging Markets Debt, High Yield Floating Rate and Local Emerging Markets Debt Funds, respectively.

As of September 30, 2011, Goldman Sachs Group, Inc. was the beneficial owner of approximately 5%, 5% and 100% of the Class C, Class IR and Class R Shares, respectively, of the High Yield Floating Rate Fund, 100% of the Class IR Shares of the Investment Grade Credit Fund, and 100% of the Class IR Shares of the U.S. Mortgages Fund.

126

GOLDMAN SACHS SINGLE 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)

Emerging Markets Debt	$	—	$	304,627,596	$	—	$	253,946,017


High Yield		—		1,357,809,208		—		2,139,476,766


High Yield Floating Rate		—		692,551,635		—		148,424,163


Investment Grade Credit		33,477,344		251,795,359		21,026,554		293,287,457


Local Emerging Markets Debt		—		1,954,395,628		—		2,034,855,901


U.S. Mortgages		2,952,839,445		14,050,180		2,989,489,023		28,712,904


7. TAX INFORMATION

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:


													Local
	Emerging						High Yield			Investment			Emerging
	Markets Debt			High Yield			Floating Rate			Grade Credit			Markets Debt			U.S. Mortgages

Capital loss carryforward⁽¹⁾Expiring 2018	$	—		$	(56,060,643	)	$	—		$	—		$	—		$	(15,533,099	)


Timing differences (Post-October Losses, Income Distribution Payable and Straddle Losses)	$	(8,115,944	)	$	(6,290,438	)	$	(2,218	)	$	(677,474	)	$	(32,911,486	)	$	(115,453	)


(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:


													Local
	Emerging						High Yield			Investment			Emerging
	Markets Debt			High Yield			Floating Rate			Grade Credit			Markets Debt			U.S. Mortgages

Tax Cost	$	620,270,041		$	4,630,454,121		$	640,032,976		$	483,024,982		$	1,714,242,380		$	516,688,996


Gross unrealized gain		11,494,469			72,013,559			372,050			18,625,681			26,878,915			9,375,111


Gross unrealized loss		(28,788,715	)		(362,734,849	)		(21,208,051	)		(8,893,182	)		(122,231,897	)		(5,701,703	)


Net unrealized security gain (loss)	$	(17,294,246	)	$	(290,721,290	)	$	(20,836,001	)	$	9,732,499		$	(95,352,982	)	$	3,673,408

The difference between GAAP-basis and tax-basis unrealized gains (losses), as of the most recent fiscal year end, is attributable primarily to net mark-to-market gains (losses) on regulated futures contracts and foreign currency exchange contracts, wash sales, and differences related to the tax treatment of swap transactions.

127

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2011 (Unaudited)


7. TAX INFORMATION (continued)

GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.

Under the recently enacted Regulated Investment Company Modernization Act of 2010, the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.


8. OTHER RISKS

The Fund’s 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.

Redemption Proceeds Risk — The High Yield Floating Rate Fund may at times purchase securities with settlement periods that are longer than the time period required to pay redemption proceeds. In unusual circumstances, the High Yield Floating Rate Fund may pay redemption proceeds up to seven calendar days following receipt of a properly executed redemption request.

128

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS


9. INDEMNIFICATIONS

Under the Trust’s organizational documents, its trustees, officers, employees and agents are indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.


10. SUBSEQUENT EVENTS

Subsequent events after the balance sheet date have been evaluated through the date the financial statements were issued. GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.

