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)
Caroline Kraus, Esq. | Copies to: | |
Goldman, Sachs & Co. | Geoffrey R.T. Kenyon, Esq. | |
200 West Street | Dechert LLP | |
New York, New York 10282 | 100 Oliver Street | |
40th Floor | ||
Boston, MA 02110-2605 |
(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, 2015
ITEM 1. | REPORTS TO STOCKHOLDERS. |
The Semi-Annual Report to Shareholders is filed herewith. |
Goldman Sachs Funds
Semi-Annual Report | September 30, 2015 | |||
Municipal Fixed Income Funds | ||||
Dynamic Municipal Income* | ||||
High Yield Municipal | ||||
Short Duration Tax-Free |
*Effective after the close of business on December 18, 2014, the Goldman Sachs Municipal Income Fund’s name changed to the “Goldman Sachs Dynamic Municipal Income Fund.”
Goldman Sachs Municipal Fixed Income Funds
n | DYNAMIC MUNICIPAL INCOME |
n | HIGH YIELD MUNICIPAL |
n | SHORT DURATION TAX-FREE |
TABLE OF CONTENTS | ||||
Principal Investment Strategies and Risks | 1 | |||
Investment Process | 2 | |||
Market Review | 3 | |||
Portfolio Management Discussions and Performance Summaries | 5 | |||
Schedules of Investments | 20 | |||
Financial Statements | 72 | |||
Financial Highlights | 76 | |||
Notes to the Financial Statements | 82 | |||
Other Information | 98 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Principal Investment Strategies and Risks
This is not a complete list of risks that may affect the Funds. For additional information concerning the risks applicable to the Funds, please see the Funds’ Prospectuses.
Effective after the close of business on December 18, 2014, the Fund’s name changed to the “Goldman Sachs Dynamic Municipal Income Fund.”
The Goldman Sachs Dynamic Municipal Income Fund invests primarily in municipal securities, the interest on which is exempt from regular federal income tax. The Fund may invest up to 100% of its net assets in private activity bonds, whose income may be subject to the federal alternative minimum tax. Investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. At times, the Fund may be unable to sell certain of its illiquid investments without a substantial drop in price, if at all. The Fund may be more sensitive to adverse economic, business or political developments if it invests a substantial portion of its assets in bonds of similar projects or in particular types of municipal securities. Because the Fund may invest heavily in investments in particular states and sectors, the Fund is subject to greater risk of loss as a result of adverse events affecting those states and sectors than if its investments were not so concentrated. The Fund may be adversely impacted by changes in tax law rates and policies, and is not suited for IRAs or other tax-exempt or deferred accounts.
The Goldman Sachs High Yield Municipal Fund invests primarily in high yield municipal securities that, at the time of purchase, are medium quality or non-investment grade, the interest on which is exempt from regular federal income tax. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity, interest rate, call and extension risk. High yield, lower rated investments involve greater price volatility and present greater risks, including greater liquidity risk, than higher rated fixed income securities. The Fund is subject to the risk that the liquidity of particular issuers or industries, or of all securities within a particular investment category, will shrink or disappear as a result of adverse economic, market or political events or adverse investor perception. At times, the Fund may be unable to sell certain of its illiquid investments without a substantial drop in price, if at all. The Fund may be more sensitive to adverse economic, business or political developments if it invests a substantial portion of its assets in bonds of similar projects or in particular types of municipal securities. Because the Fund may invest heavily in investments in particular sectors (for example, specific types of municipal securities) or states, the Fund is subject to greater risk of loss as a result of adverse events affecting those sectors or states than if its investments were not so concentrated. The Fund may invest in securities whose income is subject to the federal alternative minimum tax and state income tax. The Fund may be adversely impacted by changes in tax law rates and policies, and is not suited for IRAs or other tax exempt or deferred accounts. Certain shareholders, including clients or affiliates of the investment adviser, may from time to time own or control a significant percentage of the Fund’s shares. Redemptions by these shareholders of their shares of the Fund may impact the Fund’s liquidity and NAV. The Fund is “non-diversified” and may invest more of its assets in fewer issuers than “diversified” funds. Accordingly, the Fund may be more susceptible to adverse developments affecting any single issuer held in its portfolio and to greater losses resulting from these developments.
The Goldman Sachs Short Duration Tax-Free Fund invests primarily in municipal securities, the interest on which is exempt from regular federal income tax and is not a tax preference item under the federal alternative minimum tax. The Fund may invest up to 20% of its portfolio in private activity bonds whose income may be subject to the federal alternative minimum tax and taxable investments. Investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. At times, the Fund may be unable to sell certain of its illiquid investments without a substantial drop in price, if at all. The Fund may be more sensitive to adverse economic, business or political developments if it invests a substantial portion of its assets in bonds of similar projects or in particular types of municipal securities. Because the Fund may invest heavily in investments in particular states and sectors, the Fund is subject to greater risk of loss as a result of adverse events affecting those states and sectors than if its investments were not so concentrated. The Fund may be adversely impacted by changes in tax law rates and policies, and is not suited for IRAs or other tax-exempt or deferred accounts.
1
GOLDMAN SACHS MUNICIPAL 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 |
n | Careful management of yield curve strategies — while closely managing portfolio duration |
Fixed Income portfolios that:
n | Include domestic investment options, tax-free income opportunities, and access to areas of specialization such as high yield securities |
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 |
2
MARKET REVIEW
Goldman Sachs Municipal Fixed Income Funds
Market Review
The municipal bond market recorded positive returns during the six months ended September 30, 2015 (the “Reporting Period”) despite rising yields and modestly unfavorable supply and demand dynamics.
When the Reporting Period began in the second quarter of 2015, municipal bond prices retreated as yields rose across the yield curve. (Yield curve indicates a spectrum of maturities.) During the third calendar quarter and through the end of the Reporting Period, uncertainty about the Federal Reserve’s (the “Fed”) interest rate policy helped drive up municipal bond prices.
For the Reporting Period overall, shorter-term municipal yields edged up, while longer-term municipal yields rose more significantly. As a result, the municipal yield curve steepened. The yield on a two-year AAA-rated municipal security rose six basis points to 0.55%; the yield on a 10-year AAA-rated municipal security rose seven basis points to 2.03%; and the yield on a 30-year AAA-rated municipal security increased 24 basis points to 3.04%. (A basis point is 1/100th of a percentage point.) By comparison, the yield on a two-year U.S. Treasury security rose seven basis points to 0.63%; the yield on a 10-year U.S. Treasury rose 11 basis points to 2.04%; and the yield on a 30-year U.S. Treasury security increased 32 basis points to 2.85%. (Source: GSAM, MMD and Bloomberg.)
Market technicals, or supply and demand factors, were modestly unsupportive during the Reporting Period. Primary market issuance was strong, with approximately $200 billion of new supply for the Reporting Period overall. However, demand was weak. Municipal bond mutual funds saw average investment outflows of $200 million per week during the second quarter of 2015. Outflows persisted and even escalated during the third quarter of 2015. (Source: Lipper.)
Overall, credit quality in the municipal bond market remained strong during the Reporting Period. Nevertheless, pockets of weakness generated negative headlines. On June 28, 2015, Puerto Rico Governor Alejandro Garcia Padilla gave an interview to The New York Times in which he said the commonwealth “cannot pay its roughly $72 billion in debts.” These words shifted Puerto Rico’s course from a focused effort on finding liquidity and balancing the budget toward the possibility of a default. Credit ratings agencies responded to Padilla’s comments with multiple notch downgrades. As the Reporting Period progressed, Puerto Rico continued to implement significant measures to address its financial difficulties, including legislation that would allow for the issuance of tax anticipation notes and an increase in petroleum taxes as well as a tax reform proposal that could potentially provide additional revenues. Also during the Reporting Period, credit rating agencies downgraded New Jersey after a revenue shortfall led the state to make a reduced payment to its pension funds. Meanwhile, Illinois grappled with its pension and budgetary issues. In more positive news, state revenues overall expanded during the Reporting Period, with most states working toward solid budget plans that would potentially enhance financial reserves and provide tax breaks. One such example was New York state, which is one of the municipal bond market’s bellwether issuers. California also remained on an upward trajectory, as revenues came in ahead of budget for the state’s 2014-2015 fiscal year.
3
MARKET REVIEW
High Yield Municipals
During the Reporting Period, the high yield municipal bond market underperformed the investment grade municipal bond market. The main drivers of underperformance among high yield municipal bonds were the special tax and transportation sectors. Both sectors fell by more than 10% during the Reporting Period. As mentioned previously, Puerto Rico was the subject of significant negative news, which led to substantial volatility for the credit. Uncertainty around Puerto Rico’s restructuring plan caused it to underperform the Barclays High Yield Municipal Index for the Reporting Period as a whole.
Looking Ahead
At the end of the Reporting Period, municipal bond market technicals appeared to be moving in a more favorable direction, as primary market issuance slowed — though we believe this trend could possibly reverse toward the end of 2015. We also believe the tax environment should continue to be supportive for municipal bonds, even if interest rates remain low. That said, strong U.S. economic data, supported by recent Fed statements, suggest to us that rates may rise during the latter part of 2015. Higher rates, in our view, could make the tax exempt benefits of municipal bonds even more attractive and could boost the relative performance of the asset class. Meanwhile, we anticipate an increase in infrastructure investment by states and municipalities, and we expect their governments to take advantage of continued low interest rates to issue debt. We also expect to see more headlines around pension cost escalation, as this remains a serious challenge for some states and localities.
In the months ahead, we intend to maintain our approach in which we focus on seeking attractive risk/return opportunities across maturities along the municipal bond yield curve and inclusive of all credit qualities. We will continue seeking to keep the Funds invested in the most tax-efficient manner possible.
4
PORTFOLIO RESULTS
Goldman Sachs Dynamic Municipal Income Fund1
Investment Objective
The Fund seeks a high level of current income that is exempt from regular federal income tax.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Municipal Fixed Income Investment Management Team discusses the Goldman Sachs Dynamic Municipal Income Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2015 (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, Service and IR Shares generated cumulative total returns, without sales charges, of -0.27%, -0.71%, -0.16%, -0.34% and -0.15%, respectively. These returns compare to the 0.80% cumulative total return of the Fund’s benchmark, the Barclays Municipal Bond 1-10 Year Blend Index (the “Index”), during the same time period. To compare, the Fund’s former benchmark, the Barclays Municipal Bond Index, generated a 0.75% cumulative total return during the same time period. |
Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
A | During the Reporting Period, the Fund’s exposure to longer maturity securities detracted from relative performance, as the municipal yield curved steepened, meaning the differential between longer-term and shorter-term yields widened. The Fund’s yield curve strategy detracted from relative returns. (Yield curve is a spectrum of maturities.) |
On | the positive side, the Fund’s sector positioning and bottom-up issue selection added to relative results. |
Q | Which municipal bond market sectors most significantly affected Fund performance during the Reporting Period? |
A | As municipal credit concerns increased in response to negative headlines about Puerto Rico, the Fund was hurt by its overweight position relative to the Index in lower credit quality B-rated municipal bonds. Conversely, the Fund benefited from its overweight position in hospital bonds, as this sector recorded strong gains during the Reporting Period. |
Q | How did duration and yield curve positioning decisions affect the Fund’s performance during the Reporting Period? |
A | During the Reporting Period, the Fund suffered due to its yield curve positioning relative to the Index. More specifically, the Fund was hurt by its exposure to the longer- maturity segment of the municipal yield curve as the yield curve steepened. |
Q | How did the Fund use derivatives and similar instruments during the Reporting Period as a whole? |
A | During the Reporting Period overall, the Fund used municipal inverse variable rate securities to take advantage of the steepness of the municipal yield curve, wherein yields on shorter-term maturity municipal bonds were lower than those on longer-term maturity municipal bonds. These securities have an inverse relationship to short-term interest rates — the interest rate they pay generally increases as short-term interest rates fall and vice versa — and they therefore have the potential to increase or decrease the Fund’s income. In addition, the Fund used municipal credit default swaps as we sought to capture the upside potential of select securities that were trading below what we considered their intrinsic value. Also, to manage against potential changes in interest rates, the Fund employed interest rate swap contracts during the Reporting Period. Derivatives did not have a material impact, on a net basis, on the Fund’s performance during the Reporting Period. |
Q | What changes did you make in the Fund’s weightings and investments during the Reporting Period? |
A | During the Reporting Period, we increased the Fund’s exposure to university and general obligation bonds. We decreased its allocation to hospital credits and lease-backed bonds. In addition, we reduced the Fund’s exposure to higher |
5
PORTFOLIO RESULTS
credit quality A-rated issues and lower credit quality B-rated issues. |
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 held a longer duration position compared to that of the Index. It was underweight relative to the Index in higher credit quality investment grade municipal bonds and overweight in BBB- rated and other lower credit quality issues. Compared to the Index, the Fund was overweight in Puerto Rico, California and Texas municipal bonds and underweight in New York municipal bonds. |
6
FUND BASICS
Dynamic Municipal Income Fund
as of September 30, 2015
PERFORMANCE REVIEW | ||||||||||||||||||||||||||
April 1, 2015– September 30, 2015 | Fund Total Return (based | Barclays Municipal Index2 | Barclays Municipal | 30-Day Standardized Subsidized | 30-Day Standardized Unsubsidized Yield4 | 30-Day Taxable Equivalent Yield5 | ||||||||||||||||||||
Class A | -0.27 | % | 0.80 | % | 0.75 | % | 2.36 | % | 2.17 | % | 4.17 | % | ||||||||||||||
Class C | -0.71 | 0.80 | 0.75 | 1.71 | 1.51 | 3.02 | ||||||||||||||||||||
Institutional | -0.16 | 0.80 | 0.75 | 2.79 | 2.60 | 4.93 | ||||||||||||||||||||
Service | -0.34 | 0.80 | 0.75 | 2.30 | 2.10 | 4.06 | ||||||||||||||||||||
Class IR | -0.15 | 0.80 | 0.75 | 2.70 | 2.50 | 4.77 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Fund’s performance benchmark was changed from the Barclays Municipal Bond Index to the Barclays Municipal Bond 1-10 Year Blend Index because Goldman Sachs Asset Management believes it is a more appropriate benchmark against which to measure the Fund’s performance, in light of changes to the Fund’s investment strategies. |
3 | The Barclays Municipal Bond Index is an unmanaged broad-based total return index composed of approximately 40,000 investment grade, fixed rate, and tax-exempt issues, with a remaining maturity of at least one year. The Barclays Municipal Bond Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
4 | The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. 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 adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical. |
5 | The 30-Day Taxable Equivalent Yield of the Fund is calculated by dividing the current 30-Day Standardized Subsidized Yield by 1 minus the highest 2013 federal income tax rate of 43.4%. |
The returns set forth in the table above 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.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. 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.
7
FUND BASICS
STANDARDIZED TOTAL RETURNS6 | ||||||||||||||||||||
For the period ended 9/30/15 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Class A | -2.77 | % | 3.24 | % | 3.53 | % | 4.61 | % | 7/20/93 | |||||||||||
Class C | -0.74 | 3.26 | 3.15 | 3.73 | 8/15/97 | |||||||||||||||
Institutional | 1.36 | 4.37 | 4.28 | 4.89 | 8/15/97 | |||||||||||||||
Service | 0.87 | 3.85 | 3.74 | 4.39 | 8/15/97 | |||||||||||||||
Class IR | 1.27 | 4.26 | N/A | 4.67 | 7/30/10 |
6 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period 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 and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Prior to July 29, 2009, the maximum initial sales charge applicable to Class A Shares of the Fund was 4.5%, which is not reflected in the figures shown. Because Institutional Shares, Service Shares and Class IR Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the table above 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.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. 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 RATIOS7 | ||||||||||
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
Class A | 0.78 | % | 1.01 | % | ||||||
Class C | 1.53 | 1.76 | ||||||||
Institutional | 0.44 | 0.67 | ||||||||
Service | 0.94 | 1.16 | ||||||||
Class IR | 0.53 | 0.76 |
7 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2016, 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. |
8
FUND BASICS
SECTOR ALLOCATION8 |
Percentage of Market Value |
8 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. 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. |
9
PORTFOLIO RESULTS
Goldman Sachs High Yield Municipal Fund
Investment Objective
The Fund seeks a high level of current income that is exempt from regular federal income tax and may also consider the potential for capital appreciation.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Municipal Fixed Income Investment Management Team discusses the Goldman Sachs High Yield Municipal Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2015 (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 0.17%, -0.21%, 0.31% and 0.29%, respectively. These returns compare to the -0.32% cumulative total return of the Fund’s benchmark, the Goldman Sachs High Yield Municipal Fund Composite Index (“High Yield Municipal Composite”), during the same time period. |
The High Yield Municipal Fund Composite is composed 60% of the Barclays Municipal High Yield Bond Index and 40% of the Barclays Municipal Bond Index (with dividends reinvested), which generated cumulative total returns of -1.07% and 0.75%, respectively, during the Reporting Period. |
Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
A | The Fund benefited from its underweight position compared to the High Yield Municipal Composite in Puerto Rico municipal bonds. Individual issue selection within the tobacco sector also contributed positively. |
Conversely, the Fund’s holdings of longer maturity securities detracted from relative performance, as the municipal yield curve steepened during the Reporting Period, meaning the differential between longer-term and shorter-term yields widened. (Yield curve is a spectrum of maturities.) In addition, the Fund’s tactical management of its duration positioning detracted from relative results. (Duration is a measure of the Fund’s sensitivity to changes in interest rates.) |
Q | Which municipal bond market sectors most significantly affected Fund performance? |
A | The Fund’s overweight position relative to the High Yield Municipal Composite in the hospital sector added to relative returns, as hospital bonds recorded strong gains during the Reporting Period. The Fund’s underweight position in Puerto Rico bonds also enhanced results, as the commonwealth’s debt generated a negative absolute return in the High Yield Municipal Composite. |
Q | How did duration and yield curve positioning decisions affect the Fund’s performance? |
A | During the Reporting Period, the tactical management of the Fund’s duration positioning versus that of the High Yield Municipal Composite detracted from relative performance. Although the Fund benefited from a shorter duration position when municipal yields rose during May and June 2015, the same positioning hurt performance as municipal yields fell in the latter part of the Reporting Period. |
Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
A | The Fund used municipal credit default swaps as we sought to capture the upside potential of select securities that were trading below what we considered their intrinsic value. Also during the Reporting Period, the Fund used municipal inverse variable rate securities to take advantage of the steepness of the municipal yield curve, wherein yields on shorter-term maturity municipal bonds were lower than those on longer-term maturity municipal bonds. These securities have an inverse relationship to short-term interest rates — the interest rate they pay generally increases as short-term interest rates fall and vice versa — and they therefore have the potential to increase or decrease the Fund’s income. In addition, the Fund employed interest rate swaps, tied to LIBOR (London interbank offered rates, which are floating interest rates widely used as reference rates in bank, corporate and government lending agreements), to manage the Fund’s duration position. The use of interest rate swaps had a positive impact on the Fund’s performance during the Reporting Period. |
10
PORTFOLIO RESULTS
Q | What changes did you make in the Fund’s weightings and investments during the Reporting Period? |
A | During the Reporting Period, the Fund’s duration position fluctuated between approximately 8.00 years and 6.50 years and ended the Reporting Period at 7.63 years. We reduced the Fund’s exposure to hospital bonds but maintained an overweight position relative to the High Yield Municipal Composite. We also decreased the Fund’s exposure to toll road bonds. We increased the Fund’s allocation to the municipal debt of Illinois and decreased its exposure to the municipal debt of Florida. |
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 relative to the High Yield Municipal Composite in the hospital and special assessment sectors. Compared to the High Yield Municipal Composite, the Fund was underweight higher credit quality AAA-rated and AA-rated issues and overweight lower credit quality BBB-rated issues. |
11
FUND BASICS
High Yield Municipal Fund
as of September 30, 2015
PERFORMANCE REVIEW | ||||||||||||||||||||||||||||||
April 1, 2015– September 30, 2015 | Fund Total Return (based on NAV)1 | Goldman Sachs High Yield Municipal Fund Composite Index2 | Barclays Municipal High Yield Bond Index3 | Barclays Municipal Bond Index4 | 30-Day Standardized Subsidized Yield5 | 30-Day Standardized Unsubsidized Yield5 | 30-Day Taxable Equivalent Yield6 | |||||||||||||||||||||||
Class A | 0.17 | % | -0.32 | % | -1.07 | % | 0.75 | % | 3.18 | % | 3.12 | % | 5.62 | % | ||||||||||||||||
Class C | -0.21 | -0.32 | -1.07 | 0.75 | 2.58 | 2.52 | 4.56 | |||||||||||||||||||||||
Institutional | 0.31 | -0.32 | -1.07 | 0.75 | 3.62 | 3.61 | 6.40 | |||||||||||||||||||||||
Class IR | 0.29 | -0.32 | -1.07 | 0.75 | 3.57 | 3.51 | 6.31 |
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 Goldman Sachs High Yield Municipal Fund Composite Index is comprised of the Barclays Municipal High Yield Bond Index (60%) (with dividends reinvested) and the Barclays Municipal Bond Index (40%) (with dividends reinvested). |
3 | The Barclays Municipal High Yield Bond Index is an unmanaged index made up of bonds that are non-investment grade, unrated, or rated below Ba1 by Moody’s Investors Service with a remaining maturity of at least one year. The Barclays Municipal High Yield Bond Index does not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
4 | The Barclays Municipal Bond Index is an unmanaged broad-based total return index composed of approximately 40,000 investment grade, fixed rate, and tax-exempt issues, with a remaining maturity of at least one year. The Barclays Municipal Bond Index does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
5 | The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. 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 adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical. |
6 | The 30-Day Taxable Equivalent Yield of the Fund is calculated by dividing the current 30-Day Standardized Subsidized Yield by 1 minus the highest 2013 federal income tax rate of 43.4%. |
The returns set forth in the table above 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.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. 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.
12
FUND BASICS
STANDARDIZED TOTAL RETURNS7 | ||||||||||||||||||||
For the period ended 9/30/15 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Class A | -2.45 | % | 4.67 | % | 2.54 | % | 4.33 | % | 4/3/00 | |||||||||||
Class C | 0.36 | 4.86 | 2.25 | 3.86 | 4/3/00 | |||||||||||||||
Institutional | 2.32 | 5.96 | 3.34 | 5.01 | 4/3/00 | |||||||||||||||
Class IR | 2.39 | 5.94 | N/A | 6.51 | 7/30/10 |
7The | Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period 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 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 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 returns set forth in the table above 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.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. 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 RATIOS8 | ||||||||||
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
Class A | 0.86 | % | 0.93 | % | ||||||
Class C | 1.61 | 1.68 | ||||||||
Institutional | 0.57 | 0.59 | ||||||||
Class IR | 0.61 | 0.68 |
8The | expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2016, 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. |
13
FUND BASICS
SECTOR ALLOCATION9 |
Percentage of Market Value |
9 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. 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. |
14
PORTFOLIO RESULTS
Goldman Sachs Short Duration Tax-Free Fund
Investment Objective
The Fund seeks a high level of current income, consistent with relatively low volatility of principal, that is exempt from regular federal income tax.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Municipal Fixed Income Investment Management Team discusses the Goldman Sachs Short Duration Tax-Free Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2015 (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, Service and IR Shares generated cumulative total returns, without sales charges, of -0.14%, -0.34%, 0.03%, -0.22% and -0.01%, respectively. These returns compare to the 0.66% cumulative total return of the Fund’s benchmark, the Barclays Municipal Bond 1-3 Year Blend 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 suffered due to its holdings of longer-term securities, as the municipal yield curve steepened during the Reporting Period, meaning the differential between longer-term and shorter-term yields widened. The Fund’s duration and yield curve strategy also detracted from relative results. (Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve is a spectrum of maturities.) |
On | the positive side, the Fund’s sector positioning and bottom-up issue selection added to relative returns. |
Q | Which municipal bond market sectors most significantly affected Fund performance? |
A | Although sector positioning added to relative performance overall, the Fund was hurt by its holdings of Puerto Rico bonds. These investments detracted from Fund returns as Puerto Rico’s debt experienced significant volatility amidst persistent headline news. |
The | Fund benefited from its exposure to local general obligation bonds. Positioning in the toll road sector also added to returns. Additionally, individual issue selection among pre-refunded bonds bolstered results. (Pre-refunding, also known as advance refunding, is a procedure in which a municipality issues a second bond at a lower interest rate, and uses the proceeds from the sale of the second bond to invest in “escrow collateral” for the first bond. The escrow collateral is typically in Treasury securities. Pre-refunded municipal bonds no longer represent the credit risk profile of the original borrower, and given the high credit quality of the escrow collateral, they often increase in value — sometimes significantly.) |
Q | How did duration and yield curve positioning decisions affect the Fund’s performance? |
A | During the Reporting Period, the Fund’s duration positioning detracted from relative performance. The Fund held a longer duration position relative to the Index at the beginning of the Reporting Period, which hurt performance as shorter-maturity municipal yields — especially those in the two-year portion of the municipal yield curve — rose, particularly during May 2015. |
Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
A | During the Reporting Period, the Fund used municipal inverse variable rate securities to seek to take advantage of the steepness of the municipal yield curve, wherein yields on shorter-term maturity municipal bonds were lower than those on longer-term maturity municipal bonds. These securities have an inverse relationship to short-term interest rates — the interest rate they pay generally increases as short-term interest rates fall and vice versa — and they therefore have the potential to increase or decrease the Fund’s income. In addition, the Fund used municipal credit default swaps as we sought to capture the upside potential of select securities that were trading below what we considered their intrinsic value. Derivatives did not have a material impact, on a net basis, on the Fund’s performance during the Reporting Period. |
15
PORTFOLIO RESULTS
Q | What changes did you make in the Fund’s weightings and investments during the Reporting Period? |
A | During the Reporting Period, we shifted the Fund from a longer duration position relative to that of the Index to a comparatively short duration position. We reduced the Fund’s exposure to water and sewer credits. We increased the Fund’s exposure to general obligation bonds 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 a short duration position compared to that of the Index. It was slightly underweight relative to the Index in higher credit quality AAA-rated issues, and it was overweight BBB-rated issues and other lower credit quality rated municipal bonds. In addition, the Fund was overweight in Illinois, Texas and Puerto Rico municipal bonds at the end of the Reporting Period. |
16
FUND BASICS
Short Duration Tax-Free Fund
as of September 30, 2015
PERFORMANCE REVIEW | ||||||||||||||||||||||
April 1, 2015– September 30, 2015 | Fund Total Return (based on NAV)1 | Barclays Municipal 1–3 Year Blend Index2 | 30-Day Standardized Subsidized Yield3 | 30-Day Standardized Unsubsidized Yield3 | 30-Day Taxable Equivalent Yield4 | |||||||||||||||||
Class A | -0.14 | % | 0.66 | % | 0.76 | % | 0.73 | % | 1.34 | % | ||||||||||||
Class C | -0.34 | 0.66 | 0.38 | 0.00 | 0.67 | |||||||||||||||||
Institutional | 0.03 | 0.66 | 1.11 | 1.08 | 1.96 | |||||||||||||||||
Service | -0.22 | 0.66 | 0.61 | 0.58 | 1.08 | |||||||||||||||||
Class IR | -0.01 | 0.66 | 1.02 | 0.99 | 1.80 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Municipal 1-3 Year Blend Index (with dividends reinvested), an unmanaged index, represents investment grade municipal bonds with maturities greater than one year and less than 4 years, and does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
3 | The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. 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 adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical. |
4 | The 30-Day Taxable Equivalent Yield of the Fund is calculated by dividing the current 30-Day Standardized Subsidized Yield by 1 minus the highest 2013 federal income tax rate of 43.4%. |
The returns set forth in the table above 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.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. 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.
17
FUND BASICS
STANDARDIZED TOTAL RETURNS5 | ||||||||||||||||||||
For the period ended 9/30/15 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Class A | -1.40 | % | 0.80 | % | 2.10 | % | 2.70 | % | 5/1/97 | |||||||||||
Class C | -0.96 | 0.69 | 1.67 | 2.03 | 8/15/97 | |||||||||||||||
Institutional | 0.43 | 1.43 | 2.62 | 3.35 | 10/1/92 | |||||||||||||||
Service | -0.07 | 0.95 | 2.11 | 2.82 | 9/20/94 | |||||||||||||||
Class IR | 0.34 | 1.34 | N/A | 1.38 | 7/30/10 |
5 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period 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 1.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (0.65% if redeemed within 12 months of purchase). Prior to July 29, 2009, the maximum initial sales charge applicable to Class A Shares of the Fund was 2.0%, which is not reflected in the figures shown. Because Institutional, Service and Class IR Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the table above 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.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. 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 RATIOS6 | ||||||||||
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
Class A | 0.73 | % | 0.76 | % | ||||||
Class C | 1.13 | 1.51 | ||||||||
Institutional | 0.39 | 0.41 | ||||||||
Service | 0.89 | 0.92 | ||||||||
Class IR | 0.48 | 0.51 |
6 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2016, 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. |
18
FUND BASICS
SECTOR ALLOCATION7 |
Percentage of Market Value |
7 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. 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. |
19
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments
September 30, 2015 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – 97.5% | ||||||||||||||
Alabama – 2.4% | ||||||||||||||
| Alabama State Port Authority RB for Docks Facilities Series 2010 | | ||||||||||||
$ | 2,500,000 | 5.750 | % | 10/01/30 | $ | 2,930,050 | ||||||||
| Alexander City Special Care Facilities Financing Authority | | ||||||||||||
1,780,000 | 5.750 | 12/01/36 | 1,800,666 | |||||||||||
| Auburn University General Fee RB Refunding Series 2015 A | | ||||||||||||
1,205,000 | 4.000 | 06/01/19 | 1,329,862 | |||||||||||
| Health Care Authority RB for Baptist Health Series 2006 D | | ||||||||||||
575,000 | 5.000 | 11/15/17 | 577,743 | |||||||||||
100,000 | 5.000 | 11/15/21 | 100,485 | |||||||||||
| Jefferson County Senior Lien Sewer RB Warrants Series 2013 A | | ||||||||||||
350,000 | 5.000 | 10/01/44 | 373,240 | |||||||||||
| Jefferson County Subordinate Lien Sewer RB Warrants | | ||||||||||||
1,000,000 | 5.000 | 10/01/21 | 1,094,540 | |||||||||||
3,000,000 | 6.000 | 10/01/42 | 3,349,950 | |||||||||||
3,000,000 | 6.500 | 10/01/53 | 3,429,060 | |||||||||||
|
| |||||||||||||
14,985,596 | ||||||||||||||
|
| |||||||||||||
Arizona – 1.9% | ||||||||||||||
| Arizona Health Facilities Authority Hospital RB for Banner | | ||||||||||||
5,150,000 | 1.000 | 01/01/37 | 4,473,341 | |||||||||||
| Arizona State University System RB Refunding Series 2015 B | | ||||||||||||
3,000,000 | 5.000 | 07/01/19 | 3,421,440 | |||||||||||
| Maricopa County Arizona Pollution Control Corp. PCRB | | ||||||||||||
2,200,000 | 7.250 | 02/01/40 | 2,500,894 | |||||||||||
| Yavapai County IDA Solid Waste Disposal RB for Waste | | ||||||||||||
1,410,000 | 1.600 | 03/01/18 | 1,393,207 | |||||||||||
|
| |||||||||||||
11,788,882 | ||||||||||||||
|
| |||||||||||||
Arkansas – 0.7% | ||||||||||||||
| Arkansas State Development Finance Authority Hospital RB | | ||||||||||||
770,000 | 3.000 | 02/01/18 | 791,090 | |||||||||||
1,845,000 | 3.000 | 02/01/19 | 1,898,579 | |||||||||||
| Arkansas State Development Finance Authority RB for Single | | ||||||||||||
505,000 | 5.500 | 07/01/23 | 530,321 | |||||||||||
| City of Little Rock Sewer RB Refunding Series 2015 (NR/Aa3) |
| ||||||||||||
1,000,000 | 4.000 | 04/01/21 | 1,118,930 | |||||||||||
|
| |||||||||||||
4,338,920 | ||||||||||||||
|
| |||||||||||||
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
California – 17.8% | ||||||||||||||
| Alameda County Oakland Unified School District GO Refunding | | ||||||||||||
$ | 1,500,000 | 5.000 | % | 08/01/19 | $ | 1,677,075 | ||||||||
| California Educational Facilities Authority RB for California | | ||||||||||||
5,000,000 | 5.000 | 11/01/39 | 5,640,150 | |||||||||||
| California Health Facilities Financing Authority RB for | | ||||||||||||
1,000,000 | 6.500 | 10/01/18 | 1,170,280 | |||||||||||
| California Municipal Finance Authority Student Housing RB for | | ||||||||||||
400,000 | 5.000 | 06/01/35 | 433,424 | |||||||||||
| California State Various Purpose GO Bonds Series 2009 | | ||||||||||||
5,000,000 | 5.250 | 10/01/25 | 5,784,300 | |||||||||||
5,000,000 | 6.500 | 04/01/33 | 5,950,050 | |||||||||||
2,750,000 | 6.000 | 04/01/38 | 3,205,867 | |||||||||||
| California State Various Purpose GO Bonds Series 2010 | | ||||||||||||
1,250,000 | 6.000 | 03/01/33 | 1,501,337 | |||||||||||
1,500,000 | 5.500 | 03/01/40 | 1,735,410 | |||||||||||
| California Statewide Communities Development Authority | | ||||||||||||
345,000 | 5.000 | 09/01/30 | 365,155 | |||||||||||
375,000 | 5.000 | 09/01/37 | 387,716 | |||||||||||
| California Statewide Communities Development Authority RB | | ||||||||||||
1,435,000 | 5.750 | 08/15/38 | 1,603,010 | |||||||||||
| California Statewide Communities Development Authority RB | | ||||||||||||
2,000,000 | 6.000 | 08/15/42 | 2,336,440 | |||||||||||
| California Statewide Community Development Authority Water | | ||||||||||||
15,000 | 5.250 | 10/01/19 | 15,049 | |||||||||||
| Citrus Community College District GO Bonds Capital | | ||||||||||||
3,500,000 | 0.000 | 06/01/34 | 1,617,700 | |||||||||||
| Fullerton Community Facilities District No. 1 Special Tax | | ||||||||||||
500,000 | 5.000 | 09/01/32 | 552,090 | |||||||||||
| Golden State Tobacco Securitization Corp. California Tobacco | | ||||||||||||
18,000,000 | 0.000 | 06/01/47 | 1,609,200 | |||||||||||
| Golden State Tobacco Securitization Corp. California Tobacco | | ||||||||||||
19,500,000 | 0.000 | 06/01/47 | 734,955 | |||||||||||
| Golden State Tobacco Securitization Corp. California Tobacco | | ||||||||||||
2,500,000 | 4.500 | 06/01/27 | 2,396,850 | |||||||||||
| Los Angeles Community College District GO Bonds for 2008 | | ||||||||||||
5,000,000 | 5.250 | 08/01/39 | 5,770,700 | |||||||||||
|
|
20 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
California – (continued) | ||||||||||||||
| Los Angeles County Metropolitan Transportation Authority RB | | ||||||||||||
$ | 2,100,000 | 0.436 | % | 07/01/27 | $ | 2,004,338 | ||||||||
| Menifee Union School District Riverside County GO Bonds | | ||||||||||||
2,000,000 | 0.000 | 08/01/37 | 775,320 | |||||||||||
4,500,000 | 0.000 | 08/01/38 | 1,655,460 | |||||||||||
4,500,000 | 0.000 | 08/01/39 | 1,573,470 | |||||||||||
| Merced City School District GO Bonds Capital Appreciation for | | ||||||||||||
1,205,000 | 0.000 | 08/01/26 | 850,091 | |||||||||||
| M-S-R Energy Authority Gas RB Series 2009 A (A-/NR) |
| ||||||||||||
1,750,000 | 6.500 | 11/01/39 | 2,304,750 | |||||||||||
�� | M-S-R Energy Authority Gas RB Series 2009 C (A-/NR) |
| ||||||||||||
3,500,000 | 6.125 | 11/01/29 | 4,406,815 | |||||||||||
| Mt. Diablo Unified School District GO Bonds Capital | | ||||||||||||
5,000,000 | 0.000 | 08/01/35 | 4,064,100 | |||||||||||
| Ontario Redevelopment Financing Authority Lease RB for | | ||||||||||||
1,110,000 | 5.250 | 08/01/22 | 1,199,377 | |||||||||||
| Palomar Pomerado Health COPS Series 2009 (BB+/Ba1) |
| ||||||||||||
2,500,000 | 6.750 | 11/01/39 | 2,768,275 | |||||||||||
| Palomar Pomerado Health GO Bonds Capital Appreciation for | | ||||||||||||
2,150,000 | 0.000 | 08/01/31 | 1,101,832 | |||||||||||
4,150,000 | 0.000 | 08/01/32 | 2,018,768 | |||||||||||
3,500,000 | 0.000 | 08/01/33 | 1,617,000 | |||||||||||
| Palomar Pomerado Health GO Bonds Capital Appreciation for | | ||||||||||||
6,450,000 | 0.000 | 08/01/38 | 6,750,119 | |||||||||||
| Port of Oakland RB Refunding Senior Lien Series 2012 P | | ||||||||||||
4,000,000 | 5.000 | 05/01/31 | 4,428,600 | |||||||||||
| River Islands Public Financing Authority Community Facilities | | ||||||||||||
5,000,000 | 5.000 | 09/01/27 | 5,122,450 | |||||||||||
| Sacramento County Sanitation District Financing Authority RB | | ||||||||||||
5,000,000 | 0.747 | 12/01/35 | 4,463,550 | |||||||||||
| San Diego County Water Authority COPS Series 2008 A (AGM) | | ||||||||||||
830,000 | 5.000 | 05/01/18 | 921,267 | |||||||||||
| San Diego County Water Authority COPS Series 2008 A (AGM) | | ||||||||||||
4,170,000 | 5.000 | 05/01/33 | 4,529,162 | |||||||||||
| San Diego Unified School District GO Bonds for Election of 2008 | | ||||||||||||
5,000,000 | 0.000 | 07/01/39 | 1,795,950 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
California – (continued) | ||||||||||||||
| San Francisco City & County Airport Commission San Francisco | | ||||||||||||
$ | 2,000,000 | 5.500 | % | 05/01/28 | $ | 2,351,200 | ||||||||
| San Joaquin Hills Transportation Corridor Agency RB Refunding | | ||||||||||||
1,605,000 | 0.000 | 01/15/26 | 1,064,003 | |||||||||||
| San Joaquin Hills Transportation Corridor Agency RB Refunding | | ||||||||||||
1,000,000 | 5.000 | 01/15/29 | 1,101,250 | |||||||||||
| University of California Regents Medical Center Pooled RB | | ||||||||||||
5,000,000 | 0.955 | 05/15/43 | 4,394,850 | |||||||||||
| Vernon California Redevelopment Agency Tax Allocation for | | ||||||||||||
725,000 | 5.250 | 09/01/19 | 725,682 | |||||||||||
| West Contra Costa Unified School District GO Bonds Capital | | ||||||||||||
1,175,000 | 0.000 | 08/01/25 | 834,849 | |||||||||||
|
| |||||||||||||
109,309,286 | ||||||||||||||
|
| |||||||||||||
Colorado – 2.2% | ||||||||||||||
| Colorado Health Facilities Authority RB Refunding for Covenant | | ||||||||||||
550,000 | 2.000 | 12/01/16 | 555,159 | |||||||||||
625,000 | 4.000 | 12/01/19 | 665,844 | |||||||||||
| Denver City & County Airport RB Series 2013 A (AMT) (A/A2) |
| ||||||||||||
5,000,000 | 5.500 | 11/15/29 | 5,769,350 | |||||||||||
| Denver Colorado Health and Hospital Authority Healthcare RB | | ||||||||||||
5,000,000 | 1.317 | 12/01/33 | 4,632,300 | |||||||||||
| E-470 Public Highway Authority RB Series 2010 A | | ||||||||||||
6,000,000 | 0.000 | 09/01/40 | 2,034,480 | |||||||||||
|
| |||||||||||||
13,657,133 | ||||||||||||||
|
| |||||||||||||
Delaware – 1.4% | ||||||||||||||
| New Castle County Delaware GO Bonds Series 2015 (AAA/Aaa) |
| ||||||||||||
5,000,000 | 5.000 | 10/01/26 | 6,239,150 | |||||||||||
| University of Delaware RB Series 2015 (AA+/Aa1) |
| ||||||||||||
1,805,000 | 5.000 | 11/01/33 | 2,100,136 | |||||||||||
|
| |||||||||||||
8,339,286 | ||||||||||||||
|
| |||||||||||||
District of Columbia – 1.2% | ||||||||||||||
| District of Columbia Tobacco Settlement Financing Corp. RB | | ||||||||||||
95,000 | 6.250 | 05/15/24 | 95,679 | |||||||||||
| District of Columbia Tobacco Settlement Financing Corp. RB | | ||||||||||||
1,000,000 | 6.500 | 05/15/33 | 1,220,720 | |||||||||||
| District of Columbia Water & Sewer Authority RB Public Utility | | ||||||||||||
5,000,000 | 6.000 | 10/01/18 | 5,761,550 | |||||||||||
|
| |||||||||||||
7,077,949 | ||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 21 |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments (continued)
September 30, 2015 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Florida – 8.8% | ||||||||||||||
