-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, FRenBoyqYDceDrBcZC8OUTCHD3ONXruU6LVXaN66/QnPEBbSf1Y0emgy3E4CZH8G A6XqDMr7GwotRjIDhYgqXg== 0000950123-10-110110.txt : 20101201 0000950123-10-110110.hdr.sgml : 20101201 20101201171948 ACCESSION NUMBER: 0000950123-10-110110 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 20 CONFORMED PERIOD OF REPORT: 20100930 FILED AS OF DATE: 20101201 DATE AS OF CHANGE: 20101201 EFFECTIVENESS DATE: 20101201 FILER: COMPANY DATA: COMPANY CONFORMED NAME: GOLDMAN SACHS TRUST CENTRAL INDEX KEY: 0000822977 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-05349 FILM NUMBER: 101225543 BUSINESS ADDRESS: STREET 1: 71 SOUTH WACKER DRIVE STREET 2: C/O GOLDMAN SACHS & CO CITY: CHICAGO STATE: IL ZIP: 60606 BUSINESS PHONE: 3126554400 MAIL ADDRESS: STREET 1: 200 WEST STREET CITY: NEW YORK STATE: NY ZIP: 10282 FORMER COMPANY: FORMER CONFORMED NAME: GOLDMAN SACHS SHORT INTERMEDIATE GOVERNMENT FUND DATE OF NAME CHANGE: 19910711 FORMER COMPANY: FORMER CONFORMED NAME: SHORT INTERMEDIATE GOVERNMENT FUND DATE OF NAME CHANGE: 19900104 0000822977 S000009300 Goldman Sachs Enhanced Income Fund C000025376 Goldman Sachs Enhanced Income Fund C000025377 Institutional GEIIX C000025378 Administration GEADX C000025379 Class A GEIAX C000041008 Class B GEJBX C000090758 IR 0000822977 S000009302 Goldman Sachs Ultra-Short Duration Government Fund C000025383 Goldman Sachs Ultra-Short Duration Government Fund C000025384 Institutional GSARX C000025385 Service GSASX C000025386 Class A GSAMX C000058951 Class IR 0000822977 S000009303 Goldman Sachs Short Duration Government Fund C000025387 Goldman Sachs Short Duration Government Fund C000025388 Institutional GSTGX C000025389 Service GSDSX C000025390 Class A GSSDX C000025391 Class B GSDGX C000025392 Class C GSDCX C000058952 Class IR 0000822977 S000009304 Goldman Sachs Government Income Fund C000025393 Goldman Sachs Government Income Fund C000025394 Institutional GSOIX C000025395 Service GSOSX C000025396 Class A GSGOX C000025397 Class B GSOBX C000025398 Class C GSOCX C000058953 Class R C000058954 Class IR 0000822977 S000018567 Goldman Sachs Inflation Protected Securities Fund C000051524 Class A GSAPX C000051525 Class C GSCFX C000051526 Institutional GSIPX C000059010 Class R C000059011 Class IR N-CSRS 1 y87260nvcsrs.htm FORM N-CSRS nvcsrs

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-05349


Goldman Sachs Trust


(Exact name of registrant as specified in charter)

71 South Wacker Drive, Chicago, Illinois 60606


(Address of principal executive offices) (Zip code)
     
Peter V. Bonanno, Esq.   Copies to:
Goldman, Sachs & Co.   Geoffrey R. T. Kenyon, Esq.
200 West Street   Dechert LLP
New York, New York 10282   200 Clarendon Street
    27th Floor
    Boston, MA 02116-5021

(Name and address of agents for service)

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


Date of fiscal year end: March 31


Date of reporting period: September 30, 2010


     
ITEM 1.   REPORTS TO STOCKHOLDERS.
     
    The Semi-Annual Report to Stockholders is filed herewith.

