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. LLC | 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: November 30
Date of reporting period: November 30, 2020
ITEM 1. | REPORTS TO STOCKHOLDERS. |
The Annual Report to Shareholders is filed herewith. |
Goldman Sachs Funds
Annual Report | November 30, 2020 | |||
Financial Square FundsSM | ||||
Federal Instruments | ||||
Government | ||||
Money Market | ||||
Prime Obligations | ||||
Treasury Instruments | ||||
Treasury Obligations | ||||
Treasury Solutions |
Goldman Sachs Financial Square Funds
∎ | FEDERAL INSTRUMENTS FUND |
∎ | GOVERNMENT FUND |
∎ | MONEY MARKET FUND |
∎ | PRIME OBLIGATIONS FUND |
∎ | TREASURY INSTRUMENTS FUND |
∎ | TREASURY OBLIGATIONS FUND |
∎ | TREASURY SOLUTIONS FUND |
| ||||
1 | ||||
5 | ||||
6 | ||||
7 | ||||
9 | ||||
42 | ||||
52 | ||||
52 | ||||
56 | ||||
63 | ||||
68 | ||||
73 | ||||
78 | ||||
83 | ||||
88 | ||||
104 | ||||
105 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
PORTFOLIO RESULTS
Goldman Sachs Financial Square Funds
Investment Objective and Principal Investment Strategies
Each of the Goldman Sachs Financial Square Funds seek to maximize current income to the extent consistent with the preservation of capital and the maintenance of liquidity by investing exclusively in high quality money market instruments. The Goldman Sachs Prime Obligations Fund and the Goldman Sachs Money Market Fund pursue this investment objective by investing in U.S. government securities, obligations of banks (which may exceed 25% of its assets), commercial paper and other short-term obligations of U.S. companies, states, municipalities and other entities, and repurchase agreements (“repos”). They may also invest in U.S. dollar-denominated obligations of foreign banks, foreign companies and foreign governments. The Goldman Sachs Treasury Obligations Fund pursues the investment objective by investing only in U.S. Treasury obligations and repos collateralized by U.S. Treasury obligations. The Goldman Sachs Treasury Instruments Fund pursues the investment objective by investing only in U.S. Treasury obligations, the interest from which is generally exempt from state income taxation. The Goldman Sachs Treasury Solutions Fund pursues the investment objective by investing only in U.S. Treasury obligations and repos with the Federal Reserve Bank of New York collateralized by U.S. Treasury obligations. The Goldman Sachs Government Fund pursues the investment objective by investing only in U.S. government securities and repos collateralized by such securities. The Goldman Sachs Federal Instruments Fund pursues the investment objective by investing only in U.S. government securities, the interest from which is generally exempt from state income taxation.
Portfolio Management Discussion and Analysis
The Board of Trustees of the Goldman Sachs Trust approved a change to the fiscal year end of the Financial Square Funds (the “Funds”). Effective September 1, 2020, the Funds’ fiscal year end changed from August 31 to November 30. Below, the Goldman Sachs Money Market Portfolio Management Team discusses the Funds’ performance and positioning for the period from September 1, 2020 through November 30, 2020 (the “Reporting Period”).
Q | What economic and market factors most influenced the money markets as a whole during the Reporting Period? |
A | During the Reporting Period, the money markets were most influenced by Federal Reserve (“Fed”) policy and the outlook for the U.S. economy. |
The Fed held the targeted federal funds rate in a range of between 0% and 0.25% throughout the Reporting Period. Policymakers also signaled the monetary policy backdrop was likely to remain accommodative and short-term interest rates would likely stay low for the foreseeable future. In addition, Fed officials adopted a flexible form of average inflation targeting wherein they would aim for an inflation rate moderately above 2% following periods when inflation has run persistently below 2%, seeking an average of 2% over time. |
Positive news about COVID-19 vaccines benefited the medium-term outlook for U.S. economic activity and growth as well as the labor market. However, it was unclear to what extent stronger economic growth and a smaller output gap would translate to higher price inflation. |
In this environment, the yields of money market funds generally remained stable and close to zero. Investments in U.S. money market funds declined during the Reporting Period, dropping from $4.5 trillion in August 2020 to $4.3 trillion in November 2020, according to iMoneyNet. Much of the decrease could be attributed to an improvement in investor risk sentiment. Investors rotated into riskier asset classes as uncertainties surrounding the outcome of the November U.S. election and the effectiveness of COVID-19 vaccines eased. |
Q | What key factors were responsible for the performance of the Funds during the Reporting Period? |
A | The Funds’ yields remained rather stable during the Reporting Period primarily because of the economic and market factors discussed above. The money market yield curve steepened slightly, as the front, or short-term, end of |
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PORTFOLIO RESULTS
the U.S. Treasury curve shifted downward and the intermediate- to longer-term end shifted upward. (Yield curve is a spectrum of interest rates based on maturities of varying lengths. A steepening yield curve is one wherein the differential in yields between longer-term and shorter-term maturities widens; opposite of a flattening yield curve.) |
During the Reporting Period, the Funds’ positioning along the money market yield curve and in specific securities was predicated on market expectations that interest rates would remain low and Fed monetary policy would stay accommodative. |
Q | How did you manage the Funds during the Reporting Period? |
A | Collectively, the Funds had investments in commercial paper, asset-backed commercial paper, U.S. Treasury securities, government agency securities, time deposits, certificates of deposit, floating rate securities, repurchase agreements (“repos”), non-U.S. sovereign debt, municipal securities, variable rate demand notes (“VRDNs”) and other instruments during the Reporting Period. |
In our commercial paper strategies (i.e., the Goldman Sachs Financial Square Money Market Fund and the Goldman Sachs Financial Square Prime Obligations Fund), we maintained weighted average maturities in a rather narrow range between 38 and 43 days from the beginning of the Reporting Period to the end of October 2020. In November, we extended the weighted average maturities of the commercial paper strategies to between 48 and 49 days. Among our government repo strategies (i.e., the Goldman Sachs Financial Square Government Fund, the Goldman Sachs Financial Square Treasury Obligations Fund and the Goldman Sachs Financial Square Treasury Solutions Fund), the weighted average maturity of the Goldman Sachs Financial Square Government Fund remained rather stable during the Reporting Period in a range between 48 and 53 days. As for the Goldman Sachs Financial Square Treasury Obligations Fund, its weighted average maturity was 53 days when the Reporting Period began. We shortened it to 37 days in September and to 34 days in October. During November, we extended its weighted average maturity to 51 days. Regarding the Goldman Sachs Financial Square Treasury Solutions Fund, its weighted average maturity was 46 days at the start of the Reporting Period. We extended it to 53 days in October and to 56 by the end of the Reporting Period. In our government non-repo strategies (i.e., the Goldman Sachs Financial Square Federal Instruments Fund and the Goldman Sachs Financial Square Treasury Instruments Fund), we maintained rather stable weighted average maturities of between 44 and 57 days throughout the Reporting Period. |
During the Reporting Period overall, our commercial paper strategies focused their investments on U.S. Treasury securities, VRDNs and repos. Our government repo strategies focused their investments on government agency securities, government agency repos, U.S. Treasury securities and U.S. Treasury repos. Our government non-repo strategies focused their investments on U.S. Treasury securities. During the course of the Reporting Period, our commercial paper strategies increased their holdings of VRDNs, while our government repo strategies generally increased their holdings of U.S. Treasury repos. |
The weighted average maturity of a money market fund is a measure of its price sensitivity to changes in interest rates. Also known as effective maturity, weighted average maturity measures the weighted average of the maturity date of bonds held by the Funds, taking into consideration any available maturity shortening features. |
Q | How did you manage the Funds’ weighted average life during the Reporting Period? |
A | During the Reporting Period, we managed the weighted average life of the Funds at less than 115 days. In our commercial paper strategies, we managed the Funds’ weighted average life in a range between approximately 38 and 49 days. In our government repo strategies, we managed the Funds’ weighted average life in a range between approximately 82 and 113 days. In our government non-repo strategies, we managed the Funds’ weighted average life in a range between approximately 100 and 113 days. The weighted average life of a money market fund is a measure of a money market fund’s price sensitivity to changes in liquidity and/or credit risk. |
Under amendments to SEC Rule 2a-7 that became effective in May 2010, the maximum allowable weighted average life of a money market fund is 120 days. While one of the goals of the SEC’s money market fund rule is to reinforce conservative investment practices across the money market fund industry, our security selection process has long emphasized conservative investment choices. |
Q | Did you make any changes to the Funds’ portfolios during the Reporting Period? |
A | During the Reporting Period, we made adjustments to the Funds’ weighted average maturities and their allocations to |
2
PORTFOLIO RESULTS
specific investments based on then-current market conditions, our near-term view and anticipated and actual Fed monetary policy statements. |
Q | What is the Funds’ tactical view and strategy for the months ahead? |
A | At the end of the Reporting Period, we expected interest rates would remain low in the near term and the Fed to be ready to respond to market conditions as the U.S. and its economy recover from the COVID-19 pandemic. In our view, news of the efficacy of COVID-19 vaccine candidates boded well for the medium-term economic outlook, but we considered the near-term picture less certain given the backdrop of rapidly rising COVID-19 infections and increased restrictions at the end of the Reporting Period. We believed the resurgence of COVID-19 cases and efforts to curb its spread could weigh on economic activity in the short term. Regarding fiscal policy, the prospects for additional stimulus were uncertain when the Reporting Period concluded, though we noted ongoing discussions in Washington, D.C. about a potential deal. |
Looking ahead, the Funds will continue to be flexibly guided by shifting market conditions, and we have positioned them to seek to take advantage of the Fed’s accommodative monetary policy. Duration management and duration positioning will continue to play key roles in the management of the Funds. (Duration is a measure of a fund’s sensitivity to changes in interest rates.) That said, regardless of the interest rate environment, we intend to utilize an active management approach to provide the best possible return within the framework of the Funds’ guidelines and objectives. Our investment approach remains tri-fold — to seek preservation of capital, daily liquidity and maximization of yield potential. We will continue to manage interest, liquidity and credit risk daily. We will also continue to closely monitor economic data, Fed policy and any shifts in the money market yield curves, as we strive to navigate the interest rate environment. |
3
PORTFOLIO RESULTS
GOVERNMENT MONEY MARKET FUNDS
∎ | Federal Instruments Fund |
∎ | Government Fund |
∎ | Treasury Instruments Fund |
∎ | Treasury Obligations Fund |
∎ | Treasury Solutions Fund |
You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
INSTITUTIONAL MONEY MARKET FUNDS
∎ | Money Market Fund |
∎ | Prime Obligations Fund |
You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
4
Financial Square Funds
as of November 30, 2020
PERFORMANCE REVIEW1,2 |
| |||||||||||||
September 1, 2020– November 30, 2020 | Fund Total Return (based on NAV)3 Institutional Shares | SEC 7-Day Current Yield4 | iMoneyNet Institutional Average5 | |||||||||||
Federal Instruments | 0.00 | % | 0.00 | % | 0.02 | %6 | ||||||||
Government | 0.01 | 0.01 | 0.02 | 6 | ||||||||||
Money Market | -0.01 | -0.03 | -0.01 | 7 | ||||||||||
Prime Obligations | -0.01 | -0.03 | -0.01 | 7 | ||||||||||
Treasury Instruments | 0.00 | 0.00 | 0.01 | 8 | ||||||||||
Treasury Obligations | 0.00 | 0.03 | 0.02 | 9 | ||||||||||
Treasury Solutions | 0.00 | 0.00 | 0.02 | 9 |
The returns represent past performance. Past performance does not guarantee future results. The Funds’ investment returns will fluctuate. 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.
1 | Each of the Treasury Obligations, Money Market, Treasury Instruments and Treasury Solutions Funds offers nine separate classes of shares (Institutional, Select, Preferred, Capital, Administration, Service, Cash Management, Premier and Resource), the Federal Instruments Fund offers eight separate classes of shares (Institutional, Select, Preferred, Capital, Administration, Service, Cash Management and Premier), the Prime Obligations Fund offers ten separate classes of shares (Institutional, Select, Preferred, Capital, Administration, Service, Cash Management, Premier, Resource and Drexel Hamilton Class), and the Government Fund offers thirteen separate classes of shares (Institutional, Select, Preferred, Capital, Administration, Service, Cash Management, Premier, Resource, Drexel Hamilton Class, Class R6, Class A and Class C), each of which is subject to different fees and expenses that affect performance and entitles shareholders to different services. The Institutional, Drexel Hamilton Class, and Class R6 Shares do not have distribution and/or service (12b-1) or administration and/or service (non-12b-1) fees. The Select, Preferred, Capital, Administration, Service, Cash Management, Premier, Resource, Class A and Class C Shares offer financial institutions the opportunity to receive fees for providing certain distribution, administrative support and/or shareholder services (as applicable). As an annualized percentage of average daily net assets, these share classes pay combined distribution and/or service (12b-1), administration and/ or service (non-12b-1) fees (as applicable) at the following contractual rates: the Select Shares pay 0.03%, Preferred Shares pay 0.10%, Capital Shares pay 0.15%, Administration Shares pay 0.25%, Service Shares pay 0.50%, Cash Management Shares pay 0.80%, Premier Shares pay 0.35%, Resource Shares pay 0.65%, Class A Shares pay 0.25% and Class C Shares pay 1.00%. If these fees were reflected in the above performance, performance would have been reduced. In addition, the Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The investment adviser may contractually agree to waive or reimburse certain fees and expenses until a specified date. The investment adviser may also voluntarily waive certain fees and expenses, and such voluntary waivers may be discontinued or modified at any time without notice. The performance shown above reflects any waivers or reimbursements that were in effect for all or a portion of the periods shown. When waivers or reimbursements are in place, the Fund’s operating expenses are reduced and the Fund’s yield and total returns to the shareholder are increased. |
3 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. A Fund’s total return reflects the reinvestment of dividends and other distributions. |
4 | The SEC 7-Day Current Yield is calculated in accordance with securities industry regulations and does not include net capital gains. SEC 7-Day Current Yield may differ slightly from the actual distribution rate of a given Fund because of the exclusion of distributed capital gains, which are non-recurring. The SEC 7-Day Current Yield more closely reflects a Fund’s current earnings than do the Fund Total Return figures. |
5 | Source: iMoneyNet, Inc. November 2020. The iMoneyNet Institutional Average represents total return. |
6 | Government & Agencies Institutional–Category includes the most broadly based of the government institutional funds. These funds may generally invest in U.S. treasuries, U.S. agencies, repurchase agreements, or government-backed floating rate notes. |
7 | First Tier Institutional–Category includes only non-government institutional funds that also are not holding any second tier securities. Portfolio holdings of First Tier funds include U.S. Treasury, U.S. other, repurchase agreements, time deposits, domestic bank obligations, foreign bank obligations, first tier commercial paper, floating rate notes, and asset-backed commercial paper. |
8 | Treasury Institutional–Category includes only institutional government funds that hold 100 percent in U.S. Treasuries. |
9 | Treasury & Repo Institutional–Category includes only institutional government funds that hold U.S. Treasuries and repurchase agreements backed by the U.S. Treasury. |
5
SUMMARY OF THE INSTITUTIONAL SHARES1,2 AS OF 11/30/20 |
| |||||||||||||||||||||
Funds | 7-Day Dist. Yield11 | SEC 7-Day Effective Yield12 | 30-Day Average Yield13 | Weighted Avg. Maturity (days)14 | Weighted Avg. Life (days)15 | |||||||||||||||||
Federal Instruments | 0.01 | % | 0.00 | % | 0.01 | % | 57 | 100 | ||||||||||||||
Government | 0.02 | 0.01 | 0.02 | 53 | 98 | |||||||||||||||||
Money Market | 0.10 | -0.03 | 0.08 | 49 | 49 | |||||||||||||||||
Prime Obligations | 0.03 | -0.03 | 0.03 | 48 | 48 | |||||||||||||||||
Treasury Instruments | 0.01 | 0.00 | 0.01 | 56 | 108 | |||||||||||||||||
Treasury Obligations | 0.04 | 0.03 | 0.03 | 51 | 82 | |||||||||||||||||
Treasury Solutions | 0.01 | 0.00 | 0.01 | 56 | 108 |
The Yields represent past performance. Past performance does not guarantee future results. Current performance may be lower or higher than the performance quoted above. |
Yields reflect fee waivers and expense limitations in effect and will fluctuate as market conditions change. Please visit our Web site at www.GSAMFUNDS.com to obtain the most recent month-end performance. |
11 | The 7-Day Distribution Yield is an annualized measure of a Fund’s dividends per share, divided by the price per share. This yield includes capital gain/loss distribution, if any. This is not an SEC Yield. |
12 | The SEC 7-Day Effective Yield is calculated in accordance with securities industry regulations and does not include net capital gains. The SEC 7-Day Effective Yield assumes reinvestment of dividends for one year. |
13 | The 30-Day Average Yield is a net annualized yield of 30 days back from the current date listed. This yield includes capital gain/loss distribution. This is not an SEC Yield. |
14 | A Fund’s weighted average maturity (WAM) is an average of the effective maturities of all securities held in the portfolio, weighted by each security’s percentage of net assets. This must not exceed 60 days as calculated under SEC Rule 2a-7. |
15 | A Fund’s weighted average life (WAL) is an average of the final maturities of all securities held in the portfolio, weighted by each security’s percentage of net assets. This must not exceed 120 days as calculated under SEC Rule 2a-7. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
6
SECTOR ALLOCATIONS16 |
| |||||||||||||||||||||||||||||
As of November 30, 2020 | ||||||||||||||||||||||||||||||
Security Type (Percentage of Net Assets) | Federal Instruments | Government | Money Market | Prime Obligations | Treasury Instruments | Treasury Obligations | Treasury Solutions | |||||||||||||||||||||||
Certificates of Deposit - Eurodollar | — | — | 1.1 | % | — | — | — | — | ||||||||||||||||||||||
Certificates of Deposit - Yankeedollar | — | — | 2.9 | 3.3 | % | — | — | — | ||||||||||||||||||||||
Commercial Paper & Corporate Obligations | — | — | 18.0 | 18.5 | — | — | — | |||||||||||||||||||||||
Repurchase Agreements | — | 32.5 | % | 25.8 | 25.5 | — | 35.5 | % | — | |||||||||||||||||||||
Time Deposits | — | — | 8.2 | 7.4 | — | — | — | |||||||||||||||||||||||
U.S. Government Agency Obligations | 42.9 | % | 16.5 | 0.5 | 0.6 | — | — | — | ||||||||||||||||||||||
U.S. Treasury Obligations | 68.7 | 53.9 | 32.1 | 34.9 | 105.2 | % | 71.5 | 104.2 | % | |||||||||||||||||||||
Variable Rate Municipal Debt Obligations | — | — | 13.5 | 13.1 | — | — | — |
16 | Each Fund is actively managed and, as such, its portfolio composition may differ over time. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above table may not sum to 100% due to the exclusion of other assets and liabilities. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
7
SECTOR ALLOCATIONS
SECTOR ALLOCATIONS17 |
| |||||||||||||||||||||||||||||
As of August 31, 2020 | ||||||||||||||||||||||||||||||
Security Type (Percentage of Net Assets) | Federal Instruments | Government | Money Market | Prime Obligations | Treasury Instruments | Treasury Obligations | Treasury Solutions | |||||||||||||||||||||||
Certificates of Deposit | — | — | — | 0.7 | % | — | — | — | ||||||||||||||||||||||
Certificates of Deposit - Eurodollar | — | — | 0.3 | % | — | — | — | — | ||||||||||||||||||||||
Certificates of Deposit - Yankeedollar | — | — | 4.3 | 5.5 | — | — | — | |||||||||||||||||||||||
Commercial Paper & Corporate Obligations | — | — | 19.0 | 24.4 | — | — | — | |||||||||||||||||||||||
Repurchase Agreements | — | 27.7 | % | 12.4 | 13.1 | — | 22.4 | % | — | |||||||||||||||||||||
Time Deposits | — | — | 12.6 | 6.6 | — | — | — | |||||||||||||||||||||||
U.S. Government Agency Obligations | 40.2 | % | 16.1 | 0.2 | 0.3 | — | — | — | ||||||||||||||||||||||
U.S. Treasury Obligations | 60.8 | 56.9 | 30.8 | 34.1 | 102.4 | % | 75.3 | % | 100.0 | % | ||||||||||||||||||||
Variable Rate Municipal Debt Obligations | — | — | 7.7 | 8.8 | — | — | — | |||||||||||||||||||||||
Variable Rate Obligations | — | — | 13 | 6.8 | — | — | — |
17 | Each Fund is actively managed and, as such, its portfolio composition may differ over time. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above table may not sum to 100% due to the exclusion of other assets and liabilities. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
8
FINANCIAL SQUARE FEDERAL INSTRUMENTS FUND
November 30, 2020
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
U.S. Government Agency Obligations – 42.9% | ||||||||||||||
Federal Farm Credit Bank (1 Mo. LIBOR – 0.05%) | ||||||||||||||
$ | 3,400,000 | 0.096 | %(a) | 01/13/21 | $ | 3,399,984 | ||||||||
Federal Farm Credit Bank (1 Mo. LIBOR + 0.03%) | ||||||||||||||
8,200,000 | 0.171 | (a) | 09/15/21 | 8,199,871 | ||||||||||
Federal Farm Credit Bank (1 Mo. LIBOR + 0.09%) | ||||||||||||||
1,100,000 | 0.231 | (a) | 09/13/21 | 1,100,000 | ||||||||||
Federal Farm Credit Bank (1 Mo. LIBOR + 0.10%) | ||||||||||||||
2,000,000 | 0.246 | (a) | 12/23/21 | 2,000,000 | ||||||||||
Federal Farm Credit Bank (1 Mo. LIBOR + 0.13%) | ||||||||||||||
1,300,000 | 0.268 | (a) | 11/05/21 | 1,300,000 | ||||||||||
Federal Farm Credit Bank (3 Mo. LIBOR – 0.07%) | ||||||||||||||
300,000 | 0.164 | (a) | 07/02/21 | 300,000 | ||||||||||
Federal Farm Credit Bank (3 Mo. U.S. T-Bill MMY + 0.15%) | ||||||||||||||
300,000 | 0.230 | (a) | 04/23/21 | 300,000 | ||||||||||
70,000,000 | 0.231 | (a) | 04/18/22 | 70,000,000 | ||||||||||
Federal Farm Credit Bank (3 Mo. U.S. T-Bill MMY + 0.21%) | ||||||||||||||
47,115,000 | 0.290 | a) | 03/17/22 | 47,129,294 | ||||||||||
Federal Farm Credit Bank (3 Mo. U.S. T-Bill MMY + 0.25%) | ||||||||||||||
19,000,000 | 0.335 | (a) | 02/22/22 | 19,021,160 | ||||||||||
Federal Farm Credit Bank (FEDL01 + 0.10%) | ||||||||||||||
1,250,000 | 0.180 | (a) | 12/16/20 | 1,249,995 | ||||||||||
Federal Farm Credit Bank (FEDL01 + 0.12%) | ||||||||||||||
2,200,000 | 0.200 | (a) | 04/23/21 | 2,200,000 | ||||||||||
3,000,000 | 0.195 | (a) | 02/14/22 | 3,000,000 | ||||||||||
Federal Farm Credit Bank (FEDL01 + 0.15%) | ||||||||||||||
3,400,000 | 0.225 | (a) | 01/21/21 | 3,399,991 | ||||||||||
Federal Farm Credit Bank (FEDL01 + 0.17%) | ||||||||||||||
5,400,000 | 0.250 | (a) | 01/13/22 | 5,399,555 | ||||||||||
Federal Farm Credit Bank (FEDL01 + 0.20%) | ||||||||||||||
4,600,000 | 0.280 | (a) | 11/29/21 | 4,599,959 | ||||||||||
Federal Farm Credit Bank (FEDL01 + 0.21%) | ||||||||||||||
3,100,000 | 0.290 | (a) | 12/13/21 | 3,099,746 | ||||||||||
Federal Farm Credit Bank (Prime Rate – 2.80%) | ||||||||||||||
2,700,000 | 0.450 | (a) | 11/23/21 | 2,701,863 | ||||||||||
Federal Farm Credit Bank (Prime Rate – 2.87%) | ||||||||||||||
2,000,000 | 0.380 | (a) | 02/07/22 | 1,999,761 | ||||||||||
Federal Farm Credit Bank (Prime Rate – 2.94%) | ||||||||||||||
900,000 | 0.310 | (a) | 02/26/21 | 900,000 | ||||||||||
1,500,000 | 0.310 | (a) | 11/08/21 | 1,500,000 | ||||||||||
Federal Farm Credit Bank (Prime Rate – 2.95%) | ||||||||||||||
3,000,000 | 0.300 | (a) | 03/15/21 | 3,000,000 | ||||||||||
Federal Farm Credit Bank (Prime Rate – 2.96%) | ||||||||||||||
3,500,000 | 0.290 | (a) | 03/29/21 | 3,500,000 | ||||||||||
2,700,000 | 0.290 | (a) | 12/13/21 | 2,699,862 | ||||||||||
Federal Farm Credit Bank (Prime Rate – 2.97%) | ||||||||||||||
2,300,000 | 0.285 | (a) | 04/08/21 | 2,300,000 | ||||||||||
Federal Farm Credit Bank (Prime Rate – 2.98%) | ||||||||||||||
1,800,000 | 0.275 | (a) | 02/26/21 | 1,800,000 | ||||||||||
Federal Farm Credit Bank (Prime Rate – 3.01%) | ||||||||||||||
3,900,000 | 0.240 | (a) | 02/25/21 | 3,899,954 | ||||||||||
Federal Farm Credit Bank (Prime Rate – 3.02%) | ||||||||||||||
4,200,000 | 0.234 | (a) | 01/13/22 | 4,200,000 | ||||||||||
Federal Farm Credit Bank (Prime Rate – 3.05%) | ||||||||||||||
5,000,000 | 0.200 | (a) | 08/13/21 | 4,994,706 | ||||||||||
Federal Farm Credit Bank (SOFR + 0.12%) | ||||||||||||||
900,000 | 0.200 | (a) | 03/18/21 | 900,000 | ||||||||||
|
| |||||||||||||
U.S. Government Agency Obligations – (continued) | ||||||||||||||
Federal Farm Credit Bank (SOFR + 0.13%) | ||||||||||||||
1,200,000 | 0.210 | %(a) | 02/11/22 | 1,200,000 | ||||||||||
Federal Farm Credit Bank (SOFR + 0.18%) | ||||||||||||||
8,600,000 | 0.260 | (a) | 01/14/22 | 8,590,204 | ||||||||||
Federal Farm Credit Bank (SOFR + 0.28%) | ||||||||||||||
35,000,000 | 0.360 | (a) | 10/01/21 | 35,000,000 | ||||||||||
Federal Home Loan Bank | ||||||||||||||
35,000,000 | 0.094 | 12/02/20 | 34,999,910 | |||||||||||
95,000,000 | 0.092 | 12/04/20 | 94,999,288 | |||||||||||
30,000,000 | 0.107 | 12/04/20 | 29,999,738 | |||||||||||
30,000,000 | 0.117 | 12/09/20 | 29,999,233 | |||||||||||
1,000,000 | 0.117 | 12/11/20 | 999,968 | |||||||||||
50,000,000 | 0.111 | 12/16/20 | 49,997,729 | |||||||||||
11,000,000 | 0.089 | 12/28/20 | 10,999,274 | |||||||||||
80,000,000 | 0.076 | 01/20/21 | 79,991,667 | |||||||||||
140,000,000 | 0.093 | 01/27/21 | 139,979,828 | |||||||||||
50,000,000 | 0.100 | 01/29/21 | 49,991,969 | |||||||||||
20,000,000 | 0.095 | 02/03/21 | 19,996,693 | |||||||||||
60,000,000 | 0.089 | 02/24/21 | 59,987,534 | |||||||||||
17,200,000 | 0.530 | 03/15/21 | 17,174,162 | |||||||||||
20,000,000 | 0.356 | 03/16/21 | 19,979,583 | |||||||||||
80,000,000 | 0.116 | 04/16/21 | 79,965,547 | |||||||||||
40,000,000 | 0.116 | 04/21/21 | 39,982,140 | |||||||||||
110,000,000 | 0.107 | 04/28/21 | 109,952,517 | |||||||||||
80,000,000 | 0.105 | 05/07/21 | 79,963,715 | |||||||||||
95,000,000 | 0.105 | 05/12/21 | 94,955,540 | |||||||||||
44,000,000 | 0.093 | 05/21/21 | 43,980,772 | |||||||||||
55,000,000 | 0.089 | 05/28/21 | 54,975,797 | |||||||||||
Federal Home Loan Bank (1 Mo. LIBOR + 0.02%) | ||||||||||||||
1,600,000 | 0.165 | (a) | 03/24/21 | 1,600,000 | ||||||||||
Federal Home Loan Bank (1 Mo. LIBOR + 0.04%) | ||||||||||||||
1,600,000 | 0.190 | (a) | 06/24/21 | 1,600,000 | ||||||||||
Federal Home Loan Bank (3 Mo. LIBOR – 0.08%) | ||||||||||||||
4,600,000 | 0.152 | (a) | 03/19/21 | 4,600,000 | ||||||||||
Federal Home Loan Bank (SOFR + 0.02%) | ||||||||||||||
100,000,000 | 0.100 | (a) | 02/12/21 | 100,000,000 | ||||||||||
Federal Home Loan Bank (SOFR + 0.12%) | ||||||||||||||
2,600,000 | 0.200 | (a) | 02/28/22 | 2,600,000 | ||||||||||
Federal Home Loan Bank (SOFR + 0.17%) | ||||||||||||||
12,300,000 | 0.250 | (a) | 07/21/22 | 12,300,000 | ||||||||||
Federal Home Loan Bank (SOFR + 0.28%) | ||||||||||||||
20,300,000 | 0.360 | (a) | 03/25/21 | 20,300,000 | ||||||||||
Federal Home Loan Bank (SOFR + 0.29%) | ||||||||||||||
17,500,000 | 0.370 | (a) | 10/06/21 | 17,500,000 | ||||||||||
Federal Home Loan Bank (SOFR + 0.31%) | ||||||||||||||
75,000,000 | 0.390 | (a) | 09/24/21 | 75,000,000 | ||||||||||
|
| |||||||||||||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | $ | 1,633,258,509 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 9 |
FINANCIAL SQUARE FEDERAL INSTRUMENTS FUND
Schedule of Investments (continued)
November 30, 2020
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
U.S. Treasury Obligations – 68.7% | ||||||||||||||
United States Treasury Bills | ||||||||||||||
$ | 225,000,000 | 0.041 | % | 12/01/20 | $ | 225,000,000 | ||||||||
9,600,000 | 0.061 | 12/01/20 | 9,600,000 | |||||||||||
59,000,000 | 0.046 | 12/03/20 | 58,999,853 | |||||||||||
7,400,000 | 0.102 | 12/03/20 | 7,399,959 | |||||||||||
4,800,000 | 0.112 | 12/03/20 | 4,799,971 | |||||||||||
125,000,000 | 0.041 | 12/08/20 | 124,999,028 | |||||||||||
50,000,000 | 0.092 | 12/08/20 | 49,999,125 | |||||||||||
43,000,000 | 0.051 | 12/10/20 | 42,999,463 | |||||||||||
115,000,000 | 0.081 | 12/10/20 | 114,997,700 | |||||||||||
100,000 | 0.114 | 12/10/20 | 99,997 | |||||||||||
15,000,000 | 0.122 | 12/15/20 | 14,999,096 | |||||||||||
120,900,000 | 0.086 | 12/17/20 | 120,895,433 | |||||||||||
1,800,000 | 0.102 | 12/17/20 | 1,799,920 | |||||||||||
61,100,000 | 0.112 | 12/17/20 | 61,097,013 | |||||||||||
25,100,000 | 0.188 | 12/17/20 | 25,097,936 | |||||||||||
1,470,000 | 0.132 | 12/22/20 | 1,469,888 | |||||||||||
9,100,000 | 0.092 | 12/24/20 | 9,099,477 | |||||||||||
60,000,000 | 0.097 | 12/24/20 | 59,996,358 | |||||||||||
19,000,000 | 0.112 | 12/24/20 | 18,998,665 | |||||||||||
180,000,000 | 0.081 | (b) | 12/29/20 | 179,988,800 | ||||||||||
75,000,000 | 0.086 | 12/29/20 | 74,995,042 | |||||||||||
2,400,000 | 0.112 | 12/29/20 | 2,399,795 | |||||||||||
2,280,000 | 0.124 | 12/29/20 | 2,279,784 | |||||||||||
100,000 | 0.112 | 12/31/20 | 99,991 | |||||||||||
550,000,000 | 0.076 | 01/07/21 | 549,957,604 | |||||||||||
1,000,000 | 0.102 | 01/07/21 | 999,897 | |||||||||||
900,000 | 0.112 | 01/07/21 | 899,898 | |||||||||||
60,000,000 | 0.122 | 01/07/21 | 59,992,600 | |||||||||||
2,700,000 | 0.112 | 01/12/21 | 2,699,653 | |||||||||||
4,100,000 | 0.148 | 01/14/21 | 4,099,273 | |||||||||||
180,000,000 | 0.081 | (b) | 01/26/21 | 179,977,601 | ||||||||||
3,400,000 | 0.132 | 01/28/21 | 3,399,288 | |||||||||||
4,400,000 | 0.112 | 02/02/21 | 4,399,153 | |||||||||||
33,200,000 | 0.107 | 02/04/21 | 33,193,706 | |||||||||||
39,200,000 | 0.122 | 02/11/21 | 39,190,592 | |||||||||||
2,400,000 | 0.122 | 02/18/21 | 2,399,368 | |||||||||||
15,000,000 | 0.102 | 02/23/21 | 14,996,500 | |||||||||||
11,500,000 | 0.122 | 02/25/21 | 11,496,703 | |||||||||||
7,617,000 | 0.086 | (b) | 03/04/21 | 7,615,363 | ||||||||||
35,000,000 | 0.107 | 03/09/21 | 34,989,996 | |||||||||||
30,000,000 | 0.101 | 03/11/21 | 29,991,667 | |||||||||||
40,000,000 | 0.127 | 03/11/21 | 39,986,111 | |||||||||||
10,000,000 | 0.086 | (b) | 03/16/21 | 9,997,521 | ||||||||||
11,325,000 | 0.096 | 03/18/21 | 11,321,802 | |||||||||||
40,000,000 | 0.122 | 03/18/21 | 39,985,733 | |||||||||||
5,500,000 | 0.114 | 03/23/21 | 5,498,084 | |||||||||||
5,500,000 | 0.115 | 03/23/21 | 5,498,066 | |||||||||||
1,600,000 | 0.119 | 03/23/21 | 1,599,415 | |||||||||||
11,000,000 | 0.122 | 03/23/21 | 10,995,893 | |||||||||||
20,000,000 | 0.091 | 03/25/21 | 19,994,300 | |||||||||||
45,200,000 | 0.107 | 03/25/21 | 45,184,971 | |||||||||||
2,100,000 | 0.107 | 04/01/21 | 2,099,259 | |||||||||||
4,000,000 | 0.112 | 04/08/21 | 3,998,436 | |||||||||||
7,228,000 | 0.112 | 04/29/21 | 7,224,709 | |||||||||||
15,000,000 | 0.091 | (b) | 05/04/21 | 14,994,225 | ||||||||||
1,000,000 | 0.112 | 05/13/21 | 999,502 | |||||||||||
|
| |||||||||||||
U.S. Treasury Obligations – (continued) | ||||||||||||||
United States Treasury Bills – (continued) | ||||||||||||||
35,000,000 | 0.090 | 05/27/21 | 34,984,512 | |||||||||||
50,000,000 | 0.091 | (b) | 06/03/21 | 49,977,250 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill | | ||||||||||||
7,900,000 | 0.200 | (a) | 01/31/21 | 7,900,368 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill | | ||||||||||||
14,800,000 | 0.224 | (a) | 04/30/21 | 14,796,484 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill | | ||||||||||||
4,300,000 | 0.239 | (a) | 01/31/22 | 4,299,871 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill | | ||||||||||||
39,800,000 | 0.305 | (a) | 07/31/21 | 39,817,980 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill | | ||||||||||||
20,600,000 | 0.385 | (a) | 10/31/21 | 20,623,532 | ||||||||||
United States Treasury Notes | ||||||||||||||
3,800,000 | 1.875 | 12/15/20 | 3,801,743 | |||||||||||
6,000,000 | 2.500 | 12/31/20 | 6,006,641 | |||||||||||
1,200,000 | 1.375 | 01/31/21 | 1,200,003 | |||||||||||
900,000 | 2.250 | 02/15/21 | 902,134 | |||||||||||
900,000 | 3.625 | 02/15/21 | 904,672 | |||||||||||
16,700,000 | 2.500 | 02/28/21 | 16,753,568 | |||||||||||
3,800,000 | 2.375 | 03/15/21 | 3,810,727 | |||||||||||
|
| |||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS | | $ | 2,617,568,668 | ||||||||||
|
| |||||||||||||
TOTAL INVESTMENTS – 111.6% | $ | 4,250,827,177 | ||||||||||||
|
| |||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (11.6)% | | (441,720,127 | ) | ||||||||||
|
| |||||||||||||
NET ASSETS – 100.0% | $ | 3,809,107,050 | ||||||||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | Variable or floating rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on November 30, 2020. | |
(b) | All or a portion represents a forward commitment. |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities, the date of the next interest rate reset for variable rate securities, or the prerefunded date for those types of securities.
10 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE FEDERAL INSTRUMENTS FUND
| ||
Investment Abbreviations: | ||
FEDL01 | — US Federal Funds Effective Rate | |
LIBOR | — London Interbank Offered Rates | |
MMY | — Money Market Yield | |
Prime | — Federal Reserve Bank Prime Loan Rate US | |
SOFR | — Secured Overnight Financing Rate | |
T-Bill | — Treasury Bill | |
|
The accompanying notes are an integral part of these financial statements. | 11 |
FINANCIAL SQUARE GOVERNMENT FUND
Schedule of Investments
November 30, 2020
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
U.S. Government Agency Obligations – 16.5% | ||||||||||||||
Federal Farm Credit Bank | ||||||||||||||
$ | 49,500,000 | 0.347 | % | 01/04/21 | $ | 49,484,105 | ||||||||
49,500,000 | 0.357 | 02/24/21 | 49,459,094 | |||||||||||
Federal Farm Credit Bank (1 Mo. LIBOR – 0.05%) | ||||||||||||||
237,200,000 | 0.096 | (a) | 01/13/21 | 237,198,877 | ||||||||||
Federal Farm Credit Bank (1 Mo. LIBOR + 0.03%) | ||||||||||||||
545,900,000 | 0.171 | (a) | 09/15/21 | 545,891,403 | ||||||||||
Federal Farm Credit Bank (1 Mo. LIBOR + 0.09%) | ||||||||||||||
85,100,000 | 0.231 | (a) | 09/13/21 | 85,100,000 | ||||||||||
Federal Farm Credit Bank (1 Mo. LIBOR + 0.10%) | ||||||||||||||
191,600,000 | 0.227 | (a) | 09/09/21 | 191,600,000 | ||||||||||
107,000,000 | 0.246 | (a) | 12/23/21 | 107,000,000 | ||||||||||
Federal Farm Credit Bank (1 Mo. LIBOR + 0.13%) | ||||||||||||||
93,100,000 | 0.268 | (a) | 11/05/21 | 93,100,000 | ||||||||||
Federal Farm Credit Bank (3 Mo. LIBOR – 0.07%) | ||||||||||||||
49,000,000 | 0.164 | (a) | 07/02/21 | 49,000,000 | ||||||||||
Federal Farm Credit Bank (3 Mo. U.S. T-Bill MMY + 0.15%) | ||||||||||||||
29,500,000 | 0.230 | (a) | 04/23/21 | 29,500,000 | ||||||||||
Federal Farm Credit Bank (FEDL01 + 0.10%) | ||||||||||||||
94,480,000 | 0.180 | (a) | 12/16/20 | 94,479,611 | ||||||||||
Federal Farm Credit Bank (FEDL01 + 0.12%) | ||||||||||||||
189,100,000 | 0.195 | (a) | 02/14/22 | 189,100,000 | ||||||||||
Federal Farm Credit Bank (FEDL01 + 0.15%) | ||||||||||||||
261,300,000 | 0.225 | (a) | 01/21/21 | 261,299,270 | ||||||||||
Federal Farm Credit Bank (FEDL01 + 0.17%) | ||||||||||||||
367,700,000 | 0.250 | (a) | 01/13/22 | 367,669,485 | ||||||||||
Federal Farm Credit Bank (FEDL01 + 0.20%) | ||||||||||||||
336,800,000 | 0.280 | (a) | 11/29/21 | 336,797,015 | ||||||||||
Federal Farm Credit Bank (FEDL01 + 0.21%) | ||||||||||||||
217,000,000 | 0.290 | (a) | 12/13/21 | 216,982,201 | ||||||||||
Federal Farm Credit Bank (Prime Rate – 2.80%) | ||||||||||||||
123,400,000 | 0.450 | (a) | 11/23/21 | 123,485,156 | ||||||||||
Federal Farm Credit Bank (Prime Rate – 2.87%) | ||||||||||||||
95,500,000 | 0.380 | (a) | 02/07/22 | 95,488,579 | ||||||||||
Federal Farm Credit Bank (Prime Rate – 2.94%) | ||||||||||||||
98,300,000 | 0.310 | (a) | 02/26/21 | 98,300,000 | ||||||||||
117,700,000 | 0.310 | (a) | 11/08/21 | 117,700,000 | ||||||||||
Federal Farm Credit Bank (Prime Rate – 2.95%) | ||||||||||||||
344,300,000 | 0.300 | (a) | 03/15/21 | 344,300,000 | ||||||||||
Federal Farm Credit Bank (Prime Rate – 2.96%) | ||||||||||||||
344,300,000 | 0.290 | (a) | 03/29/21 | 344,300,000 | ||||||||||
193,000,000 | 0.290 | (a) | 12/13/21 | 192,990,109 | ||||||||||
Federal Farm Credit Bank (Prime Rate – 2.97%) | ||||||||||||||
246,000,000 | 0.285 | (a) | 04/08/21 | 246,000,000 | ||||||||||
Federal Farm Credit Bank (Prime Rate – 2.98%) | ||||||||||||||
188,600,000 | 0.275 | (a) | 02/26/21 | 188,600,000 | ||||||||||
Federal Farm Credit Bank (Prime Rate – 3.01%) | ||||||||||||||
282,900,000 | 0.240 | (a) | 02/25/21 | 282,896,671 | ||||||||||
Federal Farm Credit Bank (Prime Rate – 3.02%) | ||||||||||||||
294,000,000 | 0.234 | (a) | 01/13/22 | 294,000,000 | ||||||||||
Federal Farm Credit Bank (Prime Rate – 3.05%) | ||||||||||||||
245,000,000 | 0.200 | (a) | 08/13/21 | 244,740,597 | ||||||||||
Federal Farm Credit Bank (SOFR + 0.12%) | ||||||||||||||
103,300,000 | 0.200 | (a) | 03/18/21 | 103,300,000 | ||||||||||
Federal Farm Credit Bank (SOFR + 0.18%) | ||||||||||||||
235,600,000 | 0.260 | (a) | 01/14/22 | 235,147,449 | ||||||||||
|
| |||||||||||||
U.S. Government Agency Obligations – (continued) | ||||||||||||||
Federal Home Loan Bank | ||||||||||||||
99,000,000 | 0.356 | 03/09/21 | 98,905,675 | |||||||||||
155,000,000 | 0.530 | 03/09/21 | 154,780,589 | |||||||||||
961,200,000 | 0.530 | 03/15/21 | 959,756,064 | |||||||||||
212,500,000 | 0.407 | 03/18/21 | 212,247,361 | |||||||||||
Federal Home Loan Bank (1 Mo. LIBOR + 0.02%) | ||||||||||||||
118,200,000 | 0.165 | (a) | 03/24/21 | 118,200,000 | ||||||||||
Federal Home Loan Bank (1 Mo. LIBOR + 0.04%) | ||||||||||||||
118,200,000 | 0.190 | (a) | 06/24/21 | 118,200,000 | ||||||||||
Federal Home Loan Bank (3 Mo. LIBOR – 0.07%) | ||||||||||||||
993,500,000 | 0.155 | (a) | 04/01/21 | 993,500,000 | ||||||||||
Federal Home Loan Bank (3 Mo. LIBOR – 0.08%) | ||||||||||||||
492,100,000 | 0.152 | (a) | 03/19/21 | 492,100,000 | ||||||||||
Federal Home Loan Bank (3 Mo. LIBOR – 0.09%) | ||||||||||||||
481,100,000 | 0.149 | (a) | 07/06/21 | 481,100,000 | ||||||||||
Federal Home Loan Bank (3 Mo. LIBOR – 0.11%) | ||||||||||||||
240,300,000 | 0.120 | (a) | 04/08/21 | 240,300,000 | ||||||||||
59,500,000 | 0.120 | (a) | 04/09/21 | 59,500,000 | ||||||||||
Federal Home Loan Bank (SOFR + 0.17%) | ||||||||||||||
933,500,000 | 0.250 | (a) | 07/21/22 | 933,500,000 | ||||||||||
Federal Home Loan Bank (SOFR + 0.29%) | ||||||||||||||
958,000,000 | 0.370 | (a) | 10/06/21 | 958,000,000 | ||||||||||
Federal Home Loan Bank (SOFR + 0.30%) | ||||||||||||||
1,400,000,000 | 0.380 | (a) | 09/29/21 | 1,400,000,000 | ||||||||||
Federal Home Loan Bank (SOFR + 0.35%) | ||||||||||||||
990,000,000 | 0.430 | (a) | 09/23/21 | 990,000,000 | ||||||||||
Federal Home Loan Mortgage Corp. (SOFR + 0.29%) | ||||||||||||||
1,490,000,000 | 0.370 | (a) | 10/01/21 | 1,490,000,000 | ||||||||||
Federal Home Loan Mortgage Corp. (SOFR + 0.30%) | ||||||||||||||
3,053,600,000 | 0.380 | (a) | 09/24/21 | 3,053,600,000 | ||||||||||
500,000,000 | 0.380 | (a) | 10/25/21 | 500,000,000 | ||||||||||
Federal Home Loan Mortgage Corp. (SOFR + 0.31%) | ||||||||||||||
498,000,000 | 0.390 | (a) | 01/03/22 | 498,000,000 | ||||||||||
Federal Home Loan Mortgage Corp. (SOFR + 0.32%) | ||||||||||||||
745,000,000 | 0.400 | (a) | 09/27/21 | 745,000,000 | ||||||||||
496,500,000 | 0.400 | (a) | 09/30/21 | 496,500,000 | ||||||||||
Federal National Mortgage Association (SOFR + 0.10%) | ||||||||||||||
117,700,000 | 0.180 | (a) | 12/03/21 | 117,401,116 | ||||||||||
Federal National Mortgage Association (SOFR + 0.29%) | ||||||||||||||
486,900,000 | 0.370 | (a) | 10/04/21 | 486,900,000 | ||||||||||
Federal National Mortgage Association (SOFR + 0.30%) | ||||||||||||||
993,500,000 | 0.380 | (a) | 09/24/21 | 993,500,000 | ||||||||||
Federal National Mortgage Association (SOFR + 0.34%) | ||||||||||||||
1,789,500,000 | 0.420 | (a) | 10/20/21 | 1,789,500,000 | ||||||||||
990,725,000 | 0.420 | (a) | 12/30/21 | 990,725,000 | ||||||||||
993,000,000 | 0.420 | (a) | 01/21/22 | 993,000,000 | ||||||||||
Federal National Mortgage Association (SOFR + 0.35%) | ||||||||||||||
248,000,000 | 0.430 | (a) | 10/15/21 | 248,000,000 | ||||||||||
Federal National Mortgage Association (SOFR + 0.36%) | ||||||||||||||
499,000,000 | 0.440 | (a) | 01/20/22 | 499,000,000 | ||||||||||
| U.S. International Development Finance Corp. (3 Mo. | | ||||||||||||
597,843,782 | 0.130 | (a) | 12/07/20 | 597,843,782 | ||||||||||
194,435,564 | 0.140 | (a) | 12/07/20 | 194,435,565 | ||||||||||
|
| |||||||||||||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | | $ | 27,718,404,774 | ||||||||||
|
|
12 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE GOVERNMENT FUND
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
U.S. Treasury Obligations - 53.9% | ||||||||||||||
United States Treasury Bills | ||||||||||||||
$ | 3,044,000,000 | 0.188 | % | 12/17/20 | $ | 3,043,749,715 | ||||||||
732,650,000 | 0.132 | 12/22/20 | 732,588,030 | |||||||||||
600,000,000 | 0.112 | 12/24/20 | 599,957,833 | |||||||||||
3,662,400,000 | 0.178 | 12/24/20 | 3,661,990,524 | |||||||||||
109,900,000 | 0.112 | 12/29/20 | 109,890,597 | |||||||||||
556,530,000 | 0.124 | 12/29/20 | 556,477,191 | |||||||||||
132,800,000 | 0.133 | 12/29/20 | 132,786,469 | |||||||||||
767,500,000 | 0.137 | 12/29/20 | 767,419,413 | |||||||||||
51,900,000 | 0.112 | 12/31/20 | 51,895,243 | |||||||||||
140,100,000 | 0.163 | 12/31/20 | 140,081,320 | |||||||||||
4,666,400,000 | 0.168 | 12/31/20 | 4,665,758,367 | |||||||||||
58,000,000 | 0.112 | 01/05/21 | 57,993,797 | |||||||||||
1,402,700,000 | 0.122 | 01/07/21 | 1,402,527,000 | |||||||||||
300,700,000 | 0.112 | 01/12/21 | 300,661,410 | |||||||||||
3,832,000,000 | 0.148 | 01/14/21 | 3,831,320,880 | |||||||||||
899,700,000 | 0.122 | 01/19/21 | 899,553,050 | |||||||||||
22,400,000 | 0.102 | 01/21/21 | 22,396,827 | |||||||||||
17,400,000 | 0.112 | 01/21/21 | 17,397,289 | |||||||||||
2,958,350,000 | 0.132 | 01/21/21 | 2,957,805,172 | |||||||||||
1,993,500,000 | 0.114 | 01/26/21 | 1,993,143,388 | |||||||||||
3,324,900,000 | 0.132 | 01/28/21 | 3,324,203,621 | |||||||||||
279,400,000 | 0.112 | 02/02/21 | 279,346,216 | |||||||||||
1,533,550,000 | 0.107 | 02/04/21 | 1,533,259,266 | |||||||||||
2,521,350,000 | 0.112 | 02/11/21 | 2,250,854,705 | |||||||||||
2,563,570,000 | 0.122 | 02/11/21 | 2,562,954,740 | |||||||||||
1,882,200,000 | 0.097 | 02/16/21 | 1,881,817,547 | |||||||||||
2,071,200,000 | 0.122 | 02/18/21 | 2,070,654,584 | |||||||||||
999,150,000 | 0.102 | 02/23/21 | 998,916,865 | |||||||||||
501,800,000 | 0.122 | 02/25/21 | 501,656,151 | |||||||||||
850,000,000 | 0.096 | 03/02/21 | 849,795,884 | |||||||||||
352,286,400 | 0.086 | (b) | 03/04/21 | 352,210,708 | ||||||||||
1,353,000,000 | 0.106 | 03/04/21 | 1,352,632,999 | |||||||||||
751,000,000 | 0.117 | 03/04/21 | 750,776,890 | |||||||||||
2,512,000,000 | 0.107 | 03/09/21 | 2,511,281,987 | |||||||||||
1,399,000,000 | 0.101 | 03/11/21 | 1,398,611,389 | |||||||||||
1,250,000,000 | 0.127 | 03/11/21 | 1,249,565,975 | |||||||||||
343,757,000 | 0.086 | (b) | 03/16/21 | 343,671,777 | ||||||||||
2,760,000,000 | 0.112 | 03/16/21 | 2,759,114,492 | |||||||||||
564,750,000 | 0.096 | 03/18/21 | 564,590,537 | |||||||||||
267,600,000 | 0.114 | 03/23/21 | 267,506,756 | |||||||||||
267,600,000 | 0.115 | 03/23/21 | 267,505,924 | |||||||||||
80,500,000 | 0.119 | 03/23/21 | 80,470,573 | |||||||||||
2,748,000,000 | 0.122 | 03/23/21 | 2,746,974,080 | |||||||||||
963,000,000 | 0.091 | 03/25/21 | 962,725,545 | |||||||||||
2,211,100,000 | 0.107 | 03/25/21 | 2,210,364,814 | |||||||||||
1,099,000,000 | 0.117 | 03/30/21 | 1,098,582,231 | |||||||||||
4,071,700,000 | 0.107 | 04/01/21 | 4,070,263,038 | |||||||||||
1,302,000,000 | 0.107 | 04/06/21 | 1,301,521,515 | |||||||||||
82,200,000 | 0.107 | 04/08/21 | 82,169,312 | |||||||||||
95,600,000 | 0.109 | 04/08/21 | 95,563,460 | |||||||||||
3,026,600,000 | 0.112 | 04/08/21 | 3,025,416,265 | |||||||||||
1,860,450,000 | 0.107 | 04/13/21 | 1,859,728,300 | |||||||||||
1,503,600,000 | 0.117 | 04/15/21 | 1,502,951,571 | |||||||||||
850,000,000 | 0.101 | 04/20/21 | 849,669,443 | |||||||||||
1,001,300,000 | 0.117 | 04/22/21 | 1,000,845,798 | |||||||||||
484,400,000 | 0.112 | 04/29/21 | 484,179,463 | |||||||||||
|
| |||||||||||||
U.S. Treasury Obligations – (continued) | ||||||||||||||
United States Treasury Bills – (continued) | ||||||||||||||
1,339,011,000 | 0.091 | %(b) | 05/04/21 | 1,338,495,481 | ||||||||||
2,848,800,000 | 0.112 | 05/06/21 | 2,847,442,075 | |||||||||||
2,799,050,000 | 0.112 | 05/13/21 | 2,797,655,920 | |||||||||||
2,367,400,000 | 0.101 | 05/20/21 | 2,366,282,051 | |||||||||||
1,400,000,000 | 0.090 | 05/27/21 | 1,399,380,500 | |||||||||||
2,324,300,000 | 0.091 | (b) | 06/03/21 | 2,323,242,444 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill | | ||||||||||||
19,600,000 | 0.224 | (a) | 04/30/21 | 19,594,303 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill | | ||||||||||||
8,050,000 | 0.239 | (a) | 01/31/22 | 8,050,000 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill | | ||||||||||||
28,640,000 | 0.305 | (a) | 07/31/21 | 28,626,757 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill | | ||||||||||||
15,700,000 | 0.385 | (a) | 10/31/21 | 15,707,105 | ||||||||||
United States Treasury Notes | ||||||||||||||
229,700,000 | 1.875 | 12/15/20 | 229,805,347 | |||||||||||
378,800,000 | 2.500 | 12/31/20 | 379,215,982 | |||||||||||
79,000,000 | 1.375 | 01/31/21 | 79,000,226 | |||||||||||
29,200,000 | 2.125 | 01/31/21 | 29,270,416 | |||||||||||
117,700,000 | 2.250 | 02/15/21 | 118,033,439 | |||||||||||
117,700,000 | 3.625 | 02/15/21 | 118,366,595 | |||||||||||
771,900,000 | 2.500 | 02/28/21 | 774,007,353 | |||||||||||
247,500,000 | 2.375 | 03/15/21 | 248,198,641 | |||||||||||
16,100,000 | 2.250 | 03/31/21 | 16,200,372 | |||||||||||
3,000,000 | 2.375 | 04/15/21 | 3,022,464 | |||||||||||
|
| |||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS | | $ | 90,527,345,407 | ||||||||||
|
| |||||||||||||
| TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENTS | | $ | 118,245,750,181 | ||||||||||
|
| |||||||||||||
Repurchase Agreements(c) – 32.5% | ||||||||||||||
Banco Santander, S.A. | ||||||||||||||
$ | 400,000,000 | 0.060 | % | 12/01/20 | $ | 400,000,000 | ||||||||
Maturity Value: $400,000,667 | ||||||||||||||
| Collateralized by a U.S. Treasury Inflation-Indexed Note, | | ||||||||||||
1,100,000,000 | 0.060 | 12/01/20 | 1,100,000,000 | |||||||||||
Maturity Value: $1,100,001,833 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp., 2.500% to | | ||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 13 |
FINANCIAL SQUARE GOVERNMENT FUND
Schedule of Investments (continued)
November 30, 2020
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
Repurchase Agreements(c) – (continued) | ||||||||||||||
Banco Santander, S.A. – (continued) | ||||||||||||||
$ | 800,000,000 | 0.090 | % | 12/01/20 | $ | 800,000,000 | ||||||||
Maturity Value: $800,002,000 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp., 3.500% to | | ||||||||||||
|
| |||||||||||||
Bank of Montreal | ||||||||||||||
100,000,000 | 0.100 | 12/01/20 | 100,000,000 | |||||||||||
Maturity Value: $100,000,278 | ||||||||||||||
| Collateralized by Federal National Mortgage Association, 2.000% | | ||||||||||||
317,500,000 | 0.110 | (d) | 12/07/20 | 317,500,000 | ||||||||||
Maturity Value: $317,589,254 | ||||||||||||||
Settlement Date: 11/18/20 | ||||||||||||||
| Collateralized by U.S. Treasury Notes, 0.125% to 2.875%, due | | ||||||||||||
142,000,000 | 0.120 | (d) | 12/07/20 | 142,000,000 | ||||||||||
Maturity Value: $142,085,199 | ||||||||||||||
Settlement Date: 11/12/20 | ||||||||||||||
| Collateralized by Federal National Mortgage Association, 2.000% | | ||||||||||||
410,500,000 | 0.120 | (d) | 12/07/20 | 410,500,000 | ||||||||||
Maturity Value: $410,580,731 | ||||||||||||||
Settlement Date: 11/09/20 | ||||||||||||||
| Collateralized by U.S. Treasury Notes, 0.125% to 1.750%, due | | ||||||||||||
422,000,000 | 0.130 | (d) | 12/07/20 | 422,000,000 | ||||||||||
Maturity Value: $422,277,347 | ||||||||||||||
Settlement Date: 11/02/20 | ||||||||||||||
| Collateralized by U.S. Treasury Notes, 1.750% to 2.875%, due | | ||||||||||||
99,000,000 | 0.140 | (d) | 12/07/20 | 99,000,000 | ||||||||||
Maturity Value: $99,068,530 | ||||||||||||||
Settlement Date: 09/14/20 | ||||||||||||||
| Collateralized by Federal National Mortgage Association, 2.000% | | ||||||||||||
|
| |||||||||||||
Repurchase Agreements(c) – (continued) | ||||||||||||||
Bank of Montreal – (continued) | ||||||||||||||
BMO Capital Markets Corp. | ||||||||||||||
284,000,000 | 0.120 | %(d) | 12/07/20 | 284,000,000 | ||||||||||
Maturity Value: $284,170,398 | ||||||||||||||
Settlement Date: 11/12/20 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp., 1.500% to | | ||||||||||||
|
| |||||||||||||
BNP Paribas | ||||||||||||||
181,300,000 | 0.100 | 12/01/20 | 181,300,000 | |||||||||||
Maturity Value: $181,300,504 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp. Stripped | | ||||||||||||
1,990,000,000 | 0.110 | (d) | 12/01/20 | 1,990,000,000 | ||||||||||
Maturity Value: $1,990,553,339 | ||||||||||||||
Settlement Date: 09/01/20 | ||||||||||||||
| Collateralized by U.S. Treasury Bills, 0.000%, due 03/25/21 to | | ||||||||||||
1,555,000,000 | 0.100 | (d)(e) | 12/07/20 | 1,555,000,000 | ||||||||||
Maturity Value: $1,555,211,653 | ||||||||||||||
Settlement Date: 12/01/20 | ||||||||||||||
450,000,000 | 0.110 | (d) | 12/07/20 | 450,000,000 | ||||||||||
Maturity Value: $450,125,127 | ||||||||||||||
Settlement Date: 10/16/20 | ||||||||||||||
| Collateralized by a U.S. Treasury Bond, 8.125%, due 05/15/21, | | ||||||||||||
|
|
14 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE GOVERNMENT FUND
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
Repurchase Agreements(c) – (continued) | ||||||||||||||
BNP Paribas – (continued) | ||||||||||||||
$ | 450,000,000 | 0.110 | %(d) | 12/07/20 | $ | 450,000,000 | ||||||||
Maturity Value: $450,126,502 | ||||||||||||||
Settlement Date: 10/19/20 | ||||||||||||||
| Collateralized by U.S. Treasury Bills, 0.000%, due 12/15/20 to | | ||||||||||||
450,000,000 | 0.110 | (d) | 12/07/20 | 450,000,000 | ||||||||||
Maturity Value: $450,209,003 | ||||||||||||||
Settlement Date: 10/28/20 | ||||||||||||||
| Collateralized by a U.S. Treasury Bill, 0.000%, due 10/07/21, | | ||||||||||||
990,000,000 | 0.110 | (d) | 12/07/20 | 990,000,000 | ||||||||||
Maturity Value: $990,275,279 | ||||||||||||||
Settlement Date: 10/09/20 | ||||||||||||||
| Collateralized by U.S. Treasury Bonds, 5.250% to 8.125%, due | | ||||||||||||
1,350,000,000 | 0.110 | (d) | 12/07/20 | 1,350,000,000 | ||||||||||
Maturity Value: $1,350,750,761 | ||||||||||||||
Settlement Date: 10/27/20 | ||||||||||||||
| Collateralized by U.S. Treasury Bills, 0.000%, due 01/07/21 to | | ||||||||||||
|
| |||||||||||||
Repurchase Agreements(c) – (continued) | ||||||||||||||
BNP Paribas – (continued) | ||||||||||||||
1,980,000,000 | 0.120 | %(d) | 12/07/20 | 1,980,000,000 | ||||||||||
Maturity Value: $1,980,600,594 | ||||||||||||||
Settlement Date: 10/09/20 | ||||||||||||||
| Collateralized by Federal Farm Credit Bank, 3.980%, due | | ||||||||||||
990,000,000 | 0.110 | (d) | 12/07/20 | 990,000,000 | ||||||||||
Maturity Value: $990,278,304 | ||||||||||||||
Settlement Date: 10/19/20 | ||||||||||||||
| Collateralized by Federal Farm Credit Bank, 3.980%, due | | ||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 15 |
FINANCIAL SQUARE GOVERNMENT FUND
Schedule of Investments (continued)
November 30, 2020
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
Repurchase Agreements(c) – (continued) | ||||||||||||||
BNP Paribas – (continued) | ||||||||||||||
$ | 495,000,000 | 0.110 | %(d) | 12/07/20 | $ | 495,000,000 | ||||||||
Maturity Value: $495,137,640 | ||||||||||||||
Settlement Date: 10/23/20 | ||||||||||||||
| Collateralized by Federal Home Loan Bank, 4.125%, due | | ||||||||||||
350,000,000 | 0.130 | 05/18/21 | 350,000,000 | |||||||||||
Maturity Value: $350,227,500 | ||||||||||||||
Settlement Date: 11/19/20 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp., 0.375%, | | ||||||||||||
|
| |||||||||||||
BNP Paribas (Overnight MBS + 0.02%) | ||||||||||||||
550,000,000 | 0.120 | (a)(d) | 12/01/20 | 550,000,000 | ||||||||||
Maturity Value: $553,211,968 | ||||||||||||||
Settlement Date: 02/23/16 | ||||||||||||||
| Collateralized by Federal Farm Credit Bank, 3.540%, due | | ||||||||||||
|
| |||||||||||||
Repurchase Agreements(c) – (continued) | ||||||||||||||
BNP Paribas (Overnight MBS + 0.02%) – (continued) | ||||||||||||||
500,000,000 | 0.120 | %(a)(d) | 12/01/20 | 500,000,000 | ||||||||||
Maturity Value: $502,931,637 | ||||||||||||||
Settlement Date: 02/23/16 | ||||||||||||||
| Collateralized by Federal Farm Credit Bank, 2.990% to 3.980%, | | ||||||||||||
|
| |||||||||||||
BofA Securities, Inc. | ||||||||||||||
400,000,000 | 0.030 | 12/01/20 | 400,000,000 | |||||||||||
Maturity Value: $400,000,333 | ||||||||||||||
| Collateralized by a U.S. Treasury Note, 0.125%, due 11/30/22. | | ||||||||||||
978,500,000 | 0.100 | 12/01/20 | 978,500,000 | |||||||||||
Maturity Value: $978,502,718 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp., 1.500% to | | ||||||||||||
900,000,000 | 0.130 | 12/07/20 | 900,000,000 | |||||||||||
Maturity Value: $900,201,500 | ||||||||||||||
Settlement Date: 10/06/20 | ||||||||||||||
| Collateralized by U.S. Treasury Bonds, 5.500% to 7.625%, due | | ||||||||||||
|
| |||||||||||||
Canadian Imperial Bank of Commerce | ||||||||||||||
495,000,000 | 0.110 | (d) | 12/07/20 | 495,000,000 | ||||||||||
Maturity Value: $495,090,751 | ||||||||||||||
Settlement Date: 11/06/20 | ||||||||||||||
| Collateralized by a U.S. Treasury Bond, 2.875%, due 08/15/45, a | | ||||||||||||
|
|
16 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE GOVERNMENT FUND
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
Repurchase Agreements(c) – (continued) | ||||||||||||||
Canadian Imperial Bank of Commerce – (continued) | ||||||||||||||
$ | 248,000,000 | 0.120 | %(d) | 12/07/20 | $ | 248,000,000 | ||||||||
Maturity Value: $248,074,399 | ||||||||||||||
Settlement Date: 10/14/20 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp., 3.000% to | | ||||||||||||
99,000,000 | 0.110 | (d) | 12/07/20 | 99,000,000 | ||||||||||
Maturity Value: $99,027,225 | ||||||||||||||
Settlement Date: 10/21/20 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp., 3.500%, | | ||||||||||||
148,000,000 | 0.110 | (d) | 12/07/20 | 148,000,000 | ||||||||||
Maturity Value: $148,040,701 | ||||||||||||||
Settlement Date: 10/21/20 | ||||||||||||||
| Collateralized by Federal National Mortgage Association, 3.000% | | ||||||||||||
149,000,000 | 0.110 | (d) | 12/07/20 | 149,000,000 | ||||||||||
Maturity Value: $149,071,024 | ||||||||||||||
Settlement Date: 10/28/20 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp., 3.000%, | | ||||||||||||
995,000,000 | 0.110 | (d) | 12/07/20 | 995,000,000 | ||||||||||
Maturity Value: $995,474,290 | ||||||||||||||
Settlement Date: 10/28/20 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp., 3.500% to | | ||||||||||||
|
| |||||||||||||
Repurchase Agreements(c) – (continued) | ||||||||||||||
Citigroup Global Markets Inc. | ||||||||||||||
$ | 1,718,500,000 | 0.100 | % | 12/01/20 | $ | 1,718,500,000 | ||||||||
Maturity Value: $1,718,504,774 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp., 2.000% to | | ||||||||||||
|
| |||||||||||||
Citigroup Global Markets, Inc. (Overnight MBS + 0.01%) | ||||||||||||||
1,000,000,000 | 0.110 | (a) | 12/07/20 | 1,000,000,000 | ||||||||||
Maturity Value: $1,002,346,701 | ||||||||||||||
Settlement Date: 11/01/18 | ||||||||||||||
| Collateralized by Federal Farm Credit Bank, 0.140% to 3.120%, | | ||||||||||||
|