| Arbor Greene Community Development District Special | | ||||||||||||
$ | 895,000 | 5.000 | % | 05/01/19 | $ | 936,626 | ||||||||
| Bartram Park Community Development District Special | | ||||||||||||
500,000 | 4.250 | 05/01/29 | 496,420 | |||||||||||
500,000 | 4.500 | 05/01/35 | 500,015 | |||||||||||
| Citizens Property Insurance Corp. Senior Secured RB for High | | ||||||||||||
3,650,000 | 5.500 | 06/01/17 | 3,929,006 | |||||||||||
| City of Cape Coral Water & Sewer RB Refunding Series 2015 | | ||||||||||||
1,000,000 | 4.000 | 10/01/34 | 1,024,020 | |||||||||||
| Coconut Cay Community Development District Special | | ||||||||||||
840,000 | 5.375 | 05/01/36 | 842,352 | |||||||||||
| Country Walk Community Development District Special | | ||||||||||||
215,000 | 2.875 | 05/01/21 | 213,955 | |||||||||||
220,000 | 3.000 | 05/01/22 | 217,662 | |||||||||||
225,000 | 3.250 | 05/01/23 | 222,464 | |||||||||||
235,000 | 3.375 | 05/01/24 | 232,321 | |||||||||||
245,000 | 3.500 | 05/01/25 | 241,854 | |||||||||||
| Covington Park Florida Community Development District Special | | ||||||||||||
340,000 | 5.000 | 05/01/21 | 341,187 | |||||||||||
| Crossings At Fleming Island Community Development District | | ||||||||||||
125,000 | 4.750 | 10/01/36 | 128,461 | |||||||||||
| Florida State Municipal Power Agency RB Series 2009 A | | ||||||||||||
1,000,000 | 6.250 | 10/01/31 | 1,184,100 | |||||||||||
| Greater Orlando Aviation Authority Airport Facilities RB | | ||||||||||||
920,000 | 5.000 | 11/15/36 | 938,032 | |||||||||||
| Greater Orlando Aviation Authority RB Refunding Series 2012 A | | ||||||||||||
2,000,000 | 5.000 | 10/01/21 | 2,339,520 | |||||||||||
| Hamal Florida Community Development District Special | | ||||||||||||
2,755,000 | 5.375 | 05/01/22 | 2,823,572 | |||||||||||
| Heritage Landing Community Development District Special | | ||||||||||||
585,000 | 3.375 | 05/01/23 | 577,401 | |||||||||||
605,000 | 3.500 | 05/01/24 | 596,566 | |||||||||||
630,000 | 3.625 | 05/01/25 | 620,260 | |||||||||||
650,000 | 3.750 | 05/01/26 | 639,178 | |||||||||||
| High Ridge Quantum Community Development District Special | | ||||||||||||
1,630,000 | 5.750 | 05/01/35 | 1,631,614 | |||||||||||
|
| |||||||||||||
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Florida – (continued) | ||||||||||||||
| Hollywood Community Redevelopment Agency RB for Beach | | ||||||||||||
$ | 275,000 | 5.625 | % | 03/01/24 | $ | 275,423 | ||||||||
| Lakewood Ranch Stewardship District Special Assessment RB | | ||||||||||||
1,000,000 | 4.250 | 05/01/25 | 985,060 | |||||||||||
1,735,000 | 4.875 | 05/01/35 | 1,752,801 | |||||||||||
985,000 | 4.875 | 05/01/45 | 987,266 | |||||||||||
| Longleaf Community Development District Special Assessment | | ||||||||||||
1,185,000 | 5.375 | 05/01/30 | 805,800 | |||||||||||
| Meadow Pines Community Development District Special | | ||||||||||||
750,000 | 4.450 | 05/01/30 | 775,920 | |||||||||||
| Miami Special Obligation Non-Ad Valorem RB Refunding | | ||||||||||||
1,200,000 | 6.000 | 02/01/30 | 1,425,144 | |||||||||||
1,500,000 | 6.000 | 02/01/31 | 1,780,605 | |||||||||||
| Miami Special Obligation RB Refunding for Port of Miami | | ||||||||||||
5,000,000 | 5.000 | 03/01/30 | 5,659,500 | |||||||||||
| Miami-Dade County Florida Aviation RB Refunding RMKT | | ||||||||||||
575,000 | 5.250 | 10/01/16 | 601,381 | |||||||||||
| Miromar Lakes Community Development District Capital | | ||||||||||||
1,000,000 | 3.500 | 05/01/20 | 984,610 | |||||||||||
| North Sumter County Utility Dependent District RB Series 2010 | | ||||||||||||
1,250,000 | 5.375 | 10/01/40 | 1,407,575 | |||||||||||
| Pentathlon Community Development District Special Assessment | | ||||||||||||
1,330,000 | 4.500 | 11/01/33 | 1,370,392 | |||||||||||
| Port Everglades Authority RB for Port Facilities Series 1986 | | ||||||||||||
710,000 | 7.125 | 11/01/16 | 736,881 | |||||||||||
| Randal Park Community Development District Special | | ||||||||||||
875,000 | 4.250 | 11/01/25 | 853,265 | |||||||||||
| St. Petersburg Health Facilities Authority RB Refunding for All | | ||||||||||||
2,000,000 | 6.500 | 11/15/19 | 2,441,040 | |||||||||||
| Tampa Palms Open Space & Transportation Community | | ||||||||||||
875,000 | 4.500 | 05/01/18 | 916,265 | |||||||||||
| Thousand Oaks Community Development District Special | | ||||||||||||
815,000 | 5.350 | 05/01/35 | 815,562 | |||||||||||
| TSR Community Development District Special Assessment RB | | ||||||||||||
435,000 | 3.625 | 11/01/20 | 435,435 | |||||||||||
530,000 | 4.375 | 11/01/25 | 528,060 | |||||||||||
|
|
22 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Florida – (continued) | ||||||||||||||
| Turnbull Creek Community Development District Senior Special | | ||||||||||||
$ | 1,000,000 | 4.250 | % | 05/01/31 | $ | 987,630 | ||||||||
| Verano #1 Community Development District Special Assessment | | ||||||||||||
750,000 | 4.750 | 11/01/25 | 744,053 | |||||||||||
| Verona Walk Community Development District Special | | ||||||||||||
500,000 | 4.250 | 05/01/30 | 503,205 | |||||||||||
| Village Community Development District No. 6 Special | | ||||||||||||
1,680,000 | 5.250 | 05/01/37 | 1,751,551 | |||||||||||
| Waters Edge Community Development District Capital | | ||||||||||||
2,150,000 | 4.000 | 05/01/31 | 2,101,152 | |||||||||||
| Wynnfield Lakes Community Development District Special | | ||||||||||||
1,470,000 | 4.500 | 05/01/36 | 1,500,370 | |||||||||||
|
| |||||||||||||
53,802,532 | ||||||||||||||
|
| |||||||||||||
Georgia – 1.7% | ||||||||||||||
| Atlanta Airport RB Refunding Series 2012 C (AMT) (A+/Aa3) |
| ||||||||||||
1,250,000 | 5.000 | 01/01/27 | 1,418,612 | |||||||||||
| Metropolitan Atlanta Rapid Transit Authority Sales Tax RB | | ||||||||||||
4,075,000 | 5.250 | 07/01/36 | 4,607,847 | |||||||||||
| Milledgeville & Baldwin County Development Authority Student | | ||||||||||||
5,000,000 | 0.840 | 10/01/33 | 4,469,650 | |||||||||||
|
| |||||||||||||
10,496,109 | ||||||||||||||
|
| |||||||||||||
Guam – 0.4% | ||||||||||||||
| Guam Government Limited Obligation GO Bonds Section 30 | | ||||||||||||
850,000 | 5.625 | 12/01/29 | 954,388 | |||||||||||
750,000 | 5.750 | 12/01/34 | 839,640 | |||||||||||
| Guam Power Authority RB 2014 Series A (AGM) (AA/A2) |
| ||||||||||||
325,000 | 5.000 | 10/01/39 | 367,130 | |||||||||||
250,000 | 5.000 | 10/01/44 | 280,235 | |||||||||||
|
| |||||||||||||
2,441,393 | ||||||||||||||
|
| |||||||||||||
Idaho – 0.2% | ||||||||||||||
| Idaho Health Facilities Authority RB for St. Luke’s Health | | ||||||||||||
1,000,000 | 6.750 | 11/01/37 | 1,140,510 | |||||||||||
|
| |||||||||||||
Illinois – 9.0% | ||||||||||||||
| Chicago Illinois Board of Education GO Bonds Capital | | ||||||||||||
1,775,000 | 0.000 | 12/01/26 | 974,298 | |||||||||||
| Chicago Illinois Board of Education GO Bonds Refunding | | ||||||||||||
5,000,000 | 4.020 | 03/01/17 | 4,919,550 | |||||||||||
|
| |||||||||||||
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Illinois – (continued) | ||||||||||||||
| Chicago Illinois Board of Education GO Bonds Series 2015 C | | ||||||||||||
$ | 2,500,000 | 6.000 | % | 12/01/35 | $ | 2,365,775 | ||||||||
| Chicago Illinois GO Bonds Project and Refunding RMKT | | ||||||||||||
300,000 | 5.500 | 01/01/37 | 295,905 | |||||||||||
2,720,000 | 5.500 | 01/01/40 | 2,659,208 | |||||||||||
| Chicago Illinois GO Bonds Project and Refunding Series 2014 A | | ||||||||||||
1,500,000 | 5.250 | 01/01/33 | 1,466,610 | |||||||||||
630,000 | 5.000 | 01/01/34 | 602,349 | |||||||||||
450,000 | 5.000 | 01/01/36 | 424,796 | |||||||||||
| Chicago Illinois GO Bonds Project Series 2011 A (BBB+/Ba1) |
| ||||||||||||
640,000 | 5.000 | 01/01/40 | 594,957 | |||||||||||
| Chicago Illinois GO Bonds Project Series 2012 A (BBB+/Ba1) |
| ||||||||||||
150,000 | 5.000 | 01/01/34 | 143,416 | |||||||||||
| Chicago Illinois GO Bonds Series 2015 A (BBB+/NR) |
| ||||||||||||
1,320,000 | 5.500 | 01/01/39 | 1,294,432 | |||||||||||
| Chicago Illinois Midway Airport RB Refunding Second Lien | | ||||||||||||
2,000,000 | 5.500 | 01/01/29 | 2,277,020 | |||||||||||
| Chicago Illinois O’Hare International Airport RB Refunding | | ||||||||||||
490,000 | 5.250 | 01/01/34 | 491,700 | |||||||||||
| Chicago Illinois GO Bonds Project and Refunding Series C | | ||||||||||||
675,000 | 5.000 | 01/01/40 | 627,493 | |||||||||||
| Chicago Illinois Sales Tax Refunding Series 2002 (AAA/NR) |
| ||||||||||||
1,000,000 | 5.000 | 01/01/25 | 1,074,150 | |||||||||||
| Chicago Illinois Tax Increment Allocation RB Refunding for | | ||||||||||||
1,135,000 | 5.000 | 06/01/20 | 1,257,886 | |||||||||||
| Illinois Finance Authority RB for Edward Hospital Obligated | | ||||||||||||
350,000 | 6.250 | 02/01/33 | 384,752 | |||||||||||
| Illinois Finance Authority Solid Waste Disposal RB for Waste | | ||||||||||||
400,000 | 5.050 | 08/01/29 | 405,172 | |||||||||||
| Illinois GO Bonds Series 2003 (NATL-RE) (AA-/A2) |
| ||||||||||||
975,000 | 5.000 | 06/01/19 | 976,550 | |||||||||||
| Illinois GO Bonds Series 2012 (A-/A3) |
| ||||||||||||
2,445,000 | 5.000 | 03/01/19 | 2,626,737 | |||||||||||
| Illinois GO Bonds Series 2013 (A-/A3) |
| ||||||||||||
5,500,000 | 5.250 | 07/01/28 | 5,836,765 | |||||||||||
5,120,000 | 5.500 | 07/01/38 | 5,403,136 | |||||||||||
| Illinois Municipal Electric Agency RB Power Supply System | | ||||||||||||
1,520,000 | 5.250 | 02/01/17 | 1,615,654 | |||||||||||
| Illinois Sports Facilities Authority Refunding Bonds Series 2014 | | ||||||||||||
4,160,000 | 5.000 | 06/15/27 | 4,627,376 | |||||||||||
| Lake County Illinois Community Consolidated School District | | ||||||||||||
2,725,000 | 9.000 | 11/01/16 | 2,971,749 | |||||||||||
| Metropolitan Pier & Exposition Authority Refunding Bonds for | | ||||||||||||
1,000,000 | 5.000 | 12/15/28 | 1,090,650 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 23 |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments (continued)
September 30, 2015 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Illinois – (continued) | ||||||||||||||
| Railsplitter Tobacco Settlement Authority Tobacco Settlement RB | | ||||||||||||
$ | 1,125,000 | 6.000 | % | 06/01/28 | $ | 1,307,565 | ||||||||
| Round Lake Illinois Lakewood Grove Special Service Area No. 1 | | ||||||||||||
2,320,000 | 5.500 | 03/01/32 | 2,433,262 | |||||||||||
| Southwestern Illinois Development Authority RB Capital | | ||||||||||||
6,000,000 | 0.000 | 12/01/25 | 4,122,420 | |||||||||||
|
| |||||||||||||
55,271,333 | ||||||||||||||
|
| |||||||||||||
Indiana – 0.2% | ||||||||||||||
| Indianapolis Indiana Airport Authority RB Refunding Special | | ||||||||||||
640,000 | 5.100 | 01/15/17 | 671,514 | |||||||||||
| Jasper County PCRB Refunding for Northern Indiana Public | | ||||||||||||
650,000 | 5.850 | 04/01/19 | 734,630 | |||||||||||
|
| |||||||||||||
1,406,144 | ||||||||||||||
|
| |||||||||||||
Iowa – 0.2% | ||||||||||||||
| Coralville Iowa COPS Series 2006 D (NR/Ba1) |
| ||||||||||||
1,325,000 | 5.250 | 06/01/22 | 1,329,995 | |||||||||||
|
| |||||||||||||
Kentucky – 1.3% | ||||||||||||||
| Louisville & Jefferson County Metropolitan Government RB for | | ||||||||||||
3,750,000 | 6.125 | 02/01/18 | 4,219,613 | |||||||||||
| University of Kentucky General Receipts Refunding Bonds | | ||||||||||||
3,260,000 | 4.000 | 04/01/26 | 3,635,780 | |||||||||||
|
| |||||||||||||
7,855,393 | ||||||||||||||
|
| |||||||||||||
Louisiana – 1.3% | ||||||||||||||
| East Baton Rouge Parish Louisiana Sales Tax RB for Road and | | ||||||||||||
1,230,000 | 5.250 | 08/01/19 | 1,425,041 | |||||||||||
| New Orleans Aviation Board GARBs Series 2015 B (AMT) | | ||||||||||||
3,750,000 | 5.000 | 01/01/34 | 4,134,525 | |||||||||||
| New Orleans Louisiana Aviation Board RB Refunding for | | ||||||||||||
1,350,000 | 6.000 | 01/01/23 | 1,542,240 | |||||||||||
| Port of New Orleans Board of Commissioners RB Refunding | | ||||||||||||
500,000 | 5.000 | 04/01/30 | 540,815 | |||||||||||
|
| |||||||||||||
7,642,621 | ||||||||||||||
|
| |||||||||||||
Maine – 0.3% | ||||||||||||||
| Maine Turnpike Authority RB Refunding Series 2015 (AA-/Aa3) |
| ||||||||||||
1,565,000 | 5.000 | 07/01/26 | 1,899,769 | |||||||||||
|
| |||||||||||||
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Maryland – 1.4% | ||||||||||||||
| City of Annapolis GO Bonds Refunding for Public Improvements | | ||||||||||||
$ | 1,725,000 | 4.000 | % | 08/01/27 | $ | 1,980,749 | ||||||||
| Frederick County Maryland Special Tax for Lake Linganore | | ||||||||||||
185,000 | 5.600 | 07/01/20 | 185,470 | |||||||||||
555,000 | 5.700 | 07/01/29 | 555,893 | |||||||||||
| Maryland State Department of Transportation Consolidated | | ||||||||||||
3,000,000 | 5.000 | 02/01/22 | 3,598,950 | |||||||||||
| Maryland State Industrial Development Financing Authority RB | | ||||||||||||
500,000 | 5.625 | 12/01/16 | 511,845 | |||||||||||
| Maryland State Transportation Authority RB Refunding | | ||||||||||||
1,500,000 | 5.000 | 03/01/19 | 1,592,670 | |||||||||||
|
| |||||||||||||
8,425,577 | ||||||||||||||
|
| |||||||||||||
Massachusetts – 1.7% | ||||||||||||||
| Massachusetts Development Finance Agency RB for Harvard | | ||||||||||||
5,000,000 | 5.250 | 02/01/34 | 5,863,300 | |||||||||||
| Massachusetts Educational Financing Authority RB Series 2008 H | | ||||||||||||
1,180,000 | 6.350 | 01/01/30 | 1,241,360 | |||||||||||
| Massachusetts State Health & Educational Facilities Authority RB | | ||||||||||||
2,685,000 | 5.750 | 07/01/31 | 2,915,239 | |||||||||||
| Massachusetts State Health & Educational Facilities Authority RB | | ||||||||||||
315,000 | 5.750 | 07/01/18 | 356,879 | |||||||||||
|
| |||||||||||||
10,376,778 | ||||||||||||||
|
| |||||||||||||
Michigan – 1.0% | ||||||||||||||
| Michigan Finance Authority Local Government Loan Program | | ||||||||||||
1,000,000 | 3.875 | 10/01/23 | 1,030,860 | |||||||||||
| Michigan Finance Authority Local Government Loan Program | | ||||||||||||
400,000 | 5.000 | 07/01/35 | 433,528 | |||||||||||
| Michigan Finance Authority Local Government Loan Program | | ||||||||||||
650,000 | 5.000 | 07/01/36 | 697,502 | |||||||||||
| Michigan Finance Authority RB Refunding for Detroit Water and | | ||||||||||||
325,000 | 5.000 | 07/01/32 | 358,582 | |||||||||||
250,000 | 5.000 | 07/01/33 | 274,848 | |||||||||||
| Michigan Finance Authority State Aid RB for Detroit School | | ||||||||||||
2,300,000 | 5.750 | 08/22/16 | 2,299,816 | |||||||||||
|
|
24 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Michigan – (continued) | ||||||||||||||
| Roseville Community School District GO Bonds Refunding | | ||||||||||||
$ | 1,000,000 | 5.000 | % | 05/01/20 | $ | 1,147,890 | ||||||||
|
| |||||||||||||
6,243,026 | ||||||||||||||
|
| |||||||||||||
Minnesota – 0.3% | ||||||||||||||
| Minneapolis Minnesota Health Care System RB for Fairview | | ||||||||||||
1,500,000 | 6.750 | 11/15/18 | 1,762,020 | |||||||||||
|
| |||||||||||||
Mississippi – 0.2% | ||||||||||||||
| Mississippi Development Bank Special Obligation RB for Hinds | | ||||||||||||
1,095,000 | 5.375 | 10/01/33 | 1,247,293 | |||||||||||
|
| |||||||||||||
Nevada – 1.1% | ||||||||||||||
| Clark County School District Limited Tax GO Bonds Refunding | | ||||||||||||
4,250,000 | 5.000 | 06/15/18 | 4,694,762 | |||||||||||
| North Las Vegas Local Improvement District No. 60 Special | | ||||||||||||
555,000 | 4.850 | 12/01/15 | 557,442 | |||||||||||
1,245,500 | 5.100 | 12/01/22 | 1,258,329 | |||||||||||
|
| |||||||||||||
6,510,533 | ||||||||||||||
|
| |||||||||||||
New Hampshire – 0.2% | ||||||||||||||
| New Hampshire State Business Finance Authority RB for Waste | | ||||||||||||
1,250,000 | 5.200 | 05/01/27 | 1,289,213 | |||||||||||
|
| |||||||||||||
New Jersey – 4.1% | ||||||||||||||
| New Jersey Economic Development Authority RB for School | | ||||||||||||
15,000 | 6.000 | 12/15/34 | 16,778 | |||||||||||
| New Jersey Economic Development Authority RB for School | | ||||||||||||
985,000 | 6.000 | 12/15/18 | 1,142,827 | |||||||||||
| New Jersey Economic Development Authority RB for School | | ||||||||||||
360,000 | 5.000 | 09/01/19 | 412,632 | |||||||||||
| New Jersey Economic Development Authority RB Refunding for | | ||||||||||||
4,000,000 | 5.500 | 12/15/29 | 4,338,320 | |||||||||||
| New Jersey Health Care Facilities Financing Authority RB for St. | | ||||||||||||
2,500,000 | 6.625 | 07/01/38 | 2,767,725 | |||||||||||
| New Jersey State Higher Education Assistance Authority RB for | | ||||||||||||
2,455,000 | 6.125 | 06/01/30 | 2,648,650 | |||||||||||
| New Jersey State Housing and Mortgage Finance Agency RB for | | ||||||||||||
250,000 | 6.150 | 10/01/23 | 257,620 | |||||||||||
|
| |||||||||||||
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
New Jersey – (continued) | ||||||||||||||
| New Jersey State Turnpike Authority RB Refunding Series 2000 B | | ||||||||||||
$ | 6,300,000 | 0.161 | % | 01/01/30 | $ | 5,777,266 | ||||||||
| New Jersey State Turnpike Authority RB Series 2009 G (A+/A3) |
| ||||||||||||
1,900,000 | 5.000 | 01/01/18 | 2,074,021 | |||||||||||
| New Jersey Transportation Trust Fund Authority RB for | | ||||||||||||
5,260,000 | 5.500 | 06/15/41 | 5,580,913 | |||||||||||
|
| |||||||||||||
25,016,752 | ||||||||||||||
|
| |||||||||||||
New Mexico – 0.6% | ||||||||||||||
| Farmington New Mexico PCRB Refunding for Public Service Co. | | ||||||||||||
2,500,000 | 5.900 | 06/01/40 | 2,740,950 | |||||||||||
| Santa Fe County New Mexico RB for Gross Receipts Series 2008 | | ||||||||||||
1,000,000 | 5.250 | 06/01/31 | 1,102,210 | |||||||||||
|
| |||||||||||||
3,843,160 | ||||||||||||||
|
| |||||||||||||
New York – 4.6% | ||||||||||||||
| City of New Rochelle Corp. for Local Development RB for Iona | | ||||||||||||
325,000 | 5.000 | 07/01/25 | 384,043 | |||||||||||
335,000 | 5.000 | 07/01/26 | 391,514 | |||||||||||
425,000 | 5.000 | 07/01/27 | 492,800 | |||||||||||
| Erie County New York Industrial Development Agency RB for | | ||||||||||||
11,000,000 | 5.750 | 05/01/18 | 12,413,610 | |||||||||||
| New York City GO Bonds Series 2006 A (AA/Aa2) |
| ||||||||||||
395,000 | 5.000 | 08/01/18 | 410,938 | |||||||||||
| New York City GO Bonds Series 2006 A (NR/NR)(c) |
| ||||||||||||
5,000 | 5.000 | 08/01/16 | 5,194 | |||||||||||
| New York City Industrial Development Agency Special Facility | | ||||||||||||
1,000,000 | 2.000 | 08/01/16 | 1,001,450 | |||||||||||
| New York Housing Development Corp. Multi-Family Mortgage | | ||||||||||||
1,000,000 | 3.500 | 02/15/48 | 986,790 | |||||||||||
| New York State Thruway Authority Junior Indebtedness RB | | ||||||||||||
1,000,000 | 5.000 | 05/01/19 | 1,128,360 | |||||||||||
| New York State Urban Development Corp. General Purpose | | ||||||||||||
5,000,000 | 5.000 | 03/15/31 | 5,773,250 | |||||||||||
| TSASC, Inc. RB Series 2006 1 (BB-/NR) |
| ||||||||||||
5,000,000 | 5.000 | 06/01/26 | 5,070,450 | |||||||||||
|
| |||||||||||||
28,058,399 | ||||||||||||||
|
| |||||||||||||
North Carolina – 1.3% | ||||||||||||||
| Charlotte North Carolina Water and Sewer System RB | | ||||||||||||
2,000,000 | 5.000 | 07/01/38 | 2,281,600 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 25 |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments (continued)
September 30, 2015 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
North Carolina – (continued) | ||||||||||||||
| North Carolina Eastern Municipal Power Agency Power System | | ||||||||||||
$ | 355,000 | 6.000 | % | 01/01/19 | $ | 386,080 | ||||||||
| North Carolina Medical Care Commission Health Care Facilities | | ||||||||||||
675,000 | 2.000 | 10/01/15 | 675,000 | |||||||||||
1,225,000 | 3.000 | 10/01/16 | 1,240,190 | |||||||||||
1,500,000 | 4.000 | 10/01/17 | 1,551,375 | |||||||||||
885,000 | 5.000 | 10/01/18 | 948,340 | |||||||||||
| North Carolina Medical Care Commission Retirement Facilities | | ||||||||||||
620,000 | 4.000 | 09/01/25 | 602,181 | |||||||||||
|
| |||||||||||||
7,684,766 | ||||||||||||||
|
| |||||||||||||
Ohio – 1.1% | ||||||||||||||
| Buckeye Ohio Tobacco Settlement Financing Authority RB | | ||||||||||||
7,940,000 | 5.125 | 06/01/24 | 6,795,052 | |||||||||||
|
| |||||||||||||
Oklahoma – 0.3% | ||||||||||||||
| Oklahoma Development Finance Authority RB for Great Plains | | ||||||||||||
240,000 | 5.000 | 12/01/27 | 244,569 | |||||||||||
140,000 | 5.125 | 12/01/36 | 138,830 | |||||||||||
| Tulsa Municipal Airport Trust RB Refunding for American | | ||||||||||||
1,500,000 | 5.000 | 06/01/25 | 1,625,340 | |||||||||||
|
| |||||||||||||
2,008,739 | ||||||||||||||
|
| |||||||||||||
Oregon – 1.3% | ||||||||||||||
| Deschutes County Oregon Hospital Facilities Authority RB | | ||||||||||||
1,500,000 | 8.250 | 01/01/19 | 1,847,865 | |||||||||||
| Oregon State Department of Transportation Highway User Tax | | ||||||||||||
3,140,000 | 5.000 | 11/15/25 | 3,879,753 | |||||||||||
| Portland Oregon Community College District GO Bonds | | ||||||||||||
2,000,000 | 5.000 | 06/15/26 | 2,383,420 | |||||||||||
|
| |||||||||||||
8,111,038 | ||||||||||||||
|
| |||||||||||||
Pennsylvania – 2.0% | ||||||||||||||
| Luzerne County Pennsylvania GO Bonds Refunding Series 2015 A | | ||||||||||||
750,000 | 5.000 | 11/15/29 | 835,612 | |||||||||||
| Mifflin County Pennsylvania School District GO Bonds | | ||||||||||||
2,000,000 | 7.500 | 09/01/26 | 2,229,780 | |||||||||||
| Montgomery County IDA RB for Whitemarsh Continuing Care | | ||||||||||||
500,000 | 3.000 | 01/01/16 | 501,505 | |||||||||||
650,000 | 3.000 | 01/01/17 | 655,753 | |||||||||||
800,000 | 3.000 | 01/01/18 | 806,376 | |||||||||||
|
| |||||||||||||
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Pennsylvania – (continued) | ||||||||||||||
| Pennsylvania Economic Development Financing Authority PCRB | | ||||||||||||
$ | 2,500,000 | 4.000 | % | 10/01/23 | $ | 2,682,150 | ||||||||
| Pennsylvania Economic Development Financing Authority Solid | | ||||||||||||
1,000,000 | 1.500 | 05/01/18 | 995,980 | |||||||||||
| Pennsylvania State Higher Educational Facilities Authority RB | | ||||||||||||
1,685,000 | 0.790 | 07/01/27 | 1,549,661 | |||||||||||
| Pennsylvania Turnpike Commission RB Series 2013 C (A+/A1) |
| ||||||||||||
1,720,000 | 5.500 | 12/01/29 | 2,053,680 | |||||||||||
|
| |||||||||||||
12,310,497 | ||||||||||||||
|
| |||||||||||||
Puerto Rico – 5.0% | ||||||||||||||
| Puerto Rico Commonwealth Aqueduct & Sewer Authority RB | | ||||||||||||
3,635,000 | 6.125 | 07/01/24 | 2,591,064 | |||||||||||
2,000,000 | 6.000 | 07/01/38 | 1,392,520 | |||||||||||
2,500,000 | 6.000 | 07/01/44 | 1,731,275 | |||||||||||
| Puerto Rico Commonwealth Aqueduct & Sewer Authority RB | | ||||||||||||
1,060,000 | 5.750 | 07/01/37 | 727,436 | |||||||||||
| Puerto Rico Commonwealth GO Bonds Refunding for Public | | ||||||||||||
3,000,000 | 6.500 | 07/01/37 | 1,987,500 | |||||||||||
| Puerto Rico Commonwealth GO Bonds Refunding | | ||||||||||||
2,000,000 | 6.000 | 07/01/27 | 2,009,780 | |||||||||||
| Puerto Rico Commonwealth GO Bonds Series 2014 A (CC/Caa3) |
| ||||||||||||
4,175,000 | 8.000 | 07/01/35 | 3,131,250 | |||||||||||
| Puerto Rico Commonwealth Highway & Transportation Authority | | ||||||||||||
1,600,000 | 5.250 | 07/01/33 | 1,461,008 | |||||||||||
| Puerto Rico Electric Power Authority RB Refunding Series 2007 | | ||||||||||||
2,700,000 | 0.710 | 07/01/29 | 1,954,125 | |||||||||||
| Puerto Rico Electric Power Authority RB Series 2013 A | | ||||||||||||
3,000,000 | 6.750 | 07/01/36 | 1,935,000 | |||||||||||
| Puerto Rico Public Buildings Authority RB Refunding for | | ||||||||||||
2,840,000 | 5.500 | 07/01/17 | 2,829,520 | |||||||||||
| Puerto Rico Sales Tax Financing Corp. RB for Capital | | ||||||||||||
13,000,000 | 0.000 | 08/01/32 | 5,282,290 | |||||||||||
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB First | | ||||||||||||
5,805,000 | 5.000 | 08/01/24 | 2,554,258 | |||||||||||
2,750,000 | 6.500 | 08/01/44 | 1,175,625 | |||||||||||
|
| |||||||||||||
30,762,651 | ||||||||||||||
|
|
26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
South Carolina – 1.0% | ||||||||||||||
| Clemson University Athletic Facilities RB Series 2015 (NR/Aa3) |
| ||||||||||||
$ | 1,385,000 | 4.000 | % | 05/01/25 | $ | 1,568,429 | ||||||||
1,570,000 | 4.000 | 05/01/26 | 1,746,735 | |||||||||||
| Georgetown County South Carolina Environmental RB for | | ||||||||||||
2,500,000 | 5.000 | 08/01/30 | 2,504,975 | |||||||||||
|
| |||||||||||||
5,820,139 | ||||||||||||||
|
| |||||||||||||
South Dakota – 0.1% | ||||||||||||||
| South Dakota Health & Educational Facilities Authority RB for | | ||||||||||||
500,000 | 5.500 | 07/01/35 | 547,660 | |||||||||||
300,000 | 5.250 | 07/01/38 | 323,019 | |||||||||||
|
| |||||||||||||
870,679 | ||||||||||||||
|
| |||||||||||||
Tennessee – 1.3% | ||||||||||||||
| Johnson City Tennessee Health & Educational Facilities Board | | ||||||||||||
1,775,000 | 5.500 | 07/01/36 | 1,832,013 | |||||||||||
| Knox County Tennessee Health, Educational & Housing Facilities | | ||||||||||||
2,700,000 | 5.250 | 04/01/36 | 2,788,614 | |||||||||||
| Metropolitan Government Nashville & Davidson County Health | | ||||||||||||
1,000,000 | 4.850 | 06/01/25 | 1,007,530 | |||||||||||
| Sullivan County Tennessee Health, Educational & Housing | | ||||||||||||
2,100,000 | 5.250 | 09/01/36 | 2,166,087 | |||||||||||
|
| |||||||||||||
7,794,244 | ||||||||||||||
|
| |||||||||||||
Texas – 12.5% | ||||||||||||||
| City of Lewisville Texas Combination Contract & Special | | ||||||||||||
1,415,000 | 4.000 | 09/01/25 | 1,508,772 | |||||||||||
| Dallas Area Rapid Transit Sales Tax RB Refunding Senior Lien | | ||||||||||||
5,000,000 | 5.000 | 12/01/26 | 6,044,400 | |||||||||||
| Dallas County Utility & Reclamation District GO Bonds | | ||||||||||||
2,675,000 | 5.375 | 02/15/29 | 2,827,528 | |||||||||||
| Dallas-Fort Worth International Airport Joint RB Refunding | | ||||||||||||
2,500,000 | 5.250 | 11/01/30 | 2,856,250 | |||||||||||
| Hidalgo County Health Services RB for Mission Hospital, Inc. | | ||||||||||||
700,000 | 5.000 | 08/15/19 | 700,994 | |||||||||||
| Houston Airport System RB Refunding for United Airlines, Inc. | | ||||||||||||
2,500,000 | 5.000 | 07/15/20 | 2,673,750 | |||||||||||
|
| |||||||||||||
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Texas – (continued) | ||||||||||||||
| Houston Airport System RB Refunding Senior Lien Series 2009 A | | ||||||||||||
$ | 10,000,000 | 5.500 | % | 07/01/34 | $ | 11,003,900 | ||||||||
| Houston Airport System RB Subordinate Lien Series 2002 D-2 | | ||||||||||||
4,000,000 | 0.389 | 10/05/15 | 3,703,423 | |||||||||||
| Matagorda County Texas Navigation District No. 1 PCRB | | ||||||||||||
1,300,000 | 6.300 | 11/01/29 | 1,461,993 | |||||||||||
| Matagorda County Texas Navigation District No. 1 PCRB | | ||||||||||||
2,500,000 | 5.200 | 05/01/30 | 2,625,675 | |||||||||||
| Mesquite Texas Health Facilities Development Corp. RB for | | ||||||||||||
150,000 | 5.500 | 02/15/25 | 150,709 | |||||||||||
235,000 | 5.625 | 02/15/35 | 235,783 | |||||||||||
| New Hope Cultural Education Facilities Finance Corp. Student | | ||||||||||||
250,000 | 5.000 | 04/01/30 | 265,317 | |||||||||||
| North Texas Tollway Authority RB Convertible Capital | | ||||||||||||
1,000,000 | 0.000 | 09/01/43 | 905,210 | |||||||||||
| North Texas Tollway Authority RB First Tier Series 2009 A | | ||||||||||||
2,500,000 | 6.250 | 01/01/24 | 2,898,975 | |||||||||||
1,100,000 | 6.250 | 01/01/39 | 1,263,801 | |||||||||||
| North Texas Tollway Authority RB Special Project System | | ||||||||||||
1,000,000 | 5.500 | 09/01/41 | 1,170,920 | |||||||||||
1,000,000 | 6.000 | 09/01/41 | 1,212,430 | |||||||||||
| North Texas Tollway Authority System RB Refunding for Capital | | ||||||||||||
6,000,000 | 6.500 | 01/01/43 | 7,356,840 | |||||||||||
| North Texas Tollway Authority System RB Refunding for First | | ||||||||||||
5,000,000 | 5.750 | 01/01/40 | 5,439,400 | |||||||||||
| Pharr-San Juan-Alamo Independent School District Unlimited | | ||||||||||||
2,670,000 | 5.500 | 02/01/17 | 2,850,492 | |||||||||||
| Port of Houston Authority Harris County Unlimited Tax GO | | ||||||||||||
3,000,000 | 6.125 | 10/01/33 | 3,446,820 | |||||||||||
| Round Rock Texas Independent School District Unlimited Tax | | ||||||||||||
2,730,000 | 5.250 | 08/01/34 | 3,036,661 | |||||||||||
| Tarrant County Cultural Education Facilities Finance Corp. RB | | ||||||||||||
425,000 | 5.125 | 05/15/37 | 434,235 | |||||||||||
| Texas Municipal Gas Acquisition & Supply Corp. I RB Senior | | ||||||||||||
3,000,000 | 6.250 | 12/15/26 | 3,613,140 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments (continued)
September 30, 2015 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Texas – (continued) | ||||||||||||||
| Texas Private Activity Bond Surface Transportation Corp. RB | | ||||||||||||
$ | 3,255,000 | 6.875 | % | 12/31/39 | $ | 3,807,081 | ||||||||
| Texas State Water Financial Assistance GO Refunding Bonds | | ||||||||||||
3,325,000 | 2.000 | 02/01/18 | 3,335,208 | |||||||||||
|
| |||||||||||||
76,829,707 | ||||||||||||||
|
| |||||||||||||
U.S. Virgin Islands – 0.9% | ||||||||||||||
| Virgin Islands Public Finance Authority RB Series 2014 A | | ||||||||||||
5,000,000 | 5.000 | 10/01/34 | 5,508,850 | |||||||||||
|
| |||||||||||||
Utah – 0.1% | ||||||||||||||
| Utah Housing Corp. Single Family Mortgage RB Series 2008 B-1 | | ||||||||||||
290,000 | 5.900 | 07/01/36 | 293,866 | |||||||||||
|
| |||||||||||||
Virginia – 1.7% | ||||||||||||||
| Amelia County IDA Solid Waste Disposal RB Refunding for | | ||||||||||||
2,500,000 | 2.125 | 04/01/20 | 2,475,650 | |||||||||||
| Virginia Port Authority Port Facilities RB Refunding Series 2015 A | | ||||||||||||
2,750,000 | 5.000 | 07/01/30 | 3,141,462 | |||||||||||
| Virginia Public School Authority School Financing RB Refunding | | ||||||||||||
2,750,000 | 4.000 | 08/01/20 | 3,078,158 | |||||||||||
| Virginia Small Business Financing Authority Senior Lien RB for | | ||||||||||||
750,000 | 5.500 | 01/01/42 | 811,687 | |||||||||||
| Washington County IDA RB for Mountain States Health Alliance | | ||||||||||||
1,000,000 | 7.750 | 07/01/38 | 1,146,500 | |||||||||||
|
| |||||||||||||
10,653,457 | ||||||||||||||
|
| |||||||||||||
Washington – 1.5% | ||||||||||||||
| Puttable Floating Option Tax-Exempt Receipts (RITES) GO | | ||||||||||||
700,000 | 16.565 | 01/01/23 | 1,057,658 | |||||||||||
| Puttable Floating Option Tax-Exempt Receipts (RITES) GO | | ||||||||||||
730,000 | 16.573 | 01/01/24 | 1,101,687 | |||||||||||
| University of Washington RB Refunding Series 2012 A | | ||||||||||||
2,500,000 | 5.000 | 07/01/29 | 2,910,575 | |||||||||||
| Washington Health Care Facilities Authority RB for MultiCare | | ||||||||||||
250,000 | 6.000 | 08/15/19 | 295,555 | |||||||||||
| Washington Health Care Facilities Authority RB for MultiCare | | ||||||||||||
250,000 | 6.000 | 08/15/19 | 295,555 | |||||||||||
| Washington State GO Bonds Series 1992 B & AT-7 (AA+/Aa1) |
| ||||||||||||
265,000 | 6.400 | 06/01/17 | 282,082 | |||||||||||
|
| |||||||||||||
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Washington – (continued) | ||||||||||||||
| Washington State Health Care Facilities Authority RB for | | ||||||||||||
$ | 3,000,000 | 6.000 | % | 08/15/37 | $ | 3,198,150 | ||||||||
|
| |||||||||||||
9,141,262 | ||||||||||||||
|
| |||||||||||||
West Virginia – 0.2% | ||||||||||||||
| West Virginia Hospital Finance Authority Hospital RB Refunding | | ||||||||||||
1,000,000 | 5.500 | 06/01/39 | 1,111,550 | |||||||||||
|
| |||||||||||||
Wisconsin – 1.0% | ||||||||||||||
| Public Finance Authority Senior Airport Facilities RB Refunding | | ||||||||||||
2,000,000 | 5.250 | 07/01/28 | 2,163,460 | |||||||||||
| Wisconsin State Health & Educational Facilities Authority RB for | | ||||||||||||
375,000 | 5.125 | 05/15/29 | 382,189 | |||||||||||
| Wisconsin State Health & Educational Facilities Authority RB for | | ||||||||||||
100,000 | 5.000 | 05/15/36 | 101,400 | |||||||||||
| Wisconsin State Health & Educational Facilities Authority RB for | | ||||||||||||
1,750,000 | 5.250 | 08/15/31 | 1,795,237 | |||||||||||
| Wisconsin State Health & Educational Facilities Authority RB | | ||||||||||||
200,000 | 4.000 | 05/01/16 | 203,576 | |||||||||||
350,000 | 4.000 | 05/01/17 | 364,378 | |||||||||||
375,000 | 4.000 | 05/01/18 | 395,351 | |||||||||||
285,000 | 4.000 | 05/01/19 | 301,721 | |||||||||||
410,000 | 5.000 | 05/01/20 | 451,410 | |||||||||||
|
| |||||||||||||
6,158,722 | ||||||||||||||
|
| |||||||||||||
| Total State-Specific Municipal Debt Obligations | | ||||||||||||
(Cost $576,903,337) | $ | 597,410,821 | ||||||||||||
|
|
Shares | Distribution Rate | Value | ||||||
Investment Company(i) – 0.7% | ||||||||
Goldman Sachs Financial Square Tax-Free Money Market Fund – FST Shares |
| |||||||
4,544,566 | 0.006 | % | $ | 4,544,566 | ||||
(Cost $4,544,566) | ||||||||
| ||||||||
TOTAL INVESTMENTS – 98.2% | ||||||||
(Cost $581,447,903) | $ | 601,955,387 | ||||||
| ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.8% | 11,332,321 | |||||||
| ||||||||
NET ASSETS – 100.0% | $ | 613,287,708 | ||||||
|
28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
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. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2015. | |
(b) | Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect at September 30, 2015. | |
(c) | Pre-refunded security. Maturity date disclosed is pre-refunding date. | |
(d) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
(e) | Zero coupon bond until next reset date. | |
(f) | Security is currently in default. | |
(g) | 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 $10,118,661, which represents approximately 1.6% of net assets as of September 30, 2015. | |
(h) | Inverse floating rate security. Interest rate disclosed is that which is in effect on September 30, 2015. | |
(i) | Represents an affiliated issuer. |
Security ratings disclosed, if any, are issued by either Standard & Poor’s, Moody’s Investor Service or Fitch and are unaudited. A brief description of the ratings is available in the Fund’s Statement of Additional Information.
| ||
Investment Abbreviations: | ||
ACA | —Insured by American Capital Access | |
AGM | —Insured by Assured Guaranty Municipal Corp. | |
AMBAC | —Insured by American Municipal Bond Assurance Corp. | |
AMT | —Alternative Minimum Tax | |
ASSURED GTY | —Insured by Assured Guaranty | |
CAL MTG INS | —Insured by California Mortgage Insurance | |
COMWLTH GTD | —Commonwealth Guaranteed | |
COPS | —Certificates of Participation | |
CRA | —Community Reinvestment Act | |
ETM | —Escrowed to Maturity | |
FNMA | —Federal National Mortgage Association | |
GARB | —General Airport Revenue Bond | |
GNMA | —Government National Mortgage Association | |
GO | —General Obligation | |
IDA | —Industrial Development Authority | |
LIBOR | —London Interbank Offered Rate | |
NATL-RE | —Insured by National Public Finance Guarantee Corp. | |
NATL-RE FGIC | —Insured by National Public Finance Guarantee Corp., which reinsures Financial Guaranty Insurance Co. | |
NATL-RE-IBC | —Insured by National Public Finance Guarantee Corp. - Insured Bond Certificates | |
NR | —Not Rated | |
PCRB | —Pollution Control Revenue Bond | |
PSF-GTD | —Guaranteed by Permanent School Fund | |
Q-SBLF | —Qualified School Board Loan Fund | |
RB | —Revenue Bond | |
RITES | —Residual Interest Tax Exempt Securities | |
RMKT | —Remarketed | |
ST AID WITHHLDG | —State Aid Withholding | |
ST APPROP | —State Appropriation | |
WR | —Withdrawn Rating | |
XLCA | —Insured by XL Capital Assurance, Inc. | |
|
The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments (continued)
September 30, 2015 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION |
SWAP CONTRACTS — At September 30, 2015, the Fund had the following swap contracts:
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
Market Value | ||||||||||||||||||||||||||
Counterparty | Referenced Obligation | Notional Amount (000’s) | Rates Received (Paid) | Termination Date | Credit Spread on September 30, 2015(a) | Upfront Payments Made (Received) | Unrealized Gain (Loss) | |||||||||||||||||||
Protection Sold: | ||||||||||||||||||||||||||
Bank of America, N.A. | California State Various Purpose GO Bonds Series 2003, 5.250%, 02/01/18 | $ | 1,000 | 1.000 | % | 03/20/23 | 1.021 | % | $ | (37,070 | ) | $ | 36,325 | |||||||||||||
JPMorgan Chase Bank, N.A. | California State Various Purpose GO Bonds Series 2003, 5.250%, 02/01/18 | 1,000 | 1.000 | 03/20/23 | 1.021 | (37,070 | ) | 36,326 | ||||||||||||||||||
TOTAL | $ | (74,140 | ) | $ | 72,651 |
(a) | Credit spread on the Referenced Obligation, together with the period of expiration, 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 term of the swap contract increase. |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
Rates Exchanged | Market Value | |||||||||||||||||
Notional Amount (000’s)(a) | Termination Date | Payments Received | Payments Made | Upfront Payments Made (Received) | Unrealized Gain (Loss) | |||||||||||||
$ | 5,800 | 12/16/45 | 3 Month LIBOR | 2.750% | $ | (15,220 | ) | $ | (236,957 | ) | ||||||||
12,500 | 12/16/25 | 3 Month LIBOR | 2.500 | (234,605 | ) | (268,909 | ) | |||||||||||
11,100 | 12/16/30 | 3 Month LIBOR | 2.500 | 74,055 | (319,353 | ) | ||||||||||||
TOTAL | $ | (175,770 | ) | $ | (825,219 | ) |
(a) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2015. |
30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments
September 30, 2015 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – 97.7% | ||||||||||||||
Alabama – 4.3% | ||||||||||||||
| Alexander City Special Care Facilities Financing Authority | | ||||||||||||
$ | 1,470,000 | 5.375 | % | 12/01/16 | $ | 1,490,139 | ||||||||
4,425,000 | 5.500 | 12/01/21 | 4,481,109 | |||||||||||
5,775,000 | 5.625 | 12/01/26 | 5,845,570 | |||||||||||
16,695,000 | 5.750 | 12/01/36 | 16,888,829 | |||||||||||
| Jefferson County Senior Lien Sewer RB Warrants Series 2013 C | | ||||||||||||
5,750,000 | 0.000 | 10/01/38 | 4,123,555 | |||||||||||
5,000,000 | 0.000 | 10/01/42 | 3,557,850 | |||||||||||
| Jefferson County Subordinate Lien Sewer RB Warrants | | ||||||||||||
6,500,000 | 6.000 | 10/01/42 | 7,258,225 | |||||||||||
19,850,000 | 7.000 | 10/01/51 | 23,650,283 | |||||||||||
66,520,000 | 6.500 | 10/01/53 | 76,033,690 | |||||||||||
|
| |||||||||||||
143,329,250 | ||||||||||||||
|
| |||||||||||||
Alaska – 0.4% | ||||||||||||||
| Northern Tobacco Securitization Corp. RB Refunding | | ||||||||||||
16,240,000 | 5.000 | 06/01/46 | 12,804,103 | |||||||||||
|
| |||||||||||||
Arizona – 1.8% | ||||||||||||||
| Apache County IDA PCRB for Tucson Electric Power Company | | ||||||||||||
4,500,000 | 4.500 | 03/01/30 | 4,812,075 | |||||||||||
| Arizona Health Facilities Authority Hospital RB for Banner | | ||||||||||||
25,000,000 | 1.000 | 01/01/37 | 21,715,250 | |||||||||||
| City of Tempe IDA RB Refunding for Friendship Village | | ||||||||||||
1,250,000 | 6.250 | 12/01/42 | 1,335,913 | |||||||||||
1,325,000 | 6.250 | 12/01/46 | 1,413,894 | |||||||||||
| Maricopa County Arizona Pollution Control Corp. PCRB | | ||||||||||||
8,800,000 | 7.250 | 02/01/40 | 10,003,576 | |||||||||||
| Maricopa County Arizona Pollution Control Corp. PCRB | | ||||||||||||
5,000,000 | 6.250 | 01/01/38 | 5,454,050 | |||||||||||
| Pima County IDA RB Refunding for Tucson Electric Power Co. | | ||||||||||||
5,350,000 | 4.500 | 06/01/30 | 5,733,916 | |||||||||||
| Pima County IDA RB Refunding for Tucson Electric Power Co. | | ||||||||||||
3,390,000 | 4.000 | 09/01/29 | 3,488,480 | |||||||||||
| University Medical Center Corp. RB Series 2009 (NR/WR)(c) |
| ||||||||||||
500,000 | 6.250 | 07/01/19 | 593,855 | |||||||||||
1,360,000 | 6.500 | 07/01/19 | 1,627,702 | |||||||||||
| University Medical Center Corp. RB Series 2011 (GO OF CORP) | | ||||||||||||
3,500,000 | 6.000 | 07/01/21 | 4,362,855 | |||||||||||
|
| |||||||||||||
60,541,566 | ||||||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
California – 14.1% | ||||||||||||||
| ABC Unified School District GO Bonds Series 2001 C | | ||||||||||||
$ | 1,600,000 | 0.000 | % | 08/01/26 | $ | 1,138,400 | ||||||||
| Alameda County Oakland Unified School District GO Bonds | | ||||||||||||
3,000,000 | 5.000 | 08/01/40 | 3,287,490 | |||||||||||
| Alvord Unified School District GO Bonds Capital Appreciation | | ||||||||||||
1,210,000 | 0.000 | 08/01/36 | 457,150 | |||||||||||
| Calaveras Unified School District GO Bonds for Capital | | ||||||||||||
1,055,000 | 0.000 | 08/01/25 | 767,164 | |||||||||||
| California County Tobacco Securitization Agency RB | | ||||||||||||
15,885,000 | 5.450 | 06/01/28 | 15,712,171 | |||||||||||
| California Municipal Finance Authority COPS for Community | | ||||||||||||
19,500,000 | 5.500 | 02/01/39 | 21,425,040 | |||||||||||
| California Pollution Control Financing Authority Water | | ||||||||||||
15,355,000 | 5.000 | 11/21/45 | 16,169,890 | |||||||||||
| California Statewide Communities Development Authority | | ||||||||||||
2,000,000 | 5.000 | 09/01/30 | 2,116,840 | |||||||||||
2,125,000 | 5.000 | 09/01/37 | 2,197,059 | |||||||||||
| California Statewide Communities Development Authority RB | | ||||||||||||
2,000,000 | 5.400 | 11/01/27 | 2,112,080 | |||||||||||
11,850,000 | 5.500 | 11/01/38 | 11,930,936 | |||||||||||
| California Statewide Communities Development Authority RB | | ||||||||||||
1,875,000 | 5.875 | 11/01/43 | 1,938,750 | |||||||||||
| California Statewide Communities Development Authority RB | | ||||||||||||
5,340,000 | 6.625 | 08/01/29 | 6,322,186 | |||||||||||
| California Statewide Financing Authority Tobacco Settlement RB | | ||||||||||||
35,000,000 | 0.000 | 06/01/46 | 1,890,700 | |||||||||||
| Capistrano Unified School District Special Tax for Capital | | ||||||||||||
7,000,000 | 0.000 | 09/01/33 | 3,349,080 | |||||||||||
| City of Davis Redevelopment Agency Tax Allocation for Davis | | ||||||||||||
750,000 | 6.500 | 12/01/26 | 882,668 | |||||||||||
2,830,000 | 7.000 | 12/01/36 | 3,528,472 | |||||||||||
| City of Fremont Community Facilities District No. 1 Special Tax | | ||||||||||||
3,000,000 | 5.000 | 09/01/45 | 3,243,270 | |||||||||||
| City of Goleta Redevelopment Agency Tax Allocation for Goleta | | ||||||||||||
670,000 | 7.750 | 12/01/31 | 695,654 | |||||||||||
5,000,000 | 8.000 | 06/01/44 | 5,247,600 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 31 |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
September 30, 2015 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
California – (continued) | ||||||||||||||
| City of Palo Alto Limited Obligation Refunding Improvement | | ||||||||||||
$ | 600,000 | 5.000 | % | 09/02/30 | $ | 650,952 | ||||||||
| Coronado Community Development Agency Tax Allocation for | | ||||||||||||
175,000 | 5.000 | 09/01/20 | 175,586 | |||||||||||
| Denair California Unified School District GO Bonds Capital | | ||||||||||||
1,305,000 | 0.000 | 08/01/27 | 794,680 | |||||||||||
| El Rancho California Unified School District GO Bonds Capital | | ||||||||||||
5,400,000 | 0.000 | 08/01/32 | 2,635,470 | |||||||||||
| Fairfield COPS Capital Appreciation for Water Financing | | ||||||||||||
4,180,000 | 0.000 | 04/01/29 | 2,339,253 | |||||||||||
| Folsom Cordova Unified School District No. 4 GO for School | | ||||||||||||
3,360,000 | 0.000 | 10/01/32 | 1,669,382 | |||||||||||
| Foothill/Eastern Transportation Corridor Agency Toll Road RB | | ||||||||||||
12,000,000 | 0.000 | 01/15/35 | 5,324,400 | |||||||||||
| Foothill/Eastern Transportation Corridor Agency Toll Road RB | | ||||||||||||
13,535,000 | 6.000 | 01/15/53 | 15,611,269 | |||||||||||
| Fullerton Public Financing Authority Tax Allocation Series 2005 | | ||||||||||||
200,000 | 5.000 | 09/01/27 | 203,698 | |||||||||||
| Golden State Tobacco Securitization Corp. California Tobacco | | ||||||||||||
125,785,000 | 0.000 | 06/01/47 | 11,245,179 | |||||||||||
| Golden State Tobacco Securitization Corp. California Tobacco | | ||||||||||||
307,000,000 | 0.000 | 06/01/47 | 11,570,830 | |||||||||||
| Golden State Tobacco Securitization Corp. California Tobacco | | ||||||||||||
25,855,000 | 5.750 | 06/01/47 | 22,979,924 | |||||||||||
| Golden State Tobacco Securitization Corp. California Tobacco | | ||||||||||||
5,000,000 | 5.300 | 06/01/37 | 4,323,100 | |||||||||||
| Inland Empire Tobacco Securitization Authority RB Turbo | | ||||||||||||
101,195,000 | 0.000 | 06/01/36 | 21,082,966 | |||||||||||
| Inland Empire Tobacco Securitization Authority RB Turbo | | ||||||||||||
211,235,000 | 0.000 | 06/01/47 | 9,592,181 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
California – (continued) | ||||||||||||||
| Inland Empire Tobacco Securitization Authority RB Turbo | | ||||||||||||
$ | 260,660,000 | 0.000 | % | 06/01/57 | $ | 2,968,917 | ||||||||
| Lammersville Joint Unified School District Special Tax Bonds for | | ||||||||||||
2,750,000 | 6.000 | 09/01/43 | 3,135,495 | |||||||||||
| Lemoore Redevelopment Agency Tax Allocation for Lemoore | | ||||||||||||
665,000 | 6.625 | 08/01/24 | 686,991 | |||||||||||
1,000,000 | 7.250 | 08/01/31 | 1,037,780 | |||||||||||
9,315,000 | 7.375 | 08/01/40 | 9,675,584 | |||||||||||
| Los Angeles County GO Bonds for Westside Union School | | ||||||||||||
49,925,000 | 0.000 | 08/01/50 | 9,864,182 | |||||||||||
| Lynwood Redevelopment Agency Tax Allocation for Housing | | ||||||||||||
1,625,000 | 6.750 | 09/01/26 | 1,959,328 | |||||||||||
1,500,000 | 7.000 | 09/01/31 | 1,806,240 | |||||||||||
875,000 | 7.250 | 09/01/38 | 1,065,330 | |||||||||||
| Merced-Union High School District Election of 2008 GO Bonds | | ||||||||||||
3,750,000 | 0.000 | 08/01/35 | 1,610,400 | |||||||||||
| M-S-R Energy Authority Gas RB Series 2009 A (A-/NR) |
| ||||||||||||
8,250,000 | 6.500 | 11/01/39 | 10,865,250 | |||||||||||
| M-S-R Energy Authority Gas RB Series 2009 B (A-/NR) |
| ||||||||||||
2,000,000 | 6.500 | 11/01/39 | 2,634,000 | |||||||||||
| M-S-R Energy Authority Gas RB Series 2009 C (A-/NR) |
