N-Q 1 e84216nvq.htm FORM N-Q nvq

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

     
Investment Company Act file number
  
811-05349
   

Goldman Sachs Trust

(Exact name of registrant as specified in charter)

71 South Wacker Drive, Chicago, Illinois 60606

(Address of principal executive offices)                                                             (Zip code)
     
Peter V. Bonanno, Esq.
Goldman, Sachs & Co.
200 West Street
New York, New York 10282		   Copies to:
Geoffrey R.T. Kenyon, Esq.
Dechert LLP
200 Clarendon Street
27th Floor
Boston, MA 02116-5021
(Name and address of agent for service)
     
Registrant’s telephone number, including area code:
  
(312) 655-4400
   
     
Date of fiscal year end:
  
     October 31
   
     
Date of reporting period:
  
March 31, 2010
   

Item 1. Schedule of Investments.

 

 

GOLDMAN SACHS DYNAMIC ALLOCATION FUND
Schedule of Investments
March 31, 2010 (Unaudited)

                             
Principal     Interest   Maturity      
Amount     Rate   Date   Value  
Commodity Index-Linked Structured Note(a)(b)(c)(d) — 3.2%
Bank of America Corp.
$
     900,000       0.246 %   02/25/11   $ 708,335  
 
                 
Shares     Description     Value
Exchange Traded Funds — 15.0%
  48,404    
iShares MSCI Emerging Markets Index Fund
  $ 2,038,776  
  18,528    
iShares Russell 2000 Index Fund
    1,256,384  
 
TOTAL EXCHANGE TRADED FUNDS   $ 3,295,160  
 
                             
Principal     Interest   Maturity      
Amount     Rate   Date   Value  
U.S. Treasury Obligation — 30.0%
United States Treasury Inflation-Protected Security
$
     6,680,000       1.423 %   01/15/20   $ 6,560,799  
 
                 
Shares     Description     Value
Short-term Investment(b) — 48.3%
JPMorgan U.S. Government Money Market Fund — Capital Shares
  10,577,955     0.031%   $ 10,577,955  
 
TOTAL INVESTMENTS — 96.5%   $ 21,142,249  
 
OTHER ASSETS IN EXCESS OF LIABILITIES — 3.5%     759,618  
 
NET ASSETS — 100.0%   $ 21,901,867  
 
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a) Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser. Total market value of Rule 144A securities amounts to $708,335, which represents approximately 3.2% of net assets as of March 31, 2010.
(b) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2010.
(c) This Structured Note takes into consideration a leverage factor of 300% on the return of the underlying linked index.
(d) Security is linked to the Dow Jones-UBS Commodity Index Total Return (the “DJ-UBSCI Total Return”). The DJ-UBSCI Total Return is a composite of commodity sector returns, representing an unleveraged, long-only investment in commodity futures that is diversified across the spectrum of commodities. The DJ-UBSCI Total Return is composed of nineteen commodities in nine diverse sectors: energy, petroleum, precious metals, industrial metals, grains, livestock, softs, and agriculture and exenergy.
For Information on the mutual funds, please call our toll-free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.goldmansachsfunds.com.


 

 

GOLDMAN SACHS DYNAMIC ALLOCATION FUND
Schedule of Investments (continued)
March 31, 2010 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At March 31, 2010, the following futures contracts were open:
                                 
    Number of                
    Contracts   Expiration   Current   Unrealized
Type   Long (Short)   Date   Value   Gain (Loss)
 
CAC 40 Index
     2     April 2010   $ 107,282     $ (152 )
Euro-Bund
     4     June 2010     666,411       3,540  
FTSE 100 Index
     3     June 2010     255,418       (961 )
Long Gilt
     1     June 2010     174,133       2,718  
OMX Stockholm 30 Index
     2     April 2010     28,183       138  
S&P 500 E-mini Index
     89     June 2010     5,185,140       83,655  
S&P/TSX 60 Index
     1     June 2010     138,532       680  
SPI 200 Index
     1     June 2010     111,931       (395 )
TOPIX Index
     2     June 2010     209,113       9,331  
10-Year JGB
     1     June 2010     1,478,447       (11,459 )
10-Year U.S. Treasury Notes
     6     June 2010     697,500       3,458  
 