| |||||||||||||
Credit Agricole Corporate and Investment Bank | ||||||||||||||
150,000,000 | 0.030 | 12/01/20 | 150,000,000 | |||||||||||
Maturity Value: $150,000,125 | ||||||||||||||
| Collateralized by U.S. Treasury Bonds, 1.125% to 3.625%, due | | ||||||||||||
|
| |||||||||||||
Daiwa Capital Markets America Inc. | ||||||||||||||
50,612,745 | 0.100 | 12/01/20 | 50,612,745 | |||||||||||
Maturity Value: $50,612,886 | ||||||||||||||
| Collateralized by a U.S. Treasury Note, 1.250%, due 07/31/23. | | ||||||||||||
61,044,730 | 0.100 | 12/01/20 | 61,044,730 | |||||||||||
Maturity Value: $61,044,900 | ||||||||||||||
| Collateralized by a U.S. Treasury Note, 0.250%, due 06/30/25. | | ||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 17 |
FINANCIAL SQUARE GOVERNMENT FUND
Schedule of Investments (continued)
November 30, 2020
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
Repurchase Agreements(c) – (continued) | ||||||||||||||
Daiwa Capital Markets America Inc. – (continued) | ||||||||||||||
$ | 76,194,852 | 0.100 | % | 12/01/20 | $ | 76,194,852 | ||||||||
Maturity Value: $76,195,064 | ||||||||||||||
| Collateralized by a U.S. Treasury Note, 1.625%, due 12/15/22. | | ||||||||||||
84,787,842 | 0.100 | 12/01/20 | 84,787,842 | |||||||||||
Maturity Value: $84,788,078 | ||||||||||||||
| Collateralized by a U.S. Treasury Note, 2.875%, due 08/15/28. | | ||||||||||||
103,033,088 | 0.100 | 12/01/20 | 103,033,088 | |||||||||||
Maturity Value: $103,033,374 | ||||||||||||||
| Collateralized by a U.S. Treasury Note, 2.375%, due 04/30/26. | | ||||||||||||
103,676,470 | 0.100 | 12/01/20 | 103,676,470 | |||||||||||
Maturity Value: $103,676,758 | ||||||||||||||
| Collateralized by a U.S. Treasury Note, 2.500%, due 03/31/23. | | ||||||||||||
121,573,405 | 0.100 | 12/01/20 | 121,573,405 | |||||||||||
Maturity Value: $121,573,743 | ||||||||||||||
| Collateralized by a U.S. Treasury Note, 1.750%, due 12/31/24. | | ||||||||||||
127,132,351 | 0.100 | 12/01/20 | 127,132,351 | |||||||||||
Maturity Value: $127,132,704 | ||||||||||||||
| Collateralized by a U.S. Treasury Note, 0.500%, due 06/30/27. | | ||||||||||||
131,691,174 | 0.100 | 12/01/20 | 131,691,174 | |||||||||||
Maturity Value: $131,691,540 | ||||||||||||||
| Collateralized by a U.S. Treasury Note, 0.500%, due 05/31/27. | | ||||||||||||
134,577,391 | 0.100 | 12/01/20 | 134,577,391 | |||||||||||
Maturity Value: $134,577,765 | ||||||||||||||
| Collateralized by a U.S. Treasury Note, 1.750%, due 07/31/24. | | ||||||||||||
163,005,880 | 0.100 | 12/01/20 | 163,005,880 | |||||||||||
Maturity Value: $163,006,333 | ||||||||||||||
| Collateralized by a U.S. Treasury Note, 2.875%, due 09/30/23. | | ||||||||||||
165,038,049 | 0.100 | 12/01/20 | 165,038,049 | |||||||||||
Maturity Value: $165,038,507 | ||||||||||||||
| Collateralized by a U.S. Treasury Note, 1.125%, due 02/28/25. | | ||||||||||||
179,619,484 | 0.100 | 12/01/20 | 179,619,484 | |||||||||||
Maturity Value: $179,619,983 | ||||||||||||||
| Collateralized by a U.S. Treasury Note, 2.875%, due 05/31/25. | | ||||||||||||
|
| |||||||||||||
Repurchase Agreements(c) – (continued) | ||||||||||||||
Daiwa Capital Markets America Inc. – (continued) | ||||||||||||||
185,241,599 | 0.100 | 12/01/20 | 185,241,599 | |||||||||||
Maturity Value: $185,242,114 | ||||||||||||||
| Collateralized by a U.S. Treasury Bond, 1.625%, due 09/30/26. | | ||||||||||||
210,496,837 | 0.100 | 12/01/20 | 210,496,837 | |||||||||||
Maturity Value: $210,497,422 | ||||||||||||||
| Collateralized by a U.S. Treasury Note, 2.875%, due 05/15/28. | | ||||||||||||
243,851,205 | 0.100 | 12/01/20 | 243,851,205 | |||||||||||
Maturity Value: $243,851,882 | ||||||||||||||
| Collateralized by a U.S. Treasury Note, 2.750%, due 02/15/28. | | ||||||||||||
244,445,745 | 0.100 | 12/01/20 | 244,445,745 | |||||||||||
Maturity Value: $244,446,424 | ||||||||||||||
| Collateralized by a U.S. Treasury Note, 0.625%, due 03/31/27. | | ||||||||||||
259,271,274 | 0.100 | 12/01/20 | 259,271,274 | |||||||||||
Maturity Value: $259,271,994 | ||||||||||||||
| Collateralized by a U.S. Treasury Floating Rate Note, 0.140%, | | ||||||||||||
354,705,879 | 0.100 | 12/01/20 | 354,705,879 | |||||||||||
Maturity Value: $354,706,864 | ||||||||||||||
| Collateralized by a U.S. Treasury Note, 2.125%, due 05/15/25. | | ||||||||||||
|
| |||||||||||||
Fixed Income Clearing Corp. | ||||||||||||||
1,000,000,000 | 0.080 | 12/01/20 | 1,000,000,000 | |||||||||||
Maturity Value: $1,000,002,222 | ||||||||||||||
| Collateralized by U.S. Treasury Bonds, 2.250% to 3.375%, due | | ||||||||||||
2,600,000,000 | 0.090 | 12/01/20 | 2,600,000,000 | |||||||||||
Maturity Value: $2,600,006,500 | ||||||||||||||
| Collateralized by U.S. Treasury Bonds, 2.500% to 3.000%, due | | ||||||||||||
1,400,000,000 | 0.100 | 12/01/20 | 1,400,000,000 | |||||||||||
Maturity Value: $1,400,003,889 | ||||||||||||||
| Collateralized by a U.S. Treasury Bill, 0.000%, due 09/09/21 and | | ||||||||||||
|
|
18 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE GOVERNMENT FUND
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
Repurchase Agreements(c) – (continued) | ||||||||||||||
HSBC Bank PLC | ||||||||||||||
$ | 100,000,000 | 0.100 | % | 12/01/20 | $ | 100,000,000 | ||||||||
Maturity Value: $100,000,278 | ||||||||||||||
| Collateralized by Federal Farm Credit Bank, 1.990% to 3.980%, | | ||||||||||||
100,000,000 | 0.100 | 12/01/20 | 100,000,000 | |||||||||||
Maturity Value: $100,000,278 | ||||||||||||||
| Collateralized by a U.S. Treasury Bond, 2.750%, due 08/15/47 | | ||||||||||||
|
| |||||||||||||
HSBC Bank PLC (Overnight MBS + 0.01%) | ||||||||||||||
1,250,000,000 | 0.110 | (a) | 12/07/20 | 1,250,000,000 | ||||||||||
Maturity Value: $1,250,183,336 | ||||||||||||||
Settlement Date: 10/21/20 | ||||||||||||||
| Collateralized by Federal Farm Credit Bank, 1.850% to 4.350%, | | ||||||||||||
|
| |||||||||||||
HSBC Bank PLC (Overnight Treasury + 0.02%) | ||||||||||||||
400,000,000 | 0.120 | (a) | 12/07/20 | 400,000,000 | ||||||||||
Maturity Value: $400,687,993 | ||||||||||||||
Settlement Date: 07/11/19 | ||||||||||||||
| Collateralized by U.S. Treasury Bonds, 1.000% to 4.375%, due | | ||||||||||||
|
| |||||||||||||
Repurchase Agreements(c) – (continued) | ||||||||||||||
HSBC Bank PLC (Overnight Treasury + 0.02%) – (continued) | ||||||||||||||
1,025,000,000 | 0.120 | (a) | 12/07/20 | 1,025,000,000 | ||||||||||
Maturity Value: $1,026,889,398 | ||||||||||||||
Settlement Date: 06/04/19 | ||||||||||||||
| Collateralized by U.S. Treasury Bonds, 0.750% to 4.375%, due | | ||||||||||||
500,000,000 | 0.120 | (a) | 12/07/20 | 500,000,000 | ||||||||||
Maturity Value: $500,136,665 | ||||||||||||||
Settlement Date: 09/17/20 | ||||||||||||||
| Shared collateral consisting of U.S. Treasury Bonds, 0.250% to | | ||||||||||||
500,000,000 | 0.120 | (a) | 12/07/20 | 500,000,000 | ||||||||||
Maturity Value: $500,128,332 | ||||||||||||||
Settlement Date: 09/22/20 | ||||||||||||||
| Shared collateral consisting of U.S. Treasury Bonds, 0.250% to | | ||||||||||||
500,000,000 | 0.120 | (a) | 12/07/20 | 500,000,000 | ||||||||||
Maturity Value: $500,106,666 | ||||||||||||||
Settlement Date: 10/05/20 | ||||||||||||||
| Shared collateral consisting of U.S. Treasury Bonds, 0.250% to | | ||||||||||||
|
| |||||||||||||
ING Financial Markets LLC | ||||||||||||||
150,000,000 | 0.130 | 01/14/21 | 150,000,000 | |||||||||||
Maturity Value: $150,035,208 | ||||||||||||||
Settlement Date: 11/10/20 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp., 3.013% to | | ||||||||||||
300,000,000 | 0.130 | 01/14/21 | 300,000,000 | |||||||||||
Maturity Value: $300,083,417 | ||||||||||||||
Settlement Date: 10/29/20 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp., 2.500% to | | ||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 19 |
FINANCIAL SQUARE GOVERNMENT FUND
Schedule of Investments (continued)
November 30, 2020
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
Repurchase Agreements(c) – (continued) | ||||||||||||||
J.P. Morgan Securities LLC | ||||||||||||||
$ | 700,000,000 | 0.100 | % | 12/01/20 | $ | 700,000,000 | ||||||||
Maturity Value: $700,001,944 | ||||||||||||||
| Collateralized by Federal Farm Credit Bank, 0.715% to 6.180%, | | ||||||||||||
|
| |||||||||||||
Joint Account I | ||||||||||||||
1,000,000,000 | 0.080 | 12/01/20 | 1,000,000,000 | |||||||||||
Maturity Value: $1,000,002,208 | ||||||||||||||
|
| |||||||||||||
Joint Account III | ||||||||||||||
1,605,900,000 | 0.100 | 12/01/20 | 1,605,900,000 | |||||||||||
Maturity Value: $1,605,904,461 | ||||||||||||||
|
| |||||||||||||
Mizuho Securities USA LLC | ||||||||||||||
100,000,000 | 0.090 | 12/01/20 | 100,000,000 | |||||||||||
Maturity Value: $100,000,250 | ||||||||||||||
| Collateralized by U.S. Treasury Notes, 0.125% to 2.875%, due | | ||||||||||||
|
| |||||||||||||
Morgan Stanley & Co. LLC | ||||||||||||||
200,000,000 | 0.100 | 12/01/20 | 200,000,000 | |||||||||||
Maturity Value: $200,000,556 | ||||||||||||||
| Collateralized by Federal Home Loan Bank, 0.000%, due | | ||||||||||||
|
| |||||||||||||
MUFG Securities Americas Inc. | ||||||||||||||
8,000,000 | 0.080 | 12/01/20 | 8,000,000 | |||||||||||
Maturity Value: $8,000,018 | ||||||||||||||
| Collateralized by a U.S. Treasury Interest-Only Stripped Security, | | ||||||||||||
750,000,000 | 0.100 | 12/01/20 | 750,000,000 | |||||||||||
Maturity Value: $750,002,083 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp., 2.000% to | | ||||||||||||
|
| |||||||||||||
Repurchase Agreements(c) – (continued) | ||||||||||||||
MUFG Securities Americas Inc. – (continued) | ||||||||||||||
250,000,000 | 0.130 | 12/18/20 | 250,000,000 | |||||||||||
Maturity Value: $250,050,556 | ||||||||||||||
Settlement Date: 10/23/20 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp., 2.000% to | | ||||||||||||
400,000,000 | 0.120 | 01/05/21 | 400,000,000 | |||||||||||
Maturity Value: $400,081,333 | ||||||||||||||
Settlement Date: 11/05/20 | ||||||||||||||
| Collateralized by U.S. Treasury Bills, 0.000%, due 12/03/20 to | | ||||||||||||
250,000,000 | 0.140 | 01/14/21 | 250,000,000 | |||||||||||
Maturity Value: $250,070,000 | ||||||||||||||
Settlement Date: 11/03/20 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp., 2.000% to | | ||||||||||||
500,000,000 | 0.135 | 01/27/21 | 500,000,000 | |||||||||||
Maturity Value: $500,170,625 | ||||||||||||||
Settlement Date: 10/28/20 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp., 1.500% to | | ||||||||||||
250,000,000 | 0.120 | 03/15/21 | 250,000,000 | |||||||||||
Maturity Value: $250,087,500 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp., 2.000% to | | ||||||||||||
|
| |||||||||||||
MUFG Securities Americas Inc. (Overnight MBS + 0.08%) | ||||||||||||||
250,000,000 | 0.180 | (a) | 01/04/21 | 250,000,000 | ||||||||||
Maturity Value: $250,961,250 | ||||||||||||||
Settlement Date: 11/28/18 | ||||||||||||||
| Shared collateral consisting of Federal Home Loan Mortgage | | ||||||||||||
|
|
20 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE GOVERNMENT FUND
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
Repurchase Agreements(c) – (continued) | ||||||||||||||
| MUFG Securities Americas Inc. (Overnight MBS + 0.08%) – | |||||||||||||
$ | 250,000,000 | 0.180 | % (a) | 01/04/21 | $ | 250,000,000 | ||||||||
Maturity Value: $250,801,250 | ||||||||||||||
Settlement Date: 04/05/19 | ||||||||||||||
| Shared collateral consisting of Federal Home Loan Mortgage | | ||||||||||||
|
| |||||||||||||
MUFG Securities Americas Inc. (Overnight Treasury + 0.03%) | ||||||||||||||
450,000,000 | 0.110 | (a) | 12/07/20 | 450,000,000 | ||||||||||
Maturity Value: $450,067,376 | ||||||||||||||
Settlement Date: 10/20/20 | ||||||||||||||
| Collateralized by U.S. Treasury Inflation-Indexed Bonds, 1.375% | | ||||||||||||
|
| |||||||||||||
MUFG Securities Americas Inc. (SOFR + 0.04%) | ||||||||||||||
250,000,000 | 0.120 | (a) | 01/04/21 | 250,000,000 | ||||||||||
Maturity Value: $250,041,666 | ||||||||||||||
Settlement Date: 11/16/20 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp., 2.000% to | | ||||||||||||
|
| |||||||||||||
Nomura Securities International, Inc. | ||||||||||||||
1,500,000,000 | 0.100 | 12/01/20 | 1,500,000,000 | |||||||||||
Maturity Value: $1,500,004,167 | ||||||||||||||
| Collateralized by Federal Farm Credit Bank, 3.460% to 3.470%, | | ||||||||||||
|
| |||||||||||||
Repurchase Agreements(c) – (continued) | ||||||||||||||
Norinchukin Bank (The) | ||||||||||||||
650,000,000 | 0.110 | 12/16/20 | 650,000,000 | |||||||||||
Maturity Value: $650,043,694 | ||||||||||||||
Settlement Date: 11/24/20 | ||||||||||||||
| Collateralized by a U.S. Treasury Bond, 6.125%, due 08/15/29, | | ||||||||||||
|
| |||||||||||||
Northwestern Mutual Life Insurance Company | ||||||||||||||
513,750,000 | 0.100 | 12/01/20 | 513,750,000 | |||||||||||
Maturity Value: $513,751,427 | ||||||||||||||
| Collateralized by a U.S. Treasury Bond, 6.375%, due 08/15/27. | | ||||||||||||
|
| |||||||||||||
Prudential Insurance Company of America (The) | ||||||||||||||
4,858,750 | 0.100 | 12/01/20 | 4,858,750 | |||||||||||
Maturity Value: $4,858,763 | ||||||||||||||
| Collateralized by a U.S. Treasury Interest-Only Stripped Security, | | ||||||||||||
6,375,500 | 0.100 | 12/01/20 | 6,375,500 | |||||||||||
Maturity Value: $6,375,518 | ||||||||||||||
| Collateralized by a U.S. Treasury Interest-Only Stripped Security, | | ||||||||||||
7,050,000 | 0.100 | 12/01/20 | 7,050,000 | |||||||||||
Maturity Value: $7,050,020 | ||||||||||||||
| Collateralized by a U.S. Treasury Interest-Only Stripped Security, | | ||||||||||||
8,572,500 | 0.100 | 12/01/20 | 8,572,500 | |||||||||||
Maturity Value: $8,572,524 | ||||||||||||||
| Collateralized by a U.S. Treasury Interest-Only Stripped Security, | | ||||||||||||
10,783,500 | 0.100 | 12/01/20 | 10,783,500 | |||||||||||
Maturity Value: $10,783,530 | ||||||||||||||
| Collateralized by a U.S. Treasury Bond, 6.625%, due 02/15/27. | | ||||||||||||
11,156,250 | 0.100 | 12/01/20 | 11,156,250 | |||||||||||
Maturity Value: $11,156,281 | ||||||||||||||
| Collateralized by a U.S. Treasury Interest-Only Stripped Security, | | ||||||||||||
15,090,000 | 0.100 | 12/01/20 | 15,090,000 | |||||||||||
Maturity Value: $15,090,042 | ||||||||||||||
| Collateralized by a U.S. Treasury Bond, 2.875%, due 05/15/43. | | ||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 21 |
FINANCIAL SQUARE GOVERNMENT FUND
Schedule of Investments (continued)
November 30, 2020
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
Repurchase Agreements(c) – (continued) | ||||||||||||||
Prudential Insurance Company of America (The) – (continued) | ||||||||||||||
$ | 18,218,750 | 0.100 | % | 12/01/20 | $ | 18,218,750 | ||||||||
Maturity Value: $18,218,801 | ||||||||||||||
| Collateralized by a U.S. Treasury Bond, 0.000%, due 02/15/41. | | ||||||||||||
21,031,250 | 0.100 | 12/01/20 | 21,031,250 | |||||||||||
Maturity Value: $21,031,308 | ||||||||||||||
| Collateralized by a U.S. Treasury Interest-Only Stripped Security, | | ||||||||||||
21,406,250 | 0.100 | 12/01/20 | 21,406,250 | |||||||||||
Maturity Value: $21,406,309 | ||||||||||||||
| Collateralized by a U.S. Treasury Interest-Only Stripped Security, | | ||||||||||||
22,823,750 | 0.100 | 12/01/20 | 22,823,750 | |||||||||||
Maturity Value: $22,823,813 | ||||||||||||||
| Collateralized by a U.S. Treasury Principal-Only Stripped | | ||||||||||||
25,155,000 | 0.100 | 12/01/20 | 25,155,000 | |||||||||||
Maturity Value: $25,155,070 | ||||||||||||||
| Collateralized by a U.S. Treasury Bond, 0.000%, due 08/15/43. | | ||||||||||||
25,286,250 | 0.100 | 12/01/20 | 25,286,250 | |||||||||||
Maturity Value: $25,286,320 | ||||||||||||||
| Collateralized by a U.S. Treasury Interest-Only Stripped Security, | | ||||||||||||
26,220,000 | 0.100 | 12/01/20 | 26,220,000 | |||||||||||
Maturity Value: $26,220,073 | ||||||||||||||
| Collateralized by a U.S. Treasury Principal-Only Stripped | | ||||||||||||
27,125,000 | 0.100 | 12/01/20 | 27,125,000 | |||||||||||
Maturity Value: $27,125,075 | ||||||||||||||
| Collateralized by a U.S. Treasury Bond, 0.000%, due 08/15/39. | | ||||||||||||
31,255,000 | 0.100 | 12/01/20 | 31,255,000 | |||||||||||
Maturity Value: $31,255,087 | ||||||||||||||
| Collateralized by a U.S. Treasury Bond, 0.000%, due 02/15/35. | | ||||||||||||
33,406,250 | 0.100 | 12/01/20 | 33,406,250 | |||||||||||
Maturity Value: $33,406,343 | ||||||||||||||
| Collateralized by a U.S. Treasury Bond, 3.125%, due 05/15/48. | | ||||||||||||
|
| |||||||||||||
Repurchase Agreements(c) – (continued) | ||||||||||||||
Prudential Insurance Company of America (The) – (continued) | ||||||||||||||
34,750,000 | 0.100 | 12/01/20 | 34,750,000 | |||||||||||
Maturity Value: $34,750,097 | ||||||||||||||
| Collateralized by a U.S. Treasury Principal-Only Stripped | | ||||||||||||
35,943,750 | 0.100 | 12/01/20 | 35,943,750 | |||||||||||
Maturity Value: $35,943,850 | ||||||||||||||
| Collateralized by a U.S. Treasury Interest-Only Stripped Security, | | ||||||||||||
56,418,750 | 0.100 | 12/01/20 | 56,418,750 | |||||||||||
Maturity Value: $56,418,907 | ||||||||||||||
| Collateralized by a U.S. Treasury Bond, 2.750%, due 08/15/47. | | ||||||||||||
60,281,250 | 0.100 | 12/01/20 | 60,281,250 | |||||||||||
Maturity Value: $60,281,417 | ||||||||||||||
| Collateralized by a U.S. Treasury Interest-Only Stripped Security, | | ||||||||||||
96,000,000 | 0.100 | 12/01/20 | 96,000,000 | |||||||||||
Maturity Value: $96,000,267 | ||||||||||||||
| Collateralized by a U.S. Treasury Bond, 0.000%, due 08/15/47. | | ||||||||||||
107,437,500 | 0.100 | 12/01/20 | 107,437,500 | |||||||||||
Maturity Value: $107,437,798 | ||||||||||||||
| Collateralized by a U.S. Treasury Interest-Only Stripped Security, | | ||||||||||||
127,125,000 | 0.100 | 12/01/20 | 127,125,000 | |||||||||||
Maturity Value: $127,125,353 | ||||||||||||||
| Collateralized by a U.S. Treasury Bond, 2.875%, due 08/15/45. | | ||||||||||||
141,562,500 | 0.100 | 12/01/20 | 141,562,500 | |||||||||||
Maturity Value: $141,562,893 | ||||||||||||||
| Collateralized by a U.S. Treasury Principal-Only Stripped | | ||||||||||||
153,671,250 | 0.100 | 12/01/20 | 153,671,250 | |||||||||||
Maturity Value: $153,671,677 | ||||||||||||||
| Collateralized by a U.S. Treasury Bond, 2.500%, due 02/15/45. | | ||||||||||||
|
| |||||||||||||
Royal Bank of Canada | ||||||||||||||
2,350,000,000 | 0.110 | (d) | 12/07/20 | 2,350,000,000 | ||||||||||
Maturity Value: $2,350,402,117 | ||||||||||||||
Settlement Date: 11/19/20 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp., 2.000% to | | ||||||||||||
|
|
22 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE GOVERNMENT FUND
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
Repurchase Agreements(c) – (continued) | ||||||||||||||
Royal Bank of Canada – (continued) | ||||||||||||||
$ 2,480,000,000 | 0.100 | % (d) | 12/07/20 | $ | 2,480,000,000 | |||||||||
Maturity Value: $2,480,192,890 | ||||||||||||||
Settlement Date: 11/16/20 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp., 2.000% to | | ||||||||||||
992,000,000 | 0.100 | (d) | 12/07/20 | 992,000,000 | ||||||||||
Maturity Value: $992,077,156 | ||||||||||||||
Settlement Date: 11/17/20 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp., 2.000% to | | ||||||||||||
|
| |||||||||||||
Sumitomo Mitsui Banking Corp. | ||||||||||||||
1,000,000,000 | 0.100 | 12/01/20 | 1,000,000,000 | |||||||||||
Maturity Value: $1,000,002,778 | ||||||||||||||
| Collateralized by U.S. Treasury Notes, 0.500% to 1.375%, due | | ||||||||||||
|
| |||||||||||||
Wells Fargo Securities, LLC | ||||||||||||||
350,000,000 | 0.020 | 12/01/20 | 350,000,000 | |||||||||||
Maturity Value: $350,000,194 | ||||||||||||||
| Collateralized by U.S. Treasury Bonds, 1.375% to 4.500%, due | | ||||||||||||
|
| |||||||||||||
TOTAL REPURCHASE AGREEMENTS | $ | 54,640,954,000 | ||||||||||||
|
| |||||||||||||
TOTAL INVESTMENTS – 102.9% | $ | 172,886,704,181 | ||||||||||||
|
| |||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (2.9)% | | (4,806,441,021 | ) | ||||||||||
|
| |||||||||||||
NET ASSETS – 100.0% | $ | 168,080,263,160 | ||||||||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | Variable or floating rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on November 30, 2020. | |
(b) | All or a portion represents a forward commitment. | |
(c) | Unless noted, all repurchase agreements were entered into on November 30, 2020. Additional information on Joint Repurchase Agreement Account I and III appears in the Additional Investment Information section. | |
(d) | The instrument is subject to a demand feature. | |
(e) | All or a portion represents a forward commitment. Forward settling repurchase agreements will be collateralized at settlement. |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities, the date of the next interest rate reset for variable rate securities, or the prerefunded date for those types of securities.
| ||
Investment Abbreviations: | ||
FEDL01 | —US Federal Funds Effective Rate | |
LIBOR | —London Interbank Offered Rates | |
MMY | —Money Market Yield | |
Prime | —Federal Reserve Bank Prime Loan Rate US | |
SOFR | —Secured Overnight Financing Rate | |
T-Bill | —Treasury Bill | |
|
The accompanying notes are an integral part of these financial statements. | 23 |
FINANCIAL SQUARE MONEY MARKET FUND
Schedule of Investments
November 30, 2020
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Commercial Paper and Corporate Obligations – 18.0% | ||||||||||||||
Agricultural Bank of China Ltd. | ||||||||||||||
$ | 15,000,000 | 0.326 | % | 12/14/20 | $ | 14,998,950 | ||||||||
2,250,000 | 0.397 | 02/23/21 | 2,248,210 | |||||||||||
Albion Capital LLC | ||||||||||||||
20,000,000 | 0.132 | 12/04/20 | 19,999,740 | |||||||||||
9,572,000 | 0.234 | 02/16/21 | 9,567,935 | |||||||||||
19,100,000 | 0.254 | 02/22/21 | 19,091,176 | |||||||||||
Antalis S.A. | ||||||||||||||
11,000,000 | 0.224 | 02/09/21 | 10,996,095 | |||||||||||
11,965,000 | 0.234 | 02/16/21 | 11,960,334 | |||||||||||
Bank of China Ltd.-Hong Kong Branch | ||||||||||||||
17,792,000 | 0.275 | 12/03/20 | 17,791,792 | |||||||||||
Barton Capital S.A. | ||||||||||||||
11,000,000 | 0.214 | 01/26/21 | 10,996,726 | |||||||||||
9,456,000 | 0.214 | 02/08/21 | 9,452,451 | |||||||||||
Chariot Funding LLC | ||||||||||||||
46,000,000 | 0.173 | 12/18/20 | 45,996,550 | |||||||||||
CNPC Finance (HK) Ltd. | ||||||||||||||
25,000,000 | 0.437 | 12/01/20 | 24,999,908 | |||||||||||
Collateralized Commercial Paper Flex Co., LLC | ||||||||||||||
15,000,000 | 0.234 | 02/16/21 | 14,994,865 | |||||||||||
Collateralized Commercial Paper V Co., LLC | ||||||||||||||
18,000,000 | 0.203 | 02/08/21 | 17,994,750 | |||||||||||
Columbia Funding Company, LLC | ||||||||||||||
15,000,000 | 0.203 | 01/13/21 | 14,996,718 | |||||||||||
Fairway Finance Company, LLC | ||||||||||||||
20,000,000 | 0.214 | (a) | 02/23/21 | 19,989,375 | ||||||||||
First Abu Dhabi Bank P.J.S.C. | ||||||||||||||
13,902,000 | 0.234 | 02/09/21 | 13,897,421 | |||||||||||
Industrial & Commercial Bank of China Ltd.-New York Branch | ||||||||||||||
10,000,000 | 0.356 | 02/09/21 | 9,994,991 | |||||||||||
Ionic Capital II Trust | ||||||||||||||
18,413,000 | 0.244 | 02/19/21 | 18,401,648 | |||||||||||
39,540,000 | 0.315 | 02/26/21 | 39,513,034 | |||||||||||
J.P. Morgan Securities LLC | ||||||||||||||
50,000,000 | 0.173 | 12/01/20 | 49,999,861 | |||||||||||
20,000,000 | 0.173 | 12/09/20 | 19,999,500 | |||||||||||
Macquarie Bank Ltd. | ||||||||||||||
40,000,000 | 0.209 | 02/08/21 | 39,982,889 | |||||||||||
Manhattan Asset Funding Company LLC | ||||||||||||||
11,410,000 | 0.203 | 01/14/21 | 11,407,433 | |||||||||||
48,000,000 | 0.214 | 02/12/21 | 47,979,872 | |||||||||||
Metropolitan Life Global Funding I | ||||||||||||||
1,831,000 | 2.400 | (b) | 01/08/21 | 1,834,893 | ||||||||||
Mizuho Bank, Ltd.-Singapore Branch | ||||||||||||||
20,000,000 | 0.234 | 02/09/21 | 19,992,229 | |||||||||||
Nationwide Building Society | ||||||||||||||
35,000,000 | 0.183 | 12/22/20 | 34,996,428 | |||||||||||
Ridgefield Funding Company, LLC | ||||||||||||||
17,000,000 | 0.203 | 01/05/21 | 16,997,042 | |||||||||||
Sheffield Receivables Company LLC | ||||||||||||||
23,000,000 | 0.210 | 02/10/21 | 22,990,708 | |||||||||||
Sumitomo Mitsui Trust Bank, Ltd.-Singapore Branch | ||||||||||||||
25,000,000 | 0.244 | 02/10/21 | 24,991,200 | |||||||||||
Toronto-Dominion Bank (The) | ||||||||||||||
25,000,000 | 0.214 | 02/16/21 | 24,989,492 | |||||||||||
15,000,000 | 0.224 | 02/19/21 | 14,993,317 | |||||||||||
|
| |||||||||||||
Commercial Paper and Corporate Obligations – (continued) | ||||||||||||||
Victory Receivables Corp. | ||||||||||||||
22,202,000 | 0.214 | 02/12/21 | 22,192,918 | |||||||||||
25,000,000 | 0.233 | 03/01/21 | 24,986,160 | |||||||||||
|
| |||||||||||||
| TOTAL COMMERCIAL PAPER AND CORPORATE OBLIGATIONS | | ||||||||||||
(Cost $726,195,919) | $ | 726,216,611 | ||||||||||||
|
| |||||||||||||
Certificates of Deposit-Eurodollar – 1.1% | ||||||||||||||
Mizuho Bank, Ltd.-London Branch | ||||||||||||||
$ | 20,000,000 | 0.240 | % | 12/04/20 | $ | 19,999,555 | ||||||||
Sumitomo Mitsui Trust Bank, Ltd. | ||||||||||||||
24,000,000 | 0.255 | 02/12/21 | 23,988,856 | |||||||||||
|
| |||||||||||||
TOTAL CERTIFICATES OF DEPOSIT-EURODOLLAR | ||||||||||||||
(Cost $43,987,198) | $ | 43,988,411 | ||||||||||||
|
| |||||||||||||
Certificates of Deposit-Yankeedollar – 2.9% | ||||||||||||||
Landesbank Hessen-Thueringen Girozentrale | ||||||||||||||
$ | 19,582,000 | 0.150 | % | 12/17/20 | $ | 19,582,194 | ||||||||
National Bank of Kuwait S.A.K.P | ||||||||||||||
20,000,000 | 0.330 | 02/10/21 | 20,002,237 | |||||||||||
Norinchukin Bank (The) | ||||||||||||||
33,000,000 | 0.200 | 12/03/20 | 33,000,278 | |||||||||||
15,000,000 | 0.220 | 02/10/21 | 15,000,659 | |||||||||||
5,000,000 | 0.240 | 02/22/21 | 5,000,163 | |||||||||||
Sumitomo Mitsui Banking Corp. | ||||||||||||||
26,730,000 | 0.260 | 02/04/21 | 26,734,598 | |||||||||||
|
| |||||||||||||
TOTAL CERTIFICATES OF DEPOSIT-YANKEEDOLLAR | ||||||||||||||
(Cost $119,314,119) | $ | 119,320,129 | ||||||||||||
|
| |||||||||||||
Time Deposit – 8.2% | ||||||||||||||
Australia and New Zealand Banking Group Ltd. | ||||||||||||||
$ | 100,000,000 | 0.090 | % | 12/01/20 | $ | 100,000,138 | ||||||||
Canadian Imperial Bank of Commerce | ||||||||||||||
50,000,000 | 0.080 | 12/01/20 | 50,000,056 | |||||||||||
Credit Industriel et Commercial | ||||||||||||||
100,000,000 | 0.100 | 12/01/20 | 100,000,166 | |||||||||||
DNB Bank ASA | ||||||||||||||
34,000,000 | 0.080 | 12/01/20 | 34,000,000 | |||||||||||
Royal Bank of Canada | ||||||||||||||
50,000,000 | 0.090 | 12/01/20 | 50,000,069 | |||||||||||
|
| |||||||||||||
TOTAL TIME DEPOSIT | ||||||||||||||
(Cost $334,000,000) | $ | 334,000,429 | ||||||||||||
|
| |||||||||||||
U.S. Government Agency Obligations – 0.5% | ||||||||||||||
| U.S. International Development Finance Corp. (3 Mo. U.S. | | ||||||||||||
$ | 10,500,000 | 0.130 | %(c) | 12/07/20 | $ | 10,500,000 | ||||||||
10,000,000 | 0.140 | (c) | 12/07/20 | 10,000,000 | ||||||||||
|
| |||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | ||||||||||||||
(Cost $20,500,000) | $ | 20,500,000 | ||||||||||||
|
|
24 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE MONEY MARKET FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
U.S. Treasury Obligations – 32.1% | ||||||||||||||
United States Treasury Bills | ||||||||||||||
$ | 65,500,000 | 0.092 | % | 12/24/20 | $ | 65,496,652 | ||||||||
14,900,000 | 0.094 | 12/24/20 | 14,899,238 | |||||||||||
2,560,000 | 0.112 | 12/29/20 | 2,559,826 | |||||||||||
400,000 | 0.112 | 02/02/21 | 399,951 | |||||||||||
8,900,000 | 0.117 | 02/02/21 | 8,898,910 | |||||||||||
122,500,000 | 0.097 | 02/16/21 | 122,484,279 | |||||||||||
47,000,000 | 0.102 | 02/23/21 | 46,992,323 | |||||||||||
25,300,000 | 0.096 | 03/02/21 | 25,294,564 | |||||||||||
18,300,000 | 0.101 | 03/02/21 | 18,295,374 | |||||||||||
15,300,000 | 0.102 | 03/02/21 | 15,296,713 | |||||||||||
33,800,000 | 0.103 | 03/02/21 | 33,792,738 | |||||||||||
5,700,000 | 0.104 | 03/02/21 | 5,698,775 | |||||||||||
40,000,000 | 0.106 | 03/04/21 | 39,991,248 | |||||||||||
8,400,000 | 0.117 | 03/04/21 | 8,398,162 | |||||||||||
55,000,000 | 0.107 | 03/09/21 | 54,988,771 | |||||||||||
40,500,000 | 0.101 | 03/11/21 | 40,490,156 | |||||||||||
29,500,000 | 0.127 | 03/11/21 | 29,492,830 | |||||||||||
7,300,000 | 0.114 | 03/23/21 | 7,297,956 | |||||||||||
7,300,000 | 0.115 | 03/23/21 | 7,297,956 | |||||||||||
2,200,000 | 0.119 | 03/23/21 | 2,199,384 | |||||||||||
42,300,000 | 0.122 | 03/23/21 | 42,288,156 | |||||||||||
60,400,000 | 0.107 | 03/25/21 | 60,382,068 | |||||||||||
36,000,000 | 0.117 | 03/30/21 | 35,988,695 | |||||||||||
45,000,000 | 0.107 | 04/01/21 | 44,985,253 | |||||||||||
14,900,000 | 0.108 | 04/01/21 | 14,895,117 | |||||||||||
85,000,000 | 0.107 | 04/06/21 | 84,973,225 | |||||||||||
1,200,000 | 0.107 | 04/08/21 | 1,199,616 | |||||||||||
1,400,000 | 0.109 | 04/08/21 | 1,399,552 | |||||||||||
59,000,000 | 0.112 | 04/08/21 | 58,981,120 | |||||||||||
90,000,000 | 0.107 | 04/13/21 | 89,970,740 | |||||||||||
25,000,000 | 0.101 | 04/20/21 | 24,991,250 | |||||||||||
30,000,000 | 0.117 | 04/22/21 | 29,989,202 | |||||||||||
13,887,000 | 0.112 | 04/29/21 | 13,881,827 | |||||||||||
140,000,000 | 0.112 | 05/06/21 | 139,946,853 | |||||||||||
83,200,000 | 0.112 | 05/13/21 | 83,166,473 | |||||||||||
27,500,000 | 0.091 | (a) | 06/03/21 | 27,487,488 | ||||||||||
|
| |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||
(Cost $1,304,711,840) | $ | 1,304,792,441 | ||||||||||||
|
| |||||||||||||
Variable Rate Municipal Debt Obligations(d) – 13.5% | ||||||||||||||
| Alaska Housing Finance Corp. VRDN RB Refunding for State | | ||||||||||||
$ | 18,600,000 | 0.180 | % | 12/07/20 | $ | 18,600,000 | ||||||||
| Alaska Housing Finance Corp. VRDN RB Refunding for State | | ||||||||||||
45,800,000 | 0.130 | 12/07/20 | 45,800,000 | |||||||||||
| City of Portland, Maine GO VRDN for Taxable Pension Bonds | | ||||||||||||
30,400,000 | 0.140 | 12/07/20 | 30,400,000 | |||||||||||
| Commonwealth of Massachusetts GO VRDN for Central Artery/ | |||||||||||||
15,000,000 | 0.100 | 12/07/20 | 15,000,000 | |||||||||||
|
| |||||||||||||
Variable Rate Municipal Debt Obligations(d) – (continued) | ||||||||||||||
| Connecticut Housing Finance Authority VRDN RB Housing | | ||||||||||||
24,570,000 | 0.090 | 12/07/20 | 24,570,000 | |||||||||||
| Connecticut Housing Finance Authority VRDN RB Mortgage | | ||||||||||||
9,000,000 | 0.100 | 12/07/20 | 9,000,000 | |||||||||||
| Health & Educational Facilities Authority of The State of | | ||||||||||||
15,000,000 | 0.100 | 12/07/20 | 15,000,000 | |||||||||||
| Loudoun County IDA VRDN RB for Howard Hughes Medical | | ||||||||||||
4,300,000 | 0.110 | 12/07/20 | 4,300,000 | |||||||||||
| Loudoun County IDA VRDN RB for Howard Hughes Medical | | ||||||||||||
10,000,000 | 0.110 | 12/07/20 | 10,000,000 | |||||||||||
Mass General Brigham Inc. | ||||||||||||||
150,000 | 0.100 | 12/07/20 | 150,000 | |||||||||||
| Massachusetts Health & Educational Facilities Authority VRDN | | ||||||||||||
2,395,000 | 0.020 | 12/01/20 | 2,395,000 | |||||||||||
| Michigan Finance Authority VRDN RB Refunding for School | | ||||||||||||
20,000,000 | 0.150 | 12/07/20 | 20,000,000 | |||||||||||
| Mississippi Business Finance Corporation Gulf Opportunity Zone | | ||||||||||||
11,595,000 | 0.100 | 12/07/20 | 11,595,000 | |||||||||||
| Murray City, Utah Hospital VRDN RB for IHC Health Services, | | ||||||||||||
9,100,000 | 0.070 | 12/07/20 | 9,100,000 | |||||||||||
| New Mexico Hospital Equipment Loan Council VRDN RB | | ||||||||||||
35,000,000 | 0.100 | 12/07/20 | 35,000,000 | |||||||||||
| New York City Municipal Water Finance Authority Water & | | ||||||||||||
27,045,000 | 0.150 | 12/07/20 | 27,045,000 | |||||||||||
| Orlando, FL Utilities Commission VRDN RB Water Utility | | ||||||||||||
18,550,000 | 0.120 | 12/07/20 | 18,550,000 | |||||||||||
| Providence Health & Services Obligated Group VRDN RB | | ||||||||||||
59,200,000 | 0.210 | 12/07/20 | 59,200,000 | |||||||||||
| Providence St. Joseph Health Obligated Group VRDN | | ||||||||||||
35,950,000 | 0.150 | 12/07/20 | 35,950,000 | |||||||||||
| Regents of the University of California VRDN RB Taxable | | ||||||||||||
35,025,000 | 0.110 | 12/07/20 | 35,025,000 | |||||||||||
| State of Texas GO VRDN Refunding for Veterans Bonds | | ||||||||||||
22,735,000 | 0.110 | 12/07/20 | 22,735,000 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 25 |
FINANCIAL SQUARE MONEY MARKET FUND
Schedule of Investments (continued)
November 30, 2020
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Variable Rate Municipal Debt Obligations(d) – (continued) | ||||||||||||||
| State of Texas GO VRDN Veterans Bonds Series 2019 | | ||||||||||||
$ | 52,000,000 | 0.100 | % | 12/07/20 | $ | 52,000,000 | ||||||||
| Tarrant County Cultural Education Facilities Finance Corp. | | ||||||||||||
15,000,000 | 0.110 | 12/07/20 | 15,000,000 | |||||||||||
| University of Delaware VRDN RB Refunding Series 2013 C | | ||||||||||||
7,000,000 | 0.020 | 12/01/20 | 7,000,000 | |||||||||||
Valdez Alaska Marine Terminal | ||||||||||||||
135,000 | 0.040 | 12/01/20 | 135,000 | |||||||||||
| Washington Health Care Facilities Authority Revenue Bonds | | ||||||||||||
17,740,000 | 0.100 | 12/07/20 | 17,740,000 | |||||||||||
| Washington Health Care Facilities Authority VRDN RB | | ||||||||||||
8,550,000 | 0.100 | 12/07/20 | 8,550,000 | |||||||||||
|
| |||||||||||||
| TOTAL VARIABLE RATE MUNICIPAL DEBT OBLIGATIONS | | ||||||||||||
(Cost $549,839,989) | $ | 549,840,000 | ||||||||||||
|
| |||||||||||||
| TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENTS | | ||||||||||||
(Cost $3,098,549,065) | $ | 3,098,658,021 | ||||||||||||
|
| |||||||||||||
Repurchase Agreements(e) – 25.8% | ||||||||||||||
Bank of Montreal | ||||||||||||||
$ | 8,500,000 | 0.110 | %(f) | 12/07/20 | $ | 8,500,000 | ||||||||
Maturity Value: $8,502,389 | ||||||||||||||
Settlement Date: 11/18/20 | ||||||||||||||
| Collateralized by a U.S. Treasury Interest-Only Stripped Security, | | ||||||||||||
4,000,000 | 0.120 | (f) | 12/07/20 | 4,000,000 | ||||||||||
Maturity Value: $4,002,400 | ||||||||||||||
Settlement Date: 11/12/20 | ||||||||||||||
| Collateralized by Federal National Mortgage Association, 2.500% | | ||||||||||||
12,000,000 | 0.120 | (f) | 12/07/20 | 12,000,000 | ||||||||||
Maturity Value: $12,002,360 | ||||||||||||||
Settlement Date: 11/09/20 | ||||||||||||||
| Collateralized by a U.S. Treasury Interest-Only Stripped Security, | | ||||||||||||
13,000,000 | 0.130 | (f) | 12/07/20 | 13,000,000 | ||||||||||
Maturity Value: $13,008,544 | ||||||||||||||
Settlement Date: 11/02/20 | ||||||||||||||
| Collateralized by U.S. Treasury Interest-Only Stripped Securities, | | ||||||||||||
|
| |||||||||||||
Repurchase Agreements(e) – (continued) | ||||||||||||||
BMO Capital Markets Corp. | ||||||||||||||
8,000,000 | 0.120 | %(f) | 12/07/20 | 8,000,000 | ||||||||||
Maturity Value: $8,004,800 | ||||||||||||||
Settlement Date: 11/12/20 | ||||||||||||||
| Collateralized by a U.S. Treasury Bill, 0.000%, due 01/14/21, a | | ||||||||||||
|
| |||||||||||||
BNP Paribas | ||||||||||||||
38,000,000 | 0.100 | (f)(g) | 12/07/20 | 38,000,000 | ||||||||||
Maturity Value: $38,005,172 | ||||||||||||||
Settlement Date: 12/01/20 | ||||||||||||||
|
| |||||||||||||
BofA Securities, Inc. | ||||||||||||||
120,000,000 | 0.180 | 12/01/20 | 120,000,300 | |||||||||||
Maturity Value: $120,000,600 | ||||||||||||||
| Collateralized by various equity securities. The market value of | | ||||||||||||
|
| |||||||||||||
Canadian Imperial Bank of Commerce | ||||||||||||||
14,500,000 | 0.110 | (f) | 12/07/20 | 14,500,000 | ||||||||||
Maturity Value: $14,502,658 | ||||||||||||||
Settlement Date: 11/06/20 | ||||||||||||||
| Collateralized by U.S. Treasury Notes, 1.250% to 2.250%, due | | ||||||||||||
|
| |||||||||||||
ING Financial Markets LLC | ||||||||||||||
40,000,000 | 0.230 | 12/01/20 | 40,000,155 | |||||||||||
Maturity Value: $40,000,256 | ||||||||||||||
| Collateralized by various sovereign debt security issuers, 8.750% | | ||||||||||||
|
| |||||||||||||
Joint Account III | ||||||||||||||
300,000,000 | 0.100 | 12/01/20 | 300,000,081 | |||||||||||
Maturity Value: $300,000,833 | ||||||||||||||
|
| |||||||||||||
Mizuho Securities USA LLC | ||||||||||||||
30,000,000 | 0.380 | 12/01/20 | 30,000,242 | |||||||||||
Maturity Value: $30,000,317 | ||||||||||||||
| Collateralized by a U.S. Treasury Note, 0.875%, due 11/15/30. | | ||||||||||||
|
| |||||||||||||
MUFG Securities Americas Inc. | ||||||||||||||
135,000,000 | 0.250 | 12/01/20 | 135,000,599 | |||||||||||
Maturity Value: $135,000,938 | ||||||||||||||
| Collateralized by various corporate security issuers, 0.000% to | | ||||||||||||
|
| |||||||||||||
Royal Bank of Canada | ||||||||||||||
110,000,000 | 0.180 | 12/01/20 | 110,000,275 | |||||||||||
Maturity Value: $110,000,550 | ||||||||||||||
| Collateralized by various corporate security issuers, 0.464% to | | ||||||||||||
|
|
26 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE MONEY MARKET FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Repurchase Agreements(e) – (continued) | ||||||||||||||
$ | 60,000,000 | 0.110 | %(f) | 12/07/20 | $ | 60,000,000 | ||||||||
Maturity Value: $60,010,267 | ||||||||||||||
Settlement Date: 11/19/20 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp., 2.000% to | | ||||||||||||
|
| |||||||||||||
Scotia Capital (USA) Inc. | ||||||||||||||
45,000,000 | 0.180 | 12/01/20 | 45,000,112 | |||||||||||
Maturity Value: $45,000,225 | ||||||||||||||
| Collateralized by various corporate security issuers, 0.531% to | | ||||||||||||
45,000,000 | 0.330 | 12/01/20 | 45,000,300 | |||||||||||
Maturity Value: $45,000,413 | ||||||||||||||
| Collateralized by various corporate security issuers, 0.333% to | | ||||||||||||
|
| |||||||||||||
Wells Fargo Securities, LLC | ||||||||||||||
65,000,000 | 0.230 | 12/04/20 | 65,000,000 | |||||||||||
Maturity Value: $65,002,907 | ||||||||||||||
Settlement Date: 11/27/20 | ||||||||||||||
| Collateralized by various corporate security issuers, 0.000% to | | ||||||||||||
|
| |||||||||||||
TOTAL REPURCHASE AGREEMENTS | ||||||||||||||
(Cost $1,048,000,000) | $ | 1,048,002,064 | ||||||||||||
|
| |||||||||||||
TOTAL INVESTMENTS – 102.1% | ||||||||||||||
(Cost $4,146,549,065) | $ | 4,146,660,085 | ||||||||||||
|
| |||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (2.1)% | | (86,272,092 | ) | ||||||||||
|
| |||||||||||||
NET ASSETS – 100.0% | $ | 4,060,387,993 | ||||||||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | All or a portion represents a forward commitment. | |
(b) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
(c) | Variable or floating rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on November 30, 2020. | |
(d) | Rate shown is that which is in effect on November 30, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. | |
(e) | Unless noted, all repurchase agreements were entered into on November 30, 2020. Additional information on Joint Repurchase Agreement Account III appears in the Additional Investment Information section. | |
(f) | The instrument is subject to a demand feature. | |
(g) | All or a portion represents a forward commitment. Forward settling repurchase agreements will be collateralized at settlement. |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities, the date of the next interest rate reset for variable rate securities, or the prerefunded date for those types of securities.
| ||
Investment Abbreviations: | ||
FHLB | —Insured by Federal Home Loan Bank | |
GO | —General Obligation | |
GTY AGMT | —Guaranty Agreement | |
IDA | —Industrial Development Agency | |
IHC | —Intermountain Health Care | |
LOC | —Letter of Credit | |
RB | —Revenue Bond | |
RMKT | —Remarketed | |
SPA | —Stand-by Purchase Agreement | |
T-Bill | —Treasury Bill | |
VRDN | —Variable Rate Demand Notes | |
|
The accompanying notes are an integral part of these financial statements. | 27 |
FINANCIAL SQUARE PRIME OBLIGATIONS FUND
Schedule of Investments
November 30, 2020
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Commercial Paper and Corporate Obligations – 18.5% | ||||||||||||||
Agricultural Bank of China Ltd. | ||||||||||||||
$ | 9,000,000 | 0.326 | % | 12/14/20 | $ | 8,999,370 | ||||||||
1,750,000 | 0.397 | 02/23/21 | 1,748,608 | |||||||||||
Albion Capital LLC | ||||||||||||||
20,000,000 | 0.132 | 12/04/20 | 19,999,740 | |||||||||||
6,279,000 | 0.234 | 02/16/21 | 6,276,333 | |||||||||||
10,000,000 | 0.254 | 02/22/21 | 9,995,380 | |||||||||||
Antalis S.A. | ||||||||||||||
6,000,000 | 0.224 | 02/09/21 | 5,997,870 | |||||||||||
7,849,000 | 0.234 | 02/16/21 | 7,845,939 | |||||||||||
Bank of China Ltd.-Hong Kong Branch | ||||||||||||||
12,488,000 | 0.275 | 12/03/20 | 12,487,854 | |||||||||||
Barton Capital S.A. | ||||||||||||||
6,000,000 | 0.214 | 01/26/21 | 5,998,214 | |||||||||||
7,129,000 | 0.214 | 02/08/21 | 7,126,325 | |||||||||||
Chariot Funding LLC | ||||||||||||||
30,000,000 | 0.173 | 12/18/20 | 29,997,750 | |||||||||||
CNPC Finance (HK) Ltd. | ||||||||||||||
20,000,000 | 0.437 | 12/01/20 | 19,999,926 | |||||||||||
Collateralized Commercial Paper Flex Co., LLC | ||||||||||||||
10,000,000 | 0.234 | 02/16/21 | 9,996,577 | |||||||||||
Collateralized Commercial Paper V Co., LLC | ||||||||||||||
10,000,000 | 0.203 | 02/08/21 | 9,997,083 | |||||||||||
Columbia Funding Company, LLC | ||||||||||||||
10,000,000 | 0.203 | 01/13/21 | 9,997,812 | |||||||||||
Fairway Finance Company, LLC | ||||||||||||||
14,000,000 | 0.214 | (a) | 02/23/21 | 13,992,562 | ||||||||||
First Abu Dhabi Bank P.J.S.C. | ||||||||||||||
9,259,000 | 0.234 | 02/09/21 | 9,255,951 | |||||||||||
15,000,000 | 0.244 | 02/18/21 | 14,994,233 | |||||||||||
Industrial & Commercial Bank of China Ltd.-New York Branch | ||||||||||||||
20,000,000 | 0.356 | 02/09/21 | 19,989,981 | |||||||||||
Ionic Capital II Trust | ||||||||||||||
11,964,000 | 0.244 | 02/19/21 | 11,956,624 | |||||||||||
32,612,000 | 0.315 | 02/26/21 | 32,589,759 | |||||||||||
J.P. Morgan Securities LLC | ||||||||||||||
35,000,000 | 0.173 | 12/01/20 | 34,999,903 | |||||||||||
15,000,000 | 0.173 | 12/09/20 | 14,999,625 | |||||||||||
Macquarie Bank Ltd. | ||||||||||||||
30,000,000 | 0.209 | 02/08/21 | 29,987,167 | |||||||||||
Manhattan Asset Funding Company LLC | ||||||||||||||
7,147,000 | 0.203 | 01/14/21 | 7,145,392 | |||||||||||
32,000,000 | 0.214 | 02/12/21 | 31,986,581 | |||||||||||
Metropolitan Life Global Funding I | ||||||||||||||
1,366,000 | 2.400 | (b) | 01/08/21 | 1,368,904 | ||||||||||
Mizuho Bank, Ltd.-Singapore Branch | ||||||||||||||
16,000,000 | 0.234 | 02/09/21 | 15,993,784 | |||||||||||
National Bank of Canada | ||||||||||||||
10,000,000 | 0.214 | 02/16/21 | 9,996,273 | |||||||||||
Nationwide Building Society | ||||||||||||||
25,000,000 | 0.183 | 12/22/20 | 24,997,448 | |||||||||||
Ridgefield Funding Company, LLC | ||||||||||||||
11,000,000 | 0.203 | 01/05/21 | 10,998,086 | |||||||||||
Sheffield Receivables Company LLC | ||||||||||||||
16,000,000 | 0.210 | 02/10/21 | 15,993,536 | |||||||||||
Sumitomo Mitsui Trust Bank, Ltd.-Singapore Branch | ||||||||||||||
10,000,000 | 0.244 | 02/10/21 | 9,996,480 | |||||||||||
|
| |||||||||||||
Commercial Paper and Corporate Obligations – (continued) | ||||||||||||||
Toronto-Dominion Bank (The) | ||||||||||||||
25,000,000 | 0.214 | 02/16/21 | 24,989,492 | |||||||||||
10,000,000 | 0.224 | 02/19/21 | 9,995,545 | |||||||||||
Victory Receivables Corp. | ||||||||||||||
13,479,000 | 0.214 | 02/12/21 | 13,473,486 | |||||||||||
23,500,000 | 0.233 | 03/01/21 | 23,486,991 | |||||||||||
|
| |||||||||||||
| TOTAL COMMERCIAL PAPER AND CORPORATE OBLIGATIONS | | ||||||||||||
(Cost $549,634,160) | $ | 549,652,584 | ||||||||||||
|
| |||||||||||||
Certificates of Deposit-Yankeedollar – 3.3% | ||||||||||||||
Bank of Montreal | ||||||||||||||
$ | 23,000,000 | 0.210 | % | 02/18/21 | $ | 23,000,664 | ||||||||
Landesbank Hessen-Thueringen Girozentrale | ||||||||||||||
12,739,000 | 0.150 | 12/17/20 | 12,739,126 | |||||||||||
National Bank of Kuwait S.A.K.P | ||||||||||||||
15,000,000 | 0.295 | 12/11/20 | 15,000,641 | |||||||||||
5,000,000 | 0.330 | 02/10/21 | 5,000,559 | |||||||||||
Norinchukin Bank (The) | ||||||||||||||
8,000,000 | 0.220 | 02/10/21 | 8,000,352 | |||||||||||
15,000,000 | 0.240 | 02/22/21 | 15,000,489 | |||||||||||
Sumitomo Mitsui Banking Corp. | ||||||||||||||
17,823,000 | 0.260 | 02/04/21 | 17,826,066 | |||||||||||
|
| |||||||||||||
TOTAL CERTIFICATES OF DEPOSIT-YANKEEDOLLAR | ||||||||||||||
(Cost $96,563,351) | $ | 96,567,897 | ||||||||||||
|
| |||||||||||||
Time Deposit – 7.4% | ||||||||||||||
Australia and New Zealand Banking Group Ltd. | ||||||||||||||
$ | 100,000,000 | 0.090 | % | 12/01/20 | $ | 100,000,138 | ||||||||
Canadian Imperial Bank of Commerce | ||||||||||||||
50,000,000 | 0.080 | 12/01/20 | 50,000,056 | |||||||||||
DNB Bank ASA | ||||||||||||||
21,000,000 | 0.080 | 12/01/20 | 21,000,000 | |||||||||||
Royal Bank of Canada | ||||||||||||||
50,000,000 | 0.090 | 12/01/20 | 50,000,069 | |||||||||||
|
| |||||||||||||
TOTAL TIME DEPOSIT | ||||||||||||||
(Cost $221,000,000) | $ | 221,000,263 | ||||||||||||
|
| |||||||||||||
U.S. Government Agency Obligations – 0.6% | ||||||||||||||
| U.S. International Development Finance Corp. (3 Mo. U.S. T-Bill | | ||||||||||||
$ | 9,500,000 | 0.130 | %(c) | 12/07/20 | $ | 9,500,000 | ||||||||
7,587,788 | 0.140 | (c) | 12/07/20 | 7,587,788 | ||||||||||
|
| |||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | ||||||||||||||
(Cost $17,087,788) | $ | 17,087,788 | ||||||||||||
|
| |||||||||||||
U.S. Treasury Obligations – 34.9% | ||||||||||||||
United States Treasury Bills | ||||||||||||||
$ | 70,760,000 | 0.092 | % | 12/24/20 | $ | 70,756,383 | ||||||||
|
|
28 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE PRIME OBLIGATIONS FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
U.S. Treasury Obligations – (continued) | ||||||||||||||
United States Treasury Bills – (continued) | ||||||||||||||
$ | 14,500,000 | 0.094 | % | 12/24/20 | $ | 14,499,259 | ||||||||
4,700,000 | 0.097 | 12/24/20 | 4,699,760 | |||||||||||
700,000 | 0.102 | 12/24/20 | 699,964 | |||||||||||
4,800,000 | 0.107 | 12/24/20 | 4,799,755 | |||||||||||
5,900,000 | 0.108 | 12/24/20 | 5,899,698 | |||||||||||
33,000,000 | 0.112 | 12/24/20 | 32,998,313 | |||||||||||
2,500,000 | 0.117 | 12/24/20 | 2,499,872 | |||||||||||
81,500,000 | 0.178 | 12/24/20 | 81,495,835 | |||||||||||
2,070,000 | 0.112 | 12/29/20 | 2,069,859 | |||||||||||
400,000 | 0.112 | 02/02/21 | 399,951 | |||||||||||
7,100,000 | 0.117 | 02/02/21 | 7,099,130 | |||||||||||
83,500,000 | 0.097 | 02/16/21 | 83,489,284 | |||||||||||
21,600,000 | 0.102 | 02/23/21 | 21,596,472 | |||||||||||
16,200,000 | 0.096 | 03/02/21 | 16,196,519 | |||||||||||
14,100,000 | 0.101 | 03/02/21 | 14,096,970 | |||||||||||
12,600,000 | 0.102 | 03/02/21 | 12,597,293 | |||||||||||
26,200,000 | 0.103 | 03/02/21 | 26,194,371 | |||||||||||
4,600,000 | 0.104 | 03/02/21 | 4,599,012 | |||||||||||
6,300,000 | 0.117 | 03/04/21 | 6,298,622 | |||||||||||
45,000,000 | 0.107 | 03/09/21 | 44,990,812 | |||||||||||
27,500,000 | 0.101 | 03/11/21 | 27,493,316 | |||||||||||
22,100,000 | 0.127 | 03/11/21 | 22,094,628 | |||||||||||
5,800,000 | 0.114 | 03/23/21 | 5,798,376 | |||||||||||
5,800,000 | 0.115 | 03/23/21 | 5,798,376 | |||||||||||
1,700,000 | 0.119 | 03/23/21 | 1,699,524 | |||||||||||
33,500,000 | 0.122 | 03/23/21 | 33,490,620 | |||||||||||
47,600,000 | 0.107 | 03/25/21 | 47,585,869 | |||||||||||
27,700,000 | 0.117 | 03/30/21 | 27,691,301 | |||||||||||
35,500,000 | 0.107 | 04/01/21 | 35,488,366 | |||||||||||
11,800,000 | 0.108 | 04/01/21 | 11,796,133 | |||||||||||
58,000,000 | 0.107 | 04/06/21 | 57,981,730 | |||||||||||
1,000,000 | 0.107 | 04/08/21 | 999,680 | |||||||||||
1,100,000 | 0.109 | 04/08/21 | 1,099,648 | |||||||||||
48,200,000 | 0.112 | 04/08/21 | 48,184,576 | |||||||||||
36,500,000 | 0.107 | 04/13/21 | 36,488,134 | |||||||||||
16,000,000 | 0.101 | 04/20/21 | 15,994,400 | |||||||||||
22,500,000 | 0.117 | 04/22/21 | 22,491,902 | |||||||||||
11,283,400 | 0.112 | 04/29/21 | 11,279,197 | |||||||||||
30,139,000 | 0.091 | (a) | 05/04/21 | 30,127,397 | ||||||||||
60,000,000 | 0.112 | 05/06/21 | 59,976,925 | |||||||||||
55,200,000 | 0.112 | 05/13/21 | 55,177,756 | |||||||||||
20,000,000 | 0.091 | (a) | 06/03/21 | 19,990,900 | ||||||||||
|
| |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||
(Cost $1,036,648,695) | $ | 1,036,705,888 | ||||||||||||
|
| |||||||||||||
Variable Rate Municipal Debt Obligations(d) – 13.1% | ||||||||||||||
| Alaska Housing Finance Corp. VRDN RB Refunding for State | | ||||||||||||
$ | 8,000,000 | 0.180 | % | 12/07/20 | $ | 8,000,000 | ||||||||
| Alaska Housing Finance Corp. VRDN RB Refunding for State | | ||||||||||||
25,000,000 | 0.130 | 12/07/20 | 25,000,000 | |||||||||||
| City of Portland, Maine GO VRDN for Taxable Pension Bonds | | ||||||||||||
24,800,000 | 0.140 | 12/07/20 | 24,800,000 | |||||||||||
|
| |||||||||||||
Variable Rate Municipal Debt Obligations(d) – (continued) | ||||||||||||||
| Connecticut Housing Finance Authority VRDN RB Mortgage | | ||||||||||||
7,000,000 | 0.100 | 12/07/20 | 7,000,000 | |||||||||||
| Health & Educational Facilities Authority of The State of | | ||||||||||||
3,400,000 | 0.100 | 12/07/20 | 3,400,000 | |||||||||||
| Massachusetts Health & Educational Facilities Authority VRDN | | ||||||||||||
4,000,000 | 0.020 | 12/01/20 | 4,000,000 | |||||||||||
| Michigan Finance Authority VRDN RB Refunding for School | | ||||||||||||
20,000,000 | 0.150 | 12/07/20 | 20,000,000 | |||||||||||
| New Mexico Hospital Equipment Loan Council VRDN RB | | ||||||||||||
27,000,000 | 0.100 | 12/07/20 | 27,000,000 | |||||||||||
| New York City Municipal Water Finance Authority Water & | | ||||||||||||
$ | 20,000,000 | 0.150 | % | 12/07/20 | $ | 20,000,000 | ||||||||
| Port of Port Arthur Navigation District VRDN RB Refunding for | | ||||||||||||
8,000,000 | 0.040 | 12/01/20 | 8,000,000 | |||||||||||
| Providence Health & Services Obligated Group VRDN RB Series | | ||||||||||||
48,795,000 | 0.210 | 12/07/20 | 48,795,000 | |||||||||||
| Providence St. Joseph Health Obligated Group VRDN Series | | ||||||||||||
20,000,000 | 0.150 | 12/07/20 | 20,000,000 | |||||||||||
| Regents of the University of California VRDN RB Taxable | |||||||||||||
30,000,000 | 0.110 | 12/07/20 | 30,000,000 | |||||||||||
| State of Texas GO VRDN Refunding for Veterans Bonds Series | | ||||||||||||
18,495,000 | 0.110 | 12/07/20 | 18,495,000 | |||||||||||
| State of Texas GO VRDN Veterans Bonds Series 2019 | | ||||||||||||
41,025,000 | 0.100 | 12/07/20 | 41,025,000 | |||||||||||
State of Texas Veterans Bonds, Series 2012 B | ||||||||||||||
46,425,000 | 0.140 | 12/07/20 | 46,425,000 | |||||||||||
| State of Texas Veterans Housing Assistance Program Fund II | |||||||||||||
11,500,000 | 0.180 | 12/07/20 | 11,500,000 | |||||||||||
| Tarrant County Cultural Education Facilities Finance Corp. | | ||||||||||||
4,000,000 | 0.110 | 12/07/20 | 4,000,000 | |||||||||||
| University of Colorado Hospital Authority VRDN RB Series | | ||||||||||||
10,000,000 | 0.090 | 12/07/20 | 10,000,000 | |||||||||||
| University of Delaware VRDN RB Refunding Series 2013 C | | ||||||||||||
5,000,000 | 0.020 | 12/01/20 | 5,000,000 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 29 |
FINANCIAL SQUARE PRIME OBLIGATIONS FUND
Schedule of Investments (continued)
November 30, 2020
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Variable Rate Municipal Debt Obligations(d) – (continued) | ||||||||||||||
| Washington Health Care Facilities Authority VRDN RB | | ||||||||||||
$ | 8,000,000 | 0.100 | % | 12/07/20 | $ | 8,000,000 | ||||||||
|
| |||||||||||||
| TOTAL VARIABLE RATE MUNICIPAL DEBT OBLIGATIONS | | ||||||||||||
(Cost $390,440,000) | $ | 390,440,000 | ||||||||||||
|
| |||||||||||||
| TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENTS | | ||||||||||||
(Cost $2,311,373,994) | $ | 2,311,454,420 | ||||||||||||
|
| |||||||||||||
Repurchase Agreements(e) – 25.5% | ||||||||||||||
Bank of Montreal | ||||||||||||||
$ | 8,000,000 | 0.120 | %(f) | 12/07/20 | $ | 8,000,000 | ||||||||
Maturity Value: $8,001,573 | ||||||||||||||
Settlement Date: 11/09/20 | ||||||||||||||
| Collateralized by U.S. Treasury Interest-Only Stripped Securities, | | ||||||||||||
6,000,000 | 0.110 | (f) | 12/07/20 | 6,000,000 | ||||||||||
Maturity Value: $6,001,687 | ||||||||||||||
Settlement Date: 11/18/20 | ||||||||||||||
| Collateralized by a U.S. Treasury Interest-Only Stripped Security, | | ||||||||||||
9,000,000 | 0.130 | (f) | 12/07/20 | 9,000,000 | ||||||||||
Maturity Value: $9,005,915 | ||||||||||||||
Settlement Date: 11/02/20 | ||||||||||||||
| Collateralized by a U.S. Treasury Interest-Only Stripped Security, | | ||||||||||||
2,500,000 | 0.120 | (f) | 12/07/20 | 2,500,000 | ||||||||||
Maturity Value: $2,501,500 | ||||||||||||||
Settlement Date: 11/12/20 | ||||||||||||||
| Collateralized by Federal National Mortgage Association, 2.500% | | ||||||||||||
|
| |||||||||||||
BMO Capital Markets Corp. | ||||||||||||||
5,000,000 | 0.120 | (f) | 12/07/20 | 5,000,000 | ||||||||||
Maturity Value: $5,003,000 | ||||||||||||||
Settlement Date: 11/12/20 | ||||||||||||||
| Collateralized by U.S. Treasury Bills, 0.000%, due 03/25/21 to | | ||||||||||||
|
| |||||||||||||
BNP Paribas | ||||||||||||||
30,000,000 | 0.100 | (g) | 12/07/20 | 30,000,000 | ||||||||||
Maturity Value: $30,004,083 | ||||||||||||||
Settlement Date: 12/01/20 | ||||||||||||||
|
| |||||||||||||
BofA Securities, Inc. | ||||||||||||||
80,000,000 | 0.180 | 12/01/20 | 80,000,200 | |||||||||||
Maturity Value: $80,000,400 | ||||||||||||||
| Collateralized by various equity securities. The market value of | | ||||||||||||
|
| |||||||||||||
Repurchase Agreements(e) – (continued) | ||||||||||||||
Canadian Imperial Bank of Commerce | ||||||||||||||
10,000,000 | 0.110 | (f) | 12/07/20 | 10,000,000 | ||||||||||
Maturity Value: $10,001,833 | ||||||||||||||
Settlement Date: 11/06/20 | ||||||||||||||
| Collateralized by a U.S. Treasury Bond, 2.250%, due 08/15/46 | | ||||||||||||
|
| |||||||||||||
ING Financial Markets LLC | ||||||||||||||
30,000,000 | 0.230 | 12/01/20 | 30,000,116 | |||||||||||
Maturity Value: $30,000,192 | ||||||||||||||
| Collateralized by various sovereign debt security issuer, 8.750%, | | ||||||||||||
|
| |||||||||||||
Joint Account III | ||||||||||||||
300,000,000 | 0.100 | 12/01/20 | 300,000,081 | |||||||||||
Maturity Value: $300,000,833 | ||||||||||||||
|
| |||||||||||||
Mizuho Securities USA LLC | ||||||||||||||
20,000,000 | 0.380 | 12/01/20 | 20,000,161 | |||||||||||
Maturity Value: $20,000,211 | ||||||||||||||
| Collateralized by a U.S. Treasury Note, 0.875%, due 11/15/30. | | ||||||||||||
|
| |||||||||||||
MUFG Securities Americas Inc. | ||||||||||||||
90,000,000 | 0.250 | 12/01/20 | 90,000,400 | |||||||||||
Maturity Value: $90,000,625 | ||||||||||||||
| Collateralized by an Exchange-Traded Fund and various equity | | ||||||||||||
|
| |||||||||||||
Royal Bank of Canada | ||||||||||||||
45,000,000 | 0.110 | (f) | 12/07/20 | 45,000,000 | ||||||||||
Maturity Value: $45,007,700 | ||||||||||||||
Settlement Date: 11/19/20 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp., 3.500% to | | ||||||||||||
|
| |||||||||||||
Scotia Capital (USA) Inc. | ||||||||||||||
33,000,000 | 0.180 | 12/01/20 | 33,000,083 | |||||||||||
Maturity Value: $33,000,165 | ||||||||||||||
| Collateralized by various corporate security issuers, 0.483% to | | ||||||||||||
40,000,000 | 0.330 | 12/01/20 | 40,000,266 | |||||||||||
Maturity Value: $40,000,367 | ||||||||||||||
| Collateralized by various corporate security issuers, 0.333% to | | ||||||||||||
|
|
30 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE PRIME OBLIGATIONS FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Repurchase Agreements(e) – (continued) | ||||||||||||||
Wells Fargo Securities, LLC | ||||||||||||||
$ | 50,000,000 | 0.230 | % | 12/04/20 | $ | 50,000,000 | ||||||||
Maturity Value: $50,002,236 | ||||||||||||||
Settlement Date: 11/27/20 | ||||||||||||||
| Collateralized by various corporate security issuers, 0.000% to | | ||||||||||||
|
| |||||||||||||
TOTAL REPURCHASE AGREEMENTS | ||||||||||||||
(Cost $758,500,000) | $ | 758,501,307 | ||||||||||||
|
| |||||||||||||
TOTAL INVESTMENTS – 103.3% | ||||||||||||||
(Cost $3,069,873,994) | $ | 3,069,955,727 | ||||||||||||
|
| |||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (3.3)% | (96,669,031 | ) | |||||||||||
|
| |||||||||||||
NET ASSETS – 100.0% | $ | 2,973,286,696 | ||||||||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | All or a portion represents a forward commitment. | |
(b) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
(c) | Variable or floating rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on November 30, 2020. | |
(d) | Rate shown is that which is in effect on November 30, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. | |
(e) | Unless noted, all repurchase agreements were entered into on November 30, 2020. Additional information on Joint Repurchase Agreement Account III appears in the Additional Investment Information section. | |
(f) | The instrument is subject to a demand feature. | |
(g) | All or a portion represents a forward commitment. Forward settling repurchase agreements will be collateralized at settlement. |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities, the date of the next interest rate reset for variable rate securities, or the prerefunded date for those types of securities.