| ||||||||||||
10,000,000 | 6.125 | 11/01/29 | 12,590,900 | |||||||||||
13,500,000 | 6.500 | 11/01/39 | 17,779,500 | |||||||||||
| Mt. Diablo Unified School District GO Bonds Capital | | ||||||||||||
7,000,000 | 0.000 | 08/01/30 | 5,847,660 | |||||||||||
| New Haven Unified School District GO Bonds Refunding for | | ||||||||||||
860,000 | 0.000 | 08/01/25 | 627,792 | |||||||||||
1,105,000 | 0.000 | 08/01/26 | 768,826 | |||||||||||
5,550,000 | 0.000 | 08/01/30 | 3,162,834 | |||||||||||
7,830,000 | 0.000 | 08/01/32 | 4,008,490 | |||||||||||
7,000,000 | 0.000 | 08/01/34 | 3,236,940 | |||||||||||
| Palomar Pomerado Health COPS Series 2009 (BB+/Ba1) |
| ||||||||||||
16,000,000 | 6.750 | 11/01/39 | 17,716,960 | |||||||||||
| Palomar Pomerado Health COPS Series 2010 (BB+/Ba1) |
| ||||||||||||
6,500,000 | 6.000 | 11/01/41 | 6,865,170 | |||||||||||
| Palomar Pomerado Health GO Bonds Capital Appreciation for | | ||||||||||||
10,750,000 | 0.000 | 08/01/38 | 11,250,198 | |||||||||||
| Placer Union High School District GO Bonds for Capital | | ||||||||||||
1,805,000 | 0.000 | 08/01/25 | 1,340,772 | |||||||||||
| Poway Unified School District Community Facilities District | | ||||||||||||
250,000 | 4.600 | 09/01/35 | 246,780 | |||||||||||
|
|
32 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
California – (continued) | ||||||||||||||
| River Islands Public Financing Authority Special Tax for | | ||||||||||||
$ | 22,500,000 | 5.500 | % | 09/01/45 | $ | 23,299,425 | ||||||||
| River Islands Public Financing Authority Community Facilities | | ||||||||||||
325,000 | 5.500 | 09/01/45 | 336,547 | |||||||||||
| Riverside County Redevelopment Agency Tax Allocation for | | ||||||||||||
2,220,000 | 0.000 | 10/01/33 | 971,028 | |||||||||||
2,220,000 | 0.000 | 10/01/35 | 868,597 | |||||||||||
1,840,000 | 0.000 | 10/01/37 | 644,239 | |||||||||||
5,000,000 | 0.000 | 10/01/38 | 1,654,150 | |||||||||||
8,425,000 | 0.000 | 10/01/39 | 2,643,934 | |||||||||||
13,395,000 | 0.000 | 10/01/40 | 3,985,816 | |||||||||||
7,275,000 | 0.000 | 10/01/41 | 2,051,841 | |||||||||||
6,000,000 | 0.000 | 10/01/42 | 1,603,320 | |||||||||||
| Riverside County Redevelopment Agency Tax Allocation for | | ||||||||||||
1,225,000 | 6.500 | 10/01/25 | 1,459,171 | |||||||||||
1,950,000 | 6.750 | 10/01/30 | 2,343,393 | |||||||||||
| Riverside County Transportation Commission Toll Revenue | | ||||||||||||
2,000,000 | 5.750 | 06/01/48 | 2,220,380 | |||||||||||
| San Bernardino City Unified School District GO Bonds Capital | | ||||||||||||
1,420,000 | 0.000 | 08/01/25 | 991,558 | |||||||||||
| San Diego Unified School District GO Bonds Refunding | | ||||||||||||
10,000,000 | 0.000 | 07/01/30 | 5,741,700 | |||||||||||
3,000,000 | 0.000 | 07/01/31 | 1,635,990 | |||||||||||
| San Francisco City & County Redevelopment Financing | | ||||||||||||
500,000 | 6.750 | 08/01/33 | 597,550 | |||||||||||
2,000,000 | 6.750 | 08/01/41 | 2,388,000 | |||||||||||
| San Francisco City & County Redevelopment Financing | | ||||||||||||
435,000 | 6.625 | 08/01/27 | 516,010 | |||||||||||
| San Francisco City & County Redevelopment Financing | | ||||||||||||
750,000 | 6.250 | 08/01/28 | 841,688 | |||||||||||
555,000 | 6.375 | 08/01/29 | 624,275 | |||||||||||
305,000 | 6.500 | 08/01/31 | 343,262 | |||||||||||
1,000,000 | 6.625 | 08/01/39 | 1,128,390 | |||||||||||
| San Francisco City & County Redevelopment Financing | | ||||||||||||
1,000,000 | 7.000 | 08/01/33 | 1,193,730 | |||||||||||
1,500,000 | 7.000 | 08/01/41 | 1,788,960 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
California – (continued) | ||||||||||||||
| San Joaquin Hills Transportation Corridor Agency RB Refunding | | ||||||||||||
$ | 3,000,000 | 5.000 | % | 01/15/29 | $ | 3,303,750 | ||||||||
| San Juan Unified School District GO Bonds for Capital | | ||||||||||||
1,580,000 | 0.000 | 08/01/24 | 1,226,649 | |||||||||||
1,595,000 | 0.000 | 08/01/25 | 1,179,056 | |||||||||||
| San Mateo Special Tax Bonds for Community Facilities District | | ||||||||||||
2,000,000 | 5.000 | 09/01/42 | 2,118,320 | |||||||||||
| San Mateo Special Tax Bonds for Community Facilities District | | ||||||||||||
2,000,000 | 5.500 | 09/01/44 | 2,193,280 | |||||||||||
| Santa Monica Redevelopment Agency Tax Allocation for | | ||||||||||||
2,000,000 | 5.000 | 07/01/42 | 2,199,380 | |||||||||||
| Santa Monica Redevelopment Agency Tax Allocation for | | ||||||||||||
2,000,000 | 5.000 | 07/01/32 | 2,291,020 | |||||||||||
| Santee Community Development Commission Tax Allocation for | | ||||||||||||
1,000,000 | 7.000 | 08/01/31 | 1,166,960 | |||||||||||
2,000,000 | 7.000 | 08/01/41 | 2,333,920 | |||||||||||
| Stockton Public Financing Authority Water RB for Delta Water | | ||||||||||||
2,000,000 | 6.250 | 10/01/40 | 2,397,380 | |||||||||||
| Tejon Ranch Public Facilities Financing Authority Special Tax | | ||||||||||||
4,000,000 | 5.250 | 09/01/42 | 4,187,000 | |||||||||||
| Temecula Redevelopment Agency Tax Allocation for Housing | | ||||||||||||
1,000,000 | 6.750 | 08/01/31 | 1,228,900 | |||||||||||
2,100,000 | 7.000 | 08/01/39 | 2,676,954 | |||||||||||
| Tobacco Securitization Authority Southern California Tobacco | | ||||||||||||
2,235,000 | 5.000 | 06/01/37 | 1,953,636 | |||||||||||
| Union City Community Redevelopment Agency Tax Allocation | | ||||||||||||
1,500,000 | 6.875 | 12/01/33 | 1,820,640 | |||||||||||
| University of California Regents Medical Center Pooled RB | | ||||||||||||
10,000,000 | 0.955 | 05/15/43 | 8,789,700 | |||||||||||
| West Hollywood Community Development Commission Tax | | ||||||||||||
1,000,000 | 7.250 | 09/01/31 | 1,243,720 | |||||||||||
5,000,000 | 7.500 | 09/01/42 | 6,270,750 | |||||||||||
| William S. Hart Union High School District GO Bonds Capital | | ||||||||||||
8,360,000 | 0.000 | 08/01/34 | 3,887,233 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 33 |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
September 30, 2015 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
California – (continued) | ||||||||||||||
| Yosemite Community College District GO Bonds Election of | | ||||||||||||
$ | 19,135,000 | 0.000 | % | 08/01/42 | $ | 10,971,052 | ||||||||
|
| |||||||||||||
472,676,043 | ||||||||||||||
|
| |||||||||||||
Colorado – 2.2% | ||||||||||||||
| Colorado Health Facilities Authority RB for Covenant Retirement | | ||||||||||||
3,500,000 | 4.500 | 12/01/33 | 3,518,270 | |||||||||||
3,500,000 | 5.000 | 12/01/33 | 3,680,145 | |||||||||||
| Colorado Health Facilities Authority RB for Covenant Retirement | | ||||||||||||
3,000,000 | 5.750 | 12/01/36 | 3,279,120 | |||||||||||
| Colorado Health Facilities Authority RB for The Evangelical | | ||||||||||||
3,000,000 | 5.625 | 06/01/43 | 3,308,190 | |||||||||||
| Colorado Regional Transportation District Tax-Exempt Private | | ||||||||||||
12,860,000 | 6.000 | 01/15/41 | 14,406,544 | |||||||||||
| Cross Creek Metropolitan District No. 2 GO Bonds Refunding | | ||||||||||||
4,500,000 | 3.500 | 12/01/17 | 3,719,880 | |||||||||||
| Denver Colorado City & County Special Facilities Airport RB | | ||||||||||||
925,000 | 5.250 | 10/01/32 | 953,860 | |||||||||||
7,000,000 | 5.750 | 10/01/32 | 7,316,470 | |||||||||||
| Denver Colorado Health and Hospital Authority Healthcare RB | | ||||||||||||
11,750,000 | 1.317 | 12/01/33 | 10,885,905 | |||||||||||
| E-470 Public Highway Authority RB Refunding Capital | | ||||||||||||
3,000,000 | 0.000 | 09/01/39 | 976,380 | |||||||||||
| E-470 Public Highway Authority RB Series 2004 A (NATL-RE) | | ||||||||||||
15,000,000 | 0.000 | 09/01/28 | 9,476,850 | |||||||||||
4,100,000 | 0.000 | 09/01/34 | 1,949,919 | |||||||||||
| E-470 Public Highway Authority RB Series 2004 B (NATL-RE) | | ||||||||||||
1,715,000 | 0.000 | 09/01/28 | 912,757 | |||||||||||
| E-470 Public Highway Authority RB Series 2010 A | | ||||||||||||
20,000,000 | 0.000 | 09/01/40 | 6,781,600 | |||||||||||
| Park Meadows Business Improvement District RB Series 2007 | | ||||||||||||
475,000 | 5.300 | 12/01/27 | 495,397 | |||||||||||
720,000 | 5.350 | 12/01/31 | 751,658 | |||||||||||
| Plaza Metropolitan District No. 1 RB Refunding Series 2013 | | ||||||||||||
1,000,000 | 5.000 | 12/01/40 | 1,002,920 | |||||||||||
| Vista Ridge Metropolitan District GO Bonds Refunding Limited | | ||||||||||||
1,725,000 | 0.000 | 12/01/40 | 1,039,243 | |||||||||||
|
| |||||||||||||
74,455,108 | ||||||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Connecticut – 0.0% | ||||||||||||||
| Town of Hamden Refunding GO Series 2013 (AGM) (AA/A2) |
| ||||||||||||
$ | 500,000 | 5.000 | % | 08/15/23 | $ | 585,580 | ||||||||
|
| |||||||||||||
Delaware – 0.3% | ||||||||||||||
| Bridgeville Delaware Special Obligation Special Tax for Heritage | | ||||||||||||
5,806,000 | 5.450 | 07/01/35 | 5,805,826 | |||||||||||
| Delaware Economic Development Authority Gas Facilities RB | | ||||||||||||
3,000,000 | 5.400 | 02/01/31 | 3,323,730 | |||||||||||
| Delaware Economic Development Authority RB for Indian River | | ||||||||||||
2,050,000 | 5.375 | 10/01/45 | 2,121,012 | |||||||||||
|
| |||||||||||||
11,250,568 | ||||||||||||||
|
| |||||||||||||
District of Columbia – 2.0% | ||||||||||||||
| Metropolitan Washington DC Airports Authority Dulles Toll | | ||||||||||||
25,000,000 | 0.000 | 10/01/41 | 29,761,000 | |||||||||||
| Metropolitan Washington DC Airports Authority Dulles Toll | | ||||||||||||
37,100,000 | 0.000 | 10/01/44 | 38,786,566 | |||||||||||
|
| |||||||||||||
68,547,566 | ||||||||||||||
|
| |||||||||||||
Florida – 15.3% | ||||||||||||||
| Amelia National Community Development District Special | | ||||||||||||
3,960,000 | 6.300 | 05/01/35 | 3,963,128 | |||||||||||
| Amelia National Community Development District Special | | ||||||||||||
1,495,000 | 5.375 | 05/01/37 | 1,201,143 | |||||||||||
| Arborwood Community Development District RB Capital | | ||||||||||||
14,765,000 | 5.350 | 05/01/36 | 14,766,772 | |||||||||||
| Arborwood Community Development District Special | | ||||||||||||
205,000 | 5.250 | 05/01/36 | 205,123 | |||||||||||
| Arborwood Community Development District Special | | ||||||||||||
3,085,000 | 5.500 | 05/01/36 | 3,085,679 | |||||||||||
| Arborwood Community Development District Special | | ||||||||||||
9,040,000 | 0.000 | 05/01/25 | 9,495,887 | |||||||||||
| Arborwood Community Development District Special | | ||||||||||||
4,065,000 | 0.000 | 05/01/36 | 4,461,500 | |||||||||||
|
|
34 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Florida – (continued) | ||||||||||||||
| Arborwood Community Development District Special | | ||||||||||||
$ | 1,035,000 | 0.000 | % | 05/01/36 | $ | 1,135,954 | ||||||||
| Bartram Park Community Development District Special | | ||||||||||||
2,000,000 | 4.250 | 05/01/29 | 1,985,680 | |||||||||||
| Bartram Park Community Development District Special | | ||||||||||||
1,000,000 | 5.000 | 05/01/35 | 995,020 | |||||||||||
| Bellagio Community Development District Special Assessment | | ||||||||||||
855,000 | 6.000 | 11/01/27 | 905,701 | |||||||||||
3,000,000 | 6.500 | 11/01/43 | 3,597,870 | |||||||||||
| Belmont Community Development District Capital Improvement | | ||||||||||||
775,000 | 6.125 | 11/01/33 | 806,527 | |||||||||||
1,000,000 | 6.500 | 11/01/43 | 1,051,250 | |||||||||||
| Brevard County Health Facilities Authority RB for Health First, | | ||||||||||||
4,750,000 | 7.000 | 04/01/19 | 5,722,990 | |||||||||||
| Bridgewater Community Development District Special | | ||||||||||||
8,295,000 | 5.750 | 05/01/35 | 8,246,391 | |||||||||||
| Broward County Florida Airport Exempt Facility RB for Learjet, | | ||||||||||||
2,000,000 | 7.500 | 11/01/20 | 2,024,560 | |||||||||||
| Century Parc Community Development District Special | | ||||||||||||
200,000 | 3.500 | 11/01/20 | 202,972 | |||||||||||
210,000 | 3.750 | 11/01/21 | 209,769 | |||||||||||
215,000 | 3.875 | 11/01/22 | 215,677 | |||||||||||
25,000 | 4.000 | 11/01/23 | 25,259 | |||||||||||
1,705,000 | 4.500 | 11/01/31 | 1,728,188 | |||||||||||
| City of Cape Coral Water & Sewer RB Refunding Series 2015 | | ||||||||||||
1,750,000 | 4.000 | 10/01/34 | 1,792,035 | |||||||||||
| CityPlace Community Development District Special Assessment | | ||||||||||||
2,250,000 | 5.000 | 05/01/26 | 2,521,012 | |||||||||||
| Concorde Estates Community Development District Special | | ||||||||||||
3,305,000 | 5.850 | 05/01/35 | 33 | |||||||||||
| Concorde Estates Community Development District Special | | ||||||||||||
3,980,000 | 5.000 | 05/01/11 | 40 | |||||||||||
| Concorde Estates Community Development District Special | | ||||||||||||
3,795,000 | 5.850 | 05/01/35 | 3,805,284 | |||||||||||
| Concorde Estates Community Development District Special | | ||||||||||||
2,425,000 | 5.850 | 05/01/35 | 2,161,985 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Florida – (continued) | ||||||||||||||
| Concorde Estates Community Development District Special | | ||||||||||||
$ | 5,775,000 | 0.000 | % | 05/01/17 | $ | 5,160,020 | ||||||||
| Cory Lakes Community Development District Special | | ||||||||||||
115,000 | 8.375 | 05/01/17 | 116,810 | |||||||||||
| Cory Lakes Community Development District Special | | ||||||||||||
215,000 | 8.375 | 05/01/17 | 220,564 | |||||||||||
| Country Walk Community Development District Special | | ||||||||||||
1,060,000 | 3.750 | 05/01/29 | 1,042,245 | |||||||||||
1,910,000 | 4.125 | 05/01/35 | 1,870,979 | |||||||||||
| Durbin Crossing Community Development District Special | | ||||||||||||
38,420,000 | 5.500 | 05/01/37 | 38,394,259 | |||||||||||
| Escambia County Health Facilities Authority Health Care | | ||||||||||||
27,000,000 | 6.000 | 08/15/36 | 31,205,790 | |||||||||||
| Estancia at Wiregrass Community Development District Capital | | ||||||||||||
1,270,000 | 6.375 | 11/01/26 | 1,397,737 | |||||||||||
3,250,000 | 7.000 | 11/01/45 | 3,722,322 | |||||||||||
| Estancia at Wiregrass Community Development District Capital | | ||||||||||||
1,000,000 | 5.250 | 11/01/35 | 993,820 | |||||||||||
1,500,000 | 5.375 | 11/01/46 | 1,494,315 | |||||||||||
| Fishhawk Community Development District II Special | | ||||||||||||
1,480,000 | 4.375 | 05/01/34 | 1,505,264 | |||||||||||
| Florida Higher Educational Facilities Financing Authority RB | | ||||||||||||
600,000 | 5.000 | 04/01/32 | 647,862 | |||||||||||
5,820,000 | 5.250 | 04/01/42 | 6,301,256 | |||||||||||
| Greater Orlando Aviation Authority Airport Facilities RB | | ||||||||||||
3,165,000 | 5.000 | 11/15/26 | 3,351,608 | |||||||||||
5,000,000 | 5.000 | 11/15/36 | 5,098,000 | |||||||||||
| Greeneway Improvement District Special Assessment RB | | ||||||||||||
11,755,000 | 5.125 | 05/01/43 | 11,942,492 | |||||||||||
| Heritage Harbour Market Place Community Development District | | ||||||||||||
7,555,000 | 5.600 | 05/01/36 | 4,534,964 | |||||||||||
| Heritage Harbour North Community Development District | | ||||||||||||
1,200,000 | 5.000 | 05/01/34 | 1,192,776 | |||||||||||
2,170,000 | 5.125 | 05/01/45 | 2,148,712 | |||||||||||
| Heritage Harbour South Community Development District RB | | ||||||||||||
500,000 | 5.050 | 05/01/31 | 525,650 | |||||||||||
500,000 | 5.150 | 05/01/34 | 519,665 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 35 |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
September 30, 2015 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Florida – (continued) | ||||||||||||||
| Heritage Isle At Viera Community Development District Special | | ||||||||||||
$ | 5,770,000 | 5.550 | % | 05/01/37 | $ | 5,771,096 | ||||||||
| Heritage Lake Park Community Development District Special | | ||||||||||||
2,265,000 | 5.700 | 05/01/36 | 2,264,796 | |||||||||||
| Heritage Landing Community Development District Special | | ||||||||||||
2,205,000 | 4.200 | 05/01/31 | 2,143,481 | |||||||||||
2,000,000 | 4.350 | 05/01/36 | 1,989,980 | |||||||||||
| Islands At Doral III Community Development District Special | | ||||||||||||
2,500,000 | 4.125 | 05/01/35 | 2,500,050 | |||||||||||
| Lakewood Ranch Stewardship District Special Assessment for | | ||||||||||||
2,895,000 | 7.210 | 11/01/20 | 3,110,041 | |||||||||||
| Lakewood Ranch Stewardship District Special Assessment for | | ||||||||||||
6,855,000 | 6.770 | 11/01/20 | 7,232,299 | |||||||||||
| Lakewood Ranch Stewardship District Special Assessment RB for | | ||||||||||||
2,485,000 | 6.700 | 05/01/33 | 2,834,143 | |||||||||||
4,830,000 | 7.000 | 05/01/43 | 5,600,771 | |||||||||||
| Lakewood Ranch Stewardship District Special Assessment RB for | | ||||||||||||
4,140,000 | 5.350 | 05/01/34 | 4,125,344 | |||||||||||
6,340,000 | 5.600 | 05/01/44 | 6,312,802 | |||||||||||
| Lakewood Ranch Stewardship District Special Assessment RB for | | ||||||||||||
19,735,000 | 8.000 | 05/01/40 | 24,295,956 | |||||||||||
| Lakewood Ranch Stewardship District Special Assessment RB for | | ||||||||||||
3,000,000 | 4.875 | 05/01/45 | 3,006,900 | |||||||||||
| Lee County IDA Health Care Facilities RB for Shell Point/ | | ||||||||||||
17,960,000 | 5.125 | 11/15/36 | 18,502,931 | |||||||||||
| Lee County IDA Health Care Facilities RB Refunding for Shell | | ||||||||||||
2,600,000 | 6.500 | 11/15/31 | 3,014,830 | |||||||||||
| Lee County IDA Health Care Facilities RB Refunding for Shell | | ||||||||||||
9,000,000 | 5.000 | 11/15/29 | 9,319,590 | |||||||||||
| Longleaf Community Development District Special Assessment | | ||||||||||||
4,660,000 | 5.400 | 05/01/30 | 4,139,385 | |||||||||||
| Longleaf Community Development District Special Assessment | | ||||||||||||
2,635,000 | 5.375 | 05/01/30 | 1,791,800 | |||||||||||
| Marshall Creek Community Development District Special | | ||||||||||||
1,940,000 | 5.000 | 05/01/32 | 1,939,864 | |||||||||||
| Meadow Pointe IV Community Development District RB for | | ||||||||||||
880,000 | 5.250 | 05/01/15 | 9 | |||||||||||
| Meadow Pointe IV Community Development District RB for | | ||||||||||||
1,380,000 | 6.150 | 11/01/14 | 14 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Florida – (continued) | ||||||||||||||
| Meadow Pointe IV Community Development District RB for | | ||||||||||||
$ | 435,000 | 6.000 | % | 05/01/36 | $ | 422,481 | ||||||||
| Meadow Pointe IV Community Development District RB for | | ||||||||||||
835,000 | 6.250 | 05/01/38 | 810,409 | |||||||||||
| Meadow Pointe IV Community Development District RB for | | ||||||||||||
815,000 | 6.810 | 05/01/20 | 824,152 | |||||||||||
| Meadow Pointe IV Community Development District RB for | | ||||||||||||
645,000 | 0.000 | 05/01/35 | 607,551 | |||||||||||
| Meadow Pointe IV Community Development District RB for | | ||||||||||||
575,000 | 0.000 | 05/01/22 | 540,264 | |||||||||||
| Meadow Pointe IV Community Development District Special | | ||||||||||||
1,075,000 | 5.250 | 05/01/15 | 11 | |||||||||||
| Miami Beach Health Facilities Authority Hospital RB Refunding | | ||||||||||||
1,500,000 | 5.000 | 11/15/39 | 1,588,845 | |||||||||||
| Miami Special Obligation RB Refunding for Port of Miami | | ||||||||||||
11,760,000 | 5.000 | 03/01/30 | 13,311,144 | |||||||||||
| Midtown Miami Community Development District Special | | ||||||||||||
3,465,000 | 5.000 | 05/01/29 | 3,645,388 | |||||||||||
3,275,000 | 5.000 | 05/01/37 | 3,413,139 | |||||||||||
| Miromar Lakes Community Development District RB Refunding | | ||||||||||||
3,265,000 | 5.000 | 05/01/28 | 3,340,617 | |||||||||||
2,000,000 | 5.000 | 05/01/35 | 1,925,020 | |||||||||||
| Monterra Community Development District Special Assessment | | ||||||||||||
1,820,000 | 3.500 | 05/01/36 | 1,722,557 | |||||||||||
| Naples Reserve Community Development District Special | | ||||||||||||
750,000 | 5.250 | 11/01/35 | 769,567 | |||||||||||
1,250,000 | 5.625 | 11/01/45 | 1,289,813 | |||||||||||
| New River Community Development District Special Assessment | | ||||||||||||
2,000,000 | 5.750 | 05/01/38 | 2,010,060 | |||||||||||
| New River Community Development District Special Assessment | | ||||||||||||
1,105,000 | 5.000 | 05/01/19 | 1,106,392 | |||||||||||
| New River Community Development District Special Assessment | | ||||||||||||
3,260,000 | 5.000 | 05/01/13 | 33 | |||||||||||
| Orlando Florida Community Redevelopment Agency Tax | | ||||||||||||
1,680,000 | 5.000 | 04/01/24 | 1,893,662 | |||||||||||
1,765,000 | 5.000 | 04/01/25 | 1,978,371 | |||||||||||
1,005,000 | 5.000 | 04/01/26 | 1,117,078 | |||||||||||
|
|
36 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Florida – (continued) | ||||||||||||||
| Overoaks Community Development District RB for Capital | | ||||||||||||
$ | 1,000,000 | 6.125 | % | 05/01/35 | $ | 1,000,960 | ||||||||
| Overoaks Community Development District RB for Capital | | ||||||||||||
1,380,000 | 6.125 | 05/01/35 | 1,381,063 | |||||||||||
| Overoaks Community Development District RB for Capital | | ||||||||||||
1,760,000 | 5.125 | 05/01/17 | 1,770,912 | |||||||||||
| Overoaks Community Development District Special Assessment | | ||||||||||||
1,200,000 | 5.125 | 05/01/09 | 600,000 | |||||||||||
210,000 | 6.125 | 05/01/35 | 105,000 | |||||||||||
| Panther Trace II Community Development District Special | | ||||||||||||
530,000 | 4.125 | 05/01/35 | 526,115 | |||||||||||
| Paseo Community Development District Capital Improvement | | ||||||||||||
20,900,000 | 0.000 | 05/01/36 | 9,556,943 | |||||||||||
| Paseo Community Development District Capital Improvement | | ||||||||||||
2,045,000 | 5.400 | 05/01/36 | 2,069,683 | |||||||||||
| Paseo Community Development District RB for Capital | | ||||||||||||
6,355,000 | 5.400 | 05/01/36 | 64 | |||||||||||
| Paseo Community Development District RB for Capital | | ||||||||||||
3,670,000 | 4.875 | 05/01/10 | 37 | |||||||||||
| Paseo Community Development District RB for Capital | | ||||||||||||
2,600,000 | 5.000 | 02/01/11 | 26 | |||||||||||
| Portofino Isles Community Development District Special | | ||||||||||||
2,805,000 | 4.750 | 05/01/33 | 2,847,692 | |||||||||||
| Reunion East Community Development District Special | | ||||||||||||
2,500,000 | 6.600 | 05/01/33 | 2,377,825 | |||||||||||
| Reunion East Community Development District Special | | ||||||||||||
3,070,000 | 5.000 | 05/01/25 | 3,180,551 | |||||||||||
6,750,000 | 5.000 | 05/01/33 | 6,718,477 | |||||||||||
| Reunion East Community Development District Special | | ||||||||||||
2,170,000 | 7.200 | 05/01/22 | 22 | |||||||||||
| River Hall Community Development District Special Assessment | | ||||||||||||
5,110,000 | 5.450 | 05/01/36 | 5,110,204 | |||||||||||
| Sandy Creek Community Development District Special | | ||||||||||||
1,670,000 | 5.500 | 05/01/20 | 1,663,270 | |||||||||||
| Sarasota County Public Hospital District RB for Sarasota | | ||||||||||||
1,500,000 | 5.625 | 07/01/39 | 1,686,240 | |||||||||||
| Seven Oaks Community Development District II Special | | ||||||||||||
225,000 | 7.500 | 05/01/16 | 226,818 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Florida – (continued) | ||||||||||||||
| South Kendall Community Development District Special | | ||||||||||||
$ | 1,890,000 | 6.200 | % | 11/01/40 | $ | 2,025,173 | ||||||||
| South-Dade Venture Community Development District Special | | ||||||||||||
2,015,000 | 5.250 | 05/01/34 | 2,197,156 | |||||||||||
| Southern Hills Plantation I Community Development District | | ||||||||||||
4,230,000 | 5.800 | 05/01/35 | 4,109,403 | |||||||||||
| Southern Hills Plantation I Community Development District | | ||||||||||||
3,180,000 | 5.800 | 05/01/35 | 2,821,232 | |||||||||||
| Southern Hills Plantation II Community Development District | | ||||||||||||
3,265,000 | 5.850 | 05/01/34 | 1,371,300 | |||||||||||
| Spring Ridge Community Development District Special | | ||||||||||||
1,375,000 | 4.800 | 05/01/35 | 1,364,715 | |||||||||||
| St. Petersburg Health Facilities Authority RB Refunding for All | | ||||||||||||
5,835,000 | 6.500 | 11/15/19 | 7,121,734 | |||||||||||
| Sterling Hill Community Development District RB for Capital | | ||||||||||||
455,000 | 5.500 | 11/01/10 | 323,050 | |||||||||||
| Stonegate Community Development District Special Assessment | | ||||||||||||
2,160,000 | 5.000 | 05/01/34 | 2,301,307 | |||||||||||
| Stoneybrook South Community Development District Special | | ||||||||||||
1,500,000 | 5.125 | 11/01/34 | 1,505,175 | |||||||||||
3,500,000 | 5.500 | 11/01/44 | 3,558,240 | |||||||||||
| Stoneybrook South Community Development District Special | | ||||||||||||
2,500,000 | 6.500 | 05/01/39 | 2,866,075 | |||||||||||
| Sumter Landing Community Development District Recreational | | ||||||||||||
2,500,000 | 5.125 | 10/01/38 | 2,502,775 | |||||||||||
| Sumter Landing Community Development District Recreational | | ||||||||||||
7,355,000 | 5.700 | 10/01/38 | 7,354,706 | |||||||||||
| Talis Park Community Development District Capital | | ||||||||||||
1,370,000 | 5.250 | 11/01/34 | 1,412,648 | |||||||||||
2,365,000 | 6.000 | 11/01/44 | 2,601,122 | |||||||||||
| Toscana Isles Community Development District Special | | ||||||||||||
500,000 | 5.750 | 11/01/27 | 499,975 | |||||||||||
2,000,000 | 6.250 | 11/01/44 | 1,991,900 | |||||||||||
| Turnbull Creek Community Development District Senior Special | | ||||||||||||
2,000,000 | 4.375 | 05/01/35 | 1,952,360 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 37 |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
September 30, 2015 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Florida – (continued) | ||||||||||||||
| Venetian Community Development District Capital Improvement | | ||||||||||||
$ | 500,000 | 5.500 | % | 05/01/34 | $ | 509,075 | ||||||||
750,000 | 6.125 | 05/01/42 | 780,975 | |||||||||||
| Venetian Parc Community Development District Special | | ||||||||||||
650,000 | 6.000 | 11/01/27 | 714,142 | |||||||||||
2,050,000 | 6.500 | 11/01/43 | 2,348,808 | |||||||||||
| Venetian Parc Community Development District Special | | ||||||||||||
925,000 | 6.375 | 11/01/27 | 1,000,295 | |||||||||||
2,300,000 | 7.125 | 11/01/44 | 2,526,113 | |||||||||||
| Verano #1 Community Development District Special Assessment | | ||||||||||||
750,000 | 5.125 | 11/01/35 | 744,863 | |||||||||||
2,000,000 | 5.250 | 11/01/46 | 1,987,780 | |||||||||||
| Village Community Development District No. 10 Special | | ||||||||||||
2,800,000 | 5.000 | 05/01/32 | 3,091,284 | |||||||||||
6,475,000 | 5.125 | 05/01/43 | 7,184,077 | |||||||||||
| Village Community Development District No. 10 Special | | ||||||||||||
5,000,000 | 6.000 | 05/01/44 | 5,731,950 | |||||||||||
| Village Community Development District No. 5 Special | | ||||||||||||
1,685,000 | 4.000 | 05/01/33 | 1,661,916 | |||||||||||
| Village Community Development District No. 5 Special | | ||||||||||||
2,365,000 | 4.000 | 05/01/34 | 2,316,328 | |||||||||||
| Village Community Development District No. 8 Special | | ||||||||||||
8,095,000 | 6.375 | 05/01/38 | 8,766,237 | |||||||||||
| Village Community Development District No. 8 Special | | ||||||||||||
8,170,000 | 6.125 | 05/01/39 | 9,396,154 | |||||||||||
| Village Community Development District No. 9 Special | | ||||||||||||
5,090,000 | 7.000 | 05/01/41 | 6,209,240 | |||||||||||
| Village Community Development District No. 9 Special | | ||||||||||||
2,035,000 | 5.500 | 05/01/42 | 2,316,848 | |||||||||||
| Villasol Community Development District RB Series 2003 A | | ||||||||||||
2,260,000 | 6.600 | 05/01/34 | 2,261,266 | |||||||||||
| Waters Edge Community Development District Capital | | ||||||||||||
14,000 | 5.350 | 05/01/39 | 13,652 | |||||||||||
| Waters Edge Community Development District Capital | | ||||||||||||
775,000 | 0.000 | 05/01/39 | 629,424 | |||||||||||
| Waters Edge Community Development District Pasco County | | ||||||||||||
3,240,000 | 4.200 | 05/01/36 | 3,152,779 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Florida – (continued) | ||||||||||||||
| Waterset North Community Development District Special | | ||||||||||||
$ | 1,240,000 | 5.125 | % | 11/01/35 | $ | 1,214,828 | ||||||||
2,000,000 | 5.500 | 11/01/45 | 1,968,120 | |||||||||||
| Wiregrass Community Development District Capital | | ||||||||||||
500,000 | 5.375 | 05/01/35 | 499,680 | |||||||||||
3,060,000 | 5.625 | 05/01/45 | 3,060,979 | |||||||||||
|
| |||||||||||||
512,701,936 | ||||||||||||||
|
| |||||||||||||
Georgia – 2.4% | ||||||||||||||
| Altlanta Development Authority RB for New Downtown Atlanta | | ||||||||||||
1,500,000 | 5.250 | 07/01/40 | 1,714,965 | |||||||||||
5,500,000 | 5.250 | 07/01/44 | 6,263,895 | |||||||||||
| Altlanta Development Authority RB for New Downtown Atlanta | | ||||||||||||
1,000,000 | 4.000 | 07/01/40 | 1,001,550 | |||||||||||
| Atlanta Tax Allocation for Beltline Project RMKT 12/15/09 | | ||||||||||||
7,685,000 | 7.500 | 01/01/31 | 8,835,444 | |||||||||||
| Clayton County Development Authority Special Facilities RB for | | ||||||||||||
11,700,000 | 8.750 | 06/01/29 | 14,288,742 | |||||||||||
| Fulton County Development Authority RB for Tuff Caub LLC | | ||||||||||||
2,100,000 | 5.250 | 11/01/28 | 2,049,516 | |||||||||||
| Marietta Development Authority University Facilities RB | | ||||||||||||
2,500,000 | 7.000 | 06/15/39 | 2,622,400 | |||||||||||
| Milledgeville & Baldwin County Development Authority Student | | ||||||||||||
49,820,000 | 0.840 | 10/01/33 | 44,535,593 | |||||||||||
|
| |||||||||||||
81,312,105 | ||||||||||||||
|
| |||||||||||||
Guam – 1.9% | ||||||||||||||
| Guam Government Department of Education COPS for John F. | | ||||||||||||
2,500,000 | 6.625 | 12/01/30 | 2,753,925 | |||||||||||
3,355,000 | 6.875 | 12/01/40 | 3,685,333 | |||||||||||
| Guam Government Limited Obligation GO Bonds Section 30 | | ||||||||||||
3,000,000 | 5.625 | 12/01/29 | 3,368,430 | |||||||||||
2,750,000 | 5.750 | 12/01/34 | 3,078,680 | |||||||||||
| Guam International Airport Authority RB Refunding for | | ||||||||||||
7,300,000 | 6.125 | 10/01/43 | 8,444,494 | |||||||||||
| Guam International Airport Authority RB Refunding for | | ||||||||||||
2,000,000 | 6.375 | 10/01/43 | 2,343,540 | |||||||||||
| Guam Power Authority RB 2014 Series A (AGM) (AA/A2) |
| ||||||||||||
2,760,000 | 5.000 | 10/01/39 | 3,117,779 | |||||||||||
| Guam Power Authority RB Series 2010 A (BBB/Baa2) |
| ||||||||||||
10,000,000 | 5.500 | 10/01/40 | 10,967,300 | |||||||||||
|
|
38 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Guam – (continued) | ||||||||||||||
| Guam Waterworks Authority RB for Water & Wastewater System | | ||||||||||||
$ | 9,785,000 | 5.625 | % | 07/01/40 | $ | 10,820,644 | ||||||||
| Guam Waterworks Authority RB for Water & Wastewater System | | ||||||||||||
13,705,000 | 5.500 | 07/01/43 | 15,277,649 | |||||||||||
|
| |||||||||||||
63,857,774 | ||||||||||||||
|
| |||||||||||||
Idaho – 0.5% | ||||||||||||||
| Madison County Hospital Revenue COPS Series 2006 (BB+/NR) |
| ||||||||||||
15,285,000 | 5.250 | 09/01/37 | 15,455,428 | |||||||||||
|
| |||||||||||||
Illinois – 8.7% | ||||||||||||||
| Chicago Illinois Board of Education GO Bonds Capital | | ||||||||||||
15,000,000 | 0.000 | 12/01/31 | 5,872,200 | |||||||||||
| Chicago Illinois Board of Education GO Bonds Refunding for | | ||||||||||||
9,535,000 | 5.500 | 12/01/26 | 10,194,250 | |||||||||||
| Chicago Illinois Board of Education GO Bonds Refunding | | ||||||||||||
8,965,000 | 5.500 | 12/01/29 | 8,598,421 | |||||||||||
| Chicago Illinois Board of Education GO Bonds Series 2011 A | | ||||||||||||
2,380,000 | 5.000 | 12/01/41 | 1,985,658 | |||||||||||
| Chicago Illinois Board of Education GO Bonds Series 2012 A | | ||||||||||||
10,000,000 | 5.000 | 12/01/42 | 8,318,600 | |||||||||||
| Chicago Illinois Board of Education Unlimited Tax GO Bonds for | | ||||||||||||
15,805,000 | 5.250 | 12/01/35 | 13,956,763 | |||||||||||
12,500,000 | 5.250 | 12/01/39 | 10,839,500 | |||||||||||
| Chicago Illinois Board of Education Unlimited Tax GO Bonds | | ||||||||||||
2,000,000 | 5.500 | 12/01/30 | 1,905,020 | |||||||||||
| Chicago Illinois GO Bonds Refunding RMKT 06/08/15 | | ||||||||||||
1,700,000 | 5.500 | 01/01/37 | 1,676,795 | |||||||||||
| Chicago Illinois GO Bonds Refunding Series 2014 A | | ||||||||||||
8,375,000 | 5.250 | 01/01/33 | 8,188,573 | |||||||||||
3,465,000 | 5.000 | 01/01/34 | 3,312,921 | |||||||||||
2,500,000 | 5.000 | 01/01/36 | 2,359,975 | |||||||||||
| Chicago Illinois GO Bonds Series 2011 A (BBB+/Ba1) |
| ||||||||||||
1,500,000 | 5.250 | 01/01/35 | 1,450,515 | |||||||||||
3,000,000 | 5.000 | 01/01/40 | 2,788,860 | |||||||||||
| Chicago Illinois GO Bonds Series 2012 A (BBB+/Ba1) |
| ||||||||||||
15,000,000 | 5.000 | 01/01/33 | 14,412,450 | |||||||||||
850,000 | 5.000 | 01/01/34 | 812,693 | |||||||||||
| Chicago Illinois GO Bonds Refunding RMKT 06/08/15 | | ||||||||||||
2,500,000 | 5.500 | 01/01/42 | 2,425,500 | |||||||||||
| Chicago Illinois GO Bonds Series 2015 A (BBB+/NR) |
| ||||||||||||
4,180,000 | 5.500 | 01/01/39 | 4,099,033 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Illinois – (continued) | ||||||||||||||
| Chicago Illinois GO Bonds Refunding Series C (BBB+/Ba1) |
| ||||||||||||
$ | 3,825,000 | 5.000 | % | 01/01/40 | $ | 3,555,796 | ||||||||
| Du Page County Special Service Area No. 31 Special Tax for | | ||||||||||||
30,000 | 5.400 | 03/01/16 | 30,230 | |||||||||||
1,450,000 | 5.625 | 03/01/36 | 1,452,596 | |||||||||||
| Illinois Finance Authority RB for Christian Homes, Inc. | | ||||||||||||
2,780,000 | 5.750 | 05/15/31 | 2,918,110 | |||||||||||
| Illinois Finance Authority RB for Christian Homes, Inc. | | ||||||||||||
1,720,000 | 5.750 | 05/15/17 | 1,865,581 | |||||||||||
| Illinois Finance Authority RB for Christian Homes, Inc. | | ||||||||||||
805,000 | 6.125 | 05/15/27 | 875,985 | |||||||||||
| Illinois Finance Authority RB for Christian Homes, Inc. | | ||||||||||||
445,000 | 6.125 | 05/15/20 | 543,243 | |||||||||||
| Illinois Finance Authority RB for Midwest Regional Medical | | ||||||||||||
33,995,000 | 6.750 | 10/01/46 | 34,017,097 | |||||||||||
| Illinois Finance Authority RB Refunding for Franciscan | | ||||||||||||
4,500,000 | 5.250 | 05/15/47 | 4,558,860 | |||||||||||
| Illinois Finance Authority RB Refunding for OSF Healthcare | | ||||||||||||
17,000,000 | 6.000 | 05/15/39 | 19,559,690 | |||||||||||
| Illinois Finance Authority Recovery Zone Facility RB for | | ||||||||||||
14,000,000 | 6.500 | 10/15/40 | 14,483,280 | |||||||||||
| Illinois Finance Authority Student Housing RB for MJH | | ||||||||||||
15,000 | 4.500 | 06/01/14 | 5,250 | |||||||||||
3,225,000 | 5.000 | 06/01/24 | 1,128,750 | |||||||||||
8,000,000 | 5.375 | 06/01/35 | 2,800,000 | |||||||||||
| Illinois GO Bonds Series 2012 (A-/A3) |
| ||||||||||||
750,000 | 5.000 | 03/01/37 | 758,153 | |||||||||||
| Illinois GO Bonds Series 2013 (A-/A3) |
| ||||||||||||
5,050,000 | 5.500 | 07/01/38 | 5,329,265 | |||||||||||
| Illinois GO Bonds Series 2014 (AGM) (AA/A3) |
| ||||||||||||
20,000,000 | 5.000 | 02/01/39 | 20,339,000 | |||||||||||
| Lincolnshire Special Service Area No. 1 Special Tax for | | ||||||||||||
2,245,000 | 6.250 | 03/01/34 | 2,271,558 | |||||||||||
| Metropolitan Pier & Exposition Authority RB for McCormick | | ||||||||||||
20,000,000 | 10.924 | 06/15/50 | 20,376,200 | |||||||||||
| Plano Special Service Area No. 5 Special Tax for Lakewood | | ||||||||||||
4,567,000 | 6.000 | 03/01/36 | 2,740,200 | |||||||||||
| Quad Cities Regional Economic Development Authority RB for | | ||||||||||||
840,000 | 4.750 | 10/01/29 | 877,036 | |||||||||||
1,010,000 | 4.750 | 10/01/32 | 1,042,108 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 39 |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
September 30, 2015 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Illinois – (continued) | ||||||||||||||
| Southwestern Illinois Development Authority Health Facility RB | | ||||||||||||
$ | 19,200,000 | 7.125 | % | 11/01/43 | $ | 23,904,000 | ||||||||
5,000,000 | 7.625 | 11/01/48 | 6,386,650 | |||||||||||
| Southwestern Illinois Development Authority RB Capital | | ||||||||||||
12,505,000 | 5.750 | 08/01/42 | 11,349,663 | |||||||||||
| Volo Village Special Service Area No. 6 Special Tax for | | ||||||||||||
3,928,000 | 5.750 | 03/01/36 | 4,031,267 | |||||||||||
|
| |||||||||||||
290,397,295 | ||||||||||||||
|
| |||||||||||||
Indiana – 0.8% | ||||||||||||||
| Anderson Indiana Economic Development RB Refunding & | | ||||||||||||
1,355,000 | 5.000 | 10/01/24 | 1,362,710 | |||||||||||
1,500,000 | 5.000 | 10/01/32 | 1,413,135 | |||||||||||
| Delaware County Hospital Authority RB for Cardinal Health | | ||||||||||||
2,000,000 | 5.250 | 08/01/16 | 2,082,080 | |||||||||||
| Gary/Chicago International Airport Authority Airport | | ||||||||||||
1,300,000 | 5.000 | 02/01/29 | 1,363,024 | |||||||||||
1,250,000 | 5.250 | 02/01/34 | 1,313,512 | |||||||||||
1,500,000 | 5.000 | 02/01/39 | 1,522,335 | |||||||||||
| Indiana Finance Authority Environmental Improvement RB for | | ||||||||||||
795,000 | 5.750 | 08/01/42 | 721,550 | |||||||||||
| Indiana Finance Authority Hospital RB for Indiana University | | ||||||||||||
2,000,000 | 5.125 | 03/01/38 | 2,220,040 | |||||||||||
| Indiana Finance Authority Midwestern Disaster Relief RB for | | ||||||||||||
5,000,000 | 5.000 | 06/01/39 | 5,188,700 | |||||||||||
| Indiana Finance Authority RB for Private Activity for Ohio River | | ||||||||||||
6,250,000 | 5.000 | 07/01/48 | 6,439,500 | |||||||||||
| Indianapolis Airport Authority Special Facilities RB for United | | ||||||||||||
7,520,823 | 6.500 | 11/15/31 | 45,125 | |||||||||||
| Vigo County Hospital Authority RB for Vigo Union Hospital, Inc. | | ||||||||||||
2,000,000 | 5.500 | 09/01/27 | 2,084,700 | |||||||||||
|
| |||||||||||||
25,756,411 | ||||||||||||||
|
| |||||||||||||
Iowa – 0.1% | ||||||||||||||
| Coralville Iowa COPS Series 2006 D (NR/Ba1) |
| ||||||||||||
2,550,000 | 5.250 | 06/01/26 | 2,554,871 | |||||||||||
| Pottawattamie County RB Refunding for Christian Homes, Inc. | | ||||||||||||
1,355,000 | 5.750 | 05/15/31 | 1,422,316 | |||||||||||
|
| |||||||||||||
3,977,187 | ||||||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Kentucky – 0.9% | ||||||||||||||
| Kentucky Economic Development Finance Authority Hospital RB | | ||||||||||||
$ | 8,000,000 | 6.375 | % | 06/01/40 | $ | 9,001,680 | ||||||||
8,250,000 | 6.500 | 03/01/45 | 9,304,267 | |||||||||||
| Louisville & Jefferson County Metro Government Health System | | ||||||||||||
6,815,000 | 5.000 | 10/01/30 | 7,063,339 | |||||||||||
| Louisville & Jefferson County Metro Government Health System | | ||||||||||||
5,000,000 | 5.750 | 10/01/42 | 5,740,600 | |||||||||||
|
| |||||||||||||
31,109,886 | ||||||||||||||
|
| |||||||||||||
Louisiana – 1.8% | ||||||||||||||
| Louisiana Local Government Environmental Facilities and | | ||||||||||||
5,000,000 | 6.500 | 11/01/35 | 5,892,300 | |||||||||||
| Louisiana Local Government Environmental Facilities and | | ||||||||||||
19,265,000 | 6.000 | 10/01/44 | 22,438,523 | |||||||||||
| New Orleans Aviation Board General Airport RB for North | | ||||||||||||
12,000,000 | 5.000 | 01/01/40 | 13,015,080 | |||||||||||
10,000,000 | 5.000 | 01/01/45 | 10,789,500 | |||||||||||
| New Orleans Aviation Board Gulf Opportunity Zone RB for | | ||||||||||||
7,470,000 | 6.500 | 01/01/40 | 8,371,405 | |||||||||||
|
| |||||||||||||
60,506,808 | ||||||||||||||
|
| |||||||||||||
Maryland – 1.1% | ||||||||||||||
| Baltimore Maryland Convention Center Hotel RB | | ||||||||||||
200,000 | 5.000 | 09/01/16 | 205,628 | |||||||||||
| Frederick County Maryland Educational Facilities RB for Mount | | ||||||||||||
2,590,000 | 5.000 | 09/01/30 | 2,523,515 | |||||||||||
| Frederick County Maryland Special Tax Limited Obligations | | ||||||||||||
3,000,000 | 7.250 | 07/01/43 | 3,219,480 | |||||||||||
| Frederick County Maryland Tax Incremental & Special Tax | | ||||||||||||
8,860,000 | 7.125 | 07/01/43 | 9,886,519 | |||||||||||
| Maryland State Health & Higher Educational Facilities Authority | | ||||||||||||
9,500,000 | 5.750 | 07/01/38 | 10,063,350 | |||||||||||
| Maryland State Health & Higher Educational Facilities Authority | | ||||||||||||
7,000,000 | 5.500 | 07/01/42 | 7,332,920 | |||||||||||
| Maryland State Health & Higher Educational Facilities Authority | | ||||||||||||
2,100,000 | 5.000 | 07/01/31 | 2,227,953 | |||||||||||
|
| |||||||||||||
35,459,365 | ||||||||||||||
|
|
40 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Massachusetts – 0.5% | ||||||||||||||
| Massachusetts Development Finance Agency RB Series 2013 A | | ||||||||||||
$ | 2,250,000 | 6.500 | % | 11/15/43 | $ | 2,422,913 | ||||||||
| Massachusetts Development Finance Agency RB Simmons | | ||||||||||||
1,950,000 | 5.000 | 10/01/36 | 2,087,709 | |||||||||||
| Massachusetts State Health & Educational Facilities Authority RB | | ||||||||||||
12,500,000 | 5.750 | 07/01/39 | 13,912,625 | |||||||||||
|
| |||||||||||||
18,423,247 | ||||||||||||||
|
| |||||||||||||
Michigan – 2.5% | ||||||||||||||
| Allen Park City Brownfield Redevelopment Authority | | ||||||||||||
7,095,000 | 5.000 | 05/01/32 | 6,685,690 | |||||||||||
| Detroit Michigan School District GO Bonds for School Building | | ||||||||||||
3,500,000 | 6.000 | 05/01/20 | 4,128,880 | |||||||||||
3,000,000 | 6.000 | 05/01/21 | 3,613,920 | |||||||||||
| Detroit Michigan Sewage Disposal System RB Refunding | | ||||||||||||
4,675,000 | 0.790 | 07/01/32 | 4,126,903 | |||||||||||
| Michigan Finance Authority Local Government Loan Program | | ||||||||||||
2,000,000 | 4.500 | 10/01/29 | 2,068,760 | |||||||||||
| Michigan Finance Authority Local Government Loan Program | | ||||||||||||
2,600,000 | 5.000 | 07/01/35 | 2,817,932 | |||||||||||
| Michigan Finance Authority RB Refunding for Detroit Water and | | ||||||||||||
2,175,000 | 5.000 | 07/01/32 | 2,399,743 | |||||||||||
1,750,000 | 5.000 | 07/01/33 | 1,923,932 | |||||||||||
| Michigan Finance Authority State Aid RB for Detroit School | | ||||||||||||
7,600,000 | 5.750 | 08/22/16 | 7,599,392 | |||||||||||
| Michigan Tobacco Settlement Finance Authority RB for Capital | | ||||||||||||
196,775,000 | 0.000 | 06/01/52 | 3,154,303 | |||||||||||
| Michigan Tobacco Settlement Finance Authority RB for Capital | | ||||||||||||
70,100,000 | 0.000 | 06/01/52 | 1,048,696 | |||||||||||
| Monroe County Hospital Finance Authority RB Refunding for | | ||||||||||||
4,000,000 | 5.375 | 06/01/26 | 4,114,280 | |||||||||||
9,835,000 | 5.500 | 06/01/35 | 10,089,825 | |||||||||||
| Royal Oak Hospital Finance Authority RB for William Beaumont | | ||||||||||||
25,000,000 | 8.250 | 09/01/18 | 30,273,750 | |||||||||||
|
| |||||||||||||
84,046,006 | ||||||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Minnesota – 0.2% | ||||||||||||||
| Duluth Economic Development Authority Health Care Facilities | | ||||||||||||
$ | 2,500,000 | 5.750 | % | 06/15/32 | $ | 2,745,325 | ||||||||
3,750,000 | 6.000 | 06/15/39 | 4,117,162 | |||||||||||
|
| |||||||||||||
6,862,487 | ||||||||||||||
|
| |||||||||||||
Mississippi – 0.1% | ||||||||||||||
| Mississippi Hospital Equipment & Facilities Authority RB | | ||||||||||||
1,825,000 | 5.250 | 12/01/26 | 1,871,227 | |||||||||||
|
| |||||||||||||
Missouri – 0.0% | ||||||||||||||
| Branson Regional Airport Transportation Development District | | ||||||||||||
1,535,000 | 6.000 | 07/01/37 | 107,450 | |||||||||||
| Branson Regional Airport Transportation Development District | | ||||||||||||
7,750,000 | 6.000 | 07/01/25 | 542,500 | |||||||||||
| Stone Canyon Community Improvement District RB for Public | | ||||||||||||
1,250,000 | 5.750 | 04/01/27 | 275,000 | |||||||||||
| Strother Interchange Transportation Development District-Lees | | ||||||||||||
675,000 | 5.000 | 05/01/24 | 675,351 | |||||||||||
|
| |||||||||||||
1,600,301 | ||||||||||||||
|
| |||||||||||||
Nevada – 0.5% | ||||||||||||||
| City of Las Vegas Special Improvement District No. 607 for | | ||||||||||||
470,000 | 3.000 | 06/01/16 | 473,008 | |||||||||||
730,000 | 3.000 | 06/01/17 | 738,359 | |||||||||||
720,000 | 4.000 | 06/01/18 | 741,571 | |||||||||||
790,000 | 4.000 | 06/01/19 | 809,418 | |||||||||||
670,000 | 4.000 | 06/01/20 | 686,857 | |||||||||||
865,000 | 4.000 | 06/01/21 | 878,987 | |||||||||||
465,000 | 5.000 | 06/01/22 | 495,267 | |||||||||||
415,000 | 5.000 | 06/01/23 | 442,677 | |||||||||||
200,000 | 4.250 | 06/01/24 | 203,120 | |||||||||||
295,000 | 5.000 | 06/01/24 | 315,629 | |||||||||||
| Henderson Local Improvement District No. T-16 Special | | ||||||||||||
1,960,000 | 4.900 | 03/01/17 | 1,948,005 | |||||||||||
2,420,000 | 5.000 | 03/01/20 | 2,367,099 | |||||||||||
2,440,000 | 5.100 | 03/01/21 | 2,379,756 | |||||||||||
1,265,000 | 5.100 | 03/01/22 | 1,221,712 | |||||||||||
3,440,000 | 5.125 | 03/01/25 | 3,167,689 | |||||||||||
| Henderson Local Improvement District No. T-17 Special | | ||||||||||||
1,275,000 | 5.000 | 09/01/25 | 1,310,394 | |||||||||||
| North Las Vegas Local Improvement District No. 60 Special | | ||||||||||||
55,000 | 5.100 | 12/01/22 | 55,566 | |||||||||||
|
| |||||||||||||
18,235,114 | ||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 41 |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
September 30, 2015 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
New Hampshire – 0.2% | ||||||||||||||
| New Hampshire Health & Education Facilities Authority RB for | | ||||||||||||
$ | 1,050,000 | 5.250 | % | 06/01/26 | $ | 1,073,688 | ||||||||
4,185,000 | 5.250 | 06/01/36 | 4,260,581 | |||||||||||
|
| |||||||||||||
5,334,269 | ||||||||||||||
|
| |||||||||||||
New Jersey – 3.3% | ||||||||||||||
| New Jersey Economic Development Authority Cigarette Tax RB | | ||||||||||||
2,500,000 | 5.000 | 06/15/26 | 2,642,400 | |||||||||||
1,000,000 | 5.000 | 06/15/28 | 1,037,340 | |||||||||||
| New Jersey Economic Development Authority Energy Facilities | | ||||||||||||
1,000,000 | 4.750 | 06/15/32 | 1,036,480 | |||||||||||
1,000,000 | 5.000 | 06/15/37 | 1,039,100 | |||||||||||
1,000,000 | 5.125 | 06/15/43 | 1,042,760 | |||||||||||
| New Jersey Economic Development Authority Private Activity | | ||||||||||||
1,000,000 | 5.375 | 01/01/43 | 1,073,850 | |||||||||||
| New Jersey Economic Development Authority RB for School | | ||||||||||||