129

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2011 (Unaudited)


11. SUMMARY OF SHARE TRANSACTIONS

Share activity is as follows:


	Emerging Markets Debt 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		3,101,062		$	39,002,963			14,815,845		$	184,630,940
Reinvestment of distributions		264,851			3,319,667			672,290			8,315,102
Shares converted from Class B^(a)		—			—			—			—
Shares redeemed		(4,124,584	)		(51,701,591	)		(11,496,565	)		(142,153,661	)


		(758,671	)		(9,378,961	)		3,991,570			50,792,381


Class B Shares
Shares sold		—			—			—			—
Reinvestment of distributions		—			—			—			—
Shares converted to Class A^(a)		—			—			—			—
Shares redeemed		—			—			—			—


		—			—			—			—


Class C Shares
Shares sold		329,132			4,133,345			2,068,578			26,021,001
Reinvestment of distributions		31,295			391,948			58,170			718,020
Shares redeemed		(472,880	)		(5,923,241	)		(471,041	)		(5,791,011	)


		(112,453	)		(1,397,948	)		1,655,707			20,948,010


Institutional Shares
Shares sold		7,708,260			96,657,288			22,334,454			278,628,263
Shares sold in connection with in-kind		—			—			960,393			12,379,470
Reinvestment of distributions		795,092			9,973,659			1,615,428			19,977,113
Shares redeemed		(7,325,709	)		(92,101,816	)		(12,599,787	)		(155,147,029	)


		1,177,643			14,529,131			12,310,488			155,837,817


Service Shares
Shares sold		—			—			—			—
Reinvestment of distributions		—			—			—			—
Shares redeemed		—			—			—			—


		—			—			—			—


Class IR Shares^(b)
Shares sold		311,939			3,985,185			135,835			1,734,462
Reinvestment of distributions		4,343			54,169			3,711			46,034
Shares redeemed		(197,326	)		(2,428,139	)		(26,289	)		(324,980	)


		118,956			1,611,215			113,257			1,455,516


Class R Shares
Shares sold		—			—			—			—
Reinvestment of distributions		—			—			—			—
Shares redeemed		—			—			—			—


		—			—			—			—


NET INCREASE (DECREASE)		425,475		$	5,363,437			18,071,022		$	229,033,724


*		Commenced operations on March 31, 2011.
(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 for Emerging Markets Debt Fund.

130

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS


High Yield Fund												High Yield Floating Rate Fund

For the Six Months Ended												For the Six Months Ended
September 30, 2011						For the Fiscal Year Ended						September 30, 2011						For the Period Ended
(Unaudited)						March 31, 2011						(Unaudited)						March 31, 2011*

Shares			Dollars			Shares			Dollars			Shares			Dollars			Shares		Dollars


	10,079,648		$	72,866,616			41,219,550		$	294,253,360			185,451		$	1,836,193			1,000	$	10,000
	3,615,306			25,941,774			10,105,443			72,189,098			1,219			11,897			—		—
	229,546			1,637,561			454,133			3,240,387			—			—			—		—
	(30,722,592	)		(220,510,391	)		(124,552,903	)		(886,384,349	)		(90,127	)		(877,689	)		—		—


	(16,798,092	)		(120,064,440	)		(72,773,777	)		(516,701,504	)		96,543			970,401			1,000		10,000



	95,551			695,626			345,573			2,495,184			—			—			—		—
	154,812			1,113,512			416,369			2,988,900			—			—			—		—
	(229,097	)		(1,637,561	)		(453,073	)		(3,240,387	)		—			—			—		—
	(1,093,129	)		(7,847,999	)		(2,732,073	)		(19,604,025	)		—			—			—		—


	(1,071,863	)		(7,676,422	)		(2,423,204	)		(17,360,328	)		—			—			—		—



	1,259,726			9,152,025			3,391,626			24,471,194			19,383			190,896			1,000		10,000
	356,789			2,558,463			748,416			5,376,107			132			1,279			—		—
	(2,126,389	)		(15,364,758	)		(4,422,132	)		(31,748,230	)		(84	)		(812	)		—		—


	(509,874	)		(3,654,270	)		(282,090	)		(1,900,929	)		19,431			191,363			1,000		10,000