| ||
Investment Abbreviations: | ||
FHLB | —Insured by Federal Home Loan Bank | |
GO | —General Obligation | |
LOC | —Letter of Credit | |
RB | —Revenue Bond | |
RMKT | —Remarketed | |
SPA | —Stand-by Purchase Agreement | |
T-Bill | —Treasury Bill | |
VRDN | —Variable Rate Demand Notes | |
|
The accompanying notes are an integral part of these financial statements. | 31 |
FINANCIAL SQUARE TREASURY INSTRUMENTS FUND
Schedule of Investments
November 30, 2020
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
U.S. Treasury Obligations – 105.2% | ||||||||||||||
United States Treasury Bills | ||||||||||||||
$ | 132,400,000 | 0.025 | % | 12/01/20 | $ | 132,400,000 | ||||||||
235,000,000 | 0.051 | 12/01/20 | 235,000,000 | |||||||||||
1,306,100,000 | 0.086 | 12/01/20 | 1,306,100,000 | |||||||||||
235,000,000 | 0.112 | 12/01/20 | 235,000,000 | |||||||||||
19,900,000 | 0.128 | 12/01/20 | 19,900,000 | |||||||||||
40,000,000 | 0.031 | 12/03/20 | 39,999,933 | |||||||||||
244,800,000 | 0.041 | 12/03/20 | 244,799,456 | |||||||||||
561,400,000 | 0.046 | 12/03/20 | 561,398,596 | |||||||||||
3,800,000,000 | 0.092 | 12/03/20 | 3,799,981,000 | |||||||||||
190,300,000 | 0.102 | 12/03/20 | 190,298,943 | |||||||||||
126,000,000 | 0.112 | 12/03/20 | 125,999,230 | |||||||||||
200,000,000 | 0.107 | 12/08/20 | 199,995,917 | |||||||||||
28,400,000 | 0.142 | 12/08/20 | 28,399,227 | |||||||||||
650,000,000 | 0.158 | 12/08/20 | 649,980,410 | |||||||||||
133,000,000 | 0.071 | 12/10/20 | 132,997,672 | |||||||||||
472,200,000 | 0.112 | 12/10/20 | 472,187,015 | |||||||||||
19,900,000 | 0.114 | 12/10/20 | 19,899,440 | |||||||||||
32,800,000 | 0.117 | 12/10/20 | 32,799,057 | |||||||||||
3,917,000,000 | 0.097 | 12/15/20 | 3,916,855,286 | |||||||||||
131,300,000 | 0.086 | 12/17/20 | 131,295,040 | |||||||||||
1,369,800,000 | 0.112 | 12/17/20 | 1,369,733,032 | |||||||||||
1,319,000,000 | 0.188 | 12/17/20 | 1,318,891,549 | |||||||||||
2,500,000,000 | 0.071 | 12/22/20 | 2,499,897,925 | |||||||||||
1,000,000,000 | 0.092 | 12/22/20 | 999,947,500 | |||||||||||
9,700,000 | 0.107 | 12/22/20 | 9,699,406 | |||||||||||
225,000,000 | 0.117 | 12/22/20 | 224,984,906 | |||||||||||
218,700,000 | 0.092 | 12/24/20 | 218,687,425 | |||||||||||
264,000,000 | 0.112 | 12/24/20 | 263,981,447 | |||||||||||
595,700,000 | 0.178 | 12/24/20 | 595,633,398 | |||||||||||
5,000,000,000 | 0.086 | 12/29/20 | 4,999,669,450 | |||||||||||
28,200,000 | 0.112 | 12/29/20 | 28,197,587 | |||||||||||
43,200,000 | 0.124 | 12/29/20 | 43,195,901 | |||||||||||
250,000,000 | 0.097 | 12/31/20 | 249,980,208 | |||||||||||
459,100,000 | 0.117 | 12/31/20 | 459,056,003 | |||||||||||
36,600,000 | 0.163 | 12/31/20 | 36,595,120 | |||||||||||
1,100,000,000 | 0.168 | 12/31/20 | 1,099,848,749 | |||||||||||
315,000,000 | 0.112 | 01/05/21 | 314,966,312 | |||||||||||
700,000,000 | 0.076 | 01/07/21 | 699,946,042 | |||||||||||
23,000,000 | 0.102 | 01/07/21 | 22,997,636 | |||||||||||
13,500,000 | 0.112 | 01/07/21 | 13,498,474 | |||||||||||
1,200,000,000 | 0.122 | 01/07/21 | 1,199,852,000 | |||||||||||
51,100,000 | 0.112 | 01/12/21 | 51,093,442 | |||||||||||
86,300,000 | 0.102 | 01/14/21 | 86,289,452 | |||||||||||
11,700,000 | 0.117 | 01/14/21 | 11,698,355 | |||||||||||
1,023,200,000 | 0.148 | 01/14/21 | 1,023,018,665 | |||||||||||
629,900,000 | 0.122 | 01/19/21 | 629,797,117 | |||||||||||
32,400,000 | 0.102 | 01/21/21 | 32,395,410 | |||||||||||
4,700,000 | 0.112 | 01/21/21 | 4,699,268 | |||||||||||
453,700,000 | 0.132 | 01/21/21 | 453,616,444 | |||||||||||
2,000,000,000 | 0.081 | (a) | 01/26/21 | 1,999,751,120 | ||||||||||
175,000,000 | 0.117 | 01/26/21 | 174,968,695 | |||||||||||
1,938,600,000 | 0.132 | 01/28/21 | 1,938,193,972 | |||||||||||
100,400,000 | 0.112 | 02/02/21 | 100,380,673 | |||||||||||
871,300,000 | 0.107 | 02/04/21 | 871,134,817 | |||||||||||
1,350,000,000 | 0.112 | 02/11/21 | 1,349,703,001 | |||||||||||
933,910,000 | 0.122 | 02/11/21 | 933,685,860 | |||||||||||
|
| |||||||||||||
U.S. Treasury Obligations – (continued) | ||||||||||||||
United States Treasury Bills – (continued) | ||||||||||||||
1,080,000,000 | 0.097 | 02/16/21 | 1,079,780,550 | |||||||||||
561,600,000 | 0.122 | 02/18/21 | 561,452,112 | |||||||||||
355,000,000 | 0.102 | 02/23/21 | 354,917,167 | |||||||||||
125,000,000 | 0.122 | 02/25/21 | 124,964,167 | |||||||||||
61,500,000 | 0.573 | 02/25/21 | 61,417,727 | |||||||||||
426,600,000 | 1.308 | 02/25/21 | 425,305,743 | |||||||||||
400,000,000 | 0.096 | 03/02/21 | 399,903,946 | |||||||||||
169,478,200 | 0.086 | (a) | 03/04/21 | 169,441,786 | ||||||||||
700,000,000 | 0.106 | 03/04/21 | 699,810,125 | |||||||||||
750,000,000 | 0.117 | 03/04/21 | 749,777,187 | |||||||||||
750,000,000 | 0.107 | 03/09/21 | 749,785,625 | |||||||||||
650,000,000 | 0.101 | 03/11/21 | 649,819,444 | |||||||||||
750,000,000 | 0.127 | 03/11/21 | 749,739,585 | |||||||||||
164,815,000 | 0.086 | (a) | 03/16/21 | 164,774,140 | ||||||||||
1,500,000,000 | 0.112 | 03/16/21 | 1,499,518,745 | |||||||||||
293,850,000 | 0.096 | 03/18/21 | 293,767,028 | |||||||||||
750,700,000 | 0.122 | 03/18/21 | 750,432,249 | |||||||||||
59,700,000 | 0.114 | 03/23/21 | 59,679,198 | |||||||||||
59,700,000 | 0.115 | 03/23/21 | 59,679,012 | |||||||||||
17,900,000 | 0.119 | 03/23/21 | 17,893,457 | |||||||||||
732,900,000 | 0.122 | 03/23/21 | 732,626,384 | |||||||||||
460,000,000 | 0.091 | 03/25/21 | 459,868,900 | |||||||||||
493,800,000 | 0.107 | 03/25/21 | 493,635,813 | |||||||||||
500,000,000 | 0.117 | 03/30/21 | 499,809,932 | |||||||||||
1,476,700,000 | 0.107 | 04/01/21 | 1,476,178,851 | |||||||||||
750,000,000 | 0.107 | 04/06/21 | 749,724,375 | |||||||||||
29,900,000 | 0.107 | 04/08/21 | 29,888,837 | |||||||||||
34,700,000 | 0.109 | 04/08/21 | 34,686,737 | |||||||||||
1,339,300,000 | 0.112 | 04/08/21 | 1,338,776,186 | |||||||||||
750,000,000 | 0.107 | 04/13/21 | 749,709,062 | |||||||||||
900,000,000 | 0.117 | 04/15/21 | 899,611,874 | |||||||||||
400,000,000 | 0.101 | 04/20/21 | 399,844,444 | |||||||||||
500,000,000 | 0.117 | 04/22/21 | 499,773,194 | |||||||||||
157,340,000 | 0.112 | 04/29/21 | 157,268,367 | |||||||||||
645,819,000 | 0.091 | (a) | 05/04/21 | 645,570,360 | ||||||||||
1,000,000,000 | 0.112 | 05/06/21 | 999,523,334 | |||||||||||
1,361,800,000 | 0.112 | 05/13/21 | 1,361,121,749 | |||||||||||
1,750,000,000 | 0.101 | 05/20/21 | 1,749,173,604 | |||||||||||
675,000,000 | 0.090 | 05/27/21 | 674,701,312 | |||||||||||
1,110,000,000 | 0.091 | (a) | 06/03/21 | 1,109,494,950 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill | | ||||||||||||
828,650,000 | 0.200 | (b) | 01/31/21 | 828,650,318 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill | | ||||||||||||
3,331,360,000 | 0.224 | (b) | 04/30/21 | 3,331,869,448 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill | | ||||||||||||
1,796,825,000 | 0.239 | (b) | 01/31/22 | 1,796,804,495 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill | | ||||||||||||
8,519,800,000 | 0.305 | (b) | 07/31/21 | 8,525,819,479 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill | | ||||||||||||
2,301,000,000 | 0.385 | (b) | 10/31/21 | 2,303,312,669 | ||||||||||
|
|
32 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE TREASURY INSTRUMENTS FUND
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
U.S. Treasury Obligations – (continued) | ||||||||||||||
United States Treasury Notes | ||||||||||||||
$ | 180,900,000 | 1.875 | % | 12/15/20 | $ | 180,990,077 | ||||||||
688,800,000 | 2.500 | 12/31/20 | 689,867,190 | |||||||||||
395,500,000 | 2.000 | 01/15/21 | 396,281,578 | |||||||||||
115,100,000 | 1.375 | 01/31/21 | 115,223,444 | |||||||||||
389,400,000 | 2.125 | 01/31/21 | 390,510,329 | |||||||||||
46,000,000 | 2.500 | 01/31/21 | 46,160,587 | |||||||||||
58,800,000 | 2.250 | 02/15/21 | 58,966,228 | |||||||||||
58,800,000 | 3.625 | 02/15/21 | 59,132,657 | |||||||||||
162,000,000 | 1.125 | 02/28/21 | 162,262,181 | |||||||||||
407,200,000 | 2.500 | 02/28/21 | 408,370,202 | |||||||||||
202,400,000 | 2.375 | 03/15/21 | 203,204,651 | |||||||||||
2,400,000 | 2.250 | 03/31/21 | 2,414,469 | |||||||||||
1,200,000 | 2.375 | 04/15/21 | 1,208,986 | |||||||||||
|
| |||||||||||||
TOTAL INVESTMENTS – 105.2% | $ | 82,988,868,829 | ||||||||||||
|
| |||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (5.2)% | | (4,073,110,740 | ) | ||||||||||
|
| |||||||||||||
NET ASSETS – 100.0% | $ | 78,915,758,089 | ||||||||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | All or a portion represents a forward commitment. | |
(b) | Variable or floating rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on November 30, 2020. |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon interest rate indices.
Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities, the date of the next interest rate reset for variable rate securities, or the prerefunded date for those types of securities.
| ||
Investment Abbreviations: | ||
MMY | —Money Market Yield | |
T-Bill | —Treasury Bill | |
|
The accompanying notes are an integral part of these financial statements. | 33 |
FINANCIAL SQUARE TREASURY OBLIGATIONS FUND
Schedule of Investments
November 30, 2020
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
U.S. Treasury Obligations – 71.5% | ||||||||||||||
United States Treasury Bills | ||||||||||||||
$ | 440,000,000 | 0.188 | % | 12/17/20 | $ | 439,963,822 | ||||||||
370,160,000 | 0.148 | 12/22/20 | 370,128,691 | |||||||||||
75,600,000 | 0.092 | 12/24/20 | 75,595,653 | |||||||||||
1,500,000,000 | 0.097 | 12/24/20 | 1,499,908,958 | |||||||||||
337,600,000 | 0.178 | 12/24/20 | 337,562,255 | |||||||||||
1,491,450,000 | 0.081 | (a) | 12/29/20 | 1,491,357,202 | ||||||||||
300,000,000 | 0.086 | 12/29/20 | 299,980,167 | |||||||||||
6,500,000 | 0.112 | 12/29/20 | 6,499,444 | |||||||||||
72,500,000 | 0.124 | 12/29/20 | 72,493,121 | |||||||||||
16,900,000 | 0.133 | 12/29/20 | 16,898,278 | |||||||||||
100,000,000 | 0.137 | 12/29/20 | 99,989,500 | |||||||||||
2,750,000,000 | 0.097 | 12/31/20 | 2,749,782,292 | |||||||||||
2,500,000 | 0.112 | 12/31/20 | 2,499,771 | |||||||||||
19,200,000 | 0.163 | 12/31/20 | 19,197,440 | |||||||||||
350,000,000 | 0.168 | 12/31/20 | 349,951,875 | |||||||||||
2,250,000,000 | 0.086 | 01/05/21 | 2,249,814,065 | |||||||||||
51,500,000 | 0.112 | 01/05/21 | 51,494,492 | |||||||||||
9,300,000 | 0.102 | 01/07/21 | 9,299,044 | |||||||||||
750,000,000 | 0.092 | 01/12/21 | 749,921,250 | |||||||||||
10,700,000 | 0.102 | 01/14/21 | 10,698,692 | |||||||||||
3,300,000 | 0.117 | 01/14/21 | 3,299,536 | |||||||||||
530,200,000 | 0.148 | 01/14/21 | 530,106,036 | |||||||||||
9,000,000 | 0.102 | 01/21/21 | 8,998,725 | |||||||||||
50,000,000 | 0.117 | 01/26/21 | 49,991,056 | |||||||||||
38,900,000 | 0.112 | 02/02/21 | 38,892,512 | |||||||||||
71,800,000 | 0.107 | 02/04/21 | 71,786,388 | |||||||||||
150,000,000 | 0.112 | 02/11/21 | 149,967,000 | |||||||||||
377,550,000 | 0.122 | 02/11/21 | 377,459,388 | |||||||||||
70,000,000 | 0.097 | 02/16/21 | 69,985,776 | |||||||||||
353,000,000 | 0.092 | 02/18/21 | 352,930,282 | |||||||||||
500,000,000 | 0.102 | 02/23/21 | 499,883,333 | |||||||||||
45,000,000 | 0.122 | 02/25/21 | 44,987,100 | |||||||||||
16,800,000 | 0.573 | 02/25/21 | 16,777,525 | |||||||||||
112,700,000 | 1.308 | 02/25/21 | 112,358,081 | |||||||||||
140,000,000 | 0.096 | 03/02/21 | 139,966,381 | |||||||||||
199,946,200 | 0.086 | (a) | 03/04/21 | 199,903,240 | ||||||||||
500,000,000 | 0.106 | 03/04/21 | 499,864,375 | |||||||||||
75,000,000 | 0.117 | 03/04/21 | 74,977,719 | |||||||||||
150,000,000 | 0.107 | 03/09/21 | 149,957,125 | |||||||||||
495,500,000 | 0.101 | 03/11/21 | 495,362,361 | |||||||||||
15,000,000 | 0.127 | 03/11/21 | 14,994,792 | |||||||||||
117,725,000 | 0.086 | (a) | 03/16/21 | 117,695,814 | ||||||||||
100,000,000 | 0.112 | 03/16/21 | 99,967,916 | |||||||||||
113,050,000 | 0.096 | 03/18/21 | 113,018,079 | |||||||||||
10,500,000 | 0.114 | 03/23/21 | 10,496,341 | |||||||||||
10,500,000 | 0.115 | 03/23/21 | 10,496,309 | |||||||||||
3,100,000 | 0.119 | 03/23/21 | 3,098,867 | |||||||||||
254,000,000 | 0.122 | 03/23/21 | 253,905,173 | |||||||||||
320,000,000 | 0.091 | 03/25/21 | 319,908,800 | |||||||||||
86,700,000 | 0.107 | 03/25/21 | 86,671,172 | |||||||||||
110,000,000 | 0.117 | 03/30/21 | 109,958,185 | |||||||||||
229,600,000 | 0.107 | 04/01/21 | 229,518,971 | |||||||||||
50,000,000 | 0.107 | 04/06/21 | 49,981,625 | |||||||||||
4,700,000 | 0.107 | 04/08/21 | 4,698,245 | |||||||||||
5,400,000 | 0.109 | 04/08/21 | 5,397,936 | |||||||||||
41,500,000 | 0.112 | 04/08/21 | 41,483,769 | |||||||||||
|
| |||||||||||||
U.S. Treasury Obligations – (continued) | ||||||||||||||
United States Treasury Bills – (continued) | ||||||||||||||
1,050,000,000 | 0.107 | 04/13/21 | 1,049,592,688 | |||||||||||
100,000,000 | 0.117 | 04/15/21 | 99,956,875 | |||||||||||
140,000,000 | 0.101 | 04/20/21 | 139,945,555 | |||||||||||
48,420,000 | 0.112 | 04/29/21 | 48,397,955 | |||||||||||
460,689,000 | 0.091 | (a) | 05/04/21 | 460,511,635 | ||||||||||
825,000,000 | 0.112 | 05/06/21 | 824,606,751 | |||||||||||
983,500,000 | 0.112 | 05/13/21 | 983,010,163 | |||||||||||
1,150,000,000 | 0.101 | 05/20/21 | 1,149,456,940 | |||||||||||
618,800,000 | 0.090 | 05/27/21 | 618,526,181 | |||||||||||
1,050,000,000 | 0.091 | (a) | 06/03/21 | 1,049,522,250 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill | | ||||||||||||
182,600,000 | 0.200 | (b) | 01/31/21 | 182,596,113 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill | | ||||||||||||
354,100,000 | 0.224 | (b) | 04/30/21 | 354,122,406 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill | | ||||||||||||
674,275,000 | 0.239 | (b) | 01/31/22 | 674,260,577 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill | | ||||||||||||
948,600,000 | 0.305 | (b) | 07/31/21 | 949,030,722 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill | | ||||||||||||
1,850,200,000 | 0.385 | (b) | 10/31/21 | 1,853,437,126 | ||||||||||
United States Treasury Notes | ||||||||||||||
264,000,000 | 1.750 | 12/31/20 | 264,328,968 | |||||||||||
32,800,000 | 2.500 | 12/31/20 | 32,829,386 | |||||||||||
10,300,000 | 1.375 | 01/31/21 | 10,300,030 | |||||||||||
3,900,000 | 2.125 | 01/31/21 | 3,909,405 | |||||||||||
15,700,000 | 2.250 | 02/15/21 | 15,744,487 | |||||||||||
15,700,000 | 3.625 | 02/15/21 | 15,788,927 | |||||||||||
564,900,000 | 1.125 | 02/28/21 | 565,890,665 | |||||||||||
116,100,000 | 2.500 | 02/28/21 | 116,455,231 | |||||||||||
67,300,000 | 2.375 | 03/15/21 | 67,597,266 | |||||||||||
8,200,000 | 2.250 | 03/31/21 | 8,248,471 | |||||||||||
2,500,000 | 2.375 | 04/15/21 | 2,518,625 | |||||||||||
|
| |||||||||||||
| TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENTS | | $ | 27,802,367,343 | ||||||||||
|
| |||||||||||||
Repurchase Agreements(c) – 35.5% | ||||||||||||||
Banco Santander, S.A. | ||||||||||||||
650,000,000 | 0.060 | % | 12/01/20 | $ | 650,000,000 | |||||||||
Maturity Value: $650,001,083 | ||||||||||||||
| Collateralized by a U.S. Treasury Bond, 1.125%, due 05/15/40, | | ||||||||||||
|
| |||||||||||||
Bank of Montreal | ||||||||||||||
61,500,000 | 0.110 | (d) | 12/07/20 | 61,500,000 | ||||||||||
Maturity Value: $61,517,289 | ||||||||||||||
Settlement Date: 11/18/20 | ||||||||||||||
| Collateralized by U.S. Treasury Bonds, 2.500% to 4.375%, due | | ||||||||||||
|
|
34 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE TREASURY OBLIGATIONS FUND
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
Repurchase Agreements(c) – (continued) | ||||||||||||||
Bank of Montreal – (continued) | ||||||||||||||
$ | 61,500,000 | 0.120 | % (d) | 12/07/20 | $ | 61,500,000 | ||||||||
Maturity Value: $61,512,095 | ||||||||||||||
Settlement Date: 11/09/20 | ||||||||||||||
| Collateralized by U.S. Treasury Bonds, 2.500% to 3.875%, due | | ||||||||||||
48,000,000 | 0.130 | (d) | 12/07/20 | 48,000,000 | ||||||||||
Maturity Value: $48,031,547 | ||||||||||||||
Settlement Date: 11/02/20 | ||||||||||||||
| Collateralized by U.S. Treasury Inflation-Indexed Bonds, 2.500% | | ||||||||||||
|
| |||||||||||||
BNP Paribas | ||||||||||||||
350,000,000 | 0.100 | (d)(e) | 12/07/20 | 350,000,000 | ||||||||||
Maturity Value: $350,047,639 | ||||||||||||||
Settlement Date: 12/01/20 | ||||||||||||||
47,000,000 | 0.110 | (d) | 12/07/20 | 47,000,000 | ||||||||||
Maturity Value: $47,013,069 | ||||||||||||||
Settlement Date: 10/16/20 | ||||||||||||||
| Collateralized by a U.S. Treasury Inflation-Indexed Bond, | | ||||||||||||
47,000,000 | 0.110 | (d) | 12/07/20 | 47,000,000 | ||||||||||
Maturity Value: $47,013,212 | ||||||||||||||
Settlement Date: 10/19/20 | ||||||||||||||
| Collateralized by a U.S. Treasury Floating Rate Note, 0.239%, | | ||||||||||||
47,000,000 | 0.110 | (d) | 12/07/20 | 47,000,000 | ||||||||||
Maturity Value: $47,021,829 | ||||||||||||||
Settlement Date: 10/28/20 | ||||||||||||||
| Collateralized by U.S. Treasury Bonds, 2.750% to 8.000%, due | | ||||||||||||
140,000,000 | 0.110 | (d) | 12/07/20 | 140,000,000 | ||||||||||
Maturity Value: $140,077,857 | ||||||||||||||
Settlement Date: 10/27/20 | ||||||||||||||
| Collateralized by a U.S. Treasury Bill, 0.000%, due 11/04/21 and | | ||||||||||||
|
| |||||||||||||
Repurchase Agreements(c) – (continued) | ||||||||||||||
BNP Paribas – (continued) | ||||||||||||||
375,000,000 | 0.110 | %(d) | 12/07/20 | 375,000,000 | ||||||||||
Maturity Value: $375,104,272 | ||||||||||||||
Settlement Date: 10/09/20 | ||||||||||||||
| Collateralized by a U.S. Treasury Bond, 8.125%, due 05/15/21, a | | ||||||||||||
150,000,000 | 0.120 | 05/18/21 | 150,000,000 | |||||||||||
Maturity Value: $150,090,000 | ||||||||||||||
Settlement Date: 11/19/20 | ||||||||||||||
| Collateralized by a U.S. Treasury Inflation-Indexed Bond, | | ||||||||||||
|
| |||||||||||||
BNP Paribas (Overnight Treasury + 0.02%) | ||||||||||||||
700,000,000 | 0.100 | (b)(d) | 12/01/20 | 700,000,000 | ||||||||||
Maturity Value: $703,420,305 | ||||||||||||||
Settlement Date: 02/23/16 | ||||||||||||||
| Collateralized by U.S. Treasury Bills, 0.000%, due 12/31/20 to | | ||||||||||||
|
| |||||||||||||
BofA Securities, Inc. | ||||||||||||||
100,000,000 | 0.030 | 12/01/20 | 100,000,000 | |||||||||||
Maturity Value: $100,000,083 | ||||||||||||||
| Collateralized by a U.S. Treasury Note, 0.500%, due 03/31/25. | | ||||||||||||
100,000,000 | 0.130 | 12/07/20 | 100,000,000 | |||||||||||
Maturity Value: $100,022,389 | ||||||||||||||
Settlement Date: 10/06/20 | ||||||||||||||
| Collateralized by a U.S. Treasury Note, 0.375%, due 11/30/25. | | ||||||||||||
|
| |||||||||||||
Canadian Imperial Bank of Commerce | ||||||||||||||
1,000,000,000 | 0.080 | (d) | 12/07/20 | 1,000,000,000 | ||||||||||
Maturity Value: $1,000,066,666 | ||||||||||||||
Settlement Date: 11/23/20 | ||||||||||||||
| Collateralized by U.S. Treasury Notes, 0.125% to 1.750%, due | | ||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 35 |
FINANCIAL SQUARE TREASURY OBLIGATIONS FUND
Schedule of Investments (continued)
November 30, 2020
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
Repurchase Agreements(c) – (continued) | ||||||||||||||
Canadian Imperial Bank of Commerce – (continued) | ||||||||||||||
$ | 1,000,000,000 | 0.100 | %(d) | 12/07/20 | $ | 1,000,000,000 | ||||||||
Maturity Value: $1,000,191,668 | ||||||||||||||
Settlement Date: 11/17/20 | ||||||||||||||
| Collateralized by U.S. Treasury Bonds, 1.375% to 3.125%, due | | ||||||||||||
71,000,000 | 0.110 | (d) | 12/07/20 | 71,000,000 | ||||||||||
Maturity Value: $71,013,017 | ||||||||||||||
Settlement Date: 11/06/20 | ||||||||||||||
| Collateralized by U.S. Treasury Notes, 0.125% to 2.625%, due | | ||||||||||||
|
| |||||||||||||
Citigroup Global Markets Inc. | ||||||||||||||
17,000,000 | 0.080 | 12/01/20 | 17,000,000 | |||||||||||
Maturity Value: $17,000,038 | ||||||||||||||
| Collateralized by U.S. Treasury Bills, 0.000%, due 06/17/21 to | | ||||||||||||
|
| |||||||||||||
Credit Agricole Corporate and Investment Bank | ||||||||||||||
100,000,000 | 0.030 | % | 12/01/20 | 100,000,000 | ||||||||||
Maturity Value: $100,000,083 | ||||||||||||||
| Collateralized by U.S. Treasury Bonds, 1.125% to 3.375%, due | | ||||||||||||
|
| |||||||||||||
Daiwa Capital Markets America Inc. | ||||||||||||||
135,845,594 | 0.100 | 12/01/20 | 135,845,594 | |||||||||||
Maturity Value: $135,845,971 | ||||||||||||||
| Collateralized by a U.S. Treasury Note, 0.625%, due 03/31/27. | | ||||||||||||
364,154,406 | 0.100 | 12/01/20 | 364,154,406 | |||||||||||
Maturity Value: $364,155,418 | ||||||||||||||
| Collateralized by a U.S. Treasury Note, 2.000%, due 05/31/24. | | ||||||||||||
|
| |||||||||||||
Fixed Income Clearing Corp. | ||||||||||||||
4,400,000,000 | 0.090 | 12/01/20 | 4,400,000,000 | |||||||||||
Maturity Value: $4,400,011,000 | ||||||||||||||
| Collateralized by U.S. Treasury Bonds, 2.750% to 4.375%, due | | ||||||||||||
|
| |||||||||||||
Repurchase Agreements(c) – (continued) | ||||||||||||||
Fixed Income Clearing Corp. – (continued) | ||||||||||||||
2,100,000,000 | 0.100 | 12/01/20 | 2,100,000,000 | |||||||||||
Maturity Value: $2,100,005,833 | ||||||||||||||
| Collateralized by U.S. Treasury Bonds, 3.375% to 4.500%, due | | ||||||||||||
|
| |||||||||||||
HSBC Bank PLC (Overnight Treasury + 0.02%) | ||||||||||||||
100,000,000 | 0.120 | (b) | 12/07/20 | 100,000,000 | ||||||||||
Maturity Value: $100,171,998 | ||||||||||||||
Settlement Date: 07/11/19 | ||||||||||||||
| Collateralized by U.S. Treasury Notes, 0.250% to 2.750%, due | | ||||||||||||
175,000,000 | 0.120 | (b) | 12/07/20 | 175,000,000 | ||||||||||
Maturity Value: $175,322,580 | ||||||||||||||
Settlement Date: 06/04/19 | ||||||||||||||
| Collateralized by U.S. Treasury Notes, 0.239% to 2.750%, due | | ||||||||||||
|
| |||||||||||||
J.P. Morgan Securities LLC | ||||||||||||||
6,900,000 | 0.080 | 12/01/20 | 6,900,000 | |||||||||||
Maturity Value: $6,900,015 | ||||||||||||||
| Collateralized by U.S. Treasury Bills, 0.000%, due 12/08/20 to | | ||||||||||||
|
| |||||||||||||
Joint Account I | ||||||||||||||
1,000,000,000 | 0.080 | % | 12/01/20 | 1,000,000,000 | ||||||||||
Maturity Value: $1,000,002,208 | ||||||||||||||
|
| |||||||||||||
MUFG Securities Americas Inc. | ||||||||||||||
2,000,000 | 0.080 | 12/01/20 | 2,000,000 | |||||||||||
Maturity Value: $2,000,004 | ||||||||||||||
| Collateralized by a U.S. Treasury Bill, 0.000%, due 04/27/21, | | ||||||||||||
100,000,000 | 0.120 | 01/05/21 | 100,000,000 | |||||||||||
Maturity Value: $100,020,333 | ||||||||||||||
Settlement Date: 11/05/20 | ||||||||||||||
| Collateralized by U.S. Treasury Inflation-Indexed Bonds, 0.250% | | ||||||||||||
|
|
36 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE TREASURY OBLIGATIONS FUND
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
Repurchase Agreements(c) – (continued) | ||||||||||||||
MUFG Securities Americas Inc. (Overnight Treasury + 0.03%) | ||||||||||||||
$ | 50,000,000 | 0.110 | % (b) | 12/07/20 | $ | 50,000,000 | ||||||||
Maturity Value: $50,007,486 | ||||||||||||||
Settlement Date: 10/20/20 | ||||||||||||||
| Collateralized by U.S. Treasury Inflation-Indexed Bonds, 0.250% | | ||||||||||||
|
| |||||||||||||
Norinchukin Bank (The) | ||||||||||||||
150,000,000 | 0.110 | 12/16/20 | 150,000,000 | |||||||||||
Maturity Value: $150,010,083 | ||||||||||||||
Settlement Date: 11/24/20 | ||||||||||||||
| Collateralized by a U.S. Treasury Bond, 6.125%, due 08/15/29, a | | ||||||||||||
|
| |||||||||||||
Wells Fargo Securities, LLC | ||||||||||||||
150,000,000 | 0.020 | 12/01/20 | 150,000,000 | |||||||||||
Maturity Value: $150,000,083 | ||||||||||||||
| Collateralized by U.S. Treasury Bonds, 2.750% to 3.750%, due 11/15/43 to | | ||||||||||||
|
| |||||||||||||
TOTAL REPURCHASE AGREEMENTS | $ | 13,798,900,000 | ||||||||||||
|
| |||||||||||||
TOTAL INVESTMENTS – 107.0% | $ | 41,601,267,343 | ||||||||||||
|
| |||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (7.0)% | | (2,715,768,555 | ) | ||||||||||
|
| |||||||||||||
NET ASSETS – 100.0% | $ | 38,885,498,788 | ||||||||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | All or a portion represents a forward commitment. | |
(b) | Variable or floating rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on November 30, 2020. | |
(c) | Unless noted, all repurchase agreements were entered into on November 30, 2020. Additional information on Joint Repurchase Agreement Account I appears in the Additional Investment Information section. | |
(d) | The instrument is subject to a demand feature. | |
(e) | All or a portion represents a forward commitment. Forward settling repurchase agreements will be collateralized at settlement. |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities, the date of the next interest rate reset for variable rate securities, or the prerefunded date for those types of securities.
| ||
Investment Abbreviations: | ||
MMY | —Money Market Yield | |
T-Bill | —Treasury Bill | |
|
The accompanying notes are an integral part of these financial statements. | 37 |
FINANCIAL SQUARE TREASURY SOLUTIONS FUND
Schedule of Investments
November 30, 2020
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
U.S. Treasury Obligations – 104.2% | ||||||||||||||
United States Treasury Bills | ||||||||||||||
$ | 1,700,000 | 0.025 | % | 12/01/20 | $ | 1,700,000 | ||||||||
65,000,000 | 0.051 | 12/01/20 | 65,000,000 | |||||||||||
136,800,000 | 0.086 | 12/01/20 | 136,800,000 | |||||||||||
35,000,000 | 0.112 | 12/01/20 | 35,000,000 | |||||||||||
48,500,000 | 0.168 | 12/01/20 | 48,500,000 | |||||||||||
57,400,000 | 0.041 | 12/03/20 | 57,399,872 | |||||||||||
70,600,000 | 0.046 | 12/03/20 | 70,599,824 | |||||||||||
29,000,000 | 0.102 | 12/03/20 | 28,999,839 | |||||||||||
14,800,000 | 0.112 | 12/03/20 | 14,799,910 | |||||||||||
245,000,000 | 0.092 | 12/08/20 | 244,995,712 | |||||||||||
7,200,000 | 0.142 | 12/08/20 | 7,199,804 | |||||||||||
95,000,000 | 0.158 | 12/08/20 | 94,997,137 | |||||||||||
25,000,000 | 0.071 | 12/10/20 | 24,999,563 | |||||||||||
450,000,000 | 0.081 | 12/10/20 | 449,991,000 | |||||||||||
72,300,000 | 0.112 | 12/10/20 | 72,298,012 | |||||||||||
3,100,000 | 0.114 | 12/10/20 | 3,099,913 | |||||||||||
4,100,000 | 0.117 | 12/10/20 | 4,099,882 | |||||||||||
450,000,000 | 0.097 | 12/15/20 | 449,983,375 | |||||||||||
7,800,000 | 0.122 | 12/15/20 | 7,799,636 | |||||||||||
75,000,000 | 0.158 | 12/15/20 | 74,995,479 | |||||||||||
36,100,000 | 0.112 | 12/17/20 | 36,098,235 | |||||||||||
200,100,000 | 0.188 | 12/17/20 | 200,083,547 | |||||||||||
52,000,000 | 0.081 | 12/22/20 | 51,997,573 | |||||||||||
600,000 | 0.107 | 12/22/20 | 599,963 | |||||||||||
9,400,000 | 0.132 | 12/22/20 | 9,399,287 | |||||||||||
85,000,000 | 0.112 | 12/24/20 | 84,994,026 | |||||||||||
139,000,000 | 0.178 | 12/24/20 | 138,984,459 | |||||||||||
650,000,000 | 0.086 | 12/29/20 | 649,957,029 | |||||||||||
1,800,000 | 0.112 | 12/29/20 | 1,799,846 | |||||||||||
21,700,000 | 0.124 | 12/29/20 | 21,697,941 | |||||||||||
400,000,000 | 0.097 | 12/31/20 | 399,968,333 | |||||||||||
500,000 | 0.112 | 12/31/20 | 499,954 | |||||||||||
5,600,000 | 0.163 | 12/31/20 | 5,599,253 | |||||||||||
195,000,000 | 0.168 | 12/31/20 | 194,973,187 | |||||||||||
250,000,000 | 0.086 | 01/05/21 | 249,979,341 | |||||||||||
32,500,000 | 0.112 | 01/05/21 | 32,496,524 | |||||||||||
550,000,000 | 0.076 | 01/07/21 | 549,957,604 | |||||||||||
3,500,000 | 0.102 | 01/07/21 | 3,499,640 | |||||||||||
100,000,000 | 0.122 | 01/07/21 | 99,987,667 | |||||||||||
125,000,000 | 0.092 | 01/12/21 | 124,986,875 | |||||||||||
400,000 | 0.112 | 01/12/21 | 399,949 | |||||||||||
11,400,000 | 0.102 | 01/14/21 | 11,398,607 | |||||||||||
600,000 | 0.117 | 01/14/21 | 599,916 | |||||||||||
232,500,000 | 0.148 | 01/14/21 | 232,458,796 | |||||||||||
99,000,000 | 0.122 | 01/19/21 | 98,983,830 | |||||||||||
145,200,000 | 0.132 | 01/21/21 | 145,173,259 | |||||||||||
325,000,000 | 0.081 | (a) | 01/26/21 | 324,959,557 | ||||||||||
227,900,000 | 0.132 | 01/28/21 | 227,852,268 | |||||||||||
14,800,000 | 0.112 | 02/02/21 | 14,797,151 | |||||||||||
85,000,000 | 0.107 | 02/04/21 | 84,983,885 | |||||||||||
60,000,000 | 0.112 | 02/11/21 | 59,986,800 | |||||||||||
143,130,000 | 0.122 | 02/11/21 | 143,095,649 | |||||||||||
265,000,000 | 0.097 | 02/16/21 | 264,946,153 | |||||||||||
52,500,000 | 0.102 | 02/23/21 | 52,487,750 | |||||||||||
55,000,000 | 0.122 | 02/25/21 | 54,984,233 | |||||||||||
|
| |||||||||||||
U.S. Treasury Obligations – (continued) | ||||||||||||||
United States Treasury Bills – (continued) | ||||||||||||||
9,500,000 | 0.573 | 02/25/21 | 9,487,291 | |||||||||||
62,700,000 | 1.308 | 02/25/21 | 62,509,775 | |||||||||||
60,000,000 | 0.096 | 03/02/21 | 59,985,592 | |||||||||||
24,755,200 | 0.086 | (a) | 03/04/21 | 24,749,881 | ||||||||||
100,000,000 | 0.106 | 03/04/21 | 99,972,875 | |||||||||||
110,000,000 | 0.107 | 03/09/21 | 109,968,558 | |||||||||||
100,000,000 | 0.101 | 03/11/21 | 99,972,222 | |||||||||||
65,000,000 | 0.127 | 03/11/21 | 64,977,431 | |||||||||||
175,000,000 | 0.112 | 03/16/21 | 174,943,854 | |||||||||||
45,300,000 | 0.096 | 03/18/21 | 45,287,209 | |||||||||||
55,000,000 | 0.122 | 03/18/21 | 54,980,383 | |||||||||||
8,700,000 | 0.114 | 03/23/21 | 8,696,969 | |||||||||||
8,700,000 | 0.115 | 03/23/21 | 8,696,941 | |||||||||||
2,600,000 | 0.119 | 03/23/21 | 2,599,050 | |||||||||||
105,100,000 | 0.122 | 03/23/21 | 105,060,763 | |||||||||||
70,000,000 | 0.091 | 03/25/21 | 69,980,050 | |||||||||||
71,500,000 | 0.107 | 03/25/21 | 71,476,226 | |||||||||||
175,000,000 | 0.117 | 03/30/21 | 174,933,476 | |||||||||||
246,000,000 | 0.107 | 04/01/21 | 245,913,183 | |||||||||||
185,000,000 | 0.107 | 04/06/21 | 184,932,013 | |||||||||||
5,000,000 | 0.107 | 04/08/21 | 4,998,133 | |||||||||||
5,800,000 | 0.109 | 04/08/21 | 5,797,783 | |||||||||||
192,600,000 | 0.112 | 04/08/21 | 192,524,672 | |||||||||||
110,000,000 | 0.107 | 04/13/21 | 109,957,329 | |||||||||||
40,000,000 | 0.117 | 04/15/21 | 39,982,750 | |||||||||||
60,000,000 | 0.101 | 04/20/21 | 59,976,667 | |||||||||||
200,000,000 | 0.117 | 04/22/21 | 199,909,278 | |||||||||||
48,420,000 | 0.112 | 04/29/21 | 48,397,955 | |||||||||||
235,000,000 | 0.112 | 05/06/21 | 234,887,984 | |||||||||||
204,300,000 | 0.112 | 05/13/21 | 204,198,247 | |||||||||||
275,000,000 | 0.101 | 05/20/21 | 274,870,138 | |||||||||||
100,000,000 | 0.090 | 05/27/21 | 99,955,750 | |||||||||||
162,500,000 | 0.091 | (a) | 06/03/21 | 162,426,063 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill | | ||||||||||||
123,800,000 | 0.200 | (b) | 01/31/21 | 123,800,953 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill | | ||||||||||||
546,500,000 | 0.224 | (b) | 04/30/21 | 546,563,341 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill | | ||||||||||||
310,800,000 | 0.239 | (b) | 01/31/22 | 310,795,767 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill | | ||||||||||||
887,950,000 | 0.305 | (b) | 07/31/21 | 888,483,177 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill | | ||||||||||||
545,700,000 | 0.385 | (b) | 10/31/21 | 546,237,921 | ||||||||||
United States Treasury Notes | ||||||||||||||
17,900,000 | 1.875 | 12/15/20 | 17,908,209 | |||||||||||
80,000,000 | 1.750 | 12/31/20 | 80,105,133 | |||||||||||
28,200,000 | 2.500 | 12/31/20 | 28,231,232 | |||||||||||
5,700,000 | 1.375 | 01/31/21 | 5,700,016 | |||||||||||
2,300,000 | 2.125 | 01/31/21 | 2,305,547 | |||||||||||
9,000,000 | 2.250 | 02/15/21 | 9,025,622 | |||||||||||
9,000,000 | 3.625 | 02/15/21 | 9,051,099 | |||||||||||
|
|
38 | The accompanying notes are an integral part of these financial statements. |
FINANCIAL SQUARE TREASURY SOLUTIONS FUND
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
U.S. Treasury Obligations – (continued) | ||||||||||||||
United States Treasury Notes – (continued) | ||||||||||||||
$ | 106,900,000 | 2.500 | % | 02/28/21 | $ | 107,280,144 | ||||||||
58,000,000 | 2.375 | 03/15/21 | 58,280,381 | |||||||||||
1,800,000 | 2.250 | 03/31/21 | 1,810,852 | |||||||||||
1,100,000 | 2.375 | 04/15/21 | 1,108,237 | |||||||||||
|
| |||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS | | $ | 12,521,621,167 | ||||||||||
|
| |||||||||||||
TOTAL INVESTMENTS – 104.2% | $ | 12,521,621,167 | ||||||||||||
|
| |||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (4.2)% | | (509,943,086 | ) | ||||||||||
|
| |||||||||||||
NET ASSETS – 100.0% | $ | 12,011,678,081 | ||||||||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | All or a portion represents a forward commitment. | |
(b) | Variable or floating rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on November 30, 2020. |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities, the date of the next interest rate reset for variable rate securities, or the prerefunded date for those types of securities.
| ||
Investment Abbreviations: | ||
MMY | — Money Market Yield | |
T-Bill | — Treasury Bill | |
|
The accompanying notes are an integral part of these financial statements. | 39 |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Schedule of Investments (continued)
November 30, 2020
ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT I — At November 30, 2020, certain Funds had undivided interests in the Joint Repurchase Agreement Account I with a maturity date of December 1, 2020, as follows:
Fund | Principal Amount | Maturity Value | Collateral Value Allocation | |||||||||
Government | $ | 1,000,000,000 | $ | 1,000,002,208 | $ | 1,006,489,864 | ||||||
Treasury Obligations | 1,000,000,000 | 1,000,002,208 | 1,006,489,864 |
REPURCHASE AGREEMENTS — At November 30, 2020, the Principal Amounts of certain Funds’ interest in the Joint Repurchase Agreement Account I were as follows:
Counterparty | Interest Rate | Government | Treasury Obligations | |||||||||
Bank of Nova Scotia (The) | 0.080 | % | $ | 600,000,000 | $ | 600,000,000 | ||||||
BNP Paribus | 0.080 | 350,000,000 | 350,000,000 | |||||||||
Wells Fargo Securities, LLC | 0.070 | 50,000,000 | 50,000,000 | |||||||||
TOTAL | $ | 1,000,000,000 | $ | 1,000,000,000 |
At November 30, 2020, the Joint Repurchase Agreement Account I was fully collateralized by:
Issuer | Interest Rates | Maturity Dates | ||||||
U.S. Treasury Bills | 0.000 | % | 01/07/21 to 09/09/21 | |||||
U.S. Treasury Bonds | 1.375 to 7.625 | 11/15/22 to 02/15/50 | ||||||
U.S. Treasury Inflation-Indexed Bonds | 0.250 to 2.375 | 01/15/25 to 02/15/50 | ||||||
U.S. Treasury Inflation-Indexed Notes | 0.125 to 0.750 | 04/15/24 to 07/15/30 | ||||||
U.S. Treasury Interest-Only Stripped Securities | 0.000 | 05/15/27 to 05/15/48 | ||||||
U.S. Treasury Notes | 0.125 to 3.125 | 03/31/21 to 11/15/30 | ||||||
U.S. Treasury Principal-Only Stripped Securities | 0.000 | 02/15/36 to 11/15/49 |
40 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
ADDITIONAL INVESTMENT INFORMATION (continued) |
JOINT REPURCHASE AGREEMENT ACCOUNT III — At November 30, 2020, certain Funds had undivided interests in the Joint Repurchase Agreement Account I with a maturity date of December 1, 2020, as follows:
Fund | Principal Amount | Maturity Value | Collateral Value Allocation | |||||||||
Government | $ | 1,605,900,000 | $ | 1,605,904,461 | $ | 1,652,866,465 | ||||||
Money Market | 300,000,000 | 300,000,833 | 308,773,859 | |||||||||
Prime Obligations | 300,000,000 | 300,000,833 | 308,773,859 |
REPURCHASE AGREEMENTS — At November 30, 2020, the Principal Amounts of certain Funds’ interest in the Joint Repurchase Agreement Account III were as follows:
Counterparty | Interest Rate | Government | Money Market | Prime Obligations | ||||||||||||
ABN Amro Bank N.V. | 0.100 | % | $ | 505,561,111 | $ | 94,444,444 | $ | 94,444,444 | ||||||||
Bank of America, N.A. | 0.100 | 297,388,889 | 55,555,556 | 55,555,556 | ||||||||||||
BofA Securities, Inc. | 0.100 | 208,172,222 | 38,888,889 | 38,888,889 | ||||||||||||
Bank of Nova Scotia (The) | 0.100 | 594,777,778 | 111,111,111 | 111,111,111 | ||||||||||||
TOTAL | $ | 1,605,900,000 | $ | 300,000,000 | $ | 300,000,000 |
At November 30, 2020, the Joint Repurchase Agreement Account III was fully collateralized by:
Issuer | Interest Rates | Maturity Dates | ||||||
Federal Home Loan Mortgage Corp. | 2.000 to 5.500 | % | 01/01/24 to 12/01/50 | |||||
Federal National Mortgage Association | 2.000 to 5.500 | 07/01/25 to 10/01/50 | ||||||
Government National Mortgage Association | 2.000 to 4.000 | 07/20/45 to 08/20/50 | ||||||
U.S. Treasury Bills | 0.000 | 01/28/21 to 08/12/21 | ||||||
U.S. Treasury Bonds | 3.000 | 11/15/44 | ||||||
U.S. Treasury Inflation-Indexed Notes | 0.250 | 7/15/29 | ||||||
U.S. Treasury Notes | 0.125 to 2.750 | 11/30/22 to 05/15/29 |
The accompanying notes are an integral part of these financial statements. | 41 |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Statements of Assets and Liabilities
November 30, 2020
Federal Instruments Fund | Government Fund | Money Market | Prime Obligations Fund | |||||||||||||||
Assets: | ||||||||||||||||||
Investments , at value (cost $4,250,827,177, $118,245,750,181, $3,098,549,065 and $2,311,373,994) | $ | 4,250,827,177 | $ | 118,245,750,181 | $ | 3,098,658,021 | $ | 2,311,454,420 | ||||||||||
Repurchase agreements , at value (cost $0, $54,640,954,000, $1,048,000,000 and $758,500,000) | — | 54,640,954,000 | 1,048,002,064 | 758,501,307 | ||||||||||||||
Cash | 1,066,828 | 1,092,181,605 | — | 450,927 | ||||||||||||||
Receivables: | ||||||||||||||||||
Interest | 449,542 | 31,145,403 | 199,807 | 141,457 | ||||||||||||||
Reimbursement from investment advisor | 333,255 | 10,137,601 | 73,138 | 78,687 | ||||||||||||||
Fund shares sold | 32,153 | 16,457,852 | — | 4,717,947 | ||||||||||||||
Other assets | 138,516 | 8,820,438 | 124,994 | 109,348 | ||||||||||||||
Total assets | 4,252,847,471 | 174,045,447,080 | 4,147,058,024 | 3,075,454,093 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Due to custodian | — | — | 172,950 | — | ||||||||||||||
Payables: | ||||||||||||||||||
Investments purchased | 442,550,760 | 5,912,620,409 | 85,477,687 | 94,111,437 | ||||||||||||||
Management fees | 335,819 | 20,385,804 | 577,956 | 407,555 | ||||||||||||||
Fund shares redeemed | 301,014 | 14,968,687 | — | 7,351,808 | ||||||||||||||
Distribution and Service fees and Transfer Agency fees | 86,975 | 1,180,429 | 36,119 | 25,285 | ||||||||||||||
Dividend distribution | 7,087 | 1,380,726 | 63,168 | 18,036 | ||||||||||||||
Payable to Broker | — | 2,927,813 | — | — | ||||||||||||||
Accrued expenses | 458,766 | 11,720,052 | 342,151 | 253,276 | ||||||||||||||
Total liabilities | 443,740,421 | 5,965,183,920 | 86,670,031 | 102,167,397 | ||||||||||||||
Net Assets: | ||||||||||||||||||
Paid-in capital | 3,809,029,227 | 168,080,051,383 | 4,066,765,801 | 2,972,914,530 | ||||||||||||||
Total distributable earnings (loss) | 77,823 | 211,777 | (6,377,808 | ) | 372,166 | |||||||||||||
NET ASSETS | $ | 3,809,107,050 | $ | 168,080,263,160 | $ | 4,060,387,993 | $ | 2,973,286,696 | ||||||||||
Net Assets: | ||||||||||||||||||
Class A Shares | $ | — | $ | 282,556,394 | $ | — | $ | — | ||||||||||
Class C Shares | — | 6,326,992 | — | — | ||||||||||||||
Institutional Shares | 3,639,742,351 | 154,904,106,175 | 4,042,144,683 | 2,747,965,330 | ||||||||||||||
Capital Shares | 3,267,130 | 1,435,345,003 | 11,540,663 | 911,421 | ||||||||||||||
Service Shares | 10,277,455 | 860,075,253 | 2,655 | 9,178 | ||||||||||||||
Preferred Shares | 6,019,198 | 820,201,211 | 65,877 | 3,363,975 | ||||||||||||||
Select Shares | 49,422 | 448,540,068 | 2,361,279 | 38,230,180 | ||||||||||||||
Administration Shares | 76,144,397 | 5,706,516,813 | 4,269,716 | 81,919,695 | ||||||||||||||
Cash Management Shares | 73,555,208 | 168,903,263 | 1,033 | 1,034 | ||||||||||||||
Premier Shares | 51,889 | 219,114,181 | 1,049 | 1,048 | ||||||||||||||
Resource Shares | — | 93,980,731 | 1,038 | 1,037 | ||||||||||||||
Class R6 Shares | — | 91,629,579 | — | — | ||||||||||||||
Drexel Hamilton Shares | — | 3,042,967,497 | — | 100,883,798 | ||||||||||||||
Total Net Assets | $ | 3,809,107,050 | $ | 168,080,263,160 | $ | 4,060,387,993 | $ | 2,973,286,696 | ||||||||||
Shares outstanding $0.001 par value (unlimited number of shares authorized): | ||||||||||||||||||
Class A Shares | — | 282,556,024 | — | — | ||||||||||||||
Class C Shares | — | 6,326,984 | — | — | ||||||||||||||
Institutional Shares | 3,639,672,691 | 154,903,905,969 | 4,038,892,932 | 2,745,136,918 | ||||||||||||||
Capital Shares | 3,267,068 | 1,435,343,148 | 11,529,680 | 910,563 | ||||||||||||||
Service Shares | 10,277,258 | 860,074,141 | 2,655 | 9,177 | ||||||||||||||
Preferred Shares | 6,019,083 | 820,200,151 | 65,822 | 3,361,301 | ||||||||||||||
Select Shares | 49,421 | 448,539,488 | 2,359,634 | 38,192,616 | ||||||||||||||
Administration Shares | 76,142,940 | 5,706,509,437 | 4,266,598 | 81,838,335 | ||||||||||||||
Cash Management Shares | 73,553,801 | 168,903,046 | 1,033 | 1,033 | ||||||||||||||
Premier Shares | 51,888 | 219,113,898 | 1,049 | 1,048 | ||||||||||||||
Resource Shares | — | 93,980,610 | 1,039 | 1,038 | ||||||||||||||
Class R6 Shares | — | 91,629,459 | — | — | ||||||||||||||
Drexel Hamilton Shares | — | 3,042,963,564 | — | 100,786,770 | ||||||||||||||
Net asset value, offering and redemption price per share: | ||||||||||||||||||
Class A Shares | $— | $1.00 | $— | $— | ||||||||||||||
Class C Shares | — | 1.00 | — | — | ||||||||||||||
Institutional Shares | 1.00 | 1.00 | 1.0008 | 1.0010 | ||||||||||||||
Capital Shares | 1.00 | 1.00 | 1.0010 | 1.0009 | ||||||||||||||
Service Shares | 1.00 | 1.00 | 1.0000 | 1.0001 | ||||||||||||||
Preferred Shares | 1.00 | 1.00 | 1.0008 | 1.0008 | ||||||||||||||
Select Shares | 1.00 | 1.00 | 1.0007 | 1.0010 | ||||||||||||||
Administration Shares | 1.00 | 1.00 | 1.0007 | 1.0010 | ||||||||||||||
Cash Management Shares | 1.00 | 1.00 | 0.9999 | 1.0000 | ||||||||||||||
Premier Shares | 1.00 | 1.00 | 1.0000 | 1.0000 | ||||||||||||||
Resource Shares | — | 1.00 | 0.9999 | 1.0000 | ||||||||||||||
Class R6 Shares | — | 1.00 | — | — | ||||||||||||||
Drexel Hamilton Shares | — | 1.00 | — | 1.0010 |
42 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Statements of Assets and Liabilities (continued)
November 30, 2020
Treasury Fund | Treasury Fund | Treasury Solutions | ||||||||||||
Assets: |
| |||||||||||||
Investments , at value (cost $82,988,868,829, $27,802,367,343 and $12,521,621,167) | $ | 82,988,868,829 | $ | 27,802,367,343 | $ | 12,521,621,167 | ||||||||
Repurchase agreements , at value (cost $0, $13,798,900,000 and $0) | — | 13,798,900,000 | — | |||||||||||
Cash | 55,475,314 | 1,271,486,840 | 696,627 | |||||||||||
Receivables: | ||||||||||||||
Interest | 24,813,495 | 6,714,143 | 2,840,816 | |||||||||||
Fund shares sold | 751,504 | — | 59,472 | |||||||||||
Reimbursement from investment advisor | — | — | 42,805 | |||||||||||
Other assets | 2,194,330 | 847,130 | 320,628 | |||||||||||
Total assets | 83,072,103,472 | 42,880,315,456 | 12,525,581,515 | |||||||||||
Liabilities: | ||||||||||||||
Payables: | ||||||||||||||
Investments purchased | 4,139,032,168 | 3,668,990,140 | 512,135,500 | |||||||||||
Management fees | 9,465,385 | 2,410,655 | 1,431,897 | |||||||||||
Fund shares redeemed | 6,663,681 | 317,712,104 | 52,986 | |||||||||||
Dividend distribution | 170,869 | 542,952 | — | |||||||||||
Payable to Broker | — | 4,766,370 | — | |||||||||||
Accrued expenses | 1,013,280 | 394,447 | 283,051 | |||||||||||
Total liabilities | 4,156,345,383 | 3,994,816,668 | 513,903,434 | |||||||||||
Net Assets: | ||||||||||||||
Paid-in capital | 78,915,274,167 | 38,885,213,264 | 12,011,554,796 | |||||||||||
Total distributable earnings (loss) | 483,922 | 285,524 | 123,285 | |||||||||||
NET ASSETS | $ | 78,915,758,089 | $ | 38,885,498,788 | $ | 12,011,678,081 | ||||||||
Net Assets: | ||||||||||||||
Institutional Shares | $ | 75,892,231,825 | $ | 34,576,104,126 | $ | 10,518,867,440 | ||||||||
Capital Shares | 675,658,567 | 330,015,549 | 234,343,996 | |||||||||||
Service Shares | 122,542,207 | 911,412,840 | 240,184,041 | |||||||||||
Preferred Shares | 137,606,922 | 440,733,459 | 59,339,970 | |||||||||||
Select Shares | 336,761,402 | 213,173,594 | 6,547,483 | |||||||||||
Administration Shares | 1,578,688,982 | 2,380,298,551 | 610,538,707 | |||||||||||
Cash Management Shares | 9,743,578 | 20,187,068 | 262,647,291 | |||||||||||
Premier Shares | 162,523,579 | 13,572,572 | 79,208,125 | |||||||||||
Resource Shares | 1,027 | 1,029 | 1,028 | |||||||||||
Total Net Assets | $ | 78,915,758,089 | $ | 38,885,498,788 | $ | 12,011,678,081 | ||||||||
Shares outstanding $0.001 par value (unlimited number of shares authorized): | ||||||||||||||
Institutional Shares | 75,891,768,871 | 34,575,849,991 | 10,518,759,479 | |||||||||||
Capital Shares | 675,654,446 | 330,013,146 | 234,341,591 | |||||||||||
Service Shares | 122,541,460 | 911,406,202 | 240,181,575 | |||||||||||
Preferred Shares | 137,606,082 | 440,730,249 | 59,339,361 | |||||||||||
Select Shares | 336,759,348 | 213,172,041 | 6,547,416 | |||||||||||
Administration Shares | 1,578,679,353 | 2,380,281,215 | 610,532,440 | |||||||||||
Cash Management Shares | 9,743,519 | 20,186,920 | 262,644,595 | |||||||||||
Premier Shares | 162,522,588 | 13,572,473 | 79,207,312 | |||||||||||
Resource Shares | 1,027 | 1,029 | 1,028 | |||||||||||
Net asset value, offering and redemption price per share: | ||||||||||||||
Institutional Shares | $1.00 | $1.00 | $1.00 | |||||||||||
Capital Shares | 1.00 | 1.00 | 1.00 | |||||||||||
Service Shares | 1.00 | 1.00 | 1.00 | |||||||||||
Preferred Shares | 1.00 | 1.00 | 1.00 | |||||||||||
Select Shares | 1.00 | 1.00 | 1.00 | |||||||||||
Administration Shares | 1.00 | 1.00 | 1.00 | |||||||||||
Cash Management Shares | 1.00 | 1.00 | 1.00 | |||||||||||
Premier Shares | 1.00 | 1.00 | 1.00 | |||||||||||
Resource Shares | 1.00 | 1.00 | 1.00 |
The accompanying notes are an integral part of these financial statements. | 43 |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Statements of Operations
Federal Instruments Fund | Government Fund | |||||||||||||||||
For the Period Ended November 30, 2020† | Year Ended August 31, 2020 | For the Period Ended November 30, 2020† | Year Ended August 31, 2020 | |||||||||||||||
Investment Income: | ||||||||||||||||||
Interest income | $ | 1,290,351 | $ | 21,438,590 | $ | 77,237,878 | $ | 1,445,995,596 | ||||||||||
Interest income — from affiliated issuers | — | — | — | 124,028 | ||||||||||||||
Total investment income | 1,290,351 | 21,438,590 | 77,237,878 | 1,446,119,624 | ||||||||||||||
Expenses: | ||||||||||||||||||
Fund-Level Expenses: | ||||||||||||||||||
Management fees | 1,546,757 | 4,655,574 | 69,363,116 | 258,645,980 | ||||||||||||||
Transfer Agency fees | 85,930 | 258,643 | 4,335,195 | 16,165,374 | ||||||||||||||
Professional fees | 49,407 | 124,514 | 49,486 | 158,255 | ||||||||||||||
Printing and mailing fees | 46,356 | — | 228,042 | 973,833 | ||||||||||||||
Registration fees | 46,289 | 404,174 | 2,862,037 | 1,593,448 | ||||||||||||||
Custody, accounting and administrative services | 33,101 | 116,950 | 1,333,970 | 5,092,015 | ||||||||||||||
Trustee fees | 6,675 | 23,364 | 76,972 | 281,360 | ||||||||||||||
Shareholder meeting expense | — | 5,487 | — | 503,772 | ||||||||||||||
Other | 13,693 | 33,048 | 113,437 | 594,903 | ||||||||||||||
Subtotal | 1,828,208 | 5,621,754 | 78,362,255 | 284,008,940 | ||||||||||||||
Class Specific Expenses: | ||||||||||||||||||
Cash Management Share fees | 86,699 | 61,909 | 218,910 | 847,195 | ||||||||||||||
Distribution fees — Cash Management Shares | 52,020 | 37,145 | 131,346 | 508,317 | ||||||||||||||
Administration Share fees | 45,840 | 153,932 | 3,377,410 | 14,131,618 | ||||||||||||||
Service Share fees | 6,004 | 25,907 | 594,086 | 2,014,075 | ||||||||||||||
Shareholder Administration Plan fees — Service Shares | 6,003 | 25,906 | 594,086 | 2,014,074 | ||||||||||||||
Preferred Share fees | 2,327 | 12,260 | 251,447 | 1,089,973 | ||||||||||||||
Capital Share fees | 455 | 1,577 | 445,512 | 2,310,644 | ||||||||||||||
Premier Share fees | 45 | 182 | 168,858 | 664,070 | ||||||||||||||
Select Share fees | 4 | 15 | 33,944 | 147,401 | ||||||||||||||
Distribution fees — Resource Shares | — | — | 35,746 | 120,000 | ||||||||||||||
Resource Share fees | — | — | 119,154 | 400,001 | ||||||||||||||
Distribution and Service fees — Class A Shares | — | — | 195,075 | 852,161 | ||||||||||||||
Distribution fees — Class C Shares | — | — | 17,044 | 57,767 | ||||||||||||||
Total expenses | 2,027,605 | 5,940,587 | 84,544,873 | 309,166,236 | ||||||||||||||
Less — expense reductions | (792,945 | ) | (1,845,721 | ) | (8,162,550 | ) | (4,338,240 | ) | ||||||||||
Net expenses | 1,234,660 | 4,094,866 | 76,382,323 | 304,827,996 | ||||||||||||||
NET INVESTMENT INCOME | $ | 55,691 | $ | 17,343,724 | $ | 855,555 | $ | 1,141,291,628 | ||||||||||
Net realized gain from investment transactions | 78,375 | 966,791 | 2,404,541 | 40,401,445 | ||||||||||||||
Net realized gain | 78,375 | 966,791 | 2,404,541 | 40,401,445 | ||||||||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 134,066 | $ | 18,310,515 | $ | 3,260,096 | $ | 1,181,693,073 |
† | The Funds changed their fiscal year end from August 31 to November 30. |
44 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Statements of Operations (continued)
Money Market Fund | Prime Obligations Fund | |||||||||||||||||
For the Period Ended November 30, 2020† | Year Ended August 31, 2020 | For the Period Ended November 30, 2020† | Year Ended August 31, 2020 | |||||||||||||||
Investment Income: | ||||||||||||||||||
Interest income | $ | 2,481,626 | $ | 214,895,888 | $ | 1,790,224 | $ | 89,134,392 | ||||||||||
Total investment income | 2,481,626 | 214,895,888 | 1,790,224 | 89,134,392 | ||||||||||||||
Expenses: | ||||||||||||||||||
Fund-Level Expenses: | ||||||||||||||||||
Management fees | 2,076,090 | 20,621,350 | 1,560,950 | 9,793,299 | ||||||||||||||
Transfer Agency fees | 129,756 | 1,288,834 | 97,559 | 612,081 | ||||||||||||||
Custody, accounting and administrative services | 91,333 | 601,037 | 52,381 | 282,556 | ||||||||||||||
Printing and mailing fees | 68,739 | 50,328 | 63,108 | 64,149 | ||||||||||||||
Registration fees | 60,881 | 734,602 | 56,099 | 376,018 | ||||||||||||||
Professional fees | 54,605 | 116,370 | 31,002 | 199,604 | ||||||||||||||
Trustee fees | 6,407 | 44,941 | 4,419 | 4,115 | ||||||||||||||
Shareholder meeting expense | — | 9,632 | — | 10,034 | ||||||||||||||
Other | 30,887 | 167,556 | 30,784 | 124,944 | ||||||||||||||
Subtotal | 2,518,698 | 23,634,650 | 1,896,302 | 11,466,800 | ||||||||||||||
Class Specific Expenses: | ||||||||||||||||||
Capital Share fees | 4,523 | 21,294 | 357 | 10,785 | ||||||||||||||
Administration Share fees | 2,269 | 12,620 | 33,411 | 92,542 | ||||||||||||||
Preferred Share fees | 421 | 3,183 | 836 | 3,902 | ||||||||||||||
Select Share fees | 177 | 5,878 | 3,880 | 19,802 | ||||||||||||||
Service Share fees | 2 | 59 | 6 | 1,043 | ||||||||||||||
Shareholder Administration Plan fees — Service Shares | 2 | 59 | 6 | 1,042 | ||||||||||||||
Premier Share fees | 1 | 4 | 1 | 4 | ||||||||||||||
Cash Management Share fees | 1 | 5 | 1 | 5 | ||||||||||||||
Distribution fees — Cash Management Shares | 1 | 3 | 1 | 3 | ||||||||||||||
Resource Share fees | 1 | 5 | 1 | 5 | ||||||||||||||
Distribution fees — Resource Shares | — | 2 | — | 2 | ||||||||||||||
Total expenses | 2,526,096 | 23,677,762 | 1,934,802 | 11,595,935 | ||||||||||||||
Less — expense reductions | (135,784 | ) | (4,146,234 | ) | (132,399 | ) | (1,673,045 | ) | ||||||||||
Net expenses | 2,390,312 | 19,531,528 | 1,802,403 | 9,922,890 | ||||||||||||||
NET INVESTMENT INCOME (LOSS) | $ | 91,314 | $ | 195,364,360 | $ | (12,179 | ) | $ | 79,211,502 | |||||||||
Net realized gain (loss) from investment transactions | 125,878 | (7,538,258 | ) | 92,119 | 604,703 | |||||||||||||
Net change in unrealized loss from investment transactions | (461,899 | ) | (4,400,659 | ) | (342,897 | ) | (1,341,419 | ) | ||||||||||
Net realized and unrealized loss | (336,021 | ) | (11,938,917 | ) | (250,778 | ) | (736,716 | ) | ||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (244,707 | ) | $ | 183,425,443 | $ | (262,957 | ) | $ | 78,474,786 |
† | The Funds changed their fiscal year end from August 31 to November 30. |
The accompanying notes are an integral part of these financial statements. | 45 |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Statements of Operations (continued)
Treasury Instruments Fund | Treasury Obligations Fund | |||||||||||||||||
For the Period Ended November 30, 2020† | Year Ended August 31, 2020 | For the Period Ended November 30, 2020† | Year Ended August 31, 2020 | |||||||||||||||
Investment Income: | ||||||||||||||||||
Interest income | $ | 33,876,397 | $ | 734,787,328 | $ | 9,655,333 | $ | 207,727,315 | ||||||||||
Interest income — from affiliated issuers | — | — | — | 34,826 | ||||||||||||||
Total investment income | 33,876,397 | 734,787,328 | 9,655,333 | 207,762,141 | ||||||||||||||
Expenses: | ||||||||||||||||||
Fund-Level Expenses: | ||||||||||||||||||
Management fees | 36,020,782 | 145,037,770 | 10,576,438 | 41,164,599 | ||||||||||||||
Transfer Agency fees | 2,001,154 | 8,057,364 | 587,580 | 2,286,844 | ||||||||||||||
Registration fees | 1,390,449 | 302,320 | 520,802 | 400,311 | ||||||||||||||
Custody, accounting and administrative services | 612,781 | 2,532,760 | 180,431 | 730,975 | ||||||||||||||
Printing and mailing fees | 113,324 | 774,558 | 70,062 | 59,766 | ||||||||||||||
Professional fees | 48,032 | 112,621 | 50,854 | 99,320 | ||||||||||||||
Trustee fees | 36,019 | 146,675 | 14,070 | 56,626 | ||||||||||||||
Shareholder meeting expense | — | 560,182 | — | 15,569 | ||||||||||||||
Other | 75,700 | 349,452 | 43,525 | 164,930 | ||||||||||||||
Subtotal | 40,298,241 | 157,873,702 | 12,043,762 | 44,978,940 | ||||||||||||||
Class Specific Expenses: | ||||||||||||||||||
Administration Share fees | 1,037,052 | 4,304,049 | 1,409,131 | 5,272,818 | ||||||||||||||
Capital Share fees | 239,545 | 1,391,696 | 129,888 | 661,227 | ||||||||||||||
Premier Share fees | 168,238 | 518,952 | 12,921 | 68,550 | ||||||||||||||
Service Share fees | 72,353 | 143,950 | 638,058 | 2,717,361 | ||||||||||||||
Shareholder Administration Plan fees — Service Shares | 72,353 | 143,950 | 638,058 | 2,717,360 | ||||||||||||||
Select Share fees | 31,998 | 80,926 | 14,922 | 19,974 | ||||||||||||||
Preferred Share fees | 30,662 | 128,660 | 138,037 | 458,186 | ||||||||||||||
Cash Management Share fees | 13,895 | 59,979 | 19,209 | 140,272 | ||||||||||||||
Distribution fees — Cash Management Shares | 8,337 | 35,988 | 11,526 | 84,164 | ||||||||||||||
Resource Share fees | 1 | 7 | 1 | 7 | ||||||||||||||
Total expenses | 41,972,675 | 164,681,859 | 15,055,513 | 57,118,859 | ||||||||||||||
Less — expense reductions | (8,837,701 | ) | (1,973,405 | ) | (5,897,634 | ) | (2,892,378 | ) | ||||||||||
Net expenses | 33,134,974 | 162,708,454 | 9,157,879 | 54,226,481 | ||||||||||||||
NET INVESTMENT INCOME | $ | 741,423 | $ | 572,078,874 | $ | 497,454 | $ | 153,535,660 | ||||||||||
Net realized gain from investment transactions | 129,652 | 20,901,374 | 358,383 | 6,731,060 | ||||||||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 871,075 | $ | 592,980,248 | $ | 855,837 | $ | 160,266,720 |
† | The Funds changed their fiscal year end from August 31 to November 30. |
46 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Statements of Operations (continued)
Treasury Solutions Fund | ||||||||||
For the Period Ended November 30, 2020† | Year Ended August 31, 2020 | |||||||||
Investment Income: | ||||||||||
Interest income | $ | 5,039,214 | $ | 112,448,619 | ||||||
Total investment income | 5,039,214 | 112,448,619 | ||||||||
Expenses: | ||||||||||
Fund-Level Expenses: | ||||||||||
Management fees | 5,255,122 | 22,303,746 | ||||||||
Transfer Agency fees | 291,951 | 1,239,054 | ||||||||
Registration fees | 215,173 | 139,489 | ||||||||
Custody, accounting and administrative services | 95,101 | 421,642 | ||||||||
Printing and mailing fees | 76,361 | 49,534 | ||||||||
Professional fees | 38,401 | 132,748 | ||||||||
Trustee fees | 9,128 | 39,416 | ||||||||
Shareholder meeting expense | — | 18,434 | ||||||||
Other | 43,437 | 118,940 | ||||||||
Subtotal | 6,024,674 | 24,463,003 | ||||||||
Class Specific Expenses: | ||||||||||
Cash Management Share fees | 359,584 | 1,299,314 | ||||||||
Administration Share fees | 321,399 | 1,015,183 | ||||||||
Distribution fees — Cash Management Shares | 215,750 | 779,588 | ||||||||
Service Share fees | 140,567 | 382,659 | ||||||||
Shareholder Administration Plan fees — Service Shares | 140,566 | 382,658 | ||||||||
Premier Share fees | 87,233 | 477,976 | ||||||||
Capital Share fees | 80,618 | 268,689 | ||||||||
Preferred Share fees | 13,794 | 53,847 | ||||||||
Select Share fees | 495 | 2,872 | ||||||||
Resource Share fees | 1 | 7 | ||||||||
Total expenses | 7,384,681 | 29,125,796 | ||||||||
Less — expense reductions | (2,409,092 | ) | (1,621,982 | ) | ||||||
Net expenses | 4,975,589 | 27,503,814 | ||||||||
NET INVESTMENT INCOME | $ | 63,625 | $ | 84,944,805 | ||||||
Net realized gain from investment transactions | 14,950 | 6,294,118 | ||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 78,575 | $ | 91,238,923 |
† | The Funds changed their fiscal year end from August 31 to November 30. |
The accompanying notes are an integral part of these financial statements. | 47 |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Statements of Changes in Net Assets
Federal Instruments Fund | Government Fund | |||||||||||||||||||||||||||||
For the Period Ended November 30, 2020† | For the Fiscal Year Ended August 31, 2020 | For the Fiscal Year Ended August 31, 2019 | For the Period Ended November 30, 2020† | For the Fiscal Year Ended August 31, 2020 | For the Fiscal Year Ended August 31, 2019 | |||||||||||||||||||||||||
From operations: |
| |||||||||||||||||||||||||||||
Net investment income | $ | 55,691 | $ | 17,343,724 | $ | 19,992,507 | $ | 855,555 | $ | 1,141,291,628 | $ | 2,230,447,557 | ||||||||||||||||||
Net realized gain from investment transactions | 78,375 | 966,791 | 287,443 | 2,404,541 | 40,401,445 | 16,512,656 | ||||||||||||||||||||||||
Net increase in net assets resulting from operations | 134,066 | 18,310,515 | 20,279,950 | 3,260,096 | 1,181,693,073 | 2,246,960,213 | ||||||||||||||||||||||||
Distributions to shareholders: |
| |||||||||||||||||||||||||||||
From distributable earnings: | ||||||||||||||||||||||||||||||
Class A Shares | — | — | — | (7,067 | ) | (2,446,431 | ) | (2,048,233 | ) | |||||||||||||||||||||
Class C Shares | — | — | — | (157 | ) | (15,977 | ) | (55,218 | ) | |||||||||||||||||||||
Institutional Shares | (153,445 | ) | (17,708,073 | ) | (18,771,613 | ) | (10,101,326 | ) | (1,090,135,900 | ) | (2,060,931,674 | ) | ||||||||||||||||||
Capital Shares | (19 | ) | (8,246 | ) | (23,515 | ) | (29,079 | ) | (12,087,734 | ) | (29,262,373 | ) | ||||||||||||||||||
Service Shares | (147 | ) | (63,442 | ) | (166,265 | ) | (21,453 | ) | (4,939,299 | ) | (10,479,301 | ) | ||||||||||||||||||
Preferred Shares | (143 | ) | (50,399 | ) | (198,625 | ) | (21,766 | ) | (9,976,513 | ) | (20,494,217 | ) | ||||||||||||||||||
Select Shares | (1 | ) | (471 | ) | (1,031 | ) | (10,452 | ) | (4,341,608 | ) | (14,157,360 | ) | ||||||||||||||||||
Administration Shares | (1,119 | ) | (450,857 | ) | (1,036,837 | ) | (127,935 | ) | (44,718,381 | ) | (99,448,265 | ) | ||||||||||||||||||
Cash Management Shares | (1,058 | ) | (18,572 | ) | (768 | ) | (4,047 | ) | (640,681 | ) | (204,841 | ) | ||||||||||||||||||
Premier Shares | (1 | ) | (373 | ) | (922 | ) | (4,585 | ) | (1,394,940 | ) | (3,719,283 | ) | ||||||||||||||||||
Resource Shares | — | — | — | (2,219 | ) | (395,702 | ) | (973,664 | ) | |||||||||||||||||||||
Class R6 Shares | — | — | — | (6,378 | ) | (942,873 | ) | (1,249,033 | ) | |||||||||||||||||||||
Drexel Hamilton Shares | — | — | — | (129,393 | ) | (7,956,702 | ) | — | ||||||||||||||||||||||
Total distributions to shareholders | (155,933 | ) | (18,300,433 | ) | (20,199,576 | ) | (10,465,857 | ) | (1,179,992,741 | ) | (2,243,023,462 | ) | ||||||||||||||||||
From share transactions |
| |||||||||||||||||||||||||||||
Proceeds from sales of shares | 2,947,369,126 | 11,735,557,360 | 2,606,772,443 | 271,552,310,234 | 1,370,830,683,323 | 943,916,446,686 | ||||||||||||||||||||||||
Reinvestment of distributions | 121,757 | 14,243,623 | 15,043,280 | 5,233,911 | 577,812,056 | 1,079,167,668 | ||||||||||||||||||||||||
Cost of shares redeemed | (3,060,198,196 | ) | (9,361,084,182 | ) | (1,675,554,481 | ) | (321,675,383,431 | ) | (1,263,859,504,231 | ) | (939,203,429,811 | ) | ||||||||||||||||||
Net increase (decrease) in net assets resulting from share transactions | (112,707,313 | ) | 2,388,716,801 | 946,261,242 |
| (50,117,839,286 | ) | 107,548,991,148 | 5,792,184,543 | |||||||||||||||||||||
NET INCREASE (DECREASE) | (112,729,180 | ) | 2,388,726,883 | 946,341,616 | (50,125,045,047 | ) | 107,550,691,480 | 5,796,121,294 | ||||||||||||||||||||||
Net assets: |
| |||||||||||||||||||||||||||||
Beginning of period | 3,921,836,230 | 1,533,109,347 | 586,767,731 | 218,205,308,207 | 110,654,616,727 | 104,858,495,433 | ||||||||||||||||||||||||
End of period | $ | 3,809,107,050 | $ | 3,921,836,230 | $ | 1,533,109,347 | $ | 168,080,263,160 | $ | 218,205,308,207 | $ | 110,654,616,727 |
† | The Funds changed their fiscal year end from August 31 to November 30. |
48 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Statements of Changes in Net Assets (continued)
Money Market Fund | Prime Obligations Fund | |||||||||||||||||||||||||||||