1,640,000 | 5.000 | 09/01/19 | 1,879,768 | |||||||||||
| New Jersey Economic Development Authority RB Refunding for | | ||||||||||||
7,705,000 | 5.500 | 09/01/27 | 8,627,905 | |||||||||||
| New Jersey Economic Development Authority Special Facilities | | ||||||||||||
7,500,000 | 5.500 | 04/01/28 | 7,522,650 | |||||||||||
| New Jersey Economic Development Authority Special Facilities | | ||||||||||||
8,500,000 | 5.250 | 09/15/29 | 9,165,550 | |||||||||||
| New Jersey Economic Development Authority Special Facilities | | ||||||||||||
5,000,000 | 5.625 | 11/15/30 | 5,600,000 | |||||||||||
| New Jersey Economic Development Authority Special Facilities | | ||||||||||||
5,000,000 | 5.625 | 11/15/30 | 5,600,000 | |||||||||||
| New Jersey Health Care Facilities Financing Authority RB for | | ||||||||||||
31,880,000 | 6.625 | 07/01/38 | 35,294,029 | |||||||||||
| New Jersey Health Care Facilities Financing Authority RB for | | ||||||||||||
8,980,000 | 5.250 | 07/01/30 | 9,359,854 | |||||||||||
| New Jersey Transportation Trust Fund Authority for | | ||||||||||||
14,250,000 | 5.000 | 06/15/42 | 14,354,168 | |||||||||||
| Newark New Jersey Housing Authority RB for South Ward | | ||||||||||||
2,000,000 | 6.750 | 12/01/38 | 2,310,340 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
New Jersey – (continued) | ||||||||||||||
| Tobacco Settlement Financing Corp. RB Senior Asset-Backed | | ||||||||||||
$ | 3,000,000 | 4.750 | % | 06/01/34 | $ | 2,318,190 | ||||||||
|
| |||||||||||||
109,904,384 | ||||||||||||||
|
| |||||||||||||
New Mexico – 0.7% | ||||||||||||||
| Farmington New Mexico PCRB Refunding for Public Service Co. | | ||||||||||||
6,925,000 | 4.875 | 04/01/33 | 7,038,778 | |||||||||||
| Farmington New Mexico PCRB Refunding for Public Service Co. | | ||||||||||||
14,000,000 | 5.900 | 06/01/40 | 15,349,320 | |||||||||||
|
| |||||||||||||
22,388,098 | ||||||||||||||
|
| |||||||||||||
New York – 0.7% | ||||||||||||||
| Chautauqua County Industrial Development Agency Exempt | | ||||||||||||
1,500,000 | 5.875 | 04/01/42 | 1,580,685 | |||||||||||
| Nassau County Tobacco Settlement Corp. RB Refunding for | | ||||||||||||
1,890,000 | 5.125 | 06/01/46 | 1,605,725 | |||||||||||
| New York City Housing Development Corp. Multi-Family | | ||||||||||||
2,000,000 | 4.500 | 02/15/48 | 2,052,640 | |||||||||||
| New York City Industrial Development Agency PILOT RB for | | ||||||||||||
1,000,000 | 6.125 | 01/01/29 | 1,126,030 | |||||||||||
3,000,000 | 6.375 | 01/01/39 | 3,420,690 | |||||||||||
5,000,000 | 6.500 | 01/01/46 | 5,710,500 | |||||||||||
| Newburgh New York GO Serial Bonds Series 2012 A (NR/Baa3) |
| ||||||||||||
1,565,000 | 5.750 | 06/15/35 | 1,695,677 | |||||||||||
| Onondaga Civic Development Corp. RB for St. Joseph’s Hospital | | ||||||||||||
1,750,000 | 5.125 | 07/01/31 | 1,837,483 | |||||||||||
| Troy City Capital Resource Corp. RB for Rensselaer Polytechnic | | ||||||||||||
5,000,000 | 5.125 | 09/01/40 | 5,551,050 | |||||||||||
|
| |||||||||||||
24,580,480 | ||||||||||||||
|
| |||||||||||||
North Carolina – 0.4% | ||||||||||||||
| Columbus County Industrial Facilities and Pollution Control | | ||||||||||||
1,000,000 | 5.700 | 05/01/34 | 1,105,530 | |||||||||||
| North Carolina Medical Care Commission Health Care Facilities | | ||||||||||||
3,800,000 | 4.750 | 03/01/32 | 3,886,184 | |||||||||||
1,000,000 | 5.000 | 03/01/37 | 1,027,520 | |||||||||||
1,000,000 | 5.000 | 03/01/42 | 1,020,260 | |||||||||||
| North Carolina Medical Care Commission Retirement Facilities | | ||||||||||||
1,000,000 | 4.500 | 09/01/30 | 962,090 | |||||||||||
2,000,000 | 5.000 | 09/01/37 | 1,994,620 | |||||||||||
|
|
42 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
North Carolina – (continued) | ||||||||||||||
| North Carolina Medical Care Commission Retirement Facilities | | ||||||||||||
$ | 430,000 | 5.250 | % | 09/01/21 | $ | 430,430 | ||||||||
| North Carolina Medical Care Commission Retirement Facilities | | ||||||||||||
1,500,000 | 5.250 | 10/01/24 | 1,501,305 | |||||||||||
|
| |||||||||||||
11,927,939 | ||||||||||||||
|
| |||||||||||||
Ohio – 6.1% | ||||||||||||||
| Bowling Green City Student Housing RB for CFP I LLC – | | ||||||||||||
7,000,000 | 6.000 | 06/01/45 | 7,451,220 | |||||||||||
| Buckeye Ohio Tobacco Settlement Financing Authority RB | | ||||||||||||
45,250,000 | 6.500 | 06/01/47 | 40,392,865 | |||||||||||
| Buckeye Ohio Tobacco Settlement Financing Authority RB | | ||||||||||||
29,050,000 | 5.125 | 06/01/24 | 24,860,990 | |||||||||||
48,070,000 | 5.875 | 06/01/30 | 41,075,334 | |||||||||||
| Buckeye Ohio Tobacco Settlement Financing Authority RB | | ||||||||||||
16,600,000 | 6.250 | 06/01/37 | 14,393,030 | |||||||||||
| Cleveland Airport Special RB for Continental Airlines, Inc. | | ||||||||||||
22,320,000 | 5.375 | 09/15/27 | 22,415,976 | |||||||||||
| Hamilton County Health Care RB Refunding for Life Enriching | | ||||||||||||
10,540,000 | 5.000 | 01/01/27 | 10,864,316 | |||||||||||
14,250,000 | 5.000 | 01/01/37 | 14,433,540 | |||||||||||
| Hamilton County Health Care RB Refunding for Life Enriching | | ||||||||||||
2,000,000 | 5.000 | 01/01/42 | 2,054,840 | |||||||||||
1,610,000 | 5.000 | 01/01/46 | 1,647,159 | |||||||||||
| Lorain County Port Authority Recovery Zone Facility RB for | | ||||||||||||
8,730,000 | 6.750 | 12/01/40 | 9,086,271 | |||||||||||
| Muskingum County Hospital Facilities RB Refunding for Genesis | | ||||||||||||
8,000,000 | 5.000 | 02/15/48 | 8,147,440 | |||||||||||
| Ohio State Solid Waste Disposal RB for USG Corp. Project | | ||||||||||||
7,250,000 | 5.650 | 03/01/33 | 7,256,960 | |||||||||||
|
| |||||||||||||
204,079,941 | ||||||||||||||
|
| |||||||||||||
Oklahoma – 1.6% | ||||||||||||||
| Oklahoma Development Finance Authority RB for Great Plains | | ||||||||||||
4,725,000 | 5.000 | 12/01/27 | 4,814,964 | |||||||||||
| Tulsa Municipal Airport Trust RB Refunding for American | | ||||||||||||
12,500,000 | 5.500 | 06/01/35 | 13,284,500 | |||||||||||
| Tulsa Municipal Airport Trust RB Refunding for American | | ||||||||||||
2,680,000 | 5.500 | 12/01/35 | 2,848,197 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Oklahoma – (continued) | ||||||||||||||
| Tulsa Municipal Airport Trust RB Refunding for American | | ||||||||||||
$ | 24,300,000 | 5.500 | % | 12/01/35 | $ | 25,825,068 | ||||||||
| Tulsa Municipal Airport Trust RB Refunding for American | | ||||||||||||
3,500,000 | 5.000 | 06/01/25 | 3,792,460 | |||||||||||
| Weatherford Hospital Authority RB Series 2006 (NR/NR) |
| ||||||||||||
2,200,000 | 6.000 | 05/01/25 | 2,245,122 | |||||||||||
865,000 | 6.000 | 05/01/31 | 875,743 | |||||||||||
|
| |||||||||||||
53,686,054 | ||||||||||||||
|
| |||||||||||||
Oregon – 0.1% | ||||||||||||||
| Forest Grove Oregon Student Housing RB for Oak Tree | | ||||||||||||
4,665,000 | 5.500 | 03/01/37 | 4,773,648 | |||||||||||
|
| |||||||||||||
Pennsylvania – 3.8% | ||||||||||||||
| Allegheny County Higher Education Building Authority RB for | | ||||||||||||
1,500,000 | 5.000 | 09/01/30 | 1,611,210 | |||||||||||
1,000,000 | 5.000 | 09/01/35 | 1,058,550 | |||||||||||
| Allentown Neighborhood Improvement Zone Development | | ||||||||||||
18,000,000 | 5.000 | 05/01/42 | 18,414,000 | |||||||||||
| Chester County IDA Student Housing RB for University Student | | ||||||||||||
500,000 | 5.000 | 08/01/35 | 523,010 | |||||||||||
1,000,000 | 5.000 | 08/01/45 | 1,025,970 | |||||||||||
| City of Philadelphia GO Bonds Series 2011 (A+/A2) |
| ||||||||||||
4,000,000 | 6.000 | 08/01/36 | 4,689,680 | |||||||||||
| Clairton Municipal Authority Sewer RB Series 2012 B (BBB/NR) |
| ||||||||||||
1,000,000 | 5.000 | 12/01/42 | 1,050,210 | |||||||||||
| Cumberland County Municipal Authority RB for Diakon | | ||||||||||||
1,500,000 | 5.000 | 01/01/38 | 1,569,945 | |||||||||||
| Geisinger Authority Health System RB for Geisinger Health | | ||||||||||||
49,750,000 | 0.971 | 05/01/37 | 42,162,627 | |||||||||||
| Lancaster County Hospital Authority Health Facilities RB for St. | | ||||||||||||
1,400,000 | 5.000 | 04/01/27 | 1,445,374 | |||||||||||
1,500,000 | 5.000 | 04/01/33 | 1,514,880 | |||||||||||
| Luzerne County Pennsylvania GO Bonds Refunding | | ||||||||||||
4,250,000 | 5.000 | 11/15/29 | 4,735,137 | |||||||||||
| Pennsylvania Economic Development Financing Authority RB | | ||||||||||||
4,500,000 | 5.000 | 06/30/42 | 4,728,780 | |||||||||||
| Pennsylvania Economic Development Financing Authority | | ||||||||||||
7,400,000 | 6.250 | 01/01/32 | 8,157,982 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 43 |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
September 30, 2015 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Pennsylvania – (continued) | ||||||||||||||
| Pennsylvania Economic Development Financing Authority | | ||||||||||||
$ | 2,460,000 | 8.000 | % | 05/01/29 | $ | 2,889,787 | ||||||||
| Pennsylvania State Higher Educational Facilities Authority RB | | ||||||||||||
13,095,000 | 0.790 | 07/01/27 | 12,043,210 | |||||||||||
10,750,000 | 0.840 | 07/01/39 | 8,930,885 | |||||||||||
| Pennsylvania State Higher Educational Facilities Authority RB | | ||||||||||||
4,000,000 | 5.000 | 05/01/42 | 4,159,160 | |||||||||||
| Philadelphia Authority Industrial Development RB for Please | | ||||||||||||
3,000,000 | 5.250 | 09/01/26 | 450,000 | |||||||||||
3,000,000 | 5.250 | 09/01/31 | 450,000 | |||||||||||
| Philadelphia Hospitals & Higher Education Facilities Authority | | ||||||||||||
5,000,000 | 6.250 | 07/01/23 | 5,280,900 | |||||||||||
|
| |||||||||||||
126,891,297 | ||||||||||||||
|
| |||||||||||||
Puerto Rico – 7.3% | ||||||||||||||
| Puerto Rico Commonwealth Aqueduct & Sewer Authority RB | | ||||||||||||
56,440,000 | 6.000 | 07/01/38 | 39,296,914 | |||||||||||
38,845,000 | 6.000 | 07/01/44 | 26,900,551 | |||||||||||
| Puerto Rico Commonwealth Aqueduct & Sewer Authority RB | | ||||||||||||
115,000 | 4.500 | 07/01/27 | 79,781 | |||||||||||
370,000 | 5.000 | 07/01/30 | 251,138 | |||||||||||
5,115,000 | 5.125 | 07/01/37 | 3,465,464 | |||||||||||
36,835,000 | 5.250 | 07/01/42 | 24,955,712 | |||||||||||
3,470,000 | 6.000 | 07/01/47 | 2,394,300 | |||||||||||
| Puerto Rico Commonwealth GO Bonds Series 2014 A (CC/Caa3) |
| ||||||||||||
31,460,000 | 8.000 | 07/01/35 | 23,595,000 | |||||||||||
| Puerto Rico Commonwealth Highway & Transportation Authority | | ||||||||||||
215,000 | 5.000 | 07/01/28 | 81,700 | |||||||||||
| Puerto Rico Commonwealth Highway & Transportation Authority | | ||||||||||||
23,230,000 | 5.250 | 07/01/38 | 18,410,007 | |||||||||||
| Puerto Rico Commonwealth Infrastructure Financing Authority | | ||||||||||||
1,500,000 | 5.500 | 07/01/23 | 1,395,615 | |||||||||||
1,000,000 | 5.500 | 07/01/27 | 885,990 | |||||||||||
| Puerto Rico Commonwealth Public Improvement GO Bonds | | ||||||||||||
645,000 | 5.875 | 07/01/36 | 420,056 | |||||||||||
| Puerto Rico Commonwealth Public Improvement GO Bonds | | ||||||||||||
1,260,000 | 5.750 | 07/01/41 | 819,000 | |||||||||||
| Puerto Rico Commonwealth Public Improvement GO Bonds | | ||||||||||||
205,000 | 6.500 | 07/01/40 | 135,812 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Puerto Rico – (continued) | ||||||||||||||
| Puerto Rico Commonwealth Public Improvement GO Bonds | | ||||||||||||
$ | 4,000,000 | 5.250 | % | 07/01/32 | $ | 2,595,040 | ||||||||
4,000,000 | 5.250 | 07/01/37 | 2,580,000 | |||||||||||
| Puerto Rico Electric Power Authority RB Refunding | | ||||||||||||
30,590,000 | 0.710 | 07/01/29 | 22,139,513 | |||||||||||
| Puerto Rico Electric Power Authority RB Refunding | | ||||||||||||
9,700,000 | 5.250 | 07/01/26 | 6,256,597 | |||||||||||
| Puerto Rico Electric Power Authority RB Refunding | | ||||||||||||
19,720,000 | 5.000 | 07/01/42 | 12,719,400 | |||||||||||
| Puerto Rico Electric Power Authority RB Series 2008 WW | | ||||||||||||
2,000,000 | 5.500 | 07/01/20 | 1,290,000 | |||||||||||
3,275,000 | 5.000 | 07/01/28 | 2,112,408 | |||||||||||
825,000 | 5.250 | 07/01/33 | 532,125 | |||||||||||
| Puerto Rico Electric Power Authority RB Series 2010 XX | | ||||||||||||
7,590,000 | 5.250 | 07/01/40 | 4,895,550 | |||||||||||
| Puerto Rico Electric Power Authority RB Series 2013 A | | ||||||||||||
5,210,000 | 7.000 | 07/01/33 | 3,360,450 | |||||||||||
5,205,000 | 6.750 | 07/01/36 | 3,357,225 | |||||||||||
5,440,000 | 7.000 | 07/01/40 | 3,508,800 | |||||||||||
| Puerto Rico Infrastructure Financing Authority Special Tax RB | | ||||||||||||
4,750,000 | 0.000 | 07/01/34 | 1,171,540 | |||||||||||
3,750,000 | 0.000 | 07/01/35 | 859,013 | |||||||||||
| Puerto Rico Public Buildings Authority RB Refunding for | | ||||||||||||
1,000,000 | 6.125 | 07/01/23 | 626,260 | |||||||||||
| Puerto Rico Sales Tax Financing Corp. RB First Subseries 2009 A | | ||||||||||||
2,000,000 | 6.375 | 08/01/39 | 852,500 | |||||||||||
6,800,000 | 6.000 | 08/01/42 | 2,873,000 | |||||||||||
| Puerto Rico Sales Tax Financing Corp. RB First Subseries 2010 A | | ||||||||||||
2,500,000 | 5.375 | 08/01/39 | 1,053,125 | |||||||||||
4,455,000 | 5.500 | 08/01/42 | 1,876,669 | |||||||||||
| Puerto Rico Sales Tax Financing Corp. RB First Subseries 2010 C | | ||||||||||||
25,000,000 | 0.000 | 08/01/39 | 2,192,750 | |||||||||||
| Puerto Rico Sales Tax Financing Corp. RB First Subseries 2010 C | | ||||||||||||
26,000,000 | 5.250 | 08/01/41 | 10,952,500 | |||||||||||
| Puerto Rico Sales Tax Financing Corp. RB First | | ||||||||||||
1,500,000 | 5.000 | 08/01/43 | 631,875 | |||||||||||
| Puerto Rico Sales Tax Financing Corp. RB for Capital | | ||||||||||||
23,300,000 | 0.000 | 08/01/32 | 9,467,489 | |||||||||||
| Puerto Rico Sales Tax Financing Corp. RB for Capital | | ||||||||||||
10,000,000 | 0.000 | 08/01/33 | 1,147,500 | |||||||||||
|
|
44 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Puerto Rico – (continued) | ||||||||||||||
| Puerto Rico Sales Tax Financing Corp. RB for Capital | | ||||||||||||
$ | 10,130,000 | 0.000 | % | 08/01/33 | $ | 3,115,380 | ||||||||
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Refunding | | ||||||||||||
500,000 | 5.250 | 08/01/43 | 210,625 | |||||||||||
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Refunding | | ||||||||||||
500,000 | 5.000 | 08/01/40 | 310,625 | |||||||||||
|
| |||||||||||||
245,774,999 | ||||||||||||||
|
| |||||||||||||
Rhode Island – 0.3% | ||||||||||||||
| Rhode Island Health and Educational Building Corp. RB | | ||||||||||||
2,500,000 | 6.000 | 09/01/33 | 2,727,925 | |||||||||||
| Tobacco Settlement Financing Corp. RB Asset-Backed Bonds | | ||||||||||||
46,215,000 | 0.000 | 06/01/52 | 1,872,632 | |||||||||||
| Tobacco Settlement Financing Corp. RB Asset-Backed Bonds | | ||||||||||||
5,000,000 | 5.000 | 06/01/40 | 5,080,100 | |||||||||||
|
| |||||||||||||
9,680,657 | ||||||||||||||
|
| |||||||||||||
South Carolina – 0.2% | ||||||||||||||
| Lancaster County Assessment RB for Edgewater Improvement | | ||||||||||||
3,688,000 | 6.875 | 11/01/35 | 3,624,198 | |||||||||||
| South Carolina Jobs – Economic Development Authority Hospital | | ||||||||||||
4,000,000 | 6.500 | 08/01/39 | 4,856,920 | |||||||||||
|
| |||||||||||||
8,481,118 | ||||||||||||||
|
| |||||||||||||
South Dakota – 0.1% | ||||||||||||||
| South Dakota State Health & Educational Facilities Authority RB | | ||||||||||||
5,000,000 | 5.000 | 11/01/40 | 5,208,000 | |||||||||||
|
| |||||||||||||
Tennessee – 0.8% | ||||||||||||||
| Blount County Health & Educational Facilities Board RB | | ||||||||||||
1,345,000 | 5.125 | 04/01/23 | 1,361,987 | |||||||||||
| Chattanooga Health Educational & Housing Facility Board RB | | ||||||||||||
125,000 | 5.000 | 10/01/15 | 125,000 | |||||||||||
7,500,000 | 5.125 | 10/01/35 | 7,501,350 | |||||||||||
| Johnson City Health & Educational Board Retirement Facilities | | ||||||||||||
1,500,000 | 5.000 | 08/15/42 | 1,583,625 | |||||||||||
| Johnson City Health & Educational Facilities Board RB for | | ||||||||||||
5,500,000 | 6.500 | 07/01/38 | 6,312,735 | |||||||||||
| Knox County Tennessee Health, Educational & Housing Facilities | | ||||||||||||
2,000,000 | 5.250 | 04/01/36 | 2,065,640 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Tennessee – (continued) | ||||||||||||||
| Memphis Health Educational & Housing Facility Board RB for | | ||||||||||||
$ | 8,680,000 | 5.750 | % | 04/01/25 | $ | 3,385,200 | ||||||||
| Shelby County Health Educational & Housing Facilities Board | | ||||||||||||
2,000,000 | 5.625 | 09/01/26 | 2,062,860 | |||||||||||
| Shelby County Health Educational & Housing Facilities Board | | ||||||||||||
2,000,000 | 5.375 | 12/01/47 | 2,032,480 | |||||||||||
|
| |||||||||||||
26,430,877 | ||||||||||||||
|
| |||||||||||||
Texas – 5.3% | ||||||||||||||
| Austin Texas Convention Center Enterprises, Inc. RB Third Tier | | ||||||||||||
15,000 | 9.750 | 01/01/26 | 15,237 | |||||||||||
| Austin Texas Convention Center Enterprises, Inc. RB Third Tier | | ||||||||||||
1,815,000 | 9.750 | 01/01/26 | 1,843,514 | |||||||||||
| Bexar County Texas Health Facilities Development Corp. RB for | | ||||||||||||
3,250,000 | 6.200 | 07/01/45 | 3,514,843 | |||||||||||
| Brazos River Authority PCRB for TXU Energy Co. LLC Project | | ||||||||||||
4,740,000 | 5.000 | 03/01/41 | 272,550 | |||||||||||
| Brazos River Authority PCRB Refunding for TXU Energy Co. | | ||||||||||||
9,275,000 | 6.750 | 10/01/38 | 533,313 | |||||||||||
| Dallas County Flood Control District No.1 GO Bonds Refunding | | ||||||||||||
6,000,000 | 7.250 | 04/01/32 | 6,011,160 | |||||||||||
| Fort Bend County Industrial Development Corp. RB for NRG | | ||||||||||||
1,145,000 | 4.750 | 05/01/38 | 1,137,122 | |||||||||||
| Fort Bend County Industrial Development Corp. RB for NRG | | ||||||||||||
5,250,000 | 4.750 | 11/01/42 | 5,194,560 | |||||||||||
| Grand Parkway Transportation Corp. System Toll RB First Tier | | ||||||||||||
11,815,000 | 5.500 | 04/01/53 | 12,873,388 | |||||||||||
| Harris County Cultural Education Facilities Finance Corp. RB | | ||||||||||||
3,030,000 | 7.000 | 01/01/48 | 3,548,403 | |||||||||||
| Houston Airport System Special Facilities RB for Continental | | ||||||||||||
9,000,000 | 6.625 | 07/15/38 | 10,423,440 | |||||||||||
| Houston Airport System Special Facilities RB Refunding for | | ||||||||||||
9,250,000 | 5.000 | 07/01/29 | 9,751,443 | |||||||||||
| Houston Airport System Special Facilities RB Refunding for | | ||||||||||||
7,500,000 | 5.000 | 07/15/35 | 7,823,700 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 45 |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
September 30, 2015 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Texas – (continued) | ||||||||||||||
| Matagorda County Texas Navigation District No. 1 PCRB | | ||||||||||||
$ | 5,200,000 | 6.300 | % | 11/01/29 | $ | 5,847,972 | ||||||||
| Mesquite Texas Health Facilities Development Corp. RB for | | ||||||||||||
5,165,000 | 5.625 | 02/15/35 | 5,182,199 | |||||||||||
| New Hope Cultural Education Facilities Finance Corporation | | ||||||||||||
1,000,000 | 5.000 | 04/01/47 | 1,023,520 | |||||||||||
| New Hope Cultural Education Facilities Finance Corporation | | ||||||||||||
1,385,000 | 4.750 | 04/01/46 | 1,386,911 | |||||||||||
| North Texas Tollway Authority RB First Tier Series 2009 A | | ||||||||||||
25,585,000 | 6.250 | 01/01/39 | 29,394,862 | |||||||||||
| North Texas Tollway Authority RB Refunding Toll Second Tier | | ||||||||||||
32,000,000 | 5.750 | 01/01/18 | 35,560,320 | |||||||||||
| Sabine River Authority Texas PCRB Refunding for TXU Electric | | ||||||||||||
5,950,000 | 5.200 | 05/01/28 | 342,125 | |||||||||||
| Tarrant County Cultural Education Facilities Finance Corp. RB | | ||||||||||||
4,180,000 | 5.125 | 05/15/37 | 4,270,831 | |||||||||||
| Texas Municipal Gas Acquisition & Supply Corp. I RB Senior | | ||||||||||||
7,825,000 | 0.926 | 12/15/26 | 7,062,297 | |||||||||||
| Texas Municipal Gas Acquisition & Supply Corp. I RB Senior | | ||||||||||||
7,485,000 | 6.250 | 12/15/26 | 9,014,784 | |||||||||||
| Texas Private Activity Bond Surface Transportation Corp. RB | | ||||||||||||
7,500,000 | 6.875 | 12/31/39 | 8,772,075 | |||||||||||
| Texas Private Activity Bond Surface Transportation Corp. RB | | ||||||||||||
5,000,000 | 6.750 | 06/30/43 | 6,048,250 | |||||||||||
|
| |||||||||||||
176,848,819 | ||||||||||||||
|
| |||||||||||||
U.S. Virgin Islands – 0.2% | ||||||||||||||
| Virgin Islands Public Finance Authority RB Refunding | | ||||||||||||
3,515,000 | 5.000 | 10/01/39 | 3,843,055 | |||||||||||
| Virgin Islands Public Finance Authority RB Senior Lien | | ||||||||||||
2,000,000 | 6.000 | 10/01/39 | 2,216,040 | |||||||||||
|
| |||||||||||||
6,059,095 | ||||||||||||||
|
| |||||||||||||
Utah – 0.7% | ||||||||||||||
| Carbon County Solid Waste Disposal RB Refunding for | | ||||||||||||
20,325,000 | 7.100 | 08/15/23 | 22,412,784 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Vermont – 0.1% | ||||||||||||||
| Vermont Educational & Health Buildings Financing Agency RB | | ||||||||||||
$ | 2,250,000 | 5.000 | % | 10/01/42 | $ | 2,345,580 | ||||||||
|
| |||||||||||||
Virginia – 0.8% | ||||||||||||||
| Albemarle County IDA RB Refunding Westminster-Canterbury | | ||||||||||||
1,000,000 | 5.000 | 01/01/31 | 1,006,250 | |||||||||||
| Alexandria City IDA for Residential Care Facilities Mortgagae | | ||||||||||||
2,700,000 | 5.000 | 10/01/45 | 2,838,726 | |||||||||||
| Mosaic District Community Development Authority RB | | ||||||||||||
3,580,000 | 6.250 | 03/01/21 | 4,066,558 | |||||||||||
2,000,000 | 6.625 | 03/01/26 | 2,258,020 | |||||||||||
7,000,000 | 6.875 | 03/01/36 | 7,962,010 | |||||||||||
| Suffolk IDA Retirement Facilities RB Refunding First Mortgage | | ||||||||||||
725,000 | 5.150 | 09/01/24 | 732,765 | |||||||||||
1,000,000 | 5.300 | 09/01/31 | 1,005,300 | |||||||||||
| Tobacco Settlement Financing Corp. Senior Asset-Backed Bonds | | ||||||||||||
1,355,000 | 5.000 | 06/01/47 | 984,963 | |||||||||||
| Virginia Beach Development Authority Residential Care Facilities | | ||||||||||||
500,000 | 5.000 | 11/01/22 | 500,745 | |||||||||||
| Washington County IDA RB for Mountain States Health Alliance | | ||||||||||||
4,000,000 | 7.750 | 07/01/38 | 4,586,000 | |||||||||||
|
| |||||||||||||
25,941,337 | ||||||||||||||
|
| |||||||||||||
Washington – 0.7% | ||||||||||||||
| Puttable Floating Option Tax-Exempt Receipts (RITES) GO | | ||||||||||||
3,955,000 | 16.565 | 01/01/23 | 5,975,768 | |||||||||||
| Puttable Floating Option Tax-Exempt Receipts (RITES) GO | | ||||||||||||
4,150,000 | 16.573 | 01/01/24 | 6,263,014 | |||||||||||
| Skagit County Public Hospital District No. 1 RB for Skagit Valley | | ||||||||||||
4,000,000 | 5.750 | 12/01/35 | 4,377,520 | |||||||||||
| Washington Health Care Facilities Authority RB for Kadlec | | ||||||||||||
3,000,000 | 5.000 | 12/01/21 | 3,595,620 | |||||||||||
| Washington Health Care Facilities Authority RB for MultiCare | | ||||||||||||
750,000 | 6.000 | 08/15/19 | 886,665 | |||||||||||
| Washington Health Care Facilities Authority RB for MultiCare | | ||||||||||||
1,750,000 | 6.000 | 08/15/19 | 2,068,885 | |||||||||||
|
| |||||||||||||
23,167,472 | ||||||||||||||
|
|
46 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
West Virginia – 0.1% | ||||||||||||||
| West Virginia Economic Development Authority Solid Waste | | ||||||||||||
$ | 4,000,000 | 5.375 | % | 12/01/38 | $ | 4,434,360 | ||||||||
|
| |||||||||||||
Wisconsin – 1.8% | ||||||||||||||
| Public Finance Authority Senior Airport Facilities RB Refunding | | ||||||||||||
15,810,000 | 5.000 | 07/01/42 | 16,329,042 | |||||||||||
| Public Finance Authority Student Housing RB for CHF- | | ||||||||||||
3,250,000 | 5.250 | 07/01/47 | 3,306,778 | |||||||||||
| Wisconsin State Health & Educational Facilities Authority RB for | | ||||||||||||
3,180,000 | 5.000 | 05/15/36 | 3,224,520 | |||||||||||
| Wisconsin State Health & Educational Facilities Authority RB for | | ||||||||||||
2,000,000 | 5.250 | 08/15/31 | 2,051,700 | |||||||||||
23,380,000 | 5.250 | 08/15/34 | 23,951,875 | |||||||||||
| Wisconsin State Health & Educational Facilities Authority RB | | ||||||||||||
10,620,000 | 5.125 | 08/15/30 | 10,891,553 | |||||||||||
|
| |||||||||||||
59,755,468 | ||||||||||||||
|
| |||||||||||||
| TOTAL STATE-SPECIFIC MUNICIPAL DEBT OBLIGATIONS | | ||||||||||||
(Cost $3,193,715,642) | $ | 3,275,869,037 | ||||||||||||
|
| |||||||||||||
Corporate Obligations – 0.2% | ||||||||||||||
Materials – 0.2% | ||||||||||||||
| AK Steel Corp. |
| ||||||||||||
$ | 5,200,000 | 7.625 | % | 10/01/21 | $ | 2,769,000 | ||||||||
6,800,000 | 8.375 | 04/01/22 | 3,425,500 | |||||||||||
|
| |||||||||||||
TOTAL CORPORATE OBLIGATIONS | ||||||||||||||
(Cost $6,729,208) | $ | 6,194,500 | ||||||||||||
|
| |||||||||||||
TOTAL INVESTMENTS – 97.9% | ||||||||||||||
(Cost $3,200,444,850) | $ | 3,282,063,537 | ||||||||||||
|
| |||||||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 2.1% |
| 70,469,188 | |||||||||||
|
| |||||||||||||
NET ASSETS – 100.0% | $ | 3,352,532,725 | ||||||||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | Zero coupon bond until next reset date. | |
(b) | Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2015. | |
(c) | Pre-refunded security. Maturity date disclosed is pre-refunding date. | |
(d) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
(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 amounts to $75,205,941, which represents approximately 2.2% of net assets as of September 30, 2015. | |
(f) | Security is currently in default. | |
(g) | Inverse floating rate security. Interest rate disclosed is that which is in effect on September 30, 2015. | |
(h) | Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect at September 30, 2015. |
Security ratings disclosed, if any, are issued by either Standard & Poor’s Ratings, Moody’s Investor Service or Fitch Ratings and are unaudited. A brief description of the ratings is available in the Fund’s Statement of Additional Information.
| ||
Investment Abbreviations: | ||
AGM | —Insured by Assured Guaranty Municipal Corp. | |
AMBAC | —Insured by American Municipal Bond Assurance Corp. | |
AMT | —Alternative Minimum Tax | |
ASSURED GTY | —Insured by Assured Guaranty | |
COMWLTH GTD | —Commonwealth Guaranteed | |
COPS | —Certificates of Participation | |
FGIC | —Insured by Financial Guaranty Insurance Co. | |
FHA | —Federal Housing Administration | |
GO | —General Obligation | |
GO OF CORP | —General Obligation of Corporation | |
IDA | —Industrial Development Authority | |
LIBOR | —London Interbank Offered Rate | |
NATL-RE | —Insured by National Public Finance Guarantee Corp. | |
NR | —Not Rated | |
PCRB | —Pollution Control Revenue Bond | |
PILOT | —Payment in Lieu of Taxes | |
Q-SBLF | —Qualified School Board Loan Fund | |
RB | —Revenue Bond | |
RITES | —Residual Interest Tax Exempt Securities | |
RMKT | —Remarketed | |
WR | —Withdrawn Rating | |
XLCA | —Insured by XL Capital Assurance, Inc. | |
|
The accompanying notes are an integral part of these financial statements. | 47 |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
September 30, 2015 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION |
SWAP CONTRACTS — At September 30, 2015, the Fund had the following swap contracts:
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
Market Value | ||||||||||||||||||||||||||
Counterparty | Referenced Obligation | Notional Amount (000’s) | Rates Received (Paid) | Termination Date | Credit Spread on September 30, 2015(a) | Upfront Payments Made (Received) | Unrealized Gain (Loss) | |||||||||||||||||||
Protection Sold: |
| |||||||||||||||||||||||||
Bank of America, N.A. | California State Various Purpose GO Bonds, Series 2003, 5.250%, 02/01/2018 | $ | 4,000 | 1.000 | % | 03/20/23 | 1.021 | % | $ | (148,280 | ) | $ | 145,302 | |||||||||||||
JPMorgan Chase Bank, N.A. | California State Various Purpose GO Bonds, Series 2003, 5.250%, 02/01/2018 | 10,000 | 1.700 | 06/20/21 | 0.819 | — | 468,235 | |||||||||||||||||||
California State Various Purpose GO Bonds, Series 2003, 5.250%, 02/01/2018 | 9,000 | 1.000 | 03/20/23 | 1.021 | (333,629 | ) | 326,929 | |||||||||||||||||||
California State Various Purpose GO Bonds, Series 2003, 5.250%, 02/01/2018 | 15,000 | 1.000 | 09/20/23 | 1.070 | (556,835 | ) | 494,334 | |||||||||||||||||||
Illinois State GO Bonds, Series A, 5.000%, 06/01/2029 | 10,000 | 1.830 | 06/20/21 | 2.423 | — | (338,868 | ) | |||||||||||||||||||
Morgan Stanley Co., Inc. | California State Various Purpose GO Bonds, Series 2003, 5.250%, 02/01/2018 | 10,000 | 1.000 | 12/20/23 | 1.092 | (233,058 | ) | 175,168 | ||||||||||||||||||
Illinois State GO Bonds, Series A, 5.000%, 06/01/2029 | 10,000 | 1.000 | 12/20/23 | 2.563 | (630,853 | ) | (387,584 | ) | ||||||||||||||||||
TOTAL | $ | (1,902,655 | ) | $ | 883,516 |
(a) | Credit spread on the Referenced Obligation, together with the period of expiration, 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 term of the swap contract increase. |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACT
Rates Exchanged | Market Value | |||||||||||||||||
Notional Amount (000’s)(a) | Termination Date | Payments Received | Payments Made | Upfront Payments Made (Received) | Unrealized Gain (Loss) | |||||||||||||
$ | 140,500 | 12/16/45 | 3 Month LIBOR | 2.750% | $ | (363,743 | ) | $ | (5,745,029 | ) |
(a) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2015. |
48 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments
September 30, 2015 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – 98.9% | ||||||||||||||
Alabama – 0.8% | ||||||||||||||
| Alabama 21st Century Authority Tobacco Settlement RB | | ||||||||||||
$ | 2,435,000 | 5.000 | % | 06/01/17 | $ | 2,597,414 | ||||||||
1,500,000 | 5.000 | 06/01/18 | 1,643,550 | |||||||||||
| Alabama Federal Aid Highway Finance Authority Refunding for | | ||||||||||||
11,400,000 | 4.000 | 03/01/17 | 11,958,144 | |||||||||||
| Alabama State GO Bonds Series 2007 A (AGM) (AA/Aa1) |
| ||||||||||||
5,020,000 | 5.000 | 08/01/17 | 5,425,415 | |||||||||||
| Jefferson County Subordinate Lien Sewer RB Warrants | | ||||||||||||
1,000,000 | 5.000 | 10/01/16 | 1,031,220 | |||||||||||
1,750,000 | 5.000 | 10/01/17 | 1,852,217 | |||||||||||
1,875,000 | 5.000 | 10/01/18 | 2,020,425 | |||||||||||
1,300,000 | 5.000 | 10/01/21 | 1,422,902 | |||||||||||
1,745,000 | 5.000 | 10/01/22 | 1,907,163 | |||||||||||
| Tuscaloosa Alabama Public Educational Building Authority RB | | ||||||||||||
3,850,000 | 3.000 | 08/15/16 | 3,938,666 | |||||||||||
|
| |||||||||||||
33,797,116 | ||||||||||||||
|
| |||||||||||||
Alaska – 0.2% | ||||||||||||||
| North Slope Borough Alaska GO Bonds | | ||||||||||||
1,465,000 | 3.000 | 06/30/16 | 1,494,608 | |||||||||||
340,000 | 4.000 | 06/30/17 | 360,175 | |||||||||||
| Northern Tobacco Securitization Corp. RB Asset-Backed Bonds | | ||||||||||||
4,740,000 | 4.625 | 06/01/23 | 4,758,060 | |||||||||||
|
| |||||||||||||
6,612,843 | ||||||||||||||
|
| |||||||||||||
Arizona – 4.3% | ||||||||||||||
| Arizona Health Facilities Authority Hospital RB for Banner | | ||||||||||||
30,300,000 | 1.000 | 01/01/37 | 26,318,883 | |||||||||||
| Arizona Health Facilities Authority Hospital RB Refunding for | | ||||||||||||
5,000,000 | 1.870 | 02/05/20 | 5,140,800 | |||||||||||
| Arizona School Facilities Board COPS Refunding | | ||||||||||||
8,000,000 | 5.000 | 09/01/20 | 9,278,240 | |||||||||||
| Arizona Transportation Board Excise Tax RB Refunding for | | ||||||||||||
4,150,000 | 5.000 | 07/01/19 | 4,741,209 | |||||||||||
| Arizona Transportation Board Highway RB | | ||||||||||||
7,000,000 | 5.000 | 07/01/18 | 7,798,840 | |||||||||||
| Arizona Transportation Board Refunding for Grant Anticipation | | ||||||||||||
7,235,000 | 4.000 | 07/01/16 | 7,433,529 | |||||||||||
| Glendale City GO Bonds Refunding Series 2015 (AGM) (AA/A2) |
| ||||||||||||
2,880,000 | 2.000 | 07/01/16 | 2,911,392 | |||||||||||
365,000 | 4.000 | 07/01/18 | 391,324 | |||||||||||
1,600,000 | 4.000 | 07/01/19 | 1,741,232 | |||||||||||
3,000,000 | 4.000 | 07/01/20 | 3,291,300 | |||||||||||
3,400,000 | 4.000 | 07/01/21 | 3,761,046 | |||||||||||
1,665,000 | 5.000 | 07/01/22 | 1,952,029 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Arizona – (continued) | ||||||||||||||
| Glendale City Senior Lien Water & Sewer RB Refunding | | ||||||||||||
$ | 1,000,000 | 4.000 | % | 07/01/16 | $ | 1,026,450 | ||||||||
1,500,000 | 5.000 | 07/01/17 | 1,611,000 | |||||||||||
| Glendale City Senior Lien Water & Sewer RB Refunding | | ||||||||||||
4,635,000 | 4.000 | 07/01/18 | 5,016,229 | |||||||||||
10,830,000 | 5.000 | 07/01/19 | 12,334,395 | |||||||||||
| Maricopa County Arizona COPS Series 2015 (AA+/Aa1) |
| ||||||||||||
9,000,000 | 3.000 | 07/01/18 | 9,477,540 | |||||||||||
| Maricopa County Arizona Paradise Valley Unified School District | | ||||||||||||
2,860,000 | 4.000 | 07/01/18 | 3,093,633 | |||||||||||
12,115,000 | 3.000 | 07/01/19 | 12,914,469 | |||||||||||
| Maricopa County Arizona Pollution Control Corp. PCRB | | ||||||||||||
6,500,000 | 1.750 | 05/30/18 | 6,572,605 | |||||||||||
| Maricopa County Arizona School Improvement Refunding for | | ||||||||||||
3,000,000 | 4.000 | 07/01/19 | 3,270,510 | |||||||||||
| Maricopa County Community College District GO Bonds | | ||||||||||||
9,920,000 | 2.000 | 07/01/17 | 10,166,810 | |||||||||||
10,010,000 | 3.000 | 07/01/19 | 10,716,105 | |||||||||||
| Maricopa County Phoenix High School District No. 210 School | | ||||||||||||
3,800,000 | 5.000 | 07/01/16 | 3,933,152 | |||||||||||
| Maricopa County Phoenix High School District No. 210 School | | ||||||||||||
8,140,000 | 3.000 | 07/01/17 | 8,473,089 | |||||||||||
1,000,000 | 4.000 | 07/01/18 | 1,083,100 | |||||||||||
1,000,000 | 3.000 | 07/01/19 | 1,067,500 | |||||||||||
| Pima County GO Bonds Series 2013 A (AA-/NR) |
| ||||||||||||
2,280,000 | 1.750 | 07/01/16 | 2,304,214 | |||||||||||
1,405,000 | 1.750 | 07/01/17 | 1,432,664 | |||||||||||
| Yavapai County IDA Solid Waste Disposal RB for Waste | | ||||||||||||
5,000,000 | 2.125 | 06/01/18 | 5,010,850 | |||||||||||
|
| |||||||||||||
174,264,139 | ||||||||||||||
|
| |||||||||||||
Arkansas – 0.6% | ||||||||||||||
| Arkansas Development Finance Authority State Park Facilities | | ||||||||||||
1,720,000 | 2.000 | 01/01/16 | 1,727,637 | |||||||||||
2,065,000 | 2.000 | 01/01/17 | 2,105,020 | |||||||||||
1,885,000 | 3.000 | 01/01/18 | 1,941,512 | |||||||||||
| Arkansas Federal Highway Grant Anticipation GO Bonds RB | | ||||||||||||
5,000,000 | 5.000 | 04/01/18 | 5,525,600 | |||||||||||
| Jefferson County Pollution Control RB Refunding for Entergy | | ||||||||||||
3,000,000 | 1.550 | 10/01/17 | 3,011,160 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 49 |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
September 30, 2015 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Arkansas – (continued) | ||||||||||||||
| Little Rock Arkansas Sewer RB Refunding Series 2015 (NR/Aa3) |
| ||||||||||||
$ | 1,240,000 | 3.000 | % | 04/01/20 | $ | 1,322,125 | ||||||||
1,075,000 | 3.000 | 10/01/20 | 1,147,950 | |||||||||||
| North Little Rock School District No. 1 Construction GO Bonds | | ||||||||||||
1,440,000 | 5.000 | 02/01/17 | 1,521,533 | |||||||||||
| Springdale Arkansas Sales and Use Tax RB Series 2012 | | ||||||||||||
845,000 | 2.000 | 11/01/16 | 859,542 | |||||||||||
1,915,000 | 2.000 | 11/01/17 | 1,947,842 | |||||||||||
1,465,000 | 2.000 | 11/01/18 | 1,495,780 | |||||||||||
720,000 | 2.000 | 11/01/19 | 731,023 | |||||||||||
|
| |||||||||||||
23,336,724 | ||||||||||||||
|
| |||||||||||||
California – 9.2% | ||||||||||||||
| Abag Finance Authority RB for Sharp Health Care Series 2011 A | | ||||||||||||
3,000,000 | 5.000 | 08/01/16 | 3,116,460 | |||||||||||
| Alameda Corridor Transportation Authority RB Refunding for | | ||||||||||||
10,165,000 | 0.000 | 10/01/19 | 9,209,591 | |||||||||||
12,555,000 | 0.000 | 10/01/20 | 10,907,282 | |||||||||||
| Anaheim Public Financing Authority Lease RB for Convention | | ||||||||||||
1,320,000 | 5.000 | 05/01/16 | 1,355,600 | |||||||||||
1,250,000 | 5.000 | 05/01/17 | 1,336,550 | |||||||||||
| Anaheim Redevelopment Agency Tax Allocation Refunding for | | ||||||||||||
50,000 | 5.000 | 02/01/24 | 54,434 | |||||||||||
| Bay Area Toll Authority Toll Bridge Authority RB for San | | ||||||||||||
10,000,000 | 0.920 | 05/01/23 | 9,785,400 | |||||||||||
| Bay Area Toll Authority Toll Bridge Authority RB for San | | ||||||||||||
7,000,000 | 0.920 | 05/01/23 | 6,849,780 | |||||||||||
| Bay Area Toll Authority Toll Bridge Authority RB for San | | ||||||||||||
15,000,000 | 1.270 | 04/01/27 | 14,806,050 | |||||||||||
| Bay Area Toll Authority Toll Bridge Authority RB for San | | ||||||||||||
26,050,000 | 1.450 | 08/01/17 | 26,317,012 | |||||||||||
| Bay Area Toll Authority Toll Bridge Authority RB for San | | ||||||||||||
2,000,000 | 1.500 | 04/02/18 | 2,020,820 | |||||||||||
| Benicia Unified School District GO Bonds Refunding | | ||||||||||||
1,735,000 | 0.000 | 08/01/17 | 1,692,059 | |||||||||||
1,510,000 | 0.000 | 08/01/18 | 1,437,943 | |||||||||||
| Bonita Canyon Public Facilities Financing Authority Special Tax | | ||||||||||||
650,000 | 3.000 | 09/01/16 | 657,728 | |||||||||||
735,000 | 3.000 | 09/01/17 | 748,664 | |||||||||||
1,000,000 | 3.250 | 09/01/18 | 1,029,380 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
California – (continued) | ||||||||||||||
| Buena Park Community Redevelopment Agency Tax Allocation | | ||||||||||||
$ | 25,000 | 4.300 | % | 09/01/16 | $ | 25,581 | ||||||||
| California Health Facilities Financing Authority RB for Catholic | | ||||||||||||
6,900,000 | 0.172 | 07/01/23 | 6,489,499 | |||||||||||
| California Health Facilities Financing Authority RB for | | ||||||||||||
8,000,000 | 1.820 | 07/01/17 | 8,079,280 | |||||||||||
| California Health Facilities Financing Authority RB Refunding | | ||||||||||||
5,000,000 | 1.450 | 03/15/17 | 5,057,400 | |||||||||||
| California Municipal Finance Authority RB for NorthBay | | ||||||||||||
5,000,000 | 2.120 | 11/01/16 | 5,000,150 | |||||||||||
| California Municipal Finance Authority RB Refunding for | | ||||||||||||
1,700,000 | 5.000 | 11/01/16 | 1,768,595 | |||||||||||
3,480,000 | 5.000 | 11/01/17 | 3,720,920 | |||||||||||
| California Municipal Finance Authority Student Housing RB for | | ||||||||||||
150,000 | 3.000 | 06/01/20 | 153,075 | |||||||||||
100,000 | 4.000 | 06/01/22 | 105,680 | |||||||||||
| California Pollution Control Financing Authority PCRB | | ||||||||||||
1,900,000 | 1.500 | 06/01/18 | 1,910,374 | |||||||||||
| California State Department of Water Resources Power Supply | | ||||||||||||
15,585,000 | 4.000 | 05/01/16 | 15,927,091 | |||||||||||
| California State Various Purpose GO Bonds Refunding | | ||||||||||||
1,150,000 | 2.000 | 09/01/16 | 1,168,503 | |||||||||||
2,055,000 | 5.000 | 09/01/19 | 2,363,949 | |||||||||||
| Carlsbad Improvement Bonds Refunding Reassessment District | | ||||||||||||
400,000 | 3.000 | 09/02/17 | 407,600 | |||||||||||
| Carson Redevelopment Agency Project Area No. 1 Tax | | ||||||||||||
275,000 | 5.500 | 10/01/15 | 275,000 | |||||||||||
| Corona-Norco Unified School District Public Financing Authority | | ||||||||||||
500,000 | 3.000 | 09/01/16 | 509,720 | |||||||||||
275,000 | 4.000 | 09/01/18 | 294,880 | |||||||||||
| Del Mar Race Track Authority RB Series 2015 (BBB-/NR)(e) |
| ||||||||||||
220,000 | 2.000 | 10/01/16 | 222,420 | |||||||||||
295,000 | 3.000 | 10/01/17 | 304,520 | |||||||||||
1,275,000 | 4.000 | 10/01/19 | 1,370,778 | |||||||||||
| Fontana Redevelopment Agency Tax Allocation Refunding for | | ||||||||||||
680,000 | 5.500 | 10/01/17 | 680,585 | |||||||||||
| Golden State Tobacco Securitization Corp. California Tobacco | | ||||||||||||
4,900,000 | 5.000 | 06/01/17 | 5,218,451 | |||||||||||
|
|
50 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
California – (continued) | ||||||||||||||
| Golden State Tobacco Securitization Corp. California Tobacco | | ||||||||||||
$ | 15,225,000 | 4.500 | % | 06/01/27 | $ | 14,596,816 | ||||||||
| Golden State Tobacco Securitization Corp. California Tobacco | | ||||||||||||
4,225,000 | 3.000 | 06/01/17 | 4,382,508 | |||||||||||
| Irvine City Limited Obligation Improvement Bond Reassessment | | ||||||||||||
1,215,000 | 4.000 | 09/02/17 | 1,275,677 | |||||||||||
1,250,000 | 4.000 | 09/02/18 | 1,332,325 | |||||||||||
1,895,000 | 4.000 | 09/02/19 | 2,037,523 | |||||||||||
| Irvine City Limited Obligation Improvement Bond Reassessment | | ||||||||||||
625,000 | 2.000 | 09/02/17 | 633,337 | |||||||||||
| Irvine City Limited Obligation Improvement Bond Reassessment | | ||||||||||||
300,000 | 2.000 | 09/02/16 | 303,087 | |||||||||||
400,000 | 3.000 | 09/02/17 | 413,388 | |||||||||||
500,000 | 4.000 | 09/02/18 | 534,255 | |||||||||||
1,000,000 | 4.000 | 09/02/19 | 1,078,730 | |||||||||||
725,000 | 4.000 | 09/02/20 | 785,740 | |||||||||||
775,000 | 5.000 | 09/02/21 | 883,531 | |||||||||||
| Lake Elsinore Public Financing Authority Local Agency RB | | ||||||||||||
1,235,000 | 5.000 | 09/01/20 | 1,418,484 | |||||||||||
| Lake Elsinore Public Financing Authority Local Agency RB | | ||||||||||||
355,000 | 3.000 | 09/01/17 | 364,085 | |||||||||||
1,495,000 | 4.000 | 09/01/18 | 1,565,145 | |||||||||||
1,000,000 | 4.000 | 09/01/19 | 1,051,660 | |||||||||||
840,000 | 5.000 | 09/01/21 | 935,567 | |||||||||||
| Long Beach California Harbor Revenue Short-Term Notes | | ||||||||||||
20,000,000 | 5.000 | 11/15/18 | 22,602,200 | |||||||||||
| Los Alamitos Unified School District GO Bonds for School | | ||||||||||||
1,750,000 | 0.000 | 09/01/16 | 1,744,943 | |||||||||||
| Los Angeles California Department of Water and Power System | | ||||||||||||
1,300,000 | 3.000 | 01/01/16 | 1,300,000 | |||||||||||
| Los Angeles Community Redevelopment Agency Tax Allocation | | ||||||||||||
540,000 | 5.500 | 07/01/17 | 578,567 | |||||||||||
| Los Angeles County Metropolitan Transportation Authority Sales | | ||||||||||||
10,000,000 | 5.000 | 07/01/17 | 10,772,600 | |||||||||||
| Los Angeles County Public Works Financing Authority Lease RB | | ||||||||||||
1,500,000 | 5.000 | 08/01/18 | 1,670,985 | |||||||||||
| Los Angeles Unified School District Series 2004 F (FGIC) | | ||||||||||||
455,000 | 5.000 | 07/01/17 | 471,221 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
California – (continued) | ||||||||||||||
| Los Angeles Unified School District Series 2004 F (FGIC) | | ||||||||||||
$ | 1,350,000 | 5.000 | % | 07/01/16 | $ | 1,397,615 | ||||||||
| Manteca Unified School District Special Tax Community | | ||||||||||||
410,000 | 3.000 | 09/01/16 | 419,512 | |||||||||||
275,000 | 4.000 | 09/01/17 | 291,607 | |||||||||||
| Miramar Ranch North California Special Tax Refunding for | | ||||||||||||
1,000,000 | 3.000 | 09/01/16 | 1,023,200 | |||||||||||
1,895,000 | 4.000 | 09/01/17 | 2,009,439 | |||||||||||
3,080,000 | 4.000 | 09/01/19 | 3,358,740 | |||||||||||
| Modesto Irrigation District RB for Electric System Series 2011 A | | ||||||||||||
1,000,000 | 5.000 | 07/01/17 | 1,074,000 | |||||||||||
| Monterey Peninsula Unified School District GO BANS | | ||||||||||||
4,250,000 | 2.500 | 11/01/15 | 4,257,183 | |||||||||||
| Mountain View California Shoreline Regional Park Community | | ||||||||||||
300,000 | 4.000 | 08/01/16 | 308,805 | |||||||||||
225,000 | 4.000 | 08/01/17 | 238,293 | |||||||||||
350,000 | 5.000 | 08/01/18 | 386,586 | |||||||||||
| Murrieta Public Financing Authority Special Tax RB Refunding | | ||||||||||||
1,965,000 | 5.000 | 09/01/18 | 2,125,344 | |||||||||||
1,000,000 | 5.000 | 09/01/19 | 1,103,430 | |||||||||||
| Natomas Unified School District GO Bonds Refunding | | ||||||||||||
890,000 | 3.000 | 09/01/16 | 910,648 | |||||||||||
| Natomas Unified School District GO Bonds Refunding | | ||||||||||||
410,000 | 3.000 | 09/01/18 | 435,121 | |||||||||||
730,000 | 4.000 | 09/01/20 | 820,410 | |||||||||||
650,000 | 4.000 | 09/01/21 | 738,745 | |||||||||||
| Oxnard Community Development Commission Tax Allocation | | ||||||||||||
120,000 | 5.000 | 09/01/16 | 124,951 | |||||||||||
| Palm Desert Financing Authority RB Tax Allocation for Project | | ||||||||||||
700,000 | 5.250 | 04/01/20 | 712,355 | |||||||||||
| Palm Desert Financing Authority RB Tax Allocation for Project | | ||||||||||||
100,000 | 5.000 | 04/01/16 | 101,236 | |||||||||||
| Palm Desert Financing Authority Tax Allocation RB Refunding | | ||||||||||||
100,000 | 5.000 | 10/01/20 | 106,285 | |||||||||||
| Palo Alto Limited Obligation Refunding & Improvement for | | ||||||||||||
385,000 | 3.000 | 09/02/18 | 392,862 | |||||||||||
| Port of Oakland RB Refunding Intermediate Lien Series 2007 B | | ||||||||||||
400,000 | 5.000 | 11/01/15 | 401,604 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 51 |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
September 30, 2015 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
California – (continued) | ||||||||||||||
| Rancho Cucamonga Redevelopment Agency Set Aside Allocation | | ||||||||||||
$ | 150,000 | 5.500 | % | 09/01/17 | $ | 162,381 | ||||||||
| Roseville Finance Authority Special Tax Revenue Refunding | | ||||||||||||
1,855,000 | 3.000 | 09/01/17 | 1,924,488 | |||||||||||
| Sacramento City Schools Joint Powers Financing Authority Lease | | ||||||||||||
1,065,000 | 4.000 | 03/01/17 | 1,118,069 | |||||||||||
1,000,000 | 4.000 | 03/01/18 | 1,072,610 | |||||||||||
| Sacramento County Regional Transit District Farebox RB | | ||||||||||||
500,000 | 4.000 | 03/01/16 | 507,325 | |||||||||||
530,000 | 4.000 | 03/01/17 | 554,645 | |||||||||||
250,000 | 5.000 | 03/01/18 | 273,208 | |||||||||||
730,000 | 5.000 | 03/01/19 | 817,607 | |||||||||||
| Sacramento County Sanitation District Financing Authority RB | | ||||||||||||
43,220,000 | 0.747 | 12/01/35 | 38,582,926 | |||||||||||
| Salida Area Public Facilities Financing Agency Community | | ||||||||||||
1,470,000 | 3.000 | 09/01/16 | 1,506,544 | |||||||||||
1,515,000 | 3.000 | 09/01/17 | 1,583,190 | |||||||||||