	89,468,268			629,945,318			229,369,841			1,648,964,273			61,861,127			613,065,476			11,887,892		118,878,916
	—			—			—			—			—			—			—		—
	18,526,963			133,174,462			31,509,914			227,309,234			842,024			8,181,458			—		—
	(169,130,979	)		(1,233,859,232	)		(311,140,858	)		(2,237,104,992	)		(12,492,061	)		(120,387,148	)		—		—


	(61,135,748	)		(470,739,452	)		(50,261,103	)		(360,831,485	)		50,211,090			500,859,786			11,887,892		118,878,916



	354,246			2,566,976			1,225,575			8,905,028			—			—			—		—
	100,362			719,184			190,344			1,365,282			—			—			—		—
	(712,357	)		(5,065,981	)		(1,475,831	)		(10,560,807	)		—			—			—		—


	(257,749	)		(1,779,821	)		(59,912	)		(290,497	)		—			—			—		—



	4,636,046			33,482,146			348,924			2,532,450			103,469			1,011,408			1,000		10,000
	87,519			610,112			17,187			124,552			615			5,900			—		—
	(453,086	)		(3,175,574	)		(60,258	)		(438,997	)		(83,917	)		(802,246	)		—		—


	4,270,479			30,916,684			305,853			2,218,005			20,167			215,062			1,000		10,000



	457,576			3,292,903			1,250,401			8,943,082			—			—			1,000		10,000
	68,812			491,777			97,882			705,378			12			120			—		—
	(183,113	)		(1,341,810	)		(314,449	)		(2,266,581	)		—			—			—		—


	343,275			2,442,870			1,033,834			7,381,879			12			120			1,000		10,000


	(75,159,572	)	$	(570,554,851	)		(124,460,399	)	$	(887,484,859	)		50,347,243		$	502,236,732			11,891,892	$	118,918,916

131

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2011 (Unaudited)


11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:


	Investment Grade Credit 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		1,453,165		$	14,162,282			7,098,036		$	66,870,284
Reinvestment of distributions		295,168			2,878,678			582,258			5,521,285
Shares redeemed		(2,909,429	)		(28,344,742	)		(10,482,204	)		(99,407,482	)


		(1,161,096	)		(11,303,782	)		(2,801,910	)		(27,015,913	)


Class C Shares
Shares sold		—			—			—			—
Reinvestment of distributions		—			—			—			—
Shares redeemed		—			—			—			—


		—			—			—			—


Institutional Shares
Shares sold		2,997,595			29,112,868			6,907,225			65,644,703
Reinvestment of distributions		313,255			3,056,957			604,610			5,733,908
Shares redeemed		(3,001,282	)		(29,086,268	)		(13,301,131	)		(125,565,455	)


		309,568			3,083,557			(5,789,296	)		(54,186,844	)


Separate Account Institutional Shares
Shares sold		880,231			8,580,584			4,111,626			38,390,581
Shares sold in connection with in-kind		—			—			1,874,056			18,159,598
Reinvestment of distributions		458,353			4,472,617			1,086,032			10,293,339
Shares redeemed		(4,938,613	)		(47,843,598	)		(9,255,799	)		(88,334,674	)


		(3,600,029	)		(34,790,397	)		(2,184,085	)		(21,491,156	)


Class IR Shares^(a)
Shares sold		101			1,000			—			—
Reinvestment of distributions		1			7			—			—
Shares redeemed		—			—			—			—


		102			1,007			—			—


NET INCREASE (DECREASE)		(4,451,455	)	$	(43,009,615	)		(10,775,291	)	$	(102,693,913	)


(a)		Commenced operations on July 29, 2011 for Investment Grade Credit Fund and U.S. Mortgages Fund, and on July 30, 2010 for Local Emerging Markets Debt Fund.