 


 

Goldman Sachs Funds
 
 
 
       
       
Semi-Annual Report
    September 30, 2010
        
       
       
      Short Duration and Government
Fixed Income Funds
      Enhanced Income
      Government Income
      Inflation Protected Securities
      Short Duration Government
      Ultra-Short Duration Government
       
 
(GOLDMAN SACHS ASSET MANAGEMENT LOGO)
 


 

Goldman Sachs Short Duration and Government
Fixed Income Funds
 
 
n  ENHANCED INCOME  
 
n  GOVERNMENT INCOME  
 
n  INFLATION PROTECTED SECURITIES  
 
n  SHORT DURATION GOVERNMENT  
 
n  ULTRA-SHORT DURATION GOVERNMENT  
 
 
 
TABLE OF CONTENTS
 
     
Principal Investment Strategies and Risks
  1
Investment Process
  3
Market Review
  4
Portfolio Management Discussions and
Performance Summaries
  6
Schedules of Investments
  27
Financial Statements
  52
Notes to Financial Statements
  59
Financial Highlights
  78
Other Information
  88
 
 
 
 
             
NOT FDIC-INSURED
    May Lose Value     No Bank Guarantee
             


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

Principal Investment Strategies and Risks
 
The Enhanced Income Fund invests primarily in a portfolio of fixed income government securities, including non-mortgage securities issued or guaranteed by the U.S. government, its agencies, instrumentalities or sponsored enterprises, corporate notes and commercial paper and fixed and floating rate asset-backed securities. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. Investors in this Fund should understand that the net asset value of the Fund will fluctuate, which may result in a loss of the principal amount invested. The Fund may invest in foreign securities, which may be more volatile and less liquid than its investments in U.S. securities and will be subject to the risks of currency fluctuations and sudden economic or political developments. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; the risk of default by a counterparty; and the risk that transactions may not be liquid.
 
The Government Income Fund invests primarily in U.S. government securities and in repurchase agreements collateralized by such securities. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. The Fund’s net asset value and yield are not guaranteed by the U.S. government or by its agencies, instrumentalities or sponsored enterprises. The guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund’s investments in mortgage-backed securities are subject to prepayment risks. These risks may result in greater share price volatility. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; the risk of default by a counterparty; and the risk that transactions may not be liquid.
 
The Inflation Protected Securities Fund invests primarily in inflation protected securities of varying maturities issued by the U.S. Treasury and other U.S. and non-U.S. Government agencies and corporations. The remainder of the Fund’s assets may be invested in other fixed income securities, including U.S. government securities, asset-backed securities, mortgage-backed securities, corporate securities, high yield securities and securities issued by foreign corporate and governmental issuers. Inflation protected securities are fixed income securities whose interest and principal payments are periodically adjusted according to the rate of inflation. The market value of inflation protected securities is not guaranteed, and will fluctuate in response to changes in real interest rates. Fixed income securities are subject to the risks associated with debt securities, including credit, liquidity and interest rate risk. High yield, lower rated fixed income securities involve greater price volatility and present greater risks than higher rated fixed income securities. Fixed income securities issued by foreign or emerging market issuers are less liquid and are subject to greater price volatility than U.S. securities and will be subject to the risks of currency fluctuations and fluctuations due to sudden economic or political developments.
 
 
 
 
1 


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

 
The Short Duration Government Fund invests primarily in U.S. government securities and in repurchase agreements collateralized by such securities. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. The Fund is not a money market fund. Investors in this Fund should understand that the net asset value of the Fund will fluctuate, which may result in a loss of the principal amount invested. The Fund’s net asset value and yield are not guaranteed by the U.S. government or by its agencies, instrumentalities or sponsored enterprises. The guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund’s investments in mortgage-backed securities are subject to prepayment risks. These risks may result in greater share price volatility. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; the risk of default by a counterparty; and the risk that transactions may not be liquid.
 
The Ultra-Short Duration Government Fund invests primarily in U.S. government securities, including securities representing an interest in or collateralized by adjustable rate and fixed rate mortgage loans or other mortgage-related securities, and in repurchase agreements collateralized by U.S. government securities. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. The Fund is not a money market fund. Investors in this Fund should understand that the net asset value of the Fund will fluctuate, which may result in a loss of the principal amount invested. The Fund’s net asset value and yield are not guaranteed by the U.S. government or by its agencies, instrumentalities or sponsored enterprises. The guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund’s investments in mortgage-backed securities are subject to prepayment risks. These risks may result in greater share price volatility. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; the risk of default by a counterparty; and the risk that transactions may not be liquid.
 