1,310,000 | 3.000 | 09/01/18 | 1,375,592 | |||||||||||
| San Bernardino City Unified School District GO Bonds | | ||||||||||||
800,000 | 5.000 | 08/01/18 | 890,712 | |||||||||||
| San Bernardino City Unified School District GO Bonds | | ||||||||||||
150,000 | 5.000 | 08/01/19 | 171,351 | |||||||||||
| San Diego Redevelopment Agency Tax Allocation for Centre | | ||||||||||||
1,450,000 | 5.250 | 09/01/21 | 1,507,420 | |||||||||||
665,000 | 5.250 | 09/01/23 | 691,148 | |||||||||||
| San Diego Redevelopment Agency Tax Allocation for Centre | | ||||||||||||
150,000 | 5.250 | 09/01/16 | 150,359 | |||||||||||
300,000 | 5.000 | 09/01/17 | 300,687 | |||||||||||
| San Francisco City & County Airport Commission San Francisco | | ||||||||||||
4,455,000 | 5.000 | 05/01/17 | 4,765,647 | |||||||||||
| San Francisco City & County GO Bonds for Clean & Safe | | ||||||||||||
2,750,000 | 4.000 | 06/15/19 | 3,056,928 | |||||||||||
| San Francisco City & County Redevelopment Financing | | ||||||||||||
250,000 | 5.250 | 08/01/17 | 250,235 | |||||||||||
| San Jacinto Redevelopment Agency Tax Allocation for | | ||||||||||||
160,000 | 3.900 | 08/01/17 | 160,115 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
California – (continued) | ||||||||||||||
| San Juan Unified School District Election of 2012 GO Bonds | | ||||||||||||
$ | 11,105,000 | 2.000 | % | 08/01/17 | $ | 11,396,506 | ||||||||
2,000,000 | 3.000 | 08/01/19 | 2,141,060 | |||||||||||
| San Marcos Public Financing Authority Special Tax RB | | ||||||||||||
620,000 | 2.000 | 09/01/16 | 628,506 | |||||||||||
1,260,000 | 2.250 | 09/01/17 | 1,293,264 | |||||||||||
1,000,000 | 4.000 | 09/01/19 | 1,092,090 | |||||||||||
| San Ramon Valley Unified School District GO Bonds | | ||||||||||||
2,000,000 | 0.000 | 07/01/18 | 1,945,040 | |||||||||||
| Simi Valley Community Development Agency Tax Allocation | | ||||||||||||
600,000 | 5.250 | 09/01/18 | 601,470 | |||||||||||
| Stockton Unified School District GO Bonds Refunding | | ||||||||||||
400,000 | 4.000 | 07/01/17 | 422,700 | |||||||||||
1,090,000 | 5.000 | 07/01/19 | 1,229,880 | |||||||||||
| Temecula Public Financing Authority for Wolf Creek Community | | ||||||||||||
825,000 | 3.000 | 09/01/16 | 833,027 | |||||||||||
600,000 | 3.000 | 09/01/17 | 611,496 | |||||||||||
| Tobacco Securitization Authority Northern California Tobacco | | ||||||||||||
1,185,000 | 4.750 | 06/01/23 | 1,184,929 | |||||||||||
| Transmission Agency of Northern California RB Refunding for | | ||||||||||||
20,525,000 | 0.437 | 05/01/24 | 19,834,114 | |||||||||||
| Ukiah Unified School District GO Bonds Series 1997 | | ||||||||||||
2,000,000 | 0.000 | 08/01/16 | 1,987,080 | |||||||||||
| University of California Regents Medical Center Pooled RB | | ||||||||||||
3,500,000 | 0.825 | 05/15/30 | 3,269,665 | |||||||||||
15,000,000 | 0.955 | 05/15/43 | 13,184,550 | |||||||||||
| Ventura County Capital Appreciation GO Bonds for Conejo | | ||||||||||||
1,775,000 | 0.000 | 08/01/20 | 1,623,397 | |||||||||||
| Western Riverside Water and Wastewater Financing Authority | | ||||||||||||
265,000 | 4.000 | 09/01/16 | 272,709 | |||||||||||
525,000 | 4.000 | 09/01/17 | 553,014 | |||||||||||
|
| |||||||||||||
373,376,833 | ||||||||||||||
|
| |||||||||||||
Colorado – 0.6% | ||||||||||||||
| Colorado E-470 Public Highway Authority Senior RB Refunding | | ||||||||||||
1,000,000 | 5.000 | 09/01/20 | 1,123,070 | |||||||||||
| Colorado Health Facilities Authority RB Refunding for Covenant | | ||||||||||||
400,000 | 1.000 | 12/01/15 | 400,164 | |||||||||||
500,000 | 4.000 | 12/01/18 | 529,950 | |||||||||||
1,000,000 | 5.000 | 12/01/20 | 1,116,090 | |||||||||||
|
|
52 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Colorado – (continued) | ||||||||||||||
| Denver Colorado City & County School District No. 1 Tax | | ||||||||||||
$ | 4,030,000 | 4.000 | % | 12/01/16 | $ | 4,199,945 | ||||||||
| Denver Colorado Health and Hospital Authority Healthcare RB | | ||||||||||||
13,250,000 | 1.317 | 12/01/33 | 12,275,595 | |||||||||||
| Jefferson County School District No. R-1 GO Bonds Series 2012 | | ||||||||||||
1,750,000 | 3.000 | 12/15/16 | 1,804,163 | |||||||||||
| Larimer County School District No. R-1 GO Refunding and | | ||||||||||||
1,000,000 | 2.000 | 12/15/17 | 1,025,170 | |||||||||||
| Plaza Metropolitan District No. 1 Tax Allocation Refunding | | ||||||||||||
1,935,000 | 4.000 | 12/01/15 | 1,942,082 | |||||||||||
1,000,000 | 4.000 | 12/01/16 | 1,022,600 | |||||||||||
|
| |||||||||||||
25,438,829 | ||||||||||||||
|
| |||||||||||||
Connecticut – 1.2% | ||||||||||||||
| Connecticut State GO Bonds Refunding Series 2006 E (AA/Aa3) |
| ||||||||||||
5,250,000 | 5.000 | 12/15/17 | 5,537,438 | |||||||||||
| Connecticut State GO Bonds Series 2013 A (AA/Aa3)(a) |
| ||||||||||||
3,000,000 | 0.360 | 03/01/17 | 2,994,930 | |||||||||||
2,000,000 | 0.440 | 03/01/18 | 1,984,580 | |||||||||||
| Connecticut State GO Bonds Series 2013 C (AA/Aa3) |
| ||||||||||||
7,555,000 | 5.000 | 07/15/19 | 8,597,061 | |||||||||||
| Connecticut State GO Bonds Series 2015 C (AA/Aa3)(a) |
| ||||||||||||
10,000,000 | 0.820 | 06/15/20 | 9,851,300 | |||||||||||
| Connecticut State Health & Educational Facilities Authority RB | | ||||||||||||
1,830,000 | 4.000 | 07/01/16 | 1,871,523 | |||||||||||
1,000,000 | 2.000 | 07/01/17 | 1,006,310 | |||||||||||
1,260,000 | 4.000 | 07/01/18 | 1,332,336 | |||||||||||
| New Haven GO Bonds Refunding Series 2012 A (A-/A3) |
| ||||||||||||
4,090,000 | 5.000 | 11/01/16 | 4,279,326 | |||||||||||
| Town of Hamden GO Refunding Bonds Series 2013 (A+/Baa1) |
| ||||||||||||
1,685,000 | 5.000 | 08/15/18 | 1,857,510 | |||||||||||
2,000,000 | 5.000 | 08/15/19 | 2,245,600 | |||||||||||
| University of Connecticut GO Bonds Refunding Series 2011 A | | ||||||||||||
4,730,000 | 4.000 | 02/15/16 | 4,795,700 | |||||||||||
| West Haven GO Refunding Bonds Series 2012 (AGM) (AA/A2) |
| ||||||||||||
2,000,000 | 4.000 | 08/01/17 | 2,093,580 | |||||||||||
2,100,000 | 4.000 | 08/01/18 | 2,230,116 | |||||||||||
|
| |||||||||||||
50,677,310 | ||||||||||||||
|
| |||||||||||||
Delaware – 0.3% | ||||||||||||||
| Delaware Transportation Authority Transportation System Senior | | ||||||||||||
1,900,000 | 5.000 | 07/01/19 | 2,163,169 | |||||||||||
| New Castle County GO Bonds Refunding Series 2015 | | ||||||||||||
1,000,000 | 5.000 | 10/01/20 | 1,178,170 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Delaware – (continued) | ||||||||||||||
| Sussex County Delaware GO Bonds Refunding Series 2012 A | | ||||||||||||
$ | 865,000 | 3.000 | % | 09/15/17 | $ | 905,759 | ||||||||
| Sussex County Delaware GO Bonds Refunding Series 2012 B | | ||||||||||||
1,435,000 | 4.000 | 09/15/17 | 1,530,327 | |||||||||||
| University of Delaware RB Series 2013 A (AA+/Aa1) |
| ||||||||||||
3,025,000 | 3.000 | 11/01/16 | 3,112,029 | |||||||||||
4,265,000 | 3.000 | 11/01/17 | 4,463,749 | |||||||||||
|
| |||||||||||||
13,353,203 | ||||||||||||||
|
| |||||||||||||
Florida – 4.3% | ||||||||||||||
| Atlantic Beach Health Care Facilities RB Refunding for Fleet | | ||||||||||||
350,000 | 3.000 | 11/15/15 | 350,255 | |||||||||||
300,000 | 3.000 | 11/15/16 | 301,071 | |||||||||||
970,000 | 4.000 | 11/15/18 | 1,005,599 | |||||||||||
| Bartram Park Community Development District Special | | ||||||||||||
555,000 | 1.000 | 05/01/16 | 555,000 | |||||||||||
560,000 | 1.500 | 05/01/17 | 560,174 | |||||||||||
570,000 | 2.000 | 05/01/18 | 569,994 | |||||||||||
580,000 | 2.300 | 05/01/19 | 579,994 | |||||||||||
600,000 | 2.600 | 05/01/20 | 600,510 | |||||||||||
615,000 | 3.000 | 05/01/21 | 616,562 | |||||||||||
500,000 | 3.125 | 05/01/22 | 499,255 | |||||||||||
500,000 | 3.250 | 05/01/23 | 496,670 | |||||||||||
| Century Parc Community Development District Special | | ||||||||||||
175,000 | 2.250 | 11/01/15 | 175,019 | |||||||||||
180,000 | 2.500 | 11/01/16 | 180,112 | |||||||||||
185,000 | 2.750 | 11/01/17 | 186,038 | |||||||||||
190,000 | 3.000 | 11/01/18 | 191,499 | |||||||||||
195,000 | 3.250 | 11/01/19 | 198,352 | |||||||||||
| Citizens Property Insurance Corp. Senior Secured RB for High | | ||||||||||||
6,235,000 | 5.000 | 03/01/17 | 6,630,174 | |||||||||||
| Citizens Property Insurance Corp. Senior Secured RB for High | | ||||||||||||
27,000,000 | 5.000 | 06/01/16 | 27,810,270 | |||||||||||
| CityPlace Community Development District Special Assessment | | ||||||||||||
615,000 | 5.000 | 05/01/17 | 641,654 | |||||||||||
1,375,000 | 5.000 | 05/01/18 | 1,462,931 | |||||||||||
1,890,000 | 5.000 | 05/01/19 | 2,043,752 | |||||||||||
| Country Walk Community Development District Special | | ||||||||||||
195,000 | 1.000 | 05/01/16 | 194,834 | |||||||||||
195,000 | 1.500 | 05/01/17 | 194,727 | |||||||||||
200,000 | 2.250 | 05/01/18 | 199,452 | |||||||||||
205,000 | 2.500 | 05/01/19 | 203,957 | |||||||||||
210,000 | 2.750 | 05/01/20 | 208,746 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 53 |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
September 30, 2015 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Florida – (continued) | ||||||||||||||
| Double Branch Community Development District Special | | ||||||||||||
$ | 250,000 | 1.875 | % | 05/01/16 | $ | 248,932 | ||||||||
500,000 | 2.125 | 05/01/17 | 495,750 | |||||||||||
250,000 | 2.400 | 05/01/18 | 245,762 | |||||||||||
250,000 | 2.700 | 05/01/19 | 246,473 | |||||||||||
250,000 | 3.000 | 05/01/20 | 243,828 | |||||||||||
| Fishhawk Community Development District II Special | | ||||||||||||
355,000 | 1.800 | 05/01/16 | 354,255 | |||||||||||
360,000 | 2.100 | 05/01/17 | 358,891 | |||||||||||
| Florida Higher Educational Facilities Financing Authority RB for | | ||||||||||||
825,000 | 3.000 | 04/01/17 | 850,938 | |||||||||||
500,000 | 5.000 | 04/01/18 | 542,085 | |||||||||||
500,000 | 5.000 | 04/01/19 | 551,550 | |||||||||||
| Florida State Full Faith and Credit State Board of Education | | ||||||||||||
2,990,000 | 5.000 | 06/01/20 | 3,405,490 | |||||||||||
| Florida State Municipal Power Agency RB Refunding for St. | | ||||||||||||
1,500,000 | 0.184 | 10/01/21 | 1,422,518 | |||||||||||
| Florida State Municipal Power Agency RB Refunding for St. | | ||||||||||||
5,400,000 | 0.161 | 10/07/15 | 5,121,074 | |||||||||||
| Florida State Municipal Power Agency RB Refunding for St. | | ||||||||||||
375,000 | 0.138 | 10/01/15 | 355,633 | |||||||||||
| Heritage Landing Community Development District Special | | ||||||||||||
490,000 | 2.250 | 05/01/16 | 492,783 | |||||||||||
500,000 | 2.250 | 05/01/17 | 504,710 | |||||||||||
415,000 | 2.000 | 05/01/18 | 413,344 | |||||||||||
425,000 | 2.250 | 05/01/19 | 420,954 | |||||||||||
535,000 | 2.500 | 05/01/20 | 528,152 | |||||||||||
| Highlands County Florida Health Facilities Authority RB | | ||||||||||||
1,000,000 | 5.000 | 11/15/15 | 1,005,890 | |||||||||||
| Lakeland Hospital RB for Lakeland Regional Health System | | ||||||||||||
5,020,000 | 5.000 | 11/15/16 | 5,267,084 | |||||||||||
6,315,000 | 5.000 | 11/15/17 | 6,809,528 | |||||||||||
6,250,000 | 5.000 | 11/15/18 | 6,910,375 | |||||||||||
| Manatee County Florida Public Utilities RB Refunding | | ||||||||||||
1,180,000 | 4.000 | 10/01/16 | 1,223,436 | |||||||||||
| Mediterra South Community Development District Capital | | ||||||||||||
265,000 | 3.400 | 05/01/16 | 265,429 | |||||||||||
275,000 | 3.600 | 05/01/17 | 276,458 | |||||||||||
285,000 | 3.800 | 05/01/18 | 287,710 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Florida – (continued) | ||||||||||||||
| Miami Beach Health Facilities Authority Hospital RB Refunding | | ||||||||||||
$ | 1,750,000 | 4.000 | % | 11/15/17 | $ | 1,855,227 | ||||||||
2,220,000 | 4.000 | 11/15/18 | 2,385,945 | |||||||||||
| Miami Special Obligation Non-Ad Valorem RB for Port of Miami | | ||||||||||||
2,150,000 | 3.000 | 03/01/16 | 2,173,327 | |||||||||||
2,210,000 | 4.000 | 03/01/17 | 2,314,356 | |||||||||||
2,300,000 | 4.000 | 03/01/18 | 2,460,172 | |||||||||||
2,390,000 | 5.000 | 03/01/19 | 2,673,430 | |||||||||||
2,510,000 | 5.000 | 03/01/20 | 2,860,120 | |||||||||||
2,635,000 | 5.000 | 03/01/21 | 3,048,300 | |||||||||||
2,770,000 | 5.000 | 03/01/22 | 3,225,582 | |||||||||||
| Miami Special Obligation Refunding Series 2011 A (AGM) | | ||||||||||||
830,000 | 5.000 | 02/01/17 | 878,132 | |||||||||||
| Miami-Dade County IDA Solid Waste Disposal RB for Waste | | ||||||||||||
2,000,000 | 1.500 | 10/01/18 | 2,006,420 | |||||||||||
| Miami-Dade County School Board COPS Series 2007 B | | ||||||||||||
2,500,000 | 5.000 | 05/01/17 | 2,666,975 | |||||||||||
| Miami-Dade County School Board COPS Series 2011 B (A/A1)(b) |
| ||||||||||||
3,000,000 | 5.000 | 05/01/16 | 3,078,270 | |||||||||||
| Miami-Dade County School Board COPS Series 2012 A (A/A1)(b) |
| ||||||||||||
7,595,000 | 5.000 | 08/01/16 | 7,891,129 | |||||||||||
| Miami-Dade County Special Obligation RB Refunding | | ||||||||||||
500,000 | 4.000 | 10/01/15 | 500,000 | |||||||||||
| Orlando Florida Community Redevelopment Agency Tax | | ||||||||||||
1,130,000 | 4.000 | 04/01/16 | 1,142,046 | |||||||||||
1,180,000 | 5.000 | 04/01/17 | 1,234,516 | |||||||||||
1,245,000 | 5.000 | 04/01/18 | 1,331,166 | |||||||||||
1,305,000 | 5.000 | 04/01/19 | 1,420,192 | |||||||||||
1,375,000 | 5.000 | 04/01/20 | 1,521,328 | |||||||||||
| Osceola County School Board COPS Series 2013 A (A/Aa3) |
| ||||||||||||
1,000,000 | 4.000 | 06/01/16 | 1,024,550 | |||||||||||
500,000 | 4.000 | 06/01/17 | 528,130 | |||||||||||
| Palm Beach County Health Facilities Authority Hospital RB | | ||||||||||||
400,000 | 4.000 | 11/01/15 | 400,876 | |||||||||||
370,000 | 4.000 | 11/01/16 | 382,654 | |||||||||||
720,000 | 4.000 | 11/01/17 | 759,312 | |||||||||||
630,000 | 4.000 | 11/01/18 | 673,974 | |||||||||||
| Palm Beach County School Board COPS Refunding | | ||||||||||||
3,650,000 | 5.000 | 08/01/16 | 3,781,509 | |||||||||||
| Parklands Lee Community Development District Special | | ||||||||||||
135,000 | 2.000 | 05/01/16 | 134,907 | |||||||||||
130,000 | 2.125 | 05/01/17 | 129,849 | |||||||||||
135,000 | 2.250 | 05/01/18 | 134,363 | |||||||||||
140,000 | 2.875 | 05/01/19 | 137,313 | |||||||||||
|
|
54 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Florida – (continued) | ||||||||||||||
| Polk County Florida RB Refunding for Capital Improvement | | ||||||||||||
$ | 1,000,000 | 3.000 | % | 12/01/15 | $ | 1,004,380 | ||||||||
| Portofino Isles Community Development District Special | | ||||||||||||
215,000 | 2.000 | 05/01/16 | 214,645 | |||||||||||
220,000 | 2.250 | 05/01/17 | 219,560 | |||||||||||
225,000 | 2.625 | 05/01/18 | 224,636 | |||||||||||
230,000 | 3.000 | 05/01/19 | 231,394 | |||||||||||
| Reunion East Community Development District Special | | ||||||||||||
3,090,000 | 4.000 | 05/01/20 | 3,091,421 | |||||||||||
| Sausalito Bay Community Development District Special | | ||||||||||||
90,000 | 1.875 | 05/01/16 | 89,839 | |||||||||||
90,000 | 2.125 | 05/01/17 | 89,785 | |||||||||||
95,000 | 2.500 | 05/01/18 | 94,764 | |||||||||||
90,000 | 2.750 | 05/01/19 | 90,030 | |||||||||||
100,000 | 3.000 | 05/01/20 | 99,702 | |||||||||||
| South Florida Water Management District Leasing Corp. COPS | | ||||||||||||
12,375,000 | 5.000 | 10/01/17 | 12,909,848 | |||||||||||
| South-Dade Venture Community Development District Special | | ||||||||||||
305,000 | 3.500 | 05/01/16 | 305,631 | |||||||||||
320,000 | 3.750 | 05/01/17 | 323,066 | |||||||||||
330,000 | 4.000 | 05/01/18 | 336,382 | |||||||||||
345,000 | 4.125 | 05/01/19 | 354,512 | |||||||||||
375,000 | 4.375 | 05/01/21 | 386,107 | |||||||||||
390,000 | 4.500 | 05/01/22 | 403,900 | |||||||||||
| Spicewood Community Development District Special Assessment | | ||||||||||||
105,000 | 2.125 | 05/01/16 | 104,776 | |||||||||||
110,000 | 2.250 | 05/01/17 | 109,594 | |||||||||||
110,000 | 2.500 | 05/01/18 | 109,510 | |||||||||||
115,000 | 2.875 | 05/01/19 | 115,523 | |||||||||||
| Tampa Tax Allocation RB Refunding Cigarette – H. Lee Moffitt | | ||||||||||||
560,000 | 3.000 | 09/01/16 | 573,043 | |||||||||||
425,000 | 4.000 | 09/01/17 | 451,082 | |||||||||||
| Trails at Monterey Community Development District Special | | ||||||||||||
105,000 | 2.500 | 05/01/16 | 105,227 | |||||||||||
105,000 | 2.750 | 05/01/17 | 105,256 | |||||||||||
110,000 | 3.000 | 05/01/18 | 110,460 | |||||||||||
110,000 | 3.250 | 05/01/19 | 111,221 | |||||||||||
115,000 | 3.500 | 05/01/20 | 115,967 | |||||||||||
115,000 | 3.750 | 05/01/21 | 114,940 | |||||||||||
125,000 | 3.875 | 05/01/22 | 125,249 | |||||||||||
125,000 | 4.000 | 05/01/23 | 125,729 | |||||||||||
135,000 | 4.125 | 05/01/24 | 136,431 | |||||||||||
140,000 | 4.150 | 05/01/25 | 141,119 | |||||||||||
145,000 | 4.250 | 05/01/26 | 146,989 | |||||||||||
| Turnbull Creek Community Development District Senior Special | | ||||||||||||
415,000 | 2.300 | 05/01/19 | 413,726 | |||||||||||
125,000 | 2.600 | 05/01/20 | 124,571 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Florida – (continued) | ||||||||||||||
| Venetian Isles Community Development District Special | | ||||||||||||
$ | 220,000 | 2.000 | % | 05/01/16 | $ | 222,112 | ||||||||
225,000 | 2.125 | 05/01/17 | 230,112 | |||||||||||
230,000 | 2.500 | 05/01/18 | 234,027 | |||||||||||
235,000 | 2.875 | 05/01/19 | 241,890 | |||||||||||
240,000 | 3.000 | 05/01/20 | 247,882 | |||||||||||
| Village Community Development District No. 10 Special | | ||||||||||||
1,265,000 | 4.500 | 05/01/23 | 1,370,324 | |||||||||||
| Village Community Development District No. 5 Special | | ||||||||||||
540,000 | 3.000 | 05/01/16 | 542,684 | |||||||||||
| Village Community Development District No. 7 Special | | ||||||||||||
1,215,000 | 3.000 | 05/01/17 | 1,247,805 | |||||||||||
1,500,000 | 3.000 | 05/01/19 | 1,546,215 | |||||||||||
| Waters Edge Community Development District Capital | | ||||||||||||
355,000 | 2.500 | 05/01/16 | 357,623 | |||||||||||
365,000 | 2.500 | 05/01/17 | 370,420 | |||||||||||
375,000 | 2.500 | 05/01/18 | 379,958 | |||||||||||
385,000 | 2.000 | 05/01/19 | 380,665 | |||||||||||
390,000 | 2.375 | 05/01/20 | 386,237 | |||||||||||
400,000 | 2.625 | 05/01/21 | 394,980 | |||||||||||
| Wyndam Park Community Development District Special | | ||||||||||||
90,000 | 2.000 | 05/01/16 | 89,821 | |||||||||||
90,000 | 2.125 | 05/01/17 | 89,744 | |||||||||||
95,000 | 2.250 | 05/01/18 | 94,693 | |||||||||||
95,000 | 2.875 | 05/01/19 | 95,015 | |||||||||||
|
| |||||||||||||
172,591,925 | ||||||||||||||
|
| |||||||||||||
Georgia – 2.4% | ||||||||||||||
| Carroll City-County Hospital Authority Revenue Anticipation | | ||||||||||||
1,530,000 | 4.000 | 07/01/16 | 1,570,591 | |||||||||||
| Cobb County Kennestone Hospital Authority RB Refunding | | ||||||||||||
1,045,000 | 4.000 | 04/01/16 | 1,063,350 | |||||||||||
790,000 | 4.000 | 04/01/17 | 828,671 | |||||||||||
| Colquitt County School District Sales Tax GO Bonds Series 2013 | | ||||||||||||
1,650,000 | 4.000 | 01/01/17 | 1,719,762 | |||||||||||
| DeKalb County Water and Sewerage RB Second Resolution | | ||||||||||||
1,500,000 | 5.000 | 10/01/16 | 1,569,405 | |||||||||||
| Dougherty County School District Sales Tax GO Bonds for | | ||||||||||||
2,055,000 | 5.000 | 12/01/17 | 2,242,313 | |||||||||||
| Douglas County School District GO Bonds Refunding | | ||||||||||||
2,985,000 | 4.000 | 04/01/17 | 3,142,071 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 55 |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
September 30, 2015 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Georgia – (continued) | ||||||||||||||
| Fulton County Development Authority RB Refunding for | | ||||||||||||
$ | 1,010,000 | 4.000 | % | 06/01/18 | $ | 1,082,861 | ||||||||
| Gainesville Georgia School District GO Bonds Series 2011 | | ||||||||||||
2,500,000 | 4.000 | 12/01/15 | 2,515,400 | |||||||||||
| Georgia State GO Bonds Refunding Series 2011 E-2 (AAA/Aaa) |
| ||||||||||||
9,325,000 | 4.000 | 09/01/16 | 9,642,796 | |||||||||||
11,495,000 | 4.000 | 09/01/17 | 12,234,358 | |||||||||||
| Gwinnett County School District Sales Tax GO Bonds | | ||||||||||||
15,765,000 | 4.500 | 10/01/17 | 17,001,607 | |||||||||||
| Jackson County School District GO Bonds Refunding Series 2012 | | ||||||||||||
3,030,000 | 5.000 | 03/01/17 | 3,223,829 | |||||||||||
4,215,000 | 5.000 | 03/01/18 | 4,628,492 | |||||||||||
| Metropolitan Atlanta Rapid Transit Authority RB Series 2000 A | | ||||||||||||
7,700,000 | 0.320 | 07/01/17 | 7,700,000 | |||||||||||
| Milledgeville & Baldwin County Development Authority Student | | ||||||||||||
14,000,000 | 0.790 | 10/01/24 | 13,509,580 | |||||||||||
| Public Gas Partners, Inc. RB Series 2009 A (A+/A3) |
| ||||||||||||
6,130,000 | 5.000 | 10/01/15 | 6,130,000 | |||||||||||
| Richmond County Board of Education GO Bonds for Sales Tax | | ||||||||||||
2,500,000 | 5.000 | 10/01/16 | 2,615,425 | |||||||||||
2,000,000 | 3.000 | 10/01/17 | 2,085,440 | |||||||||||
| Thomas County School District Sales Tax GO Bonds Series 2012 | | ||||||||||||
2,655,000 | 4.000 | 03/01/17 | 2,787,670 | |||||||||||
|
| |||||||||||||
97,293,621 | ||||||||||||||
|
| |||||||||||||
Guam – 0.0% | ||||||||||||||
| Guam Government Privilege Special Tax Refunding Bonds | | ||||||||||||
265,000 | 4.000 | 11/15/18 | 284,766 | |||||||||||
1,525,000 | 5.000 | 11/15/21 | 1,742,938 | |||||||||||
|
| |||||||||||||
2,027,704 | ||||||||||||||
|
| |||||||||||||
Hawaii – 0.3% | ||||||||||||||
| Honolulu City and County GO Bonds Series C (AA+/Aa1) |
| ||||||||||||
10,220,000 | 4.000 | 10/01/19 | 11,352,376 | |||||||||||
| Honolulu City and County Wastewater System RB Senior First | | ||||||||||||
2,400,000 | 2.000 | 07/01/17 | 2,460,552 | |||||||||||
|
| |||||||||||||
13,812,928 | ||||||||||||||
|
| |||||||||||||
Idaho – 0.1% | ||||||||||||||
| Boise City Independent School District GO Bonds Refunding | | ||||||||||||
1,000,000 | 3.000 | 08/01/17 | 1,044,540 | |||||||||||
2,095,000 | 4.000 | 08/01/18 | 2,275,568 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Idaho – (continued) | ||||||||||||||
| Kootenai County School District No. 271 GO Bonds | | ||||||||||||
$ | 1,960,000 | 2.000 | % | 09/15/16 | $ | 1,992,144 | ||||||||
|
| |||||||||||||
5,312,252 | ||||||||||||||
|
| |||||||||||||
Illinois – 8.7% | ||||||||||||||
| Chicago Illinois Board of Education GO Bonds Capital | | ||||||||||||
8,990,000 | 0.000 | 12/01/16 | 8,669,147 | |||||||||||
| Chicago Illinois Board of Education GO Bonds Refunding Capital | | ||||||||||||
2,500,000 | 0.000 | 12/01/15 | 2,488,425 | |||||||||||
11,185,000 | 0.000 | 12/01/16 | 10,785,807 | |||||||||||
| Chicago Illinois Board of Education GO Bonds Refunding | | ||||||||||||
1,070,000 | 0.000 | 12/01/17 | 991,419 | |||||||||||
6,595,000 | 0.000 | 12/01/19 | 5,569,214 | |||||||||||
| Chicago Illinois Board of Education GO Bonds Refunding | | ||||||||||||
30,000,000 | 4.020 | 03/01/17 | 29,517,300 | |||||||||||
| Chicago Illinois Capital Appreciation GO Bonds Refunding and | | ||||||||||||
4,645,000 | 0.000 | 01/01/23 | 3,062,077 | |||||||||||
| Chicago Illinois GO Bonds Project and Refunding RMKT | | ||||||||||||
2,000,000 | 5.000 | 01/01/23 | 1,996,240 | |||||||||||
| Chicago Illinois GO Bonds Project and Refunding Series 2014 A | | ||||||||||||
2,075,000 | 5.000 | 01/01/22 | 2,082,553 | |||||||||||
| Chicago Illinois GO Bonds Refunding Series 2012 C (BBB+/Ba1) |
| ||||||||||||
14,345,000 | 5.000 | 01/01/22 | 14,397,216 | |||||||||||
| Chicago Illinois Midway Airport Second Lien RB Refunding | | ||||||||||||
400,000 | 5.000 | 01/01/19 | 447,052 | |||||||||||
| Chicago Illinois Modern Schools Across Chicago Program GO | | ||||||||||||
2,500,000 | 5.000 | 12/01/16 | 2,567,500 | |||||||||||
5,950,000 | 4.000 | 12/01/17 | 6,012,237 | |||||||||||
| Chicago Illinois Sales Tax Refunding RMKT 06/09/15 | | ||||||||||||
1,250,000 | 5.000 | 01/01/21 | 1,368,400 | |||||||||||
| Chicago Illinois Refunding Series 2009 A (BBB+/Ba1) |
| ||||||||||||
5,400,000 | 5.000 | 01/01/22 | 5,413,878 | |||||||||||
| Chicago Illinois Water RB Refunding Second Lien Project | | ||||||||||||
550,000 | 4.000 | 11/01/16 | 562,017 | |||||||||||
| Cook County Illinois GO Refunding Bonds Series 2012 C | | ||||||||||||
1,500,000 | 5.000 | 11/15/19 | 1,626,660 | |||||||||||
1,000,000 | 4.000 | 11/15/20 | 1,045,100 | |||||||||||
| Glenview GO Refunding Bonds Series 2012 B (NR/Aaa) |
| ||||||||||||
1,245,000 | 4.000 | 12/01/16 | 1,293,953 | |||||||||||
1,295,000 | 4.000 | 12/01/17 | 1,376,766 | |||||||||||
1,365,000 | 4.000 | 12/01/18 | 1,478,118 | |||||||||||
|
|
56 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Illinois – (continued) | ||||||||||||||
| Glenview GO Refunding Bonds Series 2012 C (NR/Aaa) |
| ||||||||||||
$ | 1,650,000 | 3.000 | % | 12/01/17 | $ | 1,719,102 | ||||||||
| Illinois Educational Facilities Authority RB for University of | | ||||||||||||
6,000,000 | 1.550 | 02/13/20 | 5,977,380 | |||||||||||
| Illinois GO Bonds Series 2005 (AGM) (AA/A2) |
| ||||||||||||
1,095,000 | 4.250 | 09/01/18 | 1,095,569 | |||||||||||
| Illinois GO Bonds Series 2014 (A-/A3) |
| ||||||||||||
3,730,000 | 5.000 | 02/01/19 | 4,003,185 | |||||||||||
| Illinois State Build Illinois Sales Tax RB Series 2011 (AAA/NR) |
| ||||||||||||
2,385,000 | 4.000 | 06/15/17 | 2,511,500 | |||||||||||
| Illinois State GO Bonds First Series 2001 (NATL-RE) (AA-/A3) |
| ||||||||||||
3,000,000 | 5.500 | 08/01/17 | 3,211,470 | |||||||||||
| Illinois State GO Bonds Refunding Series 2007 B (A-/A3) |
| ||||||||||||
1,000,000 | 5.000 | 01/01/16 | 1,009,960 | |||||||||||
| Illinois State GO Bonds Refunding Series 2009 A (A-/A3) |
| ||||||||||||
16,000,000 | 4.000 | 09/01/20 | 16,636,320 | |||||||||||
| Illinois State GO Bonds Refunding Series 2010 (A-/A3) |
| ||||||||||||
7,455,000 | 5.000 | 01/01/17 | 7,783,318 | |||||||||||
12,775,000 | 5.000 | 01/01/18 | 13,534,602 | |||||||||||
16,490,000 | 5.000 | 01/01/20 | 17,827,009 | |||||||||||
| Illinois State GO Bonds Refunding Series 2010 (AGM) (AA/A2) |
| ||||||||||||
3,550,000 | 5.000 | 01/01/16 | 3,585,820 | |||||||||||
| Illinois State GO Bonds Refunding Series 2012 (A-/A3) |
| ||||||||||||
6,250,000 | 5.000 | 08/01/16 | 6,456,750 | |||||||||||
7,295,000 | 5.000 | 08/01/19 | 7,872,618 | |||||||||||
10,925,000 | 5.000 | 08/01/20 | 11,842,591 | |||||||||||
| Illinois State GO Bonds Series 2003 A (A-/A3) |
| ||||||||||||
7,525,000 | 5.000 | 10/01/16 | 7,550,284 | |||||||||||
| Illinois State GO Bonds Series 2012 (A-/A3) |
| ||||||||||||
14,360,000 | 4.000 | 01/01/19 | 14,907,547 | |||||||||||
| Illinois State GO Bonds Series 2012 A (A-/A3) |
| ||||||||||||
10,085,000 | 3.000 | 01/01/18 | 10,246,864 | |||||||||||
| Illinois State GO Bonds Series 2013 (A-/A3) |
| ||||||||||||
9,070,000 | 5.000 | 07/01/17 | 9,606,218 | |||||||||||
| Illinois State GO Bonds Series 2013 A (A-/A3) |
| ||||||||||||
2,250,000 | 5.000 | 04/01/17 | 2,366,550 | |||||||||||
| Illinois State GO Bonds Series 2014 (A-/A3) |
| ||||||||||||
4,490,000 | 5.000 | 04/01/17 | 4,722,582 | |||||||||||
| Illinois Unemployment Insurance Fund Building Receipts RB | | ||||||||||||
6,500,000 | 5.000 | 06/15/16 | 6,715,020 | |||||||||||
| Illinois Unemployment Insurance Fund Building Receipts RB | | ||||||||||||
7,500,000 | 5.000 | 12/15/17 | 7,900,425 | |||||||||||
11,980,000 | �� | 5.000 | 06/15/18 | 12,622,607 | ||||||||||
| McHenry and Lake County Community Highschool No. 156 GO | | ||||||||||||
2,245,000 | 3.000 | 02/01/17 | 2,314,034 | |||||||||||
2,690,000 | 3.000 | 02/01/18 | 2,787,351 | |||||||||||
| Quad Cities Regional Economic Development Authority RB for | | ||||||||||||
840,000 | 3.000 | 10/01/17 | 855,305 | |||||||||||
| Railsplitter Tobacco Settlement Authority Tobacco Settlement RB | | ||||||||||||
11,350,000 | 4.125 | 06/01/16 | 11,572,801 | |||||||||||
4,000,000 | 5.000 | 06/01/16 | 4,101,280 | |||||||||||
10,000,000 | 5.000 | 06/01/17 | 10,609,000 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Illinois – (continued) | ||||||||||||||
| Regional Transportation Authority Illinois Refunding | | ||||||||||||
$ | 13,420,000 | 5.000 | % | 06/01/16 | $ | 13,828,236 | ||||||||
13,545,000 | 5.000 | 06/01/17 | 14,480,960 | |||||||||||
| Springfield Electric RB Senior Lien Series 2007 (NATL-RE) | | ||||||||||||
7,500,000 | 5.000 | 03/01/19 | 7,948,050 | |||||||||||
|
| |||||||||||||
352,953,387 | ||||||||||||||
|
| |||||||||||||
Indiana – 0.8% | ||||||||||||||
| City of Whiting Environmental Facilities RB for BP Products | | ||||||||||||
15,000,000 | 1.850 | 10/01/19 | 15,000,000 | |||||||||||
| Delaware County Indiana Hospital Authority RB Refunding for | | ||||||||||||
1,085,000 | 5.500 | 08/01/17 | 1,182,444 | |||||||||||
4,535,000 | 5.625 | 08/01/18 | 5,147,089 | |||||||||||
| Indiana Finance Authority Hospital RB for Indiana University | | ||||||||||||
520,000 | 5.000 | 05/01/17 | 553,883 | |||||||||||
855,000 | 5.000 | 05/01/20 | 975,769 | |||||||||||
| Indiana Health Facility Financing Authority RB for Ascension | | ||||||||||||
4,590,000 | 1.600 | 02/01/17 | 4,645,493 | |||||||||||
| Indiana State Finance Authority RB for Community Foundation | | ||||||||||||
800,000 | 5.000 | 03/01/18 | 867,088 | |||||||||||
500,000 | 5.000 | 03/01/19 | 553,490 | |||||||||||
650,000 | 5.000 | 03/01/20 | 728,910 | |||||||||||
| Indianapolis Thermal Energy System First Lien RB Refunding | | ||||||||||||
3,905,000 | 5.000 | 10/01/15 | 3,905,000 | |||||||||||
|
| |||||||||||||
33,559,166 | ||||||||||||||
|
| |||||||||||||
Iowa – 0.1% | ||||||||||||||
| Iowa Finance Authority Health Facilities RB for Mercy Medical | | ||||||||||||
440,000 | 4.000 | 08/15/16 | 451,863 | |||||||||||
1,400,000 | 4.000 | 08/15/17 | 1,472,982 | |||||||||||
| Iowa Finance Authority State Revolving Fund RB Series 2013 | | ||||||||||||
1,000,000 | 5.000 | 08/01/18 | 1,117,560 | |||||||||||
| Iowa State University of Science and Technology RB Refunding | | ||||||||||||
1,040,000 | 1.500 | 07/01/16 | 1,048,975 | |||||||||||
1,055,000 | 1.500 | 07/01/17 | 1,070,846 | |||||||||||
|
| |||||||||||||
5,162,226 | ||||||||||||||
|
| |||||||||||||
Kansas – 1.0% | ||||||||||||||
| Johnson County Unified School DistrictNo. 229 GO Bonds for | | ||||||||||||
8,125,000 | 5.000 | 10/01/19 | 9,348,056 | |||||||||||
| Johnson County Unified School DistrictNo. 512 GO Bonds for | | ||||||||||||
6,085,000 | 4.000 | 10/01/18 | 6,636,301 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 57 |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
September 30, 2015 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Kansas – (continued) | ||||||||||||||
| Olathe Health Facilities RB for Medical Center Series 2012 B | | ||||||||||||
$ | 3,000,000 | 2.000 | % | 03/01/17 | $ | 3,017,100 | ||||||||
| Wichita GO Refunding Bonds Series 811 (AA+/Aa1) |
| ||||||||||||
5,405,000 | 5.000 | 06/01/18 | 5,998,739 | |||||||||||
| Wichita GO Refunding Bonds Series 2012 A (AA+/Aa1) |
| ||||||||||||
2,550,000 | 4.000 | 09/01/17 | 2,713,506 | |||||||||||
2,640,000 | 3.000 | 09/01/18 | 2,799,403 | |||||||||||
2,585,000 | 4.000 | 09/01/19 | 2,868,704 | |||||||||||
| Wichita GO Sales Tax Bonds Series 2012 D (AA+/Aa1) |
| ||||||||||||
1,075,000 | 3.000 | 10/01/17 | 1,125,278 | |||||||||||
1,130,000 | 3.000 | 10/01/19 | 1,211,733 | |||||||||||
| Wyandotte County/Kansas City Unified Government RB for | | ||||||||||||
2,340,000 | 3.500 | 09/01/16 | 2,401,402 | |||||||||||
| Wyandotte County/Kansas City Unified Government RB | | ||||||||||||
1,400,000 | 5.000 | 12/01/16 | 1,470,658 | |||||||||||
|
| |||||||||||||
39,590,880 | ||||||||||||||
|
| |||||||||||||
Kentucky – 1.5% | ||||||||||||||
| Kentucky Public Transportation Infrastructure Authority | | ||||||||||||
15,000,000 | 5.000 | 07/01/17 | 16,018,050 | |||||||||||
| Kentucky State Property and Buildings Commission for Project | | ||||||||||||
1,350,000 | 5.000 | 08/01/16 | 1,400,341 | |||||||||||
5,040,000 | 4.000 | 08/01/17 | 5,335,848 | |||||||||||
| Kentucky State Property and Buildings Commission for Project | | ||||||||||||
4,480,000 | 5.000 | 11/01/18 | 4,984,762 | |||||||||||
| Louisville Regional Airport Authority Airport System RB | | ||||||||||||
250,000 | 3.000 | 07/01/16 | 254,303 | |||||||||||
| Louisville/Jefferson County Metro Government Environmental | | ||||||||||||
10,000,000 | 1.150 | 06/01/17 | 10,022,900 | |||||||||||
| Louisville/Jefferson County PCRB for Louisville Gas & Electric | | ||||||||||||
10,500,000 | 1.650 | 04/03/17 | 10,607,205 | |||||||||||
| Trimble County Kentucky Pollution Control RB for Gas and | | ||||||||||||
6,000,000 | 1.050 | 03/01/18 | 5,995,680 | |||||||||||
| University of Kentucky General Receipts RB Refunding | | ||||||||||||
3,730,000 | 5.000 | 10/01/18 | 4,177,637 | |||||||||||
| University of Kentucky General Receipts RB Refunding | | ||||||||||||
1,705,000 | 4.000 | 10/01/18 | 1,859,473 | |||||||||||
|
| |||||||||||||
60,656,199 | ||||||||||||||
|
| |||||||||||||
Louisiana – 1.2% | ||||||||||||||
| City of Shreveport Louisiana Water and Sewer RB Refunding | | ||||||||||||
3,000,000 | 5.000 | 12/01/19 | 3,399,390 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Louisiana – (continued) | ||||||||||||||
| Ernest N. Morial New Orleans Exhibition Hall Authority Special | | ||||||||||||
$ | 350,000 | 2.000 | % | 07/15/16 | $ | 354,316 | ||||||||
1,830,000 | 3.000 | 07/15/16 | 1,866,765 | |||||||||||
375,000 | 2.000 | 07/15/17 | 382,189 | |||||||||||
1,740,000 | 4.000 | 07/15/17 | 1,834,586 | |||||||||||
680,000 | 2.000 | 07/15/18 | 696,884 | |||||||||||
1,040,000 | 4.000 | 07/15/18 | 1,122,576 | |||||||||||
1,000,000 | 5.000 | 07/15/19 | 1,134,760 | |||||||||||
| Jefferson Parish Sales Tax RB Refunding School Series 2012 | | ||||||||||||
1,570,000 | 3.000 | 02/01/16 | 1,584,303 | |||||||||||
1,015,000 | 3.000 | 02/01/17 | 1,048,942 | |||||||||||
1,565,000 | 3.000 | 02/01/18 | 1,635,190 | |||||||||||
| Louisiana Citizens Property Insurance Corp. RB Series 2006 B | | ||||||||||||
2,955,000 | 5.000 | 06/01/16 | 3,046,871 | |||||||||||
| Louisiana Local Government Environmental Facilities & | | ||||||||||||
1,250,000 | 3.000 | 12/01/16 | 1,285,512 | |||||||||||
| Louisiana Local Government Environmental Facilities & | | ||||||||||||
1,500,000 | 0.000 | 10/01/15 | 1,500,000 | |||||||||||
| Louisiana Public Facilities Authority RB for Hurricane Recovery | | ||||||||||||
8,250,000 | 5.000 | 06/01/17 | 8,862,728 | |||||||||||
| Louisiana State Offshore Terminal Authority Deepwater Port RB | | ||||||||||||
3,000,000 | 1.375 | 10/01/16 | 3,006,630 | |||||||||||
| New Orleans Audubon Commission for Aquarium Tax Bonds | | ||||||||||||
500,000 | 5.000 | 10/01/16 | 522,115 | |||||||||||
2,825,000 | 5.000 | 10/01/17 | 3,026,677 | |||||||||||
| New Orleans GO Bonds Refunding Series 2012 (A-/A3) |
| ||||||||||||
1,805,000 | 4.000 | 12/01/15 | 1,814,963 | |||||||||||
4,145,000 | 4.000 | 12/01/16 | 4,297,702 | |||||||||||
4,030,000 | 4.000 | 12/01/17 | 4,278,248 | |||||||||||
| New Orleans Regional Transit Authority Sales Tax RB | | ||||||||||||
610,000 | 4.000 | 12/01/16 | 634,278 | |||||||||||
| Terrebonne Parish Louisiana Hospital Service District No. 1 RB | | ||||||||||||
420,000 | 4.000 | 04/01/16 | 427,274 | |||||||||||
|
| |||||||||||||
47,762,899 | ||||||||||||||
|
| |||||||||||||
Maine – 0.1% | ||||||||||||||
| Finance Authority of Maine Solid Waste Disposal RB for Waste | | ||||||||||||
3,125,000 | 3.800 | 11/01/15 | 3,134,281 | |||||||||||
| Maine State Housing Authority Mortgage Purchase Bonds | | ||||||||||||
2,455,000 | 1.700 | 11/15/15 | 2,457,210 | |||||||||||
|
| |||||||||||||
5,591,491 | ||||||||||||||
|
|
58 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Maryland – 2.0% | ||||||||||||||
| Baltimore County Maryland GO Bonds 74th Issue for | | ||||||||||||
$ | 2,500,000 | 4.000 | % | 02/01/16 | $ | 2,531,400 | ||||||||
9,000,000 | 5.000 | 02/01/17 | 9,542,880 | |||||||||||
| Carroll County Maryland Consolidated Public Improvement and | | ||||||||||||
2,075,000 | 5.000 | 11/01/17 | 2,261,833 | |||||||||||
3,055,000 | 4.000 | 11/01/18 | 3,349,135 | |||||||||||
| Charles County Maryland GO Bonds Refunding Series 2011 | | ||||||||||||
1,115,000 | 4.000 | 11/01/16 | 1,158,151 | |||||||||||
5,405,000 | 4.000 | 11/01/17 | 5,775,891 | |||||||||||
| City of Baltimore Revenue Bonds for Water Projects Series 2002 | | ||||||||||||
7,025,000 | 0.195 | 10/07/15 | 5,734,846 | |||||||||||
| City of Baltimore Revenue Bonds for Water Projects Series 2002 | | ||||||||||||
11,350,000 | 0.150 | 10/06/15 | 9,614,834 | |||||||||||
| Harford County Maryland GO Bonds for Consolidated Public | | ||||||||||||
1,170,000 | 2.250 | 07/01/16 | 1,187,608 | |||||||||||
| Maryland State Department of Transportation Consolidated RB | | ||||||||||||
8,220,000 | 5.000 | 02/01/18 | 9,026,711 | |||||||||||
15,995,000 | 5.000 | 02/01/19 | 18,085,866 | |||||||||||
| Maryland State Health & Higher Educational Facilities Authority | | ||||||||||||
3,445,000 | 4.000 | 08/15/16 | 3,549,384 | |||||||||||
| Montgomery County Maryland GO Bonds Refunding for | | ||||||||||||
5,350,000 | 5.000 | 11/01/16 | 5,618,945 | |||||||||||
| University of Maryland RB Refunding Revolving Loan | | ||||||||||||
2,010,000 | 1.250 | 06/01/18 | 2,019,447 | |||||||||||
|
| |||||||||||||
79,456,931 | ||||||||||||||
|
| |||||||||||||
Massachusetts – 2.7% | ||||||||||||||
| Massachusetts Development Finance Agency RB for Boston | | ||||||||||||
7,000,000 | 0.600 | 03/30/17 | 6,986,700 | |||||||||||
| Massachusetts Development Finance Agency RB for Partners | | ||||||||||||
19,700,000 | 0.570 | 01/30/18 | 19,634,202 | |||||||||||
| Massachusetts State Development Finance Agency RB for | | ||||||||||||
300,000 | 5.000 | 07/01/16 | 310,419 | |||||||||||
| Massachusetts State Development Finance Agency RB Refunding | | ||||||||||||
10,000,000 | 1.500 | 08/01/19 | 10,126,700 | |||||||||||
| Massachusetts State GO Bonds Consolidated Loan Series 2007 A | | ||||||||||||
15,000,000 | 0.771 | 05/01/37 | 13,755,900 | |||||||||||
| Massachusetts State GO Bonds Consolidated Loan Series 2012 A | | ||||||||||||
26,250,000 | 0.771 | 05/01/37 | 24,600,975 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Massachusetts – (continued) | ||||||||||||||
| Massachusetts State GO Bonds Consolidated Loan Series 2012 D | | ||||||||||||
$ | 7,000,000 | 0.450 | % | 01/01/18 | $ | 6,997,760 | ||||||||
| Massachusetts State GO Bonds Refunding Series 2013 A | | ||||||||||||
6,000,000 | 0.380 | 02/01/17 | 6,004,380 | |||||||||||
| Massachusetts State GO Refunding Bonds Series 2007 A | | ||||||||||||
8,000,000 | 0.751 | 11/01/25 | 7,797,760 | |||||||||||
| Massachusetts State Health & Educational Facilities Authority RB | | ||||||||||||
2,750,000 | 1.700 | 11/01/16 | 2,770,185 | |||||||||||
| Massachusetts State Health & Educational Facilities Authority RB | | ||||||||||||
8,750,000 | 5.000 | 07/01/18 | 9,761,237 | |||||||||||
|
| |||||||||||||
108,746,218 | ||||||||||||||
|
| |||||||||||||
Michigan – 4.3% | ||||||||||||||
| Detroit Michigan Sewage Disposal System RB Refunding Senior | | ||||||||||||
2,990,000 | 5.250 | 07/01/20 | 3,421,337 | |||||||||||
| Detroit Michigan Water Supply System RB Senior Lien | | ||||||||||||
3,000,000 | 5.000 | 07/01/16 | 3,008,670 | |||||||||||
| Detroit Michigan Water Supply System RB Senior Lien | | ||||||||||||
500,000 | 5.000 | 07/01/16 | 514,565 | |||||||||||
1,295,000 | 5.000 | 07/01/17 | 1,372,247 | |||||||||||
| Macomb County Michigan L’anse Creuse Public Schools | | ||||||||||||
1,250,000 | 5.000 | 05/01/20 | 1,439,625 | |||||||||||
| Macomb County Michigan Roseville Community Schools | | ||||||||||||
250,000 | 5.000 | 05/01/17 | 265,680 | |||||||||||
365,000 | 5.000 | 05/01/18 | 400,708 | |||||||||||
900,000 | 5.000 | 05/01/19 | 1,013,841 | |||||||||||
| Michigan Finance Authority Hospital RB Refunding for | | ||||||||||||
2,300,000 | 4.000 | 08/01/20 | 2,528,206 | |||||||||||
3,500,000 | 5.000 | 08/01/21 | 4,065,915 | |||||||||||
| Michigan Finance Authority Local Government Loan Program | | ||||||||||||
500,000 | 3.400 | 10/01/20 | 509,435 | |||||||||||
500,000 | 3.600 | 10/01/21 | 511,370 | |||||||||||
500,000 | 3.800 | 10/01/22 | 513,285 | |||||||||||
| Michigan Finance Authority Local Government Loan Program | | ||||||||||||
5,125,000 | 5.000 | 07/01/21 | 5,876,684 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 59 |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
September 30, 2015 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Michigan – (continued) | ||||||||||||||
| Michigan Finance Authority Local Government Loan Program | | ||||||||||||
$ | 5,570,000 | 5.000 | % | 07/01/17 | $ | 5,912,165 | ||||||||
1,500,000 | 5.000 | 07/01/18 | 1,630,200 | |||||||||||
| Michigan Finance Authority Local Government Loan Program | | ||||||||||||
3,165,000 | 5.000 | 07/01/20 | 3,586,040 | |||||||||||
10,000,000 | 5.000 | 07/01/21 | 11,455,100 | |||||||||||
9,225,000 | 5.000 | 07/01/22 | 10,622,126 | |||||||||||
5,000,000 | 5.000 | 07/01/23 | 5,779,200 | |||||||||||
| Michigan Finance Authority Local Government Loan Program | | ||||||||||||
7,410,000 | 5.000 | 07/01/18 | 8,069,786 | |||||||||||
5,000,000 | 5.000 | 07/01/19 | 5,537,650 | |||||||||||
1,390,000 | 5.000 | 07/01/20 | 1,564,862 | |||||||||||
| Michigan Finance Authority Local Government Loan Program | | ||||||||||||
1,530,000 | 3.000 | 07/01/16 | 1,555,872 | |||||||||||
1,400,000 | 4.000 | 07/01/18 | 1,465,072 | |||||||||||
1,125,000 | 5.000 | 07/01/19 | 1,223,910 | |||||||||||
1,200,000 | 5.000 | 07/01/20 | 1,324,764 | |||||||||||
| Michigan Finance Authority Local Government Loan Program | | ||||||||||||
1,255,000 | 4.000 | 10/01/17 | 1,328,706 | |||||||||||
1,135,000 | 5.000 | 10/01/18 | 1,258,068 | |||||||||||
825,000 | 5.000 | 10/01/19 | 933,315 | |||||||||||
1,140,000 | 5.000 | 10/01/20 | 1,302,963 | |||||||||||
| Michigan Finance Authority RB for Detroit School District | | ||||||||||||
7,500,000 | 5.250 | 06/01/17 | 7,937,700 | |||||||||||
| Michigan Finance Authority RB for Detroit School District | | ||||||||||||
2,900,000 | 4.750 | 06/01/16 | 2,929,870 | |||||||||||
| Michigan Finance Authority RB Refunding for Detroit School | | ||||||||||||
1,375,000 | 4.000 | 06/01/17 | 1,426,164 | |||||||||||
| Michigan Finance Authority RB Refunding for Unemployment | | ||||||||||||
9,000,000 | 5.000 | 01/01/18 | 9,864,450 | |||||||||||
| Michigan Finance Authority RB Refunding for Unemployment | | ||||||||||||
4,085,000 | 5.000 | 01/01/20 | 4,662,088 | |||||||||||
| Michigan Finance Authority State Aid RB for Detroit School | | ||||||||||||
15,100,000 | 5.750 | 08/22/16 | 15,098,792 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Michigan – (continued) | ||||||||||||||
| Michigan Flushing Community Schools Unlimited Tax GO | | ||||||||||||
$ | 1,040,000 | 4.000 | % | 05/01/19 | $ | 1,133,891 | ||||||||
500,000 | 4.000 | 05/01/20 | 551,540 | |||||||||||
| Michigan State Environmental RB Refunding for Facilities | | ||||||||||||
2,180,000 | 5.000 | 11/01/19 | 2,187,695 | |||||||||||
| Michigan State Hospital Finance Authority RB Refunding for | | ||||||||||||
3,050,000 | 2.000 | 05/30/18 | 3,123,963 | |||||||||||
| Michigan State Strategic Fund Tax-Exempt Adjustable Mode | | ||||||||||||
10,800,000 | 1.500 | 08/01/17 | 10,836,720 | |||||||||||
| Pinckney Community Schools Livingston and Washtenaw County | | ||||||||||||
475,000 | 4.000 | 05/01/16 | 484,153 | |||||||||||
645,000 | 4.000 | 05/01/17 | 675,109 | |||||||||||
1,000,000 | 5.000 | 05/01/18 | 1,091,160 | |||||||||||
2,475,000 | 5.000 | 05/01/20 | 2,805,957 | |||||||||||
| Rochester Community School District GO Refunding Bonds | | ||||||||||||
875,000 | 4.000 | 05/01/18 | 939,873 | |||||||||||
700,000 | 4.000 | 05/01/19 | 764,218 | |||||||||||
| Royal Oak Hospital Finance Authority RB for William Beaumont | | ||||||||||||
1,500,000 | 5.000 | 09/01/19 | 1,694,145 | |||||||||||
| St. Clair County Michigan East China School District 2015 | | ||||||||||||
3,170,000 | 3.000 | 05/01/19 | 3,356,364 | |||||||||||
| Wayne County Airport Authority RB Refunding for Detroit | | ||||||||||||
10,000,000 | 5.000 | 12/01/15 | 10,069,900 | |||||||||||
| Wayne County Airport Authority RB Refunding for Detroit | | ||||||||||||
1,270,000 | 5.000 | 12/01/18 | 1,413,548 | |||||||||||
1,385,000 | 5.000 | 12/01/19 | 1,572,972 | |||||||||||
| Western Township Utilities Authority Sewage Disposal System | | ||||||||||||
1,000,000 | 4.000 | 01/01/19 | 1,084,020 | |||||||||||
|
| |||||||||||||
175,695,659 | ||||||||||||||
|
| |||||||||||||
Minnesota – 1.9% | ||||||||||||||
| Circle Pines Minnesota Independent School District No. 012 GO | | ||||||||||||
675,000 | 0.000 | 02/01/21 | 612,630 | |||||||||||
| Circle Pines Minnesota Independent School District No. 012 GO | | ||||||||||||
3,575,000 | 4.000 | 02/01/17 | 3,742,096 | |||||||||||
| Farmington Minnesota Independent School District No. 192 GO | | ||||||||||||
3,110,000 | 2.000 | 06/01/16 | 3,145,609 | |||||||||||
2,595,000 | 1.500 | 06/01/17 | 2,635,145 | |||||||||||
3,190,000 | 1.500 | 06/01/18 | 3,237,563 | |||||||||||
|
|
60 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Minnesota – (continued) | ||||||||||||||
| Metropolitan Council Minneapolis St. Paul Metropolitan Area GO | | ||||||||||||
$ | 30,000,000 | 1.000 | % | 03/01/16 | $ | 30,021,600 | ||||||||
| Minneapolis Minnesota Convention Center GO Bonds Refunding | | ||||||||||||
7,980,000 | 2.000 | 12/01/17 | 8,198,093 | |||||||||||
| Minnesota Higher Education Facilities Authority RB for | | ||||||||||||
500,000 | 5.000 | 04/01/18 | 549,430 | |||||||||||
| Minnesota State Trunk Highway GO Bonds Refunding | | ||||||||||||
12,220,000 | 2.000 | 08/01/18 | 12,617,883 | |||||||||||
| Minnesota State Trunk Highway GO Bonds Series 2012 B | | ||||||||||||
11,700,000 | 5.000 | 08/01/17 | 12,633,660 | |||||||||||
| Watertown Independent School District No. 111 GO Refunding | | ||||||||||||
1,000,000 | 3.000 | 02/01/17 | 1,033,580 | |||||||||||
|
| |||||||||||||
78,427,289 | ||||||||||||||
|
| |||||||||||||