132

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS


Local Emerging Markets Debt Fund												U.S. Mortgages Fund

For the Six Months Ended												For the Six Months Ended
September 30, 2011						For the Fiscal Year Ended						September 30, 2011						For the Fiscal Year Ended
(Unaudited)						March 31, 2011						(Unaudited)						March 31, 2011

Shares			Dollars			Shares			Dollars			Shares			Dollars			Shares			Dollars


	23,215,584		$	227,815,860			91,215,090		$	866,253,565			18,565		$	193,932			80,973		$	828,319
	2,170,979			21,163,404			5,967,917			56,509,291			4,353			45,321			17,296			175,948
	(48,868,945	)		(472,815,909	)		(32,162,288	)		(307,547,367	)		(76,854	)		(793,291	)		(838,530	)		(8,533,503	)


	(23,482,382	)		(223,836,645	)		65,020,719			615,215,489			(53,936	)		(554,038	)		(740,261	)		(7,529,236	)



	633,620			6,225,788			1,688,565			16,232,456			—			—			—			—
	28,894			280,274			52,037			495,055			—			—			—			—
	(196,026	)		(1,896,088	)		(100,596	)		(953,946	)		—			—			—			—


	466,488			4,609,974			1,640,006			15,773,565			—			—			—			—



	36,614,627			356,351,934			82,559,582			788,163,926			67,091			700,192			684,191			6,969,149
	2,413,086			23,493,173			5,452,357			51,639,964			29,075			301,849			131,840			1,345,199
	(43,180,959	)		(416,916,168	)		(19,290,664	)		(182,204,972	)		(4,240,923	)		(44,053,281	)		(1,812,993	)		(18,471,172	)


	(4,153,246	)		(37,071,061	)		68,721,275			657,598,918			(4,144,757	)		(43,051,240	)		(996,962	)		(10,156,824	)



	—			—			—			—			6,077,832			63,137,674			22,958,991			234,242,414
	—			—			—			—			—			—			569,435			5,870,871
	—			—			—			—			277,590			2,891,207			794,358			8,099,533
	—			—			—			—			(6,684,280	)		(68,792,199	)		(27,116,097	)		(276,463,215	)


	—			—			—			—			(328,858	)		(2,763,318	)		(2,793,313	)		(28,250,397	)



	1,514,359			14,823,723			990,493			9,617,333			96			1,004			—			—
	28,698			274,990			29,846			283,510			—			—			—			—
	(763,128	)		(6,936,615	)		(160,700	)		(1,537,108	)		—			—			—			—


	779,929			8,162,098			859,639			8,363,735			96			1,004			—			—


	(26,389,211	)	$	(248,135,634	)		136,241,639		$	1,296,951,707			(4,527,455	)	$	(46,367,592	)		(4,530,536	)	$	(45,936,457	)

133

GOLDMAN SACHS SINGLE 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, Separate Account Institutional, Class IR or Class R Shares of a Fund, you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares), contingent deferred sales charges on redemptions (with respect to Class B and Class C Shares), and redemption fees (if any); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Class A, Class B, Class C and Class R Shares); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class B, Class C, Institutional, Service, Separate Account Institutional, 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.


	Emerging Markets Debt Fund							High Yield Fund							High Yield Floating Rate Fund
						Expenses							Expenses							Expenses
	Beginning		Ending			Paid for the		Beginning		Ending			Paid for the		Beginning		Ending			Paid for the
	Account Value		Account Value			6 months ended		Account Value		Account Value			6 months ended		Account Value		Account Value			6 months ended
Share Class	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	$	1,004.80		$	6.11	$	1,000.00	$	929.00		$	5.11	$	1,000.00	$	964.80		$	5.30
Hypothetical 5% return		1,000.00		1,018.90	+		6.16		1,000.00		1,019.70	+		5.35		1,000.00		1,019.60	+		5.45

Class B
Actual		N/A		N/A			N/A		1,000.00		925.80			8.71		N/A		N/A			N/A
Hypothetical 5% return		N/A		N/A			N/A		1,000.00		1,015.95	+		9.12		N/A		N/A			N/A