For the Period Ended November 30, 2020† | For the Fiscal Year Ended August 31, 2020 | For the Fiscal Year Ended August 31, 2019 | For the Period Ended November 30, 2020† | For the Fiscal Year Ended August 31, 2020 | For the Fiscal Year Ended August 31, 2019 | |||||||||||||||||||||||||
From operations: |
| |||||||||||||||||||||||||||||
Net investment income (loss) | $ | 91,314 | $ | 195,364,360 | $ | 333,909,991 | $ | (12,179 | ) | $ | 79,211,502 | $ | 112,999,607 | |||||||||||||||||
Net realized gain (loss) from investment transactions | 125,878 | (7,538,258 | ) | 1,138,835 | 92,119 | 604,703 | 473,503 | |||||||||||||||||||||||
Net change in unrealized gain (loss) from investment transactions | (461,899 | ) | (4,400,659 | ) | 3,681,721 | (342,897 | ) | (1,341,419 | ) | 1,330,549 | ||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (244,707 | ) | 183,425,443 | 338,730,547 | (262,957 | ) | 78,474,786 | 114,803,659 | ||||||||||||||||||||||
Distributions to shareholders: |
| |||||||||||||||||||||||||||||
From distributable earnings: | ||||||||||||||||||||||||||||||
Institutional Shares | (990,729 | ) | (193,310,637 | ) | (333,758,870 | ) | (619,875 | ) | (77,559,806 | ) | (110,684,532 | ) | ||||||||||||||||||
Capital Shares | (486 | ) | (135,656 | ) | (125,595 | ) | (39 | ) | (76,698 | ) | (118,561 | ) | ||||||||||||||||||
Service Shares | (2 | ) | (300 | ) | (1,391 | ) | (1 | ) | (6,973 | ) | (102,511 | ) | ||||||||||||||||||
Preferred Shares | (70 | ) | (42,411 | ) | (48,834 | ) | (152 | ) | (42,649 | ) | (61,378 | ) | ||||||||||||||||||
Select Shares | (278 | ) | (319,301 | ) | (776,671 | ) | (5,954 | ) | (789,855 | ) | (1,798,426 | ) | ||||||||||||||||||
Administration Shares | (146 | ) | (45,086 | ) | (45,826 | ) | (2,152 | ) | (444,229 | ) | (535,405 | ) | ||||||||||||||||||
Cash Management Shares | (1 | ) | (9 | ) | (18 | ) | (1 | ) | (9 | ) | (18 | ) | ||||||||||||||||||
Premier Shares | (1 | ) | (11 | ) | (22 | ) | (1 | ) | (11 | ) | (22 | ) | ||||||||||||||||||
Resource Shares | (1 | ) | (11 | ) | (22 | ) | (1 | ) | (11 | ) | (22 | ) | ||||||||||||||||||
Drexel Hamilton Shares | — | — | — | (15,151 | ) | (222,875 | ) | — | ||||||||||||||||||||||
Total distributions to shareholders | (991,714 | ) | (193,853,422 | ) | (334,757,249 | ) | (643,327 | ) | (79,143,116 | ) | (113,300,875 | ) | ||||||||||||||||||
From share transactions |
| |||||||||||||||||||||||||||||
Proceeds from sales of shares | 4,518,751,604 | 78,480,208,605 | 85,569,465,008 | 1,598,365,808 | 23,481,618,298 | 16,195,180,217 | ||||||||||||||||||||||||
Reinvestment of distributions | 711,579 | 103,679,725 | 162,186,050 | 449,261 | 46,774,158 | 68,630,093 | ||||||||||||||||||||||||
Cost of shares redeemed | (7,077,678,629 | ) | (89,738,454,628 | ) | (79,561,685,600 | ) | (3,433,760,005 | ) | (24,964,599,237 | ) | (13,862,825,962 | ) | ||||||||||||||||||
Net increase (decrease) in net assets resulting from share transactions | (2,558,215,446 | ) | (11,154,566,298 | ) | 6,169,965,458 | (1,834,944,936 | ) | (1,436,206,781 | ) | 2,400,984,348 | ||||||||||||||||||||
NET INCREASE (DECREASE) | (2,559,451,867 | ) | (11,164,994,277 | ) | 6,173,938,756 | (1,835,851,220 | ) | (1,436,875,111 | ) | 2,402,487,132 | ||||||||||||||||||||
Net assets: |
| |||||||||||||||||||||||||||||
Beginning of period | 6,619,839,860 | 17,784,834,137 | 11,610,895,381 | 4,809,137,916 | 6,246,013,027 | 3,843,525,895 | ||||||||||||||||||||||||
End of period | $ | 4,060,387,993 | $ | 6,619,839,860 | $ | 17,784,834,137 | $ | 2,973,286,696 | $ | 4,809,137,916 | $ | 6,246,013,027 |
† | The Funds changed their fiscal year end from August 31 to November 30. |
The accompanying notes are an integral part of these financial statements. | 49 |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Statements of Changes in Net Assets (continued)
Treasury Instruments Fund | Treasury Obligations Fund | |||||||||||||||||||||||||||||
For the Period Ended November 30, 2020† | For the Fiscal Year Ended August 31, 2020 | For the Fiscal Year Ended August 31, 2019 | For the Period Ended November 30, 2020† | For the Fiscal Year Ended August 31, 2020 | For the Fiscal Year Ended August 31, 2019 | |||||||||||||||||||||||||
From operations: | ||||||||||||||||||||||||||||||
Net investment income | $ | 741,423 | $ | 572,078,874 | $ | 1,135,422,170 | $ | 497,454 | $ | 153,535,660 | $ | 342,100,566 | ||||||||||||||||||
Net realized gain from investment transactions | 129,652 | 20,901,374 | 19,078,477 | 358,383 | 6,731,060 | 3,418,497 | ||||||||||||||||||||||||
Net increase in net assets resulting from operations | 871,075 | 592,980,248 | 1,154,500,647 | 855,837 | 160,266,720 | 345,519,063 | ||||||||||||||||||||||||
Distributions to shareholders: |
| |||||||||||||||||||||||||||||
From distributable earnings: | ||||||||||||||||||||||||||||||
Institutional Shares | (1,172,410 | ) | (572,962,578 | ) | (1,082,622,274 | ) | (935,691 | ) | (132,077,257 | ) | (274,501,344 | ) | ||||||||||||||||||
Capital Shares | (9,741 | ) | (8,336,562 | ) | (14,187,561 | ) | (13,279 | ) | (3,428,674 | ) | (6,772,558 | ) | ||||||||||||||||||
Service Shares | (1,765 | ) | (176,314 | ) | (1,707,995 | ) | (40,579 | ) | (6,461,492 | ) | (18,360,886 | ) | ||||||||||||||||||
Preferred Shares | (1,871 | ) | (919,744 | ) | (1,261,805 | ) | (18,987 | ) | (3,661,923 | ) | (7,482,570 | ) | ||||||||||||||||||
Select Shares | (6,506 | ) | (1,704,555 | ) | (6,174,970 | ) | (8,500 | ) | (486,531 | ) | (1,362,803 | ) | ||||||||||||||||||
Administration Shares | (25,304 | ) | (13,043,114 | ) | (40,483,530 | ) | (91,693 | ) | (14,614,602 | ) | (35,857,421 | ) | ||||||||||||||||||
Cash Management Shares | (170 | ) | (53,744 | ) | (89,437 | ) | (633 | ) | (108,803 | ) | (16,375 | ) | ||||||||||||||||||
Premier Shares | (2,932 | ) | (1,019,410 | ) | (2,487,259 | ) | (571 | ) | (128,767 | ) | (299,438 | ) | ||||||||||||||||||
Resource Shares | (1 | ) | (6 | ) | (16 | ) | (1 | ) | (6 | ) | (16 | ) | ||||||||||||||||||
Total distributions to shareholders | (1,220,700 | ) | (598,216,027 | ) | (1,149,014,847 | ) | (1,109,934 | ) | (160,968,055 | ) | (344,653,411 | ) | ||||||||||||||||||
From share transactions |
| |||||||||||||||||||||||||||||
Proceeds from sales of shares | 60,196,183,321 | 355,916,515,357 | 212,108,690,475 | 66,608,512,585 | 255,687,212,214 | 200,902,685,375 | ||||||||||||||||||||||||
Reinvestment of distributions | 700,269 | 325,529,187 | 641,161,052 | 429,229 | 66,582,114 | 133,108,626 | ||||||||||||||||||||||||
Cost of shares redeemed | (68,435,569,288 | ) | (323,780,571,442 | ) | (212,588,469,412 | ) | (54,621,016,772 | ) | (245,417,780,026 | ) | (198,899,965,807 | ) | ||||||||||||||||||
Net increase (decrease) in net assets resulting from share transactions | (8,238,685,698 | ) | 32,461,473,102 | 161,382,115 | 11,987,925,042 | 10,336,014,302 | 2,135,828,194 | |||||||||||||||||||||||
NET INCREASE (DECREASE) | (8,239,035,323 | ) | 32,456,237,323 | 166,867,915 | 11,987,670,945 | 10,335,312,967 | 2,136,693,846 | |||||||||||||||||||||||
Net assets: |
| |||||||||||||||||||||||||||||
Beginning of period | 87,154,793,412 | 54,698,556,089 | 54,531,688,174 | 26,897,827,843 | 16,562,514,876 | 14,425,821,030 | ||||||||||||||||||||||||
End of period | $ | 78,915,758,089 | $ | 87,154,793,412 | $ | 54,698,556,089 | $ | 38,885,498,788 | $ | 26,897,827,843 | $ | 16,562,514,876 |
† | The Funds changed their fiscal year end from August 31 to November 30. |
50 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Statements of Changes in Net Assets (continued)
Treasury Solutions Fund | ||||||||||||||
For the Period Ended November 30, 2020† | For the Fiscal Year Ended August 31, 2020 | For the Fiscal Year Ended August 31, 2019 | ||||||||||||
From operations: |
| |||||||||||||
Net investment income | $ | 63,625 | $ | 84,944,805 | $ | 181,047,952 | ||||||||
Net realized gain from investment transactions | 14,950 | 6,294,118 | 3,922,005 | |||||||||||
Net increase in net assets resulting from operations | 78,575 | 91,238,923 | 184,969,957 | |||||||||||
Distributions to shareholders: |
| |||||||||||||
From distributable earnings: | ||||||||||||||
Institutional Shares | (156,692 | ) | (84,516,483 | ) | (166,889,124 | ) | ||||||||
Capital Shares | (3,278 | ) | (1,276,222 | ) | (3,373,366 | ) | ||||||||
Service Shares | (3,430 | ) | (810,330 | ) | (1,983,011 | ) | ||||||||
Preferred Shares | (842 | ) | (454,175 | ) | (797,792 | ) | ||||||||
Select Shares | (101 | ) | (93,299 | ) | (134,813 | ) | ||||||||
Administration Shares | (7,842 | ) | (2,714,596 | ) | (6,782,509 | ) | ||||||||
Cash Management Shares | (4,387 | ) | (1,122,646 | ) | (1,690,423 | ) | ||||||||
Premier Shares | (1,520 | ) | (950,305 | ) | (2,503,790 | ) | ||||||||
Resource Shares | (1 | ) | (6 | ) | (16 | ) | ||||||||
Total distributions to shareholders | (178,093 | ) | (91,938,062 | ) | (184,154,844 | ) | ||||||||
From share transactions |
| |||||||||||||
Proceeds from sales of shares | 7,511,013,555 | 65,182,195,146 | 36,822,877,870 | |||||||||||
Reinvestment of distributions | 109,544 | 57,158,747 | 131,480,668 | |||||||||||
Cost of shares redeemed | (8,356,792,865 | ) | (60,968,545,207 | ) | (36,813,589,532 | ) | ||||||||
Net increase (decrease) in net assets resulting from share transactions | (845,669,766 | ) | 4,270,808,686 | 140,769,006 | ||||||||||
NET INCREASE (DECREASE) | (845,769,284 | ) | 4,270,109,547 | 141,584,119 | ||||||||||
Net assets: |
| |||||||||||||
Beginning of period | 12,857,447,365 | 8,587,337,818 | 8,445,753,699 | |||||||||||
End of period | $ | 12,011,678,081 | $ | 12,857,447,365 | $ | 8,587,337,818 |
† | The Funds changed their fiscal year end from August 31 to November 30. |
The accompanying notes are an integral part of these financial statements. | 51 |
Selected Data for a Share Outstanding Throughout Each Period
† | The Fund changed its fiscal year end from August 31 to November 30. |
* | Commenced operations on October 30, 2015. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
Financial Square Federal Instruments Fund — Capital Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | Period Ended August 31, 2016* | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.007 | 0.019 | 0.012 | 0.003 | — | (b) | ||||||||||||||||||
Net realized gain | — | (b) | 0.002 | 0.001 | — | (b) | 0.001 | — | (b) | |||||||||||||||||
Total from investment operations | — | (b) | 0.009 | 0.020 | 0.012 | 0.004 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.009 | ) | (0.020 | ) | (0.012 | ) | (0.004 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.009 | ) | (0.020 | ) | (0.012 | ) | (0.004 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.85 | % | 2.03 | % | 1.19 | % | 0.37 | % | 0.05 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 3,267 | $ | 1,135 | $ | 626 | $ | 5,136 | $ | 16,147 | $ | 50 | ||||||||||||||
Ratio of net expenses to average net assets | 0.15 | %(f) | 0.28 | % | 0.33 | % | 0.35 | % | 0.35 | % | 0.33 | %(f) | ||||||||||||||
Ratio of total expenses to average net assets | 0.36 | %(f) | 0.36 | % | 0.37 | % | 0.40 | % | 0.43 | % | 0.54 | %(f) | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.01 | )%(f) | 0.74 | % | 1.90 | % | 1.04 | % | 0.31 | % | 0.04 | %(f) |
† | The Fund changed its fiscal year end from August 31 to November 30. |
* | Commenced operations on October 30, 2015. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
52 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Federal Instruments Fund — Service Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | Period Ended August 31, 2016* | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.006 | 0.016 | 0.008 | 0.001 | — | (b) | ||||||||||||||||||
Net realized gain | — | (b) | — | (b) | 0.001 | — | (b) | — | (b) | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.006 | 0.017 | 0.008 | 0.001 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.006 | ) | (0.017 | ) | (0.008 | ) | (0.001 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.006 | ) | (0.017 | ) | (0.008 | ) | (0.001 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.63 | % | 1.67 | % | 0.84 | % | 0.10 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 10,277 | $ | 11,490 | $ | 11,493 | $ | 11,003 | $ | 15,129 | $ | 14,949 | ||||||||||||||
Ratio of net expenses to average net assets | 0.15 | %(f) | 0.50 | % | 0.68 | % | 0.70 | % | 0.62 | % | 0.39 | %(f) | ||||||||||||||
Ratio of total expenses to average net assets | 0.71 | %(f) | 0.71 | % | 0.72 | % | 0.75 | % | 0.78 | % | 0.89 | %(f) | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.01 | )%(f) | 0.57 | % | 1.64 | % | 0.83 | % | 0.09 | % | (0.01 | )%(f) |
† | The Fund changed its fiscal year end from August 31 to November 30. |
* | Commenced operations on October 30, 2015. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
Financial Square Federal Instruments Fund — Preferred Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | Period Ended August 31, 2016* | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.004 | 0.021 | 0.012 | 0.004 | 0.001 | |||||||||||||||||||
Net realized gain | — | (b) | 0.005 | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.009 | 0.021 | 0.012 | 0.004 | 0.001 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.009 | ) | (0.021 | ) | (0.012 | ) | (0.004 | ) | (0.001 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.009 | ) | (0.021 | ) | (0.012 | ) | (0.004 | ) | (0.001 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.89 | % | 2.08 | % | 1.24 | % | 0.42 | % | 0.08 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 6,019 | $ | 22,779 | $ | 5,536 | $ | 2,386 | $ | 50 | $ | 50 | ||||||||||||||
Ratio of net expenses to average net assets | 0.15 | %(f) | 0.24 | % | 0.28 | % | 0.30 | % | 0.30 | % | 0.29 | %(f) | ||||||||||||||
Ratio of total expenses to average net assets | 0.31 | %(f) | 0.31 | % | 0.32 | % | 0.35 | % | 0.38 | % | 0.49 | %(f) | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.01 | )%(f) | 0.39 | % | 2.09 | % | 1.43 | % | 0.41 | % | 0.08 | %(f) |
† | The Fund changed its fiscal year end from August 31 to November 30. |
* | Commenced operations on October 30, 2015. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
The accompanying notes are an integral part of these financial statements. | 53 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Federal Instruments Fund — Select Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | Period Ended August 31, 2016* | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | 0.010 | 0.021 | 0.013 | 0.005 | 0.001 | ||||||||||||||||||||
Net realized gain | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total from investment operations | — | (b) | 0.010 | 0.021 | 0.013 | 0.005 | 0.001 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.010 | ) | (0.021 | ) | (0.013 | ) | (0.005 | ) | (0.001 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.010 | ) | (0.021 | ) | (0.013 | ) | (0.005 | ) | (0.001 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.96 | % | 2.15 | % | 1.31 | % | 0.49 | % | 0.13 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 49 | $ | 49 | $ | 49 | $ | 48 | $ | 47 | $ | 50 | ||||||||||||||
Ratio of net expenses to average net assets | 0.15 | %(f) | 0.18 | % | 0.21 | % | 0.23 | % | 0.23 | % | 0.23 | %(f) | ||||||||||||||
Ratio of total expenses to average net assets | 0.24 | %(f) | 0.24 | % | 0.25 | % | 0.28 | % | 0.31 | % | 0.42 | %(f) | ||||||||||||||
Ratio of net investment income to average net assets | — | %(e)(f) | 0.91 | % | 2.11 | % | 1.30 | % | 0.48 | % | 0.14 | %(f) |
† | The Fund changed its fiscal year end from August 31 to November 30. |
* | Commenced operations on October 30, 2015. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
Financial Square Federal Instruments Fund — Administration Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | Period Ended August 31, 2016* | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.007 | 0.019 | 0.011 | 0.003 | — | (b) | ||||||||||||||||||
Net realized gain | — | (b) | 0.001 | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.008 | 0.019 | 0.011 | 0.003 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.008 | ) | (0.019 | ) | (0.011 | ) | (0.003 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.008 | ) | (0.019 | ) | (0.011 | ) | (0.003 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.78 | % | 1.93 | % | 1.09 | % | 0.27 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 76,144 | $ | 73,011 | $ | 61,267 | $ | 59,447 | $ | 50,768 | $ | 43,835 | ||||||||||||||
Ratio of net expenses to average net assets | 0.15 | %(f) | 0.35 | % | 0.43 | % | 0.45 | % | 0.45 | % | 0.39 | %(f) | ||||||||||||||
Ratio of total expenses to average net assets | 0.46 | %(f) | 0.46 | % | 0.47 | % | 0.50 | % | 0.53 | % | 0.64 | %(f) | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.01 | )%(f) | 0.69 | % | 1.89 | % | 1.08 | % | 0.26 | % | (0.01 | )%(f) |
† | The Fund changed its fiscal year end from August 31 to November 30. |
* | Commenced operations on October 30, 2015. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
54 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Federal Instruments Fund — Cash Management Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | Period Ended August 31, 2016* | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.002 | 0.013 | 0.005 | — | (b) | — | (b) | |||||||||||||||||
Net realized gain | — | (b) | 0.003 | 0.001 | — | (b) | — | (b) | — | (b) | ||||||||||||||||
Total from investment operations | — | (b) | 0.005 | 0.014 | 0.005 | — | (b) | — | (b) | |||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.005 | ) | (0.014 | ) | (0.005 | ) | — | (b) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.005 | ) | (0.014 | ) | (0.005 | ) | — | (b) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.46 | % | 1.37 | % | 0.53 | % | 0.01 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 73,555 | $ | 52,216 | $ | 92 | $ | 50 | $ | 50 | $ | 50 | ||||||||||||||
Ratio of net expenses to average net assets | 0.15 | %(f) | 0.45 | % | 0.98 | % | 1.00 | % | 0.71 | % | 0.38 | %(f) | ||||||||||||||
Ratio of total expenses to average net assets | 1.01 | %(f) | 1.01 | % | 1.02 | % | 1.05 | % | 1.08 | % | 1.19 | %(f) | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.01 | )%(f) | 0.12 | % | 1.34 | % | 0.53 | % | 0.01 | % | — | %(e)(f) |
† | The Fund changed its fiscal year end from August 31 to November 30. |
* | Commenced operations on October 30, 2015. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
Financial Square Federal Instruments Fund — Premier Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | Period Ended August 31, 2016* | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | 0.007 | 0.018 | 0.010 | 0.002 | — | (b) | |||||||||||||||||||
Net realized gain | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total from investment operations | — | (b) | 0.007 | 0.018 | 0.010 | 0.002 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.007 | ) | (0.018 | ) | (0.010 | ) | (0.002 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.007 | ) | (0.018 | ) | (0.010 | ) | (0.002 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.72 | % | 1.82 | % | 0.99 | % | 0.19 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 52 | $ | 52 | $ | 52 | $ | 51 | $ | 50 | $ | 50 | ||||||||||||||
Ratio of net expenses to average net assets | 0.15 | %(f) | 0.42 | % | 0.53 | % | 0.55 | % | 0.53 | % | 0.38 | %(f) | ||||||||||||||
Ratio of total expenses to average net assets | 0.56 | %(f) | 0.56 | % | 0.57 | % | 0.60 | % | 0.63 | % | 0.74 | %(f) | ||||||||||||||
Ratio of net investment income to average net assets | — | %(e)(f) | 0.67 | % | 1.79 | % | 0.99 | % | 0.19 | % | — | %(e)(f) |
† | The Fund changed its fiscal year end from August 31 to November 30. |
* | Commenced operations on October 30, 2015. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
The accompanying notes are an integral part of these financial statements. | 55 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
† | The Fund changed its fiscal year end from August 31 to November 30. |
* | Commenced operations on February 29, 2016. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
Financial Square Government Fund — Class C Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | Period Ended August 31, 2016* | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.003 | 0.012 | 0.004 | — | (b) | — | (b) | |||||||||||||||||
Net realized gain | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total from investment operations | — | (b) | 0.003 | 0.012 | 0.004 | — | (b) | — | (b) | |||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.003 | ) | (0.012 | ) | (0.004 | ) | — | (b) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.003 | ) | (0.012 | ) | (0.004 | ) | — | (b) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.34 | % | 1.21 | % | 0.39 | % | 0.01 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 6,327 | $ | 6,529 | $ | 4,532 | $ | 4,928 | $ | 5,937 | $ | 413 | ||||||||||||||
Ratio of net expenses to average net assets | 0.20 | %(f) | 0.73 | % | 1.18 | % | 1.15 | % | 0.70 | % | 0.44 | %(f) | ||||||||||||||
Ratio of total expenses to average net assets | 1.18 | %(f) | 1.18 | % | 1.18 | % | 1.19 | % | 1.23 | % | 1.23 | %(f) | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.01 | )%(f) | 0.25 | % | 1.19 | % | 0.37 | % | 0.01 | % | 0.01 | %(f) |
† | The Fund changed its fiscal year end from August 31 to November 30. |
* | Commenced operations on February 29, 2016. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
56 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Government Fund — Institutional Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.007 | 0.022 | 0.014 | 0.006 | 0.002 | |||||||||||||||||||
Net realized gain | — | (b) | 0.003 | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.010 | 0.022 | 0.014 | 0.006 | 0.002 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.010 | ) | (0.022 | ) | (0.014 | ) | (0.006 | ) | (0.002 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.010 | ) | (0.022 | ) | (0.014 | ) | (0.006 | ) | (0.002 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | 0.01 | % | 0.97 | % | 2.23 | % | 1.38 | % | 0.55 | % | 0.20 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 154,904,106 | $ | 204,287,540 | $ | 100,539,271 | $ | 96,230,361 | $ | 79,411,937 | $ | 63,804,041 | ||||||||||||||
Ratio of net expenses to average net assets | 0.18 | %(e) | 0.18 | % | 0.18 | % | 0.17 | % | 0.18 | % | 0.18 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.18 | %(e) | 0.18 | % | 0.18 | % | 0.19 | % | 0.23 | % | 0.23 | % | ||||||||||||||
Ratio of net investment income to average net assets | — | %(e)(f) | 0.70 | % | 2.19 | % | 1.39 | % | 0.55 | % | 0.21 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Annualized. |
(f) | Amount is less than 0.005%. |
Financial Square Government Fund — Capital Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.008 | 0.021 | 0.012 | 0.004 | 0.001 | |||||||||||||||||||
Net realized gain | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total from investment operations | — | (b) | 0.008 | 0.021 | 0.012 | 0.004 | 0.001 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.008 | ) | (0.021 | ) | (0.012 | ) | (0.004 | ) | (0.001 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.008 | ) | (0.021 | ) | (0.012 | ) | (0.004 | ) | (0.001 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.83 | % | 2.08 | % | 1.22 | % | 0.40 | % | 0.08 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 1,435,345 | $ | 1,291,798 | $ | 1,302,391 | $ | 1,287,999 | $ | 893,496 | $ | 1,390,271 | ||||||||||||||
Ratio of net expenses to average net assets | 0.19 | %(f) | 0.32 | % | 0.33 | % | 0.32 | % | 0.33 | % | 0.30 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.33 | %(f) | 0.33 | % | 0.33 | % | 0.34 | % | 0.38 | % | 0.38 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.01 | )%(f) | 0.76 | % | 2.05 | % | 1.24 | % | 0.37 | % | 0.07 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
The accompanying notes are an integral part of these financial statements. | 57 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Government Fund — Service Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.006 | 0.017 | 0.009 | 0.001 | — | (b) | ||||||||||||||||||
Net realized gain | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total from investment operations | — | (b) | 0.006 | 0.017 | 0.009 | 0.001 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.006 | ) | (0.017 | ) | (0.009 | ) | (0.001 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.006 | ) | (0.017 | ) | (0.009 | ) | (0.001 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.61 | % | 1.72 | % | 0.87 | % | 0.12 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 860,075 | $ | 1,775,966 | $ | 665,252 | $ | 587,810 | $ | 337,219 | $ | 368,299 | ||||||||||||||
Ratio of net expenses to average net assets | 0.20 | %(f) | 0.53 | % | 0.68 | % | 0.67 | % | 0.60 | % | 0.36 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.68 | %(f) | 0.68 | % | 0.68 | % | 0.69 | % | 0.73 | % | 0.73 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.01 | )%(f) | 0.58 | % | 1.69 | % | 0.93 | % | 0.11 | % | (0.01 | )% |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
Financial Square Government Fund — Preferred Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.009 | 0.021 | 0.013 | 0.004 | 0.001 | |||||||||||||||||||
Net realized gain | — | (b) | — | (b) | — | (b) | — | (b) | 0.001 | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.009 | 0.021 | 0.013 | 0.005 | 0.001 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.009 | ) | (0.021 | ) | (0.013 | ) | (0.005 | ) | (0.001 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.009 | ) | (0.021 | ) | (0.013 | ) | (0.005 | ) | (0.001 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.88 | % | 2.13 | % | 1.28 | % | 0.45 | % | 0.12 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 820,201 | $ | 1,627,349 | $ | 1,755,404 | $ | 1,330,598 | $ | 553,781 | $ | 536,818 | ||||||||||||||
Ratio of net expenses to average net assets | 0.20 | %(f) | 0.28 | % | 0.28 | % | 0.27 | % | 0.28 | % | 0.27 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.28 | %(f) | 0.28 | % | 0.28 | % | 0.29 | % | 0.33 | % | 0.33 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.01 | )%(f) | 0.89 | % | 2.08 | % | 1.32 | % | 0.43 | % | 0.13 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
58 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Government Fund — Select Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.009 | 0.022 | 0.013 | 0.005 | 0.002 | |||||||||||||||||||
Net realized gain | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total from investment operations | — | (b) | 0.009 | 0.022 | 0.013 | 0.005 | 0.002 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.009 | ) | (0.022 | ) | (0.013 | ) | (0.005 | ) | (0.002 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.009 | ) | (0.022 | ) | (0.013 | ) | (0.005 | ) | (0.002 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.94 | % | 2.20 | % | 1.35 | % | 0.52 | % | 0.17 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 448,540 | $ | 481,493 | $ | 825,651 | $ | 598,258 | $ | 2,921,971 | $ | 2,471,275 | ||||||||||||||
Ratio of net expenses to average net assets | 0.20 | %(f) | 0.21 | % | 0.21 | % | 0.20 | % | 0.21 | % | 0.21 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.21 | %(f) | 0.21 | % | 0.21 | % | 0.22 | % | 0.26 | % | 0.26 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.01 | )%(f) | 0.86 | % | 2.16 | % | 1.19 | % | 0.52 | % | 0.21 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
Financial Square Government Fund — Administration Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.008 | 0.020 | 0.011 | 0.003 | — | (b) | ||||||||||||||||||
Net realized gain | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total from investment operations | — | (b) | 0.008 | 0.020 | 0.011 | 0.003 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.008 | ) | (0.020 | ) | (0.011 | ) | (0.003 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.008 | ) | (0.020 | ) | (0.011 | ) | (0.003 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.76 | % | 1.97 | % | 1.12 | % | 0.30 | % | 0.02 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 5,706,517 | $ | 5,421,224 | $ | 4,862,853 | $ | 4,454,065 | $ | 4,138,362 | $ | 2,673,689 | ||||||||||||||
Ratio of net expenses to average net assets | 0.20 | %(f) | 0.39 | % | 0.43 | % | 0.42 | % | 0.43 | % | 0.36 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.43 | %(f) | 0.43 | % | 0.43 | % | 0.44 | % | 0.48 | % | 0.48 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.01 | )%(f) | 0.76 | % | 1.95 | % | 1.13 | % | 0.32 | % | 0.01 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
The accompanying notes are an integral part of these financial statements. | 59 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Government Fund — Cash Management Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.004 | 0.013 | 0.006 | — | (b) | — | (b) | |||||||||||||||||
Net realized gain | — | (b) | 0.001 | 0.001 | — | (b) | — | (b) | — | (b) | ||||||||||||||||
Total from investment operations | — | (b) | 0.005 | 0.014 | 0.006 | — | (b) | — | (b) | |||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.005 | ) | (0.014 | ) | (0.006 | ) | — | (b) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.005 | ) | (0.014 | ) | (0.006 | ) | — | (b) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.45 | % | 1.42 | % | 0.57 | % | 0.02 | % | 0.02 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 168,903 | $ | 198,129 | $ | 96,690 | $ | 6,573 | $ | 3,779 | $ | 14 | ||||||||||||||
Ratio of net expenses to average net assets | 0.20 | %(f) | 0.65 | % | 0.98 | % | 0.97 | % | 0.62 | % | 0.35 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.98 | %(f) | 0.98 | % | 0.98 | % | 0.99 | % | 1.03 | % | 1.03 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.01 | )%(f) | 0.35 | % | 1.35 | % | 0.64 | % | 0.01 | % | 0.06 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
Financial Square Government Fund — Premier Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.007 | 0.019 | 0.010 | 0.003 | — | (b) | ||||||||||||||||||
Net realized loss | — | (b) | — | (b) | — | (b) | — | (b) | (0.001 | ) | — | (b) | ||||||||||||||
Total from investment operations | — | (b) | 0.007 | 0.019 | 0.010 | 0.002 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.007 | ) | (0.019 | ) | (0.010 | ) | (0.002 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.007 | ) | (0.019 | ) | (0.010 | ) | (0.002 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.70 | % | 1.87 | % | 1.02 | % | 0.22 | % | 0.02 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 219,114 | $ | 195,822 | $ | 190,633 | $ | 168,032 | $ | 101,311 | $ | 1 | ||||||||||||||
Ratio of net expenses to average net assets | 0.20 | %(f) | 0.46 | % | 0.53 | % | 0.52 | % | 0.52 | % | 0.20 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.53 | %(f) | 0.53 | % | 0.53 | % | 0.54 | % | 0.58 | % | 0.58 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.01 | )%(f) | 0.70 | % | 1.85 | % | 0.99 | % | 0.28 | % | 0.40 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
60 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Government Fund — Resource Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.005 | 0.015 | 0.007 | 0.001 | — | (b) | ||||||||||||||||||
Net realized gain | — | (b) | — | (b) | 0.001 | — | (b) | — | (b) | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.005 | 0.016 | 0.007 | 0.001 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.005 | ) | (0.016 | ) | (0.007 | ) | (0.001 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.005 | ) | (0.016 | ) | (0.007 | ) | (0.001 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.53 | % | 1.57 | % | 0.72 | % | 0.05 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 93,981 | $ | 83,378 | $ | 70,841 | $ | 70,747 | $ | 74,864 | $ | 17,634 | ||||||||||||||
Ratio of net expenses to average net assets | 0.20 | %(f) | 0.60 | % | 0.83 | % | 0.82 | % | 0.69 | % | 0.43 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.83 | %(f) | 0.83 | % | 0.83 | % | 0.84 | % | 0.88 | % | 0.88 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.01 | )%(f) | 0.47 | % | 1.54 | % | 0.70 | % | 0.06 | % | (0.01 | )% |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
Financial Square Government Fund — Class R6 Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | Period Ended August 31, 2016* | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.009 | 0.022 | 0.014 | 0.006 | 0.002 | |||||||||||||||||||
Net realized gain | — | (b) | 0.001 | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.010 | 0.022 | 0.014 | 0.006 | 0.002 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.010 | ) | (0.022 | ) | (0.014 | ) | (0.006 | ) | (0.002 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.010 | ) | (0.022 | ) | (0.014 | ) | (0.006 | ) | (0.002 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | 0.01 | % | 0.97 | % | 2.23 | % | 1.38 | % | 0.55 | % | 0.18 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 91,630 | $ | 115,111 | $ | 96,804 | $ | 49,441 | $ | 12,773 | $ | 4,705 | ||||||||||||||
Ratio of net expenses to average net assets | 0.18 | %(e) | 0.18 | % | 0.18 | % | 0.17 | % | 0.18 | % | 0.18 | %(e) | ||||||||||||||
Ratio of total expenses to average net assets | 0.18 | %(e) | 0.18 | % | 0.18 | % | 0.19 | % | 0.23 | % | 0.23 | %(e) | ||||||||||||||
Ratio of net investment income to average net assets | — | %(e)(f) | 0.93 | % | 2.20 | % | 1.54 | % | 0.56 | % | 0.26 | %(e) |
† | The Fund changed its fiscal year end from August 31 to November 30. |
* | Commenced operations on December 29, 2015. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Annualized. |
(f) | Amount is less than 0.005%. |
The accompanying notes are an integral part of these financial statements. | 61 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Government Fund — Drexel Hamilton Class Shares | For the Period Ended November 30, 2020† | Period Ended August 31, 2020* | ||||||||
Per Share Data: | ||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | ||||||
Net investment income(a) | — | (b) | 0.005 | |||||||
Net realized gain | — | (b) | 0.004 | |||||||
Total from investment operations | — | (b) | 0.009 | |||||||
Distributions to shareholders from net investment income | — | (b) | (0.009 | ) | ||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | ||||||
Total distributions(c) | — | (b) | (0.009 | ) | ||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | ||||||
Total return(d) | 0.01 | % | 0.93 | % | ||||||
Net assets, end of period (in 000’s) | $ | 3,042,967 | $ | 2,354,098 | ||||||
Ratio of net expenses to average net assets | 0.18 | %(e) | 0.18 | %(e) | ||||||
Ratio of total expenses to average net assets | 0.18 | %(e) | 0.18 | %(e) | ||||||
Ratio of net investment income to average net assets | — | %(e)(f) | 0.54 | %(e) |
† | The Fund changed its fiscal year end from August 31 to November 30. |
* | Commenced operations on September 9, 2019. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Annualized. |
(f) | Amount is less than 0.005%. |
62 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Amount is less than $0.00005 per share. |
(d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. 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. |
(f) | Annualized. |
Financial Square Money Market Fund — Capital Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.0011 | $ | 1.0006 | $ | 1.0004 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | ||||||||||||||
Net investment income(a) | — | (c) | 0.0100 | 0.0231 | 0.0177 | 0.0020 | 0.002 | |||||||||||||||||||
Net realized and unrealized gain | 0.0001 | 0.0010 | 0.0011 | 0.0001 | 0.0051 | — | (b) | |||||||||||||||||||
Total from investment operations | 0.0001 | 0.0110 | 0.0242 | 0.0178 | 0.0071 | 0.002 | ||||||||||||||||||||
Distributions to shareholders from net investment income | — | (c) | (0.0105 | ) | (0.0240 | ) | (0.0177 | ) | (0.0068 | ) | (0.002 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | (0.0002 | ) | — | (c) | — | (c) | — | (c) | — | — | (b) | |||||||||||||||
Total distributions(d) | (0.0002 | ) | (0.0105 | ) | (0.0240 | ) | (0.0177 | ) | (0.0068 | ) | (0.002 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.0010 | $ | 1.0011 | $ | 1.0006 | $ | 1.0004 | $ | 1.0003 | $ | 1.000 | ||||||||||||||
Total return(e) | (0.01 | )% | 1.10 | % | 2.35 | % | 1.54 | % | 0.72 | % | 0.18 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 11,541 | $ | 15,265 | $ | 11,720 | $ | 1 | $ | 1 | $ | 108,671 | ||||||||||||||
Ratio of net expenses to average net assets | 0.24 | %(f) | 0.29 | % | 0.28 | % | 0.11 | % | 0.33 | % | 0.33 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.34 | %(f) | 0.33 | % | 0.33 | % | 0.35 | % | 0.40 | % | 0.38 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.06 | )%(f) | 1.00 | % | 2.31 | % | 1.77 | % | 0.20 | % | 0.18 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Amount is less than $0.00005 per share. |
(d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. 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. |
(f) | Annualized. |
The accompanying notes are an integral part of these financial statements. | 63 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Money Market Fund — Service Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.0006 | $ | 1.0002 | $ | 1.0001 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | ||||||||||||||
Net investment income(a) | 0.0004 | 0.0126 | 0.0199 | 0.0115 | 0.0011 | — | (b) | |||||||||||||||||||
Net realized and unrealized gain (loss) | (0.0004 | ) | (0.0041 | ) | (0.0003 | ) | 0.0001 | 0.0027 | — | (b) | ||||||||||||||||
Total from investment operations | — | 0.0085 | 0.0196 | 0.0116 | 0.0038 | — | (b) | |||||||||||||||||||
Distributions to shareholders from net investment income | (0.0003 | ) | (0.0081 | ) | (0.0195 | ) | (0.0118 | ) | (0.0034 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | (0.0003 | ) | — | (c) | — | (c) | — | (c) | (0.0001 | ) | — | (b) | ||||||||||||||
Total distributions(d) | (0.0006 | ) | (0.0081 | ) | (0.0195 | ) | (0.0118 | ) | (0.0035 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.0000 | $ | 1.0006 | $ | 1.0002 | $ | 1.0001 | $ | 1.0003 | $ | 1.000 | ||||||||||||||
Total return(e) | (0.06 | )% | 0.81 | % | 1.99 | % | 1.16 | % | 0.38 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 3 | $ | 3 | $ | 8 | $ | 128 | $ | 67 | $ | 17,000 | ||||||||||||||
Ratio of net expenses to average net assets | 0.26 | %(f) | 0.64 | % | 0.63 | % | 0.61 | % | 0.60 | % | 0.49 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.69 | %(f) | 0.68 | % | 0.68 | % | 0.70 | % | 0.75 | % | 0.73 | % | ||||||||||||||
Ratio of net investment income to average net assets | 0.03 | %(f) | 1.26 | % | 1.99 | % | 1.15 | % | 0.11 | % | — | %(g) |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Amount is less than $0.00005 per share. |
(d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. 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. |
(f) | Annualized. |
(g) | Amount is less than 0.005% of average net assets. |
Financial Square Money Market Fund — Preferred Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.0011 | $ | 1.0006 | $ | 1.0002 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | ||||||||||||||
Net investment income(a) | — | (c) | 0.0136 | 0.0231 | 0.0172 | 0.0032 | 0.002 | |||||||||||||||||||
Net realized and unrealized gain (loss) | (0.0001 | ) | (0.0021 | ) | 0.0008 | (0.0015 | ) | 0.0044 | — | (b) | ||||||||||||||||
Total from investment operations | (0.0001 | ) | 0.0115 | 0.0239 | 0.0157 | 0.0076 | 0.002 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (c) | (0.0110 | ) | (0.0235 | ) | (0.0158 | ) | (0.0072 | ) | (0.002 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | (0.0002 | ) | — | (c) | — | (c) | — | (c) | (0.0001 | ) | — | (b) | ||||||||||||||
Total distributions(d) | (0.0002 | ) | (0.0110 | ) | (0.0235 | ) | (0.0158 | ) | (0.0073 | ) | (0.002 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.0008 | $ | 1.0011 | $ | 1.0006 | $ | 1.0002 | $ | 1.0003 | $ | 1.000 | ||||||||||||||
Total return(e) | (0.03 | )% | 1.15 | % | 2.41 | % | 1.58 | % | 0.77 | % | 0.22 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 66 | $ | 1,919 | $ | 4,901 | $ | 2,752 | $ | 1,418 | $ | 59,053 | ||||||||||||||
Ratio of net expenses to average net assets | 0.24 | %(f) | 0.25 | % | 0.23 | % | 0.21 | % | 0.28 | % | 0.28 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.29 | %(f) | 0.28 | % | 0.28 | % | 0.30 | % | 0.35 | % | 0.33 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.05 | )%(f) | 1.35 | % | 2.31 | % | 1.72 | % | 0.32 | % | 0.20 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Amount is less than $0.00005 per share. |
(d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. 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. |
(f) | Annualized. |
64 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Money Market Fund — Select Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.0009 | $ | 1.0006 | $ | 1.0003 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | ||||||||||||||
Net investment income(a) | — | (c) | 0.0163 | 0.0240 | 0.0182 | 0.0040 | 0.003 | |||||||||||||||||||
Net realized and unrealized gain (loss) | — | (0.0043 | ) | 0.0005 | (0.0017 | ) | 0.0043 | — | (b) | |||||||||||||||||
Total from investment operations | — | (c) | 0.0120 | 0.0245 | 0.0165 | 0.0083 | 0.003 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (c) | (0.0117 | ) | (0.0242 | ) | (0.0165 | ) | (0.0079 | ) | (0.003 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | (0.0002 | ) | — | (c) | — | (c) | — | (c) | (0.0001 | ) | — | (b) | ||||||||||||||
Total distributions(d) | (0.0002 | ) | (0.0117 | ) | (0.0242 | ) | (0.0165 | ) | (0.0080 | ) | (0.003 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.0007 | $ | 1.0009 | $ | 1.0006 | $ | 1.0003 | $ | 1.0003 | $ | 1.000 | ||||||||||||||
Total return(e) | (0.01 | )% | 1.20 | % | 2.49 | % | 1.65 | % | 0.84 | % | 0.29 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 2,361 | $ | 2,362 | $ | 34,943 | $ | 34,354 | $ | 9,847 | $ | 1,080,075 | ||||||||||||||
Ratio of net expenses to average net assets | 0.21 | %(f) | 0.18 | % | 0.16 | % | 0.14 | % | 0.21 | % | 0.21 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.22 | %(f) | 0.21 | % | 0.21 | % | 0.23 | % | 0.28 | % | 0.26 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.03 | )%(f) | 1.63 | % | 2.40 | % | 1.82 | % | 0.40 | % | 0.29 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Amount is less than $0.00005 per share. |
(d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. 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. |
(f) | Annualized. |
Financial Square Money Market Fund — Administration Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.0010 | $ | 1.0005 | $ | 1.0003 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | ||||||||||||||
Net investment income(a) | �� | — | (c) | 0.0094 | 0.0214 | 0.0140 | 0.0024 | 0.001 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.0001 | ) | 0.0007 | 0.0008 | 0.0003 | 0.0037 | — | (b) | ||||||||||||||||||
Total from investment operations | (0.0001 | ) | 0.0101 | 0.0222 | 0.0143 | 0.0061 | 0.001 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (c) | (0.0096 | ) | (0.0220 | ) | (0.0143 | ) | (0.0057 | ) | (0.001 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | (0.0002 | ) | — | (c) | — | (c) | — | (c) | (0.0001 | ) | — | (b) | ||||||||||||||
Total distributions(d) | (0.0002 | ) | (0.0096 | ) | (0.0220 | ) | (0.0143 | ) | (0.0058 | ) | (0.001 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.0007 | $ | 1.0010 | $ | 1.0005 | $ | 1.0003 | $ | 1.0003 | $ | 1.000 | ||||||||||||||
Total return(e) | (0.03 | )% | 1.01 | % | 2.25 | % | 1.43 | % | 0.61 | % | 0.10 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 4,270 | $ | 4,506 | $ | 4,493 | $ | 3,218 | $ | 5,516 | $ | 316,162 | ||||||||||||||
Ratio of net expenses to average net assets | 0.24 | %(f) | 0.38 | % | 0.38 | % | 0.36 | % | 0.43 | % | 0.40 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.44 | %(f) | 0.43 | % | 0.43 | % | 0.45 | % | 0.50 | % | 0.48 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.05 | )%(f) | 0.93 | % | 2.14 | % | 1.40 | % | 0.24 | % | 0.09 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Amount is less than $0.00005 per share. |
(d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. 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. |
(f) | Annualized. |
The accompanying notes are an integral part of these financial statements. | 65 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Money Market Fund — Cash Management Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.0009 | $ | 1.0007 | $ | 1.0004 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | ||||||||||||||
Net investment income(a) | 0.0009 | 0.0097 | 0.0182 | 0.0106 | 0.0001 | — | (b) | |||||||||||||||||||
Net realized and unrealized gain (loss) | (0.0010 | ) | (0.0008 | ) | 0.0003 | 0.0001 | 0.0017 | — | (b) | |||||||||||||||||
Total from investment operations | (0.0001 | ) | 0.0089 | 0.0185 | 0.0107 | 0.0018 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.0009 | ) | (0.0087 | ) | (0.0182 | ) | (0.0106 | ) | (0.0015 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (c) | — | (c) | — | (c) | — | (c) | — | (c) | — | (b) | ||||||||||||||
Total distributions(d) | (0.0009 | ) | (0.0087 | ) | (0.0182 | ) | (0.0106 | ) | (0.0015 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 0.9999 | $ | 1.0009 | $ | 1.0007 | $ | 1.0004 | $ | 1.0003 | $ | 1.000 | ||||||||||||||
Total return(e) | (0.10 | )% | 0.60 | % | 1.69 | % | 0.89 | % | 0.18 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 10,742 | ||||||||||||||
Ratio of net expenses to average net assets | 0.18 | %(f) | 0.68 | % | 0.85 | % | 0.83 | % | 0.50 | % | 0.51 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.99 | %(f) | 0.98 | % | 0.98 | % | 1.00 | % | 1.05 | % | 1.03 | % | ||||||||||||||
Ratio of net investment income to average net assets | — | %(f)(g) | 0.89 | % | 1.81 | % | 1.06 | % | 0.01 | % | — | %(g) |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Amount is less than $0.00005 per share. |
(d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. 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. |
(f) | Annualized. |
(g) | Amount is less than 0.005%. |
Financial Square Money Market Fund — Premier Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.0010 | $ | 1.0006 | $ | 1.0004 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | ||||||||||||||
Net investment income(a) | 0.0009 | 0.0115 | 0.0217 | 0.0142 | 0.0068 | 0.001 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.0010 | ) | (0.0003 | ) | 0.0002 | 0.0001 | (0.0016 | ) | — | (b) | ||||||||||||||||
Total from investment operations | (0.0001 | ) | 0.0112 | 0.0219 | 0.0143 | 0.0052 | 0.001 | |||||||||||||||||||
Distributions to shareholders from net investment income | (0.0009 | ) | (0.0108 | ) | (0.0217 | ) | (0.0142 | ) | (0.0049 | ) | (0.001 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (c) | — | (c) | — | (c) | — | (c) | — | (c) | — | (b) | ||||||||||||||
Total distributions(d) | (0.0009 | ) | (0.0108 | ) | (0.0217 | ) | (0.0142 | ) | (0.0049 | ) | (0.001 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.0000 | $ | 1.0010 | $ | 1.0006 | $ | 1.0004 | $ | 1.0003 | $ | 1.000 | ||||||||||||||
Total return(e) | (0.10 | )% | 0.91 | % | 2.15 | % | 1.35 | % | 0.52 | % | 0.10 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | ||||||||||||||
Ratio of net expenses to average net assets | 0.18 | %(f) | 0.45 | % | 0.48 | % | 0.47 | % | 0.53 | % | 0.19 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.54 | %(f) | 0.53 | % | 0.53 | % | 0.55 | % | 0.60 | % | 0.58 | % | ||||||||||||||
Ratio of net investment income to average net assets | — | %(f)(g) | 1.10 | % | 2.17 | % | 1.42 | % | 0.69 | % | 0.37 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Amount is less than $0.00005 per share. |
(d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. 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. |
(f) | Annualized. |
(g) | Amount is less than 0.005%. |
66 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Money Market Fund — Resource Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.0008 | $ | 1.0006 | $ | 1.0004 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | ||||||||||||||
Net investment income(a) | 0.0009 | 0.0116 | 0.0217 | 0.0142 | 0.0068 | 0.001 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.0009 | ) | (0.0005 | ) | 0.0002 | 0.0001 | (0.0040 | ) | — | (b) | ||||||||||||||||
Total from investment operations | — | (c) | 0.0111 | 0.0219 | 0.0143 | 0.0028 | 0.001 | |||||||||||||||||||
Distributions to shareholders from net investment income | (0.0009 | ) | (0.0109 | ) | (0.0217 | ) | (0.0142 | ) | (0.0025 | ) | (0.001 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (c) | — | (c) | — | (c) | — | (c) | — | (c) | — | (b) | ||||||||||||||
Total distributions(d) | (0.0009 | ) | (0.0109 | ) | (0.0217 | ) | (0.0142 | ) | (0.0025 | ) | (0.001 | ) | ||||||||||||||
Net asset value, end of period | $ | 0.9999 | $ | 1.0008 | $ | 1.0006 | $ | 1.0004 | $ | 1.0003 | $ | 1.000 | ||||||||||||||
Total return(e) | (0.09 | )% | 0.69 | % | 1.84 | % | 1.04 | % | 0.28 | % | 0.10 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | ||||||||||||||
Ratio of net expenses to average net assets | 0.18 | %(f) | 0.45 | % | 0.49 | % | 0.47 | % | 0.53 | % | 0.19 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.84 | %(f) | 0.83 | % | 0.83 | % | 0.85 | % | 0.90 | % | 0.88 | % | ||||||||||||||
Ratio of net investment income to average net assets | — | %(f)(g) | 1.11 | % | 2.17 | % | 1.42 | % | 0.68 | % | 0.37 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Amount is less than $0.00005 per share. |
(d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. 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. |
(f) | Annualized. |
(g) | Amount is less than 0.005%. |
The accompanying notes are an integral part of these financial statements. | 67 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.00005 per share. |
(c) | Amount is less than $0.0005 per share. |
(d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. 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. |
(f) | Annualized. |
(g) | Amount is less than 0.005%. |
Financial Square Prime Obligations Fund — Capital Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.0012 | $ | 1.0006 | $ | 1.0002 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | ||||||||||||||
Net investment income(a) | — | (c) | 0.0108 | 0.0227 | 0.0178 | 0.0024 | 0.002 | |||||||||||||||||||
Net realized and unrealized gain (loss) | (0.0001 | ) | 0.0004 | 0.0006 | (0.0026 | ) | 0.0048 | — | (b) | |||||||||||||||||
Total from investment operations | (0.0001 | ) | 0.0112 | 0.0233 | 0.0152 | 0.0072 | 0.002 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (c) | (0.0106 | ) | (0.0229 | ) | (0.0153 | ) | (0.0068 | ) | (0.002 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | (0.0002 | ) | — | (c) | — | (c) | — | (c) | (0.0001 | ) | — | (b) | ||||||||||||||
Total distributions(d) | (0.0002 | ) | (0.0106 | ) | (0.0229 | ) | (0.0153 | ) | (0.0069 | ) | (0.002 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.0009 | $ | 1.0012 | $ | 1.0006 | $ | 1.0002 | $ | 1.0003 | $ | 1.000 | ||||||||||||||
Total return(e) | (0.03 | )% | 1.12 | % | 2.35 | % | 1.53 | % | 0.72 | % | 0.16 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 911 | $ | 1,014 | $ | 6,755 | $ | 6,829 | $ | 407 | $ | 140,138 | ||||||||||||||
Ratio of net expenses to average net assets | 0.23 | %(f) | 0.31 | % | 0.28 | % | 0.26 | % | 0.33 | % | 0.31 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.34 | %(f) | 0.33 | % | 0.33 | % | 0.36 | % | 0.42 | % | 0.38 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.05 | %(f) | 1.07 | % | 2.27 | % | 1.78 | % | 0.24 | % | 0.16 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Amount is less than $0.00005 per share. |
(d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. 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. |
(f) | Annualized. |
68 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Prime Obligations Fund — Service Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.0004 | $ | 1.0004 | $ | 1.0002 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | ||||||||||||||
Net investment income(a) | — | (c) | 0.0167 | 0.0197 | 0.0145 | 0.0003 | — | (b) | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.0001 | ) | (0.0079 | ) | (0.0001 | ) | (0.0028 | ) | 0.0035 | — | (b) | |||||||||||||||
Total from investment operations | (0.0001 | ) | 0.0088 | 0.0196 | 0.0117 | 0.0038 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (c) | (0.0088 | ) | (0.0194 | ) | (0.0118 | ) | (0.0034 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | (0.0002 | ) | — | (c) | — | (c) | — | (c) | (0.0001 | ) | — | (b) | ||||||||||||||
Total distributions(d) | (0.0002 | ) | (0.0088 | ) | (0.0194 | ) | (0.0118 | ) | (0.0035 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.0001 | $ | 1.0004 | $ | 1.0004 | $ | 1.0002 | $ | 1.0003 | $ | 1.000 | ||||||||||||||
Total return(e) | (0.03 | )% | 0.76 | % | 2.00 | % | 1.16 | % | 0.38 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 9 | $ | 9 | $ | 5,098 | $ | 102 | $ | 103 | $ | 253,231 | ||||||||||||||
Ratio of net expenses to average net assets | 0.21 | %(f) | 0.66 | % | 0.63 | % | 0.61 | % | 0.59 | % | 0.42 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.69 | %(f) | 0.68 | % | 0.68 | % | 0.71 | % | 0.77 | % | 0.73 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.04 | )%(f) | 1.66 | % | 1.97 | % | 1.45 | % | 0.03 | % | — | %(g) |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Amount is less than $0.00005 per share. |
(d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. 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. |
(f) | Annualized. |
(g) | Amount is less than 0.005% of average net assets. |
Financial Square Prime Obligations Fund — Preferred Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.0010 | $ | 1.0004 | $ | 1.0001 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | ||||||||||||||
Net investment income(a) | — | (b) | 0.0111 | 0.0233 | 0.0142 | 0.0030 | 0.002 | |||||||||||||||||||
Net realized and unrealized gain | (0.0001 | ) | 0.0006 | 0.0004 | 0.0014 | 0.0047 | — | (c) | ||||||||||||||||||
Total from investment operations | (0.0001 | ) | 0.0117 | 0.0237 | 0.0156 | 0.0077 | 0.002 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.0111 | ) | (0.0234 | ) | (0.0158 | ) | (0.0073 | ) | (0.002 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | (0.0001 | ) | — | (b) | — | (b) | — | (b) | (0.0001 | ) | — | (c) | ||||||||||||||
Total distributions(d) | (0.0001 | ) | (0.0111 | ) | (0.0234 | ) | (0.0158 | ) | (0.0074 | ) | (0.002 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.0008 | $ | 1.0010 | $ | 1.0004 | $ | 1.0001 | $ | 1.0003 | $ | 1.000 | ||||||||||||||
Total return(e) | (0.02 | )% | 1.16 | % | 2.41 | % | 1.57 | % | 0.77 | % | 0.20 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 3,364 | $ | 3,365 | $ | 2,839 | $ | 2,624 | $ | 1,003 | $ | 279,445 | ||||||||||||||
Ratio of net expenses to average net assets | 0.22 | %(f) | 0.26 | % | 0.23 | % | 0.21 | % | 0.28 | % | 0.28 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.29 | %(f) | 0.28 | % | 0.28 | % | 0.31 | % | 0.37 | % | 0.33 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.05 | )%(f) | 1.11 | % | 2.33 | % | 1.42 | % | 0.30 | % | 0.19 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.00005 per share. |
(c) | Amount is less than $0.0005 per share. |
(d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. 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. |
(f) | Annualized. |
The accompanying notes are an integral part of these financial statements. | 69 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Prime Obligations Fund — Select Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.0012 | $ | 1.0004 | $ | 1.0002 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | ||||||||||||||
Net investment income(a) | — | (b) | 0.0120 | 0.0241 | 0.0181 | 0.0097 | 0.003 | |||||||||||||||||||
Net realized and unrealized gain (loss) | — | 0.0006 | 0.0002 | (0.0017 | ) | (0.0013 | ) | — | (c) | |||||||||||||||||
Total from investment operations | — | (b) | 0.0126 | 0.0243 | 0.0164 | 0.0084 | 0.003 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.0118 | ) | (0.0241 | ) | (0.0165 | ) | (0.0080 | ) | (0.003 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | (0.0002 | ) | — | (b) | — | (b) | — | (b) | (0.0001 | ) | — | (c) | ||||||||||||||
Total distributions(d) | (0.0002 | ) | (0.0118 | ) | (0.0241 | ) | (0.0165 | ) | (0.0081 | ) | (0.003 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.0010 | $ | 1.0012 | $ | 1.0004 | $ | 1.0002 | $ | 1.0003 | $ | 1.000 | ||||||||||||||
Total return(e) | (0.01 | )% | 1.25 | % | 2.48 | % | 1.64 | % | 0.84 | % | 0.26 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 38,230 | $ | 76,327 | $ | 98,996 | $ | 60,236 | $ | 18,082 | $ | 9,454 | ||||||||||||||
Ratio of net expenses to average net assets | 0.20 | %(f) | 0.19 | % | 0.16 | % | 0.14 | % | 0.21 | % | 0.21 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.22 | %(f) | 0.21 | % | 0.21 | % | 0.24 | % | 0.30 | % | 0.26 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.02 | )%(f) | 1.19 | % | 2.41 | % | 1.81 | % | 0.97 | % | 0.29 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.00005 per share. |
(c) | Amount is less than $0.0005 per share. |
(d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. 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. |
(f) | Annualized. |
Financial Square Prime Obligations Fund — Administration Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.0012 | $ | 1.0005 | $ | 1.0002 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | ||||||||||||||
Net investment income(a) | — | (b) | 0.0121 | 0.0222 | 0.0139 | 0.0015 | 0.001 | |||||||||||||||||||
Net realized and unrealized gain (loss) | — | (b) | (0.0017 | ) | — | 0.0003 | 0.0047 | — | (c) | |||||||||||||||||
Total from investment operations | — | (b) | 0.0104 | 0.0222 | 0.0142 | 0.0062 | 0.001 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.0097 | ) | (0.0219 | ) | (0.0143 | ) | (0.0058 | ) | (0.001 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | (0.0002 | ) | — | (b) | — | (b) | — | (b) | (0.0001 | ) | — | (c) | ||||||||||||||
Total distributions(d) | (0.0002 | ) | (0.0097 | ) | (0.0219 | ) | (0.0143 | ) | (0.0059 | ) | (0.001 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.0010 | $ | 1.0012 | $ | 1.0005 | $ | 1.0002 | $ | 1.0003 | $ | 1.000 | ||||||||||||||
Total return(e) | (0.02 | )% | 1.03 | % | 2.25 | % | 1.43 | % | 0.62 | % | 0.09 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 81,920 | $ | 8,736 | $ | 9,748 | $ | 7,474 | $ | 4,282 | $ | 1,250,848 | ||||||||||||||
Ratio of net expenses to average net assets | 0.21 | %(f) | 0.41 | % | 0.38 | % | 0.36 | % | 0.43 | % | 0.38 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.44 | %(f) | 0.43 | % | 0.43 | % | 0.46 | % | 0.52 | % | 0.48 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.04 | )%(f) | 1.21 | % | 2.22 | % | 1.39 | % | 0.15 | % | 0.09 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.00005 per share. |
(c) | Amount is less than $0.0005 per share. |
(d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. 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. |
(f) | Annualized. |
70 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Prime Obligations Fund — Cash Management Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.0010 | $ | 1.0005 | $ | 1.0002 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | ||||||||||||||
Net investment income(a) | 0.0009 | 0.0087 | 0.0181 | 0.0108 | 0.0051 | 0.001 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.0010 | ) | 0.0004 | 0.0003 | (0.0001 | ) | (0.0033 | ) | — | (b) | ||||||||||||||||
Total from investment operations | (0.0001 | ) | 0.0091 | 0.0184 | 0.0107 | 0.0018 | 0.001 | |||||||||||||||||||
Distributions to shareholders from net investment income | (0.0009 | ) | (0.0086 | ) | (0.0181 | ) | (0.0108 | ) | (0.0015 | ) | (0.001 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (c) | — | (c) | — | (c) | — | (c) | — | (c) | — | (b) | ||||||||||||||
Total distributions(d) | (0.0009 | ) | (0.0086 | ) | (0.0181 | ) | (0.0108 | ) | (0.0015 | ) | (0.001 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.0000 | $ | 1.0010 | $ | 1.0005 | $ | 1.0002 | $ | 1.0003 | $ | 1.000 | ||||||||||||||
Total return(e) | (0.10 | )% | 0.63 | % | 1.69 | % | 0.86 | % | 0.18 | % | 0.09 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | ||||||||||||||
Ratio of net expenses to average net assets | 0.18 | %(f) | 0.70 | % | 0.85 | % | 0.83 | % | 0.73 | % | 0.18 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.99 | %(f) | 0.98 | % | 0.98 | % | 1.01 | % | 1.07 | % | 1.03 | % | ||||||||||||||
Ratio of net investment income to average net assets | — | %(f)(g) | 0.87 | % | 1.80 | % | 1.08 | % | 0.51 | % | 0.37 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Amount is less than $0.00005 per share. |