Mississippi – 0.2% | ||||||||||||||
| Mississippi Development Bank Special Obligation RB for | | ||||||||||||
3,845,000 | 1.000 | 01/01/17 | 3,867,762 | |||||||||||
| Mississippi State GO Bonds for Capital Improvement | | ||||||||||||
3,855,000 | 5.000 | 11/01/17 | 4,200,447 | |||||||||||
|
| |||||||||||||
8,068,209 | ||||||||||||||
|
| |||||||||||||
Missouri – 2.2% | ||||||||||||||
| City of Columbia Electric Utility Special Obligation RB for | | ||||||||||||
1,995,000 | 4.000 | 09/01/18 | 2,166,550 | |||||||||||
2,075,000 | 4.000 | 09/01/19 | 2,293,497 | |||||||||||
| Curators University of Missouri System Facilities RB for System | | ||||||||||||
5,070,000 | 5.000 | 11/01/17 | 5,087,644 | |||||||||||
| Kansas City GO Bonds Refunding & Improvement Series 2012 A | | ||||||||||||
7,600,000 | 2.000 | 02/01/16 | 7,645,980 | |||||||||||
| Missouri State Development Finance Board Infrastructure | | ||||||||||||
500,000 | 4.000 | 06/01/16 | 511,770 | |||||||||||
1,180,000 | 4.000 | 06/01/18 | 1,251,426 | |||||||||||
960,000 | 4.000 | 06/01/19 | 1,033,670 | |||||||||||
1,000,000 | 4.000 | 06/01/20 | 1,082,900 | |||||||||||
| Missouri State Highways and Transportation Commission Second | | ||||||||||||
34,540,000 | 5.000 | 05/01/18 | 38,272,738 | |||||||||||
24,275,000 | 5.000 | 05/01/19 | 27,719,865 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Missouri – (continued) | ||||||||||||||
| St. Louis Airport RB Refunding for Lambert St. Louis | | ||||||||||||
$ | 765,000 | 5.000 | % | 07/01/18 | $ | 842,426 | ||||||||
|
| |||||||||||||
87,908,466 | ||||||||||||||
|
| |||||||||||||
Montana – 0.2% | ||||||||||||||
| Montana State Department of Transportation Refunding Grant | | ||||||||||||
1,600,000 | 2.000 | 06/01/17 | 1,633,104 | |||||||||||
2,000,000 | 3.000 | 06/01/17 | 2,074,220 | |||||||||||
1,750,000 | 3.000 | 06/01/18 | 1,842,890 | |||||||||||
800,000 | 4.000 | 06/01/18 | 863,392 | |||||||||||
|
| |||||||||||||
6,413,606 | ||||||||||||||
|
| |||||||||||||
Nebraska – 0.7% | ||||||||||||||
| Gas Supply RB Refunding for Central Plains Energy Project | | ||||||||||||
20,000,000 | 5.000 | 12/01/19 | 22,731,600 | |||||||||||
| Lincoln County Hospital Authority No. 1 RB Refunding for Great | | ||||||||||||
775,000 | 4.000 | 11/01/16 | 799,141 | |||||||||||
435,000 | 4.000 | 11/01/17 | 458,381 | |||||||||||
750,000 | 4.000 | 11/01/19 | 813,270 | |||||||||||
690,000 | 4.000 | 11/01/20 | 752,756 | |||||||||||
| Omaha Nebraska Special Tax RB Refunding for Performing Arts | | ||||||||||||
1,215,000 | 2.000 | 10/15/16 | 1,232,022 | |||||||||||
1,765,000 | 3.000 | 10/15/17 | 1,844,407 | |||||||||||
1,785,000 | 3.000 | 10/15/18 | 1,892,850 | |||||||||||
|
| |||||||||||||
30,524,427 | ||||||||||||||
|
| |||||||||||||
Nevada – 1.6% | ||||||||||||||
| Clark County Department of Aviation RB Refunding for Airport | | ||||||||||||
18,285,000 | 3.000 | 07/01/17 | 18,936,129 | |||||||||||
| Clark County GO Refunding Bonds Series 2006 (AGM) | | ||||||||||||
5,115,000 | 4.625 | 06/01/19 | 5,256,686 | |||||||||||
| Clark County Improvement District Refunding for Special | | ||||||||||||
3,280,000 | 3.000 | 08/01/16 | 3,293,448 | |||||||||||
3,580,000 | 4.000 | 08/01/17 | 3,666,600 | |||||||||||
| Clark County McCarran International Airport RB Refunding for | | ||||||||||||
3,000,000 | 5.000 | 07/01/16 | 3,102,600 | |||||||||||
| Clark County School District Limited Tax GO Bonds | | ||||||||||||
11,900,000 | 5.000 | 06/15/18 | 13,145,335 | |||||||||||
10,300,000 | 5.000 | 06/15/19 | 11,690,088 | |||||||||||
| Las Vegas City Limited Tax GO Bonds Medium-Term Various | | ||||||||||||
1,000,000 | 2.000 | 12/01/15 | 1,003,000 | |||||||||||
2,700,000 | 4.000 | 12/01/16 | 2,813,535 | |||||||||||
2,810,000 | 4.000 | 12/01/17 | 2,922,512 | |||||||||||
|
| |||||||||||||
65,829,933 | ||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 61 |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
September 30, 2015 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
New Hampshire – 1.3% | ||||||||||||||
| New Hampshire Business Finance Authority RB for Pollution | | ||||||||||||
$ | 50,475,000 | 0.228 | % | 05/01/21 | $ | 46,166,652 | ||||||||
| New Hampshire State Business Finance Authority RB for Waste | | ||||||||||||
1,200,000 | 2.125 | 06/01/18 | 1,207,260 | |||||||||||
| New Hampshire State Capital Improvement GO Bonds | | ||||||||||||
5,400,000 | 5.000 | 11/01/16 | 5,670,864 | |||||||||||
|
| |||||||||||||
53,044,776 | ||||||||||||||
|
| |||||||||||||
New Jersey – 5.8% | ||||||||||||||
| Atlantic County College GO Bonds Series 2013 (ST AID | | ||||||||||||
1,845,000 | 1.000 | 03/01/16 | 1,850,978 | |||||||||||
2,025,000 | 1.000 | 03/01/17 | 2,039,438 | |||||||||||
| Bergen County New Jersey GO Refunding Bonds for General | | ||||||||||||
1,725,000 | 2.000 | 12/01/16 | 1,757,188 | |||||||||||
2,355,000 | 2.000 | 12/01/17 | 2,424,991 | |||||||||||
| Brick Township GO Bonds for General Improvements | | ||||||||||||
2,140,000 | 2.000 | 08/15/16 | 2,171,437 | |||||||||||
| Burlington County New Jersey GO Bonds Series 2015 A | | ||||||||||||
1,080,000 | 2.000 | 05/01/18 | 1,107,907 | |||||||||||
1,275,000 | 2.000 | 05/01/19 | 1,308,749 | |||||||||||
| Casino Reinvestment Development Authority Luxury Tax RB | | ||||||||||||
785,000 | 4.000 | 11/01/16 | 797,372 | |||||||||||
1,000,000 | 4.000 | 11/01/17 | 1,027,640 | |||||||||||
| East Brunswick Township Board of Education Refunding Bonds | | ||||||||||||
1,130,000 | 4.000 | 11/01/18 | 1,231,225 | |||||||||||
1,300,000 | 5.000 | 11/01/19 | 1,491,841 | |||||||||||
| Gloucester County Improvement Authority RB Refunding for | | ||||||||||||
2,950,000 | 2.125 | 12/01/17 | 2,995,872 | |||||||||||
| Gloucester County New Jersey GO Bonds Refunding Series 2011 | | ||||||||||||
660,000 | 2.000 | 10/01/15 | 660,000 | |||||||||||
1,245,000 | 3.000 | 10/01/17 | 1,297,925 | |||||||||||
| Mercer County New Jersey GO Bonds Series 2015 (AA+/NR) |
| ||||||||||||
1,000,000 | 0.050 | 02/01/17 | 992,240 | |||||||||||
2,155,000 | 0.050 | 02/01/18 | 2,109,099 | |||||||||||
2,355,000 | 0.050 | 02/01/19 | 2,267,794 | |||||||||||
| Middlesex County New Jersey GO Bonds for General | | ||||||||||||
2,845,000 | 2.000 | 01/15/17 | 2,902,213 | |||||||||||
| Monmouth County GO Bonds Refunding Series 2010 C | | ||||||||||||
5,425,000 | 4.000 | 03/01/16 | 5,508,979 | |||||||||||
| Montgomery Township GO Bonds Refunding Series 2012 | | ||||||||||||
2,320,000 | 3.000 | 08/01/16 | 2,371,782 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
New Jersey – (continued) | ||||||||||||||
| New Jersey Economic Development Authority RB for School | | ||||||||||||
$ | 2,845,000 | 5.000 | % | 12/15/16 | $ | 2,971,034 | ||||||||
| New Jersey Economic Development Authority RB for School | | ||||||||||||
4,655,000 | 5.000 | 12/15/16 | 4,908,139 | |||||||||||
| New Jersey Educational Facilities Authority RB for Rider | | ||||||||||||
1,240,000 | 5.000 | 07/01/17 | 1,309,787 | |||||||||||
1,265,000 | 4.000 | 07/01/18 | 1,327,921 | |||||||||||
| New Jersey Health Care Facilities Financing Authority RB for | | ||||||||||||
2,000,000 | 5.000 | 07/01/16 | 2,066,440 | |||||||||||
| New Jersey Health Care Facilities Financing Authority RB | | ||||||||||||
350,000 | 5.000 | 07/01/17 | 374,952 | |||||||||||
400,000 | 5.000 | 07/01/18 | 436,968 | |||||||||||
| New Jersey Health Care Facilities Financing Authority RB | | ||||||||||||
4,680,000 | 3.500 | 01/01/16 | 4,712,994 | |||||||||||
| New Jersey State GO Bonds Refunding Series 2010 Q (A/A2) |
| ||||||||||||
5,000,000 | 5.000 | 08/15/16 | 5,181,150 | |||||||||||
| New Jersey State Transit Corp. Refunding Grant Anticipation | | ||||||||||||
7,500,000 | 5.000 | 09/15/18 | 8,205,525 | |||||||||||
| New Jersey State Turnpike Authority RB Refunding | | ||||||||||||
22,000,000 | 5.000 | 01/01/20 | 25,277,340 | |||||||||||
| New Jersey State Turnpike Authority RB Series 2000 C | | ||||||||||||
21,625,000 | 0.138 | 01/01/30 | 19,830,858 | |||||||||||
| New Jersey State Turnpike Authority RB Series 2000 D | | ||||||||||||
21,500,000 | 0.184 | 01/01/30 | 19,715,995 | |||||||||||
| New Jersey State Turnpike Authority RB Series 2012 B (A+/A3) |
| ||||||||||||
10,000,000 | 5.000 | 01/01/19 | 11,244,200 | |||||||||||
| New Jersey Transportation Trust Fund Authority RB for | | ||||||||||||
10,000,000 | 5.000 | 06/15/21 | 10,709,200 | |||||||||||
| New Jersey Transportation Trust Fund Authority RB for | | ||||||||||||
3,005,000 | 5.000 | 12/15/23 | 3,202,218 | |||||||||||
| New Jersey Transportation Trust Fund Authority RB for | | ||||||||||||
1,485,000 | 5.000 | 06/15/20 | 1,592,544 | |||||||||||
| New Jersey Transportation Trust Fund Authority RB for | | ||||||||||||
15,550,000 | 5.250 | 12/15/20 | 16,846,870 | |||||||||||
| New Jersey Transportation Trust Fund Authority Program RB | | ||||||||||||
1,900,000 | 5.000 | 06/15/17 | 2,015,425 | |||||||||||
| New Jersey Transportation Trust Fund Authority RB for | | ||||||||||||
6,800,000 | 5.500 | 12/15/16 | 7,159,788 | |||||||||||
|
|
62 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
New Jersey – (continued) | ||||||||||||||
| New Jersey Transportation Trust Fund Authority RB for | | ||||||||||||
$ | 1,075,000 | 5.000 | % | 06/15/16 | $ | 1,105,433 | ||||||||
| New Jersey Transportation Trust Fund Authority RB for | | ||||||||||||
22,280,000 | 5.000 | 12/15/19 | 23,868,564 | |||||||||||
| New Jersey Transportation Trust Fund Authority RB Refunding | | ||||||||||||
10,000,000 | 5.250 | 12/15/23 | 10,821,900 | |||||||||||
| New Jersey Turnpike Authority Turnpike RB Series 2014 B-3 | | ||||||||||||
2,750,000 | 0.702 | 01/01/18 | 2,756,655 | |||||||||||
| Toms River Township Board of Education School District GO | | ||||||||||||
820,000 | 3.000 | 07/15/16 | 836,794 | |||||||||||
855,000 | 3.000 | 07/15/17 | 889,525 | |||||||||||
| Toms River Township General Improvement Bonds Series 2010 | | ||||||||||||
3,260,000 | 3.000 | 06/15/18 | 3,423,065 | |||||||||||
| Union County New Jersey GO Bonds Refunding Series B (ETM) | | ||||||||||||
25,000 | 3.000 | 03/01/19 | 26,705 | |||||||||||
| Union County New Jersey GO Bonds Series B (AA+/Aa1) |
| ||||||||||||
1,240,000 | 3.000 | 03/01/19 | 1,312,118 | |||||||||||
| Wayne Township School District GO Refunding Bonds | | ||||||||||||
1,000,000 | 4.000 | 07/15/16 | 1,028,240 | |||||||||||
|
| |||||||||||||
233,473,017 | ||||||||||||||
|
| |||||||||||||
New Mexico – 0.5% | ||||||||||||||
| New Mexico State Capital Projects GO Bonds Series 2013 | | ||||||||||||
6,030,000 | 2.000 | 03/01/17 | 6,157,353 | |||||||||||
| New Mexico State Severance Tax RB Refunding Series 2011 A-2 | | ||||||||||||
5,000,000 | 5.000 | 07/01/16 | 5,176,350 | |||||||||||
| New Mexico State Severance Tax RB Series 2010 A (AA/Aa1) |
| ||||||||||||
2,000,000 | 5.000 | 07/01/17 | 2,152,340 | |||||||||||
| New Mexico State Severance Tax RB Series 2011 A-1 (AA/Aa1) |
| ||||||||||||
5,475,000 | 5.000 | 07/01/17 | 5,892,031 | |||||||||||
|
| |||||||||||||
19,378,074 | ||||||||||||||
|
| |||||||||||||
New York – 12.9% | ||||||||||||||
| Albany County Airport Authority RB Refunding Series 2010 A | | ||||||||||||
1,625,000 | 5.000 | 12/15/15 | 1,640,064 | |||||||||||
| Albany County GO Serial Bonds Series 2010 (AA/Aa3) |
| ||||||||||||
1,385,000 | 3.000 | 06/01/16 | 1,409,750 | |||||||||||
| City of Yonkers New York School GO Bonds Refunding | | ||||||||||||
2,890,000 | 5.000 | 09/01/18 | 3,206,137 | |||||||||||
3,135,000 | 5.000 | 09/01/19 | 3,553,491 | |||||||||||
| Marlboro Central School District GO Serial Bonds Series 2010 | | ||||||||||||
990,000 | 4.000 | 10/15/15 | 991,416 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
New York – (continued) | ||||||||||||||
| Metropolitan Transportation Authority New York RB Refunding | | ||||||||||||
$ | 1,000,000 | 5.000 | % | 11/15/15 | $ | 1,005,950 | ||||||||
730,000 | 4.000 | 11/15/16 | 759,273 | |||||||||||
| Metropolitan Transportation Authority RB Refunding | | ||||||||||||
20,000,000 | 5.000 | 11/15/19 | 22,806,200 | |||||||||||
| Metropolitan Transportation Authority RB Series 2011 B | | ||||||||||||
50,000,000 | 0.482 | 11/01/17 | 49,498,000 | |||||||||||
| Metropolitan Transportation Authority RB Series 2011 D | | ||||||||||||
1,100,000 | 4.000 | 11/15/15 | 1,105,203 | |||||||||||
| Monroe County GO Bonds Refunding Series 2012 (A/Baa1) |
| ||||||||||||
3,000,000 | 5.000 | 03/01/16 | 3,050,640 | |||||||||||
| New York City GO Bonds Refunding RMKT 03/19/13 | | ||||||||||||
6,250,000 | 0.570 | 08/01/25 | 6,155,625 | |||||||||||
| New York City GO Bonds Series 2010 A (AA/Aa2) |
| ||||||||||||
1,200,000 | 3.000 | 08/01/16 | 1,226,988 | |||||||||||
| New York City GO Bonds Series 2014 J (AA/Aa2) |
| ||||||||||||
52,045,000 | 5.000 | 08/01/18 | 57,977,610 | |||||||||||
| New York City Transitional Finance Authority RB Future Tax | | ||||||||||||
8,620,000 | 5.000 | 11/01/17 | 9,384,939 | |||||||||||
| New York City Transitional Finance Authority RB Future Tax | | ||||||||||||
2,030,000 | 5.000 | 11/01/17 | 2,211,015 | |||||||||||
| New York City Transitional Finance Authority RB Future Tax | | ||||||||||||
5,240,000 | 5.000 | 11/01/17 | 5,704,998 | |||||||||||
| New York City Transitional Finance Authority RB Future Tax | | ||||||||||||
6,890,000 | 5.000 | 11/01/17 | 7,504,381 | |||||||||||
| New York City Transitional Finance Authority RB Refunding for | | ||||||||||||
13,310,000 | 5.000 | 11/01/17 | 14,491,129 | |||||||||||
| New York State Dormitory Authority North Shore-Long Island | | ||||||||||||
1,725,000 | 4.000 | 05/01/16 | 1,759,448 | |||||||||||
2,215,000 | 4.000 | 05/01/17 | 2,325,507 | |||||||||||
| New York State Dormitory Authority RB Refunding for Long | | ||||||||||||
3,325,000 | 4.000 | 09/01/16 | 3,397,319 | |||||||||||
3,000,000 | 4.000 | 09/01/17 | 3,121,890 | |||||||||||
3,665,000 | 5.000 | 09/01/18 | 3,954,388 | |||||||||||
| New York State Dormitory Authority State Sales Tax RB | | ||||||||||||
23,960,000 | 5.000 | 03/15/19 | 27,240,603 | |||||||||||
| New York State Dormitory Authority Tax Exempt General | | ||||||||||||
8,475,000 | 5.000 | 08/15/17 | 9,164,017 | |||||||||||
| New York State Energy Research & Development Authority | | ||||||||||||
70,150,000 | 0.182 | 05/01/34 | 63,466,692 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 63 |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
September 30, 2015 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
New York – (continued) | ||||||||||||||
| New York State Energy Research & Development Authority | | ||||||||||||
$ | 5,000,000 | 2.250 | % | 10/15/15 | $ | 5,003,600 | ||||||||
| New York State Energy Research & Development Authority | | ||||||||||||
8,000,000 | 2.250 | 12/01/15 | 8,022,960 | |||||||||||
| New York State Energy Research & Development Authority RB | | ||||||||||||
27,750,000 | 0.149 | 07/01/34 | 24,861,130 | |||||||||||
| New York State Tax Exempt GO Bonds Series 2011 E | | ||||||||||||
6,950,000 | 5.000 | 12/15/17 | 7,610,806 | |||||||||||
| New York State Tax Exempt GO Bonds Subseries 2012 A-1 | | ||||||||||||
3,000,000 | 5.000 | 10/01/17 | 3,255,600 | |||||||||||
| New York State Tax Exempt GO Refunding Bonds Series 2012 C | | ||||||||||||
7,555,000 | 4.000 | 08/01/16 | 7,786,938 | |||||||||||
| New York State Thruway Authority Junior Indebtedness RB | | ||||||||||||
29,525,000 | 5.000 | 05/01/19 | 33,314,829 | |||||||||||
| New York State Thruway Authority RB for General Highway and | | ||||||||||||
6,440,000 | 5.000 | 04/01/17 | 6,872,317 | |||||||||||
| New York State Urban Development Corp. General Purpose | | ||||||||||||
20,000,000 | 5.000 | 03/15/20 | 23,204,200 | |||||||||||
| New York State Urban Development Corp. RB for State Personal | | ||||||||||||
26,365,000 | 5.000 | 03/15/18 | 29,067,149 | |||||||||||
| Niagara Frontier Transportation Authority RB Refunding for | | ||||||||||||
750,000 | 4.000 | 04/01/16 | 762,578 | |||||||||||
700,000 | 5.000 | 04/01/17 | 738,598 | |||||||||||
670,000 | 4.000 | 04/01/18 | 708,404 | |||||||||||
300,000 | 5.000 | 04/01/19 | 332,430 | |||||||||||
| Rockland County GO Bonds Series 2014 A (AGM) (AA/A2) |
| ||||||||||||
1,825,000 | 5.000 | 03/01/18 | 1,990,309 | |||||||||||
2,250,000 | 5.000 | 03/01/19 | 2,516,040 | |||||||||||
3,000,000 | 5.000 | 03/01/20 | 3,415,710 | |||||||||||
| Rockland County New York GO Bonds Refunding Series 2014 | | ||||||||||||
1,500,000 | 2.000 | 02/15/16 | 1,508,655 | |||||||||||
1,500,000 | 3.000 | 02/15/19 | 1,576,995 | |||||||||||
635,000 | 3.000 | 02/15/20 | 668,452 | |||||||||||
| Suffolk County New York GO Bonds for Public Improvement | | ||||||||||||
2,590,000 | 2.000 | 10/15/16 | 2,630,300 | |||||||||||
| Suffolk County New York Refunding Serial Bonds Series 2012 B | | ||||||||||||
2,000,000 | 4.000 | 10/01/16 | 2,069,360 | |||||||||||
1,000,000 | 4.000 | 10/01/17 | 1,062,810 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
New York – (continued) | ||||||||||||||
| Suffolk Tobacco Asset Securitization Corp. RB Tobacco | | ||||||||||||
$ | 370,000 | 4.000 | % | 06/01/17 | $ | 390,501 | ||||||||
490,000 | 4.000 | 06/01/18 | 527,353 | |||||||||||
575,000 | 5.000 | 06/01/19 | 648,284 | |||||||||||
620,000 | 5.000 | 06/01/20 | 706,422 | |||||||||||
| Tobacco Settlement Financing Corp. RB Asset-Backed Bonds for | | ||||||||||||
30,000,000 | 5.000 | 06/01/17 | 32,160,600 | |||||||||||
| Triborough Bridge & Tunnel Authority RB General RMKT | | ||||||||||||
7,500,000 | 0.652 | 01/03/17 | 7,485,300 | |||||||||||
| Yonkers New York GO Bonds Series 2011 A (AGM) (A/A3) |
| ||||||||||||
2,000,000 | 5.000 | 10/01/15 | 2,000,000 | |||||||||||
2,000,000 | 5.000 | 10/01/16 | 2,086,840 | |||||||||||
|
| |||||||||||||
523,098,143 | ||||||||||||||
|
| |||||||||||||
North Carolina – 2.0% | ||||||||||||||
| Durham North Carolina Utility System RB Refunding Series 2011 | | ||||||||||||
300,000 | 4.000 | 06/01/16 | 307,443 | |||||||||||
| North Carolina Eastern Municipal Power Agency Power System | | ||||||||||||
5,500,000 | 5.000 | 01/01/16 | 5,563,965 | |||||||||||
| North Carolina Eastern Municipal Power Agency Power System | | ||||||||||||
1,500,000 | 5.000 | 01/01/16 | 1,517,445 | |||||||||||
4,535,000 | 5.000 | 01/01/17 | 4,791,364 | |||||||||||
3,000,000 | 5.000 | 01/01/19 | 3,380,430 | |||||||||||
| North Carolina Eastern Municipal Power Agency Power System | | ||||||||||||
1,815,000 | 3.000 | 01/01/16 | 1,827,433 | |||||||||||
2,000,000 | 3.000 | 01/01/18 | 2,102,920 | |||||||||||
1,275,000 | 5.000 | 01/01/18 | 1,397,170 | |||||||||||
2,000,000 | 3.000 | 01/01/19 | 2,126,480 | |||||||||||
1,000,000 | 5.000 | 01/01/19 | 1,126,810 | |||||||||||
| North Carolina GO Bonds Refunding Series 2005 B (AAA/Aaa) |
| ||||||||||||
16,925,000 | 5.000 | 04/01/17 | 18,069,130 | |||||||||||
| North Carolina GO Bonds Refunding Series 2013 D (AAA/Aaa) |
| ||||||||||||
27,685,000 | 3.000 | 06/01/17 | 28,829,221 | |||||||||||
| North Carolina Grant and Revenue Anticipation Vehicle Bonds | | ||||||||||||
6,010,000 | 4.000 | 03/01/18 | 6,327,208 | |||||||||||
| North Carolina Medical Care Commission Health Care Facilities | | ||||||||||||
1,065,000 | 4.000 | 12/01/16 | 1,106,876 | |||||||||||
1,375,000 | 5.000 | 12/01/18 | 1,532,671 | |||||||||||
|
| |||||||||||||
80,006,566 | ||||||||||||||
|
| |||||||||||||
Ohio – 0.8% | ||||||||||||||
| Akron City Ohio Jedd RB Refunding Series 2011 (AA-/NR) |
| ||||||||||||
1,000,000 | 4.000 | 12/01/15 | 1,006,160 | |||||||||||
1,425,000 | 5.000 | 12/01/16 | 1,496,920 | |||||||||||
1,740,000 | 5.000 | 12/01/17 | 1,886,090 | |||||||||||
|
|
64 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Ohio – (continued) | ||||||||||||||
| Bowling Green Ohio City Student Housing RB for CFP I LLC | | ||||||||||||
$ | 825,000 | 4.000 | % | 06/01/16 | $ | 835,783 | ||||||||
| Buckeye Ohio Tobacco Settlement Financing Authority RB | | ||||||||||||
13,740,000 | 5.125 | 06/01/24 | 11,758,692 | |||||||||||
3,415,000 | 5.375 | 06/01/24 | 2,948,818 | |||||||||||
| Cleveland Airport Various Purpose GO Refunding Bonds | | ||||||||||||
1,455,000 | 5.000 | 12/01/20 | 1,687,116 | |||||||||||
| Dublin City School District GO Refunding Bonds Unlimited Tax | | ||||||||||||
500,000 | 4.000 | 12/01/16 | 520,490 | |||||||||||
1,180,000 | 4.000 | 12/01/17 | 1,261,573 | |||||||||||
| Hamilton County Health Care RB Refunding for Life Enriching | | ||||||||||||
250,000 | 2.000 | 01/01/16 | 250,370 | |||||||||||
315,000 | 2.250 | 01/01/17 | 316,610 | |||||||||||
400,000 | 4.000 | 01/01/18 | 415,368 | |||||||||||
415,000 | 4.000 | 01/01/19 | 434,766 | |||||||||||
435,000 | 4.000 | 01/01/20 | 455,715 | |||||||||||
| New Albany Community Authority RB Refunding Series 2012 C | | ||||||||||||
1,100,000 | 4.000 | 10/01/17 | 1,159,235 | |||||||||||
800,000 | 4.000 | 10/01/18 | 858,240 | |||||||||||
| Ohio State Air Quality Development Authority PCRB Refunding | | ||||||||||||
3,000,000 | 2.250 | 09/15/16 | 3,009,480 | |||||||||||
| Ohio State Higher Educational Facility Commission RB for | | ||||||||||||
2,250,000 | 0.490 | 01/01/18 | 2,244,128 | |||||||||||
| University of Akron General Receipts GO Bonds Series 2015 A | | ||||||||||||
1,100,000 | 4.000 | 01/01/19 | 1,202,322 | |||||||||||
|
| |||||||||||||
33,747,876 | ||||||||||||||
|
| |||||||||||||
Oklahoma – 1.3% | ||||||||||||||
| Cleveland Educational Facilities Authority RB for Norman Public | | ||||||||||||
1,520,000 | 5.000 | 07/01/17 | 1,625,898 | |||||||||||
| Oklahoma County Independent School District No. 12 Combined | | ||||||||||||
3,765,000 | 2.000 | 03/01/16 | 3,792,447 | |||||||||||
5,470,000 | 2.000 | 03/01/17 | 5,577,814 | |||||||||||
| Oklahoma County Independent School District No. 12 Combined | | ||||||||||||
5,000,000 | 2.000 | 03/01/17 | 5,102,050 | |||||||||||
| Oklahoma County Independent School District No. 52 GO Bonds | | ||||||||||||
2,160,000 | 2.000 | 01/01/17 | 2,198,081 | |||||||||||
| Oklahoma County Independent School District No. 52 GO Bonds | | ||||||||||||
2,795,000 | 2.000 | 01/01/16 | 2,807,130 | |||||||||||
2,445,000 | 2.000 | 01/01/17 | 2,488,106 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Oklahoma – (continued) | ||||||||||||||
| Oklahoma County Independent School District No. 89 GO Bonds | | ||||||||||||
$ | 6,200,000 | 3.000 | % | 07/01/19 | $ | 6,588,058 | ||||||||
| Oklahoma County Independent School District No. 89 GO Bonds | | ||||||||||||
8,750,000 | 1.000 | 07/01/16 | 8,796,462 | |||||||||||
| Tulsa County Industrial Authority RB for Capital Improvement | | ||||||||||||
10,965,000 | 4.000 | 05/15/16 | 11,201,515 | |||||||||||
| Tulsa Oklahoma GO Bonds Series 2013 (AA/Aa1) |
| ||||||||||||
3,400,000 | 4.000 | 03/01/16 | 3,452,496 | |||||||||||
|
| |||||||||||||
53,630,057 | ||||||||||||||
|
| |||||||||||||
Oregon – 0.7% | ||||||||||||||
| Lane County Oregon Springfield School District No. 19 GO | | ||||||||||||
3,740,000 | 0.000 | 06/15/20 | 3,401,680 | |||||||||||
3,780,000 | 0.000 | 06/15/21 | 3,316,572 | |||||||||||
| Oregon Coast Community College District GO Bonds Refunding | | ||||||||||||
1,120,000 | 2.000 | 06/15/16 | 1,133,899 | |||||||||||
790,000 | 2.000 | 06/15/17 | 809,963 | |||||||||||
1,165,000 | 2.000 | 06/15/18 | 1,181,858 | |||||||||||
1,445,000 | 3.000 | 06/15/19 | 1,513,551 | |||||||||||
| Oregon State Facilities Authority RB Refunding for Legacy | | ||||||||||||
2,000,000 | 5.000 | 05/01/16 | 2,052,760 | |||||||||||
| Oregon State GO Bonds Refunding for Oregon University System | | ||||||||||||
1,175,000 | 3.000 | 08/01/17 | 1,227,334 | |||||||||||
1,120,000 | 3.000 | 08/01/18 | 1,187,648 | |||||||||||
| Portland Oregon Community College District GO Bonds | | ||||||||||||
10,000,000 | 5.000 | 06/15/18 | 11,114,400 | |||||||||||
|
| |||||||||||||
26,939,665 | ||||||||||||||
|
| |||||||||||||
Pennsylvania – 2.0% | ||||||||||||||
| Allegheny County Higher Education Building Authority RB for | | ||||||||||||
750,000 | 5.000 | 09/01/18 | 809,880 | |||||||||||
| Allegheny County Redevelopment Authority Tax Increment | | ||||||||||||
1,050,000 | 4.250 | 12/15/15 | 1,055,439 | |||||||||||
645,000 | 4.250 | 12/15/17 | 674,573 | |||||||||||
| Butler County Hospital Authority RB for Health System Project | | ||||||||||||
735,000 | 2.000 | 07/01/16 | 740,939 | |||||||||||
500,000 | 3.000 | 07/01/17 | 513,865 | |||||||||||
1,265,000 | 3.000 | 07/01/18 | 1,309,149 | |||||||||||
300,000 | 3.000 | 07/01/19 | 311,190 | |||||||||||
265,000 | 4.000 | 07/01/20 | 286,099 | |||||||||||
1,000,000 | 4.000 | 07/01/21 | 1,079,140 | |||||||||||
| Chester County IDA RB for University Student Housing, LLC | | ||||||||||||
295,000 | 3.000 | 08/01/16 | 297,823 | |||||||||||
515,000 | 3.000 | 08/01/17 | 523,420 | |||||||||||
530,000 | 3.000 | 08/01/18 | 537,892 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 65 |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
September 30, 2015 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Pennsylvania – (continued) | ||||||||||||||
| Cumberland County Municipal Authority RB Refunding for | | ||||||||||||
$ | 535,000 | 4.000 | % | 01/01/19 | $ | 561,846 | ||||||||
1,000,000 | 4.000 | 01/01/20 | 1,052,120 | |||||||||||
| Derry Township School District GO Bonds Refunding | | ||||||||||||
1,505,000 | 3.000 | 05/15/17 | 1,561,092 | |||||||||||
| Montgomery County Higher Education and Health Authority RB | | ||||||||||||
1,000,000 | 4.000 | 10/01/18 | 1,064,340 | |||||||||||
1,000,000 | 4.000 | 10/01/19 | 1,069,960 | |||||||||||
| Montgomery County IDA Pollution Control RB Refunding for | | ||||||||||||
5,000,000 | 2.500 | 04/01/20 | 4,966,350 | |||||||||||
| Pennsylvania Economic Development Financing Authority RB | | ||||||||||||
9,545,000 | 5.000 | 07/01/22 | 9,882,320 | |||||||||||
7,000,000 | 5.000 | 01/01/23 | 7,080,010 | |||||||||||
| Pennsylvania Economic Development Financing Authority Solid | | ||||||||||||
1,400,000 | 1.250 | 05/01/17 | 1,400,994 | |||||||||||
| Pennsylvania Economic Development Financing Authority Solid | | ||||||||||||
1,750,000 | 1.500 | 05/01/18 | 1,742,965 | |||||||||||
| Pennsylvania Economic Development Financing Authority Solid | | ||||||||||||
5,250,000 | 1.750 | 12/01/15 | 5,259,450 | |||||||||||
| Pennsylvania Economic Development Financing Authority | | ||||||||||||
16,335,000 | 5.000 | 07/01/20 | 18,559,010 | |||||||||||
| Pennsylvania Higher Educational Facilities Authority RB for La | | ||||||||||||
390,000 | 3.000 | 05/01/16 | 392,871 | |||||||||||
440,000 | 3.000 | 05/01/17 | 447,528 | |||||||||||
1,165,000 | 5.000 | 05/01/18 | 1,248,239 | |||||||||||
1,000,000 | 5.000 | 05/01/19 | 1,090,270 | |||||||||||
| Pennsylvania State Commonwealth GO Bonds for City of | | ||||||||||||
600,000 | 4.000 | 09/01/16 | 619,614 | |||||||||||
500,000 | 3.000 | 09/01/17 | 521,245 | |||||||||||
550,000 | 4.000 | 09/01/17 | 583,754 | |||||||||||
| Pennsylvania State Commonwealth RB for Harrisburg Area | | ||||||||||||
1,305,000 | 4.000 | 10/01/15 | 1,305,000 | |||||||||||
| Pennsylvania Turnpike Commission RB Series 2014 B-1 | | ||||||||||||
7,000,000 | 0.900 | 12/01/20 | 6,901,580 | |||||||||||
| Philadelphia GO Bonds Series 2011 (AGM) (AA/A2) |
| ||||||||||||
1,460,000 | 5.000 | 08/01/16 | 1,514,823 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Pennsylvania – (continued) | ||||||||||||||
| Philadelphia Hospitals & Higher Education Facilities Authority | | ||||||||||||
$ | 1,500,000 | 5.000 | % | 07/01/16 | $ | 1,535,925 | ||||||||
2,000,000 | 5.000 | 07/01/17 | 2,105,500 | |||||||||||
|
| |||||||||||||
80,606,215 | ||||||||||||||
|
| |||||||||||||
Puerto Rico – 2.5% | ||||||||||||||
| Government Development Bank for Puerto Rico Senior Notes RB | | ||||||||||||
2,645,000 | 5.000 | 12/01/15 | 1,428,459 | |||||||||||
| Puerto Rico Commonwealth Aqueduct & Sewer Authority RB | | ||||||||||||
14,595,000 | 5.000 | 07/01/17 | 11,676,730 | |||||||||||
7,285,000 | 5.000 | 07/01/19 | 5,445,974 | |||||||||||
| Puerto Rico Commonwealth Public Improvement GO Bonds | | ||||||||||||
1,030,000 | 5.500 | 07/01/17 | 885,831 | |||||||||||
| Puerto Rico Electric Power Authority RB Refunding | | ||||||||||||
36,100,000 | 0.710 | 07/01/29 | 26,127,375 | |||||||||||
| Puerto Rico Electric Power Authority RB Refunding | | ||||||||||||
25,850,000 | 0.890 | 07/01/31 | 15,510,000 | |||||||||||
| Puerto Rico Electric Power Authority RB Refunding Series 2010 | | ||||||||||||
3,250,000 | 4.000 | 07/01/16 | 2,103,660 | |||||||||||
| Puerto Rico Electric Power Authority RB Refunding Series 2012 | | ||||||||||||
1,500,000 | 5.000 | 07/01/16 | 970,935 | |||||||||||
| Puerto Rico Electric Power Authority RB Series 2008 | | ||||||||||||
8,175,000 | 5.500 | 07/01/16 | 5,291,596 | |||||||||||
| Puerto Rico Municipal Finance Agency GO Bonds Series 2002 A | | ||||||||||||
1,125,000 | 5.250 | 08/01/16 | 1,127,149 | |||||||||||
| Puerto Rico Public Buildings Authority RB Refunding for | | ||||||||||||
2,250,000 | 5.500 | 07/01/16 | 1,789,132 | |||||||||||
| Puerto Rico Public Buildings Authority RB Refunding for | | ||||||||||||
1,000,000 | 5.500 | 07/01/17 | 996,310 | |||||||||||
| Puerto Rico Public Buildings Authority RB Refunding for | | ||||||||||||
10,850,000 | 5.750 | 07/01/17 | 7,948,276 | |||||||||||
| Puerto Rico Sales Tax Financing Corp. RB First | | ||||||||||||
5,000,000 | 5.500 | 08/01/28 | 2,156,250 | |||||||||||
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB First | | ||||||||||||
8,000,000 | 5.500 | 08/01/21 | 3,660,000 | |||||||||||
10,000,000 | 5.500 | 08/01/22 | 4,550,000 | |||||||||||
19,315,000 | 5.500 | 08/01/23 | 8,740,037 | |||||||||||
|
| |||||||||||||
100,407,714 | ||||||||||||||
|
|
66 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Rhode Island – 0.4% | ||||||||||||||
| Providence GO Bonds Series 2013 A (BBB/Baa1) |
| ||||||||||||
$ | 665,000 | 3.000 | % | 01/15/16 | $ | 669,229 | ||||||||
315,000 | 4.000 | 01/15/18 | 332,782 | |||||||||||
1,545,000 | 5.000 | 01/15/19 | 1,701,122 | |||||||||||
| Rhode Island Health and Educational Building Corp. Higher | | ||||||||||||
600,000 | 5.000 | 09/15/17 | 648,036 | |||||||||||
500,000 | 4.000 | 09/15/18 | 536,770 | |||||||||||
| Rhode Island Health and Educational Building Corp. RB for | | ||||||||||||
515,000 | 3.000 | 05/15/16 | 522,370 | |||||||||||
385,000 | 3.000 | 05/15/17 | 399,919 | |||||||||||
280,000 | 4.000 | 05/15/18 | 299,793 | |||||||||||
| Tobacco Settlement Financing Corp. RB Asset-Backed Bonds | | ||||||||||||
9,920,000 | 2.250 | 06/01/41 | 9,919,901 | |||||||||||
|
| |||||||||||||
15,029,922 | ||||||||||||||
|
| |||||||||||||
South Carolina – 1.4% | ||||||||||||||
| Berkeley County School District GO Bonds Series 2014 A | | ||||||||||||
1,380,000 | 5.000 | 03/01/19 | 1,564,354 | |||||||||||
| Clemson University RB Refunding Series 2012 (AA-/Aa2) |
| ||||||||||||
5,770,000 | 2.000 | 05/01/16 | 5,829,373 | |||||||||||
4,440,000 | 2.000 | 05/01/17 | 4,541,321 | |||||||||||
5,000,000 | 2.000 | 05/01/18 | 5,129,200 | |||||||||||
| Colleton County South Carolina GO Bonds for Capital Project | | ||||||||||||
725,000 | 1.500 | 07/01/18 | 734,962 | |||||||||||
2,985,000 | 2.000 | 07/01/19 | 3,068,729 | |||||||||||
| Columbia City South Carolina Waterworks and Sewer System RB | | ||||||||||||
1,025,000 | 3.000 | 02/01/16 | 1,034,543 | |||||||||||
| Florence County South Carolina Hospital RB for McLeod | | ||||||||||||
1,905,000 | 4.000 | 11/01/16 | 1,978,305 | |||||||||||
| Georgetown County South Carolina School District GO Bonds | | ||||||||||||
4,330,000 | 5.000 | 03/01/16 | 4,415,301 | |||||||||||
5,895,000 | 5.000 | 03/01/17 | 6,267,800 | |||||||||||
| Oconee County PCRB Refunding for Duke Power Co. Project | | ||||||||||||
6,000,000 | 3.600 | 02/01/17 | 6,222,120 | |||||||||||
| Richland County South Carolina GO Bonds Series 2012 A | | ||||||||||||
2,000,000 | 4.000 | 03/01/17 | 2,098,500 | |||||||||||
| Richland County South Carolina School District No. 1 GO Bonds | | ||||||||||||
2,755,000 | 5.000 | 03/01/18 | 3,032,208 | |||||||||||
2,920,000 | 5.000 | 03/01/19 | 3,309,031 | |||||||||||
3,165,000 | 5.000 | 03/01/20 | 3,672,160 | |||||||||||
| South Carolina Jobs-Economic Development Authority RB for | | ||||||||||||
2,500,000 | 1.875 | 11/01/16 | 2,525,400 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
South Carolina – (continued) | ||||||||||||||
| Spartanburg County South Carolina School District No. 1 GO | | ||||||||||||
$ | 1,310,000 | 5.000 | % | 03/01/18 | $ | 1,436,860 | ||||||||
|
| |||||||||||||
56,860,167 | ||||||||||||||
|
| |||||||||||||
Tennessee – 0.0% | ||||||||||||||
| Harpeth Valley Utilities District of Davidson and Williamson | | ||||||||||||
1,710,000 | 5.250 | 09/01/17 | 1,813,660 | |||||||||||
|
| |||||||||||||
Texas – 8.3% | ||||||||||||||
| Austin Texas Water and Wastewater System RB Refunding | | ||||||||||||
1,675,000 | 5.000 | 11/15/19 | 1,929,550 | |||||||||||
| Central Texas Regional Mobility Authority RB Refunding Senior | | ||||||||||||
4,000,000 | 3.000 | 01/04/16 | 4,006,280 | |||||||||||
| City of Arlington for Permanent Improvement Bonds | | ||||||||||||
1,075,000 | 2.500 | 08/15/18 | 1,122,848 | |||||||||||
725,000 | 3.000 | 08/15/19 | 774,373 | |||||||||||
| City of Carrollton Texas GO Refunding Bonds Series 2012 | | ||||||||||||
2,005,000 | 4.000 | 08/15/19 | 2,215,385 | |||||||||||
| City of El Paso Water and Sewer RB Refunding for Improvement | | ||||||||||||
1,750,000 | 2.000 | 03/01/18 | 1,800,348 | |||||||||||
845,000 | 4.000 | 03/01/19 | 927,869 | |||||||||||
| City of Lewisville Texas Combination Contract & Special | | ||||||||||||
1,125,000 | 2.000 | 09/01/16 | 1,138,792 | |||||||||||
300,000 | 3.000 | 09/01/17 | 311,064 | |||||||||||
250,000 | 3.000 | 09/01/18 | 261,058 | |||||||||||
375,000 | 3.000 | 09/01/19 | 393,199 | |||||||||||
| Collin & Denton County Texas GO Bonds Refunding Series 2011 | | ||||||||||||
3,335,000 | 5.000 | 02/15/16 | 3,393,863 | |||||||||||
| Cypress-Fairbanks Independent School District Unlimited Tax | | ||||||||||||
5,455,000 | 4.000 | 02/15/19 | 5,992,645 | |||||||||||
| Dallas County Limited Tax GO Notes Series 2011 (AAA/Aaa) |
| ||||||||||||
3,855,000 | 5.000 | 02/15/18 | 4,235,758 | |||||||||||
| Dallas-Fort Worth International Airport Joint RB Refunding | | ||||||||||||
750,000 | 4.000 | 11/01/16 | 778,035 | |||||||||||
250,000 | 4.000 | 11/01/17 | 266,620 | |||||||||||
| Dallas-Fort Worth International Airport Joint RB Refunding | | ||||||||||||
1,750,000 | 5.000 | 11/01/18 | 1,958,985 | |||||||||||
| Fort Worth Texas GO Bonds Refunding and Improvement | | ||||||||||||
2,000,000 | 4.000 | 03/01/19 | 2,194,040 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 67 |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
September 30, 2015 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Texas – (continued) | ||||||||||||||
| Garland Independent School District Unlimited Tax Refunding | | ||||||||||||
$ | 1,930,000 | 0.000 | % | 02/15/17 | $ | 1,913,035 | ||||||||
| Garland Independent School District Unlimited Tax Refunding | | ||||||||||||
6,640,000 | 2.000 | 02/15/18 | 6,821,272 | |||||||||||
4,710,000 | 3.000 | 02/15/19 | 5,009,273 | |||||||||||
| Harris County Texas Spring Independent School District | | ||||||||||||
3,040,000 | 3.000 | 08/15/16 | 3,112,656 | |||||||||||
2,250,000 | 4.000 | 08/15/17 | 2,390,490 | |||||||||||
| Houston Airport System RB Subordinate Lien Series 2002 C | | ||||||||||||
16,775,000 | 0.388 | 10/01/15 | 15,488,794 | |||||||||||
| Houston Airport System RB Subordinate Lien Series 2002 D-2 | | ||||||||||||
20,325,000 | 0.389 | 10/05/15 | 18,818,016 | |||||||||||
| Houston Independent School District GO Bonds Refunding | | ||||||||||||
16,000,000 | 0.875 | 06/01/16 | 16,035,040 | |||||||||||
| Houston Independent School District Limited Tax GO Bonds | | ||||||||||||
10,000,000 | 5.000 | 02/15/18 | 10,982,800 | |||||||||||
12,000,000 | 5.000 | 02/15/19 | 13,573,920 | |||||||||||
| Houston Utilities System RB Refunding First Lien Series 2012 C | | ||||||||||||
8,000,000 | 0.620 | 08/01/16 | 8,000,240 | |||||||||||
| Leander Independent School District Unlimited Tax GO Bonds | | ||||||||||||
2,000,000 | 0.000 | 08/15/19 | 1,905,320 | |||||||||||
1,500,000 | 0.000 | 08/15/20 | 1,388,850 | |||||||||||
| Lubbock Health Facilities Development Corp. RB for St. Joseph | | ||||||||||||
3,300,000 | 5.000 | 07/01/17 | 3,541,197 | |||||||||||
| Mansfield Independent School District GO Bonds Series 2012 | | ||||||||||||
7,315,000 | 1.750 | 08/01/17 | 7,432,406 | |||||||||||
| Mission Economic Development Corp. Solid Waste Disposal RB | | ||||||||||||
5,000,000 | 1.800 | 12/01/18 | 5,016,800 | |||||||||||
| New Hope Cultural Education Facilities Finance Corp. Student | | ||||||||||||
200,000 | 4.000 | 04/01/17 | 208,330 | |||||||||||
170,000 | 4.000 | 04/01/20 | 183,615 | |||||||||||
400,000 | 4.000 | 04/01/21 | 432,300 | |||||||||||
| North Texas Tollway Authority RB Refunding for First Tier | | ||||||||||||
4,470,000 | 6.000 | 01/01/19 | 4,939,350 | |||||||||||
| North Texas Tollway Authority RB Refunding for First Tier | | ||||||||||||
18,000,000 | 1.950 | 01/01/19 | 18,232,020 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Texas – (continued) | ||||||||||||||
| North Texas Tollway Authority System RB Refunding First Tier | | ||||||||||||
$ | 5,445,000 | 5.750 | % | 01/01/16 | $ | 5,518,725 | ||||||||
| North Texas Tollway Authority System RB Refunding First Tier | | ||||||||||||
3,000,000 | 5.000 | 01/01/19 | 3,370,200 | |||||||||||
| North Texas Tollway Authority System RB Refunding First Tier | | ||||||||||||
2,000,000 | 5.000 | 01/01/20 | 2,291,720 | |||||||||||
| North Texas Tollway Authority System RB Refunding First Tier | | ||||||||||||
5,000,000 | 0.690 | 01/01/20 | 4,941,900 | |||||||||||
| North Texas Tollway Authority System RB Refunding for Second | | ||||||||||||
1,070,000 | 4.000 | 01/01/18 | 1,140,877 | |||||||||||
1,000,000 | 5.000 | 01/01/19 | 1,116,280 | |||||||||||
| Northside Texas Independent School District GO Bonds for | | ||||||||||||
5,760,000 | 1.200 | 08/01/17 | 5,795,309 | |||||||||||
| Northside Texas Independent School District GO Bonds for | | ||||||||||||
8,000,000 | 1.000 | 05/31/16 | 8,025,600 | |||||||||||
| Sam Rayburn Municipal Power Agency RB Refunding | | ||||||||||||
1,755,000 | 5.000 | 10/01/15 | 1,755,000 | |||||||||||
2,315,000 | 5.000 | 10/01/19 | 2,610,325 | |||||||||||
| San Antonio Electric and Gas Systems Junior Lien RB Refunding | | ||||||||||||
5,000,000 | 2.000 | 12/01/18 | 5,114,100 | |||||||||||
| San Antonio Electric and Gas Systems Junior Lien RB Refunding | | ||||||||||||
7,000,000 | 2.000 | 12/01/16 | 7,108,570 | |||||||||||
| San Antonio Independent School District Unlimited Tax | | ||||||||||||
8,865,000 | 2.000 | 08/01/17 | 9,047,264 | |||||||||||
| San Antonio Independent School District Unlimited Tax | | ||||||||||||
9,850,000 | 2.000 | 08/01/18 | 10,056,948 | |||||||||||
| Texas A&M University Financing System RB Refunding for | | ||||||||||||
2,250,000 | 5.000 | 05/15/18 | 2,494,935 | |||||||||||
| Texas A&M University Financing System RB Refunding for | | ||||||||||||
2,650,000 | 5.000 | 05/15/18 | 2,938,479 | |||||||||||
| Texas Municipal Gas Acquisition & Supply Corp. III RB | | ||||||||||||
2,200,000 | 5.000 | 12/15/15 | 2,218,656 | |||||||||||
3,000,000 | 5.000 | 12/15/16 | 3,146,880 | |||||||||||
5,000,000 | 5.000 | 12/15/17 | 5,400,000 | |||||||||||
4,500,000 | 5.000 | 12/15/18 | 4,962,690 | |||||||||||
| Texas Municipal Gas Acquisition & Supply Corp. RB for Senior | | ||||||||||||
8,845,000 | 5.625 | 12/15/17 | 9,300,075 | |||||||||||
| Texas Private Activity Bond Surface Transportation Corp. RB | | ||||||||||||
7,800,000 | 6.875 | 12/31/39 | 9,122,958 | |||||||||||
|
|
68 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Texas – (continued) | ||||||||||||||
| Texas State Public Finance Authority Unemployment | | ||||||||||||
$ | 7,355,000 | 5.000 | % | 01/01/16 | $ | 7,441,421 | ||||||||
| Texas Transportation Commission Central Turnpike System RB | | ||||||||||||
5,000,000 | 5.000 | 04/01/20 | 5,691,650 | |||||||||||
| Texas Transportation Commission Highway Improvement GO | | ||||||||||||
20,000,000 | 5.000 | 04/01/19 | 22,714,200 | |||||||||||
| Texas Transportation Commission State Highway Fund First Tier | | ||||||||||||
14,625,000 | 5.000 | 04/01/18 | 16,139,565 | |||||||||||
|
| |||||||||||||
338,590,763 | ||||||||||||||
|
| |||||||||||||
U.S. Virgin Islands – 0.3% | ||||||||||||||
| Virgin Islands Public Finance Authority RB Refunding for Virgin | | ||||||||||||
12,515,000 | 2.250 | 10/01/17 | 12,571,693 | |||||||||||
|
| |||||||||||||
Utah – 0.4% | ||||||||||||||
| Board of Education of Alpine School District GO Refunding | | ||||||||||||
11,550,000 | 5.000 | 03/15/19 | 13,144,015 | |||||||||||
| Utah Associated Municipal Power Systems RB for Horse Butte | | ||||||||||||
750,000 | 5.000 | 09/01/16 | 780,450 | |||||||||||
500,000 | 5.000 | 09/01/17 | 539,430 | |||||||||||
500,000 | 5.000 | 09/01/18 | 553,785 | |||||||||||
500,000 | 5.000 | 09/01/19 | 567,155 | |||||||||||
|
| |||||||||||||
15,584,835 | ||||||||||||||
|
| |||||||||||||
Vermont – 0.1% | ||||||||||||||
| Vermont Educational & Health Buildings Financing Agency RB | | ||||||||||||
1,250,000 | 3.000 | 10/01/15 | 1,250,000 | |||||||||||
1,420,000 | 4.000 | 10/01/16 | 1,452,319 | |||||||||||
1,680,000 | 4.000 | 10/01/17 | 1,751,215 | |||||||||||
|
| |||||||||||||
4,453,534 | ||||||||||||||
|
| |||||||||||||
Virginia – 2.4% | ||||||||||||||
| Virginia Commonwealth Transportation Board RB Refunding for | | ||||||||||||
8,375,000 | 5.000 | 05/15/19 | 9,534,519 | |||||||||||
| Virginia Commonwealth Transportation Board RB Refunding for | | ||||||||||||
20,650,000 | 5.000 | 05/15/19 | 23,508,992 | |||||||||||
11,680,000 | 5.000 | 05/15/20 | 13,590,848 | |||||||||||
| Virginia Electric and Power Company Industrial Development | | ||||||||||||
6,000,000 | 2.150 | 09/01/20 | 6,069,900 | |||||||||||
|
| |||||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Virginia – (continued) | ||||||||||||||
| Virginia State Housing Development Authority Homeownership | | ||||||||||||
$ | 1,900,000 | 2.200 | % | 03/01/17 | $ | 1,937,107 | ||||||||
| Virginia State Public Building Authority RB Refunding for Public | | ||||||||||||
5,325,000 | 5.000 | 08/01/18 | 5,931,997 | |||||||||||
| Virginia State Public School Authority RB Refunding for School | | ||||||||||||
26,140,000 | 4.000 | 08/01/19 | 28,886,791 | |||||||||||
| Wise County Virginia IDA Solid Waste and Sewage Disposal RB | | ||||||||||||
5,000,000 | 2.375 | 11/01/15 | 5,007,500 | |||||||||||
| York County Economic Development Authority Electricity and | | ||||||||||||
2,000,000 | 1.875 | 05/16/19 | 2,025,560 | |||||||||||
|
| |||||||||||||
96,493,214 | ||||||||||||||
|
| |||||||||||||
Washington – 1.7% | ||||||||||||||
| City of Spokane Washington Water and Wastewater System RB | | ||||||||||||
2,805,000 | 5.000 | 12/01/18 | 3,155,429 | |||||||||||
| Washington State COPS for State and Local Agency Real and | | ||||||||||||
3,020,000 | 5.000 | 07/01/19 | 3,431,173 | |||||||||||
| Washington State COPS for State and Local Agency Real and | | ||||||||||||
5,745,000 | 5.000 | 01/01/20 | 6,603,418 | |||||||||||
| Washington State Motor Vehicle Fuel Tax GO Bonds Refunding | | ||||||||||||
6,770,000 | 5.000 | 07/01/19 | 7,737,094 | |||||||||||
| Washington State Various Purpose GO Bonds Refunding | | ||||||||||||
27,125,000 | 3.000 | 07/01/16 | 27,681,334 | |||||||||||
| Washington State Various Purpose GO Bonds Series 2008 C | | ||||||||||||
18,795,000 | 5.000 | 01/01/18 | 20,617,927 | |||||||||||
|
| |||||||||||||
69,226,375 | ||||||||||||||
|
| |||||||||||||
West Virginia – 0.5% | ||||||||||||||
| Kanawha Putnam County Huntington Compound RB for Single | | ||||||||||||
10,125,000 | 0.000 | 12/01/16 | 10,069,110 | |||||||||||
| Mason County Pollution Control RB for Appalachian Power Co. | | ||||||||||||
3,000,000 | 1.625 | 10/01/18 | 2,987,400 | |||||||||||
| Monongalia County Board of Education Public School RB | | ||||||||||||
1,520,000 | 5.000 | 05/01/18 | 1,672,365 | |||||||||||
| Princeton West Virginia Hospitals RB Refunding Princeton | | ||||||||||||
500,000 | 5.000 | 05/01/17 | 528,935 | |||||||||||
1,445,000 | 5.000 | 05/01/18 | 1,569,067 | |||||||||||
1,565,000 | 5.000 | 05/01/19 | 1,730,624 | |||||||||||
|
| |||||||||||||
18,557,501 | ||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 69 |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
September 30, 2015 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
State-Specific Municipal Debt Obligations – (continued) | ||||||||||||||
Wisconsin – 0.1% | ||||||||||||||
| Milwaukee Wisconsin GO Bonds Series 2010 N-1 (AA/Aa3) |
| ||||||||||||
$ | 4,050,000 | 5.000 | % | 02/01/16 | $ | 4,112,856 | ||||||||
|
| |||||||||||||
TOTAL INVESTMENTS – 98.9% | ||||||||||||||
(Cost $4,031,440,728) | $ | 4,015,869,036 | ||||||||||||
|
| |||||||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 1.1% |
| 42,696,506 | |||||||||||
|
| |||||||||||||
NET ASSETS – 100.0% | $ | 4,058,565,542 | ||||||||||||
|
|
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. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2015. | |
(b) | Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect on September 30, 2015. | |
(c) | Pre-refunded security. Maturity date disclosed is pre-refunding date. | |
(d) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
(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 amounts to $41,646,349, which represents approximately 1.0% of net assets as of September 30, 2015. | |
(f) | When-issued security. | |
(g) | Security is currently in default. |
Security ratings disclosed, if any, are issued by either Standard & Poor’s, Moody’s Investor Service or Fitch and are unaudited. A brief description of the ratings is available in the Fund’s Statement of Additional Information.