TOTAL
                           $ 90,553  
 
SWAP CONTRACTS — At March 31, 2010, the Fund had an outstanding swap contracts with the following terms:
CREDIT DEFAULT SWAP CONTRACTS
                                                                 
                                              Upfront      
            Notional   Rates           Credit Spread at           Payments Made      
Swap   Reference   Amount   Received (Paid)   Termination   March 31, 2010(a)   Market   (Received) by   Unrealized
Counterparty   Obligation   (000’s)   by the Fund   Date   (basis points)   Value   the Fund   Gain (Loss)
 
Protection Sold:
UBS AG
   CDX North America                                                        
 
   High Yield Index   $ 2,871       5.000 %     12/20/14       502     $ 2,132     $ (87,208 )   $ 89,340  
 
(a) A credit spread on the referenced obligation, together with the period of expiration, is an indicator of payment/performance risk. The likelihood of a credit event occurring which would require a fund to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and term of the swap contract increase.
TAX INFORMATION — At March 31, 2010, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
         
 
Tax Cost
   $ 21,345,973  
 
Gross unrealized gain
     90,706  
Gross unrealized loss
     (294,430 )
 
Net unrealized security loss
   $ (203,724 )
 

 

 

GOLDMAN SACHS DYNAMIC ALLOCATION FUND
Schedule of Investments
March 31, 2010 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS
Investment Valuation — The investment valuation policy of the Fund is to value investments at market value. Investments in equity securities and investment companies traded on a foreign securities exchange are valued daily at fair value determined by an independent fair value service (if available) under valuation procedures approved by the trustees consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the United States (“U.S.”) securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchanges. While the independent fair value service may not take into account market or security specific information, under the valuation procedures, these securities might also be fair valued by Goldman Sachs Asset Management, L.P. (“GSAM”) by taking into consideration market or security specific information as discussed below.
     Investments in equity securities and investment companies traded on a U.S. securities exchange or the NASDAQ system are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. Investments in equity securities and investment companies traded on a foreign securities exchange for which an independent fair value service cannot provide a quote are valued daily at their last sale price or official closing price on the principal exchange on which they are traded. If no sale occurs, such securities and investment companies are valued at the last bid price for long positions and at the last ask price for short positions. Debt securities for which market quotations are readily available are valued on the basis of quotations furnished by an independent pricing service approved by the trustees or provided by securities dealers. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from bond dealers to determine current value. If accurate quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined based on yield equivalents, a pricing matrix or other sources, under valuation procedures established by the trustees. Unlisted equity securities for which market quotations are available are valued at the last sale price on valuation date, or if no sale occurs, at the last bid price. In the absence of market quotations, broker quotes will be utilized or the security will be fair valued. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share (“NAV”) on the valuation date. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at amortized cost, which approximates market value.
GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the previous closing prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. Significant events that could affect a large number of securities in a particular market may include, but are not limited to: situations relating to one or more single issuers in a market sector; significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions or market closings; equipment failures; natural or man-made disasters or acts of God; armed conflicts; government actions or other developments; as well as the same or similar events which may affect specific issuers or the securities markets even though not tied directly to the securities markets. Other significant events that could relate to a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; corporate announcements, including those relating to earnings, products and regulatory news; significant litigation; low trading volume; and trading limits or suspensions.

 

 

GOLDMAN SACHS DYNAMIC ALLOCATION FUND
Schedule of Investments
March 31, 2010 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (CONTINUED)
Fair Value Investments — The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). Accounting principles generally accepted in the United States of America (“GAAP”) establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including but not limited to quoted prices for similar securities, interest rates, foreign exchange rates, prepayment speeds and credit risk), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
     The following is a summary of the Fund’s investments categorized in the fair value hierarchy, as of March 31, 2010:
                         
    Level 1   Level 2   Level 3
 
Assets
                        
Fixed Income
                        
Corporate Obligation
   $ —     $ 708,335     $ —  
Exchange Traded Funds
     3,295,160       —       —  
U.S. Treasuries and/or Other U.S. Government Obligations and Agencies
     6,560,799       —       —  
Short-term Investment
     10,577,955       —       —  
Derivatives
     103,520       2,132       —  
 