(d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. 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. |
(f) | Annualized. |
(g) | Amount is less than 0.005%. |
Financial Square Prime Obligations Fund — Premier Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.0009 | $ | 1.0005 | $ | 1.0002 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | ||||||||||||||
Net investment income(a) | 0.0009 | 0.0115 | 0.0216 | 0.0144 | 0.0071 | 0.001 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.0009 | ) | (0.0001 | ) | 0.0003 | (0.0001 | ) | (0.0018 | ) | — | (b) | |||||||||||||||
Total from investment operations | (0.0009 | ) | 0.0114 | 0.0219 | 0.0143 | 0.0053 | 0.001 | |||||||||||||||||||
Distributions to shareholders from net investment income | (0.0009 | ) | (0.0110 | ) | (0.0216 | ) | (0.0144 | ) | (0.0050 | ) | (0.001 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (c) | — | (c) | — | (c) | — | (c) | — | (c) | — | (b) | ||||||||||||||
Total distributions(d) | (0.0009 | ) | (0.0110 | ) | (0.0216 | ) | (0.0144 | ) | (0.0050 | ) | (0.001 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.0000 | $ | 1.0009 | $ | 1.0005 | $ | 1.0002 | $ | 1.0003 | $ | 1.000 | ||||||||||||||
Total return(e) | (0.09 | )% | 0.93 | % | 2.15 | % | 1.32 | % | 0.53 | % | 0.09 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | ||||||||||||||
Ratio of net expenses to average net assets | 0.18 | %(f) | 0.46 | % | 0.49 | % | 0.47 | % | 0.53 | % | 0.18 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.54 | %(f) | 0.53 | % | 0.53 | % | 0.56 | % | 0.62 | % | 0.58 | % | ||||||||||||||
Ratio of net investment income to average net assets | — | %(f)(g) | 1.10 | % | 2.16 | % | 1.44 | % | 0.71 | % | 0.36 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Amount is less than $0.00005 per share. |
(d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. 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. |
(f) | Annualized. |
(g) | Amount is less than 0.005%. |
The accompanying notes are an integral part of these financial statements. | 71 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Prime Obligations Fund — Resource Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.0010 | $ | 1.0005 | $ | 1.0002 | $ | 1.0003 | $ | 1.0000 | $ | 1.000 | ||||||||||||||
Net investment income(a) | 0.0009 | 0.0106 | 0.0216 | 0.0144 | 0.0002 | — | (b) | |||||||||||||||||||
Net realized and unrealized gain (loss) | (0.0010 | ) | 0.0008 | 0.0003 | (0.0001 | ) | 0.0025 | — | (b) | |||||||||||||||||
Total from investment operations | (0.0001 | ) | 0.0114 | 0.0219 | 0.0143 | 0.0027 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.0009 | ) | (0.0109 | ) | (0.0216 | ) | (0.0144 | ) | (0.0024 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (c) | — | (c) | — | (c) | — | (c) | — | (c) | — | (b) | ||||||||||||||
Total distributions(d) | (0.0009 | ) | (0.0109 | ) | (0.0216 | ) | (0.0144 | ) | (0.0024 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.0000 | $ | 1.0010 | $ | 1.0005 | $ | 1.0002 | $ | 1.0003 | $ | 1.000 | ||||||||||||||
Total return(e) | (0.10 | )% | 0.73 | % | 1.85 | % | 1.01 | % | 0.27 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 71,804 | ||||||||||||||
Ratio of net expenses to average net assets | 0.18 | %(f) | 0.47 | % | 0.49 | % | 0.47 | % | 0.52 | % | 0.46 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.84 | %(f) | 0.83 | % | 0.83 | % | 0.86 | % | 0.92 | % | 0.88 | % | ||||||||||||||
Ratio of net investment income to average net assets | — | %(f)(g) | 1.10 | % | 2.16 | % | 1.44 | % | 0.02 | % | 0.01 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Amount is less than $0.00005 per share. |
(d) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. 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. |
(f) | Annualized. |
(g) | Amount is less than 0.005%. |
Financial Square Prime Obligations Fund — Drexel Hamilton Class Shares | For the Period Ended November 30, 2020† | Period Ended August 31, 2020* | ||||||||
Per Share Data: | ||||||||||
Net asset value, beginning of period | $ | 1.0012 | $ | 1.0006 | ||||||
Net investment income(a) | — | (b) | 0.0080 | |||||||
Net realized and unrealized gain | — | 0.0042 | ||||||||
Total from investment operations | — | (b) | 0.0122 | |||||||
Distributions to shareholders from net investment income | — | (b) | (0.0116 | ) | ||||||
Distributions to shareholders from net realized gains | (0.0002 | ) | — | (b) | ||||||
Total distributions(c) | (0.0002 | ) | (0.0116 | ) | ||||||
Net asset value, end of period | $ | 1.0010 | $ | 1.0012 | ||||||
Total return(d) | — | %(e) | 1.22 | % | ||||||
Net assets, end of period (in 000’s) | $ | 100,884 | $ | 100,044 | ||||||
Ratio of net expenses to average net assets | 0.18 | %(f) | 0.16 | %(f) | ||||||
Ratio of total expenses to average net assets | 0.19 | %(f) | 0.18 | %(f) | ||||||
Ratio of net investment income (loss) to average net assets | (0.01 | )%(f) | 0.78 | %(f) |
† | The Fund changed its fiscal year end from August 31 to November 30. |
* | Commenced operations on September 9, 2019. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.00005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. 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. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
72 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
Financial Square Treasury Instruments Fund — Capital Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.009 | 0.020 | 0.011 | 0.004 | — | (b) | ||||||||||||||||||
Net realized gain (loss) | — | (b) | (0.001 | ) | — | (b) | 0.001 | (0.001 | ) | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.008 | 0.020 | 0.012 | 0.003 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.008 | ) | (0.020 | ) | (0.012 | ) | (0.003 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.008 | ) | (0.020 | ) | (0.012 | ) | (0.003 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.82 | % | 2.01 | % | 1.19 | % | 0.33 | % | 0.03 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 675,659 | $ | 725,405 | $ | 766,401 | $ | 374,831 | $ | 1,054,817 | $ | 495,853 | ||||||||||||||
Ratio of net expenses to average net assets | 0.16 | %(f) | 0.33 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.30 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.35 | %(f) | 0.35 | % | 0.35 | % | 0.36 | % | 0.38 | % | 0.38 | % | ||||||||||||||
Ratio of net investment income to average net assets | — | %(f) | 0.85 | % | 1.98 | % | 1.08 | % | 0.38 | % | 0.02 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
The accompanying notes are an integral part of these financial statements. | 73 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Treasury Instruments Fund — Service Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.003 | 0.016 | 0.008 | 0.001 | — | (b) | ||||||||||||||||||
Net realized gain | — | (b) | 0.003 | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.006 | 0.016 | 0.008 | 0.001 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.006 | ) | (0.016 | ) | (0.008 | ) | (0.001 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.006 | ) | (0.016 | ) | (0.008 | ) | (0.001 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.60 | % | 1.65 | % | 0.84 | % | 0.10 | % | — | %(e) | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 122,542 | $ | 116,172 | $ | 26,723 | $ | 22,063 | $ | 47,234 | $ | 91,598 | ||||||||||||||
Ratio of net expenses to average net assets | 0.16 | %(f) | 0.41 | % | 0.70 | % | 0.70 | % | 0.55 | % | 0.29 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.70 | %(f) | 0.70 | % | 0.70 | % | 0.71 | % | 0.73 | % | 0.73 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | — | %(e)(f) | 0.28 | % | 1.60 | % | 0.79 | % | 0.05 | % | (0.01 | )% |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
Financial Square Treasury Instruments Fund — Preferred Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.007 | 0.020 | 0.012 | 0.003 | 0.001 | |||||||||||||||||||
Net realized gain | — | (b) | 0.002 | — | (b) | — | (b) | 0.001 | — | (b) | ||||||||||||||||
Total from investment operations | — | (b) | 0.009 | 0.020 | 0.012 | 0.004 | 0.001 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.009 | ) | (0.020 | ) | (0.012 | ) | (0.004 | ) | (0.001 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.009 | ) | (0.020 | ) | (0.012 | ) | (0.004 | ) | (0.001 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.86 | % | 2.06 | % | 1.24 | % | 0.38 | % | 0.06 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 137,607 | $ | 113,769 | $ | 92,406 | $ | 45,007 | $ | 39,754 | $ | 12,735 | ||||||||||||||
Ratio of net expenses to average net assets | 0.16 | %(f) | 0.29 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.26 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.30 | %(f) | 0.30 | % | 0.30 | % | 0.31 | % | 0.33 | % | 0.33 | % | ||||||||||||||
Ratio of net investment income to average net assets | — | %(e)(f) | 0.68 | % | 2.02 | % | 1.24 | % | 0.34 | % | 0.05 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
74 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Treasury Instruments Fund — Select Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.006 | 0.021 | 0.015 | 0.004 | 0.001 | |||||||||||||||||||
Net realized gain (loss) | — | (b) | 0.003 | — | (b) | (0.002 | ) | 0.001 | — | (b) | ||||||||||||||||
Total from investment operations | — | (b) | 0.009 | 0.021 | 0.013 | 0.005 | 0.001 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.009 | ) | (0.021 | ) | (0.013 | ) | (0.005 | ) | (0.001 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.009 | ) | (0.021 | ) | (0.013 | ) | (0.005 | ) | (0.001 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.92 | % | 2.13 | % | 1.31 | % | 0.45 | % | 0.11 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 336,761 | $ | 495,422 | $ | 141,728 | $ | 370,898 | $ | 47,839 | $ | 21,009 | ||||||||||||||
Ratio of net expenses to average net assets | 0.16 | %(f) | 0.23 | % | 0.23 | % | 0.23 | % | 0.23 | % | 0.21 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.23 | %(f) | 0.23 | % | 0.23 | % | 0.24 | % | 0.26 | % | 0.26 | % | ||||||||||||||
Ratio of net investment income to average net assets | — | %(e)(f) | 0.60 | % | 2.09 | % | 1.49 | % | 0.43 | % | 0.07 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
Financial Square Treasury Instruments Fund — Administration Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.008 | 0.019 | 0.011 | 0.003 | — | (b) | ||||||||||||||||||
Net realized loss | — | (b) | — | (b) | — | (b) | — | (b) | (0.001 | ) | — | (b) | ||||||||||||||
Total from investment operations | — | (b) | 0.008 | 0.019 | 0.011 | 0.002 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.008 | ) | (0.019 | ) | (0.011 | ) | (0.002 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.008 | ) | (0.019 | ) | (0.011 | ) | (0.002 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.75 | % | 1.91 | % | 1.09 | % | 0.24 | % | — | %(e) | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 1,578,689 | $ | 1,493,968 | $ | 1,716,942 | $ | 2,361,026 | $ | 2,817,291 | $ | 2,186,426 | ||||||||||||||
Ratio of net expenses to average net assets | 0.16 | %(f) | 0.40 | % | 0.45 | % | 0.45 | % | 0.44 | % | 0.32 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.45 | %(f) | 0.45 | % | 0.45 | % | 0.46 | % | 0.48 | % | 0.48 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | — | %(e)(f) | 0.72 | % | 1.86 | % | 1.07 | % | 0.26 | % | (0.01 | )% |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
The accompanying notes are an integral part of these financial statements. | 75 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Treasury Instruments Fund — Cash Management Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.004 | 0.014 | 0.006 | — | (b) | — | (b) | |||||||||||||||||
Net realized loss | — | (b) | — | (b) | (0.001 | ) | (0.001 | ) | — | (b) | — | (b) | ||||||||||||||
Total from investment operations | — | (b) | 0.004 | 0.013 | 0.005 | — | (b) | — | (b) | |||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.004 | ) | (0.013 | ) | (0.005 | ) | — | (b) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
Total distributions(c) | — | (b) | (0.004 | ) | (0.013 | ) | (0.005 | ) | — | (b) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.43 | % | 1.35 | % | 0.54 | % | 0.01 | % | — | %(e) | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 9,744 | $ | 10,781 | $ | 12,515 | $ | 64 | $ | 30 | $ | 279 | ||||||||||||||
Ratio of net expenses to average net assets | 0.16 | %(f) | 0.73 | % | 1.00 | % | 1.00 | % | 0.61 | % | 0.35 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.00 | %(f) | 1.00 | % | 1.00 | % | 1.01 | % | 1.03 | % | 1.03 | % | ||||||||||||||
Ratio of net investment income to average net assets | — | %(e)(f) | 0.40 | % | 1.36 | % | 0.60 | % | — | %(e) | 0.05 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
Financial Square Treasury Instruments Fund — Premier Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.007 | 0.018 | 0.011 | 0.002 | — | (b) | ||||||||||||||||||
Net realized loss | — | (b) | — | (b) | — | (b) | (0.001 | ) | — | (b) | — | (b) | ||||||||||||||
Total from investment operations | — | (b) | 0.007 | 0.018 | 0.010 | 0.002 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.007 | ) | (0.018 | ) | (0.010 | ) | (0.002 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.007 | ) | (0.018 | ) | (0.010 | ) | (0.002 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.69 | % | 1.80 | % | 0.99 | % | 0.17 | % | — | %(e) | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 162,524 | $ | 161,117 | $ | 151,939 | $ | 152,344 | $ | 56,059 | $ | 19,142 | ||||||||||||||
Ratio of net expenses to average net assets | 0.16 | %(f) | 0.45 | % | 0.55 | % | 0.55 | % | 0.50 | % | 0.38 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.55 | %(f) | 0.55 | % | 0.55 | % | 0.56 | % | 0.58 | % | 0.58 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | — | %(e)(f) | 0.65 | % | 1.76 | % | 1.12 | % | 0.20 | % | (0.02 | )% |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
76 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Treasury Instruments Fund — Resource Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | 0.001 | 0.003 | 0.016 | 0.009 | 0.004 | — | (b) | |||||||||||||||||||
Net realized gain (loss) | — | (b) | 0.003 | — | (b) | — | (b) | (0.004 | ) | — | (b) | |||||||||||||||
Total from investment operations | 0.001 | 0.006 | 0.016 | 0.009 | — | (b) | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.001 | ) | (0.006 | ) | (0.016 | ) | (0.009 | ) | — | (b) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | (0.001 | ) | (0.006 | ) | (0.016 | ) | (0.009 | ) | — | (b) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.52 | % | 1.50 | % | 0.69 | % | 0.04 | % | — | %(e) | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | ||||||||||||||
Ratio of net expenses to average net assets | 0.16 | %(f) | 0.41 | % | 0.56 | % | 0.55 | % | 0.26 | % | 0.19 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.85 | %(f) | 0.85 | % | 0.85 | % | 0.86 | % | 0.88 | % | 0.88 | % | ||||||||||||||
Ratio of net investment income to average net assets | 0.36 | %(f) | 0.57 | % | 1.61 | % | 0.87 | % | 0.37 | % | 0.37 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
The accompanying notes are an integral part of these financial statements. | 77 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
Financial Square Treasury Obligations Fund — Capital Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.007 | 0.020 | 0.012 | 0.003 | — | (b) | ||||||||||||||||||
Net realized gain | — | (b) | 0.001 | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.008 | 0.020 | 0.012 | 0.003 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.008 | ) | (0.020 | ) | (0.012 | ) | (0.003 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.008 | ) | (0.020 | ) | (0.012 | ) | (0.003 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.80 | % | 2.05 | % | 1.21 | % | 0.35 | % | 0.05 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 330,016 | $ | 372,260 | $ | 390,680 | $ | 299,105 | $ | 269,417 | $ | 404,533 | ||||||||||||||
Ratio of net expenses to average net assets | 0.15 | %(f) | 0.34 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.30 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.35 | %(f) | 0.35 | % | 0.35 | % | 0.36 | % | 0.38 | % | 0.38 | % | ||||||||||||||
Ratio of net investment income to average net assets | — | %(e)(f) | 0.74 | % | 2.01 | % | 1.19 | % | 0.34 | % | 0.03 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
78 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Treasury Obligations Fund — Service Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.006 | 0.017 | 0.009 | 0.001 | — | (b) | ||||||||||||||||||
Net realized gain | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total from investment operations | — | (b) | 0.006 | 0.017 | 0.009 | 0.001 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.006 | ) | (0.017 | ) | (0.009 | ) | (0.001 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.006 | ) | (0.017 | ) | (0.009 | ) | (0.001 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.59 | % | 1.69 | % | 0.86 | % | 0.11 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 911,413 | $ | 937,649 | $ | 936,398 | $ | 1,342,308 | $ | 954,846 | $ | 787,768 | ||||||||||||||
Ratio of net expenses to average net assets | 0.15 | %(f) | 0.55 | % | 0.70 | % | 0.70 | % | 0.59 | % | 0.33 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.70 | %(f) | 0.70 | % | 0.70 | % | 0.71 | % | 0.73 | % | 0.73 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | — | %(e)(f) | 0.55 | % | 1.67 | % | 0.88 | % | 0.11 | % | (0.01 | )% |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
Financial Square Treasury Obligations Fund — Preferred Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.008 | 0.021 | 0.013 | 0.004 | 0.001 | |||||||||||||||||||
Net realized gain | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total from investment operations | — | (b) | 0.008 | 0.021 | 0.013 | 0.004 | 0.001 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.008 | ) | (0.021 | ) | (0.013 | ) | (0.004 | ) | (0.001 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.008 | ) | (0.021 | ) | (0.013 | ) | (0.004 | ) | (0.001 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.84 | % | 2.10 | % | 1.26 | % | 0.40 | % | 0.08 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 440,733 | $ | 771,943 | $ | 461,459 | $ | 173,807 | $ | 123,436 | $ | 81,542 | ||||||||||||||
Ratio of net expenses to average net assets | 0.15 | %(f) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.25 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.30 | %(f) | 0.30 | % | 0.30 | % | 0.31 | % | 0.33 | % | 0.33 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.01 | )%(e)(f) | 0.76 | % | 2.08 | % | 1.28 | % | 0.40 | % | 0.05 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
The accompanying notes are an integral part of these financial statements. | 79 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Treasury Obligations Fund — Select Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.007 | 0.021 | 0.015 | 0.005 | 0.001 | |||||||||||||||||||
Net realized gain (loss) | — | (b) | 0.002 | — | (b) | (0.002 | ) | — | (b) | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.009 | 0.021 | 0.013 | 0.005 | 0.001 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.009 | ) | (0.021 | ) | (0.013 | ) | (0.005 | ) | (0.001 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.009 | ) | (0.021 | ) | (0.013 | ) | (0.005 | ) | (0.001 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.91 | % | 2.17 | % | 1.34 | % | 0.47 | % | 0.13 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 213,174 | $ | 178,351 | $ | 50,890 | $ | 134,034 | $ | 67,865 | $ | 505,162 | ||||||||||||||
Ratio of net expenses to average net assets | 0.15 | %(f) | 0.23 | % | 0.23 | % | 0.23 | % | 0.23 | % | 0.21 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.23 | %(f) | 0.23 | % | 0.23 | % | 0.24 | % | 0.26 | % | 0.26 | % | ||||||||||||||
Ratio of net investment income to average net assets | — | %(e)(f) | 0.70 | % | 2.08 | % | 1.46 | % | 0.46 | % | 0.12 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
Financial Square Treasury Obligations Fund — Administration Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.007 | 0.019 | 0.011 | 0.002 | — | (b) | ||||||||||||||||||
Net realized gain | — | (b) | — | (b) | — | (b) | — | (b) | 0.001 | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.007 | 0.019 | 0.011 | 0.003 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.007 | ) | (0.019 | ) | (0.011 | ) | (0.003 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.007 | ) | (0.019 | ) | (0.011 | ) | (0.003 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.73 | % | 1.95 | % | 1.11 | % | 0.26 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 2,380,299 | $ | 2,088,737 | $ | 2,034,113 | $ | 1,810,200 | $ | 1,307,550 | $ | 1,543,863 | ||||||||||||||
Ratio of net expenses to average net assets | 0.15 | %(f) | 0.40 | % | 0.45 | % | 0.45 | % | 0.44 | % | 0.33 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.45 | %(f) | 0.45 | % | 0.45 | % | 0.46 | % | 0.48 | % | 0.48 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | — | %(e)(f) | 0.65 | % | 1.91 | % | 1.14 | % | 0.25 | % | (0.01 | )% |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
80 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Treasury Obligations Fund — Cash Management Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.003 | 0.013 | 0.004 | 0.001 | — | (b) | ||||||||||||||||||
Net realized gain (loss) | — | (b) | 0.001 | 0.001 | 0.002 | (0.001 | ) | — | (b) | |||||||||||||||||
Total from investment operations | — | (b) | 0.004 | 0.014 | 0.006 | — | (b) | — | (b) | |||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.004 | ) | (0.014 | ) | (0.006 | ) | — | (b) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.004 | ) | (0.014 | ) | (0.006 | ) | — | (b) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.43 | % | 1.39 | % | 0.56 | % | 0.02 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 20,187 | $ | 13,015 | $ | 22,364 | $ | 48 | $ | 154 | $ | 1 | ||||||||||||||
Ratio of net expenses to average net assets | 0.15 | %(f) | 0.68 | % | 1.00 | % | 1.00 | % | 0.97 | % | 0.19 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.00 | %(f) | 1.00 | % | 1.00 | % | 1.01 | % | 1.03 | % | 1.03 | % | ||||||||||||||
Ratio of net investment income to average net assets | 0.01 | %(f) | 0.35 | % | 1.29 | % | 0.43 | % | 0.14 | % | 0.36 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
Financial Square Treasury Obligations Fund — Premier Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.006 | 0.018 | 0.013 | 0.004 | — | (b) | ||||||||||||||||||
Net realized gain (loss) | — | (b) | 0.001 | — | (b) | (0.004 | ) | (0.002 | ) | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.007 | 0.018 | 0.009 | 0.002 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.007 | ) | (0.018 | ) | (0.009 | ) | (0.002 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.007 | ) | (0.018 | ) | (0.009 | ) | (0.002 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.68 | % | 1.84 | % | 1.01 | % | 0.19 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 13,573 | $ | 17,568 | $ | 17,485 | $ | 16,492 | $ | 1 | $ | 1 | ||||||||||||||
Ratio of net expenses to average net assets | 0.15 | %(f) | 0.46 | % | 0.55 | % | 0.55 | % | 0.27 | % | 0.19 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.55 | %(f) | 0.55 | % | 0.55 | % | 0.56 | % | 0.58 | % | 0.58 | % | ||||||||||||||
Ratio of net investment income to average net assets | — | %(e)(f) | 0.62 | % | 1.82 | % | 1.32 | % | 0.37 | % | 0.36 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
The accompanying notes are an integral part of these financial statements. | 81 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Treasury Obligations Fund — Resource Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | 0.001 | 0.006 | 0.016 | 0.008 | 0.004 | — | (b) | |||||||||||||||||||
Net realized loss | — | (b) | — | (b) | — | (b) | — | (b) | (0.004 | ) | — | (b) | ||||||||||||||
Total from investment operations | 0.001 | 0.006 | 0.016 | 0.008 | — | (b) | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.001 | ) | (0.006 | ) | (0.016 | ) | (0.008 | ) | — | (b) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | (0.001 | ) | (0.006 | ) | (0.016 | ) | (0.008 | ) | — | (b) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.51 | % | 1.54 | % | 0.71 | % | 0.05 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | ||||||||||||||
Ratio of net expenses to average net assets | 0.15 | %(f) | 0.39 | % | 0.56 | % | 0.56 | % | 0.27 | % | 0.19 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.85 | %(f) | 0.85 | % | 0.85 | % | 0.86 | % | 0.88 | % | 0.88 | % | ||||||||||||||
Ratio of net investment income to average net assets | 0.34 | %(f) | 0.59 | % | 1.59 | % | 0.78 | % | 0.37 | % | 0.36 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
82 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
Financial Square Treasury Solutions Fund — Capital Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.007 | 0.020 | 0.012 | 0.003 | — | (b) | ||||||||||||||||||
Net realized gain | — | (b) | 0.001 | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.008 | 0.020 | 0.012 | 0.003 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.008 | ) | (0.020 | ) | (0.012 | ) | (0.003 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.008 | ) | (0.020 | ) | (0.012 | ) | (0.003 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.83 | % | 2.02 | % | 1.19 | % | 0.34 | % | 0.03 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 234,344 | $ | 201,227 | $ | 162,212 | $ | 165,645 | $ | 215,820 | $ | 264,092 | ||||||||||||||
Ratio of net expenses to average net assets | 0.17 | %(f) | 0.32 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.32 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.35 | %(f) | 0.35 | % | 0.35 | % | 0.36 | % | 0.38 | % | 0.38 | % | ||||||||||||||
Ratio of net investment income to average net assets | — | %(e)(f) | 0.65 | % | 1.97 | % | 1.15 | % | 0.30 | % | 0.01 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
The accompanying notes are an integral part of these financial statements. | 83 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Treasury Solutions Fund — Service Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.005 | 0.016 | 0.008 | 0.001 | — | (b) | ||||||||||||||||||
Net realized gain | — | (b) | 0.001 | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.006 | 0.016 | 0.008 | 0.001 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.006 | ) | (0.016 | ) | (0.008 | ) | (0.001 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.006 | ) | (0.016 | ) | (0.008 | ) | (0.001 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.62 | % | 1.66 | % | 0.84 | % | 0.10 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 240,184 | $ | 208,499 | $ | 124,910 | $ | 155,808 | $ | 144,728 | $ | 142,607 | ||||||||||||||
Ratio of net expenses to average net assets | 0.17 | %(f) | 0.50 | % | 0.70 | % | 0.70 | % | 0.58 | % | 0.29 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.70 | %(f) | 0.70 | % | 0.70 | % | 0.71 | % | 0.73 | % | 0.73 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | — | %(e)(f) | 0.47 | % | 1.60 | % | 0.83 | % | 0.08 | % | (0.02 | )% |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
Financial Square Treasury Solutions Fund — Preferred Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.008 | 0.020 | 0.013 | 0.003 | 0.001 | |||||||||||||||||||
Net realized gain (loss) | — | (b) | 0.001 | — | (b) | (0.001 | ) | 0.001 | — | (b) | ||||||||||||||||
Total from investment operations | — | (b) | 0.009 | 0.020 | 0.012 | 0.004 | 0.001 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.009 | ) | (0.020 | ) | (0.012 | ) | (0.004 | ) | (0.001 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.009 | ) | (0.020 | ) | (0.012 | ) | (0.004 | ) | (0.001 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.87 | % | 2.07 | % | 1.24 | % | 0.39 | % | 0.07 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 59,340 | $ | 52,791 | $ | 38,419 | $ | 19,545 | $ | 14,565 | $ | 75,756 | ||||||||||||||
Ratio of net expenses to average net assets | 0.17 | %(f) | 0.29 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.26 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.30 | %(f) | 0.30 | % | 0.30 | % | 0.31 | % | 0.33 | % | 0.33 | % | ||||||||||||||
Ratio of net investment income to average net assets | — | %(e)(f) | 0.78 | % | 2.04 | % | 1.26 | % | 0.25 | % | 0.03 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
84 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Treasury Solutions Fund — Select Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.009 | 0.021 | 0.013 | 0.004 | 0.001 | |||||||||||||||||||
Net realized gain | — | (b) | — | (b) | — | (b) | — | (b) | 0.001 | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.009 | 0.021 | 0.013 | 0.005 | 0.001 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.009 | ) | (0.021 | ) | (0.013 | ) | (0.005 | ) | (0.001 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.009 | ) | (0.021 | ) | (0.013 | ) | (0.005 | ) | (0.001 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.93 | % | 2.14 | % | 1.31 | % | 0.46 | % | 0.12 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 6,547 | $ | 7,067 | $ | 8,325 | $ | 7,439 | $ | 7,333 | $ | 10,969 | ||||||||||||||
Ratio of net expenses to average net assets | 0.17 | %(f) | 0.23 | % | 0.23 | % | 0.23 | % | 0.23 | % | 0.21 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.23 | %(f) | 0.23 | % | 0.23 | % | 0.24 | % | 0.26 | % | 0.26 | % | ||||||||||||||
Ratio of net investment income to average net assets | — | %(e)(f) | 0.91 | % | 2.07 | % | 1.27 | % | 0.42 | % | 0.09 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
Financial Square Treasury Solutions Fund — Administration Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.006 | 0.019 | 0.011 | 0.003 | — | (b) | ||||||||||||||||||
Net realized gain | — | (b) | 0.002 | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.008 | 0.019 | 0.011 | 0.003 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.008 | ) | (0.019 | ) | (0.011 | ) | (0.003 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.008 | ) | (0.019 | ) | (0.011 | ) | (0.003 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.77 | % | 1.92 | % | 1.09 | % | 0.25 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 610,539 | $ | 443,470 | $ | 473,937 | $ | 360,817 | $ | 237,557 | $ | 189,870 | ||||||||||||||
Ratio of net expenses to average net assets | 0.17 | %(f) | 0.38 | % | 0.45 | % | 0.45 | % | 0.44 | % | 0.30 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.45 | %(f) | 0.45 | % | 0.45 | % | 0.46 | % | 0.48 | % | 0.48 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | — | %(e)(f) | 0.61 | % | 1.85 | % | 1.09 | % | 0.28 | % | (0.02 | )% |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
The accompanying notes are an integral part of these financial statements. | 85 |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Treasury Solutions Fund — Cash Management Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.004 | 0.013 | 0.005 | — | (b) | — | (b) | |||||||||||||||||
Net realized gain | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total from investment operations | — | (b) | 0.004 | 0.013 | 0.005 | — | (b) | — | (b) | |||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.004 | ) | (0.013 | ) | (0.005 | ) | — | (b) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.004 | ) | (0.013 | ) | (0.005 | ) | — | (b) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.45 | % | 1.36 | % | 0.54 | % | 0.01 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 262,647 | $ | 272,981 | $ | 223,501 | $ | 23,332 | $ | 33,252 | $ | 73,211 | ||||||||||||||
Ratio of net expenses to average net assets | 0.17 | %(f) | 0.70 | % | 1.00 | % | 1.00 | % | 0.62 | % | 0.31 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.00 | %(f) | 1.00 | % | 1.00 | % | 1.01 | % | 1.03 | % | 1.03 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | — | %(e)(f) | 0.37 | % | 1.31 | % | 0.54 | % | — | %(e) | (0.20 | )% |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
Financial Square Treasury Solutions Fund — Premier Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.006 | 0.018 | 0.011 | 0.001 | — | (b) | ||||||||||||||||||
Net realized gain (loss) | — | (b) | 0.001 | — | (b) | (0.001 | ) | 0.001 | — | (b) | ||||||||||||||||
Total from investment operations | — | (b) | 0.007 | 0.018 | 0.010 | 0.002 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.007 | ) | (0.018 | ) | (0.010 | ) | (0.002 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.007 | ) | (0.018 | ) | (0.010 | ) | (0.002 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.71 | % | 1.82 | % | 0.99 | % | 0.18 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 79,208 | $ | 127,497 | $ | 161,003 | $ | 45,627 | $ | 15,512 | $ | 1 | ||||||||||||||
Ratio of net expenses to average net assets | 0.17 | %(f) | 0.45 | % | 0.55 | % | 0.55 | % | 0.50 | % | 0.19 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.55 | %(f) | 0.55 | % | 0.55 | % | 0.56 | % | 0.58 | % | 0.58 | % | ||||||||||||||
Ratio of net investment income to average net assets | — | %(e)(f) | 0.63 | % | 1.77 | % | 1.10 | % | 0.13 | % | 0.36 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
86 | The accompanying notes are an integral part of these financial statements. |
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Financial Square Treasury Solutions Fund — Resource Shares | For the Period Ended November 30, 2020† | Year Ended August 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | 0.001 | 0.006 | 0.016 | 0.008 | 0.004 | — | (b) | |||||||||||||||||||
Net realized loss | — | (b) | — | (b) | — | (b) | — | (b) | (0.004 | ) | — | (b) | ||||||||||||||
Total from investment operations | 0.001 | 0.006 | 0.016 | 0.008 | — | (b) | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.001 | ) | (0.006 | ) | (0.016 | ) | (0.008 | ) | — | (b) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | (0.001 | ) | (0.006 | ) | (0.016 | ) | (0.008 | ) | — | (b) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.53 | % | 1.51 | % | 0.69 | % | 0.05 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | ||||||||||||||
Ratio of net expenses to average net assets | 0.17 | %(f) | 0.40 | % | 0.56 | % | 0.55 | % | 0.26 | % | 0.19 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.85 | %(f) | 0.85 | % | 0.85 | % | 0.86 | % | 0.88 | % | 0.88 | % | ||||||||||||||
Ratio of net investment income to average net assets | 0.34 | %(f) | 0.59 | % | 1.59 | % | 0.84 | % | 0.37 | % | 0.37 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
The accompanying notes are an integral part of these financial statements. | 87 |
GOLDMAN SACHS — FINANCIAL SQUARE FUNDS
November 30, 2020
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 | ||
Federal Instruments | Institutional, Capital, Service, Preferred, Select, Administration, Cash Management, and Premier | Diversified | ||
Government | Class A, Class C, Institutional, Capital, Service, Preferred, Select, Administration, Cash Management, Premier, Resource, Class R6, and Drexel Hamilton Class | Diversified | ||
Money Market, Treasury Instruments, Treasury Obligations and Treasury Solutions | Institutional, Capital, Service, Preferred, Select, Administration, Cash Management, Premier, and Resource | Diversified | ||
Prime Obligations | Institutional, Capital, Service, Preferred, Select, Administration, Cash Management, Premier, Resource, and Drexel Hamilton Class | Diversified |
* | Effective September 1, 2020, the Funds changed their fiscal year end from August 31 to November 30. |
Class C Shares may typically be acquired only in an exchange for Class C Shares of another Goldman Sachs Fund. Class C Shares may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% during the first 12 months, measured from the time the original shares subject to the CDSC were acquired.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Funds pursuant to management agreements (the “Agreements”) with the Trust.
The following Funds were designated by the Board of Trustees (“Trustees”) as “institutional money market funds” under Rule 2a-7 under the Act: Financial Square Money Market Fund and Financial Square Prime Obligations Fund (the “Institutional Money Market Funds”). Each of the Institutional Money Market Funds must price its shares at a net asset value (“NAV”) reflecting market-based values of its portfolio securities (i.e., at a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000).
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. Each Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Investment Valuation — The investment valuation policy of the Funds, except for the Institutional Money Market Funds, is to use the amortized-cost method permitted by Rule 2a-7 under the Act for valuing portfolio securities. The amortized-cost method of valuation involves valuing a security at its cost and thereafter applying a constant accretion or amortization to maturity of any discount or premium. Normally, a security’s amortized cost will approximate its market value. Under procedures and tolerances approved by the Trustees, GSAM evaluates daily the difference between each Fund’s NAV per share using the amortized costs of its portfolio securities and the Fund’s NAV per share using market-based values of its portfolio securities. The Institutional Money Market Funds’ investment valuation policy is to value its portfolio securities only at market-based values. The market-based value of a portfolio security is determined, where readily available, on the basis of market quotations provided by pricing services or securities dealers, or, where accurate market quotations are not readily available, on the basis of the security’s fair value as
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GOLDMAN SACHS — FINANCIAL SQUARE FUNDS
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
determined in accordance with Valuation Procedures approved by the Trustees. The pricing services may use valuation models or matrix pricing, which may consider (among other things): (i) yield or price with respect to debt securities that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value.
B. Investment Income and Investments — Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, 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, Service, Distribution and Service, Administration, Service and Administration 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 respective Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses.
D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable and tax exempt income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are declared and recorded daily and paid monthly by the Funds and may include short-term capital gains. Long-term capital gain distributions, if any, are declared and paid annually. A Fund may defer or accelerate the timing of the distribution of short-term capital gains (or any portion thereof).
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings 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.
E. Forward Commitments — 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 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 forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of forward commitments prior to settlement which may result in a realized gain or loss.
F. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement (“MRA”). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes. The underlying securities for all repurchase agreements are held at the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements.
An MRA governs transactions between a Fund and select counterparties. An MRA contains provisions for, among other things, initiation of the transaction, income payments, events of default, and maintenance of securities for repurchase agreements. An MRA also permits offsetting with collateral to create one single net payment in the event of default or similar events, including the bankruptcy or insolvency of a counterparty.
89
GOLDMAN SACHS — FINANCIAL SQUARE FUNDS
Notes to Financial Statements (continued)
November 30, 2020
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
If the seller defaults, a Fund could suffer a loss to the extent that the proceeds from the sale of the underlying securities and other collateral held by the Fund are less than the repurchase price and the Fund’s costs associated with delay and enforcement of the repurchase agreement. In addition, in the event of default or insolvency of the seller, a court could determine that a Fund’s interest in the collateral is not enforceable, resulting in additional losses to the Fund.
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and terms and conditions contained therein, the Funds, together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates, may transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements. Under these joint accounts, the Funds maintain pro-rata credit exposure to the underlying repurchase agreements’ counterparties. With the exception of certain transaction fees, the Funds are not subject to any expenses in relation to these investments.
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
U.S. GAAP defines the fair value of a financial instrument as 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); the Funds’ policy is to use the market approach. 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 level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. 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).
The Trustees have 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 (including both the amortized cost and market-based methods of valuation) of the Funds’ investments. To assess the continuing appropriateness of pricing sources and methodologies related to the market-based method of valuation, 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.
As of November 30, 2020, all investments and repurchase agreements, other than those held by the Institutional Money Market Funds, are classified as Level 2 of the fair value hierarchy. All investments for the Institutional Money Market Funds are classified as Level 2, with the exception of treasury securities of G7 countries which are generally classified as Level 1. Please refer to the Schedules of Investments for further detail.
4. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreements — Under the Agreements, GSAM manages the Funds, subject to the general supervision of the Trustees.
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GOLDMAN SACHS — FINANCIAL SQUARE FUNDS
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
As compensation for the services rendered pursuant to the Agreements, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
B. Administration, Service and/or Shareholder Administration Plans — The Trust, on behalf of each applicable Fund, has adopted Administration, Service and/or Shareholder Administration Plans (the “Plans”) to allow Class C, Select, Preferred, Capital, Administration, Premier, Service, Resource and Cash Management Shares to compensate service organizations (including Goldman Sachs) for providing varying levels of account administration and/or personal and account maintenance services to their customers who are beneficial owners of such shares. The Plans provide for compensation to the service organizations equal to an annual percentage rate of the average daily net assets of such shares, as set forth below.
C. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A Shares of each applicable Fund, has adopted a Distribution and Service Plan subject to Rule 12b-1 under the Act. Under the Distribution and Service Plan, 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. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A Shares of the Funds, as set forth below.
The Trust, on behalf of Class C, Resource and Cash Management Shares of each applicable Fund, has adopted Distribution Plans subject to Rule 12b-1 under the Act. Under the Distribution Plans, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C, Resource and Cash Management Shares of the Funds, as set forth below.
The Trust, on behalf of the Service Shares of each applicable Fund, has adopted a Service Plan subject to Rule 12b-1 under the Act to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing personal and account maintenance services to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of the average daily net assets attributable to Service Shares of the Funds, as set forth below.
D. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class C Shares’ CDSC. During the period ended November 30, 2020, Goldman Sachs has advised that it retained $596 in CDSCs with respect to Class C Shares of the Financial Square Government Fund.
E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to a Transfer Agency Agreement. The fee charged for such transfer agency services is accrued daily and paid monthly and is equal to an annual percentage rate of each Fund’s average daily net assets, as set forth below.
F. Other Agreements — GSAM has agreed to reduce or limit certain “Other Expenses” of the Funds (excluding transfer agency fees and expenses, administration fees (as applicable), service fees (as applicable), shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, 0.014% of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. These Other Expense limitations will remain in place through at least December 29, 2021, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees.
In addition, the Funds have entered into certain offset arrangements with the custodian which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
G. Total Fund Expenses
Fund Contractual Fees
The contractual management fee rate is 0.18% for the Financial Square Federal Instruments, Financial Square Treasury Instruments, Financial Square Treasury Obligations and Financial Square Treasury Solutions Funds and 0.16% for the Financial Square Government, Financial Square Money Market and Financial Square Prime Obligations Funds.
91
GOLDMAN SACHS — FINANCIAL SQUARE FUNDS
Notes to Financial Statements (continued)
November 30, 2020
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
Other contractual annualized rates for each of the Funds are as follows:
Class A Shares(a) | Class C Shares(a) | Institutional Shares | Capital Shares | Service Shares | Preferred Shares | Select Shares | Administration Shares | Cash Management Shares | Premier Shares | Resource Shares | Class R6 Shares(a) | Drexel Hamilton Class | ||||||||||||||||||||||||||||||||||||||||
Administration, Service and/or Shareholder Administration Fees | N/A | 0.25 | % | N/A | 0.15 | % | 0.25 | % | 0.10 | % | 0.03 | % | 0.25 | % | 0.50 | % | 0.35 | % | 0.50 | % | N/A | N/A | ||||||||||||||||||||||||||||||
Distribution and/or Service (12b-1) Fees | 0.25 | % | 0.75 | (b) | N/A | N/A | 0.25 | (c) | N/A | N/A | N/A | 0.30 | (b) | N/A | 0.15 | (b) | N/A | N/A | ||||||||||||||||||||||||||||||||||
Transfer Agency Fee | 0.01 | 0.01 | 0.01 | % | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | % | 0.01 | % |
N/A | — Fees not applicable to respective share class |
(a) | Government Fund only. |
(b) | Distribution (12b-1) fee only. |
(c) | Service (12b-1) fee only. |
Fund Effective Net Expenses (After Waivers and Reimbursements)
The investment adviser may contractually agree to waive or reimburse certain fees and expenses until a specified date. For the period from September 1, 2020 to November 30, 2020, the investment adviser agreed to not impose a portion of the management fee equal annually to 0.06% of the Financial Square Federal Instruments Fund’s average daily net assets. This arrangement remained in effect through December 27, 2020. The investment adviser may also voluntarily waive certain fees and expenses, and such voluntary waivers may be discontinued or modified at any time without notice.
During the period ended November 30, 2020, GSAM and Goldman Sachs (as applicable) agreed to waive all or a portion of the management fees and respective class-specific fees described above attributable to the Funds. The Funds are not obligated to reimburse GSAM or Goldman Sachs for prior fiscal year fee waivers and/or expense reimbursements, if any.
For the period ended November 30, 2020, expense reductions including any fee waivers and Other Expense reimbursements were as follows (in thousands):
Fund | Management Fee Waivers | Distribution, Administration, Service and/or Shareholder Administration Plans Fee Waivers | Other Expense Reimbursements | Total Expense Reductions | ||||||||||||||
Federal Instruments | $ | 517 | $ | 201 | $ | 75 | $ | 793 | ||||||||||
Government | 1,437 | 6,619 | 107 | 8,163 | ||||||||||||||
Money Market | — | 5 | 131 | 136 | ||||||||||||||
Prime Obligations | — | 31 | 101 | 132 | ||||||||||||||
Treasury Instruments | 5,162 | 3,676 | — | 8,838 | ||||||||||||||
Treasury Obligations | 2,294 | 3,547 | 57 | 5,898 | ||||||||||||||
Treasury Solutions | 693 | 1,647 | 69 | 2,409 |
*Amount | less than one thousand. |
92
GOLDMAN SACHS — FINANCIAL SQUARE FUNDS
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the period ended August 31, 2020, expense reductions including any fee waivers and Other Expense reimbursements were as follows (in thousands):
Fund | Management Fee Waivers | Distribution, Administration, Service and/or Shareholder Administration Plans Fee Waivers | Custody Fee Reduction | Other Expense Reimbursements | Total Expense Reductions | |||||||||||||||||
Federal Instruments | $ | 1,397 | $ | 109 | $ | — | $ | 340 | $ | 1,846 | ||||||||||||
Government | — | 4,337 | 1 | — | 4,338 | |||||||||||||||||
Money Market | 4,145 | 1 | — | — | 4,146 | |||||||||||||||||
Prime Obligations | 1,477 | 1 | — | 195 | 1,673 | |||||||||||||||||
Treasury Instruments | 171 | 1,802 | — | — | 1,973 | |||||||||||||||||
Treasury Obligations | — | * | 2,892 | — | — | 2,892 | ||||||||||||||||
Treasury Solutions | 9 | 1,613 | — | — | 1,622 |
*Amount | less than one thousand. |
For the period ended November 30, 2020, the net effective management fee rate was 0.16% for the Financial Square Government, Financial Square Money Market, Financial Square Prime Obligations and Financial Square Treasury Solutions Funds, 0.15% for the Financial Square Treasury Instruments Fund, 0.14% for the Financial Square Treasury Obligations Fund and 0.12% for the Financial Square Federal Instruments Fund.
H. Other Transactions with Affiliates — A Fund 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 period ended November 30, 2020, the purchase and sale transactions and related net realized gain (loss) for the Funds with affiliated funds in compliance with Rule 17a-7 under the Act were as follows:
Fund | Purchases | Sales | Net Realized Gain (Loss) | |||||||||||
Money Market | $ | 121,235,000 | $ | 82,110,000 | $ | 419 | ||||||||
Prime Obligations | 91,205,000 | 69,225,000 | — |
For the period ended August 31, 2020, the purchase and sale transactions and related net realized gain (loss) for the Funds with affiliated funds in compliance with Rule 17a-7 under the Act were as follows:
Fund | Purchases | Sales | Net Realized Gain (Loss) | |||||||||||
Government | $ | — | $ | 812,863,369 | $ | (886,542 | ) | |||||||
Money Market | 269,015,000 | 374,037,898 | (332,960 | ) | ||||||||||
Prime Obligations | 100,420,000 | 279,425,260 | (125,725 | ) |
93
GOLDMAN SACHS — FINANCIAL SQUARE FUNDS
Notes to Financial Statements (continued)
November 30, 2020
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
As of November 30, 2020, The Goldman Sachs Group, Inc. was the beneficial owner of 5% or more of the outstanding share classes of the following Funds:
Fund | Select Shares | Capital Shares | Premier Shares | Service Shares | Resource Shares | Cash Management Shares | ||||||||||||||||||||
Federal Instruments | 100 | % | — | % | 100 | % | — | % | — | % | — | % | ||||||||||||||
Money Market | — | — | 100 | 39 | 100 | 100 | ||||||||||||||||||||
Prime Obligations | — | — | 100 | — | 100 | 100 | ||||||||||||||||||||
Treasury Instruments | — | — | — | — | 100 | — | ||||||||||||||||||||
Treasury Obligations | — | — | — | — | 100 | — | ||||||||||||||||||||
Treasury Solutions | — | — | — | — | 100 | — |
I. Line of Credit Facility — As of November 30, 2020, the Funds participated in a $700,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. 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 period ended November 30, 2020, the Funds did not have any borrowings under the facility.
5. TAX INFORMATION |
The tax character of distributions paid during the period ended November 30, 2020 was as follows:
Federal Instruments | Government | Money Market | Prime Obligations | Treasury Instruments | Treasury Obligations | Treasury Solutions | ||||||||||||||||||||||
Distribution paid from: | ||||||||||||||||||||||||||||
Ordinary income | $ | 155,933 | $ | 10,465,857 | $ | 991,714 | $ | 642,477 | $ | 1,220,700 | $ | 1,109,934 | $ | 178,093 | ||||||||||||||
Net long-term capital gains | — | — | — | 850 | — | — | — | |||||||||||||||||||||
Total distributions | $ | 155,933 | $ | 10,465,857 | $ | 991,714 | $ | 643,327 | $ | 1,220,700 | $ | 1,109,934 | $ | 178,093 |
The tax character of distributions paid during the fiscal year ended August 31, 2020 was as follows:
Federal Instruments | Government | Money Market | Prime Obligations | Treasury Instruments | Treasury Obligations | Treasury Solutions | ||||||||||||||||||||||
Distribution paid from: | ||||||||||||||||||||||||||||
Ordinary income | $ | 18,300,421 | $ | 1,179,992,741 | $ | 193,853,422 | $ | 79,143,116 | $ | 598,216,027 | $ | 160,961,451 | $ | 91,938,062 | ||||||||||||||
Net long-term capital gains | 12 | — | — | — | — | 6,604 | — | |||||||||||||||||||||
Total distributions | $ | 18,300,433 | $ | 1,179,992,741 | $ | 193,853,422 | $ | 79,143,116 | $ | 598,216,027 | $ | 160,968,055 | $ | 91,938,062 |
The tax character of distributions paid during the fiscal year ended August 31, 2019 was as follows:
Federal Instruments | Government | Money Market | Prime Obligations | Treasury Instruments | Treasury Obligations | Treasury Solutions | ||||||||||||||||||||||
Distribution paid from: | ||||||||||||||||||||||||||||
Ordinary income | $ | 20,199,576 | $ | 2,243,023,462 | $ | 334,757,247 | $ | 113,300,875 | $ | 1,149,014,847 | $ | 344,653,411 | $ | 184,154,516 | ||||||||||||||
Net long-term capital gains | — | — | 2 | — | — | — | 328 | |||||||||||||||||||||
Total distributions | $ | 20,199,576 | $ | 2,243,023,462 | $ | 334,757,249 | $ | 113,300,875 | $ | 1,149,014,847 | $ | 344,653,411 | $ | 184,154,844 |
94
GOLDMAN SACHS — FINANCIAL SQUARE FUNDS
5. TAX INFORMATION (continued) |
As of November 30, 2020, the components of accumulated earnings (losses) on a tax basis were as follows:
Federal Instruments | Government | Money Market | Prime Obligations | Treasury Instruments | Treasury Obligations | Treasury Solutions | ||||||||||||||||||||||
Undistributed ordinary income — net | $ | 92,661 | $ | 2,314,165 | $ | 987,907 | $ | 308,469 | $ | 806,361 | $ | 996,574 | $ | 150,641 | ||||||||||||||
Total undistributed earnings | $ | 92,661 | $ | 2,314,165 | $ | 987,907 | $ | 308,469 | $ | 806,361 | $ | 996,574 | $ | 150,641 | ||||||||||||||
Capital loss carryforward: | $ | — | $ | — | $ | (7,413,567 | ) | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Timing differences (Distribution Payable and | $ | (7,087 | ) | $ | (1,380,726 | ) | $ | (63,168 | ) | $ | (18,036 | ) | $ | (231,000 | ) | $ | (542,952 | ) | $ | (10,023 | ) | |||||||
Unrealized gains (losses) — net | $ | (7,751 | ) | $ | (721,662 | ) | $ | 111,020 | $ | 81,733 | $ | (91,439 | ) | $ | (168,098 | ) | $ | (17,333 | ) | |||||||||
Total accumulated earnings (losses) — net | $ | 77,823 | $ | 211,777 | $ | (6,377,808 | ) | $ | 372,166 | $ | 483,922 | $ | 285,524 | $ | 123,285 |
As of November 30, 2020, the aggregate cost for each Fund stated in the accompanying Statements of Assets and Liabilities also represents aggregate cost for U.S. federal income tax purposes.
For the period ended November 30, 2020, the Financial Square Money Market Fund utilized $125,878 in Capital Loss Carryforwards.
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three tax years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
6. OTHER RISKS |
The Funds’ risks include, but are not limited to, the following:
Floating and Variable Rate Obligations Risk — Floating rate and variable rate obligations are debt instruments issued by companies or other entities with interest rates that reset periodically (typically, daily. monthly, quarterly, or semiannually) in response to changes in the market rate of interest on which the interest rate is based. For floating and variable rate obligations, there may be a lag between an actual change in the underlying interest rate benchmark and the reset time for an interest payment of such an obligation, which could harm or benefit the Fund, depending on the interest rate environment or other circumstances. In a rising interest rate environment, for example, a floating or variable rate obligation that does not reset immediately would prevent the Fund from taking full advantage of rising interest rates in a timely manner. However, in a declining interest rate environment, the Fund may benefit from a lag due to an obligation’s interest rate payment not being immediately impacted by a decline in interest rates.
In 2017, the United Kingdom’s Financial Conduct Authority (“FCA”) warned that LIBOR may cease to be available or appropriate for use by 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain Fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any pricing adjustments to the Fund’s investments resulting from a substitute reference rate may also adversely affect the Fund’s performance and/or NAV.
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, which may occur rapidly or unexpectedly, may cause a Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Fund’s NAV and liquidity. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would. 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.
95
GOLDMAN SACHS — FINANCIAL SQUARE FUNDS
Notes to Financial Statements (continued)
November 30, 2020
6. OTHER RISKS (continued) |
Interest Rate Risk — When interest rates increase, a Fund’s yield will tend to be lower than prevailing market rates, and the market value of its securities or instruments may also be adversely affected. A low interest rate environment poses additional risks to a Fund, because low yields on the Fund’s portfolio holdings may have an adverse impact on the Fund’s ability to provide a positive yield to its shareholders, pay expenses out of Fund assets, or, at times, maintain a stable $1.00 share price (or, for the Institutional Money Market Funds, minimize the volatility of the Fund’s NAV per share). The risks associated with changing interest rates may have unpredictable effects on the markets and a Fund’s investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Funds.
Market and Credit Risks — In the normal course of business, a Fund trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which a Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact a Fund and its investments. Additionally, a Fund 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 Fund has unsettled or open transactions defaults.
Credit/Default Risk — An issuer or guarantor of a security held by a Fund, or a bank or other financial institution that has entered into a repurchase agreement with the Fund, may default on its obligation to pay interest and repay principal or default on any other obligation. Additionally, the credit quality of securities may deteriorate rapidly, which may impair a Fund’s liquidity and cause significant deterioration in NAV.
7. 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.
8. OTHER MATTERS |
Exemptive Orders — Pursuant to SEC exemptive orders, the Funds may enter into certain principal transactions, including repurchase agreements, with Goldman Sachs.
New Accounting Standards — In March 2020, the FASB issued Accounting Standard Update (“ASU”) No. 2020-04, “Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” This ASU
provides optional exceptions for applying GAAP to contract modifications, hedging relationships and other transactions affected reference rate reform if certain criteria are met. ASU 2020-04 is elective and is effective on March 12, 2020 through December 31, 2022. As of the financial reporting period, GSAM is currently evaluating the impact, if any, of applying ASU 2020-04.
Other — On October 22, 2020, Goldman Sachs announced a settlement of matters involving 1Malaysia Development Bhd. (1MDB), a Malaysian sovereign wealth fund, with the United States Department of Justice as well as criminal and civil authorities in the UK, Singapore and Hong Kong. Further information regarding the 1MDB settlement can be found at https://www.goldmansachs.com/media-relations/press-releases/current/goldman-sachs-2020-10-22.html. The 1MDB settlement will not materially adversely affect GSAM’s ability to serve as investment manager.