| ||
Investment Abbreviations: | ||
AGC-ICC | — Agency Insured Custody Certificate | |
AGM | — Insured by Assured Guaranty Municipal Corp. | |
AMBAC | — Insured by American Municipal Bond Assurance Corp. | |
AMT | — Alternative Minimum Tax | |
BANS | — Bond Anticipation Notes | |
BHAC-CR | — Insured by Berkshire Hathaway Assurance Corp. – Insured Custodial Receipts | |
CNTY GTD | — County Guaranteed | |
COMWLTH GTD | — Commonwealth Guaranteed | |
COPS | — Certificates of Participation | |
ETM | — Escrowed to Maturity | |
FGIC | — Insured by Financial Guaranty Insurance Co. | |
GO | — General Obligation | |
GO OF AUTH | — General Obligation of Authority | |
GO OF UNIV | — General Obligation of University | |
IDA | — Industrial Development Authority | |
MUN GOVT GTD | — Municipal Government Guaranteed | |
NATL-RE | — Insured by National Public Finance Guarantee Corp. | |
NATL-RE FGIC | — Insured by National Public Finance Guarantee Corp., which reinsures Financial Guaranty Insurance Co. | |
NATL-RE-IBC | — Insured by National Public Finance Guarantee Corp. – Insured Bond Certificates | |
NR | — Not Rated | |
PCRB | — Pollution Control Revenue Bond | |
PSF-GTD | — Guaranteed by Permanent School Fund | |
Q-SBLF | — Qualified School Board Loan Fund | |
RB | — Revenue Bond | |
RMKT | — Remarketed | |
SCH BD GTY | — School Bond Guaranty | |
SCH BD RES FD | — School Bond Reserve Fund | |
SCSDE | — South Carolina State Department of Education | |
SD CRED PROG | — School District Credit Program | |
ST AID WITHHLDG | — State Aid Withholding | |
WR | — Withdrawn Rating | |
XLCA | — Insured by XL Capital Assurance, Inc. | |
|
70 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
ADDITIONAL INVESTMENT INFORMATION |
SWAP CONTRACTS — At September 30, 2015, the Fund had the following swap contracts:
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
Market Value | ||||||||||||||||||||||||||
Counterparty | Referenced Obligation | Notional Amount (000’s) | Rates Received (Paid) | Termination Date | Credit Spread on September 30, 2015(a) | Upfront Payments Made (Received) | Unrealized Gain (Loss) | |||||||||||||||||||
Protection Sold: | ||||||||||||||||||||||||||
Bank of America, N.A. | California State Various Purpose GO Bonds Series 2003, 5.250%, 02/01/18 | $ | 5,000 | 1.000 | % | 03/20/23 | 1.021 | % | $ | (5 | ) | $ | (3,718 | ) | ||||||||||||
JPMorgan Chase Bank, N.A. | California State Various Purpose GO Bonds Series 2003, 5.250%, 02/01/18 | 10,000 | 1.000 | 03/20/23 | 1.021 | (370,700 | ) | 363,255 | ||||||||||||||||||
TOTAL | $ | (370,705 | ) | $ | 359,537 |
(a) | Credit spread on the Referenced Obligation, together with the period of expiration, 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 term of the swap contract increase. |
The accompanying notes are an integral part of these financial statements. | 71 |
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Statements of Assets and Liabilities
September 30, 2015 (Unaudited)
Dynamic Municipal Income Fund | High Yield Municipal Fund | Short Duration Tax-Free Fund | ||||||||||||
Assets: | ||||||||||||||
Investments in unaffiliated issuers, at value (cost $576,903,337, $3,200,444,850 and $4,031,440,728) | $ | 597,410,821 | $ | 3,282,063,537 | $ | 4,015,869,036 | ||||||||
Investments in affiliated issuers, at value (cost $4,544,566, $0 and $0) | 4,544,566 | — | — | |||||||||||
Cash | — | 5,828,403 | 18,356,856 | |||||||||||
Receivables: | ||||||||||||||
Interest and dividends | 7,849,095 | 48,749,674 | 35,390,369 | |||||||||||
Fund shares sold | 3,123,254 | 6,483,391 | 7,603,801 | |||||||||||
Collateral on certain derivative contracts(a) | 2,493,378 | 20,719,036 | — | |||||||||||
Reimbursement from investment adviser | 22,105 | 27,217 | 64,979 | |||||||||||
Investments sold | — | 6,772,750 | 9,317,348 | |||||||||||
Due from custodian | — | 4,089,586 | — | |||||||||||
Unrealized gain on swap contracts | 72,651 | 1,609,968 | 363,255 | |||||||||||
Variation margin on certain derivative contracts | 33,060 | 403,421 | — | |||||||||||
Other assets | 600 | 3,696 | 5,044 | |||||||||||
Total assets | 615,549,530 | 3,376,750,679 | 4,086,970,688 | |||||||||||
Liabilities: | ||||||||||||||
Unrealized loss on swap contracts | — | 726,452 | 3,718 | |||||||||||
Payables: | ||||||||||||||
Fund shares redeemed | 1,477,671 | 11,855,207 | 17,075,136 | |||||||||||
Management fees | 199,499 | 1,456,790 | 1,157,401 | |||||||||||
Income distribution | 197,802 | 375,211 | 148,225 | |||||||||||
Due to custodian | 122,650 | — | — | |||||||||||
Distribution and Service fees and Transfer Agency fees | 84,006 | 232,797 | 199,660 | |||||||||||
Upfront payments received on swap contracts | 74,140 | 1,902,655 | 370,705 | |||||||||||
Investments purchased | — | 7,508,164 | — | |||||||||||
Investments purchased on an extended-settlement basis | — | — | 9,299,875 | |||||||||||
Collateral on certain derivative contracts | — | — | 20,000 | |||||||||||
Accrued expenses | 106,054 | 160,678 | 130,426 | |||||||||||
Total liabilities | 2,261,822 | 24,217,954 | 28,405,146 | |||||||||||
Net Assets: | ||||||||||||||
Paid-in capital | 620,378,990 | 4,654,164,149 | 4,062,762,749 | |||||||||||
Undistributed net investment income | 8,067,799 | 100,246,539 | 10,691,752 | |||||||||||
Accumulated net realized gain (loss) | (34,913,997 | ) | (1,478,635,137 | ) | 323,196 | |||||||||
Net unrealized gain (loss) | 19,754,916 | 76,757,174 | (15,212,155 | ) | ||||||||||
NET ASSETS | $ | 613,287,708 | $ | 3,352,532,725 | $ | 4,058,565,542 | ||||||||
Net Assets: | ||||||||||||||
Class A | $ | 152,672,471 | $ | 254,058,344 | $ | 158,772,022 | ||||||||
Class C | 24,358,318 | 72,303,162 | 31,072,574 | |||||||||||
Institutional | 428,881,078 | 3,008,734,332 | 3,865,188,662 | |||||||||||
Service | 38,481 | — | 160,570 | |||||||||||
Class IR | 7,337,360 | 17,436,887 | 3,371,714 | |||||||||||
Total Net Assets | $ | 613,287,708 | $ | 3,352,532,725 | $ | 4,058,565,542 | ||||||||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||||||||||||
Class A | 9,850,585 | 27,787,818 | 15,071,471 | |||||||||||
Class C | 1,571,110 | 7,908,417 | 2,952,514 | |||||||||||
Institutional | 27,679,365 | 329,038,136 | 367,402,110 | |||||||||||
Service | 2,471 | — | 15,264 | |||||||||||
Class IR | 474,093 | 1,905,767 | 320,426 | |||||||||||
Net asset value, offering and redemption price per share:(b) | ||||||||||||||
Class A | $15.50 | $9.14 | $10.53 | |||||||||||
Class C | 15.50 | 9.14 | 10.52 | |||||||||||
Institutional | 15.49 | 9.14 | 10.52 | |||||||||||
Service | 15.58 | — | 10.52 | |||||||||||
Class IR | 15.48 | 9.15 | 10.52 |
(a) | Includes amounts segregated for initial margin on swap transactions of $2,493,378 & $20,679,036 for Dynamic Municipal Income and High Yield Municipal Funds respectively. |
(b) | Maximum public offering price per share for Class A Shares of the Dynamic Municipal Income, High Yield Municipal and Short Duration Tax-Free Funds is $16.10, $9.57 and $10.69, respectively. At redemption, 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 (“NAV”) or the original purchase price of the shares. |
72 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Statements of Operations
For the Six Months Ended September 30, 2015 (Unaudited)
Dynamic Municipal Income Fund | High Yield Municipal Fund | Short Duration Tax-Free Fund | ||||||||||||
Investment income: | ||||||||||||||
Interest | $ | 13,531,953 | $ | 97,909,414 | $ | 34,417,442 | ||||||||
Dividends — affiliated issuers | 313 | — | — | |||||||||||
Total investment income | 13,532,266 | 97,909,414 | 34,417,442 | |||||||||||
Expenses: | ||||||||||||||
Management fees | 1,672,357 | 8,917,794 | 7,546,359 | |||||||||||
Distribution and Service fees(a) | 327,683 | 703,691 | 379,855 | |||||||||||
Transfer Agency fees(a) | 211,033 | 831,705 | 934,064 | |||||||||||
Professional fees | 96,646 | 75,712 | 67,926 | |||||||||||
Custody, accounting and administrative services | 34,839 | 105,144 | 121,258 | |||||||||||
Printing and mailing costs | 26,336 | 35,033 | 29,328 | |||||||||||
Registration fees | 8,273 | 38,591 | 40,033 | |||||||||||
Trustee fees | 7,628 | 10,137 | 11,225 | |||||||||||
Service share fees — Service Plan | 48 | — | 173 | |||||||||||
Service share fees — Shareholder Administration Plan | 48 | — | 173 | |||||||||||
Other | 21,094 | 13,785 | 69,564 | |||||||||||
Total expenses | 2,405,985 | 10,731,592 | 9,199,958 | |||||||||||
Less — expense reductions | (645,210 | ) | (311,821 | ) | (635,371 | ) | ||||||||
Net expenses | 1,760,775 | 10,419,771 | 8,564,587 | |||||||||||
NET INVESTMENT INCOME | 11,771,491 | 87,489,643 | 25,852,855 | |||||||||||
Realized and unrealized gain (loss): | ||||||||||||||
Net realized gain from: | ||||||||||||||
Investments | 1,432,020 | 576,797 | 1,750,068 | |||||||||||
Swap contracts | 9,720 | 2,084,593 | 101,959 | |||||||||||
Net change in unrealized gain (loss) on: | ||||||||||||||
Investments | (14,237,781 | ) | (80,035,028 | ) | (27,010,690 | ) | ||||||||
Swap contracts | (196,832 | ) | 649,794 | (91,036 | ) | |||||||||
Net realized and unrealized loss | (12,992,873 | ) | (76,723,844 | ) | (25,249,699 | ) | ||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (1,221,382 | ) | $ | 10,765,799 | $ | 603,156 |
(a) | Class specific Distribution and Service, and Transfer Agency fees were as follows: |
Distributions and Services Fees | Transfer Agency Fees | |||||||||||||||||||||||||||
Fund | Class A | Class C | Class A | Class C | Institutional | Service | Class IR | |||||||||||||||||||||
Dynamic Municipal Income | $ | 210,926 | $ | 116,757 | $ | 109,680 | $ | 15,178 | $ | 81,882 | $ | 7 | $ | 4,286 | ||||||||||||||
High Yield Municipal | 323,054 | 380,637 | 167,986 | 49,482 | 602,925 | — | 11,312 | |||||||||||||||||||||
Short Duration Tax-Free | 213,553 | 166,302 | 111,046 | 21,619 | 799,069 | 29 | 2,301 |
The accompanying notes are an integral part of these financial statements. | 73 |
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Statements of Changes in Net Assets
Dynamic Municipal Income Fund | ||||||||||
For the Six Months Ended September 30, 2015 (Unaudited) | For the Fiscal Year Ended March 31, 2015 | |||||||||
From operations: | ||||||||||
Net investment income | $ | 11,771,491 | $ | 20,376,294 | ||||||
Net realized gain (loss) | 1,441,740 | (2,209,143 | ) | |||||||
Net change in unrealized gain (loss) | (14,434,613 | ) | 11,899,680 | |||||||
Net increase (decrease) in net assets resulting from operations | (1,221,382 | ) | 30,066,831 | |||||||
Distributions to shareholders: | ||||||||||
From net investment income | ||||||||||
Class A Shares | (2,874,508 | ) | (5,709,508 | ) | ||||||
Class B Shares | — | (41,506 | )(a) | |||||||
Class C Shares | (309,612 | ) | (580,237 | ) | ||||||
Institutional Shares | (7,672,802 | ) | (12,596,543 | ) | ||||||
Service Shares | (626 | ) | (1,301 | ) | ||||||
Class IR Shares | (120,084 | ) | (128,371 | ) | ||||||
From net realized gains | ||||||||||
Class A Shares | — | — | ||||||||
Class C Shares | — | — | ||||||||
Institutional Shares | — | — | ||||||||
Service Shares | — | — | ||||||||
Class IR Shares | — | — | ||||||||
Total distributions to shareholders | (10,977,632 | ) | (19,057,466 | ) | ||||||
From share transactions: | ||||||||||
Proceeds from sales of shares | 133,428,280 | 177,656,602 | ||||||||
Reinvestment of distributions | 9,686,099 | 16,350,582 | ||||||||
Cost of shares redeemed | (110,917,326 | ) | (102,818,626 | ) | ||||||
Net increase (decrease) in net assets resulting from share transactions | 32,197,053 | 91,188,558 | ||||||||
TOTAL INCREASE (DECREASE) | 19,998,039 | 102,197,923 | ||||||||
Net assets: | ||||||||||
Beginning of period | 593,289,669 | 491,091,746 | ||||||||
End of period | $ | 613,287,708 | $ | 593,289,669 | ||||||
Undistributed net investment income | $ | 8,067,799 | $ | 7,273,940 |
(a) | Class B Shares were converted into Class A Shares at the closed of business on November 14, 2014. |
(b) | Net of $165,129 of redemption fees. |
(c) | Net of $84,427 of redemption fees. |
74 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
High Yield Municipal Fund | Short Duration Tax-Free Fund | |||||||||||||||||||||
For the Six Months Ended September 30, 2015 (Unaudited) | For the Fiscal Year Ended March 31, 2015 | For the Six Months Ended September 30, 2015 (Unaudited) | For the Fiscal Year Ended March 31, 2015 | |||||||||||||||||||
$ | 87,489,643 | $ | 162,460,389 | $ | 25,852,855 | $ | 51,268,771 | |||||||||||||||
2,661,390 | (77,493,586 | ) | 1,852,027 | (1,158,836 | ) | |||||||||||||||||
(79,385,234 | ) | 203,800,536 | (27,101,726 | ) | 8,941,824 | |||||||||||||||||
10,765,799 | 288,767,339 | 603,156 | 59,051,759 | |||||||||||||||||||
(5,999,080 | ) | (12,086,945 | ) | (738,047 | ) | (1,693,417 | ) | |||||||||||||||
— | (101,742 | )(a) | — | — | ||||||||||||||||||
(1,484,371 | ) | (3,071,346 | ) | (77,012 | ) | (157,720 | ) | |||||||||||||||
(74,288,182 | ) | (136,519,998 | ) | (24,015,258 | ) | (45,580,747 | ) | |||||||||||||||
— | — | (489 | ) | (796 | ) | |||||||||||||||||
(425,084 | ) | (749,027 | ) | (19,700 | ) | (72,853 | ) | |||||||||||||||
— | — | — | (22,622 | ) | ||||||||||||||||||
— | — | — | (4,151 | ) | ||||||||||||||||||
— | — | — | (461,964 | ) | ||||||||||||||||||
— | — | — | (7 | ) | ||||||||||||||||||
— | — | — | (531 | ) | ||||||||||||||||||
(82,196,717 | ) | (152,529,058 | ) | (24,850,506 | ) | (47,994,808 | ) | |||||||||||||||
317,886,030 | 766,858,970 | 849,657,653 | 2,277,136,118 | |||||||||||||||||||
79,413,889 | 144,776,116 | 23,863,977 | 44,938,648 | |||||||||||||||||||
(335,174,136 | )(b) | (618,906,689 | )(c) | (1,120,194,456 | ) | (2,033,940,062 | ) | |||||||||||||||
62,125,783 | 292,728,397 | (246,672,826 | ) | 288,134,704 | ||||||||||||||||||
(9,305,135 | ) | 428,966,678 | (270,920,176 | ) | 299,191,655 | |||||||||||||||||
3,361,837,860 | 2,932,871,182 | 4,329,485,718 | 4,030,294,063 | |||||||||||||||||||
$ | 3,352,532,725 | $ | 3,361,837,860 | $ | 4,058,565,542 | $ | 4,329,485,718 | |||||||||||||||
$ | 100,246,539 | $ | 94,953,613 | $ | 10,691,752 | $ | 9,689,403 |
The accompanying notes are an integral part of these financial statements. | 75 |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Income (loss) from investment operations | ||||||||||||||||||||||
Year - Share Class | Net asset value, beginning of period | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions to shareholders from net investment income | |||||||||||||||||
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED) | ||||||||||||||||||||||
2015 - A | $ | 15.81 | $ | 0.29 | $ | (0.33 | ) | $ | (0.04 | ) | $ | (0.27 | ) | |||||||||
2015 - C | 15.82 | 0.23 | (0.34 | ) | (0.11 | ) | (0.21 | ) | ||||||||||||||
2015 - Institutional | 15.81 | 0.31 | (0.34 | ) | (0.03 | ) | (0.29 | ) | ||||||||||||||
2015 - Service | 15.89 | 0.28 | (0.34 | ) | (0.06 | ) | (0.25 | ) | ||||||||||||||
2015 - IR | 15.79 | 0.30 | (0.33 | ) | (0.03 | ) | (0.28 | ) | ||||||||||||||
FOR THE FISCAL YEARS ENDED MARCH 31, | ||||||||||||||||||||||
2015 - A | 15.45 | 0.60 | 0.32 | 0.92 | (0.56 | ) | ||||||||||||||||
2015 - C | 15.46 | 0.48 | 0.32 | 0.80 | (0.44 | ) | ||||||||||||||||
2015 - Institutional | 15.45 | 0.65 | 0.32 | 0.97 | (0.61 | ) | ||||||||||||||||
2015 - Service | 15.53 | 0.58 | 0.32 | 0.90 | (0.54 | ) | ||||||||||||||||
2015 - IR | 15.43 | 0.63 | 0.33 | 0.96 | (0.60 | ) | ||||||||||||||||
2014 - A | 16.16 | 0.61 | (0.76 | ) | (0.15 | ) | (0.56 | ) | ||||||||||||||
2014 - C | 16.16 | 0.50 | (0.75 | ) | (0.25 | ) | (0.45 | ) | ||||||||||||||
2014 - Institutional | 16.16 | 0.67 | (0.76 | ) | (0.09 | ) | (0.62 | ) | ||||||||||||||
2014 - Service | 16.24 | 0.59 | (0.76 | ) | (0.17 | ) | (0.54 | ) | ||||||||||||||
2014 - IR | 16.14 | 0.65 | (0.76 | ) | (0.11 | ) | (0.60 | ) | ||||||||||||||
2013 - A | 15.73 | 0.61 | 0.41 | 1.02 | (0.59 | ) | ||||||||||||||||
2013 - C | 15.73 | 0.49 | 0.40 | 0.89 | (0.46 | ) | ||||||||||||||||
2013 - Institutional | 15.72 | 0.66 | 0.42 | 1.08 | (0.64 | ) | ||||||||||||||||
2013 - Service | 15.80 | 0.59 | 0.41 | 1.00 | (0.56 | ) | ||||||||||||||||
2013 - IR | 15.71 | 0.64 | 0.41 | 1.05 | (0.62 | ) | ||||||||||||||||
2012 - A | 14.25 | 0.65 | 1.47 | 2.12 | (0.64 | ) | ||||||||||||||||
2012 - C | 14.25 | 0.54 | 1.46 | 2.00 | (0.52 | ) | ||||||||||||||||
2012 - Institutional | 14.25 | 0.70 | 1.46 | 2.16 | (0.69 | ) | ||||||||||||||||
2012 - Service | 14.32 | 0.63 | 1.47 | 2.10 | (0.62 | ) | ||||||||||||||||
2012 - IR | 14.26 | 0.68 | 1.44 | 2.12 | (0.67 | ) | ||||||||||||||||
2011 - A | 14.83 | 0.63 | (0.59 | ) | 0.04 | (0.62 | ) | |||||||||||||||
2011 - C | 14.84 | 0.52 | (0.60 | ) | (0.08 | ) | (0.51 | ) | ||||||||||||||
2011 - Institutional | 14.83 | 0.68 | (0.59 | ) | 0.09 | (0.67 | ) | |||||||||||||||
2011 - Service | 14.91 | 0.61 | (0.60 | ) | 0.01 | (0.60 | ) | |||||||||||||||
2011 - IR (Commenced July 30, 2010) | 15.06 | 0.45 | (0.80 | ) | (0.35 | ) | (0.45 | ) |
(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 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) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
(d) | Annualized. |
76 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Net asset value, end of period | Total return(b) | Net assets, end of period (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net investment income to average net assets | Portfolio turnover rate(c) | ||||||||||||||||||||||||||||||||||
$ | 15.50 | (0.27 | )% | $ | 152,672 | 0.78 | %(d) | 1.00 | %(d) | 3.68 | %(d) | 9 | % | |||||||||||||||||||||||||||
15.50 | (0.71 | ) | 24,358 | 1.54 | (d) | 1.75 | (d) | 2.92 | (d) | 9 | ||||||||||||||||||||||||||||||
15.49 | (0.16 | ) | 428,881 | 0.44 | (d) | 0.66 | (d) | 4.02 | (d) | 9 | ||||||||||||||||||||||||||||||
15.58 | (0.34 | ) | 38 | 0.94 | (d) | 1.16 | (d) | 3.52 | (d) | 9 | ||||||||||||||||||||||||||||||
15.48 | (0.15 | ) | 7,337 | 0.53 | (d) | 0.74 | (d) | 3.91 | (d) | 9 | ||||||||||||||||||||||||||||||
15.81 | 6.00 | 172,221 | 0.78 | 1.01 | 3.79 | 14 | ||||||||||||||||||||||||||||||||||
15.82 | 5.21 | 22,182 | 1.53 | 1.76 | 3.04 | 14 | ||||||||||||||||||||||||||||||||||
15.81 | 6.36 | 393,120 | 0.44 | 0.67 | 4.12 | 14 | ||||||||||||||||||||||||||||||||||
15.89 | 5.79 | 39 | 0.94 | 1.16 | 3.62 | 14 | ||||||||||||||||||||||||||||||||||
15.79 | 6.27 | 5,728 | 0.53 | 0.76 | 4.00 | 14 | ||||||||||||||||||||||||||||||||||
15.45 | (0.83 | ) | 160,259 | 0.79 | 1.00 | 3.99 | 15 | |||||||||||||||||||||||||||||||||
15.46 | (1.50 | ) | 20,131 | 1.54 | 1.75 | 3.24 | 15 | |||||||||||||||||||||||||||||||||
15.45 | (0.49 | ) | 305,706 | 0.45 | 0.66 | 4.33 | 15 | |||||||||||||||||||||||||||||||||
15.53 | (0.98 | ) | 37 | 0.94 | 1.16 | 3.83 | 15 | |||||||||||||||||||||||||||||||||
15.43 | (0.58 | ) | 2,357 | 0.54 | 0.75 | 4.23 | 15 | |||||||||||||||||||||||||||||||||
16.16 | 6.51 | 204,892 | 0.78 | 0.98 | 3.78 | 16 | ||||||||||||||||||||||||||||||||||
16.16 | 5.72 | 27,047 | 1.53 | 1.73 | 3.03 | 16 | ||||||||||||||||||||||||||||||||||
16.16 | 6.93 | 385,480 | 0.44 | 0.64 | 4.10 | 16 | ||||||||||||||||||||||||||||||||||
16.24 | 6.31 | 42 | 0.94 | 1.15 | 3.63 | 16 | ||||||||||||||||||||||||||||||||||
16.14 | 6.77 | 3,544 | 0.53 | 0.73 | 3.97 | 16 | ||||||||||||||||||||||||||||||||||
15.73 | 15.09 | 348,890 | 0.81 | 0.99 | 4.32 | 9 | ||||||||||||||||||||||||||||||||||
15.73 | 14.24 | 26,448 | 1.56 | 1.74 | 3.56 | 9 | ||||||||||||||||||||||||||||||||||
15.72 | 15.41 | 221,617 | 0.47 | 0.65 | 4.66 | 9 | ||||||||||||||||||||||||||||||||||
15.80 | 14.86 | 84 | 0.97 | 1.15 | 4.15 | 9 | ||||||||||||||||||||||||||||||||||
15.71 | 15.15 | 1,527 | 0.56 | 0.74 | 4.43 | 9 | ||||||||||||||||||||||||||||||||||
14.25 | 0.20 | 326,083 | 0.88 | 0.98 | 4.26 | 14 | ||||||||||||||||||||||||||||||||||
14.25 | (0.61 | ) | 23,443 | 1.63 | 1.73 | 3.52 | 14 | |||||||||||||||||||||||||||||||||
14.25 | 0.55 | 222,650 | 0.54 | 0.64 | 4.62 | 14 | ||||||||||||||||||||||||||||||||||
14.32 | (0.03 | ) | 75 | 1.04 | 1.14 | 4.05 | 14 | |||||||||||||||||||||||||||||||||
14.26 | (2.40 | ) | 123 | 0.63 | (d) | 0.73 | (d) | 4.74 | (d) | 14 |
The accompanying notes are an integral part of these financial statements. | 77 |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Income (loss) from investment operations | ||||||||||||||||||||||
Year - Share Class | Net asset value, beginning of period | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions to shareholders form net investment income | |||||||||||||||||
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED) | ||||||||||||||||||||||
2015 - A | $ | 9.34 | $ | 0.23 | $ | (0.22 | ) | $ | 0.01 | $ | (0.21 | ) | ||||||||||
2015 - C | 9.34 | 0.19 | (0.21 | ) | (0.02 | ) | (0.18 | ) | ||||||||||||||
2015 - Institutional | 9.34 | 0.24 | (0.21 | ) | 0.03 | (0.23 | ) | |||||||||||||||
2015 - IR | 9.35 | 0.24 | (0.21 | ) | 0.03 | (0.23 | ) | |||||||||||||||
FOR THE FISCAL YEARS ENDED MARCH 31, | ||||||||||||||||||||||
2015 - A | 8.93 | 0.45 | 0.38 | 0.83 | (0.42 | ) | ||||||||||||||||
2015 - C | 8.93 | 0.38 | 0.39 | 0.77 | (0.36 | ) | ||||||||||||||||
2015 - Institutional | 8.93 | 0.48 | 0.38 | 0.86 | (0.45 | ) | ||||||||||||||||
2015 - IR | 8.93 | 0.48 | 0.39 | 0.87 | (0.45 | ) | ||||||||||||||||
2014 - A | 9.51 | 0.44 | (0.60 | ) | (0.16 | ) | (0.42 | ) | ||||||||||||||
2014 - C | 9.51 | 0.37 | (0.59 | ) | (0.22 | ) | (0.36 | ) | ||||||||||||||
2014 - Institutional | 9.52 | 0.47 | (0.61 | ) | (0.14 | ) | (0.45 | ) | ||||||||||||||
2014 - IR | 9.51 | 0.47 | (0.61 | ) | (0.14 | ) | (0.44 | ) | ||||||||||||||
2013 - A | 8.90 | 0.43 | 0.59 | 1.02 | (0.41 | ) | ||||||||||||||||
2013 - C | 8.90 | 0.36 | 0.59 | 0.95 | (0.34 | ) | ||||||||||||||||
2013 - Institutional | 8.91 | 0.46 | 0.59 | 1.05 | (0.44 | ) | ||||||||||||||||
2013 - IR | 8.91 | 0.45 | 0.58 | 1.03 | (0.43 | ) | ||||||||||||||||
2012 - A | 8.00 | 0.46 | 0.88 | 1.34 | (0.44 | ) | ||||||||||||||||
2012 - C | 8.00 | 0.40 | 0.88 | 1.28 | (0.38 | ) | ||||||||||||||||
2012 - Institutional | 8.00 | 0.49 | 0.88 | 1.37 | (0.46 | ) | ||||||||||||||||
2012 - IR | 8.00 | 0.47 | 0.90 | 1.37 | (0.46 | ) | ||||||||||||||||
2011 - A | 8.45 | 0.46 | (0.47 | ) | (0.01 | ) | (0.44 | ) | ||||||||||||||
2011 - C | 8.45 | 0.40 | (0.47 | ) | (0.07 | ) | (0.38 | ) | ||||||||||||||
2011 - Institutional | 8.45 | 0.49 | (0.47 | ) | 0.02 | (0.47 | ) | |||||||||||||||
2011 - IR (Commenced July 30, 2010) | 8.57 | 0.33 | (0.58 | ) | (0.25 | ) | (0.32 | ) |
(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 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) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
(d) | Annualized. |
78 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Net asset value, end of period | Total return(b) | Net assets, end of period (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net investment income to average net assets | Portfolio turnover rate(c) | ||||||||||||||||||||||||||||||||||
$ | 9.14 | 0.17 | % | $ | 254,058 | 0.87 | %(d) | 0.93 | %(d) | 4.97 | %(d) | 6 | % | |||||||||||||||||||||||||||
9.14 | (0.21 | ) | 72,303 | 1.62 | (d) | 1.68 | (d) | 4.23 | (d) | 6 | ||||||||||||||||||||||||||||||
9.14 | 0.31 | 3,008,734 | 0.57 | (d) | 0.59 | (d) | 5.26 | (d) | 6 | |||||||||||||||||||||||||||||||
9.15 | 0.29 | 17,437 | 0.61 | (d) | 0.68 | (d) | 5.21 | (d) | 6 | |||||||||||||||||||||||||||||||
9.34 | 9.47 | 257,803 | 0.86 | 0.93 | 4.89 | 14 | ||||||||||||||||||||||||||||||||||
9.34 | 8.66 | 81,018 | 1.61 | 1.68 | 4.14 | 14 | ||||||||||||||||||||||||||||||||||
9.34 | 9.79 | 3,005,752 | 0.57 | 0.59 | 5.18 | 14 | ||||||||||||||||||||||||||||||||||
9.35 | 9.86 | 17,265 | 0.61 | 0.68 | 5.13 | 14 | ||||||||||||||||||||||||||||||||||
8.93 | (1.52 | ) | 255,002 | 0.87 | 0.93 | 4.94 | 25 | |||||||||||||||||||||||||||||||||
8.93 | (2.25 | ) | 75,433 | 1.62 | 1.68 | 4.19 | 25 | |||||||||||||||||||||||||||||||||
8.93 | (1.34 | ) | 2,584,691 | 0.58 | 0.59 | 5.23 | 25 | |||||||||||||||||||||||||||||||||
8.93 | (1.28 | ) | 12,703 | 0.62 | 0.69 | 5.31 | 25 | |||||||||||||||||||||||||||||||||
9.51 | 11.64 | 347,693 | 0.86 | 0.92 | 4.62 | 19 | ||||||||||||||||||||||||||||||||||
9.51 | 10.82 | 108,291 | 1.61 | 1.67 | 3.87 | 19 | ||||||||||||||||||||||||||||||||||
9.52 | 11.95 | 3,425,590 | 0.57 | 0.58 | 4.90 | 19 | ||||||||||||||||||||||||||||||||||
9.51 | 11.79 | 7,134 | 0.61 | 0.67 | 4.82 | 19 | ||||||||||||||||||||||||||||||||||
8.90 | 17.08 | 348,577 | 0.88 | 0.94 | 5.42 | 27 | ||||||||||||||||||||||||||||||||||
8.90 | 16.21 | 99,817 | 1.63 | 1.69 | 4.67 | 27 | ||||||||||||||||||||||||||||||||||
8.91 | 17.55 | 2,957,868 | 0.58 | 0.60 | 5.72 | 27 | ||||||||||||||||||||||||||||||||||
8.91 | 17.50 | 3,054 | 0.63 | 0.69 | 5.49 | 27 | ||||||||||||||||||||||||||||||||||
8.00 | (0.24 | ) | 326,886 | 0.91 | 0.93 | 5.46 | 28 | |||||||||||||||||||||||||||||||||
8.00 | (0.87 | ) | 96,011 | 1.66 | 1.68 | 4.71 | 28 | |||||||||||||||||||||||||||||||||
8.00 | 0.09 | 2,650,808 | 0.57 | 0.59 | 5.80 | 28 | ||||||||||||||||||||||||||||||||||
8.00 | (3.06 | ) | 451 | 0.66 | (d) | 0.68 | (d) | 6.08 | (d) | 28 |
The accompanying notes are an integral part of these financial statements. | 79 |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Income (loss) from investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||
Year - Share Class | Net asset | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | From net investment income | From net realized gains | Total distributions | |||||||||||||||||||||||
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED) | ||||||||||||||||||||||||||||||
2015 - A | $ | 10.59 | $ | 0.05 | $ | (0.06 | ) | $ | (0.01 | ) | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | ||||||||||||
2015 - C | 10.58 | 0.03 | (0.07 | ) | (0.04 | ) | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||
2015 - Institutional | 10.58 | 0.07 | (0.07 | ) | — | (e) | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||
2015 - Service | 10.58 | 0.04 | (0.06 | ) | (0.02 | ) | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||||
2015 - IR | 10.58 | 0.06 | (0.06 | ) | — | (e) | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||
FOR THE FISCAL YEARS ENDED MARCH 31, | ||||||||||||||||||||||||||||||
2015 - A | 10.57 | 0.10 | 0.01 | 0.11 | (0.09 | ) | — | (e) | (0.09 | ) | ||||||||||||||||||||
2015 - C | 10.55 | 0.05 | 0.02 | 0.07 | (0.04 | ) | — | (e) | (0.04 | ) | ||||||||||||||||||||
2015 - Institutional | 10.55 | 0.13 | 0.02 | 0.15 | (0.12 | ) | — | (e) | (0.12 | ) | ||||||||||||||||||||
2015 - Service | 10.55 | 0.08 | 0.02 | 0.10 | (0.07 | ) | — | (e) | (0.07 | ) | ||||||||||||||||||||
2015 - IR | 10.55 | 0.12 | 0.02 | 0.14 | (0.11 | ) | — | (e) | (0.11 | ) | ||||||||||||||||||||
2014 - A | 10.69 | 0.10 | (0.12 | ) | (0.02 | ) | (0.09 | ) | (0.01 | ) | (0.10 | ) | ||||||||||||||||||
2014 - C | 10.68 | 0.06 | (0.13 | ) | (0.07 | ) | (0.05 | ) | (0.01 | ) | (0.06 | ) | ||||||||||||||||||
2014 - Institutional | 10.68 | 0.13 | (0.13 | ) | — | (e) | (0.12 | ) | (0.01 | ) | (0.13 | ) | ||||||||||||||||||
2014 - Service | 10.67 | 0.08 | (0.12 | ) | (0.04 | ) | (0.07 | ) | (0.01 | ) | (0.08 | ) | ||||||||||||||||||
2014 - IR | 10.68 | 0.13 | (0.14 | ) | (0.01 | ) | (0.11 | ) | (0.01 | ) | (0.12 | ) | ||||||||||||||||||
2013 - A | 10.62 | 0.13 | 0.07 | 0.20 | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||||||
2013 - C | 10.62 | 0.08 | 0.06 | 0.14 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||||
2013 - Institutional | 10.61 | 0.16 | 0.07 | 0.23 | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||||||
2013 - Service | 10.61 | 0.12 | 0.05 | 0.17 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||||
2013 - IR | 10.61 | 0.15 | 0.07 | 0.22 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||||
2012 - A | 10.44 | 0.18 | 0.18 | 0.36 | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||||
2012 - C | 10.44 | 0.14 | 0.18 | 0.32 | (0.14 | ) | — | (0.14 | ) | |||||||||||||||||||||
2012 - Institutional | 10.44 | 0.22 | 0.17 | 0.39 | (0.22 | ) | — | (0.22 | ) | |||||||||||||||||||||
2012 - Service | 10.43 | 0.17 | 0.17 | 0.34 | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||||||
2012 - IR | 10.44 | 0.19 | 0.19 | 0.38 | (0.21 | ) | — | (0.21 | ) | |||||||||||||||||||||
2011 - A | 10.46 | 0.18 | (0.02 | ) | 0.16 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||||
2011 - C | 10.46 | 0.12 | (0.02 | ) | 0.10 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||||
2011 - Institutional | 10.46 | 0.22 | (0.03 | ) | 0.19 | (0.21 | ) | — | (0.21 | ) | ||||||||||||||||||||
2011 - Service | 10.46 | 0.17 | (0.04 | ) | 0.13 | (0.16 | ) | — | (0.16 | ) | ||||||||||||||||||||
2011 - IR (Commenced July 30, 2010) | 10.56 | 0.14 | (0.12 | ) | 0.02 | (0.14 | ) | — | (0.14 | ) |
(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 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) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
(d) | Annualized. |
(e) | Amount is less than $0.005 per share. |
80 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Net asset value, end of period | Total return(b) | Net assets, end of period (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net investment income to average net assets | Portfolio turnover rate(c) | ||||||||||||||||||||||||||||||||||
$ | 10.53 | (0.14 | )% | $ | 158,772 | 0.73 | %(d) | 0.76 | %(d) | 0.91 | %(d) | 8 | % | |||||||||||||||||||||||||||
10.52 | (0.34 | ) | 31,073 | 1.13 | (d) | 1.51 | (d) | 0.51 | (d) | 8 | ||||||||||||||||||||||||||||||
10.52 | 0.03 | 3,865,189 | 0.39 | (d) | 0.42 | (d) | 1.25 | (d) | 8 | |||||||||||||||||||||||||||||||
10.52 | (0.22 | ) | 161 | 0.89 | (d) | 0.91 | (d) | 0.75 | (d) | 8 | ||||||||||||||||||||||||||||||
10.52 | (0.01 | ) | 3,372 | 0.48 | (d) | 0.51 | (d) | 1.16 | (d) | 8 | ||||||||||||||||||||||||||||||
10.59 | 1.01 | 189,890 | 0.73 | 0.76 | 0.90 | 24 | ||||||||||||||||||||||||||||||||||
10.58 | 0.71 | 35,443 | 1.13 | 1.51 | 0.50 | 24 | ||||||||||||||||||||||||||||||||||
10.58 | 1.45 | 4,100,431 | 0.39 | 0.41 | 1.23 | 24 | ||||||||||||||||||||||||||||||||||
10.58 | 0.96 | 60 | 0.89 | 0.92 | 0.76 | 24 | ||||||||||||||||||||||||||||||||||
10.58 | 1.36 | 3,661 | 0.48 | 0.51 | 1.16 | 24 | ||||||||||||||||||||||||||||||||||
10.57 | (0.24 | ) | 231,329 | 0.73 | 0.76 | 0.93 | 17 | |||||||||||||||||||||||||||||||||
10.55 | (0.73 | ) | 43,189 | 1.13 | 1.51 | 0.53 | 17 | |||||||||||||||||||||||||||||||||
10.55 | 0.01 | 3,745,916 | 0.39 | 0.42 | 1.27 | 17 | ||||||||||||||||||||||||||||||||||
10.55 | (0.40 | ) | 306 | 0.89 | 0.92 | 0.79 | 17 | |||||||||||||||||||||||||||||||||
10.55 | (0.08 | ) | 9,554 | 0.48 | 0.51 | 1.19 | 17 | |||||||||||||||||||||||||||||||||
10.69 | 1.85 | 327,845 | 0.73 | 0.76 | 1.26 | 28 | ||||||||||||||||||||||||||||||||||
10.68 | 1.35 | 57,257 | 1.13 | 1.50 | 0.79 | 28 | ||||||||||||||||||||||||||||||||||
10.68 | 2.20 | 4,266,884 | 0.39 | 0.42 | 1.48 | 28 | ||||||||||||||||||||||||||||||||||
10.67 | 1.60 | 1,320 | 0.89 | 0.92 | 1.15 | 28 | ||||||||||||||||||||||||||||||||||
10.68 | 2.11 | 18,362 | 0.48 | 0.50 | 1.41 | 28 | ||||||||||||||||||||||||||||||||||
10.62 | 3.46 | 945,940 | 0.73 | 0.77 | 1.72 | 24 | ||||||||||||||||||||||||||||||||||
10.62 | 3.05 | 48,865 | 1.13 | 1.52 | 1.32 | 24 | ||||||||||||||||||||||||||||||||||
10.61 | 3.72 | 2,195,766 | 0.39 | 0.43 | 2.05 | 24 | ||||||||||||||||||||||||||||||||||
10.61 | 3.31 | 6,362 | 0.89 | 0.93 | 1.63 | 24 | ||||||||||||||||||||||||||||||||||
10.61 | 3.62 | 10,568 | 0.48 | 0.52 | 1.83 | 24 | ||||||||||||||||||||||||||||||||||
10.44 | 1.52 | 775,171 | 0.73 | 0.77 | 1.71 | 34 | ||||||||||||||||||||||||||||||||||
10.44 | 0.94 | 41,115 | 1.31 | 1.53 | 1.14 | 34 | ||||||||||||||||||||||||||||||||||
10.44 | 1.86 | 1,576,602 | 0.39 | 0.43 | 2.05 | 34 | ||||||||||||||||||||||||||||||||||
10.43 | 1.26 | 17,730 | 0.89 | 0.93 | 1.57 | 34 | ||||||||||||||||||||||||||||||||||
10.44 | 0.17 | 77 | 0.48 | (d) | 0.52 | (d) | 1.97 | (d) | 34 |
The accompanying notes are an integral part of these financial statements. | 81 |
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Notes to Financial Statements
September 30, 2015
1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
Fund | Share Classes Offered | Diversified/ Non-diversified | ||
Dynamic Municipal Income, Short Duration Tax-Free | A, C, Institutional, Service and IR | Diversified | ||
High Yield Municipal | A, C, Institutional and IR | Non-diversified |
Class A Shares of the Dynamic Municipal Income, High Yield Municipal and Short Duration Tax-Free Funds are sold with a front-end sales charge of up to 3.75%, 4.50% and 1.50%, respectively. Class C Shares of Dynamic Municipal Income, High Yield Municipal and Short Duration Tax-Free Funds are sold with a contingent deferred sales charge (“CDSC’) of 1.00%, 1.00% and 0.65%, respectively, which is imposed on redemptions made within 12 months of purchase. Institutional, Service and Class IR Shares are not subject to a sales charge.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to the Funds pursuant to management agreements (the “Agreements”) with the Trust.