Class C
Actual		1,000.00		1,001.00			9.85		1,000.00		925.70			8.71		1,000.00		961.40			8.97
Hypothetical 5% return		1,000.00		1,015.15	+		9.92		1,000.00		1,015.95	+		9.12		1,000.00		1,015.85	+		9.22

Institutional
Actual		1,000.00		1,006.50			4.41		1,000.00		930.90			3.48		1,000.00		967.40			3.64
Hypothetical 5% return		1,000.00		1,020.60	+		4.45		1,000.00		1,021.40	+		3.64		1,000.00		1,021.30	+		3.74

Service
Actual		N/A		N/A			N/A		1,000.00		928.30			5.88		N/A		N/A			N/A
Hypothetical 5% return		N/A		N/A			N/A		1,000.00		1,018.90	+		6.16		N/A		N/A			N/A

Separate Account Institutional
Actual		N/A		N/A			N/A		N/A		N/A			N/A		N/A		N/A			N/A
Hypothetical 5% return		N/A		N/A			N/A		N/A		N/A			N/A		N/A		N/A			N/A

Class IR
Actual		1,000.00		1,005.20			4.86		1,000.00		931.70			3.91		1,000.00		966.90			4.08
Hypothetical 5% return		1,000.00		1,020.15	+		4.90		1,000.00		1,020.95	+		4.09		1,000.00		1,020.85	+		4.19

Class R
Actual		N/A		N/A			N/A		1,000.00		927.90			6.31		1,000.00		964.80			6.53
Hypothetical 5% return		N/A		N/A			N/A		1,000.00		1,018.45	+		6.61		1,000.00		1,018.35	+		6.71

134

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Fund Expenses — Six Month Period Ended September 30, 2011 (Unaudited) (continued)

Investment Grade Credit Fund

Local Emerging Markets Debt Fund

U.S. Mortgages Fund

Expenses

Beginning

Ending

Paid for the

Beginning

Ending

Paid for the

Beginning

Ending

Paid for the

Account Value

6 months ended

Account Value

6 months ended

Account Value

6 months ended

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*

Class A

Actual

1,000.00

1,046.90

3.63

1,000.00

923.10

6.20

1,000.00

1,037.50

3.62

Hypothetical 5% return

1,000.00

1,021.45

3.59

1,000.00

1,018.55

6.51

1,000.00

1,021.45

3.59

Class B

Actual

N/A

Hypothetical 5% return

N/A

Class C

Actual

N/A

1,000.00

919.80

9.79

N/A

Hypothetical 5% return

N/A

1,000.00

1,014.80

10.28

N/A

Institutional

Actual

1,000.00

1,048.70

1.90

1,000.00

925.70

4.57

1,000.00

1,040.20

1.89

Hypothetical 5% return

1,000.00

1,023.15

1.87

1,000.00

1,020.25

4.80

1,000.00

1,023.15

1.87

Separate Account Institutional

Actual

1,000.00

1,048.70

1.90

N/A

1,000.00

1,039.30

1.89

Hypothetical 5% return

1,000.00

1,023.15

1.87

N/A

1,000.00

1,023.15

1.87

Service

Actual

N/A

Hypothetical 5% return

N/A

Class IR^(a)

Actual

1,000.00

996.60

0.77

1,000.00

924.20

5.00

1,000.00

1,009.50

0.77

Hypothetical 5% return

1,000.00

1,007.57

0.77

1,000.00

1,019.80

5.25

1,000.00

1,007.57

0.77

Class R

Actual

N/A

Hypothetical 5% return

N/A


(a)		Commenced operations on July 29, 2011 for the Investment Grade Credit and U.S. Mortgages Funds.