9. SUBSEQUENT EVENTS |
Subsequent events after the Statements of Assets and Liabilities date have been evaluated and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
96
GOLDMAN SACHS — FINANCIAL SQUARE FUNDS
10. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
Federal Instruments Fund | ||||||||||||
|
| |||||||||||
For the Period Ended November 30, 2020† | For the Fiscal Year Ended August 31, 2020 | For the Fiscal Year Ended August 31, 2019 | ||||||||||
|
| |||||||||||
Institutional Shares | ||||||||||||
Shares sold | 2,881,388,454 | 11,467,355,746 | 2,413,919,468 | |||||||||
Reinvestment of distributions | 120,380 | 14,134,111 | 14,716,134 | |||||||||
Shares redeemed | (3,002,849,041 | ) | (9,174,391,868 | ) | (1,483,363,844 | ) | ||||||
(121,340,207 | ) | 2,307,097,989 | 945,271,758 | |||||||||
Capital Shares | ||||||||||||
Shares sold | 2,157,185 | 501,043 | 3,027,408 | |||||||||
Reinvestment of distributions | 19 | 8,244 | 23,515 | |||||||||
Shares redeemed | (25,009 | ) | (25 | ) | (7,561,629 | ) | ||||||
2,132,195 | 509,262 | (4,510,706 | ) | |||||||||
Service Shares | ||||||||||||
Shares sold | 1,685,917 | 3,838,675 | 4,095,943 | |||||||||
Reinvestment of distributions | — | 7 | 17 | |||||||||
Shares redeemed | (2,898,000 | ) | (3,841,287 | ) | (3,606,548 | ) | ||||||
(1,212,083 | ) | (2,605 | ) | 489,412 | ||||||||
Preferred Shares | ||||||||||||
Shares sold | 11,152,032 | 63,137,357 | 37,261,772 | |||||||||
Reinvestment of distributions | 101 | 47,563 | 194,287 | |||||||||
Shares redeemed | (27,911,851 | ) | (45,941,975 | ) | (34,306,015 | ) | ||||||
(16,759,718 | ) | 17,242,945 | 3,150,044 | |||||||||
Select Shares | ||||||||||||
Shares sold | — | — | — | |||||||||
Reinvestment of distributions | 1 | 471 | 1,030 | |||||||||
Shares redeemed | — | — | — | |||||||||
1 | 471 | 1,030 | ||||||||||
Administration Shares | ||||||||||||
Shares sold | 16,893,097 | 127,819,134 | 148,393,733 | |||||||||
Reinvestment of distributions | 205 | 34,491 | 106,606 | |||||||||
Shares redeemed | (13,760,098 | ) | (116,107,893 | ) | (146,683,155 | ) | ||||||
3,133,204 | 11,745,732 | 1,817,184 | ||||||||||
Cash Management Shares | ||||||||||||
Shares sold | 34,092,441 | 72,905,405 | 74,119 | |||||||||
Reinvestment of distributions | 1,051 | 18,364 | 767 | |||||||||
Shares redeemed | (12,754,198 | ) | (20,801,134 | ) | (33,290 | ) | ||||||
21,339,294 | 52,122,635 | 41,596 | ||||||||||
Premier Shares | ||||||||||||
Shares sold | — | — | — | |||||||||
Reinvestment of distributions | 1 | 372 | 924 | |||||||||
Shares redeemed | — | — | — | |||||||||
1 | 372 | 924 | ||||||||||
NET INCREASE (DECREASE) IN SHARES | (112,707,313 | ) | 2,388,716,801 | 946,261,242 |
† | The Funds changed their fiscal year end from August 31 to November 30. |
97
GOLDMAN SACHS — FINANCIAL SQUARE FUNDS
Notes to Financial Statements (continued)
November 30, 2020
10. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
Goverment Fund | ||||||||||||
| ||||||||||||
For the Period Ended November 30, 2020† | For the Fiscal Year Ended August 31, 2020 | For the Fiscal Year Ended August 31, 2019 | ||||||||||
| ||||||||||||
Class A Shares | ||||||||||||
Shares sold | 39,423,676 | 478,954,470 | 293,735,038 | |||||||||
Reinvestment of distributions | 6,970 | 2,440,074 | 2,034,223 | |||||||||
Shares redeemed | (123,733,027 | ) | (358,818,070 | ) | (121,167,609 | ) | ||||||
(84,302,381 | ) | 122,576,474 | 174,601,652 | |||||||||
Class C Shares | ||||||||||||
Shares sold | 1,052,595 | 5,252,082 | 2,254,507 | |||||||||
Reinvestment of distributions | 148 | 15,762 | 54,930 | |||||||||
Shares redeemed | (1,254,816 | ) | (3,270,626 | ) | (2,705,871 | ) | ||||||
(202,073 | ) | 1,997,218 | (396,434 | ) | ||||||||
Institutional Shares | ||||||||||||
Shares sold | 251,627,804,998 | 1,292,097,399,724 | 891,386,834,941 | |||||||||
Reinvestment of distributions | 5,154,007 | 547,567,680 | 1,010,265,284 | |||||||||
Shares redeemed | (301,009,643,252 | ) | (1,188,898,448,031 | ) | (888,091,751,934 | ) | ||||||
(49,376,684,247 | ) | 103,746,519,373 | 4,305,348,291 | |||||||||
Capital Shares | ||||||||||||
Shares sold | 2,417,065,442 | 12,087,534,623 | 11,257,171,481 | |||||||||
Reinvestment of distributions | 12,037 | 5,558,480 | 15,882,356 | |||||||||
Shares redeemed | (2,273,488,269 | ) | (12,103,662,104 | ) | (11,258,708,341 | ) | ||||||
143,589,210 | (10,569,001 | ) | 14,345,496 | |||||||||
Service Shares | ||||||||||||
Shares sold | 794,222,735 | 4,298,412,758 | 2,120,569,930 | |||||||||
Reinvestment of distributions | 5,336 | 1,689,398 | 2,216,832 | |||||||||
Shares redeemed | (1,710,060,111 | ) | (3,189,413,033 | ) | (2,045,369,736 | ) | ||||||
(915,832,040 | ) | 1,110,689,123 | 77,417,026 | |||||||||
Preferred Shares | ||||||||||||
Shares sold | 925,989,653 | 5,393,398,769 | 5,273,993,017 | |||||||||
Reinvestment of distributions | 4,567 | 2,993,934 | 3,737,667 | |||||||||
Shares redeemed | (1,733,087,320 | ) | (5,524,411,917 | ) | (4,852,993,321 | ) | ||||||
(807,093,100 | ) | (128,019,214 | ) | 424,737,363 | ||||||||
Select Shares | ||||||||||||
Shares sold | 389,583,154 | 3,001,875,360 | 2,476,891,028 | |||||||||
Reinvestment of distributions | 7,563 | 3,062,081 | 12,289,471 | |||||||||
Shares redeemed | (422,527,750 | ) | (3,349,068,697 | ) | (2,261,820,345 | ) | ||||||
(32,937,033 | ) | (344,131,256 | ) | 227,360,154 | ||||||||
Administration Shares | ||||||||||||
Shares sold | 5,789,207,617 | 30,029,817,466 | 29,072,426,243 | |||||||||
Reinvestment of distributions | 27,402 | 11,968,688 | 29,387,533 | |||||||||
Shares redeemed | (5,503,765,525 | ) | (29,483,351,252 | ) | (28,693,198,135 | ) | ||||||
285,469,494 | 558,434,902 | 408,615,641 | ||||||||||
Cash Management Shares | ||||||||||||
Shares sold | 88,554,797 | 699,422,044 | 169,240,070 | |||||||||
Reinvestment of distributions | 3,574 | 578,821 | 190,391 | |||||||||
Shares redeemed | (117,777,211 | ) | (598,564,352 | ) | (79,318,182 | ) | ||||||
(29,218,840 | ) | 101,436,513 | 90,112,279 | |||||||||
Premier Shares | ||||||||||||
Shares sold | 103,701,740 | 486,735,706 | 583,756,477 | |||||||||
Reinvestment of distributions | 421 | 341,527 | 965,018 | |||||||||
Shares redeemed | (80,403,685 | ) | (481,884,655 | ) | (562,127,983 | ) | ||||||
23,298,476 | 5,192,578 | 22,593,512 | ||||||||||
Resource Shares | ||||||||||||
Shares sold | 79,128,457 | 179,483,137 | 105,554,574 | |||||||||
Reinvestment of distributions | 2,173 | 387,254 | 949,693 | |||||||||
Shares redeemed | (68,524,922 | ) | (167,332,878 | ) | (106,412,980 | ) | ||||||
10,605,708 | 12,537,513 | 91,287 | ||||||||||
Class R6 Shares | ||||||||||||
Shares sold | 148,795,925 | 1,050,370,547 | 1,174,019,386 | |||||||||
Reinvestment of distributions | 6,348 | 928,983 | 1,194,270 | |||||||||
Shares redeemed | (172,280,270 | ) | (1,032,990,632 | ) | (1,127,855,380 | ) | ||||||
(23,477,997 | ) | 18,308,898 | 47,358,276 | |||||||||
Drexel Hamilton Class Shares | ||||||||||||
Shares sold | 9,147,779,445 | 21,022,026,637 | — | |||||||||
Reinvestment of distributions | 3,365 | 279,374 | — | |||||||||
Shares redeemed | (8,458,837,273 | ) | (18,668,287,984 | ) | — | |||||||
688,945,537 | 2,354,018,027 | — | ||||||||||
NET INCREASE (DECREASE) IN SHARES | (50,117,839,286 | ) | 107,548,991,148 | 5,792,184,543 |
† | The Funds changed their fiscal year end from August 31 to November 30. |
98
GOLDMAN SACHS — FINANCIAL SQUARE FUNDS
10. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
Money Market Fund | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||
For the Period Ended November 30, 2020† | For the Fiscal Year Ended August 31, 2020 | For the Fiscal Year Ended August 31, 2019 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||
|
| |||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||
Shares sold | 4,513,672,105 | $ | 4,517,837,688 | 78,402,872,886 | $ | 78,447,354,503 | 85,472,232,406 | $ | 85,504,124,710 | |||||||||||||||
Reinvestment of distributions | 710,000 | 710,649 | 103,111,272 | 103,162,872 | 161,155,196 | 161,220,324 | ||||||||||||||||||
Shares redeemed | (7,064,336,914 | ) | (7,070,953,571 | ) | (89,635,800,187 | ) | (89,673,066,279 | ) | (79,482,109,352 | ) | (79,510,982,209 | ) | ||||||||||||
(2,549,954,809 | ) | (2,552,405,234 | ) | (11,129,816,029 | ) | (11,122,548,904 | ) | 6,151,278,250 | 6,154,362,825 | |||||||||||||||
Capital Shares | ||||||||||||||||||||||||
Shares sold | — | — | 10,333,770 | 10,338,077 | 14,344,255 | 14,350,053 | ||||||||||||||||||
Reinvestment of distributions | 461 | 461 | 135,462 | 135,526 | 123,841 | 123,904 | ||||||||||||||||||
Shares redeemed | (3,718,816 | ) | (3,722,775 | ) | (6,935,013 | ) | (6,939,778 | ) | (2,755,303 | ) | (2,756,631 | ) | ||||||||||||
(3,718,355 | ) | (3,722,314 | ) | 3,534,219 | 3,533,825 | 11,712,793 | 11,717,326 | |||||||||||||||||
Service Shares | ||||||||||||||||||||||||
Shares sold | — | — | 291,521 | 291,550 | 1,904,464 | 1,904,571 | ||||||||||||||||||
Reinvestment of distributions | — | — | 155 | 155 | 1,392 | 1,392 | ||||||||||||||||||
Shares redeemed | — | — | (296,725 | ) | (296,751 | ) | (2,026,500 | ) | (2,026,650 | ) | ||||||||||||||
— | — | (5,049 | ) | (5,046 | ) | (120,644 | ) | (120,687 | ) | |||||||||||||||
Preferred Shares | ||||||||||||||||||||||||
Shares sold | 1 | 1 | 842,034 | 842,575 | 4,100,461 | 4,102,857 | ||||||||||||||||||
Reinvestment of distributions | 54 | 54 | 40,518 | 40,538 | 47,283 | 47,302 | ||||||||||||||||||
Shares redeemed | (1,851,319 | ) | (1,852,985 | ) | (3,863,219 | ) | (3,865,370 | ) | (2,001,549 | ) | (2,002,199 | ) | ||||||||||||
(1,851,264 | ) | (1,852,930 | ) | (2,980,667 | ) | (2,982,257 | ) | 2,146,195 | 2,147,960 | |||||||||||||||
Select Shares | ||||||||||||||||||||||||
Shares sold | 1 | 1 | 16,063,998 | 16,076,882 | 35,383,853 | 35,399,217 | ||||||||||||||||||
Reinvestment of distributions | 277 | 277 | 295,451 | 295,593 | 749,777 | 750,042 | ||||||||||||||||||
Shares redeemed | — | — | (48,923,132 | ) | (48,946,886 | ) | (35,555,683 | ) | (35,566,804 | ) | ||||||||||||||
278 | 278 | (32,563,683 | ) | (32,574,411 | ) | 577,947 | 582,455 | |||||||||||||||||
Administration Shares | ||||||||||||||||||||||||
Shares sold | 913,275 | 913,914 | 5,300,344 | 5,305,018 | 9,581,492 | 9,583,600 | ||||||||||||||||||
Reinvestment of distributions | 138 | 138 | 45,002 | 45,019 | 43,015 | 43,030 | ||||||||||||||||||
Shares redeemed | (1,148,265 | ) | (1,149,298 | ) | (5,334,638 | ) | (5,339,564 | ) | (8,350,525 | ) | (8,351,107 | ) | ||||||||||||
(234,852 | ) | (235,246 | ) | 10,708 | 10,473 | 1,273,982 | 1,275,523 | |||||||||||||||||
Cash Management Shares | ||||||||||||||||||||||||
Shares sold | — | — | — | — | — | — | ||||||||||||||||||
Reinvestment of distributions | — | — | 6 | 6 | 16 | 17 | ||||||||||||||||||
Shares redeemed | — | — | — | — | — | — | ||||||||||||||||||
— | — | 6 | 6 | 16 | 17 | |||||||||||||||||||
Premier Shares | ||||||||||||||||||||||||
Shares sold | — | — | — | — | — | — | ||||||||||||||||||
Reinvestment of distributions | — | — | 9 | 9 | 22 | 21 | ||||||||||||||||||
Shares redeemed | — | — | — | — | — | — | ||||||||||||||||||
— | — | 9 | 9 | 22 | 21 | |||||||||||||||||||
Resource Shares | ||||||||||||||||||||||||
Shares sold | — | — | — | — | — | — | ||||||||||||||||||
Reinvestment of distributions | — | — | 7 | 7 | 18 | 18 | ||||||||||||||||||
Shares redeemed | — | — | — | — | — | — | ||||||||||||||||||
— | — | 7 | 7 | 18 | 18 | |||||||||||||||||||
NET INCREASE (DECREASE) IN SHARES | (2,555,759,002 | ) | (2,558,215,446 | ) | (11,161,820,479 | ) | (11,154,566,298 | ) | 6,166,868,579 | 6,169,965,458 |
† | The Funds changed their fiscal year end from August 31 to November 30. |
99
GOLDMAN SACHS — FINANCIAL SQUARE FUNDS
Notes to Financial Statements (continued)
November 30, 2020
10. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
Prime Obligations Fund | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||
For the Period Ended November 30, 2020† | For the Fiscal Year Ended August 31, 2020 | For the Fiscal Year Ended August 31, 2019 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||
|
| |||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||
Shares sold | 1,435,424,024 | $ | 1,437,045,564 | 22,881,709,784 | $ | 22,898,819,820 | 15,725,452,191 | $ | 15,732,290,883 | |||||||||||||||
Reinvestment of distributions | 431,382 | 431,852 | 45,784,060 | 45,812,513 | 66,503,105 | 66,531,471 | ||||||||||||||||||
Shares redeemed | (3,304,583,089 | ) | (3,308,292,025 | ) | (24,432,416,641 | ) | (24,446,902,006 | ) | (13,438,235,559 | ) | (13,443,968,943 | ) | ||||||||||||
(1,868,727,683 | ) | (1,870,814,609 | ) | (1,504,922,797 | ) | (1,502,269,673 | ) | 2,353,719,737 | 2,354,853,411 | |||||||||||||||
Capital Shares | ||||||||||||||||||||||||
Shares sold | — | — | 11,933,436 | 11,940,022 | 9,197,390 | 9,200,873 | ||||||||||||||||||
Reinvestment of distributions | 37 | 37 | 74,048 | 74,090 | 116,133 | 116,176 | ||||||||||||||||||
Shares redeemed | (101,898 | ) | (102,000 | ) | (17,746,168 | ) | (17,761,637 | ) | (9,390,061 | ) | (9,392,520 | ) | ||||||||||||
(101,861 | ) | (101,963 | ) | (5,738,684 | ) | (5,747,525 | ) | (76,538 | ) | (75,471 | ) | |||||||||||||
Service Shares | ||||||||||||||||||||||||
Shares sold | 1 | 1 | 34,983 | 35,002 | 9,852,210 | 9,852,341 | ||||||||||||||||||
Reinvestment of distributions | — | — | 6,968 | 6,970 | 102,357 | 102,380 | ||||||||||||||||||
Shares redeemed | — | — | (5,128,398 | ) | (5,129,968 | ) | (4,961,019 | ) | (4,962,303 | ) | ||||||||||||||
1 | 1 | (5,086,447 | ) | (5,087,996 | ) | 4,993,548 | 4,992,418 | |||||||||||||||||
Preferred Shares | ||||||||||||||||||||||||
Shares sold | 1 | 1 | 3,125,892 | 3,127,254 | 597,101 | 597,295 | ||||||||||||||||||
Reinvestment of distributions | 151 | 151 | 42,527 | 42,544 | 61,367 | 61,381 | ||||||||||||||||||
Shares redeemed | — | — | (2,645,320 | ) | (2,647,759 | ) | (444,203 | ) | (444,303 | ) | ||||||||||||||
152 | 152 | 523,099 | 522,039 | 214,265 | 214,373 | |||||||||||||||||||
Select Shares | ||||||||||||||||||||||||
Shares sold | 30,409,513 | 30,442,429 | 186,158,384 | 186,300,853 | 213,862,591 | 213,917,899 | ||||||||||||||||||
Reinvestment of distributions | 5,713 | 5,719 | 773,014 | 773,419 | 1,788,204 | 1,788,665 | ||||||||||||||||||
Shares redeemed | (68,458,904 | ) | (68,532,168 | ) | (209,646,538 | ) | (209,786,488 | ) | (176,925,865 | ) | (176,970,918 | ) | ||||||||||||
(38,043,678 | ) | (38,084,020 | ) | (22,715,140 | ) | (22,712,216 | ) | 38,724,930 | 38,735,646 | |||||||||||||||
Administration Shares | ||||||||||||||||||||||||
Shares sold | 129,889,428 | 130,027,813 | 151,133,246 | 151,197,664 | 229,264,877 | 229,320,926 | ||||||||||||||||||
Reinvestment of distributions | 167 | 168 | 33,411 | 33,429 | 29,952 | 29,966 | ||||||||||||||||||
Shares redeemed | (56,776,710 | ) | (56,833,812 | ) | (152,184,059 | ) | (152,299,185 | ) | (227,024,448 | ) | (227,086,977 | ) | ||||||||||||
73,112,885 | 73,194,169 | (1,017,402 | ) | (1,068,092 | ) | 2,270,381 | 2,263,915 | |||||||||||||||||
Cash Management Shares | ||||||||||||||||||||||||
Shares sold | — | — | — | — | — | — | ||||||||||||||||||
Reinvestment of distributions | — | — | 6 | 6 | 17 | 17 | ||||||||||||||||||
Shares redeemed | — | — | — | — | — | — | ||||||||||||||||||
— | — | 6 | 6 | 17 | 17 | |||||||||||||||||||
Premier Shares | ||||||||||||||||||||||||
Shares sold | — | — | — | — | — | — | ||||||||||||||||||
Reinvestment of distributions | — | — | 9 | 9 | 21 | 21 | ||||||||||||||||||
Shares redeemed | — | — | — | — | — | — | ||||||||||||||||||
— | — | 9 | 9 | 21 | 21 | |||||||||||||||||||
Resource Shares | ||||||||||||||||||||||||
Shares sold | — | — | — | — | — | — | ||||||||||||||||||
Reinvestment of distributions | — | — | 7 | 7 | 18 | 18 | ||||||||||||||||||
Shares redeemed | — | — | — | — | — | — | ||||||||||||||||||
— | — | 7 | 7 | 18 | 18 | |||||||||||||||||||
Drexel Hamilton Class Shares | ||||||||||||||||||||||||
Shares sold | 849,151 | 850,000 | 229,984,794 | 230,197,683 | — | — | ||||||||||||||||||
Reinvestment of distributions | 11,322 | 11,334 | 31,132 | 31,171 | — | — | ||||||||||||||||||
Shares redeemed | — | — | (130,089,629 | ) | (130,072,194 | ) | — | — | ||||||||||||||||
860,473 | 861,334 | 99,926,297 | 100,156,660 | — | — | |||||||||||||||||||
NET INCREASE (DECREASE) IN SHARES | (1,832,899,711 | ) | (1,834,944,936 | ) | (1,439,031,052 | ) | (1,436,206,781 | ) | 2,399,846,379 | 2,400,984,348 |
† | The Funds changed their fiscal year end from August 31 to November 30. |
100
GOLDMAN SACHS — FINANCIAL SQUARE FUNDS
10. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
Treasury Instruments Fund | ||||||||||||
|
| |||||||||||
For the Period Ended November 30, 2020† | For the Fiscal Year Ended August 31, 2020 | For the Fiscal Year Ended August 31, 2019 | ||||||||||
|
| |||||||||||
Institutional Shares | ||||||||||||
Shares sold | 55,184,984,775 | 338,267,495,591 | 195,689,041,910 | |||||||||
Reinvestment of distributions | 666,472 | 306,303,068 | 590,796,167 | |||||||||
Shares redeemed | (63,331,239,433 | ) | (306,320,589,797 | ) | (195,700,598,649 | ) | ||||||
(8,145,588,186 | ) | 32,253,208,862 | 579,239,428 | |||||||||
Capital Shares | ||||||||||||
Shares sold | 1,455,719,190 | 6,524,887,948 | 5,079,230,616 | |||||||||
Reinvestment of distributions | 9,710 | 7,826,069 | 14,153,088 | |||||||||
Shares redeemed | (1,505,472,694 | ) | (6,573,633,623 | ) | (4,701,892,663 | ) | ||||||
(49,743,794 | ) | (40,919,606 | ) | 391,491,041 | ||||||||
Service Shares | ||||||||||||
Shares sold | 43,357,273 | 207,581,081 | 591,074,196 | |||||||||
Reinvestment of distributions | 6 | 38,855 | 1,482,793 | |||||||||
Shares redeemed | (36,987,018 | ) | (118,168,284 | ) | (587,900,313 | ) | ||||||
6,370,261 | 89,451,652 | 4,656,676 | ||||||||||
Preferred Shares | ||||||||||||
Shares sold | 98,661,659 | 454,026,887 | 282,059,008 | |||||||||
Reinvestment of distributions | 1,658 | 845,797 | 1,076,595 | |||||||||
Shares redeemed | (74,824,911 | ) | (433,501,352 | ) | (235,745,585 | ) | ||||||
23,838,406 | 21,371,332 | 47,390,018 | ||||||||||
Select Shares | ||||||||||||
Shares sold | 7,336,570 | 794,705,600 | 518,597,741 | |||||||||
Reinvestment of distributions | 6,321 | 1,695,856 | 6,122,100 | |||||||||
Shares redeemed | (166,000,958 | ) | (442,695,849 | ) | (753,901,903 | ) | ||||||
(158,658,067 | ) | 353,705,607 | (229,182,062 | ) | ||||||||
Administration Shares | ||||||||||||
Shares sold | 2,759,172,819 | 9,413,059,439 | 9,801,141,669 | |||||||||
Reinvestment of distributions | 15,938 | 8,768,887 | 27,440,637 | |||||||||
Shares redeemed | (2,674,462,736 | ) | (9,644,633,665 | ) | (10,472,824,806 | ) | ||||||
84,726,021 | (222,805,339 | ) | (644,242,500 | ) | ||||||||
Cash Management Shares | ||||||||||||
Shares sold | 12,742,215 | 70,641,861 | 62,108,113 | |||||||||
Reinvestment of distributions | 164 | 50,579 | 89,430 | |||||||||
Shares redeemed | (13,780,025 | ) | (72,425,029 | ) | (49,747,815 | ) | ||||||
(1,037,646 | ) | (1,732,589 | ) | 12,449,728 | ||||||||
Premier Shares | ||||||||||||
Shares sold | 634,208,820 | 184,116,950 | 85,437,222 | |||||||||
Reinvestment of distributions | — | 71 | 227 | |||||||||
Shares redeemed | (632,801,513 | ) | (174,923,843 | ) | (85,857,678 | ) | ||||||
1,407,307 | 9,193,178 | (420,229 | ) | |||||||||
Resource Shares | ||||||||||||
Shares sold | — | — | — | |||||||||
Reinvestment of distributions | — | 5 | 15 | |||||||||
Shares redeemed | — | — | — | |||||||||
— | 5 | 15 | ||||||||||
NET INCREASE (DECREASE) IN SHARES | (8,238,685,698 | ) | 32,461,473,102 | 161,382,115 |
† | The Funds changed their fiscal year end from August 31 to November 30. |
101
GOLDMAN SACHS — FINANCIAL SQUARE FUNDS
Notes to Financial Statements (continued)
November 30, 2020
10. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
Treasury Obligations Fund | ||||||||||||
|
| |||||||||||
For the Period Ended November 30, 2020† | For the Fiscal Year Ended August 31, 2020 | For the Fiscal Year Ended August 31, 2019 | ||||||||||
|
| |||||||||||
Institutional Shares | ||||||||||||
Shares sold | 61,073,254,479 | 230,865,756,441 | 179,812,019,430 | |||||||||
Reinvestment of distributions | 376,637 | 57,390,240 | 112,068,032 | |||||||||
Shares redeemed | (49,015,633,381 | ) | (221,053,486,360 | ) | (177,925,444,505 | ) | ||||||
12,057,997,735 | 9,869,660,321 | 1,998,642,957 | ||||||||||
Capital Shares | ||||||||||||
Shares sold | 412,761,752 | 2,726,402,195 | 2,076,412,757 | |||||||||
Reinvestment of distributions | 13,139 | 3,397,548 | 6,733,955 | |||||||||
Shares redeemed | (455,014,733 | ) | (2,748,197,283 | ) | (1,991,593,373 | ) | ||||||
(42,239,842 | ) | (18,397,540 | ) | 91,553,339 | ||||||||
Service Shares | ||||||||||||
Shares sold | 1,382,536,150 | 7,270,577,278 | 5,573,019,258 | |||||||||
Reinvestment of distributions | 2,503 | 429,872 | 1,193,344 | |||||||||
Shares redeemed | (1,408,762,262 | ) | (7,269,693,083 | ) | (5,980,169,543 | ) | ||||||
(26,223,609 | ) | 1,314,067 | (405,956,941 | ) | ||||||||
Preferred Shares | ||||||||||||
Shares sold | 381,567,066 | 2,114,103,134 | 1,617,000,097 | |||||||||
Reinvestment of distributions | 6,273 | 1,531,265 | 3,236,195 | |||||||||
Shares redeemed | (712,770,880 | ) | (1,805,131,461 | ) | (1,332,613,451 | ) | ||||||
(331,197,541 | ) | 310,502,938 | 287,622,841 | |||||||||
Select Shares | ||||||||||||
Shares sold | 277,320,037 | 553,086,606 | 2,598,447,379 | |||||||||
Reinvestment of distributions | 8,293 | 445,695 | 1,185,463 | |||||||||
Shares redeemed | (242,503,331 | ) | (426,071,325 | ) | (2,682,777,751 | ) | ||||||
34,824,999 | 127,460,976 | (83,144,909 | ) | |||||||||
Administration Shares | ||||||||||||
Shares sold | 3,040,933,286 | 11,826,597,612 | 9,005,120,273 | |||||||||
Reinvestment of distributions | 21,254 | 3,165,725 | 8,385,089 | |||||||||
Shares redeemed | (2,749,368,350 | ) | (11,775,025,397 | ) | (8,789,701,450 | ) | ||||||
291,586,190 | 54,737,940 | 223,803,912 | ||||||||||
Cash Management Shares | ||||||||||||
Shares sold | 24,745,925 | 242,339,931 | 36,932,020 | |||||||||
Reinvestment of distributions | 560 | 93,028 | 14,140 | |||||||||
Shares redeemed | (17,574,065 | ) | (251,781,062 | ) | (14,631,279 | ) | ||||||
7,172,420 | (9,348,103 | ) | 22,314,881 | |||||||||
Premier Shares | ||||||||||||
Shares sold | 15,393,890 | 88,349,017 | 78,328,681 | |||||||||
Reinvestment of distributions | 570 | 128,736 | 297,872 | |||||||||
Shares redeemed | (19,389,770 | ) | (88,394,055 | ) | (77,634,454 | ) | ||||||
(3,995,310 | ) | 83,698 | 992,099 | |||||||||
Resource Shares | ||||||||||||
Shares sold | — | — | — | |||||||||
Reinvestment of distributions | — | 5 | 15 | |||||||||
Shares redeemed | — | — | — | |||||||||
— | 5 | 15 | ||||||||||
NET INCREASE IN SHARES | 11,987,925,042 | 10,336,014,302 | 2,135,828,194 |
† | The Funds changed their fiscal year end from August 31 to November 30. |
102
GOLDMAN SACHS — FINANCIAL SQUARE FUNDS
10. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
Treasury Solutions Fund | ||||||||||||
|
| |||||||||||
For the Period Ended November 30, 2020† | For the Fiscal Year Ended August 31, 2020 | For the Fiscal Year Ended August 31, 2019 | ||||||||||
|
| |||||||||||
Institutional Shares | ||||||||||||
Shares sold | 5,893,160,256 | 58,289,469,409 | 31,260,811,776 | |||||||||
Reinvestment of distributions | 96,601 | 52,958,124 | 122,135,595 | |||||||||
Shares redeemed | (6,918,210,754 | ) | (54,192,934,647 | ) | (31,656,170,064 | ) | ||||||
(1,024,953,897 | ) | 4,149,492,886 | (273,222,693 | ) | ||||||||
Capital Shares | ||||||||||||
Shares sold | 345,375,918 | 1,629,785,876 | 1,417,546,214 | |||||||||
Reinvestment of distributions | 3,265 | 1,257,659 | 3,232,299 | |||||||||
Shares redeemed | (312,261,073 | ) | (1,592,015,250 | ) | (1,424,225,568 | ) | ||||||
33,118,110 | 39,028,285 | (3,447,055 | ) | |||||||||
Service Shares | ||||||||||||
Shares sold | 174,601,142 | 660,391,876 | 452,244,295 | |||||||||
Reinvestment of distributions | 987 | 136,487 | 160,698 | |||||||||
Shares redeemed | (142,915,520 | ) | (576,929,878 | ) | (483,314,808 | ) | ||||||
31,686,609 | 83,598,485 | (30,909,815 | ) | |||||||||
Preferred Shares | ||||||||||||
Shares sold | 35,028,514 | 152,775,517 | 171,320,273 | |||||||||
Reinvestment of distributions | 733 | 343,719 | 361,128 | |||||||||
Shares redeemed | (28,480,081 | ) | (138,743,689 | ) | (152,811,813 | ) | ||||||
6,549,166 | 14,375,547 | 18,869,588 | ||||||||||
Select Shares | ||||||||||||
Shares sold | — | 5,450,000 | 2,500,000 | |||||||||
Reinvestment of distributions | 100 | 93,299 | 134,817 | |||||||||
Shares redeemed | (520,000 | ) | (6,800,000 | ) | (1,750,000 | ) | ||||||
(519,900 | ) | (1,256,701 | ) | 884,817 | ||||||||
Administration Shares | ||||||||||||
Shares sold | 635,633,882 | 2,651,967,361 | 1,812,039,680 | |||||||||
Reinvestment of distributions | 6,401 | 2,014,743 | 5,071,633 | |||||||||
Shares redeemed | (468,570,619 | ) | (2,684,420,997 | ) | (1,704,022,196 | ) | ||||||
167,069,664 | (30,438,893 | ) | 113,089,117 | |||||||||
Cash Management Shares | ||||||||||||
Shares sold | 265,391,569 | 1,086,664,753 | 1,038,590,126 | |||||||||
Reinvestment of distributions | 1,098 | 185,626 | 10,627 | |||||||||
Shares redeemed | (275,724,818 | ) | (1,037,350,612 | ) | (838,454,958 | ) | ||||||
(10,332,151 | ) | 49,499,767 | 200,145,795 | |||||||||
Premier Shares | ||||||||||||
Shares sold | 161,822,274 | 705,690,354 | 667,825,505 | |||||||||
Reinvestment of distributions | 359 | 169,085 | 373,857 | |||||||||
Shares redeemed | (210,110,000 | ) | (739,350,134 | ) | (552,840,125 | ) | ||||||
(48,287,367 | ) | (33,490,695 | ) | 115,359,237 | ||||||||
Resource Shares | ||||||||||||
Shares sold | — | — | — | |||||||||
Reinvestment of distributions | — | 5 | 15 | |||||||||
Shares redeemed | — | — | — | |||||||||
— | 5 | 15 | ||||||||||
NET INCREASE (DECREASE) IN SHARES | (845,669,766 | ) | 4,270,808,686 | 140,769,006 |
† | The Funds changed their fiscal year end from August 31 to November 30. |
103
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs Financial Square Federal Instruments Fund, Goldman Sachs Financial Square Government Fund, Goldman Sachs Financial Square Money Market Fund, Goldman Sachs Financial Square Prime Obligations Fund, Goldman Sachs Financial Square Treasury Instruments Fund, Goldman Sachs Financial Square Treasury Obligations Fund, and Goldman Sachs Financial Square Treasury Solutions Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Goldman Sachs Financial Square Federal Instruments Fund, Goldman Sachs Financial Square Government Fund, Goldman Sachs Financial Square Money Market Fund, Goldman Sachs Financial Square Prime Obligations Fund, Goldman Sachs Financial Square Treasury Instruments Fund, Goldman Sachs Financial Square Treasury Obligations Fund, and Goldman Sachs Financial Square Treasury Solutions Fund (seven of the funds constituting Goldman Sachs Trust, hereafter collectively referred to as the “Funds”) as of November 30, 2020, the related statements of operations for the period September 1, 2020 through November 30, 2020 and the year ended August 31, 2020, the statements of changes in net assets for the period September 1, 2020 through November 30, 2020 and for each of the two years in the period ended August 31, 2020, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of November 30, 2020, the results of each of their operations for the period September 1, 2020 through November 30, 2020 and for the year ended August 31, 2020, the changes in each of their net assets for the period September 1, 2020 through November 30, 2020 and for each of the two years in the period ended August 31, 2020 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of November 30, 2020 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Boston, Massachusetts
January 26, 2021
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
104
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Fund Expenses — Six Month Period Ended November 30, 2020 (Unaudited)
As a shareholder of Class A, Class C, Institutional, Capital, Service, Preferred, Select, Administration, Cash Management, Premier, Resource, Class R6, or Drexel Hamilton Class of a Fund, you incur two types of costs: (1) transaction costs, including contingent deferred sales charges (with respect to Class C Shares); and (2) ongoing costs, including management fees and distribution, service, administration and/or shareholder administration fees (with respect to all share classes except Institutional Shares and Class R6 Shares) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Institutional Shares, Select Shares, Preferred Shares. Capital Shares, Administration Shares, Premier Shares, Service Shares, Class A Shares, Class C Shares, Resource Shares, Cash Management Shares, Class R6 Shares, or Drexel Hamilton Class 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 June 1, 2020 through November 30, 2020, which represents a period of 183 days in a 365 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 column heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
105
GOLDMAN SACHS FUNDS —FINANCIAL SQUARE FUNDS
Fund Expenses —Six Month Period Ended November 30, 2020 (Unaudited) (continued)
Federal Instruments Fund | Government Fund | Money Market Fund | ||||||||||||||||||||||||||||||||||
Share Class | Beginning Account Value 6/1/20 | Ending Account Value 11/30/20 | Expenses Paid for the 6 months ended 11/30/2020* | Beginning Account Value 6/1/20 | Ending Account Value 11/30/20 | Expenses Paid for the 6 months ended 11/30/2020* | Beginning Account Value 6/1/20 | Ending Account Value 11/30/20 | Expenses Paid for the 6 months ended 11/30/2020* | |||||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||||||||||
Actual | — | — | — | $ | 1,000.00 | $ | 1,000.04 | $ | 1.25 | — | — | — | ||||||||||||||||||||||||
Hypothetical 5% return | — | — | — | 1,000.00 | 1,023.82 | + | 1.27 | — | — | — | ||||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||||||||||||
Actual | — | — | — | 1,000.00 | 1,000.04 | 1.25 | — | — | — | |||||||||||||||||||||||||||
Hypothetical 5% return | — | — | — | 1,000.00 | 1,023.82 | + | 1.27 | — | — | — | ||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,000.30 | $ | 0.70 | 1,000.00 | 1,000.38 | 0.90 | $ | 1,000.00 | $ | 1,000.27 | $ | 0.95 | |||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,024.37 | + | 0.71 | 1,000.00 | 1,024.17 | + | 0.91 | 1,000.00 | 1,024.12 | + | 0.96 | ||||||||||||||||||||||||
Capital Shares | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,000.03 | 0.95 | 1,000.00 | 1,000.04 | 1.30 | 1,000.00 | 999.98 | 1.45 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,024.12 | + | 0.96 | 1,000.00 | 1,023.76 | + | 1.32 | 1,000.00 | 1,023.61 | + | 1.47 | ||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,000.03 | 1.00 | 1,000.00 | 1,000.04 | 1.20 | 1,000.00 | 999.28 | 1.50 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,024.07 | + | 1.01 | 1,000.00 | 1,023.87 | + | 1.22 | 1,000.00 | 1,023.56 | + | 1.52 | ||||||||||||||||||||||||
Preferred Shares | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,000.05 | 1.00 | 1,000.00 | 1,000.12 | 1.15 | 1,000.00 | 999.88 | 1.35 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,024.07 | + | 1.01 | 1,000.00 | 1,023.92 | + | 1.17 | 1,000.00 | 1,023.71 | + | 1.37 | ||||||||||||||||||||||||
Select Shares | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,000.19 | 0.80 | 1,000.00 | 1,000.27 | 1.00 | 1,000.00 | 1,000.22 | 1.10 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,024.27 | + | 0.81 | 1,000.00 | 1,024.07 | + | 1.01 | 1,000.00 | 1,023.97 | + | 1.12 | ||||||||||||||||||||||||
Administrative Shares | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,000.03 | 0.95 | 1,000.00 | 1,000.04 | 1.25 | 1,000.00 | 999.65 | 1.65 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,024.12 | + | 0.96 | 1,000.00 | 1,023.82 | + | 1.27 | 1,000.00 | 1,023.41 | + | 1.67 | ||||||||||||||||||||||||
Cash Management Shares | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,000.03 | 0.85 | 1,000.00 | 1,000.04 | 1.25 | 1,000.00 | 998.68 | 1.30 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,024.22 | + | 0.86 | 1,000.00 | 1,023.82 | + | 1.27 | 1,000.00 | 1,023.76 | + | 1.32 | ||||||||||||||||||||||||
Premier Shares | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,000.03 | 0.95 | 1,000.00 | 1,000.04 | 1.25 | 1,000.00 | 998.69 | 1.30 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,024.12 | + | 0.96 | 1,000.00 | 1,023.82 | + | 1.27 | 1,000.00 | 1,023.76 | + | 1.32 | ||||||||||||||||||||||||
Resource Shares | ||||||||||||||||||||||||||||||||||||
Actual | — | — | — | 1,000.00 | 1,000.04 | 1.25 | 1,000.00 | 998.78 | 1.30 | |||||||||||||||||||||||||||
Hypothetical 5% return | — | — | — | 1,000.00 | 1,023.82 | + | 1.27 | 1,000.00 | 1,023.76 | + | 1.32 | |||||||||||||||||||||||||
Class R6 Shares | ||||||||||||||||||||||||||||||||||||
Actual | — | — | — | 1,000.00 | 1,000.38 | 0.90 | — | — | — | |||||||||||||||||||||||||||
Hypothetical 5% return | — | — | — | 1,000.00 | 1,024.17 | + | 0.91 | — | — | — | ||||||||||||||||||||||||||
Drexel Hamilton Class Shares | ||||||||||||||||||||||||||||||||||||
Actual | — | — | — | 1,000.00 | 1,000.38 | 0.90 | — | — | — | |||||||||||||||||||||||||||
Hypothetical 5% return | — | — | — | 1,000.00 | 1,024.17 | + | 0.91 | — | — | — |
* | Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended November 30, 2020. 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 Shares | Class C Shares | Institutional Shares | Capital Shares | Service Shares | Preferred Shares | Select Shares | Administrative Shares | Cash Management Shares | Premier Shares | Resource Shares | Class R6 Shares | Drexel Hamilton Class Shares | |||||||||||||||||||||||||||||||||||||||
Federal Instruments Fund | N/A | N/A | 0.14 | % | 0.19 | % | 0.2 | % | 0.2 | % | 0.16 | % | 0.19 | % | 0.17 | % | 0.19 | % | N/A | N/A | N/A | |||||||||||||||||||||||||||||||
Government Fund | 0.25 | % | 0.25 | % | 0.18 | 0.26 | 0.24 | 0.23 | 0.2 | 0.25 | 0.25 | 0.25 | 0.25 | % | 0.18 | % | 0.18 | % | ||||||||||||||||||||||||||||||||||
Money Market Fund | N/A | N/A | 0.19 | 0.29 | 0.3 | 0.27 | 0.22 | 0.33 | 0.26 | 0.26 | 0.26 | N/A | N/A |
+ | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
106
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Fund Expenses — Six Month Period Ended November 30, 2020 (Unaudited) (continued)
Prime Obligations Fund | Treasury Instruments Fund | Treasury Obligations Fund | ||||||||||||||||||||||||||||||||||
Share Class | Beginning Account Value 6/1/20 | Ending Account | Expenses Paid for the 6 months ended 11/30/2020* | Beginning Account Value 6/1/20 | Ending Account Value 11/30/20 | Expenses Paid for the 6 months ended 11/30/2020* | Beginning Account Value 6/1/20 | Ending Account Value 11/30/20 | Expenses Paid for the 6 months ended 11/30/2020* | |||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,000.17 | $ | 0.90 | $ | 1,000.00 | $ | 1,000.14 | $ | 0.90 | $ | 1,000.00 | $ | 1,000.30 | $ | 0.90 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,024.17 | + | 0.91 | 1,000.00 | 1,024.17 | + | 0.91 | 1,000.00 | 1,024.17 | + | 0.91 | ||||||||||||||||||||||||
Capital Shares | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 999.80 | 1.55 | 1,000.00 | 1,000.02 | 1.05 | 1,000.00 | 1,000.05 | 1.20 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.51 | + | 1.57 | 1,000.00 | 1,024.02 | + | 1.07 | 1,000.00 | 1,023.87 | + | 1.22 | ||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 998.78 | 1.50 | 1,000.00 | 1,000.02 | 1.00 | 1,000.00 | 1,000.05 | 1.15 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.56 | + | 1.52 | 1,000.00 | 1,024.07 | + | 1.01 | 1,000.00 | 1,023.92 | + | 1.17 | ||||||||||||||||||||||||
Preferred Shares | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 999.92 | 1.25 | 1,000.00 | 1,000.02 | 1.05 | 1,000.00 | 1,000.09 | 1.10 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.82 | + | 1.27 | 1,000.00 | 1,024.02 | + | 1.07 | 1,000.00 | 1,023.97 | + | 1.12 | ||||||||||||||||||||||||
Select Shares | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,000.15 | 1.05 | 1,000.00 | 1,000.08 | 0.95 | 1,000.00 | 1,000.23 | 0.95 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,024.02 | + | 1.07 | 1,000.00 | 1,024.12 | + | 0.96 | 1,000.00 | 1,024.12 | + | 0.96 | ||||||||||||||||||||||||
Administrative Shares | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 999.65 | 1.20 | 1,000.00 | 1,000.02 | 1.00 | 1,000.00 | 1,000.05 | 1.15 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.87 | + | 1.22 | 1,000.00 | 1,024.07 | + | 1.01 | 1,000.00 | 1,023.92 | + | 1.17 | ||||||||||||||||||||||||
Cash Management Shares | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 998.68 | 1.35 | 1,000.00 | 1,000.02 | 1.00 | 1,000.00 | 1,000.05 | 1.25 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.71 | + | 1.37 | 1,000.00 | 1,024.07 | + | 1.01 | 1,000.00 | 1,023.82 | + | 1.27 | ||||||||||||||||||||||||
Premier Shares | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 998.69 | 1.35 | 1,000.00 | 1,000.02 | 1.00 | 1,000.00 | 1,000.05 | 1.20 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.71 | + | 1.37 | 1,000.00 | 1,024.07 | + | 1.01 | 1,000.00 | 1,023.87 | + | 1.22 | ||||||||||||||||||||||||
Resource Shares | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 998.68 | 1.35 | 1,000.00 | 1,000.02 | 0.90 | 1,000.00 | 1,000.05 | 0.90 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.71 | + | 1.37 | 1,000.00 | 1,024.17 | + | 0.91 | 1,000.00 | 1,024.17 | + | 0.91 | ||||||||||||||||||||||||
Drexel Hamilton Class Shares | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,000.27 | 0.90 | — | — | — | — | — | ||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,024.17 | + | 0.91 | — | — | — | — | — | — |
* | Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended November 30, 2020. 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 | Institutional Shares | Capital Shares | Service Shares | Preferred Shares | Select Shares | Administrative Shares | Cash Management Shares | Premier Shares | Resource Shares | Drexel Hamilton Class Shares | ||||||||||||||||||||||||||||||
Prime Obligations Fund | 0.18 | % | 0.31 | % | 0.30 | % | 0.25 | % | 0.21 | % | 0.24 | % | 0.27 | % | 0.27 | % | 0.27 | % | 0.18 | % | ||||||||||||||||||||
Treasury Instruments Fund | 0.18 | 0.21 | 0.20 | 0.21 | 0.19 | 0.20 | 0.20 | 0.20 | 0.18 | N/A | ||||||||||||||||||||||||||||||
Treasury Obligations Fund | 0.18 | 0.24 | 0.23 | 0.22 | 0.19 | 0.23 | 0.25 | 0.24 | 0.18 | N/A |
+ | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
107
GOLDMAN SACHS FUNDS — FINANCIAL SQUARE FUNDS
Fund Expenses — Six Month Period Ended November 30, 2020 (Unaudited) (continued)
Treasury Solutions Fund | ||||||||||||
Share Class | Beginning Account Value 6/1/20 | Ending Account Value 11/30/20 | Expenses Paid for the 6 months ended 11/30/2020* | |||||||||
Institutional Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,000.14 | $ | 0.95 | ||||||
Hypothetical 5% return | 1,000.00 | 1,024.12 | + | 0.96 | ||||||||
Capital Shares | ||||||||||||
Actual | 1,000.00 | 1,000.03 | 1.05 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,024.02 | + | 1.07 | ||||||||
Service Shares | ||||||||||||
Actual | 1,000.00 | 1,000.03 | 1.05 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,024.02 | + | 1.07 | ||||||||
Preferred Shares | ||||||||||||
Actual | 1,000.00 | 1,000.03 | 1.05 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,024.02 | + | 1.07 | ||||||||
Select Shares | ||||||||||||
Actual | 1,000.00 | 1,000.08 | 1.00 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,024.07 | + | 1.01 | ||||||||
Administrative Shares | ||||||||||||
Actual | 1,000.00 | 1,000.03 | 1.05 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,024.02 | + | 1.07 | ||||||||
Cash Management Shares | ||||||||||||
Actual | 1,000.00 | 1,000.03 | 1.05 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,024.02 | + | 1.07 | ||||||||
Premier Shares | ||||||||||||
Actual | 1,000.00 | 1,000.03 | 1.10 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,023.97 | + | 1.12 | ||||||||
Resource Shares | ||||||||||||
Actual | 1,000.00 | 1,000.03 | 0.95 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,024.12 | + | 0.96 |
* | Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended November 30, 2020. 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 | Institutional Shares | Capital Shares | Service Shares | Preferred Shares | Select Shares | Administrative Shares | Cash Management Shares | Premier Shares | Resource Shares | |||||||||||||||||||||||||||
Treasury Solutions Fund | 0.19 | % | 0.21 | % | 0.21 | % | 0.21 | % | 0.20 | % | 0.21 | % | 0.21 | % | 0.22 | % | 0.19 | % |
+ | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
108
GOLDMAN SACHS — FINANCIAL SQUARE FUNDS
Trustees and Officers (Unaudited)
Independent Trustees
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Jessica Palmer Age: 71 | Chair of the Board of Trustees | Since 2018 (Trustee since 2007) | Ms. Palmer is retired. She was formerly Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | None | |||||
Dwight L. Bush Age: 63 | Trustee | Since 2020 | Ambassador Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017- present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019). Previously, Ambassador Bush served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | None | |||||
Kathryn A. Cassidy Age: 66 | Trustee | Since 2015 | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | None | |||||
Diana M. Daniels Age: 71 | Trustee | Since 2007 | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | None | |||||
Joaquin Delgado Age: 60 | Trustee | Since 2020 | Dr. Delgado is retired. He is Director, Hexion Inc. (a specialty chemical manufacturer) (2019-present); and Director, Stepan Company (a specialty chemical manufacturer) (2011-present); and was formerly Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016). Previously, Dr. Delgado served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | Stepan Company (a specialty chemical manufacturer) | |||||
Roy W. Templin Age: 60 | Trustee | Since 2013 | Mr. Templin is retired. He is Director, Armstrong World Industries, Inc. (a designer and manufacturer of ceiling, wall and suspension system solutions) (2016-Present); and was formerly Chairman of the Board of Directors, Con- Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | Armstrong World Industries, Inc. (a ceiling, wall and suspension systems solutions manufacturer) | |||||
Gregory G. Weaver Age: 69 | Trustee | Since 2015 | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | Verizon Communications Inc. | |||||
109
GOLDMAN SACHS — FINANCIAL SQUARE FUNDS
Trustees and Officers (Unaudited) (continued)
Interested Trustee*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
James A. McNamara Age: 58 | President and Trustee | Since 2007 | Advisory Director, Goldman Sachs (January 2018 — Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998- December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | 164 | None | |||||
* | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
1 | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of November 30, 2020. |
2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that each Independent Trustee shall retire as of December 31st of the calendar year in which he or she reaches (a) his or her 75th birthday or (b) the 15th anniversary of the date he or she became a Trustee, whichever is earlier, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of November 30, 2020, Goldman Sachs Trust consisted of 92 portfolios (90 of which offered shares to the public); Goldman Sachs Variable Insurance Trust consisted of 13 portfolios; Goldman Sachs Trust II consisted of 19 portfolios (17 of which offered shares to the public); Goldman Sachs ETF Trust consisted of 42 portfolios (24 of which offered shares to the public); and Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio. Goldman Sachs Credit Income Fund did not offer shares to the public. |
4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
110
GOLDMAN SACHS — FINANCIAL SQUARE FUNDS
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
Name, Address and Age1 | Positions Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 58 | Trustee and President | Since 2014 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 43 | Secretary | Since 2014 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Senior Counsel, Goldman Sachs (January 2020–Present); Associate General Counsel, Goldman Sachs (2012-December 2019); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 52 | Treasurer, Principal Financial Officer and Principal Accounting Officer | Since 2017 (Treasurer and Principal Financial Officer since 2019) | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010- October 2015).
Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
* | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
1 | Information is provided as of November 30, 2020. |
2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Funds — Financial Square Funds — Tax Information (unaudited)
During the fiscal year ended November 30, 2020 100%, 100%, 34.25%, 100%, 100%, 100%, and 100% of the net investment company taxable income distributions paid by the Financial Square Federal Instruments, Financial Square Government, Financial Square Money Market, Financial Square Prime Obligations, Financial Square Treasury Instruments, Financial Square Treasury Obligations, and Financial Square Treasury Solutions Funds were designated as either interest-related dividends or short-term capital gain dividends pursuant to Section 871(k) of the Internal Revenue Code.
Pursuant to Section 852 of the Internal Revenue Code, Financial Square Treasury Obligations designates $850, or if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended November 30, 2020.
During the fiscal year ended November 30, 2020, the Financial Square Federal Instruments, Financial Square Government, Financial Square Money Market, Financial Square Prime Obligations, Financial Square Treasury Instruments, Financial Square Treasury Obligations, and Financial Square Treasury Solutions Funds designate $125,960, $3,029,139, $91,314, $76,028, $808,618, $803,625, and $69,380 as Section 163(j) Interest Dividends.
111
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 Consumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.86 trillion in assets under supervision as of September 30, 2020, 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. LLC subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
∎ | Financial Square Treasury Solutions Fund1 |
∎ | Financial Square Government Fund1 |
∎ | Financial Square Money Market Fund2 |
∎ | Financial Square Prime Obligations Fund2 |
∎ | Financial Square Treasury Instruments Fund1 |
∎ | Financial Square Treasury Obligations Fund1 |
∎ | Financial Square Federal Instruments Fund1 |
Investor FundsSM
∎ | Investor Money Market Fund3 |
∎ | Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
∎ | Enhanced Income Fund |
∎ | High Quality Floating Rate Fund |
∎ | Short-Term Conservative Income Fund |
∎ | Short Duration Government Fund |
∎ | Short Duration Income Fund |
∎ | Government Income Fund |
∎ | Inflation Protected Securities Fund |
Multi-Sector
∎ | Bond Fund |
∎ | Core Fixed Income Fund |
∎ | Global Core Fixed Income Fund4 |
∎ | Income Fund |
∎ | Strategic Income Fund |
Municipal and Tax-Free
∎ | High Yield Municipal Fund |
∎ | Dynamic Municipal Income Fund |
∎ | Municipal Income Completion Fund |
∎ | Short Duration Tax-Free Fund |
Single Sector
∎ | Investment Grade Credit Fund |
∎ | U.S. Mortgages Fund |
∎ | High Yield Fund |
∎ | High Yield Floating Rate Fund |
∎ | Emerging Markets Debt Fund |
∎ | Local Emerging Markets Debt Fund |
Fixed Income Alternatives
∎ | Long Short Credit Strategies Fund |
Fundamental Equity
∎ | Equity Income Fund |
∎ | Small Cap Growth Fund |
∎ | Small Cap Value Fund |
∎ | Small/Mid Cap Value Fund |
∎ | Mid Cap Value Fund |
∎ | Large Cap Value Fund |
∎ | Focused Value Fund |
∎ | Capital Growth Fund |
∎ | Strategic Growth Fund |
∎ | Small/Mid Cap Growth Fund |
∎ | Flexible Cap Fund |
∎ | Concentrated Growth Fund |
∎ | Technology Opportunities Fund |
∎ | Growth Opportunities Fund |
∎ | Rising Dividend Growth Fund |
∎ | U.S. Equity ESG Fund5 |
∎ | Income Builder Fund |
∎ | Defensive Equity Fund |
Tax-Advantaged Equity
∎ | U.S. Tax-Managed Equity Fund |
∎ | International Tax-Managed Equity Fund |
∎ | U.S. Equity Dividend and Premium Fund |
∎ | International Equity Dividend and Premium Fund |
Equity Insights
∎ | Small Cap Equity Insights Fund |
∎ | U.S. Equity Insights Fund |
∎ | Small Cap Growth Insights Fund |
∎ | Large Cap Growth Insights Fund |
∎ | Large Cap Value Insights Fund |
∎ | Small Cap Value Insights Fund |
∎ | International Small Cap Insights Fund |
∎ | International Equity Insights Fund |
∎ | Emerging Markets Equity Insights Fund |
Fundamental Equity International
∎ | International Equity Income Fund |
∎ | International Equity ESG Fund |
∎ | China Equity Fund6 |
∎ | Emerging Markets Equity Fund |
∎ | Imprint Emerging Markets Opportunities Fund |
∎ | ESG Emerging Markets Equity Fund |
Alternative
∎ | Clean Energy Income Fund |
∎ | Real Estate Securities Fund |
∎ | International Real Estate Securities Fund |
∎ | Commodity Strategy Fund |
∎ | Global Real Estate Securities Fund |
∎ | Alternative Premia Fund |
∎ | Absolute Return Tracker Fund |
∎ | Managed Futures Strategy Fund |
∎ | MLP Energy Infrastructure Fund |
∎ | Energy Infrastructure Fund7 |
∎ | Multi-Manager Alternatives Fund |
∎ | Global Infrastructure Fund |
Total Portfolio Solutions
∎ | Global Managed Beta Fund |
∎ | Multi-Manager Non-Core Fixed Income Fund |
∎ | Multi-Manager U.S. Dynamic Equity Fund |
∎ | Multi-Manager Global Equity Fund |
∎ | Multi-Manager International Equity Fund |
∎ | Tactical Tilt Overlay Fund |
∎ | Balanced Strategy Portfolio |
∎ | Multi-Manager U.S. Small Cap Equity Fund |
∎ | Multi-Manager Real Assets Strategy Fund |
∎ | Growth and Income Strategy Portfolio |
∎ | Growth Strategy Portfolio |
∎ | Dynamic Global Equity Fund |
∎ | Satellite Strategies Portfolio |
∎ | Enhanced Dividend Global Equity Portfolio |
∎ | Tax-Advantaged Global Equity Portfolio |
∎ | Strategic Factor Allocation Fund |
∎ | Target Date Retirement Portfolio8 |
∎ | Target Date 2025 Portfolio |
∎ | Target Date 2030 Portfolio |
∎ | Target Date 2035 Portfolio |
∎ | Target Date 2040 Portfolio |
∎ | Target Date 2045 Portfolio |
∎ | Target Date 2050 Portfolio |
∎ | Target Date 2055 Portfolio |
∎ | Target Date 2060 Portfolio |
∎ | GQG Partners International Opportunities Fund |
1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
4 | Effective after the close of business on April 30, 2020, the Goldman Sachs Global Income Fund was renamed the Goldman Sachs Global Core Fixed Income Fund. |
5 | Effective after the close of business on August 30, 2020, the Goldman Sachs Blue Chip Fund was renamed the Goldman Sachs U.S. Equity ESG Fund. |
6 | Effective after the close of business on November 20, 2019, the Goldman Sachs Asia Equity Fund was renamed the Goldman Sachs China Equity Fund. |
7 | Effective after the close of business on June 26, 2020, the Goldman Sachs MLP & Energy Fund was renamed the Goldman Sachs Energy Infrastructure Fund. |
8 | Effective December 27, 2019, the Goldman Sachs Target Date 2020 Portfolio was renamed the Goldman Sachs Target Date Retirement Portfolio. Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC. |
* | 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 Jessica Palmer, Chair Dwight L. Bush Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado James A. McNamara Roy W. Templin Gregory G. Weaver | OFFICERS James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus, Secretary | |
GOLDMAN SACHS & CO. LLC 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
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.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk 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 shareholders of Class A Shares or Class C Shares) or 1-800-621-2550 (for shareholders of all other share classes of a Fund); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.
Goldman Sachs & Co. LLC (“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. Fund holdings and allocations shown are as of August 31, 2020 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.
Financial Square FundsSM is a registered service mark of Goldman Sachs & Co LLC.
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 Intermediary or from Goldman Sachs & Co LLC by calling (Class A Shares or Class C Shares – 1-800-526-7384) (all other share classes – 1-800-621-2550).
© 2020 Goldman Sachs. All rights reserved. 226452-OTU-1335383 FSQAR-21
Goldman Sachs Funds
Annual Report | November 30, 2020 | |||
Investor FundsSM | ||||
Money Market | ||||
Tax-Exempt Money Market |
Goldman Sachs Investor Funds
∎ | MONEY MARKET |
∎ | TAX-EXEMPT MONEY MARKET |
1 | ||||
4 | ||||
5 | ||||
6 | ||||
8 | ||||
18 | ||||
21 | ||||
25 | ||||
31 | ||||
42 | ||||
43 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
PORTFOLIO RESULTS
Goldman Sachs Investor Funds
Investment Objective and Principal Investment Strategies
The Goldman Sachs Investor Funds seek to maximize current income to the extent consistent with the preservation of capital and the maintenance of liquidity by investing exclusively in high quality money market instruments. The Goldman Sachs Investor Money Market Fund pursues this investment objective by investing in U.S. government securities, obligations of banks (which may exceed 25% of its total assets), commercial paper and other short-term obligations of U.S. companies, states, municipalities and other entities, and repurchase agreements (“repos”). It may also invest in U.S. dollar-denominated obligations of foreign banks, foreign companies and foreign governments. The Goldman Sachs Tax-Exempt Money Market Fund pursues the investment objective by investing at least 80% of its net assets in securities issued by or on behalf of states, territories and possessions of the U.S. and their political subdivisions, agencies, authorities and instrumentalities, and the District of Columbia. It may also invest in short-term taxable instruments, including repos with the Federal Reserve Bank of New York, for temporary investment purposes.
Portfolio Management Discussion and Analysis
The Board of Trustees of the Goldman Sachs Trust approved a change to the fiscal year end of the Investor Funds (the “Funds”). Effective September 1, 2020, the Funds’ fiscal year end changed from August 31 to November 30. Below, the Goldman Sachs Money Market Portfolio Management Team discusses the Funds’ performance and positioning for the period from September 1, 2020 through November 30, 2020 (the “Reporting Period”).
Q | What economic and market factors most influenced the money markets as a whole during the Reporting Period? |
A | During the Reporting Period, the money markets were most influenced by Federal Reserve (“Fed”) policy and the outlook for the U.S. economy. |
The Fed held the targeted federal funds rate in a range of between 0% and 0.25% throughout the Reporting Period. Policymakers also signaled the monetary policy backdrop was likely to remain accommodative and short-term interest rates would likely stay low for the foreseeable future. In addition, Fed officials adopted a flexible form of average inflation targeting wherein they would aim for an inflation rate moderately above 2% following periods when inflation has run persistently below 2%, seeking an average of 2% over time. |
Positive news about COVID-19 vaccines benefited the medium-term outlook for U.S. economic activity and growth as well as the labor market. However, it was unclear to what extent stronger economic growth and a smaller output gap would translate to higher price inflation. |
In this environment, the yields of taxable and tax-exempt money market funds generally remained stable and close to zero. Investments in U.S. taxable money market funds declined during the Reporting Period, dropping from $4.5 trillion in August 2020 to $4.3 trillion in November 2020, according to iMoneyNet. Much of the decrease could be attributed to an improvement in investor risk sentiment. Investors rotated into riskier asset classes as uncertainties surrounding the outcome of the November U.S. election and the effectiveness of COVID-19 vaccines eased. As for U.S. tax-exempt money market funds, net outflows totaled $15 billion during the Reporting Period, according to iMoneyNet. |
Q | What key factors were responsible for the performance of the Funds during the Reporting Period? |
A | The yields of the Goldman Sachs Investor Money Market Fund (“the taxable Fund”) and the Goldman Sachs Investor Tax-Exempt Money Market Fund (“the tax-exempt Fund”) remained rather stable during the Reporting Period largely because of the economic and market factors discussed above. The taxable money market yield curve steepened slightly, as the front, or short-term, end of the U.S. Treasury curve shifted downward and the intermediate- to longer-term end shifted upward. The tax-exempt money yield curve flattened during the Reporting Period, as the longer-term end of the curve shifted downward. (Yield curve is a spectrum of interest rates based on maturities of varying lengths. A |
1
PORTFOLIO RESULTS
steepening yield curve is one wherein the differential in yields between longer-term and shorter-term maturities widens; opposite of a flattening yield curve.) |
Q | How did you manage the taxable Fund during the Reporting Period? |
A | During the Reporting Period, the taxable Fund had investments in commercial paper, asset-backed commercial paper, time deposits, repurchase agreements (“repos”), government agency securities, U.S. Treasury securities, certificates of deposit, non-U.S. sovereign debt floating rate securities and variable rate demand notes (“VRDNs”). |
We maintained the taxable Fund’s weighted average maturity at 38 days during September 2020 and 38 days during October. In November, we increased its weighted average maturity to 50 days. For the Reporting Period overall, the taxable Fund focused its investments on U.S. Treasury securities, government agency repos, VRDNs, financial company commercial paper, certificates of deposit and asset-backed commercial paper. We increased the taxable Fund’s allocations to U.S. Treasury securities during the Reporting Period. |
The weighted average maturity of a money market fund is a measure of its price sensitivity to changes in interest rates. Also known as effective maturity, weighted average maturity measures the weighted average of the maturity date of bonds held by a Fund, taking into consideration any available maturity shortening features. |
Q | How did you manage the tax-exempt Fund during the Reporting Period? |
A | The tax-exempt Fund had investments in VRDNs, short-term tax-exempt securities, non-financial commercial paper and other municipal securities during the Reporting Period. |
We decreased the tax-exempt Fund’s weighted average maturity from 36 days at the beginning of the Reporting Period to 19 days in September 2020. We subsequently reduced its weighted average maturity to 13 days in October and 11 days in November. During the Reporting Period overall, the tax-exempt Fund focused its investments on VRDNs, non-financial tax-exempt commercial paper and other municipal securities. Its allocation to VRDNs decreased slightly during the Reporting Period. |
Q | How did you manage the Funds’ weighted average life during the Reporting Period? |
A | During the Reporting Period, we managed the weighted average life of the taxable and tax-exempt Funds at less than 120 days. In the taxable Fund, we maintained a weighted average life in a range between 38 days and 50 days. In the tax-exempt Fund, we maintained a weighted average life in a range between 11 days and 39 days. The weighted average life of a money market fund is a measure of a money market fund’s price sensitivity to changes in liquidity and/or credit risk. |
Under amendments to SEC Rule 2a-7 that became effective in May 2010, the maximum allowable weighted average life of a money market fund is 120 days. While one of the goals of the SEC’s money market fund rule is to reinforce conservative investment practices across the money market fund industry, our security selection process has long emphasized conservative investment choices. |
Q | Did you make any changes to the Funds’ portfolios during the Reporting Period? |
A | During the Reporting Period, we made adjustments to the Funds’ weighted average maturities and their allocations to specific investments based on then-current market conditions, our near-term view and anticipated and actual Fed monetary policy statements. |
Q | What is the Funds’ tactical view and strategy for the months ahead? |
A | At the end of the Reporting Period, we expected interest rates would remain low in the near term and the Fed to be ready to respond to market conditions as the U.S. and its economy recover from the COVID-19 pandemic. In our view, news of the efficacy of COVID-19 vaccine candidates boded well for the medium-term economic outlook, but we considered the near-term picture less certain given the backdrop of rapidly rising COVID-19 infections and increased restrictions at the end of the Reporting Period. We believed the resurgence of COVID-19 cases and efforts to curb its spread could weigh on economic activity in the short term. Regarding fiscal policy, the prospects for additional stimulus were uncertain when the Reporting Period concluded, though we noted ongoing discussions in Washington, D.C. about a potential deal. |
Looking ahead, the taxable and tax-exempt Funds will continue to be flexibly guided by shifting market conditions, and we have positioned them to seek to take advantage of the Fed’s accommodative monetary policy. Duration management and duration positioning will continue to play key roles in the management of the Funds. (Duration is a measure of a fund’s sensitivity to changes in interest rates.) That said, regardless of the interest rate environment, we |
2
PORTFOLIO RESULTS
intend to utilize an active management approach to provide the best possible return within the framework of the Funds’ guidelines and objectives. Our investment approach remains tri-fold — to seek preservation of capital, daily liquidity and maximization of yield potential. We will continue to manage interest, liquidity and credit risk daily. We will also continue to closely monitor economic data, Fed policy and any shifts in the taxable and tax-exempt money market yield curves, as we strive to navigate the interest rate environment. |
RETAIL MONEY MARKET FUNDS
You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
3
Investor Funds
as of November 30, 2020
PERFORMANCE REVIEW1,2 |
| |||||||||||||
September 1, 2020-November 30 | Fund Total Return (based on NAV)3 Class I Shares | SEC 7-Day Current Yield4 | iMoneyNet Institutional Average5 | |||||||||||
Investor Money Market | 0.02 | % | -0.04 | % | 0.03 | %6 | ||||||||
Investor Tax-Exempt Money Market | 0.00 | 0.01 | 0.07 | 7 |
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment returns will fluctuate. 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.
1 | The Money Market Fund offers seven separate classes of shares (Class I, Administration, Service, Resource, Cash Management, Class A and Class C Shares) and the Tax-Exempt Money Market Fund offers eleven separate classes of shares (Class I, Select, Preferred, Capital, Administration, Premier, Service, Resource, Cash Management, Class A and Class C Shares), each of which is subject to different fees and expenses that affect performance and entitles shareholders to different services. The Class I Shares do not have distribution and/or service (12b-1) or administration and/or service (non-12b-1) fees. The Select, Preferred, Capital, Administration, Premier, Service, Resource, Cash Management, Class A and Class C Shares offer financial institutions the opportunity to receive fees for providing certain distribution, administrative support and/or shareholder services (as applicable). As an annualized percentage of average daily net assets, these share classes pay combined distribution and/or service (12b-1) or administration and/or service (non-12b-1) fees (as applicable) at the following contractual rates: Select Shares pay 0.03%, Preferred Shares pay 0.10%, Capital Shares pay 0.15%, Administration Shares pay 0.25%, Premier Shares pay 0.35%, Service Shares pay 0.50%, Resource Shares pay 0.65%, Cash Management Shares pay 0.80%, Class A Shares pay 0.25%, and Class C Shares pay 1.00%. If these fees were reflected in the above performance, performance would have been reduced. In addition, the Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The investment adviser may contractually agree to waive or reimburse certain fees and expenses until a specified date. The investment adviser may also voluntarily waive certain fees and expenses, and such voluntary waivers may be discontinued or modified at any time without notice. The performance shown above reflects any waivers or reimbursements that were in effect for all or a portion of the periods shown. When waivers or reimbursements are in place, the Fund’s operating expenses are reduced and the Fund’s yield and total returns to the shareholder are increased. |
3 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. A Fund’s total return assumes the reinvestment of dividends and other distributions. |
4 | The SEC 7-Day Current Yield is calculated in accordance with securities industry regulations and does not include net capital gains. SEC 7-Day Current Yield may differ slightly from the actual distribution rate of a given Fund because of the exclusion of distributed capital gains, which are non-recurring. The SEC 7-Day Current Yield more closely reflects a Fund’s current earnings than do the Fund Total Return figures. |
5 | Source: iMoneyNet, Inc. November 2020. The iMoneyNet Institutional Average represents total return. |
6 | First Tier Retail–Category includes only non-government retail funds that also are not holding any second-tier securities. Portfolio holdings of first-tier funds include US Treasury, US other, repos, time deposits, domestic bank obligations, foreign bank obligations, first-tier commercial paper, floating rate notes and asset-backed commercial paper. |
7 | Tax-Free National Retail–Category includes all retail national and state tax-free and municipal money funds. Portfolio holdings of tax-free funds include rated and unrated demand notes, rated and unrated general market notes, commercial paper, put bonds—6 months & less, put bonds—over 6 months, alternative minimum tax paper and other tax-free holdings. Consists of all funds in the National Tax-Free Retail and State-Specific Retail categories. |
4
SUMMARY OF THE CLASS I1,2 SHARES AS OF 11/30/20 |
| |||||||||||||||||||||
Fund | 7-Day Dist. Yield8 | SEC 7-Day Effective Yield9 | 30-Day Average Yield10 | Weighted Avg. Maturity (days)11 | Weighted Avg. Life (days)12 | |||||||||||||||||
Investor Money Market | 0.05 | % | -0.04 | % | 0.05 | % | 50 | 50 | ||||||||||||||
Investor Tax-Exempt Money Market | 0.01 | 0.01 | 0.01 | 11 | 11 |
The Yields represent past performance. Past performance does not guarantee future results. Current performance may be lower or higher than the performance quoted above.
Yields reflect fee waivers and expense limitations in effect and will fluctuate as market conditions change. Please visit our Web site at www.GSAMFUNDS.com to obtain the most recent month-end performance.