2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.
A. Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income and dividend income, net of any foreign withholding taxes, less any amounts reclaimable. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract. Upfront payments are made or received upon entering into a swap agreement and are reflected in the Statement of Assets and Liabilities. Upfront payments are recognized over the contract’s term/event as realized gains or losses, with the exception of forward starting interest rate swaps whose realized gains or losses are recognized from the effective start date. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income. For treasury inflation protected securities (“TIPS”), adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), and non-class specific expenses of each Fund are allocated daily based upon the 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 Agency and Service and Shareholder Administration fees. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses.
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GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
D. Redemption Fees — A 2% redemption fee is imposed on the redemption of shares (including by exchange) of the High Yield Municipal Fund held for 60 calendar days or less. For this purpose, the High Yield Municipal Fund uses a first-in first-out method so that shares held longest will be treated as being redeemed first and shares held shortest will be treated as being redeemed last. Redemption fees are reimbursed to the 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 the Fund on a pro-rata basis.
E. 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.
Under the Regulated Investment Company Modernization Act of 2010, the Funds are 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.
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.
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
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 levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. 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).
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Funds’ policy, transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the beginning of the reporting period.
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the
83
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2015
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
Funds’ portfolio investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Money Market Funds — Investments in the Goldman Sachs Financial Square Tax-Free Money Market Fund (“Underlying Fund”) are valued at the NAV of the FST Share class on the day of valuation. These investments are generally classified as Level 1 of the fair value hierarchy.
The Underlying Fund may invest in debt securities which are valued daily on the basis of quotations supplied by dealers, if market quotations are readily available, or an independent pricing service approved by the Trustees. 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.
Debt Securities — Debt securities for which market quotations are readily available are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the Trustees. 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. 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 fair value. With the exception of treasury securities of G8 countries (not held in money market funds), which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.
i. Inverse Floaters — The interest rate on inverse floating rate securities (“inverse floaters”) resets in the opposite direction from the market rate of interest to which the inverse floaters are indexed. An inverse floater may be considered to be leveraged to the extent that its interest rate varies by a magnitude that exceeds the magnitude of the change in the index rate of interest. The higher the degree of leverage of an inverse floater, the greater the volatility of its market value.
ii. When-Issued Securities and Forward Commitments — When-issued securities, including TBA (“To Be Announced”) securities, are securities that are authorized but not yet issued in the market and purchased in order to secure what is considered to be an advantageous price or yield to a Fund. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement 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 a Fund will generally purchase securities on a when-issued or forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of when-issued securities or forward commitments prior to settlement which may result in a realized gain or loss.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Funds enter into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers.
Exchange-traded derivatives, including futures and options contracts, are valued at the last sale or settlement price and typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model
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GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Swap Contracts — Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”)(“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.
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 interest rates on a specified 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 (the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive protection on a reference security or obligation, including a group of assets or exposure to the performance of an index. 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 a Fund sells protection through a credit default swap, a Fund could suffer a loss because the value of the referenced obligation and the premium payments received may be less than the notional amount of the swap paid to the buyer of protection. Upon the occurrence of a specified credit event, a Fund, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional amount of the swap in a physically settled trade. A Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in 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 a Fund as seller 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 a Fund bought credit protection.
Short Term Investments — Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair market value. These investments are classified as Level 2 of the fair value hierarchy.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately
85
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2015
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
reflect fair value, the fair value of the Funds’ investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation 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 a Fund’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.
C. Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of September 30, 2015:
DYNAMIC MUNICIPAL INCOME | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Municipal Debt Obligations | $ | — | $ | 597,410,821 | $ | — | ||||||
Investment Company | 4,544,566 | — | — | |||||||||
Total | $ | 4,544,566 | $ | 597,410,821 | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(a) | ||||||||||||
Credit Default Swap Contracts | $ | — | $ | 72,651 | $ | — | ||||||
Liabilities(a) | ||||||||||||
Interest Rate Swap Contracts | $ | — | $ | (825,219 | ) | $ | — | |||||
HIGH YIELD MUNICIPAL | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Fixed Income | ||||||||||||
Municipal Debt Obligations | $ | — | $ | 3,275,869,037 | $ | — | ||||||
Corporate Obligation | — | 6,194,500 | — | |||||||||
Total | $ | — | $ | 3,282,063,537 | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(a) | ||||||||||||
Credit Default Swap Contracts | $ | — | $ | 1,609,968 | $ | — | ||||||
Liabilities(a) | ||||||||||||
Credit Default Swap Contracts | $ | — | $ | (726,452 | ) | $ | — | |||||
Interest Rate Swap Contracts | — | (5,745,029 | ) | — | ||||||||
Total | $ | — | $ | (6,471,481 | ) | $ | — |
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GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
SHORT DURATION TAX-FREE | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Municipal Debt Obligations | $ | — | $ | 4,015,869,036 | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(a) | ||||||||||||
Credit Default Swap Contracts | $ | — | $ | 363,255 | $ | — | ||||||
Liabilities(a) | ||||||||||||
Credit Default Swap Contracts | $ | — | $ | (3,718 | ) | $ | — |
(a) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedules of Investments.
4. INVESTMENTS IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts as of September 30, 2015. These instruments were used to meet the Funds’ investment objectives and to obtain and/or manage exposure related to the risks below. 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.
DYNAMIC MUNICIPAL INCOME | ||||||||||||
Risk | Statements of Assets and Liabilities | Assets(a) | Statements of Assets and Liabilities | Liabilities(a) | ||||||||
Credit | Receivable for unrealized gain on swap contracts | $ | 72,651 | — | $ | — | ||||||
Interest Rate | — | — | Variation margin on centain derivative contracts | (825,219) | ||||||||
Total | $ | 72,651 | $ | (825,219) | ||||||||
HIGH YIELD MUNICIPAL | ||||||||||||
Risk | Statements of Assets and Liabilities | Assets(a) | Statements of Assets and Liabilities | Liabilities | ||||||||
Credit | Receivable for unrealized gain on swap contracts | $ | 1,609,968 | Payable for unrealized loss on swap contracts | $ | (726,452) | (b) | |||||
Interest Rate | — | — | Variation margin on centain derivative contracts | (5,745,029) | (a) | |||||||
Total | $ | 1,609,968 | $ | (6,471,481) |
87
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2015
4. INVESTMENTS IN DERIVATIVES (continued) |
SHORT DURATION TAX-FREE | ||||||||||||
Risk | Statements of Assets and Liabilities | Assets(a) | Statements of Assets and Liabilities | Liabilities | ||||||||
Credit | Receivable for unrealized gain on swap contracts | $ | 363,255 | Payable for unrealized loss on swap contracts | $ | (3,718) | (b) |
(a) | Includes unrealized gain (loss) on centrally cleared swap 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 represents the payments to be made pursuant to bilateral agreements should counterparties exercise their “right to terminate” provisions based on, among others, the Fund’s performance, its failure to pay on its obligations or failure to pledge collateral. The 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, 2015. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:
DYNAMIC MUNICIPAL INCOME | ||||||||||||||
Risk | Statements of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Credit | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | $ | 15,253 | $ | (13,796 | ) | 2 | |||||||
Interest Rate | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | (5,533 | ) | (183,036 | ) | 3 | ||||||||
Total | $ | 9,720 | $ | (196,832 | ) | 5 | ||||||||
HIGH YIELD MUNICIPAL | ||||||||||||||
Risk | Statements of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Credit | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | $ | 547,681 | $ | (864,579 | ) | 7 | |||||||
Interest Rate | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | 1,536,912 | 1,514,373 | 1 | ||||||||||
Total | $ | 2,084,593 | $ | 649,794 | 8 | |||||||||
SHORT DURATION TAX-FREE | ||||||||||||||
Risk | Statements of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Credit | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | $ | 101,959 | $ | (91,036 | ) | 2 |
(a) | Average number of contracts is based on the average of month end balances for the six months ended September 30, 2015. |
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GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
4. INVESTMENTS IN DERIVATIVES (continued) |
In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivatives counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives (including forward foreign currency exchange contracts, and certain options and swaps), and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
Collateral and margin requirements differ between exchange traded derivatives and OTC derivatives. Margin requirements are established by the broker or clearing house for exchange-traded and centrally cleared derivatives (financial futures contracts, options and centrally cleared swaps) pursuant to governing agreements for those instrument types. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract-specific for OTC derivatives. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Additionally, a Fund may be required to post initial margin to the counterparty, the terms of which would be outlined in the confirmation of the OTC transaction.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivative contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. A Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes to be of good standing and by monitoring the financial stability of those counterparties.
Additionally, the netting of assets and liabilities and the offsetting of collateral pledged or received are based on contractual netting/set-off provisions in the ISDA Master Agreement or similar agreements. However, in the event of a default or insolvency of a counterparty, a court could determine that such rights are not enforceable due the restrictions or prohibitions against the right of setoff that may be imposed due to a particular jurisdiction’s bankruptcy or insolvency laws.
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, 2015, contractual and effective net management fees with GSAM were at the following rates:
Contractual Management Rate | Effective Net Management Rate^ | |||||||||||||||||||||||||||||
Fund | First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | ||||||||||||||||||||||||
Dynamic Municipal Income | 0.55 | % | 0.50 | % | 0.48 | % | 0.47 | % | 0.46 | % | 0.55 | % | 0.40 | %(1)(2) | ||||||||||||||||
High Yield Municipal | 0.55 | 0.55 | 0.50 | 0.48 | 0.47 | 0.53 | 0.53 | |||||||||||||||||||||||
Short Duration Tax-Free | 0.40 | 0.36 | 0.34 | 0.33 | 0.32 | 0.36 | 0.35 | (2) |
^ | Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any. |
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GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2015
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
(1) | GSAM has agreed to waive a portion of its management fee payable by the Fund in an amount equal to any management fees it earns as an investment adviser to any of the affiliated funds in which the Fund invest through at least July 29, 2016. Prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. |
(2) | GSAM has agreed to waive a portion of its management fee in order to achieve net management rates, as defined in the Funds’ most recent prospectuses. These waivers will be effective through at least July 29, 2016, and prior to such date GSAM may not terminate the arrangement without approval of the Trustees. The Effective Net Management Rates above are calculated based on management rates before and after the waivers had been adjusted, if applicable. |
The Dynamic Municipal Income Fund invests in the FST Shares of Goldman Sachs Financial Square Tax-Free Money Market Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Fund in an amount equal to the management fee it earns as an investment adviser to any of the affiliated Underlying Funds in which the Fund invests. For the six months ended September 30, 2015, GSAM waived $3,920 of the Fund’s management fees.
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 C | |||||||
Distribution Plan | 0.25 | % | 0.75 | % | ||||
Service Plan | — | 0.25 |
* | With respect to Class A 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. |
For the six months ended September 30, 2015, Goldman Sachs agreed to waive a portion of the distribution and service fees equal to 0.35% as an annual percentage rate of the average daily net assets attributable to Class C Shares of the Short Duration Tax-Free Fund. This arrangement will remain in place through at least July 29, 2016. Prior to such date, Goldman Sachs may not terminate this arrangement without the approval of the Trustees.
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 Shares front end sales charge and Class C Shares’ CDSC. During the six months ended September 30, 2015, Goldman Sachs advised that it retained front end sales charges of $12,529, $18,220 and $567 for the Dynamic Municipal Income, High Yield Municipal and Short Duration Tax-Free 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 for service organizations to provide varying levels of personal and account maintenance and shareholder administration services to their customers who are beneficial owners of such shares. The Service Plan and Shareholder Administration Plan each provide for compensation to the service organizations which is accrued daily and paid monthly at an annual rate of 0.25% (0.50% in aggregate) of the average daily net assets of the Service Shares.
E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.13% of the average daily net assets of Class A, Class C and Class IR Shares; and 0.04% of the average daily net assets of Institutional and Service Shares. Goldman Sachs agreed to waive a portion of the transfer agency fee equal to 0.05% as an annual percentage rate of the average daily net assets attributable to Class A, Class C and Class IR Shares of the High Yield Municipal Fund. This arrangement will remain in effect through at least July 29, 2016. Prior to such date, Goldman Sachs may not terminate the arrangement without the approval of the trustees.
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration
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GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
fees (as applicable), taxes, interest, brokerage fees, shareholder meetings, litigation, indemnification and extraordinary expenses) 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 as an annual percentage rate of average daily net assets for each Fund is 0.004%. These Other Expense limitations will remain in place through at least July 29, 2016, 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 and are received irrespective of the application of the “Other Expense” limitations described above.
For the six months ended September 30, 2015, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Fee Waivers | ||||||||||||||||||||||||||||
Fund | Management Fee | Class C Distribution and Service Fee | Transfer Agency Fee(a) | Other Expense Reimbursement | Custody Fee Credits | Total Expense Reductions | ||||||||||||||||||||||
Dynamic Municipal Income | $ | 460,019 | $ | — | $ | — | $ | 182,687 | $ | 2,504 | $ | 645,210 | ||||||||||||||||
High Yield Municipal | — | — | 87,996 | 211,264 | 12,561 | 311,821 | ||||||||||||||||||||||
Short Duration Tax-Free | 300,834 | 58,205 | — | 255,505 | 20,827 | 635,371 |
(a) | Applicable to Class A, C and IR Shares. |
G. Line of Credit Facility — As of September 30, 2015, the Funds participated in a $1,205,000,000 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 (“Other Borrowers”). Pursuant to the terms of the facility, the Funds and Other Borrowers could increase the credit amount by up to an additional $115,000,000, for a total of up to $1,320,000,000. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. 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, 2015, the Funds did not have any borrowings under the facility.
H. Other Transactions with Affiliates — As of September 30, 2015, the Goldman Sachs Group, Inc. was the beneficial owner of approximately 8% of the Service Class Shares of the Dynamic Municipal Income Fund.
The Funds may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is solely due to having a common investment adviser, common officers, or common trustees. For the six months ended September 30, 2015, there were no purchase and sale transactions for the Funds with an affiliated fund in compliance with Rule 17a-7 under the Act.
The following table provides information about the Funds’ investment in the Goldman Sachs Financial Square Tax-Free Money Market Fund as of and for the six months ended September 30, 2015:
Dynamic Municipal Income Fund | ||||||||||||||||||||
Underlying Fund | Market Value 03/31/15 | Purchases at Cost | Proceeds from Sales | Market Value 09/30/15 | Dividend Income | |||||||||||||||
Goldman Sachs Financial Square Tax-Free Money Market Fund | $ | — | $ | 95,858,628 | $ | (91,314,062 | ) | $ | 4,544,566 | $ | 313 |
91
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2015
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, 2015, were as follows:
Fund | Purchases | Sales and Maturities | ||||||||
Dynamic Municipal Income | $ | 77,154,457 | $ | 55,537,141 | ||||||
High Yield Municipal | 245,641,189 | 196,877,148 | ||||||||
Short Duration Tax-Free | 329,288,323 | 530,647,264 |
7. TAX INFORMATION |
As of the Funds’ most recent fiscal year end, March 31, 2015, The Funds’ capital loss carryforwards and certain timing differences, on a tax-basis were as follows:
Dynamic Municipal Income | High Yield Municipal | Short Duration Tax-Free | ||||||||||
Capital loss carryforwards:(1) | ||||||||||||
Expiring 2016 | $ | (5,753,929 | ) | $ | (220,731,177 | ) | $ | — | ||||
Expiring 2017 | (13,220,467 | ) | (553,071,659 | ) | — | |||||||
Expiring 2018 | (11,494,807 | ) | (431,157,569 | ) | — | |||||||
Expiring 2019 | (704,599 | ) | (11,866,582 | ) | — | |||||||
Perpetual Short-term | (3,837,647 | ) | (36,931,546 | ) | (312,808 | ) | ||||||
Perpetual Long-term | (1,055,965 | ) | (149,587,978 | ) | (759,631 | ) | ||||||
Total capital loss carryforwards | $ | (36,067,414 | ) | $ | (1,403,346,511 | ) | $ | (1,072,439 | ) | |||
Timing differences (Qualified Late Year Loss Deferral, Defaulted Bond Income and Distribution Payable) | (587,051 | ) | (67,827,297 | ) | (640,214 | ) |
(1) | With the exception of perpetual capital loss carryforwards, expiration occurs on March 31 of the year indicated. |
As of September 30, 2015, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Dynamic Municipal Income | High Yield Municipal | Short Duration Tax-Free | ||||||||||
Tax cost | $ | 581,351,556 | $ | 3,187,588,903 | $ | 4,022,925,903 | ||||||
Gross unrealized gain | 42,351,482 | 365,400,578 | 44,735,842 | |||||||||
Gross unrealized loss | (21,747,651 | ) | (270,925,944 | ) | (51,792,709 | ) | ||||||
Net unrealized security gain (loss) | $ | 20,603,831 | $ | 94,474,634 | $ | (7,056,867 | ) |
The difference between GAAP-basis and tax-basis unrealized gains (losses), as of the most recent fiscal year end, is attributable primarily to wash sales, differences in the tax treatment of swap transactions, and market discount, accretion and premium amortization.
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.
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GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
8. OTHER RISKS |
The Funds’ risks include, but are not limited to, the following:
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Fund will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments.
Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that a Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.
Liquidity Risk — The Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. 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. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity.
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 or guarantor fails to perform or that an institution or entity with which the Funds have unsettled or open transactions defaults.
Non-Diversification Risk — The High Yield Municipal Fund is non-diversified, meaning that it is permitted to invest a larger percentage of its assets in fewer issuers than diversified mutual funds. Thus, the Fund may be more susceptible to adverse developments affecting any single issuer held in its portfolio, and may be more susceptible to greater losses because of these developments.
Portfolio Concentration Risk — As a result 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.
9. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, 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.
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GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2015
10. SUBSEQUENT EVENTS |
Subsequent events after the Statement of Assets and Liabilities 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.
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GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
Dynamic Municipal Income Fund | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended September 30, 2015 (Unaudited) | For the Fiscal Year Ended March 31, 2015 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 1,116,071 | $ | 17,397,499 | 2,192,730 | $ | 34,781,146 | ||||||||||
Shares converted from Class B(a) | — | — | 5,567 | 88,292 | ||||||||||||
Reinvestment of distributions | 173,376 | 2,692,132 | 343,027 | 5,427,228 | ||||||||||||
Shares redeemed | (2,328,965 | ) | (36,067,253 | ) | (2,023,687 | ) | (31,928,312 | ) | ||||||||
(1,039,518 | ) | (15,977,622 | ) | 517,637 | 8,368,354 | |||||||||||
Class B Shares(a) | ||||||||||||||||
Shares sold | — | — | 198 | 3,514 | ||||||||||||
Shares converted to Class A | — | — | (5,567 | ) | (88,292 | ) | ||||||||||
Reinvestment of distributions | — | — | 2,144 | 33,803 | ||||||||||||
Shares redeemed | — | — | (165,084 | ) | (2,615,275 | ) | ||||||||||
— | — | (168,309 | ) | (2,666,250 | ) | |||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 287,505 | 4,480,154 | 306,368 | 4,851,890 | ||||||||||||
Reinvestment of distributions | 16,603 | 257,878 | 29,167 | 461,555 | ||||||||||||
Shares redeemed | (135,159 | ) | (2,103,870 | ) | (235,876 | ) | (3,727,274 | ) | ||||||||
168,949 | 2,634,162 | 99,659 | 1,586,171 | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 6,977,145 | 108,475,443 | 8,459,272 | 134,040,755 | ||||||||||||
Reinvestment of distributions | 426,240 | 6,615,707 | 650,973 | 10,299,012 | ||||||||||||
Shares redeemed | (4,587,788 | ) | (71,287,132 | ) | (4,036,725 | ) | (63,764,306 | ) | ||||||||
2,815,597 | 43,804,018 | 5,073,520 | 80,575,461 | |||||||||||||
Service Shares | ||||||||||||||||
Reinvestment of distributions | 20 | 299 | 38 | 613 | ||||||||||||
20 | 299 | 38 | 613 | |||||||||||||
Class IR Shares | ||||||||||||||||
Shares sold | 197,576 | 3,075,184 | 251,546 | 3,979,297 | ||||||||||||
Reinvestment of distributions | 7,746 | 120,083 | 8,119 | 128,371 | ||||||||||||
Shares redeemed | (93,916 | ) | (1,459,071 | ) | (49,681 | ) | (783,459 | ) | ||||||||
111,406 | 1,736,196 | 209,984 | 3,324,209 | |||||||||||||
NET INCREASE | 2,056,454 | $ | 32,197,053 | 5,732,529 | $ | 91,188,558 |
(a) | Class B Shares were converted into Class A Shares at the close of business on November 14, 2014. |
95
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Notes to Financial Statements (continued)
September 30, 2015
11. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
High Yield Municipal Fund | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended September 30, 2015 (Unaudited) | For the Fiscal Year Ended March 31, 2015 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 2,484,764 | $ | 22,932,707 | 7,969,366 | $ | 74,119,450 | ||||||||||
Shares converted from Class B(a) | — | — | 6,258 | 58,391 | ||||||||||||
Reinvestment of distributions | 586,600 | 5,380,603 | 1,166,093 | 10,837,012 | ||||||||||||
Shares redeemed | (2,890,912 | ) | (26,554,096 | ) | (10,101,477 | ) | (93,738,421 | ) | ||||||||
180,452 | 1,759,214 | (959,760 | ) | (8,723,568 | ) | |||||||||||
Class B Shares(a) | ||||||||||||||||
Shares sold | — | — | 1,118 | 10,304 | ||||||||||||
Shares converted to Class A | — | — | (6,258 | ) | (58,391 | ) | ||||||||||
Reinvestment of distributions | — | — | 9,341 | 86,392 | ||||||||||||
Shares redeemed | — | — | (569,001 | ) | (5,300,770 | ) | ||||||||||
— | — | (564,800 | ) | (5,262,465 | ) | |||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 284,298 | 2,614,189 | 1,392,292 | 12,897,227 | ||||||||||||
Reinvestment of distributions | 125,860 | 1,154,721 | 257,193 | 2,390,572 | ||||||||||||
Shares redeemed | (1,177,690 | ) | (10,835,007 | ) | (1,424,473 | ) | (13,228,420 | ) | ||||||||
(767,532 | ) | (7,066,097 | ) | 225,012 | 2,059,379 | |||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 31,499,142 | 290,221,894 | 72,628,331 | 674,242,071 | ||||||||||||
Reinvestment of distributions | 7,897,882 | 72,454,161 | 14,058,074 | 130,713,841 | ||||||||||||
Shares redeemed | (32,186,181 | ) | (295,784,267 | ) | (54,381,772 | ) | (504,213,128 | ) | ||||||||
7,210,843 | 66,891,788 | 32,304,633 | 300,742,784 | |||||||||||||
Class IR Shares | ||||||||||||||||
Shares sold | 229,964 | 2,117,240 | 606,116 | 5,589,918 | ||||||||||||
Reinvestment of distributions | 46,234 | 424,404 | 80,427 | 748,299 | ||||||||||||
Shares redeemed | (217,880 | ) | (2,000,766 | ) | (261,181 | ) | (2,425,950 | ) | ||||||||
58,318 | 540,878 | 425,362 | 3,912,267 | |||||||||||||
NET INCREASE | 6,682,081 | $ | 62,125,783 | 31,430,447 | $ | 292,728,397 |
(a) | Class B Shares were converted into Class A Shares at the close of business on November 14, 2014. |
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GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
11. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
Short Duration Tax- Free Fund | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended September 30, 2015 (Unaudited) | For the Fiscal Year Ended March 31, 2015 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 891,720 | $ | 9,399,454 | 4,572,749 | $ | 48,477,544 | ||||||||||
Reinvestment of distributions | 59,399 | 625,698 | 134,781 | 1,429,040 | ||||||||||||
Shares redeemed | (3,803,468 | ) | (40,088,343 | ) | (8,679,098 | ) | (91,991,539 | ) | ||||||||
(2,852,349 | ) | (30,063,191 | ) | (3,971,568 | ) | (42,084,955 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 200,034 | 2,105,431 | 607,828 | 6,439,292 | ||||||||||||
Reinvestment of distributions | 5,053 | 53,165 | 10,323 | 109,352 | ||||||||||||
Shares redeemed | (601,485 | ) | (6,330,749 | ) | (1,361,291 | ) | (14,422,337 | ) | ||||||||
(396,398 | ) | (4,172,153 | ) | (743,140 | ) | (7,873,693 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 79,524,761 | 837,305,090 | 209,728,744 | 2,221,068,131 | ||||||||||||
Reinvestment of distributions | 2,202,434 | 23,165,254 | 4,091,001 | 43,326,069 | ||||||||||||
Shares redeemed | (101,891,819 | ) | (1,072,739,346 | ) | (181,286,450 | ) | (1,920,125,989 | ) | ||||||||
(20,164,624 | ) | (212,269,002 | ) | 32,533,295 | 344,268,211 | |||||||||||
Service Shares | ||||||||||||||||
Shares sold | 9,555 | 100,816 | — | — | ||||||||||||
Reinvestment of distributions | 20 | 211 | 76 | 803 | ||||||||||||
Shares redeemed | (3 | ) | (33 | ) | (23,364 | ) | (246,761 | ) | ||||||||
9,572 | 100,994 | (23,288 | ) | (245,958 | ) | |||||||||||
Class IR Shares | ||||||||||||||||
Shares sold | 70,947 | 746,862 | 108,762 | 1,151,151 | ||||||||||||
Reinvestment of distributions | 1,868 | 19,649 | 6,930 | 73,384 | ||||||||||||
Shares redeemed | (98,336 | ) | (1,035,985 | ) | (675,144 | ) | (7,153,436 | ) | ||||||||
(25,521 | ) | (269,474 | ) | (559,452 | ) | (5,928,901 | ) | |||||||||
NET INCREASE | (23,429,320 | ) | $ | (246,672,826 | ) | 27,235,847 | $ | 288,134,704 |
97
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Fund Expenses — Six Month Period Ended September 30, 2015 (Unaudited)
As a shareholder of Class A, Class C, Institutional, Service or Class IR 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) and contingent deferred sales charges on redemptions (with respect to Class C Shares); and redemption fees (with respect to Class A, Class C, Institutional, Service and Class IR Shares, if any); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Class A and Class C Shares); and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class C, Institutional, Service and Class IR 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, 2015 through September 30, 2015, which represents a period of 183 days of a 366 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Dynamic Municipal Income Fund | High Yield Municipal Fund | Short Duration Tax-Free Fund | ||||||||||||||||||||||||||||||||||
Share Class | Beginning Account Value 4/01/15 | Ending Account Value 9/30/15 | Expenses Paid for the 6 Months Ended 9/30/15* | Beginning Account Value 4/01/15 | Ending Account Value 9/30/15 | Expenses Paid for the 6 Months Ended 9/30/15* | Beginning Account Value 4/01/15 | Ending Account Value 9/30/15 | Expenses Paid for the 6 Months Ended 9/30/15* | |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 997.30 | $ | 3.89 | $ | 1,000 | $ | 1,001.70 | $ | 4.35 | $ | 1,000 | $ | 998.60 | $ | 3.65 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,021.10 | + | 3.94 | 1,000 | 1,020.65 | + | 4.39 | 1,000 | 1,021.35 | + | 3.69 | ||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 992.90 | 7.67 | 1,000 | 997.90 | 8.09 | 1,000 | 996.60 | 5.64 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,017.30 | + | 7.77 | 1,000 | 1,016.90 | + | 8.17 | 1,000 | 1,019.35 | + | 5.70 | ||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 998.40 | 2.20 | 1,000 | 1,003.10 | 2.85 | 1,000 | 1,000.30 | 1.95 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,022.80 | + | 2.23 | 1,000 | 1,022.15 | + | 2.88 | 1,000 | 1,023.05 | + | 1.97 | ||||||||||||||||||||||||
Service | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 996.60 | 4.69 | N/A | N/A | N/A | 1,000 | 997.80 | 4.45 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,020.30 | + | 4.75 | N/A | N/A | N/A | 1,000 | 1,020.55 | + | 4.50 | |||||||||||||||||||||||||
Class IR | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 998.50 | 2.65 | 1,000 | 1,002.90 | 3.05 | 1,000 | 999.90 | 2.40 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,022.35 | + | 2.68 | 1,000 | 1,021.95 | + | 3.08 | 1,000 | 1,022.60 | + | 2.43 |
* | Expenses 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, 2015. 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 C | Institutional | Service | Class IR | |||||||||||||||
Dynamic Municipal Income | 0.78 | % | 1.54 | % | 0.44 | % | 94 | % | 0.53 | % | ||||||||||
High Yield Municipal | 0.87 | 1.62 | 0.57 | N/A | 0.61 | |||||||||||||||
Short Duration Tax-Free | 0.73 | 1.13 | 0.39 | 0.89 | 0.48 |
+ | 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. |
98
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited)
Background
The Goldman Sachs Dynamic Municipal Income Fund, Goldman Sachs High Yield Municipal Fund, and Goldman Sachs Short Duration Tax-Free Fund (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 throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreements (the “Management Agreements”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Funds.
The Management Agreements were most recently approved for continuation until June 30, 2016 by the Board of Trustees, including those Trustees who are not parties to the Management Agreements or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 10-11, 2015 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held three meetings over the course of the year since the Management Agreements were last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreements were considered by the Board, or the Independent Trustees, as applicable. Such matters included:
(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, compliance testing, 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 employee 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 each Fund, 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, and composites of accounts with comparable investment strategies managed by the Investment Adviser (in the case of the Dynamic Municipal Income Fund), and general investment outlooks in the markets in which the Funds invest; |
(c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether a Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
(d) | the terms of the Management Agreements and other agreements with affiliated service providers entered into by the Trust on behalf of the Funds; |
99
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
(e) | fee and expense information for the Funds, including: |
(i) | the relative management fee and expense levels of each Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
(ii) | the expense trends over time of each Fund; and |
(iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) 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; |
(f) | 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; |
(g) | the undertakings of the Investment Adviser and its affiliates to waive certain fees and to limit certain expenses of each Fund that exceed specified levels, and a summary of contractual fee reductions made by the Investment Adviser and/or its affiliates over the past several years with respect to the Funds; |
(h) | information relating to the profitability of the Management Agreements and the transfer agency and distribution and service arrangements of each Fund and the Trust as a whole to the Investment Adviser and its affiliates; |
(i) | whether each Fund’s existing management fee schedule adequately addressed any economies of scale; |
(j) | 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, portfolio trading, distribution and other services; |
(k) | a summary of potential benefits derived by the Funds as a result of their relationship with the Investment Adviser; |
(l) | information regarding portfolio trading and how the Investment Adviser carries out its duty to seek best execution; |
(m) | 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; |
(n) | 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 Agreements; and |
(o) | 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 periodic 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 and non-Rule 12b-1 shareholder service and/or administration fees with respect to the Funds. 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.
100
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual fund portfolios for which the Board of Trustees has responsibility. In evaluating the Management Agreements at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and 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 Agreements
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems. The Trustees concluded that the Investment Adviser continued to commit 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 recognized 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. In this regard, they compared the investment performance of each Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2014, and updated performance information prepared by the Investment Adviser using the peer groups identified by the Outside Data Provider as of March 31, 2015. The information on each Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates. The Trustees also reviewed each Fund’s investment performance over time (including on a year-by-year basis) relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Funds over time, and reviewed the investment performance of each Fund in light of its investment objective and policies and market conditions. The Trustees also received information comparing the Dynamic Municipal Income Fund’s performance to that of a composite of accounts with comparable investment strategies managed by the Investment Adviser.
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.
101
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
The Trustees noted that the Dynamic Municipal Income Fund’s Institutional Shares had placed in the first quartile of the Fund’s peer group and had outperformed the Fund’s benchmark index for the one-, three-, five-, and ten-year periods ended March 31, 2015. They considered that the Fund had been repositioned from the Goldman Sachs Municipal Income Fund in December 2014, which involved changes to the Fund’s investment objective, investment strategy, and benchmark. The Trustees noted that the High Yield Municipal Fund’s Institutional Shares had placed in the first quartile of the Fund’s peer group for the three- and five-year periods and in the third quartile for the one- and ten-year periods, and had outperformed the Fund’s benchmark index for the one-, three-, and five-year periods and underperformed for the ten-year period ended March 31, 2015. They noted that the Short Duration Tax-Free Fund’s Institutional Shares had placed in the second quartile of the Fund’s peer group for the one-, three-, five-, and ten-year periods, and had outperformed the Fund’s benchmark index for the one-, three-, and five-year periods and underperformed for the ten-year period ended March 31, 2015.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreements and the fee rates payable by each Fund under its respective 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. The analyses provided a comparison of the Funds’ management fees and breakpoints to those of relevant peer groups and category universes; an expense analysis which compared each Fund’s overall net and gross expenses to a peer group and a category universe; and a five-year history comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s transfer agency, custody, and distribution fees, other expenses and fee waivers/reimbursements to those of the peer group and category 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 waive a portion of its management fees (with respect to the Dynamic Municipal Income and Short Duration Tax-Free Funds) and to limit certain expenses of each Fund that exceed specified levels, as well as the undertakings of Goldman, Sachs & Co. (“Goldman Sachs”), the Funds’ distributor and transfer agent, to waive a portion of the distribution and service fees paid by the Short Duration Tax-Free Fund’s Class C Shares and a portion of the transfer agency fees paid by the High Yield Municipal Fund’s Class A, Class C, and Class IR Shares. They also considered, to the extent that the Investment Adviser manages other types of accounts 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 other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
102
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
Profitability
The Trustees reviewed the Investment Adviser’s revenues and pre-tax profit margins with respect to the Trust and each of the Funds. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense 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 noted that the internal audit group within the Goldman Sachs organization had audited the expense allocation methodology and was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology and profitability analysis calculations. Profitability data for the Trust and each Fund were provided for 2014 and 2013, 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. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreements for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:
Average Daily Net Assets | High Yield Municipal Fund | Dynamic Fund | Short Duration Fund | |||||||||
First $1 billion | 0.55 | % | 0.55 | % | 0.40 | % | ||||||
Next $1 billion | 0.55 | 0.50 | 0.36 | |||||||||
Next $3 billion | 0.50 | 0.48 | 0.34 | |||||||||
Next $3 billion | 0.48 | 0.47 | 0.33 | |||||||||
Over $8 billion | 0.47 | 0.46 | 0.32 |
The Trustees noted that the breakpoints were designed to 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 groups; and the Investment Adviser’s undertakings to waive a portion of its management fees (with respect to the Dynamic Municipal Income and Short Duration Tax-Free Funds) and to limit certain expenses of each Fund that exceed specified levels, as well as Goldman Sachs’ undertakings to waive a portion of the distribution and service fees paid by the Short Duration Tax-Free Fund’s Class C Shares and a portion of the transfer agency fees paid by the High Yield Municipal Fund’s Class A, Class C, and Class IR Shares. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels. They also noted that the Investment Adviser had passed along savings to shareholders of the High Yield Municipal and Short Duration Tax-Free Funds, which each had asset levels above at least the first breakpoint during the prior fiscal year.
103
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
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 relationships with the Funds as stated above, including: (a) transfer agency fees received by Goldman Sachs; (b) futures commissions earned by Goldman Sachs for executing futures transactions on behalf of the Funds; (c) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment 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 more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Funds and Their Shareholders
The Trustees also noted that the Funds receive certain potential benefits as a result of their relationship with the Investment 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) enhanced servicing from vendors because of the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced 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 on behalf of the Funds as a result of the size and reputation of the Goldman Sachs organization; (e) 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 risk management systems and databases), subject to certain restrictions; and (h) the Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered 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 Agreements, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by 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 Agreements should be approved and continued with respect to each applicable Fund until June 30, 2016.
104
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.02 trillion in assets under supervision as of September 30, 2015, 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. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman, Sachs & Co. subject to legal, internal and regulatory restrictions.
Money Market1
Financial Square FundsSM
n | Financial Square Tax-Exempt Funds |
n | Financial Square Treasury Solutions Fund2 |
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 |
n | Financial Square Federal Instruments Fund |
Fixed Income
Short Duration and Government
n | Enhanced Income Fund |
n | High Quality Floating Rate Fund |
n | Limited Maturity Obligations Fund |
n | Short Duration Government Fund |
n | Short Duration Income Fund |
n | Government Income Fund |
n | Inflation Protected Securities Fund |
Multi-Sector
n | Core Fixed Income Fund |
n | Bond Fund |
n | Global Income Fund |
n | Strategic Income Fund |
Municipal and Tax-Free
n | High Yield Municipal Fund |
n | Dynamic Municipal Income Fund3 |
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 |
n | Dynamic Emerging Markets Debt Fund |
Fixed Income Alternatives
n | Long Short Credit Strategies Fund |
n | Fixed Income Macro Strategies Fund |
Fundamental Equity
n | Growth and Income Fund |
n | Small Cap Value Fund |
n | Small/Mid Cap Value Fund |
n | Mid Cap Value Fund |
n | Large Cap Value Fund |
n | Capital Growth Fund |
n | Strategic Growth Fund |
n | Focused Growth Fund |
n | Small/Mid Cap Growth Fund |
n | Focused Value Fund |
n | Flexible Cap Growth Fund |
n | Concentrated Growth Fund |
n | Technology Opportunities Fund4 |
n | Growth Opportunities Fund |
n | Rising Dividend Growth Fund |
n | Dynamic U.S. Equity Fund5 |
n | Income Builder Fund |
Tax-Advantaged Equity
n | U.S. Tax-Managed Equity Fund |
n | International Tax-Managed Equity Fund |
n | U.S. Equity Dividend and Premium Fund |
n | International Equity Dividend and Premium Fund |
Equity Insights
n | Small Cap Equity Insights Fund |
n | U.S. Equity Insights Fund |
n | Small Cap Growth Insights Fund |
n | Large Cap Growth Insights Fund |
n | Large Cap Value Insights Fund |
n | Small Cap Value Insights Fund |
n | International Small Cap Insights Fund |
n | International Equity Insights Fund |
n | Emerging Markets Equity Insights Fund |
Fundamental Equity International
n | Strategic International Equity Fund |
n | Focused International Equity Fund |
n | International Small Cap Fund |
n | Asia Equity Fund |
n | Emerging Markets Equity Fund6 |
n | N-11 Equity Fund |
Select Satellite7
n | Real Estate Securities Fund |
n | International Real Estate Securities Fund |
n | Global Real Estate Securities Fund |
n | Commodity Strategy Fund |
n | Dynamic Commodity Strategy Fund |
n | Dynamic Allocation Fund |
n | Absolute Return Tracker Fund |
n | Long Short Fund |
n | Managed Futures Strategy Fund |
n | MLP Energy Infrastructure Fund |
n | Multi-Manager Alternatives Fund |
n | Multi-Asset Real Return Fund |
n | Retirement Portfolio Completion Fund |
n | Absolute Return Multi-Asset Fund |
Total Portfolio Solutions7
n | Global Managed Beta Fund |
n | Multi-Manager Non-Core Fixed Income Fund |
n | Multi-Manager U.S. Dynamic Equity Fund |
n | Multi-Manager Global Equity Fund |
n | Multi-Manager International Equity Fund |
n | Tactical Tilt Implementation Fund |
n | Balanced Strategy Portfolio |
n | Multi-Manager Real Assets Strategy Fund |
n | Growth and Income Strategy Portfolio |
n | Growth Strategy Portfolio |
n | Equity Growth Strategy Portfolio |
n | Satellite Strategies Portfolio |
n | Enhanced Dividend Global Equity Portfolio |
n | Tax Advantaged Global Equity Portfolio |
1 | 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. |
2 | Effective on September 30, 2015, the Goldman Sachs Financial Square Federal Fund was renamed the Goldman Sachs Financial Square Treasury Solutions Fund. |
3 | Effective on December 18, 2014, the Goldman Sachs Municipal Income Fund was renamed the Goldman Sachs Dynamic Municipal Income Fund. |
4 | Effective on July 31, 2015, the Goldman Sachs Technology Tollkeeper Fund was renamed the Goldman Sachs Technology Opportunities Fund. |
5 | Effective on April 30, 2015, the Goldman Sachs U.S. Equity Fund was renamed the Goldman Sachs Dynamic U.S. Equity Fund. |
6 | Effective at the close of business on October 23, 2015, the Goldman Sachs BRIC Fund (Brazil, Russia, India, China) was reorganized with and into the Goldman Sachs Emerging Markets Equity Fund. |
7 | Individual Funds within the Total Portfolio Solutions and Select Satellite categories will have various placement on the risk/return spectrum and may have greater or lesser risk than that indicated by the placement of the general Total Portfolio Solutions or Select Satellite category. |
Financial Square FundsSM is a registered service mark of Goldman, Sachs & Co.
*This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds.
TRUSTEES Ashok N. Bakhru, Chairman Kathryn A. Cassidy John P. Coblentz, Jr. Diana M. Daniels Joseph P. LoRusso Herbert J. Markley James A. McNamara Jessica Palmer Alan A. Shuch Richard P. Strubel Roy W. Templin Gregory G. Weaver | OFFICERS James A. McNamara, President Scott M. McHugh, Principal Financial Officer and Treasurer Caroline Kraus, Secretary | |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
Visit our Web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282
The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (I) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (II) on the Securities and Exchange Commission (“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-Qs are available on the SEC’s Web site at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. The Funds’ Form N-Qs 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. Form N-Qs 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).
Goldman, Sachs & Co. (“Goldman Sachs”) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of the transaction(s) or matter(s) addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances.
The website links provided are for your convenience only and are not an endorsement or recommendation by GSAM of any of these websites or the products or services offered. GSAM is not responsible for the accuracy and validity of the content of these websites.
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.
Fund holdings and allocations shown are as of September 30, 2015 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. Current and future holdings are subject to risk.
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).
© 2015 Goldman Sachs. All rights reserved. 172515.MF.MED.TMPL/11/2015 TFFISAR-15/16K
ITEM 2. | CODE OF ETHICS. |
(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”).
(b) During the period covered by this report, no amendments were made to the provisions of the Code of Ethics.
(c) During the period covered by this report, the registrant did not grant any waivers, including an implicit waiver, from any provision of the Code of Ethics.
(d) A copy of the Code of Ethics is available as provided in Item 12(a)(1) of this report.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
The registrant’s board of trustees has determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its audit committee. John P. Coblentz, Jr. is the “audit committee financial expert” and is “independent” (as each term is defined in Item 3 of Form N-CSR).
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Table 1 — Items 4(a) - 4(d). The accountant fees below reflect the aggregate fees billed by all of the Funds of the Goldman Sachs Trust and includes the Goldman Sachs Funds to which this certified shareholder report relates.
2015 | 2014 | Description of Services Rendered | ||||||||||
|
|
|
|
| ||||||||
Audit Fees: | ||||||||||||
• PricewaterhouseCoopers LLP (“PwC”) | $ | 3,570,472 | $ | 2,208,710 | Financial Statement audits. | |||||||
Audit-Related Fees: | ||||||||||||
• PwC | $ | 0 | $ | 0 | Other attest services. | |||||||
Tax Fees: | ||||||||||||
• PwC | $ | 659,410 | $ | 723,485 | Tax compliance services provided in connection with the preparation and review of registrant’s tax returns. |
Table 2 — Items 4(b)(c) & (d). Non-Audit Services to the Goldman Sachs Trust’s service affiliates * that were pre-approved by the Audit Committee of the Goldman Sachs Trust pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.
2015 | 2014 | Description of Services Rendered | ||||||||||
|
|
|
|
| ||||||||
Audit-Related Fees: | ||||||||||||
• PwC | $ | 1,568,616 | $ | 1,486,420 | Internal control review performed in accordance with Statement on Standards for Attestation Engagements No. 16. These fees are borne by the Funds’ Adviser. |
* | These include the advisor (excluding sub-advisors) and any entity controlling, controlled by or under common control with the advisor that provides ongoing services to the registrant (hereinafter referred to as “service affiliates”). |
Item 4(e)(1) — Audit Committee Pre-Approval Policies and Procedures
Pre-Approval of Audit and Non-Audit Services Provided to the Funds of the Goldman Sachs Trust. The Audit and Non-Audit Services Pre-Approval Policy (the “Policy”) adopted by the Audit Committee of Goldman Sachs Trust (“GST”) sets forth the procedures and the conditions pursuant to which services performed by an independent auditor for GST may be pre-approved. Services may be pre-approved specifically by the Audit Committee as a whole or, in certain circumstances, by the Audit Committee Chairman or the person designated as the Audit Committee Financial Expert. In addition, subject to specified cost limitations, certain services may be pre-approved under the provisions of the Policy. The Policy provides that the Audit Committee will consider whether the services provided by an independent auditor are consistent with the Securities and Exchange Commission’s rules on auditor independence. The Policy provides for periodic review and pre-approval by the Audit Committee of the services that may be provided by the independent auditor.
De Minimis Waiver. The pre-approval requirements of the Policy may be waived with respect to the provision of non-audit services that are permissible for an independent auditor to perform, provided (1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues subject to pre-approval that was paid to the independent auditors during the fiscal year in which the services are provided; (2) such services were not recognized by GST at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee, pursuant to the pre-approval provisions of the Policy.
Pre-Approval of Non-Audit Services Provided to GST’s Investment Advisers. The Policy provides that, in addition to requiring pre-approval of audit and non-audit services provided to GST, the Audit Committee will pre-approve those non-audit services provided to GST’s investment advisers (and entities controlling, controlled by or under common control with the investment advisers that provide ongoing services to GST) where the engagement relates directly to the operations or financial reporting of GST.
Item 4(e)(2) – 0% of the audit-related fees, tax fees and other fees listed in Table 1 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X. In addition, 0% of the non-audit services to the GST’s service affiliates listed in Table 2 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X.
Item 4(f) – Not applicable.
Item 4(g) Aggregate Non-Audit Fees Disclosure
The aggregate non-audit fees billed to GST by PwC for the twelve months ended March 31, 2015 and March 31, 2014 were approximately $659,410 and $723,485 respectively. The aggregate non-audit fees billed to GST’s adviser and service affiliates by PwC for non-audit services for the twelve months ended December 31, 2014 and December 31, 2013 were approximately $10.2 million and $9.8 million respectively. With regard to the aggregate non-audit fees billed to GST’s adviser and service affiliates, the 2014 and 2013 amounts include fees for non-audit services required to be pre-approved [see Table 2] and fees for non-audit services that did not require pre-approval since they did not directly relate to GST’s operations or financial reporting.
Item 4(h) — GST’s Audit Committee has considered whether the provision of non-audit services to GST’s investment adviser and service affiliates that did not require pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the auditors’ independence.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable. |
ITEM 6. | SCHEDULE OF INVESTMENTS. |
Schedule of Investments is included as part of the Report to Stockholders filed under Item 1. |
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable. |
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable. |
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable. |
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees. |
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
ITEM 12. | EXHIBITS. |
(a)(1) | Goldman Sachs Trust’s Code of Ethics for Principal Executive and Senior Financial Officers is incorporated by reference to Exhibit 12(a)(1) of the registrant’s Form N-CSR filed on July 8, 2015 for its International Equity Insights Funds. | |||
(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/Chief Executive Officer | ||
Goldman Sachs Trust | ||
Date: | December 7, 2015 |
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/Chief Executive Officer | ||
Goldman Sachs Trust | ||
Date: | December 7, 2015 | |
By: | /s/ Scott McHugh | |
| ||
Scott McHugh | ||
Principal Financial Officer | ||
Goldman Sachs Trust | ||
Date: | December 7, 2015 |