Total
   $ 20,537,434     $ 710,467     $ —  
 
Liabilities
                        
Derivatives
   $ (12,967 )   $ —     $ —  
 
Commodity Index-Linked Structured Notes — The Fund may invest in structured notes whose values are based on the price movements of a commodity index. Commodity index-linked structured notes are valued daily by the issuing counterparties under procedures approved by the trustees. The value of these notes will rise and fall in response to changes in the underlying commodity or related index or investment. The structured notes are often leveraged, increasing the volatility of each note’s value relative to the change in the underlying linked index. Commodity index-linked investments may be more volatile and less liquid than the underlying index and their value may be affected by the performance of commodities as well as other factors including liquidity, quality, maturity and other economic variables. These structured notes are subject to prepayment, credit and interest rate risks. The structured notes have an automatic redemption feature if the underlying index declines from the entrance date by the amount specified in the agreement. The Fund has the option to request prepayment from the issuer at any time. Interim payments received are recorded as net realized gains, and at maturity, or when a structured note is sold, the Fund records a realized gain or loss.

 

 

GOLDMAN SACHS DYNAMIC ALLOCATION FUND
Schedule of Investments
March 31, 2010 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (CONTINUED)
Futures Contracts — The Fund may purchase or sell futures contracts to hedge against changes in interest rates, securities prices, currency exchange rates, or to seek to increase total return. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when a contract is closed or expires.
     The use of futures contracts involves, to varying degrees, elements of market and counterparty risk which may exceed the amounts recognized in the Statement of Assets and Liabilities. Futures contracts may be illiquid, and exchanges may limit fluctuations in futures contract prices during a single day. Changes in the value of a futures contract may not directly correlate with changes in the value of the underlying securities. These risks may decrease the effectiveness of the Fund’s strategy and potentially result in a loss. The Fund must set aside liquid assets, or engage in other appropriate measures, to cover their obligations under these contracts.

 

 

GOLDMAN SACHS DYNAMIC ALLOCATION FUND
Schedule of Investments
March 31, 2010 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (CONTINUED)
Swap Contracts — The Fund may enter into swap transactions for hedging purposes or to seek to increase total return. Risks may arise as a result of the failure of the counterparty to the swap contract to comply with the terms of the swap contract. The loss incurred by the failure of a counterparty is generally limited to the net payment to be received by the Fund and/or the termination value at the end of the contract. Therefore, the Fund considers the creditworthiness of each counterparty to a contract in evaluating potential credit risk. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying reference asset or index. Entering into these agreements involves, to varying degrees, market risk, liquidity risk and elements of credit, legal and documentation risk in excess of amounts recognized in the Statement of Assets and Liabilities. The Fund may pay or receive cash as collateral on these contracts which may be recorded as an asset and/or liability. The Fund must set aside liquid assets, or engage in other appropriate measures, to cover their obligations under these contracts.
     Swaps are marked to market daily using either pricing vendor quotations, counterparty prices or model prices and the change in value, if any, is recorded as an unrealized gain or loss. Upfront payments made and/or received by the Fund are recorded as an asset and/or liability and realized gains or losses are recognized ratably over the contract’s term/event, with the exception of forward starting interest rate swaps, whose realized gains or losses are recognized ratably from the effective start date. Periodic payments received or made on swap contracts are recorded as realized gains or losses. Gains or losses are realized upon termination of a swap contract and are recorded on the Statement of Operations. The Fund invests in the following type of swap:
     A credit default swap is an agreement that involves one party making a stream of payments to another party in exchange for the right to receive protection on a reference security or obligation. A Fund may use credit default swaps to provide a measure of protection against defaults of the reference security or obligation or to take a short position with respect to the likelihood of default. A Fund’s investment in credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. If a Fund buys protection through a credit default swap and no credit event occurs, its payments are limited to the periodic payments previously made to the counterparty. Upon the occurrence of a specified credit event, a Fund, as a buyer of credit protection, is entitled to receive an amount equal to the notional amount of the swap and deliver to the seller the defaulted reference obligation in a physically settled trade. A Fund may also receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade.
     As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if the Fund sells protection through a credit default swap, the Fund could suffer a loss because the value of the referenced obligation may be less than the premium payments received. Upon the occurrence of a specified credit event, the Fund, as sellers of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional amount of the swap in a physically settled trade. The Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade. Recovery values are at times established through the credit event auction process in which market participants are ensured that a trustworthy and transparent price has been set for the defaulted security or obligation. In addition, the Fund is entitled to a return of any assets, which have been pledged as collateral to the counterparty.
     The Fund’s credit default swaps are disclosed in the Additional Investment Information section of the Schedule of Investments. The maximum potential amount of future payments (undiscounted) that the Fund as sellers of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where the Fund bought credit protection.