*		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:


Fund	Class A			Class B			Class C			Institutional			Service			Separate Account Institutional			Class IR			Class R


Emerging Markets Debt		1.22	%		N/A			1.97	%		0.88	%		N/A			N/A			0.97	%		N/A
High Yield		1.06			1.81	%		1.81			0.72			1.22	%		N/A			0.81			1.31	%
High Yield Floating Rate		1.08			N/A			1.83			0.74			N/A			N/A			0.83			1.33
Investment Grade Credit		0.71			N/A			N/A			0.37			N/A			0.37	%		0.46			N/A
Local Emerging Markets Debt		1.29			N/A			2.04			0.95			N/A			N/A			1.04			N/A
U.S. Mortgages		0.71			N/A			N/A			0.37			N/A			0.37			0.46			N/A


+		Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses.

135

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreement (Unaudited)

Background

The Goldman Sachs Emerging Markets Debt, Goldman Sachs High Yield, Goldman Sachs High Yield Floating Rate, Goldman Sachs Investment Grade Credit, Goldman Sachs Local Emerging Markets Debt and Goldman Sachs U.S. Mortgages 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 agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Funds.

The Management Agreement was most recently approved for continuation until June 30, 2012 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), 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 Agreement was 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 Agreement, including:


	(a)	the nature and quality of the advisory, administrative and other services provided to the Funds by the Investment Adviser and its affiliates, including information about:


	(i)	the structure, staff and capabilities of the Investment Adviser and its portfolio management teams;
	(ii)	the groups within the Investment Adviser and its 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 Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and
	(v)	the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management;


	(b)	information on the investment performance of the Funds (except for High Yield Floating Rate Fund, which commenced operations in 2011), 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 Adviser (in the case of High Yield and U.S. Mortgages Funds), and general investment outlooks in the markets in which the Funds invest;
	(c)	the terms of the Management Agreement 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 (except for High Yield Floating Rate Fund, which commenced operations in 2011) as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider;
	(ii)	each Fund’s (except for High Yield Floating Rate Fund) expense trends over time; and
	(iii)	to the extent the Investment Adviser manages 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 Adviser;


	(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 Adviser to waive certain management fees (with respect to the Investment Grade Credit, Local Emerging Markets Debt and U.S. Mortgages Funds) and reimburse certain expenses of the Funds that exceed specified levels, and a summary of contractual fee reductions made by the Investment Adviser and its affiliates over the past several years with respect to the Funds;

136

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)


	(g)	information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of each of the Funds (with the exception of High Yield Floating Rate Fund, which commenced operations in 2011) and the Trust as a whole to the Investment Adviser and its affiliates;
	(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 Adviser and its affiliates from their relationships with the Funds, including the fees received by the Investment Adviser’s 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 Adviser;
	(k)	information regarding portfolio trading and how the Investment Adviser carries out its 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 Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administration services provided under the Management Agreement; and
	(n)	the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its 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 the High Yield Fund’s Service Shares. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its 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 Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser, its 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 Adviser and its 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 Adviser or its 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 Agreement

As part of their review, the Trustees considered the nature, extent and quality of the services provided by the Investment Adviser. 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 Adviser and its 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 Adviser and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. The Independent Trustees concluded that the Investment Adviser had committed substantial financial and operational resources to the Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also observed that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser.

Investment Performance

The Trustees also considered the investment performance of the Funds and the Investment Adviser. In this regard, they compared the investment performance of each Fund (with the exception of High Yield Floating Rate Fund, which commenced operations in 2011) to the performance of other comparable SEC-registered funds using rankings and ratings (rankings only for Local Emerging Markets Debt Fund) compiled by the Outside Data Provider as of December 31, 2010, and updated performance information prepared by the Investment Adviser using the peer groups identified by the Outside Data Provider (for each of the Funds). The information on each Fund’s (except for High Yield Floating Rate 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

137

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)

periods. The Trustees also reviewed each Fund’s (except for High Yield Floating Rate Fund) investment performance over time on a year-by-year basis relative to its performance benchmark. In addition, they considered the investment performance trends of the Funds (except for High Yield Floating Rate 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 High Yield and U.S. Mortgages Funds’ performance to that of comparable institutional composites managed by the Investment Adviser. 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 Adviser’s senior management and portfolio management personnel, in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management.