8 | The 7-Day Distribution Yield is an annualized measure of a Fund’s dividends per share, divided by the price per share. This yield includes capital gain/loss distribution, if any. This is not an SEC Yield. |
9 | The SEC 7-Day Effective Yield is calculated in accordance with securities industry regulations and does not include net capital gains. The SEC 7-Day Effective Yield assumes reinvestment of dividends for one year. |
10 | The 30-Day Average Yield is a net annualized yield of 30 days back from the current date listed. This yield includes capital gain/loss distribution. This is not an SEC Yield. |
11 | A Fund’s weighted average maturity (WAM) is an average of the effective maturities of all securities held in the portfolio, weighted by each security’s percentage of net assets. This must not exceed 60 days as calculated under SEC Rule 2a-7. |
12 | A Fund’s weighted average life (WAL) is an average of the final maturities of all securities held in the portfolio, weighted by each security’s percentage of net assets. This must not exceed 120 days as calculated under SEC Rule 2a-7. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
5
INVESTOR MONEY MARKET FUND13 | ||||||
As of November 30, 2020 | ||||||
Security Type | Percentage of Net Assets | |||||
Certificates of Deposit - Eurodollar | 0.5 | % | ||||
Certificates of Deposit - Yankeedollar | 4.3 | |||||
Commercial Paper & Corporate Obligations | 15.6 | |||||
Repurchase Agreements | 26.9 | |||||
U.S. Government Agency Obligations | 0.4 | |||||
U.S. Treasury Obligations | 42.0 | |||||
Variable Rate Municipal Debt Obligations | 11.6 | |||||
As of August 31, 2020 | ||||||
Security Type | Percentage of Net Assets | |||||
Certificates of Deposit - Yankeedollar | 7.2 | % | ||||
Certificates of Deposit | 1.2 | |||||
Commercial Paper & Corporate Obligations | 21.5 | |||||
Repurchase Agreements | 28.5 | |||||
U.S. Treasury Obligations | 30.8 | |||||
Variable Rate Municipal Debt Obligations | 6.8 | |||||
Variable Rate Obligations | 5.7 |
13 | The Fund is actively managed and, as such, its portfolio composition may differ over time. The percentage shown for each investment category reflects the value (based on amortized cost) of investments in that category as a percentage of net assets. Figures in the above table may not sum to 100% due to the exclusion of other assets and liabilities. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
6
SECTOR ALLOCATIONS
INVESTOR TAX-EXEMPT MONEY MARKET FUND14 | ||||||
As of November 30, 2020 | ||||||
Security Type | Percentage of Net Assets | |||||
Commercial Paper | 15.8 | % | ||||
General Obligation | 7.5 | |||||
Revenue Anticipation Notes | 1.0 | |||||
Variable Rate Obligations | 74.2 | |||||
As of August 31, 2020 | ||||||
Security Type | Percentage of Net Assets | |||||
Commercial Paper | 15.8 | % | ||||
General Obligation | 0.4 | |||||
Revenue Anticipation Notes | 2.5 | |||||
Tax and Revenue Anticipation Note | 5.0 | |||||
Variable Rate Obligations | 77.9 |
14 | The Fund is actively managed and, as such, its portfolio composition may differ over time. The percentage shown for each investment category reflects the value (based on amortized cost) of investments in that category as a percentage of net assets. Figures in the above table may not sum to 100% due to the exclusion of other assets and liabilities. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
7
INVESTOR MONEY MARKET FUND
November 30, 2020
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
Commercial Paper and Corporate Obligations – 15.6% | ||||||||||||||
Agricultural Bank of China Ltd. | ||||||||||||||
$ | 5,000,000 | 0.326 | % | 12/14/20 | $ | 4,999,422 | ||||||||
1,250,000 | 0.397 | 02/23/21 | 1,248,863 | |||||||||||
Albion Capital LLC | ||||||||||||||
10,000,000 | 0.234 | 12/04/20 | 9,999,892 | |||||||||||
3,945,000 | 0.254 | 02/16/21 | 3,943,059 | |||||||||||
7,000,000 | 0.224 | 02/22/21 | 6,995,965 | |||||||||||
Antalis S.A. | ||||||||||||||
3,000,000 | 0.234 | 02/09/21 | 2,998,717 | |||||||||||
4,932,000 | 0.275 | 02/16/21 | 4,929,574 | |||||||||||
Bank of China Ltd.-Hong Kong Branch | ||||||||||||||
5,740,000 | 0.214 | 12/03/20 | 5,739,914 | |||||||||||
Barton Capital S.A. | ||||||||||||||
3,000,000 | 0.214 | 01/26/21 | 2,999,020 | |||||||||||
4,546,000 | 0.214 | 02/08/21 | 4,544,170 | |||||||||||
CNPC Finance (HK) Ltd. | ||||||||||||||
12,000,000 | 0.437 | 12/01/20 | 12,000,000 | |||||||||||
Collateralized Commercial Paper Flex Co., LLC | ||||||||||||||
5,000,000 | 0.234 | 02/16/21 | 4,997,540 | |||||||||||
Collateralized Commercial Paper V Co., LLC | ||||||||||||||
7,000,000 | 0.203 | 02/08/21 | 6,997,317 | |||||||||||
Columbia Funding Company, LLC | ||||||||||||||
5,000,000 | 0.203 | 01/13/21 | 4,998,806 | |||||||||||
First Abu Dhabi Bank P.J.S.C. | ||||||||||||||
5,548,000 | 0.234 | 02/09/21 | 5,545,519 | |||||||||||
10,000,000 | 0.244 | 02/18/21 | 9,994,733 | |||||||||||
Industrial & Commercial Bank of China Ltd.-New York Branch | ||||||||||||||
12,000,000 | 0.356 | 02/09/21 | 11,991,833 | |||||||||||
Ionic Capital II Trust | ||||||||||||||
7,570,000 | 0.244 | 02/19/21 | 7,565,963 | |||||||||||
21,439,000 | 0.315 | 02/26/21 | 21,422,938 | |||||||||||
KfW | ||||||||||||||
5,000,000 | 0.173 | 12/08/20 | 4,999,835 | |||||||||||
Landesbank Baden-Wuerttemberg | ||||||||||||||
20,800,000 | 0.244 | 02/24/21 | 20,788,213 | |||||||||||
Macquarie Bank Ltd. | ||||||||||||||
17,000,000 | 0.209 | 02/08/21 | 16,993,320 | |||||||||||
Manhattan Asset Funding Company LLC | ||||||||||||||
3,931,000 | 0.203 | 01/14/21 | 3,930,039 | |||||||||||
18,168,000 | 0.214 | 02/12/21 | 18,160,264 | |||||||||||
Metropolitan Life Global Funding I | ||||||||||||||
858,000 | 2.400 | (a) | 01/08/21 | 859,916 | ||||||||||
Mizuho Bank, Ltd.-Singapore Branch | ||||||||||||||
19,000,000 | 0.234 | 02/09/21 | 18,991,503 | |||||||||||
National Bank of Canada | ||||||||||||||
5,000,000 | 0.214 | 02/16/21 | 4,997,754 | |||||||||||
Nationwide Building Society | ||||||||||||||
15,000,000 | 0.183 | 12/22/20 | 14,998,425 | |||||||||||
Ridgefield Funding Company, LLC | ||||||||||||||
6,000,000 | 0.203 | 01/05/21 | 5,998,833 | |||||||||||
Sheffield Receivables Company LLC | ||||||||||||||
10,000,000 | 0.210 | 02/10/21 | 9,995,858 | |||||||||||
Sumitomo Mitsui Trust Bank, Ltd.-Singapore Branch | ||||||||||||||
10,000,000 | 0.244 | 02/10/21 | 9,995,267 | |||||||||||
Toronto-Dominion Bank (The) | ||||||||||||||
15,000,000 | 0.214 | 02/16/21 | 14,993,262 | |||||||||||
5,000,000 | 0.224 | 02/19/21 | 4,997,556 | |||||||||||
|
| |||||||||||||
Commercial Paper and Corporate Obligations – (continued) | ||||||||||||||
Victory Receivables Corp. | ||||||||||||||
8,679,000 | 0.214 | 02/12/21 | 8,675,304 | |||||||||||
|
| |||||||||||||
| TOTAL COMMERCIAL PAPER AND CORPORATE OBLIGATIONS | | $ | 293,288,594 | ||||||||||
|
| |||||||||||||
Certificate of Deposit-Eurodollar – 0.5% | ||||||||||||||
Sumitomo Mitsui Trust Bank, Ltd. | ||||||||||||||
$ | 10,000,000 | 0.255 | % | 02/12/21 | $ | 9,994,833 | ||||||||
|
| |||||||||||||
Certificates of Deposit-Yankeedollar – 4.3% | ||||||||||||||
Bank of Montreal | ||||||||||||||
$ | 12,000,000 | 0.210 | % | 02/18/21 | $ | 12,000,000 | ||||||||
Landesbank Hessen-Thueringen Girozentrale | ||||||||||||||
8,062,000 | 0.150 | 12/17/20 | 8,062,000 | |||||||||||
MUFG Bank, Ltd.-New York Branch | ||||||||||||||
15,000,000 | 0.240 | 02/26/21 | 15,000,000 | |||||||||||
National Bank of Kuwait S.A.K.P | ||||||||||||||
20,000,000 | 0.330 | 02/10/21 | 20,000,197 | |||||||||||
Norinchukin Bank (The) | ||||||||||||||
5,000,000 | 0.220 | 02/10/21 | 5,000,000 | |||||||||||
10,000,000 | 0.220 | 02/12/21 | 10,000,000 | |||||||||||
Sumitomo Mitsui Banking Corp. | ||||||||||||||
10,447,000 | 0.260 | 02/04/21 | 10,447,751 | |||||||||||
|
| |||||||||||||
| TOTAL CERTIFICATES OF DEPOSIT-YANKEEDOLLAR | $ | 80,509,948 | |||||||||||
|
| |||||||||||||
U.S. Government Agency Obligations – 0.4% | ||||||||||||||
| U.S. International Development Finance Corp. (3 Mo. U.S. | | ||||||||||||
$ | 3,000,000 | 0.130 | %(b) | 12/07/20 | $ | 3,000,000 | ||||||||
4,000,000 | 0.140 | (b) | 12/07/20 | 4,000,000 | ||||||||||
|
| |||||||||||||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | | $ | 7,000,000 | ||||||||||
|
| |||||||||||||
U.S. Treasury Obligations – 42.0% | ||||||||||||||
United States Treasury Bills | ||||||||||||||
$ | 21,700,000 | 0.092 | % | 12/08/20 | $ | 21,699,620 | ||||||||
14,200,000 | 0.093 | 12/08/20 | 14,199,749 | |||||||||||
14,200,000 | 0.094 | 12/08/20 | 14,199,745 | |||||||||||
11,300,000 | 0.098 | 12/08/20 | 11,299,789 | |||||||||||
47,600,000 | 0.107 | 12/08/20 | 47,599,028 | |||||||||||
32,060,000 | 0.092 | 12/24/20 | 32,058,157 | |||||||||||
6,600,000 | 0.094 | 12/24/20 | 6,599,610 | |||||||||||
2,100,000 | 0.097 | 12/24/20 | 2,099,872 | |||||||||||
200,000 | 0.102 | 12/24/20 | 199,987 | |||||||||||
2,000,000 | 0.107 | 12/24/20 | 1,999,866 | |||||||||||
2,800,000 | 0.108 | 12/24/20 | 2,799,810 | |||||||||||
14,200,000 | 0.112 | 12/24/20 | 14,199,002 | |||||||||||
1,100,000 | 0.117 | 12/24/20 | 1,099,919 | |||||||||||
30,300,000 | 0.178 | 12/24/20 | 30,296,612 | |||||||||||
|
|
8 | The accompanying notes are an integral part of these financial statements. |
INVESTOR MONEY MARKET FUND
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
U.S. Treasury Obligations – (continued) | ||||||||||||||
United States Treasury Bills – (continued) | ||||||||||||||
$ | 690,000 | 0.124 | % | 12/29/20 | $ | 689,934 | ||||||||
200,000 | 0.133 | 12/29/20 | 199,980 | |||||||||||
8,100,000 | 0.097 | 01/07/21 | 8,099,209 | |||||||||||
3,300,000 | 0.097 | 01/12/21 | 3,299,634 | |||||||||||
1,900,000 | 0.098 | 01/12/21 | 1,899,787 | |||||||||||
14,500,000 | 0.102 | 01/12/21 | 14,498,308 | |||||||||||
23,800,000 | 0.102 | 01/26/21 | 23,796,298 | |||||||||||
2,900,000 | 0.108 | 01/26/21 | 2,899,522 | |||||||||||
2,400,000 | 0.114 | 01/26/21 | 2,399,580 | |||||||||||
25,800,000 | 0.117 | 01/26/21 | 25,795,385 | |||||||||||
3,500,000 | 0.117 | 02/02/21 | 3,499,296 | |||||||||||
46,000,000 | 0.097 | 02/16/21 | 45,990,653 | |||||||||||
19,300,000 | 0.102 | 02/23/21 | 19,295,497 | |||||||||||
10,100,000 | 0.096 | 03/02/21 | 10,097,575 | |||||||||||
6,800,000 | 0.101 | 03/02/21 | 6,798,281 | |||||||||||
5,600,000 | 0.102 | 03/02/21 | 5,598,570 | |||||||||||
12,400,000 | 0.103 | 03/02/21 | 12,396,803 | |||||||||||
2,100,000 | 0.104 | 03/02/21 | 2,099,456 | |||||||||||
15,000,000 | 0.106 | 03/04/21 | 14,995,931 | |||||||||||
3,100,000 | 0.117 | 03/04/21 | 3,099,079 | |||||||||||
22,000,000 | 0.107 | 03/09/21 | 21,993,712 | |||||||||||
16,500,000 | 0.101 | 03/11/21 | 16,495,417 | |||||||||||
11,000,000 | 0.127 | 03/11/21 | 10,996,181 | |||||||||||
22,500,000 | 0.112 | 03/16/21 | 22,492,781 | |||||||||||
3,100,000 | 0.114 | 03/23/21 | 3,098,920 | |||||||||||
3,100,000 | 0.115 | 03/23/21 | 3,098,910 | |||||||||||
900,000 | 0.119 | 03/23/21 | 899,671 | |||||||||||
17,800,000 | 0.122 | 03/23/21 | 17,793,355 | |||||||||||
25,400,000 | 0.107 | 03/25/21 | 25,391,555 | |||||||||||
15,000,000 | 0.117 | 03/30/21 | 14,994,298 | |||||||||||
17,200,000 | 0.107 | 04/01/21 | 17,193,930 | |||||||||||
6,300,000 | 0.108 | 04/01/21 | 6,297,755 | |||||||||||
32,000,000 | 0.107 | 04/06/21 | 31,988,240 | |||||||||||
500,000 | 0.107 | 04/08/21 | 499,813 | |||||||||||
600,000 | 0.109 | 04/08/21 | 599,771 | |||||||||||
24,100,000 | 0.112 | 04/08/21 | 24,090,574 | |||||||||||
37,500,000 | 0.107 | 04/13/21 | 37,485,453 | |||||||||||
10,000,000 | 0.101 | 04/20/21 | 9,996,111 | |||||||||||
12,500,000 | 0.117 | 04/22/21 | 12,494,330 | |||||||||||
6,090,000 | 0.112 | 04/29/21 | 6,087,227 | |||||||||||
57,000,000 | 0.112 | 05/06/21 | 56,972,830 | |||||||||||
33,300,000 | 0.112 | 05/13/21 | 33,283,415 | |||||||||||
8,000,000 | 0.090 | 05/27/21 | 7,996,460 | |||||||||||
|
| |||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS | | $ | 790,040,253 | ||||||||||
|
| |||||||||||||
Variable Rate Municipal Debt Obligations(c) – 11.6% | ||||||||||||||
| Alaska Housing Finance Corp. VRDN RB Refunding for State | | ||||||||||||
$ | 5,000,000 | 0.130 | % | 12/07/20 | $ | 5,000,000 | ||||||||
| Alaska Housing Finance Corp. VRDN RB Refunding for State | | ||||||||||||
2,000,000 | 0.180 | 12/07/20 | 2,000,000 | |||||||||||
|
| |||||||||||||
Variable Rate Municipal Debt Obligations(c) – (continued) | ||||||||||||||
| City of Columbus, OH GO VRDN for Sanitation Sewer System | | ||||||||||||
$ | 12,200,000 | 0.060 | % | 12/07/20 | $ | 12,200,000 | ||||||||
| City of Portland, Maine GO VRDN for Taxable Pension Bonds | | ||||||||||||
10,305,000 | 0.140 | 12/07/20 | 10,305,000 | |||||||||||
| Connecticut Housing Finance Authority VRDN RB Housing | | ||||||||||||
26,340,000 | 0.080 | 12/07/20 | 26,340,000 | |||||||||||
| Connecticut Housing Finance Authority VRDN RB Mortgage | | ||||||||||||
4,350,000 | 0.100 | 12/07/20 | 4,350,000 | |||||||||||
| East Baton Rouge Parish IDB, Inc. VRDN RB for ExxonMobil | | ||||||||||||
169,000 | 0.120 | 12/01/20 | 168,998 | |||||||||||
| Health & Educational Facilities Authority of The State of | | ||||||||||||
4,000,000 | 0.100 | 12/07/20 | 4,000,000 | |||||||||||
| Loudoun County IDA VRDN RB for Howard Hughes Medical | | ||||||||||||
4,545,000 | 0.110 | 12/07/20 | 4,545,000 | |||||||||||
| Michigan Finance Authority VRDN RB Refunding for School | | ||||||||||||
7,100,000 | 0.150 | 12/07/20 | 7,100,000 | |||||||||||
| Mississippi Business Finance Corporation Gulf Opportunity Zone | | ||||||||||||
5,000,000 | 0.100 | 12/07/20 | 5,000,000 | |||||||||||
| Murray City, Utah Hospital VRDN RB for IHC Health Services, | | ||||||||||||
20,000,000 | 0.070 | 12/07/20 | 20,000,000 | |||||||||||
| New Mexico Hospital Equipment Loan Council VRDN RB | | ||||||||||||
10,445,000 | 0.100 | 12/07/20 | 10,445,000 | |||||||||||
| New York City Municipal Water Finance Authority Water & | | ||||||||||||
5,000,000 | 0.150 | 12/07/20 | 5,000,000 | |||||||||||
| Orlando, FL Utilities Commission VRDN RB Water Utility | | ||||||||||||
2,175,000 | 0.120 | 12/07/20 | 2,175,000 | |||||||||||
| Providence Health & Services Obligated Group VRDN RB | | ||||||||||||
7,880,000 | 0.210 | 12/07/20 | 7,880,000 | |||||||||||
| Providence St. Joseph Health Obligated Group VRDN | | ||||||||||||
17,000,000 | 0.150 | 12/07/20 | 17,000,000 | |||||||||||
| Regents of the University of California VRDN RB Taxable | | ||||||||||||
15,530,000 | 0.110 | 12/07/20 | 15,530,000 | |||||||||||
| State of Texas GO VRDN Refunding for Veterans Bonds | | ||||||||||||
9,365,000 | 0.110 | 12/07/20 | 9,365,000 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 9 |
INVESTOR MONEY MARKET FUND
Schedule of Investments (continued)
November 30, 2020
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
Variable Rate Municipal Debt Obligations(c) – (continued) | ||||||||||||||
| State of Texas GO VRDN Veterans Bonds Series 2019 | | ||||||||||||
$ | 19,590,000 | 0.100 | % | 12/07/20 | $ | 19,590,000 | ||||||||
| Tarrant County Cultural Education Facilities Finance Corp. | | ||||||||||||
6,095,000 | 0.110 | 12/07/20 | 6,095,000 | |||||||||||
| University of Colorado Hospital Authority VRDN RB Series | | ||||||||||||
7,850,000 | 0.090 | 12/07/20 | 7,850,000 | |||||||||||
| Washington Health Care Facilities Authority VRDN RB | | ||||||||||||
15,000,000 | 0.100 | 12/07/20 | 15,000,000 | |||||||||||
|
| |||||||||||||
| TOTAL VARIABLE RATE MUNICIPAL DEBT OBLIGATIONS | | $ | 216,938,998 | ||||||||||
|
| |||||||||||||
| TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENTS | | $ | 1,397,772,626 | ||||||||||
|
| |||||||||||||
Repurchase Agreements(d) – 26.9% | ||||||||||||||
Bank of Montreal | ||||||||||||||
$ | 4,000,000 | 0.110 | %(e) | 12/07/20 | $ | 4,000,000 | ||||||||
Maturity Value: $4,001,124 | ||||||||||||||
Settlement Date: 11/18/20 | ||||||||||||||
| Collateralized by a U.S. Treasury Interest-Only Stripped Security, | | ||||||||||||
1,500,000 | 0.120 | (e) | 12/07/20 | 1,500,000 | ||||||||||
Maturity Value: $1,500,900 | ||||||||||||||
Settlement Date: 11/12/20 | ||||||||||||||
| Collateralized by Federal National Mortgage Association, 3.500% | | ||||||||||||
5,000,000 | 0.120 | (e) | 12/07/20 | 5,000,000 | ||||||||||
Maturity Value: $5,000,983 | ||||||||||||||
Settlement Date: 11/09/20 | ||||||||||||||
| Collateralized by a U.S. Treasury Interest-Only Stripped Security, | | ||||||||||||
5,000,000 | 0.130 | (e) | 12/07/20 | 5,000,000 | ||||||||||
Maturity Value: $5,003,286 | ||||||||||||||
Settlement Date: 11/02/20 | ||||||||||||||
| Collateralized by a U.S. Treasury Interest-Only Stripped Security, | | ||||||||||||
|
| |||||||||||||
BMO Capital Markets Corp. | ||||||||||||||
3,000,000 | 0.120 | (e) | 12/07/20 | 3,000,000 | ||||||||||
Maturity Value: $3,001,800 | ||||||||||||||
Settlement Date: 11/12/20 | ||||||||||||||
| Collateralized by a U.S. Treasury Bill, 0.000%, due 03/25/21. The | | ||||||||||||
|
| |||||||||||||
Repurchase Agreements(d) – (continued) | ||||||||||||||
BNP Paribas | ||||||||||||||
17,000,000 | 0.100 | %(e)(f) | 12/07/20 | 17,000,000 | ||||||||||
Maturity Value: $17,002,314 | ||||||||||||||
Settlement Date: 12/01/20 | ||||||||||||||
|
| |||||||||||||
Canadian Imperial Bank of Commerce | ||||||||||||||
6,000,000 | 0.110 | (e) | 12/07/20 | 6,000,000 | ||||||||||
Maturity Value: $6,001,100 | ||||||||||||||
Settlement Date: 11/06/20 | ||||||||||||||
| Collateralized by a U.S. Treasury Bond, 2.250%, due 08/15/46 | | ||||||||||||
|
| |||||||||||||
Joint Account III | ||||||||||||||
326,000,000 | 0.100 | 12/01/20 | 326,000,000 | |||||||||||
Maturity Value: $326,000,906 | ||||||||||||||
|
| |||||||||||||
RBC Capital Markets, LLC | ||||||||||||||
40,000,000 | 0.180 | 12/01/20 | 40,000,000 | |||||||||||
Maturity Value: $40,000,200 | ||||||||||||||
| Collateralized by various corporate security issuers, 0.000% to | | ||||||||||||
|
| |||||||||||||
Royal Bank of Canada | ||||||||||||||
27,000,000 | 0.110 | (e) | 12/07/20 | 27,000,000 | ||||||||||
Maturity Value: $27,004,620 | ||||||||||||||
Settlement Date: 11/19/20 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp., 2.000% to | | ||||||||||||
|
| |||||||||||||
Scotia Capital (USA) Inc. | ||||||||||||||
22,000,000 | 0.180 | 12/01/20 | 22,000,000 | |||||||||||
Maturity Value: $22,000,110 | ||||||||||||||
| Collateralized by various corporate security issuers, 0.531% to | | ||||||||||||
15,000,000 | 0.330 | 12/01/20 | 15,000,000 | |||||||||||
Maturity Value: $15,000,138 | ||||||||||||||
| Collateralized by various corporate security issuers, 0.483% to | | ||||||||||||
|
| |||||||||||||
Wells Fargo Securities, LLC | ||||||||||||||
35,000,000 | 0.230 | 12/04/20 | 35,000,000 | |||||||||||
Maturity Value: $35,001,565 | ||||||||||||||
Settlement Date: 11/27/20 | ||||||||||||||
| Collateralized by various corporate security issuers, 0.000% to | | ||||||||||||
|
| |||||||||||||
| TOTAL REPURCHASE AGREEMENTS- UNAFFILIATED ISSUERS | $ | 506,500,000 | |||||||||||
|
| |||||||||||||
TOTAL INVESTMENTS – 101.3% | $ | 1,904,272,626 | ||||||||||||
|
| |||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (1.3)% | (23,815,463 | ) | |||||||||||
|
| |||||||||||||
NET ASSETS – 100.0% | $ | 1,880,457,163 | ||||||||||||
|
|
10 | The accompanying notes are an integral part of these financial statements. |
INVESTOR MONEY MARKET FUND
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
(b) | Variable or floating rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on November 30, 2020. | |
(c) | Rate shown is that which is in effect on November 30, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. | |
(d) | Unless noted, all repurchase agreements were entered into on November 30, 2020. Additional information on Joint Repurchase Agreement Account III appears in the Additional Investment Information section. | |
(e) | The instrument is subject to a demand feature. | |
(f) | All or a portion represents a forward commitment. Forward settling repurchase agreements will be collateralized at settlement. |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities, the date of the next interest rate reset for variable rate securities, or the prerefunded date for those types of securities.
| ||
Investment Abbreviations: | ||
FHLB | —Insured by Federal Home Loan Bank | |
GO | —General Obligation | |
GTY AGMT | —Guaranty Agreement | |
IDA | —Industrial Development Agency | |
IDB | —Industrial Development Board | |
IHC | —Intermountain Health Care | |
LOC | —Letter of Credit | |
RB | —Revenue Bond | |
RMKT | —Remarketed | |
SPA | —Stand-by Purchase Agreement | |
T-Bill | —Treasury Bill | |
VRDN | —Variable Rate Demand Notes | |
|
The accompanying notes are an integral part of these financial statements. | 11 |
INVESTOR TAX-EXEMPT MONEY MARKET FUND
Schedule of Investments
November 30, 2020
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
Municipal Debt Obligations – 98.5% | ||||||||||||||
Alabama – 0.8% | ||||||||||||||
| Mobile IDB VRDN PCRB for Alabama Power Co. Barry Plant | | ||||||||||||
$ | 11,500,000 | 0.190 | % | 12/07/20 | $ | 11,500,000 | ||||||||
|
| |||||||||||||
Alaska – 1.1% | ||||||||||||||
| Alaska Housing Finance Corp. Home Mortgage VRDN RB | | ||||||||||||
15,800,000 | 0.100 | 12/07/20 | 15,800,000 | |||||||||||
|
| |||||||||||||
California – 7.8% | ||||||||||||||
| Bay Area Toll Authority California Toll Bridge VRDN RB | | ||||||||||||
3,250,000 | 0.080 | 12/07/20 | 3,250,000 | |||||||||||
| Bay Area Toll Authority California Toll Bridge VRDN RB | | ||||||||||||
16,575,000 | 0.080 | 12/07/20 | 16,575,000 | |||||||||||
| California Municipal Finance Authority VRDN RB for Chevron | | ||||||||||||
3,000,000 | 0.100 | 12/01/20 | 3,000,000 | |||||||||||
| California Statewide Communities Development Authority CP for | | ||||||||||||
15,000,000 | 0.190 | 01/13/21 | 15,000,000 | |||||||||||
| Los Angeles Department of Water & Power VRDN RB | | ||||||||||||
17,500,000 | 0.060 | 12/07/20 | 17,500,000 | |||||||||||
| Metropolitan Water District of Southern California VRDN RB | | ||||||||||||
2,300,000 | 0.080 | 12/01/20 | 2,300,000 | |||||||||||
Regents of The University of California (The) CP Series 2020 A | ||||||||||||||
17,400,000 | 0.140 | 01/05/21 | 17,400,000 | |||||||||||
8,000,000 | 0.190 | 02/03/21 | 8,000,000 | |||||||||||
| San Diego County Regional Transportation Commission VRDN | | ||||||||||||
12,000,000 | 0.060 | 12/07/20 | 12,000,000 | |||||||||||
| Santa Clara Valley Transportation Authority Sales Tax VRDN | | ||||||||||||
12,180,000 | 0.090 | 12/07/20 | 12,180,000 | |||||||||||
|
| |||||||||||||
107,205,000 | ||||||||||||||
|
| |||||||||||||
Colorado – 6.3% | ||||||||||||||
| City of Colorado Springs Utilities System VRDN RB Series 2008 | | ||||||||||||
4,365,000 | 0.120 | 12/07/20 | 4,365,000 | |||||||||||
| City of Colorado Springs Utilities System VRDN RB Series 2010 | | ||||||||||||
8,255,000 | 0.110 | 12/07/20 | 8,255,000 | |||||||||||
| City of Colorado Springs Utilities System VRDN RB Series 2012 | | ||||||||||||
4,200,000 | 0.110 | 12/07/20 | 4,200,000 | |||||||||||
|
| |||||||||||||
Municipal Debt Obligations – (continued) | ||||||||||||||
Colorado – (continued) | ||||||||||||||
| Colorado Educational & Cultural Facilities Authority VRDN RB | | ||||||||||||
21,815,000 | 0.120 | 12/07/20 | 21,815,000 | |||||||||||
| Colorado Housing & Finance Authority VRDN RB Refunding for | | ||||||||||||
8,830,000 | 0.120 | 12/07/20 | 8,830,000 | |||||||||||
| University of Colorado Hospital Authority VRDN RB Series | | ||||||||||||
39,000,000 | 0.090 | 12/07/20 | 39,000,000 | |||||||||||
|
| |||||||||||||
86,465,000 | ||||||||||||||
|
| |||||||||||||
Connecticut – 1.9% | ||||||||||||||
| Connecticut Housing Finance Authority VRDN RB Housing | | ||||||||||||
17,130,000 | 0.110 | 12/07/20 | 17,130,000 | |||||||||||
| Connecticut Housing Finance Authority VRDN RB Housing | | ||||||||||||
5,000,000 | 0.120 | 12/07/20 | 5,000,000 | |||||||||||
| Connecticut Housing Finance Authority VRDN RB Housing | | ||||||||||||
4,000,000 | 0.110 | 12/07/20 | 4,000,000 | |||||||||||
|
| |||||||||||||
26,130,000 | ||||||||||||||
|
| |||||||||||||
Delaware – 1.0% | ||||||||||||||
| University of Delaware VRDN RB Refunding Series 2005 (TD | | ||||||||||||
990,000 | 0.110 | 12/01/20 | 990,000 | |||||||||||
| University of Delaware VRDN RB Refunding Series 2013 C | | ||||||||||||
5,725,000 | 0.090 | 12/01/20 | 5,725,000 | |||||||||||
| University of Delaware VRDN RB Series 2004 B (Bank of | | ||||||||||||
7,000,000 | 0.110 | 12/01/20 | 7,000,000 | |||||||||||
|
| |||||||||||||
13,715,000 | ||||||||||||||
|
| |||||||||||||
District of Columbia – 2.8% | ||||||||||||||
| District of Columbia Water & Sewer Authority Public Utility | | ||||||||||||
10,350,000 | 0.120 | 12/07/20 | 10,350,000 | |||||||||||
| District of Columbia Water & Sewer Authority Public Utility | | ||||||||||||
15,165,000 | 0.110 | 12/07/20 | 15,165,000 | |||||||||||
| Metropolitan Washington Airports Authority Airport System | | ||||||||||||
13,355,000 | 0.100 | 12/07/20 | 13,355,000 | |||||||||||
|
| |||||||||||||
38,870,000 | ||||||||||||||
|
|
12 | The accompanying notes are an integral part of these financial statements. |
INVESTOR TAX-EXEMPT MONEY MARKET FUND
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
Municipal Debt Obligations – (continued) | ||||||||||||||
Florida – 1.1% | ||||||||||||||
| City of Gainesville Utilities System VRDN RB Partial Refunding | | ||||||||||||
$ | 14,960,000 | 0.110 | % | 12/07/20 | $ | 14,960,000 | ||||||||
|
| |||||||||||||
Georgia – 2.1% | ||||||||||||||
| Development Authority for Fulton County VRDN RB Refunding | | ||||||||||||
28,800,000 | 0.110 | 12/07/20 | 28,800,000 | |||||||||||
|
| |||||||||||||
Illinois – 4.3% | ||||||||||||||
| Illinois Finance Authority VRDN RB for Northwestern University | | ||||||||||||
12,500,000 | 0.110 | 12/07/20 | 12,500,000 | |||||||||||
| Illinois Finance Authority VRDN RB for Northwestern University | | ||||||||||||
37,500,000 | 0.070 | 12/07/20 | 37,500,000 | |||||||||||
| Illinois Housing Development Authority VRDN Homeowner | | ||||||||||||
4,875,000 | 0.110 | 12/07/20 | 4,875,000 | |||||||||||
| Illinois State Finance Authority VRDN RB Refunding for | | ||||||||||||
4,000,000 | 0.140 | 12/07/20 | 4,000,000 | |||||||||||
|
| |||||||||||||
58,875,000 | ||||||||||||||
|
| |||||||||||||
Indiana – 2.7% | ||||||||||||||
| Indiana Finance Authority VRDN RB Refunding for Ascension | | ||||||||||||
25,000,000 | 0.110 | 12/07/20 | 25,000,000 | |||||||||||
| Indiana Finance Authority VRDN RB Refunding for Ascension | | ||||||||||||
1,850,000 | 0.110 | 12/07/20 | 1,850,000 | |||||||||||
| Purdue University VRDN RB for Student Facilities System Series | | ||||||||||||
10,000,000 | 0.090 | 12/07/20 | 10,000,000 | |||||||||||
|
| |||||||||||||
36,850,000 | ||||||||||||||
|
| |||||||||||||
Louisiana – 2.8% | ||||||||||||||
| East Baton Rouge Parish IDB, Inc. VRDN RB for ExxonMobil | | ||||||||||||
33,000,000 | 0.120 | 12/01/20 | 33,000,000 | |||||||||||
| East Baton Rouge Parish IDB, Inc. VRDN RB for ExxonMobil | | ||||||||||||
6,000,000 | 0.120 | 12/01/20 | 6,000,000 | |||||||||||
|
| |||||||||||||
39,000,000 | ||||||||||||||
|
| |||||||||||||
Maryland – 1.1% | ||||||||||||||
| Maryland State Economic Development Corp. VRDN RB | | ||||||||||||
2,475,000 | 0.120 | 12/07/20 | 2,475,000 | |||||||||||
| Maryland State Health & Higher Educational Facilities Authority | | ||||||||||||
5,980,000 | 0.180 | 12/03/20 | 5,980,000 | |||||||||||
|
| |||||||||||||
Municipal Debt Obligations – (continued) | ||||||||||||||
Maryland – (continued) | ||||||||||||||
| Washington Suburban Sanitary District GO VRDN BANS | | ||||||||||||
7,300,000 | 0.100 | 12/07/20 | 7,300,000 | |||||||||||
|
| |||||||||||||
15,755,000 | ||||||||||||||
|
| |||||||||||||
Massachusetts – 8.0% | ||||||||||||||
| Commonwealth of Massachusetts GO VRDN for Central Artery/ | |||||||||||||
15,000,000 | 0.110 | 12/07/20 | 15,000,000 | |||||||||||
| Massachusetts Bay Transportation Authority VRDN RB for | | ||||||||||||
26,510,000 | 0.110 | 12/07/20 | 26,510,000 | |||||||||||
| Massachusetts Bay Transportation Authority VRDN RB | | ||||||||||||
14,400,000 | 0.110 | 12/07/20 | 14,400,000 | |||||||||||
| Massachusetts Health & Educational Facilities Authority VRDN | | ||||||||||||
6,900,000 | 0.100 | 12/07/20 | 6,900,000 | |||||||||||
| Massachusetts Health & Educational Facilities Authority VRDN | | ||||||||||||
1,400,000 | 0.100 | 12/07/20 | 1,400,000 | |||||||||||
Massachusetts Water Resources Authority CP Series 1999 A2 | ||||||||||||||
7,350,000 | 0.190 | 02/09/21 | 7,350,000 | |||||||||||
| Massachusetts Water Resources Authority VRDN RB Refunding | | ||||||||||||
4,000,000 | 0.110 | 12/07/20 | 4,000,000 | |||||||||||
| Massachusetts Water Resources Authority VRDN RB Refunding | | ||||||||||||
12,360,000 | 0.110 | 12/07/20 | 12,360,000 | |||||||||||
| University of Massachusetts Building Authority VRDN RB | | ||||||||||||
15,000,000 | 0.110 | 12/07/20 | 15,000,000 | |||||||||||
| University of Massachusetts Building Authority VRDN RB | | ||||||||||||
6,590,000 | 0.100 | 12/07/20 | 6,590,000 | |||||||||||
|
| |||||||||||||
109,510,000 | ||||||||||||||
|
| |||||||||||||
Michigan – 3.5% | ||||||||||||||
| Michigan Finance Authority VRDN RB Refunding for Hospital | | ||||||||||||
7,690,000 | 0.110 | 12/07/20 | 7,690,000 | |||||||||||
| Michigan Finance Authority VRDN RB Refunding for Hospital | | ||||||||||||
5,130,000 | 0.080 | 12/07/20 | 5,130,000 | |||||||||||
University of Michigan CP Series 2020 L-1 | ||||||||||||||
6,500,000 | 0.120 | 12/02/20 | 6,500,000 | |||||||||||
18,000,000 | 0.150 | 01/05/21 | 18,000,000 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 13 |
INVESTOR TAX-EXEMPT MONEY MARKET FUND
Schedule of Investments (continued)
November 30, 2020
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
Municipal Debt Obligations – (continued) | ||||||||||||||
Michigan – (continued) | ||||||||||||||
University of Michigan CP Series 2020 L-1 – (continued) | ||||||||||||||
$ | 10,400,000 | 0.170 | % | 02/03/21 | $ | 10,400,000 | ||||||||
|
| |||||||||||||
47,720,000 | ||||||||||||||
|
| |||||||||||||
Minnesota – 2.4% | ||||||||||||||
| Minnesota Housing Finance Agency VRDN Residential Housing | | ||||||||||||
8,550,000 | 0.110 | 12/07/20 | 8,550,000 | |||||||||||
| Rochester Housing & Healthcare Facilities Revenue CP Series | | ||||||||||||
25,000,000 | 0.210 | 01/06/21 | 25,000,000 | |||||||||||
|
| |||||||||||||
33,550,000 | ||||||||||||||
|
| |||||||||||||
Mississippi – 1.3% | ||||||||||||||
| Mississippi Business Finance Commission Gulf Opportunity Zone | | ||||||||||||
3,170,000 | 0.110 | 12/07/20 | 3,170,000 | |||||||||||
| Mississippi Business Finance Commission Gulf Opportunity Zone | | ||||||||||||
1,300,000 | 0.100 | 12/01/20 | 1,300,000 | |||||||||||
| Mississippi Business Finance Commission Gulf Opportunity Zone | | ||||||||||||
8,400,000 | 0.100 | 12/01/20 | 8,400,000 | |||||||||||
| Mississippi Business Finance Corporation Gulf Opportunity Zone | | ||||||||||||
4,390,000 | 0.120 | 12/01/20 | 4,390,000 | |||||||||||
|
| |||||||||||||
17,260,000 | ||||||||||||||
|
| |||||||||||||
Missouri – 0.5% | ||||||||||||||
| Missouri Health & Educational Facilities Authority VRDN RB | | ||||||||||||
6,020,000 | 0.080 | 12/07/20 | 6,020,000 | |||||||||||
| Missouri Health & Educational Facilities Authority VRDN RB | | ||||||||||||
1,350,000 | 0.110 | 12/07/20 | 1,350,000 | |||||||||||
|
| |||||||||||||
7,370,000 | ||||||||||||||
|
| |||||||||||||
Multi-State – 0.8% | ||||||||||||||
| Federal Home Loan Mortgage Corporation Variable Rate Tender | | ||||||||||||
11,565,000 | 0.140 | 12/07/20 | 11,565,000 | |||||||||||
|
| |||||||||||||
Nebraska – 1.0% | ||||||||||||||
| Nebraska Investment Finance Authority VRDN RB for Single | | ||||||||||||
13,675,000 | 0.100 | 12/07/20 | 13,675,000 | |||||||||||
|
| |||||||||||||
Nevada – 1.8% | ||||||||||||||
Las Vegas Valley Water District CP Series 2020 A | ||||||||||||||
24,970,000 | 0.170 | 01/06/21 | 24,969,616 | |||||||||||
|
| |||||||||||||
Municipal Debt Obligations – (continued) | ||||||||||||||
New York – 14.1% | ||||||||||||||
Nassau County GO RANS Series 2020 A | ||||||||||||||
10,000,000 | 2.000 | 12/09/20 | 10,001,797 | |||||||||||
Nassau County GO RANS Series 2020 C | ||||||||||||||
3,500,000 | 4.000 | 03/15/21 | 3,536,990 | |||||||||||
| Nassau County Interim Finance Authority Sales Tax Secured | | ||||||||||||
10,960,000 | 0.110 | 12/07/20 | 10,960,000 | |||||||||||
| Nassau County Interim Finance Authority Sales Tax Secured | | ||||||||||||
7,800,000 | 0.100 | 12/07/20 | 7,800,000 | |||||||||||
| New York City GO VRDN Series 2005 E Subseries E-2 (Bank of | | ||||||||||||
2,500,000 | 0.100 | 12/01/20 | 2,500,000 | |||||||||||
| New York City GO VRDN Series 2005 Subseries F-4A RMKT | | ||||||||||||
5,680,000 | 0.120 | 12/07/20 | 5,680,000 | |||||||||||
| New York City GO VRDN Series 2018 Subseries B-5 (Barclays | | ||||||||||||
2,500,000 | 0.100 | 12/01/20 | 2,500,000 | |||||||||||
| New York City Municipal Water Finance Authority Water & | | ||||||||||||
700,000 | 0.120 | 12/01/20 | 700,000 | |||||||||||
| New York City Municipal Water Finance Authority Water & | | ||||||||||||
31,950,000 | 0.150 | 12/07/20 | 31,950,000 | |||||||||||
| New York City Transitional Finance Authority Future Tax | | ||||||||||||
185,000 | 0.100 | 12/01/20 | 185,000 | |||||||||||
| New York City Trust for Cultural Resources VRDN RB for | | ||||||||||||
27,330,000 | 0.110 | 12/07/20 | 27,330,000 | |||||||||||
| New York City Trust for Cultural Resources VRDN RB | | ||||||||||||
12,670,000 | 0.110 | 12/07/20 | 12,670,000 | |||||||||||
| New York State Dormitory Authority Non-State Supported Debt | | ||||||||||||
16,595,000 | 0.090 | 12/07/20 | 16,595,000 | |||||||||||
| New York State Housing Finance Agency VRDN RB for 10 | | ||||||||||||
4,600,000 | 0.100 | 12/07/20 | 4,600,000 | |||||||||||
| New York State Housing Finance Agency VRDN RB for 100 | | ||||||||||||
9,000,000 | 0.110 | 12/07/20 | 9,000,000 | |||||||||||
| New York State Housing Finance Agency VRDN RB for 20 | | ||||||||||||
4,400,000 | 0.100 | 12/07/20 | 4,400,000 | |||||||||||
|
|
14 | The accompanying notes are an integral part of these financial statements. |
INVESTOR TAX-EXEMPT MONEY MARKET FUND
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
Municipal Debt Obligations – (continued) | ||||||||||||||
New York – (continued) | ||||||||||||||
| New York State Housing Finance Agency VRDN RB for 42nd & | | ||||||||||||
$ | 16,950,000 | 0.110 | % | 12/07/20 | $ | 16,950,000 | ||||||||
Power Authority of the State of New York CP Series 2020 A2 | ||||||||||||||
12,000,000 | 0.370 | 02/01/21 | 12,000,000 | |||||||||||
| Triborough Bridge & Tunnel Authority VRDN RB Refunding | | ||||||||||||
14,420,000 | 0.100 | 12/01/20 | 14,420,000 | |||||||||||
|
| |||||||||||||
193,778,787 | ||||||||||||||
|
| |||||||||||||
North Carolina – 2.9% | ||||||||||||||
| City of Raleigh Combined Enterprise System VRDN RB Series | | ||||||||||||
5,700,000 | 0.110 | 12/07/20 | 5,700,000 | |||||||||||
| City of Raleigh Combined Enterprise System VRDN RB Series | | ||||||||||||
26,780,000 | 0.110 | 12/07/20 | 26,780,000 | |||||||||||
| University of North Carolina at Chapel Hill VRDN RB Refunding | | ||||||||||||
7,080,000 | 0.070 | 12/07/20 | 7,080,000 | |||||||||||
|
| |||||||||||||
39,560,000 | ||||||||||||||
|
| |||||||||||||
Ohio – 6.0% | ||||||||||||||
| City of Columbus Sewerage System VRDN RB Refunding Series | | ||||||||||||
22,165,000 | 0.060 | 12/07/20 | 22,165,000 | |||||||||||
| County of Hamilton VRDN RB Refunding for Cincinnati | | ||||||||||||
13,065,000 | 0.100 | 12/07/20 | 13,065,000 | |||||||||||
| Franklin County Hospital VRDN RB Refunding for Ohio Health | | ||||||||||||
19,485,000 | 0.110 | 12/07/20 | 19,485,000 | |||||||||||
| Ohio State Higher Education Facilities CP for Cleveland Clinic | | ||||||||||||
1,190,000 | 0.140 | 12/03/20 | 1,190,000 | |||||||||||
Ohio State University VRDN RB Series 2014 B-1(a) | ||||||||||||||
10,350,000 | 0.070 | 12/07/20 | 10,350,000 | |||||||||||
State of Ohio GO VRDN for Common Schools Series 2006 C(a) | ||||||||||||||
7,125,000 | 0.100 | 12/07/20 | 7,125,000 | |||||||||||
| State of Ohio GO VRDN Refunding for Infrastructure | | ||||||||||||
9,765,000 | 0.100 | 12/07/20 | 9,765,000 | |||||||||||
|
| |||||||||||||
83,145,000 | ||||||||||||||
|
| |||||||||||||
South Carolina – 0.5% | ||||||||||||||
| City of Columbia, South Carolina Waterworks & Sewer System | | ||||||||||||
6,750,000 | 0.110 | 12/07/20 | 6,750,000 | |||||||||||
|
| |||||||||||||
Texas – 11.4% | ||||||||||||||
| Board of Regents of the University of Texas System VRDN RB | | ||||||||||||
15,000,000 | 0.080 | 12/07/20 | 15,000,000 | |||||||||||
|
| |||||||||||||
Municipal Debt Obligations – (continued) | ||||||||||||||
Texas – (continued) | ||||||||||||||
City of El Paso Texas Water & Sewer System CP Series A | ||||||||||||||
5,000,000 | 0.200 | 12/04/20 | 5,000,000 | |||||||||||
| Dallas Area Rapid Transit Sr. Sub. Lien Sales Tax Revenue CP | | ||||||||||||
500,000 | 0.200 | 02/02/21 | 500,000 | |||||||||||
| Dallas Area Rapid Transit Sr. Sub. Lien Sales Tax Revenue | | ||||||||||||
5,850,000 | 0.180 | 02/02/21 | 5,850,000 | |||||||||||
Dallas Texas Waterworks & Sewer System CP Series D-1 | ||||||||||||||
7,200,000 | 0.160 | 12/03/20 | 7,200,000 | |||||||||||
6,300,000 | 0.190 | 12/03/20 | 6,300,000 | |||||||||||
| Harris County Cultural Education Facilities Finance Corp. CP | | ||||||||||||
17,516,000 | 0.160 | 12/02/20 | 17,516,000 | |||||||||||
| Harris County Cultural Education Facilities Finance Corp. CP | | ||||||||||||
6,230,000 | 0.220 | 02/11/21 | 6,230,000 | |||||||||||
| Harris County Cultural Education Facilities Finance Corp. VRDN | | ||||||||||||
28,460,000 | 0.100 | 12/07/20 | 28,460,000 | |||||||||||
| Harris County Industrial Development Corp. VRDN PCRB for | | ||||||||||||
2,000,000 | 0.120 | 12/01/20 | 2,000,000 | |||||||||||
| Port of Port Arthur Navigation District VRDN RB Refunding for | | ||||||||||||
2,000,000 | 0.120 | 12/01/20 | 2,000,000 | |||||||||||
San Antonio, Texas (City of) CP Series A | ||||||||||||||
14,500,000 | 0.200 | 01/05/21 | 14,500,000 | |||||||||||
San Antonio, Texas (City of) CP Series B | ||||||||||||||
3,800,000 | 0.190 | 01/05/21 | 3,800,000 | |||||||||||
| Tarrant County Cultural Education Facilities Finance Corp. | | ||||||||||||
4,610,000 | 0.110 | 12/07/20 | 4,610,000 | |||||||||||
| Tarrant County Cultural Education Facilities Finance Corp. | | ||||||||||||
9,800,000 | 0.110 | 12/07/20 | 9,800,000 | |||||||||||
| Tarrant County Cultural Education Facilities Finance Corp. | | ||||||||||||
11,000,000 | 0.110 | 12/07/20 | 11,000,000 | |||||||||||
| Tarrant County Cultural Education Facilities Finance Corp., | | ||||||||||||
16,000,000 | 0.100 | 12/01/20 | 16,000,000 | |||||||||||
| University of Texas System VRDN RB Refunding for Financing | | ||||||||||||
1,270,000 | 0.100 | 12/07/20 | 1,270,000 | |||||||||||
|
| |||||||||||||
157,036,000 | ||||||||||||||
|
| |||||||||||||
Virginia – 5.8% | ||||||||||||||
| Fairfax County IDA VRDN RB Refunding for Inova Health | | ||||||||||||
6,445,000 | 0.120 | 12/07/20 | 6,445,000 | |||||||||||
| Fairfax County IDA VRDN RB Refunding for Inova Health | | ||||||||||||
15,300,000 | 0.120 | 12/07/20 | 15,300,000 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 15 |
INVESTOR TAX-EXEMPT MONEY MARKET FUND
Schedule of Investments (continued)
November 30, 2020
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
Municipal Debt Obligations – (continued) | ||||||||||||||
Virginia – (continued) | ||||||||||||||
| Loudoun County IDA VRDN RB for Howard Hughes Medical | | ||||||||||||
$ | 2,445,000 | 0.120 | % | 12/07/20 | $ | 2,445,000 | ||||||||
| Loudoun County IDA VRDN RB for Howard Hughes Medical | | ||||||||||||
2,025,000 | 0.110 | 12/07/20 | 2,025,000 | |||||||||||
| Norfolk Economic Development Authority Hospital Facilities | | ||||||||||||
34,250,000 | 0.120 | 12/07/20 | 34,250,000 | |||||||||||
| Norfolk Economic Development Authority Hospital Facilities | | ||||||||||||
2,580,000 | 0.100 | 12/07/20 | 2,580,000 | |||||||||||
| Virginia College Building Authority Educational Facilities VRDN | | ||||||||||||
16,120,000 | 0.100 | 12/07/20 | 16,120,000 | |||||||||||
|
| |||||||||||||
79,165,000 | ||||||||||||||
|
| |||||||||||||
Washington – 2.3% | ||||||||||||||
| King County GO VRDN RB Refunding Series 2019 A (TD Bank | | ||||||||||||
7,065,000 | 0.130 | 12/01/20 | 7,065,000 | |||||||||||
| Port of Tacoma VRDN Subordinate Lien RB Series 2008 B | | ||||||||||||
11,500,000 | 0.100 | 12/07/20 | 11,500,000 | |||||||||||
| Washington Health Care Facilities Authority Revenue Bonds | | ||||||||||||
13,000,000 | 0.110 | 12/07/20 | 13,000,000 | |||||||||||
|
| |||||||||||||
31,565,000 | ||||||||||||||
|
| |||||||||||||
Wisconsin – 0.4% | ||||||||||||||
| Wisconsin Housing & Economic Development Authority VRDN | | ||||||||||||
5,100,000 | 0.110 | 12/07/20 | 5,100,000 | |||||||||||
|
| |||||||||||||
TOTAL INVESTMENTS – 98.5% | $ | 1,355,644,403 | ||||||||||||
|
| |||||||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 1.5% | | 21,026,894 | |||||||||||
|
| |||||||||||||
NET ASSETS – 100.0% | $ | 1,376,671,297 | ||||||||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | Rate shown is that which is in effect on November 30, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. | |
(b) | Exempt from registration under Rule 144A of the Securities Act of 1933. |
Interest rates represent either the stated coupon rate, or for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities, or the prerefunded date for those types of securities.