 

 

GOLDMAN SACHS DYNAMIC ALLOCATION FUND
Schedule of Investments
March 31, 2010 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (CONTINUED)
Treasury Inflation-Protected Securities —The Fund may invest in treasury inflation-protected securities (“TIPS”), including structured bonds in which the principal amount is adjusted daily to keep pace with inflation, as measured by the U.S. Consumer Pricing Index for Urban Consumers. The adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost. Such adjustments may have a significant impact on the Fund’s distributions and may result in a return of capital to shareholders. The repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.
Investments in Derivatives — The Fund may make investments in derivative instruments, including, but not limited to, options, futures, swaps and other derivatives relating to foreign currency transactions. A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. Derivative instruments may be privately negotiated contracts (often referred to as over the counter (“OTC”) derivatives) or they may be listed and traded on an exchange. Derivative contracts may involve future commitments to purchase or sell financial instruments or commodities at specified terms on a specified date, or to exchange interest payment streams or currencies based on a notional or contractual amount. Derivative instruments may involve a high degree of financial risk. The use of derivatives also involves the risk of loss if the investment adviser is incorrect in its expectation of the timing or level of fluctuations in securities prices, interest rates or currency prices. Investments in derivative instruments also include the risk of default by the counterparty, the risk that the investment may not be liquid and the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument.
     GAAP requires enhanced disclosures about the Fund’s derivatives and hedging activities. The following tables set forth the gross value of the Fund’s derivative contracts for trading activities by certain risk types as of March 31, 2010. The values in the table below exclude the effects of cash collateral received or posted pursuant to derivative contracts, and therefore are not representative of the Fund’s net exposure.
                   
    Derivative     Derivative
Risk   Assets     Liabilities
 
 
Credit
   $ 2,132       $ —  
Equity
     93,804         (1,508 )
Interest rate
     9,716         (11,459 )
 
 
Total
   $ 105,652       $ (12,967 )
 
 
Foreign Custody Risk — A Fund that invests in foreign securities may hold such securities and foreign currency with foreign banks, agents, and securities depositories (each a “Foreign Custodian”) appointed by the Fund’s custodian. Investments in emerging markets may be subject to greater custody risks than investments in more developed markets. Custody services in emerging market countries are often undeveloped and may be less regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries. In some countries, Foreign Custodians may be subject to little or no regulatory oversight or independent evaluation of their operations. Further, the laws of certain countries may place limitations on a Fund’s ability to recover its assets if a Foreign Custodian enters into bankruptcy.
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer fails to perform or that an institution or entity with which the Fund has unsettled or open transaction defaults.
     Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, be subject to government ownership controls, have delayed settlements, and their prices may be more volatile than those of comparable securities in the U.S.

 

 

Item 2. Controls and Procedures.

(a)   The Registrant’s President and Principal Financial Officer concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) were effective as of a date within 90 days prior to the filing date of this report (the “Evaluation Date”), based on their evaluation of the effectiveness of the Registrant’s disclosure controls and procedures as of the Evaluation Date.

(b)   There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the Registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 3. Exhibits.

(a)   Separate certifications for the president and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are 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.

             
(Registrant)
   Goldman Sachs Trust  
   
By (Signature and Title)*   /s/ JAMES A. McNAMARA, PRESIDENT    
     
   
Date
   May 28, 2010  
   

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 (Signature and Title)*   /s/ JAMES A. McNAMARA, PRESIDENT    
     
   
Date
   May 28, 2010  
   
By (Signature and Title)*   /s/ GEORGE F. TRAVERS, PRINCIPAL FINANCIAL OFFICER    
     
   
Date
   May 28, 2010  
   

* Print the name and title of each signing officer under his or her signature.