The Independent Trustees noted that for the one-year period ended May 31, 2011, the Investment Grade Credit, U.S. Mortgages and Local Emerging Markets Debt Funds had each ranked in the top half of its respective peer group, and each (with the exception of U.S. Mortgages Fund) had outperformed its respective benchmark index. They also noted that the Emerging Markets Debt and High Yield Funds had each ranked in the bottom half of its respective peer group. The Independent Trustees observed that the Investment Grade Credit and High Yield 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 Adviser’s senior management. The Independent Trustees also noted that they had received assurances from the Investment Adviser’s senior management that measures would continue to be taken to address the Funds’ performance. The Independent Trustees noted that the High Yield Floating Rate Fund had commenced operations in 2011 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 Agreement. In this regard, the Trustees considered information on the services rendered by the Investment Adviser 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 (except High Yield Floating Rate Fund, which commenced operations in 2011). 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 the Funds’ expenses to those of applicable peer groups and category universes; and a five-year (three-year in the case of Local Emerging Markets Debt Fund) history comparing the Funds’ expenses to those of applicable peer and category medians. The analyses also compared the Funds’ transfer agency fees, custody and accounting fees, distribution fees, other expenses and fee waivers/reimbursements to those of other funds in the applicable peer groups and the peer group medians. 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 Adviser’s undertakings to limit the Funds’ “other expenses” ratios (excluding certain expenses) to certain specified levels and to waive a portion of the contractual management fees paid by the Investment Grade Credit, Local Emerging Markets Debt and U.S. Mortgages Funds. They also considered, to the extent that the Investment Adviser manages 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 Adviser 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 Adviser to a smaller number of client contact points, were less time-intensive and paid lower fees. By contrast, the Trustees noted that the Investment Adviser provides substantial administrative services to the Funds under the terms of the Management Agreement.

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 Adviser’s revenues and pre-tax profit margins with respect to the Trust and each of the Funds (with the exception of High Yield Floating Rate Fund, which commenced operations in 2011). 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 Adviser’s expense

138

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)

allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser 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 Adviser’s expense allocation methodology and an evaluation of the accuracy of the Investment Adviser’s profitability analysis calculations. Profitability data for the Trust and each Fund (with the exception of High Yield Floating Rate Fund) were provided for 2010 and 2009, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability. The Trustees considered the Investment Adviser’s 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 Adviser’s profitability and the rationale for the Funds’ breakpoint structure. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:


													Local
	Emerging						High Yield			Investment			Emerging			U.S.
Average Daily	Markets			High Yield			Floating Rate			Grade			Markets			Mortgages
Net Assets	Debt Fund			Fund			Fund			Credit Fund			Debt Fund			Fund

First $1 billion		0.80	%		0.70	%		0.60	%		0.40	%		0.90	%		0.40	%
Next $1 billion		0.80			0.70			0.54			0.36			0.90			0.36
Next $3 billion		0.72			0.63			0.51			0.34			0.81			0.34
Next $3 billion		0.68			0.60			0.50			0.33			0.77			0.33
Over $8 billion		0.67			0.59			0.49			0.32			0.75			0.32

The Trustees noted that the breakpoints at the $5 and $8 billion asset levels had been proposed by the Investment Adviser 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 Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer group; and the Investment Adviser’s undertakings to limit management fees (with respect to the Investment Grade Credit, Local Emerging Markets Debt and U.S. Mortgages Funds) and “other expenses” ratios (excluding certain expenses) (with respect to all of the Funds) 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 the Investment Adviser was passing along savings to shareholders of the High Yield Fund, which had asset levels above at least the first breakpoint during the prior fiscal year.