| ||
Investment Abbreviations: | ||
BANS | — Bond Anticipation Notes | |
CP | — Commercial Paper | |
FHLB | — Insured by Federal Home Loan Bank | |
FHLMC | — Insured by Federal Home Loan Mortgage Corp. | |
FNMA | — Insured by Federal National Mortgage Association | |
GNMA | — Insured by Government National Mortgage Association | |
GO | — General Obligation | |
GTY AGMT | — Guaranty Agreement | |
IDA | — Industrial Development Agency | |
IDB | — Industrial Development Board | |
LIQ | — Liquidity Agreement | |
LOC | — Letter of Credit | |
PCRB | — Pollution Control Revenue Bond | |
RANS | — Revenue Anticipation Notes | |
RB | — Revenue Bond | |
RMKT | — Remarketed | |
SPA | — Stand-by Purchase Agreement | |
VRDN | — Variable Rate Demand Notes | |
|
16 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDS — INVESTOR FUNDS
ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT III — At November 30, 2020, the Investor Money Market Fund had undivided interests in the Joint Repurchase Agreement Account III, with a maturity date of December 1, 2020, as follows:
Principal Amount | Maturity Value | Collateral Value | ||
$326,000,000 | $326,000,906 | $335,534,260 |
REPURCHASE AGREEMENTS — At November 30, 2020, the Principal Amounts of the Investor Money Market Fund’s interest in the Joint Repurchase Agreement Account III were as follows:
Counterparty | Interest Rate | Principal Amount | ||||||
ABN Amro Bank N.V. | 0.100 | % | $102,629,630 | |||||
Bank of America, N.A. | 0.100 | 60,370,370 | ||||||
BofA Securities, Inc. | 0.100 | 42,259,259 | ||||||
Bank of Nova Scotia (The) | 0.100 | 120,740,741 | ||||||
TOTAL | $326,000,000 |
At November 30, 2020, the Joint Repurchase Agreement Account III was fully collateralized by:
Issuer | Interest Rates | Maturity Dates | ||||||
Federal Home Loan Mortgage Corp. | 2.000 to 5.500 | % | 01/01/24 to 12/01/50 | |||||
Federal National Mortgage Association | 2.000 to 5.500 | 07/01/25 to 10/01/50 | ||||||
Government National Mortgage Association | 2.000 to 4.000 | 07/20/45 to 08/20/50 | ||||||
U.S. Treasury Bills | 0.000 | 01/28/21 to 08/12/21 | ||||||
U.S. Treasury Bonds | 3.000 | 11/15/44 | ||||||
U.S. Treasury Inflation-Indexed Notes | 0.250 | 7/15/29 | ||||||
U.S. Treasury Notes | 0.125 to 2.750 | 11/30/22 to 05/15/29 |
The accompanying notes are an integral part of these financial statements. | 17 |
GOLDMAN SACHS FUNDS — INVESTOR FUNDS
Statements of Assets and Liabilities
November 30, 2020
Investor Money Market Fund | Investor Tax-Exempt Money Market Fund | |||||||||
Assets: | ||||||||||
Investments , at value (cost $1,397,772,626 and $1,355,644,403) | $ | 1,397,772,626 | $ | 1,355,644,403 | ||||||
Repurchase agreements , at value (cost $506,500,000 and $0) | 506,500,000 | — | ||||||||
Cash | — | 119,858 | ||||||||
Receivables: | ||||||||||
Fund shares sold | 887,461 | 1,707 | ||||||||
Reimbursement from investment advisor | 80,446 | 72,650 | ||||||||
Interest | 57,173 | 436,527 | ||||||||
Investments sold | — | 20,700,186 | ||||||||
Other assets | 145,387 | 85,744 | ||||||||
Total assets | 1,905,443,093 | 1,377,061,075 | ||||||||
Liabilities: | ||||||||||
Due to custodian | 169,270 | — | ||||||||
Payables: | ||||||||||
Investments purchased | 17,000,000 | — | ||||||||
Fund shares redeemed | 7,303,952 | 106,157 | ||||||||
Management fees | 256,129 | 125,861 | ||||||||
Distribution and Service fees and Transfer Agency fees | 154,041 | 20,460 | ||||||||
Dividend distribution | 6,981 | 6,080 | ||||||||
Accrued expenses | 95,557 | 131,220 | ||||||||
Total liabilities | 24,985,930 | 389,778 | ||||||||
Net Assets: | ||||||||||
Paid-in capital | 1,880,003,696 | 1,376,591,913 | ||||||||
Total distributable earnings (loss) | 453,467 | 79,384 | ||||||||
NET ASSETS | $ | 1,880,457,163 | $ | 1,376,671,297 | ||||||
Net asset value, offering and redemption price per share | $1.00 | $1.00 | ||||||||
Net Assets: | ||||||||||
Class A Shares | $ | 221,008,092 | $ | 10,756,462 | ||||||
Class C Shares | 38,986 | 28,534 | ||||||||
Class I Shares | 1,527,627,980 | 1,361,639,354 | ||||||||
Capital Shares | — | 1,032 | ||||||||
Service Shares | 50,167,259 | 820,205 | ||||||||
Preferred Shares | — | 277,783 | ||||||||
Select Shares | — | 1,038 | ||||||||
Administration Shares | 31,792,214 | 304,948 | ||||||||
Cash Management Shares | 49,811,966 | 1,012 | ||||||||
Premier Shares | — | 1,026 | ||||||||
Resource Shares | 10,666 | 2,839,903 | ||||||||
Total Net Assets | $ | 1,880,457,163 | $ | 1,376,671,297 | ||||||
Shares outstanding $0.001 par value (unlimited number of shares authorized): | ||||||||||
Class A Shares | 220,971,286 | 10,755,439 | ||||||||
Class C Shares | 38,980 | 28,531 | ||||||||
Class I Shares | 1,527,373,661 | 1,361,510,445 | ||||||||
Capital Shares | — | 1,032 | ||||||||
Service Shares | 50,158,937 | 820,127 | ||||||||
Preferred Shares | — | 277,757 | ||||||||
Select Shares | — | 1,038 | ||||||||
Administration Shares | 31,786,940 | 304,919 | ||||||||
Cash Management Shares | 49,803,704 | 1,012 | ||||||||
Premier Shares | — | 1,025 | ||||||||
Resource Shares | 10,664 | 2,839,634 |
18 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDS — INVESTOR FUNDS
Statements of Operations
Investor Money Market Fund | Investor Tax-Exempt Money Market Fund | |||||||||||||||||||||
For the Period Ended November 30, 2020† | Year Ended August 31, 2020 | For the Period Ended November 30, 2020† | Year Ended August 31, 2020 | |||||||||||||||||||
Investment Income: | ||||||||||||||||||||||
Interest income | $ | 883,328 | $ | 25,799,932 | $ | 515,190 | $ | 13,935,288 | ||||||||||||||
Expenses: | ||||||||||||||||||||||
Fund-Level Expenses: | ||||||||||||||||||||||
Management fees | 856,120 | 3,199,156 | 593,475 | 2,453,379 | ||||||||||||||||||
Registration fees | 142,007 | 467,748 | 51,927 | 170,453 | ||||||||||||||||||
Printing and mailing fees | 66,420 | 67,702 | 62,333 | 33,041 | ||||||||||||||||||
Transfer Agency fees | 53,507 | 199,948 | 37,089 | 153,336 | ||||||||||||||||||
Professional fees | 51,190 | 109,099 | 51,185 | 108,959 | ||||||||||||||||||
Custody, accounting and administrative services | 26,860 | 110,160 | 28,389 | 113,523 | ||||||||||||||||||
Trustee fees | 5,902 | 22,901 | 5,469 | 22,193 | ||||||||||||||||||
Shareholder meeting expense | — | 19,361 | — | 4,827 | ||||||||||||||||||
Other | — | 2,129 | 21,380 | 38,704 | ||||||||||||||||||
Subtotal | 1,202,006 | 4,198,204 | 851,247 | 3,098,415 | ||||||||||||||||||
Class Specific Expenses: | ||||||||||||||||||||||
Distribution and Service fees — Class A Shares | 145,540 | 638,157 | 8,502 | 45,214 | ||||||||||||||||||
Cash Management Share fees | 55,719 | 170,753 | 1 | 5 | ||||||||||||||||||
Service Share fees | 33,889 | 123,897 | 507 | 2,484 | ||||||||||||||||||
Shareholder Administration Plan fees — Service Shares | 33,889 | 123,897 | 507 | 2,484 | ||||||||||||||||||
Distribution fees — Cash Management Shares | 33,432 | 102,452 | 1 | 3 | ||||||||||||||||||
Administration Share fees | 20,444 | 91,068 | 189 | 759 | ||||||||||||||||||
Distribution fees — Class C Shares | 110 | 244 | 71 | 282 | ||||||||||||||||||
Resource Share fees | 13 | 53 | 4,019 | 13,468 | ||||||||||||||||||
Distribution fees — Resource Shares | 4 | 16 | 1,206 | 4,041 | ||||||||||||||||||
Preferred Share fees | — | — | 40 | 417 | ||||||||||||||||||
Premier Share fees | — | — | 1 | 4 | ||||||||||||||||||
Capital Share fees | — | — | — | 2 | ||||||||||||||||||
Total expenses | 1,525,046 | 5,448,741 | 866,291 | 3,167,578 | ||||||||||||||||||
Less — expense reductions | (482,857 | ) | (656,593 | ) | (373,732 | ) | (329,082 | ) | ||||||||||||||
Net expenses | 1,042,189 | 4,792,148 | 492,559 | 2,838,496 | ||||||||||||||||||
NET INVESTMENT INCOME (LOSS) | $ | (158,861 | ) | $ | 21,007,784 | $ | 22,631 | $ | 11,096,792 | |||||||||||||
Net realized gain from investment transactions | 31,683 | 1,236,233 | 78,076 | 7,987 | ||||||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (127,178 | ) | $ | 22,244,017 | $ | 100,707 | $ | 11,104,779 |
† | The Funds changed their fiscal year end from August 31 to November 30. |
The accompanying notes are an integral part of these financial statements. | 19 |
GOLDMAN SACHS FUNDS — INVESTOR FUNDS
Statements of Changes in Net Assets
Investor Money Market Fund | Investor Tax-Exempt Money Market Fund | |||||||||||||||||||||||||||||
For the Period Ended November 30, 2020† | For the Fiscal Year Ended August 31, 2020 | For the Fiscal Year Ended August 31, 2019 | For the Period Ended November 30, 2020† | For the Fiscal Year Ended August 31, 2020 | For the Fiscal Year Ended August 31, 2019 | |||||||||||||||||||||||||
From operations: |
| |||||||||||||||||||||||||||||
Net investment income (loss) | $ | (158,861 | ) | $ | 21,007,784 | $ | 22,874,367 | $ | 22,631 | $ | 11,096,792 | $ | 16,974,385 | |||||||||||||||||
Net realized gain from investment transactions | 31,683 | 1,236,233 | 65,956 | 78,076 | 7,987 | 7 | ||||||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (127,178 | ) | 22,244,017 | 22,940,323 | 100,707 | 11,104,779 | 16,974,392 | |||||||||||||||||||||||
Distributions to shareholders: |
| |||||||||||||||||||||||||||||
From distributable earnings: | ||||||||||||||||||||||||||||||
Class A Shares | (9,371 | ) | (2,297,830 | ) | (1,234,215 | ) | (208 | ) | (76,231 | ) | (74,792 | ) | ||||||||||||||||||
Class C Shares | (2 | ) | (63 | ) | (142 | ) | (1 | ) | (39 | ) | (35 | ) | ||||||||||||||||||
Class I Shares | (359,733 | ) | (18,363,630 | ) | (19,336,326 | ) | (22,351 | ) | (11,004,509 | ) | (16,864,762 | ) | ||||||||||||||||||
Capital Shares | — | — | — | (1 | ) | (10 | ) | (17 | ) | |||||||||||||||||||||
Service Shares | (2,182 | ) | (314,654 | ) | (44,257 | ) | (12 | ) | (4,489 | ) | (14,435 | ) | ||||||||||||||||||
Preferred Shares | — | — | — | (3 | ) | (1,884 | ) | (820 | ) | |||||||||||||||||||||
Select Shares | — | — | — | (1 | ) | (10 | ) | (33 | ) | |||||||||||||||||||||
Administration Shares | (1,317 | ) | (335,476 | ) | (2,153,706 | ) | (5 | ) | (1,676 | ) | (2,245 | ) | ||||||||||||||||||
Cash Management Shares | (1,794 | ) | (138,019 | ) | (154,020 | ) | (1 | ) | (6 | ) | (10 | ) | ||||||||||||||||||
Premier Shares | — | — | — | (1 | ) | (8 | ) | (13 | ) | |||||||||||||||||||||
Resource Shares | (1 | ) | (72 | ) | (183 | ) | (48 | ) | (7,929 | ) | (17,222 | ) | ||||||||||||||||||
Total distributions to shareholders | (374,400 | ) | (21,449,744 | ) | (22,922,849 | ) | (22,632 | ) | (11,096,791 | ) | (16,974,384 | ) | ||||||||||||||||||
From share transactions |
| |||||||||||||||||||||||||||||
Proceeds from sales of shares | 303,870,341 | 4,020,278,618 | 2,562,005,279 | 409,431,141 | 2,567,445,330 | 1,938,594,915 | ||||||||||||||||||||||||
Reinvestment of distributions | 336,663 | 19,673,459 | 19,492,259 | 3,254 | 2,076,003 | 2,489,065 | ||||||||||||||||||||||||
Cost of shares redeemed | (840,527,434 | ) | (3,193,030,924 | ) | (1,657,812,828 | ) | (564,972,424 | ) | (2,501,565,155 | ) | (1,534,774,415 | ) | ||||||||||||||||||
Net increase (decrease) in net assets resulting from share transactions | (536,320,430 | ) | 846,921,153 | 923,684,710 | (155,538,029 | ) | 67,956,178 | 406,309,565 | ||||||||||||||||||||||
NET INCREASE (DECREASE) | (536,822,008 | ) | 847,715,426 | 923,702,184 | (155,459,954 | ) | 67,964,166 | 406,309,573 | ||||||||||||||||||||||
Net assets: |
| |||||||||||||||||||||||||||||
Beginning of period | 2,417,279,171 | 1,569,563,745 | 645,861,561 | 1,532,131,251 | 1,464,167,085 | 1,057,857,512 | ||||||||||||||||||||||||
End of period | $ | 1,880,457,163 | $ | 2,417,279,171 | $ | 1,569,563,745 | $ | 1,376,671,297 | $ | 1,532,131,251 | $ | 1,464,167,085 |
† | The Funds changed their fiscal year end from August 31 to November 30. |
20 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INVESTOR MONEY MARKET FUND
For the Period Ended November 30, 2020† | Year Ended August 31, | Period Ended August 31, 2016* | ||||||||||||||||||||||||
Investor Money Market Fund — Class A Shares | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.009 | 0.021 | 0.016 | 0.008 | 0.001 | |||||||||||||||||||
Net realized gain (loss) | — | (b) | 0.001 | — | (b) | (0.003 | ) | (0.002 | ) | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.010 | 0.021 | 0.013 | 0.006 | 0.001 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.010 | ) | (0.021 | ) | (0.013 | ) | (0.006 | ) | (0.001 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.010 | ) | (0.021 | ) | (0.013 | ) | (0.006 | ) | (0.001 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.98 | % | 2.14 | % | 1.36 | % | 0.62 | % | 0.09 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 221,008 | $ | 249,228 | $ | 169,451 | $ | 7,933 | $ | 563 | $ | 50 | ||||||||||||||
Ratio of net expenses to average net assets | 0.24 | %(f) | 0.42 | % | 0.43 | % | 0.43 | % | 0.43 | % | 0.43 | %(f) | ||||||||||||||
Ratio of total expenses to average net assets | 0.47 | %(f) | 0.46 | % | 0.46 | % | 0.54 | % | 0.76 | % | 5.13 | %(f) | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.08 | )%(f) | 0.88 | % | 2.12 | % | 1.59 | % | 0.81 | % | 0.16 | %(f) |
† | The Fund changed its fiscal year end from August 31 to November 30. |
* | Commenced operations on January 29, 2016. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
For the Period Ended | Year Ended August 31, | Period Ended August 31, 2016* | ||||||||||||||||||||||||
Investor Money Market Fund — Class C Shares | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.003 | 0.014 | 0.004 | — | (b) | — | (b) | |||||||||||||||||
Net realized gain | — | (b) | 0.002 | — | (b) | 0.002 | 0.001 | — | (b) | |||||||||||||||||
Total from investment operations | — | (b) | 0.005 | 0.014 | 0.006 | 0.001 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.005 | ) | (0.014 | ) | (0.006 | ) | (0.001 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.005 | ) | (0.014 | ) | (0.006 | ) | (0.001 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.46 | % | 1.38 | % | 0.60 | % | 0.06 | % | 0.05 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 39 | $ | 53 | $ | 10 | $ | 10 | $ | 64 | $ | 50 | ||||||||||||||
Ratio of net expenses to average net assets | 0.24 | %(f) | 0.79 | % | 1.18 | % | 1.18 | % | 1.02 | % | 0.58 | %(f) | ||||||||||||||
Ratio of total expenses to average net assets | 1.22 | %(f) | 1.21 | % | 1.21 | % | 1.29 | % | 1.51 | % | 5.88 | %(f) | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.08 | )%(f) | 0.24 | % | 1.38 | % | 0.40 | % | 0.04 | % | 0.01 | %(f) |
† | The Fund changed its fiscal year end from August 31 to November 30. |
* | Commenced operations on January 29, 2016. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
The accompanying notes are an integral part of these financial statements. | 21 |
GOLDMAN SACHS INVESTOR MONEY MARKET FUND
Financial Highlights (continued)
For the Period Ended November 30, 2020† | Year Ended August 31, | Period Ended August 31, 2016* | ||||||||||||||||||||||||
Investor Money Market Fund — Class I Shares | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.011 | 0.024 | 0.017 | 0.009 | 0.002 | |||||||||||||||||||
Net realized gain (loss) | — | (b) | 0.001 | — | (b) | (0.001 | ) | — | (b) | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.012 | 0.024 | 0.016 | 0.009 | 0.002 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.012 | ) | (0.024 | ) | (0.016 | ) | (0.009 | ) | (0.002 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.012 | ) | (0.024 | ) | (0.016 | ) | (0.009 | ) | (0.002 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | 0.02 | % | 1.22 | % | 2.40 | % | 1.61 | % | 0.87 | % | 0.24 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 1,527,628 | $ | 2,025,657 | $ | 1,316,874 | $ | 504,770 | $ | 216,443 | $ | 10,679 | ||||||||||||||
Ratio of net expenses to average net assets | 0.18 | %(e) | 0.18 | % | 0.18 | % | 0.18 | % | 0.18 | % | 0.18 | %(e) | ||||||||||||||
Ratio of total expenses to average net assets | 0.22 | %(e) | 0.21 | % | 0.21 | % | 0.29 | % | 0.51 | % | 4.88 | %(e) | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.02 | )%(e) | 1.11 | % | 2.37 | % | 1.68 | % | 0.90 | % | 0.41 | %(e) |
† | The Fund changed its fiscal year end from August 31 to November 30. |
* | Commenced operations on January 29, 2016. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Annualized. |
For the Period Ended November 30, 2020† | Year Ended August 31, | Period Ended August 31, 2016* | ||||||||||||||||||||||||
Investor Money Market Fund — Service Shares | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.006 | 0.018 | 0.009 | 0.004 | — | (b) | ||||||||||||||||||
Net realized gain | — | (b) | 0.002 | 0.001 | 0.002 | — | (b) | — | (b) | |||||||||||||||||
Total from investment operations | — | (b) | 0.008 | 0.019 | 0.011 | 0.004 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.008 | ) | (0.019 | ) | (0.011 | ) | (0.004 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.008 | ) | (0.019 | ) | (0.011 | ) | (0.004 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.78 | % | 1.89 | % | 1.11 | % | 0.39 | % | 0.05 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 50,167 | $ | 56,453 | $ | 30,615 | $ | 11 | $ | 50 | $ | 50 | ||||||||||||||
Ratio of net expenses to average net assets | 0.24 | %(f) | 0.62 | % | 0.68 | % | 0.68 | % | 0.68 | % | 0.61 | %(f) | ||||||||||||||
Ratio of total expenses to average net assets | 0.72 | %(f) | 0.71 | % | 0.71 | % | 0.79 | % | 1.01 | % | 5.38 | %(f) | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.08 | )%(f) | 0.62 | % | 1.75 | % | 0.92 | % | 0.36 | % | 0.02 | %(f) |
† | The Fund changed its fiscal year end from August 31 to November 30. |
* | Commenced operations on May 31, 2016. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
22 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INVESTOR MONEY MARKET FUND
Financial Highlights (continued)
For the Period Ended November 30, 2020† | Year Ended August 31, | Period Ended August 31, 2016* | ||||||||||||||||||||||||
Investor Money Market Fund — Administration Shares | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.009 | 0.021 | 0.014 | 0.007 | 0.001 | |||||||||||||||||||
Net realized gain (loss) | — | (b) | 0.001 | — | (b) | (0.001 | ) | (0.001 | ) | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.010 | 0.021 | 0.013 | 0.006 | 0.001 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.010 | ) | (0.021 | ) | (0.013 | ) | (0.006 | ) | (0.001 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.010 | ) | (0.021 | ) | (0.013 | ) | (0.006 | ) | (0.001 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.98 | % | 2.14 | % | 1.36 | % | 0.62 | % | 0.09 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 31,792 | $ | 33,860 | $ | 31,188 | $ | 132,200 | $ | 100,351 | $ | 50 | ||||||||||||||
Ratio of net expenses to average net assets | 0.24 | %(f) | 0.42 | % | 0.43 | % | 0.43 | % | 0.43 | % | 0.43 | %(f) | ||||||||||||||
Ratio of total expenses to average net assets | 0.47 | %(f) | 0.46 | % | 0.46 | % | 0.54 | % | 0.76 | % | 5.13 | %(f) | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.08 | )%(f) | 0.90 | % | 2.12 | % | 1.37 | % | 0.72 | % | 0.16 | %(f) |
† | The Fund changed its fiscal year end from August 31 to November 30. |
* | Commenced operations on January 29, 2016. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
For the Period Ended November 30, 2020† | Year Ended August 31, | Period Ended August 31, 2016* | ||||||||||||||||||||||||
Investor Money Market Fund — Cash Management Shares | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.004 | 0.016 | 0.009 | 0.002 | — | (b) | ||||||||||||||||||
Net realized gain (loss) | — | (b) | 0.002 | — | (b) | (0.001 | ) | (0.001 | ) | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.006 | 0.016 | 0.008 | 0.001 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.006 | ) | (0.016 | ) | (0.008 | ) | (0.001 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.006 | ) | (0.016 | ) | (0.008 | ) | (0.001 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.58 | % | 1.58 | % | 0.81 | % | 0.15 | % | 0.05 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 49,812 | $ | 52,017 | $ | 21,414 | $ | 927 | $ | 91 | $ | 50 | ||||||||||||||
Ratio of net expenses to average net assets | 0.24 | %(f) | 0.76 | % | 0.98 | % | 0.98 | % | 0.95 | % | 0.62 | %(f) | ||||||||||||||
Ratio of total expenses to average net assets | 1.02 | %(f) | 1.01 | % | 1.01 | % | 1.09 | % | 1.31 | % | 5.68 | %(f) | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.08 | )%(f) | 0.38 | % | 1.60 | % | 0.88 | % | 0.18 | % | 0.01 | %(f) |
† | The Fund changed its fiscal year end from August 31 to November 30. |
* | Commenced operations on May 31, 2016. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
The accompanying notes are an integral part of these financial statements. | 23 |
GOLDMAN SACHS INVESTOR MONEY MARKET FUND
Financial Highlights (continued)
For the Period Ended November 30, 2020† | Year Ended August 31, | Period Ended August 31, 2016* | ||||||||||||||||||||||||
Investor Money Market Fund — Resource Shares | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.007 | 0.017 | 0.008 | 0.002 | — | (b) | ||||||||||||||||||
Net realized gain | — | (b) | — | (b) | — | (b) | 0.002 | 0.001 | — | (b) | ||||||||||||||||
Total from investment operations | — | (b) | 0.007 | 0.017 | 0.010 | 0.003 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.007 | ) | (0.017 | ) | (0.010 | ) | (0.003 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||||
Total distributions(c) | — | (b) | (0.007 | ) | (0.017 | ) | (0.010 | ) | (0.003 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.67 | % | 1.74 | % | 0.96 | % | 0.26 | % | 0.05 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 11 | $ | 11 | $ | 11 | $ | 11 | $ | 50 | $ | 50 | ||||||||||||||
Ratio of net expenses to average net assets | 0.23 | %(f) | 0.73 | % | 0.81 | % | 0.83 | % | 0.82 | % | 0.62 | %(f) | ||||||||||||||
Ratio of total expenses to average net assets | 0.87 | %(f) | 0.86 | % | 0.86 | % | 0.94 | % | 1.16 | % | 5.53 | %(f) | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.07 | )%(f) | 0.66 | % | 1.75 | % | 0.77 | % | 0.22 | % | 0.01 | %(f) |
† | The Fund changed its fiscal year end from August 31 to November 30. |
* | Commenced operations on May 31, 2016. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
24 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INVESTOR TAX-EXEMPT MONEY MARKET FUND
Financial Highlights (continued)
For the Period Ended November 30, 2020† | Year Ended August 31, | Period Ended August 31, 2016* | ||||||||||||||||||||||||
Investor Tax-Exempt Money Market Fund — Class A Shares | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.005 | 0.012 | 0.008 | 0.004 | — | (b) | ||||||||||||||||||
Net realized gain | — | (b) | 0.001 | — | (b) | — | (b) | — | (b) | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.006 | 0.012 | 0.008 | 0.004 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.006 | ) | (0.012 | ) | (0.008 | ) | (0.003 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | — | — | (b) | — | (b) | (0.001 | ) | — | (b) | ||||||||||||||||
Total distributions(c) | — | (b) | (0.006 | ) | (0.012 | ) | (0.008 | ) | (0.004 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.55 | % | 1.16 | % | 0.78 | % | 0.38 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 10,756 | $ | 16,678 | $ | 14,846 | $ | 2,296 | $ | 643 | $ | 10 | ||||||||||||||
Ratio of net expenses to average net assets | 0.13 | %(f) | 0.36 | % | 0.43 | % | 0.43 | % | 0.43 | % | 0.30 | %(f) | ||||||||||||||
Ratio of total expenses to average net assets | 0.48 | %(f) | 0.45 | % | 0.45 | % | 0.47 | % | 0.54 | % | 0.49 | %(f) | ||||||||||||||
Ratio of net investment income to average net assets | 0.01 | %(f) | 0.42 | % | 1.11 | % | 0.82 | % | 0.35 | % | 0.04 | %(f) |
† | The Fund changed its fiscal year end from August 31 to November 30. |
* | Commenced operations on March 31, 2016. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
For the Period Ended November 30, 2020† | Year Ended August 31, | Period Ended August 31, 2016* | ||||||||||||||||||||||||
Investor Tax-Exempt Money Market Fund — Class C Shares | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.001 | 0.004 | 0.001 | — | (b) | — | (b) | |||||||||||||||||
Net realized gain | — | (b) | — | (b) | — | (b) | — | (b) | 0.001 | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.001 | 0.004 | 0.001 | 0.001 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.001 | ) | (0.004 | ) | (0.001 | ) | — | (b) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | — | — | (b) | — | (b) | (0.001 | ) | — | (b) | ||||||||||||||||
Total distributions(c) | — | (b) | (0.001 | ) | (0.004 | ) | (0.001 | ) | (0.001 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.12 | % | 0.41 | % | 0.13 | % | 0.07 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 29 | $ | 29 | $ | 9 | $ | 9 | $ | 9 | $ | 10 | ||||||||||||||
Ratio of net expenses to average net assets | 0.13 | %(f) | 0.55 | % | 1.19 | % | 1.06 | % | 0.72 | % | 0.31 | %(f) | ||||||||||||||
Ratio of total expenses to average net assets | 1.23 | %(f) | 1.20 | % | 1.20 | % | 1.22 | % | 1.29 | % | 1.24 | %(f) | ||||||||||||||
Ratio of net investment income to average net assets | 0.01 | %(f) | 0.14 | % | 0.39 | % | 0.15 | % | 0.04 | % | 0.04 | %(f) |
† | The Fund changed its fiscal year end from August 31 to November 30. |
* | Commenced operations on March 31, 2016. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
The accompanying notes are an integral part of these financial statements. | 25 |
GOLDMAN SACHS INVESTOR TAX-EXEMPT MONEY MARKET FUND
Financial Highlights (continued)
For the Period Ended November 30, 2020† | Year Ended August 31, | |||||||||||||||||||||||||
Investor Tax-Exempt Money Market Fund — Class I Shares | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.007 | 0.014 | 0.010 | 0.006 | 0.001 | |||||||||||||||||||
Net realized gain | — | (b) | — | (b) | — | (b) | — | (b) | 0.001 | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.007 | 0.014 | 0.010 | 0.007 | 0.001 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.007 | ) | (0.014 | ) | (0.010 | ) | (0.006 | ) | (0.001 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | — | — | (b) | — | (b) | (0.001 | ) | — | (b) | ||||||||||||||||
Total distributions(c) | — | (b) | (0.007 | ) | (0.014 | ) | (0.010 | ) | (0.007 | ) | (0.001 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.75 | % | 1.42 | % | 1.03 | % | 0.63 | % | 0.11 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 1,361,639 | $ | 1,511,106 | $ | 1,444,641 | $ | 1,052,229 | $ | 924,326 | $ | 1,387,634 | ||||||||||||||
Ratio of net expenses to average net assets | 0.13 | %(f) | 0.18 | % | 0.18 | % | 0.18 | % | 0.18 | % | 0.11 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.23 | %(f) | 0.20 | % | 0.20 | % | 0.22 | % | 0.29 | % | 0.24 | % | ||||||||||||||
Ratio of net investment income to average net assets | 0.01 | %(f) | 0.73 | % | 1.40 | % | 1.02 | % | 0.57 | % | 0.07 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
For the Period Ended November 30, 2020† | Year Ended August 31, | |||||||||||||||||||||||||
Investor Tax-Exempt Money Market Fund — Capital Shares | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | 0.001 | 0.010 | 0.017 | 0.013 | 0.003 | — | (b) | |||||||||||||||||||
Net realized gain | — | (b) | — | (b) | — | (b) | — | (b) | 0.002 | — | (b) | |||||||||||||||
Total from investment operations | 0.001 | 0.010 | 0.017 | 0.013 | 0.005 | — | (b) | |||||||||||||||||||
Distributions to shareholders from net investment income | (0.001 | ) | (0.010 | ) | (0.017 | ) | (0.013 | ) | (0.004 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | — | — | (b) | — | (b) | (0.001 | ) | — | (b) | ||||||||||||||||
Total distributions(c) | (0.001 | ) | (0.010 | ) | (0.017 | ) | (0.013 | ) | (0.005 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.62 | % | 1.27 | % | 0.88 | % | 0.48 | % | 0.04 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 886 | ||||||||||||||
Ratio of net expenses to average net assets | 0.13 | %(f) | 0.18 | % | 0.18 | % | 0.18 | % | 0.33 | % | 0.19 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.38 | %(f) | 0.35 | % | 0.35 | % | 0.37 | % | 0.44 | % | 0.39 | % | ||||||||||||||
Ratio of net investment income to average net assets | 0.35 | %(f) | 0.99 | % | 1.69 | % | 1.31 | % | 0.30 | % | 0.04 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INVESTOR TAX-EXEMPT MONEY MARKET FUND
Financial Highlights (continued)
For the Period Ended November 30, 2020† | Year Ended August 31, | |||||||||||||||||||||||||
Investor Tax-Exempt Money Market Fund — Service Shares | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.005 | 0.009 | 0.005 | — | (b) | — | (b) | |||||||||||||||||
Net realized gain (loss) | — | (b) | (0.001 | ) | — | (b) | — | (b) | 0.002 | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.004 | 0.009 | 0.005 | 0.002 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.004 | ) | (0.009 | ) | (0.005 | ) | (0.001 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | — | — | (b) | — | (b) | (0.001 | ) | — | (b) | ||||||||||||||||
Total distributions(c) | — | (b) | (0.004 | ) | (0.009 | ) | (0.005 | ) | (0.002 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.39 | % | 0.91 | % | 0.53 | % | 0.15 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 820 | $ | 818 | $ | 2,102 | $ | 836 | $ | 841 | $ | 58,173 | ||||||||||||||
Ratio of net expenses to average net assets | 0.13 | %(f) | 0.56 | % | 0.68 | % | 0.68 | % | 0.63 | % | 0.21 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.73 | %(f) | 0.70 | % | 0.70 | % | 0.72 | % | 0.79 | % | 0.74 | % | ||||||||||||||
Ratio of net investment income to average net assets | 0.01 | %(f) | 0.45 | % | 0.91 | % | 0.52 | % | 0.04 | % | 0.01 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
For the Period Ended November 30, 2020† | Year Ended August 31, | |||||||||||||||||||||||||
Investor Tax-Exempt Money Market Fund — Preferred Shares | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.005 | 0.013 | 0.009 | 0.005 | 0.001 | |||||||||||||||||||
Net realized gain | — | (b) | 0.002 | — | (b) | — | (b) | 0.001 | — | (b) | ||||||||||||||||
Total from investment operations | — | (b) | 0.007 | 0.013 | 0.009 | 0.006 | 0.001 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.007 | ) | (0.013 | ) | (0.009 | ) | (0.005 | ) | (0.001 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | — | — | (b) | — | (b) | (0.001 | ) | — | (b) | ||||||||||||||||
Total distributions(c) | — | (b) | (0.007 | ) | (0.013 | ) | (0.009 | ) | (0.006 | ) | (0.001 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.66 | % | 1.32 | % | 0.93 | % | 0.53 | % | 0.06 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 278 | $ | 91 | $ | 61 | $ | 68 | $ | 37 | $ | 46 | ||||||||||||||
Ratio of net expenses to average net assets | 0.13 | %(f) | 0.26 | % | 0.28 | % | 0.28 | % | 0.28 | % | 0.13 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.33 | %(f) | 0.30 | % | 0.30 | % | 0.32 | % | 0.39 | % | 0.34 | % | ||||||||||||||
Ratio of net investment income to average net assets | 0.01 | %(f) | 0.45 | % | 1.31 | % | 0.93 | % | 0.48 | % | 0.03 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS INVESTOR TAX-EXEMPT MONEY MARKET FUND
Financial Highlights (continued)
For the Period Ended November 30, 2020† | Year Ended August 31, | |||||||||||||||||||||||||
Investor Tax-Exempt Money Market Fund — Select Shares | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | 0.001 | 0.010 | 0.016 | 0.009 | 0.006 | 0.001 | ||||||||||||||||||||
Net realized gain | — | (b) | — | (b) | — | (b) | 0.001 | — | (b) | — | (b) | |||||||||||||||
Total from investment operations | 0.001 | 0.010 | 0.016 | 0.010 | 0.006 | 0.001 | ||||||||||||||||||||
Distributions to shareholders from net investment income | (0.001 | ) | (0.010 | ) | (0.016 | ) | (0.010 | ) | (0.005 | ) | (0.001 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | — | — | (b) | — | (b) | (0.001 | ) | — | (b) | ||||||||||||||||
Total distributions(c) | (0.001 | ) | (0.010 | ) | (0.016 | ) | (0.010 | ) | (0.006 | ) | (0.001 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.72 | % | 1.39 | % | 1.00 | % | 0.60 | % | 0.09 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 1 | $ | 1 | $ | 1 | $ | 3 | $ | 5,401 | $ | – | ||||||||||||||
Ratio of net expenses to average net assets | 0.13 | %(f) | 0.18 | % | 0.18 | % | 0.21 | % | 0.21 | % | 0.11 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.26 | %(f) | 0.23 | % | 0.23 | % | 0.25 | % | 0.32 | % | 0.27 | % | ||||||||||||||
Ratio of net investment income to average net assets | 0.35 | %(f) | 0.97 | % | 1.50 | % | 0.95 | % | 0.62 | % | 0.01 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
For the Period Ended November 30, 2020† | Year Ended August 31, | |||||||||||||||||||||||||
Investor Tax-Exempt Money Market Fund — Administration Shares | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.006 | 0.012 | 0.008 | 0.003 | — | (b) | ||||||||||||||||||
Net realized gain | — | (b) | — | (b) | — | (b) | — | (b) | 0.001 | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.006 | 0.012 | 0.008 | 0.004 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.006 | ) | (0.012 | ) | (0.008 | ) | (0.003 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | — | — | (b) | — | (b) | (0.001 | ) | — | (b) | ||||||||||||||||
Total distributions(c) | — | (b) | (0.006 | ) | (0.012 | ) | (0.008 | ) | (0.004 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.55 | % | 1.16 | % | 0.78 | % | 0.38 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 305 | $ | 305 | $ | 298 | $ | 2 | $ | 3,575 | $ | 13,041 | ||||||||||||||
Ratio of net expenses to average net assets | 0.13 | %(f) | 0.37 | % | 0.43 | % | 0.43 | % | 0.43 | % | 0.18 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.48 | %(f) | 0.45 | % | 0.45 | % | 0.47 | % | 0.54 | % | 0.49 | % | ||||||||||||||
Ratio of net investment income to average net assets | 0.01 | %(f) | 0.55 | % | 1.18 | % | 0.75 | % | 0.30 | % | 0.01 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INVESTOR TAX-EXEMPT MONEY MARKET FUND
Financial Highlights (continued)
For the Period Ended November 30, 2020† | Year Ended August 31, | |||||||||||||||||||||||||
Investor Tax-Exempt Money Market Fund — Cash Management Shares | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | 0.001 | 0.004 | 0.010 | 0.002 | — | (b) | — | (b) | ||||||||||||||||||
Net realized gain | — | (b) | 0.001 | — | (b) | 0.001 | 0.001 | — | (b) | |||||||||||||||||
Total from investment operations | 0.001 | 0.005 | 0.010 | 0.003 | 0.001 | — | (b) | |||||||||||||||||||
Distributions to shareholders from net investment income | (0.001 | ) | (0.005 | ) | (0.010 | ) | (0.003 | ) | — | (b) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | — | — | (b) | — | (b) | (0.001 | ) | — | (b) | ||||||||||||||||
Total distributions(c) | (0.001 | ) | (0.005 | ) | (0.010 | ) | (0.003 | ) | (0.001 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.22 | % | 0.61 | % | 0.24 | % | 0.09 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 54 | $ | 1 | ||||||||||||||
Ratio of net expenses to average net assets | 0.13 | %(f) | 0.66 | % | 0.90 | % | 0.96 | % | 0.77 | % | 0.12 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.03 | %(f) | 1.00 | % | 1.00 | % | 1.02 | % | 1.09 | % | 1.04 | % | ||||||||||||||
Ratio of net investment income to average net assets | 0.36 | %(f) | 0.54 | % | 0.96 | % | 0.24 | % | 0.01 | % | 0.37 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
For the Period Ended November 30, 2020† | Year Ended August 31, | |||||||||||||||||||||||||
Investor Tax-Exempt Money Market Fund — Premier Shares | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | 0.001 | 0.007 | 0.013 | 0.010 | 0.004 | — | (b) | |||||||||||||||||||
Net realized gain (loss) | — | (b) | 0.001 | — | (b) | — | (b) | (0.001 | ) | — | (b) | |||||||||||||||
Total from investment operations | 0.001 | 0.008 | 0.013 | 0.010 | 0.003 | — | (b) | |||||||||||||||||||
Distributions to shareholders from net investment income | (0.001 | ) | (0.008 | ) | (0.013 | ) | (0.010 | ) | (0.002 | ) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | — | — | (b) | — | (b) | (0.001 | ) | — | (b) | ||||||||||||||||
Total distributions(c) | (0.001 | ) | (0.008 | ) | (0.013 | ) | (0.010 | ) | (0.003 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.49 | % | 1.06 | % | 0.68 | % | 0.29 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | ||||||||||||||
Ratio of net expenses to average net assets | 0.13 | %(f) | 0.43 | % | 0.54 | % | 0.54 | % | 0.47 | % | 0.12 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.58 | %(f) | 0.55 | % | 0.55 | % | 0.57 | % | 0.64 | % | 0.59 | % | ||||||||||||||
Ratio of net investment income to average net assets | 0.36 | %(f) | 0.75 | % | 1.32 | % | 0.95 | % | 0.43 | % | 0.37 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS INVESTOR TAX-EXEMPT MONEY MARKET FUND
Financial Highlights (continued)
For the Period Ended November 30, 2020† | Year Ended August 31, | |||||||||||||||||||||||||
Investor Tax-Exempt Money Market Fund — Resource Shares | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Net investment income(a) | — | (b) | 0.003 | 0.008 | 0.004 | — | (b) | — | (b) | |||||||||||||||||
Net realized gain (loss) | — | (b) | — | (b) | — | (b) | — | (b) | 0.001 | — | (b) | |||||||||||||||
Total from investment operations | — | (b) | 0.003 | 0.008 | 0.004 | 0.001 | — | (b) | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.003 | ) | (0.008 | ) | (0.004 | ) | — | (b) | — | (b) | ||||||||||||||
Distributions to shareholders from net realized gains | — | — | — | (b) | — | (b) | (0.001 | ) | — | (b) | ||||||||||||||||
Total distributions(c) | — | (b) | (0.003 | ) | (0.008 | ) | (0.004 | ) | (0.001 | ) | — | (b) | ||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return(d) | — | %(e) | 0.30 | % | 0.76 | % | 0.37 | % | 0.08 | % | 0.01 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 2,840 | $ | 3,101 | $ | 2,206 | $ | 2,412 | $ | 3,731 | $ | 6,469 | ||||||||||||||
Ratio of net expenses to average net assets | 0.13 | %(f) | 0.61 | % | 0.83 | % | 0.83 | % | 0.73 | % | 0.20 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.88 | %(f) | 0.85 | % | 0.85 | % | 0.87 | % | 0.94 | % | 0.89 | % | ||||||||||||||
Ratio of net investment income to average net assets | 0.01 | %(f) | 0.29 | % | 0.75 | % | 0.36 | % | 0.02 | % | 0.01 | % |
† | The Fund changed its fiscal year end from August 31 to November 30. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions. Total returns for periods less than one full year are not annualized. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDS — INVESTOR FUNDS
November 30, 2020
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 | ||
Investor Money Market | Class A, Class C, Class I, Service, Administration, Cash Management, and Resource | Diversified | ||
Investor Tax-Exempt Money Market | Class A, Class C, Class I, Capital, Service, Preferred, Select, Administration, Cash Management, Premier, and Resource | Diversified |
* | Effective September 1, 2020, the Funds changed their fiscal year end from August 31 to November 30. |
Class C Shares may typically be acquired only in an exchange for Class C Shares of another Goldman Sachs Fund. Class C Shares may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% during the first 12 months, measured from the time the original shares subject to the CDSC were acquired.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“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. Each Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Investment Valuation — The investment valuation policy of the Funds is to use the amortized-cost method permitted by Rule 2a-7 under the Act for valuing portfolio securities. The amortized-cost method of valuation involves valuing a security at its cost and thereafter applying a constant accretion or amortization to maturity of any discount or premium. Normally, a security’s amortized cost will approximate its market value. Under procedures and tolerances approved by the Board of Trustees (“Trustees”), GSAM evaluates daily the difference between each Fund’s net asset value (“NAV”) per share using the amortized costs of its portfolio securities and the Fund’s NAV per share using market-based values of its portfolio securities. The market- based value of a portfolio security is determined, where readily available, on the basis of market quotations provided by pricing services or securities dealers, or, where accurate market quotations are not readily available, on the basis of the security’s fair value as determined in accordance with Valuation Procedures approved by the Trustees. The pricing services may use valuation models or matrix pricing, which may consider (among other things): (i) yield or price with respect to debt securities that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value.
B. Investment Income and Investments — Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, 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, Service, Distribution and Service, Administration, Service and Administration 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 respective Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses.
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GOLDMAN SACHS FUNDS — INVESTOR FUNDS
Notes to Financial Statements (continued)
November 30, 2020
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable and tax-exempt income and capital gains to its shareholders. Accordingly, each Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are declared and recorded daily and paid monthly by the Funds and may include short-term capital gains. Long- term capital gain distributions, if any, are declared and paid annually. A Fund may defer or accelerate the timing of the distribution of short-term capital gains (or any portion thereof).
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings 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.
E. Forward Commitments — 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 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 forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of forward commitments prior to settlement which may result in a realized gain or loss.
F. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement (“MRA”). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes. The underlying securities for all repurchase agreements are held at the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements.
An MRA governs transactions between a Fund and select counterparties. An MRA contains provisions for, among other things, initiation of the transaction, income payments, events of default, and maintenance of securities for repurchase agreements. An MRA also permits offsetting with collateral to create one single net payment in the event of default or similar events, including the bankruptcy or insolvency of a counterparty.
If the seller defaults, a Fund could suffer a loss to the extent that the proceeds from the sale of the underlying securities and other collateral held by the Fund are less than the repurchase price and the Fund’s costs associated with delay and enforcement of the repurchase agreement. In addition, in the event of default or insolvency of the seller, a court could determine that a Fund’s interest in the collateral is not enforceable, resulting in additional losses to the Fund.
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and terms and conditions contained therein, the Funds, together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates, may transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements. Under these joint accounts, the Funds maintain pro-rata credit exposure to the underlying repurchase agreements’ counterparties. With the exception of certain transaction fees, the Funds are not subject to any expenses in relation to these investments.
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GOLDMAN SACHS FUNDS — INVESTOR FUNDS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
U.S. GAAP defines the fair value of a financial instrument as 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); the Funds’ policy is to use the market approach. 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 level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. 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).
The Trustees have 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 (including both the amortized cost and market-based methods of valuation) of the Funds’ investments. To assess the continuing appropriateness of pricing sources and methodologies related to the market-based method of valuation, 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.
As of November 30, 2020, all investments are classified as Level 2 of the fair value hierarchy. Please refer to the Schedules of Investments for further detail.
4. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreements — Under the Agreements, GSAM manages the Funds, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreements, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets, as set forth below.
B. Administration, Service and/or Shareholder Administration Plans — The Trust, on behalf of each applicable Fund, has adopted Administration, Service and/or Shareholder Administration Plans (the “Plans”) to allow Class C, Select, Preferred, Capital, Administration, Premier, Service, Resource and Cash Management Shares to compensate service organizations (including Goldman Sachs) for providing varying levels of account administration and/or personal and account maintenance services to their customers who are beneficial owners of such shares. The Plans provide for compensation to the service organizations equal to an annual percentage rate of the average daily net assets of such shares, as set forth below.
C. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of the Class A Shares of each applicable Fund, has adopted a Distribution and Service Plan subject to Rule 12b-1 under the Act. Under the Distribution and Service Plan, 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. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A Shares of the Funds, as set forth below.
33
GOLDMAN SACHS FUNDS — INVESTOR FUNDS
Notes to Financial Statements (continued)
November 30, 2020
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The Trust, on behalf of Class C, Resource and Cash Management Shares of each applicable Fund, has adopted Distribution Plans subject to Rule 12b-1 under the Act. Under the Distribution Plans, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C, Resource and Cash Management Shares of the Funds, as set forth below.
The Trust, on behalf of the Service Shares of each applicable Fund, has adopted a Service Plan subject to Rule 12b-1 under the Act to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing personal and account maintenance services to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of the average daily net assets attributable to Service Shares of the Funds, as set forth below.
D. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class C Shares’ CDSC. During the period ended November 30, 2020, Goldman Sachs has advised that it did not retain any CDSCs with respect to Class C Shares of the Funds.
E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to a Transfer Agency Agreement. The fee charged for such transfer agency services is accrued daily and paid monthly and is equal to an annual percentage rate of each Fund’s average daily net assets.
F. Other Agreements — GSAM has agreed to limit certain “Other Expenses” of the Funds (excluding transfer agency fees and expenses, administration fees (as applicable), service fees (as applicable), shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, 0.014% of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. These Other Expense limitations will remain in place through at least December 29, 2021, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees.
In addition, the Funds have entered into certain offset arrangements with the custodian which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
G. Total Fund Expenses
Fund Contractual Fees
The contractual annualized rates for each of the Funds are as follows:
Class A Shares | Class C Shares | Class I Shares | Capital Shares(a) | Service Shares | Preferred Shares(a) | Select Shares(a) | Administration Shares | Cash Management Shares | Premier Shares(a) | Resource Shares | ||||||||||||||||||||||||||||||||||
Management Fee | 0.16 | % | 0.16 | % | 0.16 | % | 0.16 | % | 0.16 | % | 0.16 | % | 0.16 | % | 0.16 | % | 0.16 | % | 0.16 | % | 0.16 | % | ||||||||||||||||||||||
Administration, Service and/or Shareholder Administration Fees | N/A | 0.25 | N/A | 0.15 | 0.25 | 0.10 | 0.03 | 0.25 | 0.50 | 0.35 | 0.50 | |||||||||||||||||||||||||||||||||
Distribution and/or Service (12b-1) Fees | 0.25 | 0.75 | (c) | N/A | N/A | 0.25 | (b) | N/A | N/A | N/A | 0.30 | (c) | N/A | 0.15 | (c) | |||||||||||||||||||||||||||||
Transfer Agency Fee | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 |
N/A | – Fees not applicable to respective share class |
(a) | Tax-Exempt Money Market Fund only. |
(b) | Service (12b-1) fee only. |
(c) | Distribution (12b-1) fee only. |
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GOLDMAN SACHS FUNDS — INVESTOR FUNDS
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
Fund Effective Net Expenses (After Waivers and Reimbursements)
The investment adviser may contractually agree to waive or reimburse certain fees and expenses until a specified date. The investment adviser may also voluntarily waive certain fees and expenses, and such voluntary waivers may be discontinued or modified at any time without notice.
During the period ended November 30, 2020, GSAM and Goldman Sachs (as applicable) agreed to waive all or a portion of the management fees and respective class-specific fees described above attributable to the Funds. The Funds are not obligated to reimburse GSAM or Goldman Sachs for prior fiscal year fee waivers and/or expense reimbursements, if any.
For the period ended November 30, 2020, expense reductions including any fee waivers and Other Expense reimbursements were as follows (in thousands):
Fund | Management Fee Waivers | Distribution, Administration, Service and/or Shareholder Administration Plans Fee Waivers | Other Reimbursements | Total Expense Reductions | ||||||||||||||||||
Investor Money Market | $ | — | $ | 265 | $ | 218 | $ | 483 | ||||||||||||||
Investor Tax-Exempt Money Market | 153 | 52 | 169 | 374 |
For the period ended August 31, 2020, expense reductions including any fee waivers and Other Expense reimbursements were as follows (in thousands):
Fund | Management Fee Waivers | Distribution, Administration, Service and/or Shareholder Administration Plans Fee Waivers | Custody Fee Reduction | Other Expense Reimbursements | Total Expense Reductions | |||||||||||||||||
Investor Money Market | $ | 22 | $ | 134 | $ | 1 | $ | 500 | $ | 657 | ||||||||||||
Investo Tax-Exempt Money Market | 21 | 29 | 7 | 272 | 329 |
For the period ended November 30, 2020, the net effective management fee rate was 0.16% for Investor Money Market and 0.12% for Investor Tax-Exempt Money Market.
H. Other Transactions with Affiliates — A Fund 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 period ended November 30, 2020, the purchase and sale transactions and related net realized gain (loss) for the Funds with affiliated funds in compliance with Rule 17a-7 under the Act were as follows:
Fund | Purchases | Sales | Net Realized Gain (Loss) | |||||||||||
Investor Money Market | $ | 74,085,000 | $ | 10,065,000 | $ | — | ||||||||
Investor Tax-Exempt Money Market | 161,510,000 | 286,525,000 | — |
35
GOLDMAN SACHS FUNDS — INVESTOR FUNDS
Notes to Financial Statements (continued)
November 30, 2020
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the period ended August 31, 2020, the purchase and sale transactions and related net realized gain (loss) for the Funds with affiliated funds in compliance with Rule 17a-7 under the Act were as follows:
Fund | Purchases | Sales | Net Realized Gain (Loss) | |||||||||||
Investor Money Market | $ | 42,615,000 | $ | 75,953,750 | $ | (4,200 | ) | |||||||
Investor Tax-Exempt Money Market | 631,880,000 | 408,025,000 | — |
As of November 30, 2020, The Goldman Sachs Group, Inc. was the beneficial owner of 5% or more of the outstanding share classes of the following Funds:
Fund | Class A Shares | Class C Shares | Class I Shares | Capital Shares | Service Shares | Preferred Shares | Select Shares | Administration Shares | Cash Management Shares | Premier Shares | Resource Shares | |||||||||||||||||||||||||||||||||
Investor Money Market | — | 27 | % | — | — | — | — | — | — | — | — | 100 | % | |||||||||||||||||||||||||||||||
Investor Tax-Exempt Money Market | — | 32 | % | — | 100 | % | — | — | 100 | % | — | 100 | % | 100 | % | — |
I. Line of Credit Facility — As of November 30, 2020, the Funds participated in a $700,000,000 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. 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 period ended November 30, 2020, the Funds did not have any borrowings under the facility.
5. TAX INFORMATION |
The tax character of distributions paid during the period ended November 30, 2020 was as follows:
Investor Money Market | Investor Tax-Exempt Money Market | |||||||
Distribution paid from: |
| |||||||
Ordinary income | $ | 374,400 | $ | 652 | ||||
Tax-Exempt income | — | 21,980 | ||||||
Total distributions | $ | 374,400 | $ | 22,632 |
The tax character of distributions paid during the fiscal year ended August 31, 2020 was as follows:
Investor Money Market | Investor Tax-Exempt Money Market | |||||||
Distribution paid from: |
| |||||||
Ordinary income | $ | 21,449,744 | $ | 95,585 | ||||
Tax-Exempt income | — | 11,001,206 | ||||||
Total distributions | $ | 21,449,744 | $ | 11,096,791 |
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GOLDMAN SACHS FUNDS — INVESTOR FUNDS
5. TAX INFORMATION (continued) |
The tax character of distributions paid during the fiscal year ended August 31, 2019 was as follows:
Investor Market | Investor Tax-Exempt Money Market | |||||||
Distribution paid from: |
| |||||||
Ordinary income | $ | 22,922,849 | $ | 9,551 | ||||
Tax-Exempt income | — | 16,964,833 | ||||||
Total distributions | $ | 22,922,849 | $ | 16,974,384 |
As of November 30, 2020, the components of accumulated earnings (losses) on a tax basis were as follows:
Investor Money Market | Investor Tax-Exempt Money Market | |||||||
Undistributed ordinary income — net | $ | 460,478 | $ | 79,046 | ||||
Undistributed Tax Exempt income — net | — | 6,051 | ||||||
Undistributed long-term capital gains | — | 367 | ||||||
Total undistributed earnings | $ | 460,478 | $ | 85,464 | ||||
Timing differences (Distribution Payable) | $ | (6,981 | ) | $ | (6,080 | ) | ||
Unrealized gains (losses) — net | $ | (30 | ) | $ | — | |||
Total accumulated earnings (losses) — net | $ | 453,467 | $ | 79,384 |
The aggregate cost for each Fund stated in the accompanying Statements of Assets and Liabilities also represents aggregate cost for U.S. federal income tax purposes.
The Investor Money Market Fund re-classed $127,185 from paid in capital to distributable earnings for the period ending November 30, 2020. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund’s and result primarily from net operating losses and redemptions utilized as distributions.
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three tax years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
6. OTHER RISKS |
The Funds’ risks include, but are not limited to, the following:
Floating and Variable Rate Obligations Risk — Floating rate and variable rate obligations are debt instruments issued by companies or other entities with interest rates that reset periodically (typically, daily. monthly, quarterly, or semiannually) in response to changes in the market rate of interest on which the interest rate is based. For floating and variable rate obligations, there may be a lag between an actual change in the underlying interest rate benchmark and the reset time for an interest payment of such an obligation, which could harm or benefit the Fund, depending on the interest rate environment or other circumstances. In a rising interest rate environment, for example, a floating or variable rate obligation that does not reset immediately would prevent the Fund from taking full advantage of rising interest rates in a timely manner. However, in a declining interest rate environment, the Fund may benefit from a lag due to an obligation’s interest rate payment not being immediately impacted by a decline in interest rates.
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GOLDMAN SACHS FUNDS — INVESTOR FUNDS
Notes to Financial Statements (continued)
November 30, 2020
6. OTHER RISKS (continued) |
In 2017, the United Kingdom’s Financial Conduct Authority (“FCA”) warned that LIBOR may cease to be available or appropriate for use by 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain Fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any pricing adjustments to the Fund’s investment resulting from a substitute reference rate may also adversely affect the Fund’s performance and/or NAV.
Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as financial intermediaries (who may make investment decisions on behalf of underlying clients) and individuals, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause a Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Fund’s NAV and liquidity. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would. 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.
Interest Rate Risk — When interest rates increase, a Fund’s yield will tend to be lower than prevailing market rates, and the market value of its securities or instruments may also be adversely affected. A low interest rate environment poses additional risks to a Fund, because low yields on the Fund’s portfolio holdings may have an adverse impact on the Fund’s ability to provide a positive yield to its shareholders, pay expenses out of Fund assets, or, at times, maintain a stable $1.00 share price. The risks associated with changing interest rates may have unpredictable effects on the markets and a Fund’s investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Funds.
Market and Credit Risks — In the normal course of business, a Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which a Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact a Fund and its investments. Additionally, a Fund 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 Fund has unsettled or open transactions defaults.
Geographic and Sector Risk — The Investor Tax-Exempt Money Market Fund may invest a significant portion of its total assets in certain issuers within the same state, geographic region or economic sector, which may subject the value of the Fund’s investments to risks associated with an adverse economic, business, political or environmental development affecting that state, region or sector.
Credit/Default Risk — An issuer or guarantor of a security held by the Fund, or a bank or other financial institution that has entered into a repurchase agreement with the Fund, may default on its obligation to pay interest and repay principal or default on any other obligation. Additionally, the credit quality of securities may deteriorate rapidly, which may impair the Fund’s liquidity and cause significant deterioration in NAV.
7. 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 FUNDS — INVESTOR FUNDS
8. OTHER MATTERS |
Exemptive Orders — Pursuant to SEC exemptive orders, the Funds may enter into certain principal transactions, including repurchase agreements, with Goldman Sachs.
New Accounting Standards — In March 2020, the FASB issued Accounting Standard Update (“ASU”) No. 2020-04, “Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” This ASU provides optional exceptions for applying GAAP to contract modifications, hedging relationships and other transactions affected by reference rate reform if certain criteria are met. ASU 2020-04 is elective and is effective on March 12, 2020 through December 31, 2022. As of the financial reporting period, GSAM is currently evaluating the impact, if any, of applying ASU 2020-04.
Other — On October 22, 2020, Goldman Sachs announced a settlement of matters involving 1Malaysia Development Bhd. (1MDB), a Malaysian sovereign wealth fund, with the United States Department of Justice as well as criminal and civil authorities in the UK, Singapore and Hong Kong. Further information regarding the 1MDB settlement can be found at https://www.goldmansachs.com/media-relations/press-releases/current/goldman-sachs-2020-10-22.html. The 1MDB settlement will not materially adversely affect GSAM’s ability to serve as investment manager.
9. SUBSEQUENT EVENTS |
Subsequent events after the Statements of Assets and Liabilities date have been evaluated and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
39
GOLDMAN SACHS FUNDS — INVESTOR FUNDS
Notes to Financial Statements (continued)
November 30, 2020
10. SUMMARY OF SHARE TRANSACTIONS (AT $1.00 PER SHARE) |
Share activity is as follows:
Investor Money Market Fund | ||||||||||||
|
| |||||||||||
For the Period Ended November 30, 2020† | For the Fiscal Year Ended August 31, 2020 | For the Fiscal Year Ended August 31, 2019 | ||||||||||
|
| |||||||||||
Class A Shares | ||||||||||||
Shares sold | 16,805,199 | 397,334,164 | 233,206,163 | |||||||||
Reinvestment of distributions | 9,354 | 2,296,684 | 1,234,169 | |||||||||
Shares redeemed | (44,988,673 | ) | (319,934,660 | ) | (72,924,150 | ) | ||||||
(28,174,120 | ) | 79,696,188 | 161,516,182 | |||||||||
Class C Shares | ||||||||||||
Shares sold | — | 57,382 | — | |||||||||
Reinvestment of distributions | 1 | 60 | 141 | |||||||||
Shares redeemed | (13,651 | ) | (15,154 | ) | — | |||||||
(13,650 | ) | 42,288 | 141 | |||||||||
Class I Shares | ||||||||||||
Shares sold | 244,513,031 | 3,317,488,991 | 2,044,394,288 | |||||||||
Reinvestment of distributions | 322,218 | 16,633,231 | 16,005,984 | |||||||||
Shares redeemed | (742,434,339 | ) | (2,626,006,125 | ) | (1,248,311,787 | ) | ||||||
(497,599,090 | ) | 708,116,097 | 812,088,485 | |||||||||
Service Shares | ||||||||||||
Shares sold | 14,774,282 | 152,624,789 | 51,047,061 | |||||||||
Reinvestment of distributions | 2,158 | 309,238 | 44,251 | |||||||||
Shares redeemed | (21,051,684 | ) | (127,114,736 | ) | (20,486,954 | ) | ||||||
(6,275,244 | ) | 25,819,291 | 30,604,358 | |||||||||
Administration Shares | ||||||||||||
Shares sold | 9,194,711 | 60,612,773 | 143,845,234 | |||||||||
Reinvestment of distributions | 1,172 | 298,507 | 2,074,710 | |||||||||
Shares redeemed | (11,257,998 | ) | (58,250,110 | ) | (246,931,728 | ) | ||||||
(2,062,115 | ) | 2,661,170 | (101,011,784 | ) | ||||||||
Cash Management Shares | ||||||||||||
Shares sold | 18,583,118 | 92,160,519 | 89,512,534 | |||||||||
Reinvestment of distributions | 1,760 | 135,668 | 132,823 | |||||||||
Shares redeemed | (20,781,089 | ) | (61,710,139 | ) | (69,158,210 | ) | ||||||
(2,196,211 | ) | 30,586,048 | 20,487,147 | |||||||||
Resource Shares | ||||||||||||
Shares sold | — | — | — | |||||||||
Reinvestment of distributions | — | 71 | 181 | |||||||||
Shares redeemed | — | — | — | |||||||||
— | 71 | 181 | ||||||||||
NET INCREASE (DECREASE) IN SHARES | (536,320,430 | ) | 846,921,153 | 923,684,710 |
† | The Fund changed its fiscal year end from August 31 to November 30. |
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GOLDMAN SACHS FUNDS — INVESTOR FUNDS
10. SUMMARY OF SHARE TRANSACTIONS (AT $1.00 PER SHARE) (continued) |
Share activity is as follows:
Investor Tax-Exempt Money Market Fund | ||||||||||||
|
| |||||||||||
For the Period Ended November 30, 2020† | For the Fiscal Year Ended August 31, 2020 | For the Fiscal Year Ended August 31, 2019 | ||||||||||
|
| |||||||||||
Class A Shares | ||||||||||||
Shares sold | 517,326 | 39,422,787 | 30,165,331 | |||||||||
Reinvestment of distributions | 207 | 76,182 | 74,748 | |||||||||
Shares redeemed | (6,439,317 | ) | (37,666,872 | ) | (17,690,238 | ) | ||||||
(5,921,784 | ) | 1,832,097 | 12,549,841 | |||||||||
Class C Shares | ||||||||||||
Shares sold | — | 81,993 | — | |||||||||
Reinvestment of distributions | — | 37 | 37 | |||||||||
Shares redeemed | — | (62,543 | ) | — | ||||||||
— | 19,487 | 37 | ||||||||||
Class I Shares | ||||||||||||
Shares sold | 406,405,883 | 2,514,777,537 | 1,897,694,232 | |||||||||
Reinvestment of distributions | 2,986 | 1,987,323 | 2,390,808 | |||||||||
Shares redeemed | (555,953,190 | ) | (2,450,307,364 | ) | (1,507,672,416 | ) | ||||||
(149,544,321 | ) | 66,457,496 | 392,412,624 | |||||||||
Capital Shares | ||||||||||||
Shares sold | — | — | — | |||||||||
Reinvestment of distributions | — | 6 | 13 | |||||||||
Shares redeemed | — | — | — | |||||||||
— | 6 | 13 | ||||||||||
Service Shares | ||||||||||||
Shares sold | 44,493 | 1,562,721 | 1,989,188 | |||||||||
Reinvestment of distributions | 8 | 2,073 | 4,908 | |||||||||
Shares redeemed | (41,873 | ) | (2,849,099 | ) | (728,127 | ) | ||||||
2,628 | (1,284,305 | ) | 1,265,969 | |||||||||
Preferred Shares | ||||||||||||
Shares sold | 202,046 | 1,100,394 | 6,422 | |||||||||
Reinvestment of distributions | 1 | 1,436 | 14 | |||||||||
Shares redeemed | (15,536 | ) | (1,071,605 | ) | (13,502 | ) | ||||||
186,511 | 30,225 | (7,066 | ) | |||||||||
Select Shares | ||||||||||||
Shares sold | — | — | — | |||||||||
Reinvestment of distributions | — | 8 | 30 | |||||||||
Shares redeemed | — | — | (2,177 | ) | ||||||||
— | 8 | (2,147 | ) | |||||||||
Administration Shares | ||||||||||||
Shares sold | — | 5,100 | 946,528 | |||||||||
Reinvestment of distributions | 5 | 1,674 | 1,970 | |||||||||
Shares redeemed | — | (50 | ) | (652,497 | ) | |||||||
5 | 6,724 | 296,001 | ||||||||||
Cash Management Shares | ||||||||||||
Shares sold | — | — | 10 | |||||||||
Reinvestment of distributions | — | 2 | 7 | |||||||||
Shares redeemed | — | — | (10 | ) | ||||||||
— | 2 | 7 | ||||||||||
Premier Shares | ||||||||||||
Shares sold | — | — | — | |||||||||
Reinvestment of distributions | — | 5 | 10 | |||||||||
Shares redeemed | — | — | — | |||||||||
— | 5 | 10 | ||||||||||
Resource Shares | ||||||||||||
Shares sold | 2,261,393 | 10,494,798 | 7,793,204 | |||||||||
Reinvestment of distributions | 47 | 7,257 | 16,520 | |||||||||
Shares redeemed | (2,522,508 | ) | (9,607,622 | ) | (8,015,448 | ) | ||||||
(261,068 | ) | 894,433 | (205,724 | ) | ||||||||
NET INCREASE (DECREASE) IN SHARES | (155,538,029 | ) | 67,956,178 | 406,309,565 |
† | The Fund changed its fiscal year end from August 31 to November 30. |
41
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs Investor Money Market Fund and Goldman Sachs Investor Tax-Exempt Money Market Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Goldman Sachs Investor Money Market Fund and Goldman Sachs Investor Tax-Exempt Money Market Fund (two of the funds constituting Goldman Sachs Trust, hereafter collectively referred to as the “Funds”) as of November 30, 2020, the related statements of operations for the period September 1, 2020 through November 30, 2020 and the year ended August 31, 2020, the statements of changes in net assets for the period September 1, 2020 through November 30, 2020 and for each of the two years in the period ended August 31, 2020, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of November 30, 2020, the results of each of their operations for the period September 1, 2020 through November 30, 2020 and for the year ended August 31, 2020, the changes in each of their net assets for the period September 1, 2020 through November 30, 2020 and for each of the two years in the period ended August 31, 2020 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of November 30, 2020 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Boston, Massachusetts
January 26, 2021
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
42
GOLDMAN SACHS FUNDS — INVESTOR FUNDS
Fund Expenses — Six Month Period Ended November 30, 2020 (Unaudited) |
As a shareholder of Class A Shares, Class C Shares, Class I Shares, Service Shares, Preferred Shares, Select Shares, Administration Shares, Cash Management Shares, Premier Shares, or Resource Shares of a Fund you incur two types of costs: (1) transaction costs, including contingent deferred sales charges (with respect to Class C Shares); and (2) ongoing costs, including management fees and distribution, service, administration and/or shareholder administration fees (with respect to all share classes except Class I Shares) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Class I Shares, Select Shares, Preferred Shares, Capital Shares, Administration Shares, Premier Shares, Service Shares, Resource Shares, Cash Management Shares, Class A Shares, or Class C 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 June 1, 2020 through November 30, 2020, which represents a period of 183 days in a 365-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 ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Investor Money Market Fund | Investor Tax-Exempt Money Market Fund | |||||||||||||||||||||||
Share Class | Beginning Account Value 6/1/20 | Ending Account Value 11/30/20 | Expenses Paid for the 6 months ended 11/30/2020* | Beginning Account Value 6/1/20 | Ending Account Value 11/30/20 | Expenses Paid for the 6 months ended 11/30/2020* | ||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,000.24 | $ | 1.65 | $ | 1,000.00 | $ | 1,000.03 | $ | 0.90 | ||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.41 | + | 1.67 | 1,000.00 | 1,024.17 | + | 0.91 | ||||||||||||||||
Class C Shares | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,000.08 | 1.70 | 1,000.00 | 1,000.03 | 0.90 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.36 | + | 1.72 | 1,000.00 | 1,024.17 | + | 0.91 | ||||||||||||||||
Class I Shares | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,000.94 | 0.90 | 1,000.00 | 1,000.15 | 0.75 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,024.17 | + | 0.91 | 1,000.00 | 1,024.32 | + | 0.76 | ||||||||||||||||
Capital Shares | ||||||||||||||||||||||||
Actual | 1,000.00 | — | — | 1,000.00 | 1,000.03 | 0.75 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | — | — | 1,000.00 | 1,024.32 | + | 0.76 | |||||||||||||||||
Service Shares | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,000.08 | 1.81 | 1,000.00 | 1,000.03 | 0.85 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.26 | + | 1.83 | 1,000.00 | 1,024.22 | + | 0.86 | ||||||||||||||||
Preferred Shares | ||||||||||||||||||||||||
Actual | 1,000.00 | — | — | 1,000.00 | 1,000.03 | 0.95 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | — | — | 1,000.00 | 1,024.12 | + | 0.96 | |||||||||||||||||
Select Shares | ||||||||||||||||||||||||
Actual | 1,000.00 | — | — | 1,000.00 | 1,000.10 | 0.75 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | — | — | 1,000.00 | 1,024.32 | + | 0.76 | |||||||||||||||||
Administrative Shares | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,000.24 | 1.65 | 1,000.00 | 1,000.03 | 0.85 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.41 | + | 1.67 | 1,000.00 | 1,024.22 | + | 0.86 | ||||||||||||||||
Cash Management Shares | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,000.08 | 1.75 | 1,000.00 | 1,000.03 | 0.75 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.31 | + | 1.78 | 1,000.00 | 1,024.32 | + | 0.76 |
43
GOLDMAN SACHS FUNDS — INVESTOR FUNDS
Fund Expenses — Six Month Period Ended November 30, 2020 (Unaudited) (continued) |
Investor Money Market Fund | Investor Tax-Exempt Money Market Fund | |||||||||||||||||||||||
Share Class | Beginning Account Value 6/1/20 | Ending Account Value 11/30/20 | Expenses Paid for the 6 months ended 11/30/2020* | Beginning Account Value 6/1/20 | Ending Account Value 11/30/20 | Expenses Paid for the 6 months ended 11/30/2020* | ||||||||||||||||||
Premier Shares | ||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | — | $ | — | $ | 1,000.00 | $ | 1,000.03 | $ | 0.75 | ||||||||||||
Hypothetical 5% return | 1,000.00 | — | — | 1,000.00 | 1,024.32 | + | 0.76 | |||||||||||||||||
Resource Shares | ||||||||||||||||||||||||
Actual | 1,000.00 | 1,000.08 | 1.65 | 1,000.00 | 1,000.03 | 0.85 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.41 | + | 1.67 | 1,000.00 | 1,024.22 | + | 0.86 |
* | Expenses for each share class are calculated using the 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 11/30/2020. 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 Shares | Class C Shares | Class I Shares | Capital Shares | Service Shares | Preferred Shares | Select Shares | Administrative Shares | Cash Management Shares | Premier Shares | Resource Shares | |||||||||||||||||||||||||||||||||
Investor Money Market Fund | 0.33 | % | 0.34 | % | 0.18 | % | — | 0.36 | % | — | — | 0.33 | % | 0.35 | % | — | 0.33 | % | ||||||||||||||||||||||||||
Investor Tax-Exempt Money Market Fund | 0.18 | % | 0.18 | % | 0.15 | % | 0.15 | % | 0.17 | % | 0.19 | % | 0.15 | % | 0.17 | % | 0.15 | % | 0.15 | % | 0.17 | % |
+ | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
44
GOLDMAN SACHS — INVESTOR FUNDS
Trustees and Officers (Unaudited)
Independent Trustees
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Jessica Palmer Age: 71 | Chair of the Board of Trustees | Since 2018 (Trustee since 2007) | Ms. Palmer is retired. She was formerly Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | None | |||||
Dwight L. Bush Age: 63 | Trustee | Since 2020 | Ambassador Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017- present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019). Previously, Ambassador Bush served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | None | |||||
Kathryn A. Cassidy Age: 66 | Trustee | Since 2015 | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | None | |||||
Diana M. Daniels Age: 71 | Trustee | Since 2007 | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | None | |||||
Joaquin Delgado Age: 60 | Trustee | Since 2020 | Dr. Delgado is retired. He is Director, Hexion Inc. (a specialty chemical manufacturer) (2019-present); and Director, Stepan Company (a specialty chemical manufacturer) (2011-present); and was formerly Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016). Previously, Dr. Delgado served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | Stepan Company (a specialty chemical manufacturer) | |||||
Roy W. Templin Age: 60 | Trustee | Since 2013 | Mr. Templin is retired. He is Director, Armstrong World Industries, Inc. (a designer and manufacturer of ceiling, wall and suspension system solutions) (2016-Present); and was formerly Chairman of the Board of Directors, Con- Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | Armstrong World Industries, Inc. (a ceiling, wall and suspension systems solutions manufacturer) | |||||
Gregory G. Weaver Age: 69 | Trustee | Since 2015 | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | Verizon Communications Inc. | |||||
45
GOLDMAN SACHS — INVESTOR FUNDS
Trustees and Officers (Unaudited) (continued)
Interested Trustee*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
James A. McNamara Age: 58 | President and Trustee | Since 2007 | Advisory Director, Goldman Sachs (January 2018 — Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998- December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | 164 | None | |||||
* | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
1 | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of November 30, 2020. |
2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that each Independent Trustee shall retire as of December 31st of the calendar year in which he or she reaches (a) his or her 75th birthday or (b) the 15th anniversary of the date he or she became a Trustee, whichever is earlier, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of November 30, 2020, Goldman Sachs Trust consisted of 92 portfolios (90 of which offered shares to the public); Goldman Sachs Variable Insurance Trust consisted of 13 portfolios; Goldman Sachs Trust II consisted of 19 portfolios (17 of which offered shares to the public); Goldman Sachs ETF Trust consisted of 42 portfolios (24 of which offered shares to the public); and Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio. Goldman Sachs Credit Income Fund did not offer shares to the public. |
4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
46
GOLDMAN SACHS — INVESTOR FUNDS
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
Name, Address and Age1 | Positions Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 58 | Trustee and President | Since 2014 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 43 | Secretary | Since 2014 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Senior Counsel, Goldman Sachs (January 2020–Present); Associate General Counsel, Goldman Sachs (2012-December 2019); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 52 | Treasurer, Principal Financial Officer and Principal Accounting Officer | Since 2017 (Treasurer and Principal Financial Officer since 2019) | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010- October 2015).
Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
* | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
1 | Information is provided as of November 30, 2020. |
2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Trust — Investor Money Market Funds — Tax Information (Unaudited)
During the fiscal year ended November 30, 2020, 97.12% of the distributions from net investment income paid by the Investor Tax-Exempt Money Market Fund were exempt-interest dividends and as such, are not subject to U.S. federal income tax.
During the fiscal year ended November 30, 2020, 100% of the net investment company taxable income distributions paid by the Investor Money Market Fund were designated as either interest-related dividends or short-term capital gain pursuant to Section 871(k) of the Internal Revenue Code.
47
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 Consumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.86 trillion in assets under supervision as of September 30, 2020, 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. LLC subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
∎ | Financial Square Treasury Solutions Fund1 |
∎ | Financial Square Government Fund1 |
∎ | Financial Square Money Market Fund2 |
∎ | Financial Square Prime Obligations Fund2 |
∎ | Financial Square Treasury Instruments Fund1 |
∎ | Financial Square Treasury Obligations Fund1 |
∎ | Financial Square Federal Instruments Fund1 |
Investor FundsSM
∎ | Investor Money Market Fund3 |
∎ | Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
∎ | Enhanced Income Fund |
∎ | High Quality Floating Rate Fund |
∎ | Short-Term Conservative Income Fund |
∎ | Short Duration Government Fund |
∎ | Short Duration Income Fund |
∎ | Government Income Fund |
∎ | Inflation Protected Securities Fund |
Multi-Sector
∎ | Bond Fund |
∎ | Core Fixed Income Fund |
∎ | Global Core Fixed Income Fund4 |
∎ | Income Fund |
∎ | Strategic Income Fund |
Municipal and Tax-Free
∎ | High Yield Municipal Fund |
∎ | Dynamic Municipal Income Fund |
∎ | Municipal Income Completion Fund |
∎ | Short Duration Tax-Free Fund |
Single Sector
∎ | Investment Grade Credit Fund |
∎ | U.S. Mortgages Fund |
∎ | High Yield Fund |
∎ | High Yield Floating Rate Fund |
∎ | Emerging Markets Debt Fund |
∎ | Local Emerging Markets Debt Fund |
Fixed Income Alternatives
∎ | Long Short Credit Strategies Fund |
Fundamental Equity
∎ | Equity Income Fund |
∎ | Small Cap Growth Fund |
∎ | Small Cap Value Fund |
∎ | Small/Mid Cap Value Fund |
∎ | Mid Cap Value Fund |
∎ | Large Cap Value Fund |
∎ | Focused Value Fund |
∎ | Capital Growth Fund |
∎ | Strategic Growth Fund |
∎ | Small/Mid Cap Growth Fund |
∎ | Flexible Cap Fund |
∎ | Concentrated Growth Fund |
∎ | Technology Opportunities Fund |
∎ | Growth Opportunities Fund |
∎ | Rising Dividend Growth Fund |
∎ | U.S. Equity ESG Fund5 |
∎ | Income Builder Fund |
∎ | Defensive Equity Fund |
Tax-Advantaged Equity
∎ | U.S. Tax-Managed Equity Fund |
∎ | International Tax-Managed Equity Fund |
∎ | U.S. Equity Dividend and Premium Fund |
∎ | International Equity Dividend and Premium Fund |
Equity Insights
∎ | Small Cap Equity Insights Fund |
∎ | U.S. Equity Insights Fund |
∎ | Small Cap Growth Insights Fund |
∎ | Large Cap Growth Insights Fund |
∎ | Large Cap Value Insights Fund |
∎ | Small Cap Value Insights Fund |
∎ | International Small Cap Insights Fund |
∎ | International Equity Insights Fund |
∎ | Emerging Markets Equity Insights Fund |
Fundamental Equity International
∎ | International Equity Income Fund |
∎ | International Equity ESG Fund |
∎ | China Equity Fund6 |
∎ | Emerging Markets Equity Fund |
∎ | Imprint Emerging Markets Opportunities Fund |
∎ | ESG Emerging Markets Equity Fund |
Alternative
∎ | Clean Energy Income Fund |
∎ | Real Estate Securities Fund |
∎ | International Real Estate Securities Fund |
∎ | Commodity Strategy Fund |
∎ | Global Real Estate Securities Fund |
∎ | Alternative Premia Fund |
∎ | Absolute Return Tracker Fund |
∎ | Managed Futures Strategy Fund |
∎ | MLP Energy Infrastructure Fund |
∎ | Energy Infrastructure Fund7 |
∎ | Multi-Manager Alternatives Fund |
∎ | Global Infrastructure Fund |
Total Portfolio Solutions
∎ | Global Managed Beta Fund |
∎ | Multi-Manager Non-Core Fixed Income Fund |
∎ | Multi-Manager U.S. Dynamic Equity Fund |
∎ | Multi-Manager Global Equity Fund |
∎ | Multi-Manager International Equity Fund |
∎ | Tactical Tilt Overlay Fund |
∎ | Balanced Strategy Portfolio |
∎ | Multi-Manager U.S. Small Cap Equity Fund |
∎ | Multi-Manager Real Assets Strategy Fund |
∎ | Growth and Income Strategy Portfolio |
∎ | Growth Strategy Portfolio |
∎ | Dynamic Global Equity Fund |
∎ | Satellite Strategies Portfolio |
∎ | Enhanced Dividend Global Equity Portfolio |
∎ | Tax-Advantaged Global Equity Portfolio |
∎ | Strategic Factor Allocation Fund |
∎ | Target Date Retirement Portfolio8 |
∎ | Target Date 2025 Portfolio |
∎ | Target Date 2030 Portfolio |
∎ | Target Date 2035 Portfolio |
∎ | Target Date 2040 Portfolio |
∎ | Target Date 2045 Portfolio |
∎ | Target Date 2050 Portfolio |
∎ | Target Date 2055 Portfolio |
∎ | Target Date 2060 Portfolio |
∎ | GQG Partners International Opportunities Fund |
1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
4 | Effective after the close of business on April 30, 2020, the Goldman Sachs Global Income Fund was renamed the Goldman Sachs Global Core Fixed Income Fund. |
5 | Effective after the close of business on August 30, 2020, the Goldman Sachs Blue Chip Fund was renamed the Goldman Sachs U.S. Equity ESG Fund. |
6 | Effective after the close of business on November 20, 2019, the Goldman Sachs Asia Equity Fund was renamed the Goldman Sachs China Equity Fund. |
7 | Effective after the close of business on June 26, 2020, the Goldman Sachs MLP & Energy Fund was renamed the Goldman Sachs Energy Infrastructure Fund. |
8 | Effective December 27, 2019, the Goldman Sachs Target Date 2020 Portfolio was renamed the Goldman Sachs Target Date Retirement Portfolio. Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC. |
* | 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 Jessica Palmer, Chair Dwight L. Bush Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado James A. McNamara Roy W. Templin Gregory G. Weaver | OFFICERS James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus, Secretary | |
GOLDMAN SACHS & CO. LLC 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
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.
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 shareholders of Class A Shares or Class C Shares) or 1-800-621-2550 (for shareholders of all other share classes of a Fund); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.
Goldman Sachs & Co. LLC (‘‘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.
Fund holdings and allocations shown are as of August 31, 2020 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.
Goldman Sachs Investor FundsSM is a service mark of Goldman Sachs & Co. LLC.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low 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 Intermediary or from Goldman Sachs & Co. LLC by calling (Class A Shares and Class C Shares – 1-800-526-7384) (all other share classes – 1-800-621-2550).
© 2020 Goldman Sachs. All rights reserved. 226453-OTU-1335385 IMMITEMMAR-21
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) Not applicable.
(c) During the period covered by this report, no amendments were made to the provisions of the Code of Ethics.
(d) 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.
(e) Not applicable.
(f) A copy of the Code of Ethics is available as provided in Item 13(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. Gregory G. Weaver 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.
2020 | 2019 | Description of Services Rendered | ||||||||||
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|
|
|
| ||||||||
Audit Fees: | ||||||||||||
• PricewaterhouseCoopers LLP (“PwC”) | $ | 4,031,292 | $ | 3,492,375 | Financial Statement audits. | |||||||
Audit-Related Fees: | ||||||||||||
• PwC | $ | 344,654 | $ | 210,602 | Other attest services. | |||||||
Tax Fees: | ||||||||||||
• PwC | $ | 54,425 | $ | 1,069,045 | Tax compliance services provided in connection with the preparation and review of registrant’s tax returns and certain other tax-related services. |
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.
2020 | 2019 | Description of Services Rendered | ||||||||||
|
|
|
|
| ||||||||
Audit-Related Fees: | ||||||||||||
• PwC | $ | 2,026,617 | $ | 2,339,266 | Internal control review performed in accordance with Statement on Standards for Attestation Engagements No. 16 and Semi-Annual Updates related to withholding tax accrual for non-US Jurisdictions. 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 November 30, 2020 and November 30, 2019 were approximately $399,079 and $1,279,647, 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, 2019 and December 31, 2018 were approximately $14.7 million and $12.3 million, respectively. The figures for these entities are not yet available for the twelve months ended December 31, 2020. With regard to the aggregate non-audit fees billed to GST’s adviser and service affiliates, the 2019 and 2018 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 Shareholders 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 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. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
Not applicable. |
ITEM 13. | EXHIBITS. |
(a)(1) | Goldman Sachs Trust’s Code of Ethics for Principal Executive and Senior Financial Officers is incorporated by reference to Exhibit 13(a)(1) of the registrant’s Form N-CSR filed on May 5, 2020. | |||
(a)(2) | Exhibit 99.CERT | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith. | ||
(a)(3) | Not applicable to open-end investment companies. | |||
(a)(4) | There was no change in the registrant’s independent public accountant for the period covered by this report. | |||
(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: | February 5, 2021 |
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: | February 5, 2021 | |
By: | /s/ Joseph F. DiMaria | |
| ||
Joseph F. DiMaria | ||
Principal Financial Officer | ||
Goldman Sachs Trust | ||
Date: | February 5, 2021 |