Other Benefits to the Investment Adviser and Its Affiliates

The Trustees also considered the other benefits derived by the Investment Adviser and its 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 Adviser; (d) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (e) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (f) Goldman Sachs’ retention of certain fees as Fund Distributor; (g) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds; and (h) the possibility that the working relationship between the Investment Adviser 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.

139

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)

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 Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Adviser; (b) improved servicing and pricing from vendors because of the volume of business generated by the Investment Adviser and its affiliates; (c) improved servicing from broker-dealers because of the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s 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 Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s 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 Adviser, to certain firmwide 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 Adviser and that those shareholders have a general expectation that the relationship will continue.

Conclusion

In connection with their consideration of the Management Agreement, 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 the Investment Adviser, the Investment Adviser’s costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Fund and its shareholders and that the Management Agreement should be approved and continued with respect to each Fund until June 30, 2012.

140

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


OVERVIEW OF GOLDMAN SACHS FUNDS


Money Market²Financial Square Funds^smn 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 Satellite⁴n 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 Solutions⁴n Balanced Strategy Portfolio n Growth and Income Strategy Portfolio n Growth Strategy Portfolio n Equity Growth Strategy Portfolio n Income Strategies Portfolio n Satellite Strategies Portfolio n Retirement Strategies Portfolios n Enhanced Dividend Global Equity Portfolio n Tax Advantaged Global Equity Portfolio

Firmwide assets under management includes assets managed by GSAM and its Investment Advisory Affiliates.


¹	Ranking for Goldman Sachs Group, Inc., includes Goldman Sachs Asset Management, Private Wealth Management and Merchant Banking 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 Funds^sm are registered service marks of Goldman, Sachs & Co.


TRUSTEES Ashok N. Bakhru, Chairman Donald C. Burke John P. Coblentz, Jr. Diana M. Daniels Joseph P. LoRusso James A. McNamara Jessica Palmer Alan A. Shuch Richard P. Strubel		OFFICERS James A. McNamara, President George F. Travers, Principal Financial Officer Peter V. Bonanno, Secretary Scott M. McHugh, Treasurer

GOLDMAN, SACHS & CO. Distributor and Transfer Agent		GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser

Visit our Web site at www.goldmansachsfunds.com to obtain the most recent month-end returns.

Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282

The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. 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 the Funds voted proxies relating to portfolio securities for the 12-month period ending June 30, 2011 are 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 (“SEC”) Web site at http://www.sec.gov.

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Form N-Q will be available on the SEC’s website at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. The Funds’ Form N-Q, when available, 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. Forms 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).


ITEM 2.		CODE OF ETHICS.


		The information required by this Item is only required in an annual report on this Form N-CSR.


ITEM 3.		AUDIT COMMITTEE FINANCIAL EXPERT.

		The information required by this Item is only required in an annual report on this Form N-CSR.


ITEM 4.		PRINCIPAL ACCOUNTANT FEES AND SERVICES.

		The information required by this Item is only required in an annual report on this Form N-CSR.


ITEM 5.		AUDIT COMMITTEE OF LISTED REGISTRANTS.

		Not applicable.


ITEM 6.		SCHEDULE OF INVESTMENTS.

		Schedule of Investments is included as part of the Report to Stockholders filed under Item 1.


ITEM 7.		DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

		Not applicable.


ITEM 8.		PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

		Not applicable.


ITEM 9.		PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

		Not applicable.


ITEM 10.		SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.


ITEM 11.		CONTROLS AND PROCEDURES.

	(a)		The registrant’s principal executive and principal financial officers, or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended.

	(b)		There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.


ITEM 12.		EXHIBITS.

	(a)(1)		The information required by this Item is only required in connection with an annual report on this Form N-CSR.

(a)(2)	Exhibit 99.CERT	Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith.

(b)	Exhibit 99.906CERT	Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 filed herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


				Goldman Sachs Trust

By:				/s/ James A. McNamara

				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

Goldman Sachs High Yield Instl (GSHIX) N-CSRSCertified semi-annual shareholder report (management investment company)