 
 
 2


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

What Differentiates Goldman Sachs Asset
Management’s Fixed Income Investment Process?
 
At Goldman Sachs Asset Management, L.P. (“GSAM”), the goal of our fixed income investment process is to provide consistent, strong performance by actively managing our portfolios within a research-intensive, risk-managed framework.
 
A key element of our fixed income investment philosophy is to evaluate the broadest global opportunity set to capture relative value across sectors and instruments. Our globally integrated investment process involves managing dynamically along the risk/return spectrum, as we continue to develop value-added strategies through:
 
(GRAPHIC)
 
  n  Assess relative value among securities and sectors
 
  n  Leverage the vast resources of GSAM in selecting securities for each portfolio
 
(GRAPHIC)
 
  n  Team approach to decision making
 
  n  Manage risk by avoiding significant sector and interest rate bets
 
  n  Careful management of yield curve strategies — while closely managing portfolio duration
 
(GRAPHIC)
 
Fixed Income portfolios that:
 
  n  Include domestic and global investment options, income opportunities, and access to areas of specialization such as high yield  
 
  n  Capitalize on GSAM’s industry-renowned credit research capabilities  
 
  n  Use a risk-managed framework to seek total return, recognizing the importance of investors’ capital accumulation goals as well as their need for income  
 
 
 
3 


 

MARKET REVIEW
 
 

Goldman Sachs Short Duration and
Government Fixed Income Funds
Market Review
 
The six months ended September 30, 2010 (the “Reporting Period”) brought the first signals of slowing momentum in global economic growth — a development that in our view was broadly consistent with the traditional cycle of recovery. After the recession ended in June 2009 (the date officially cited by the National Bureau of Economic Research), the world’s largest economies had begun to rebound. However, by the spring of 2010, global economic conditions showed signs of deterioration. The slowdown was most evident in the U.S. and China, raising concerns that the world’s two largest economies — both crucial sources of worldwide demand — might lead the global economy into a double-dip of the recession. Doubts about the sustainability of the global economic recovery drove sharp declines in government bond yields. In the U.S., for example, yields on 10-year Treasuries fell from 3.87% at the beginning of the Reporting Period to 2.51% on September 30, 2010.
 
During the second calendar quarter, the broader market impact of the economic slowdown was magnified by the sovereign debt crisis unfolding in Europe. Investors’ risk appetite suffered against this backdrop, and corporate bonds and emerging markets debt weakened in line with falling equity prices. By May, doubts about the solvency of peripheral European nations — Portugal, Italy, Ireland, Greece and Spain — had reached a fevered pitch. Those solvency concerns were based on high indebtedness and record budget deficits among the peripheral European nations. On April 27th, Greece’s debt rating was cut to junk by Standard & Poor’s, and risk premiums rose on Greek debt and on the sovereign debt of its similarly fiscally troubled neighbors, threatening a crisis. European lawmakers worked jointly with the International Monetary Fund (IMF) and the European Central Bank (ECB) to avert a liquidity crisis and to prevent contagion from spreading around the world through Europe’s still-fragile banking system. Although policymakers’ response succeeded in stabilizing peripheral European markets, volatility continued to flare intermittently through the end of the Reporting Period.
 
Riskier fixed income assets recovered during the third calendar quarter much of the ground they had lost in the months prior, and corporate bond markets experienced a record surge in new issuance. This rebound in risk appetite was helped by stronger economic signals. For example, reports of second quarter Gross Domestic Product (GDP) figures indicated that growth in the Eurozone had outstripped that of both the U.S. and Japan, primarily because of improved domestic demand among the largest European states and Germany’s exceptional exports strength. September’s economic data showed that while U.S. manufacturing and services activity had slowed, both sectors continued to expand. In China, expansion of its manufacturing sector seemed to be re-accelerating, judging by the most recently available purchasing managers survey. Still, economic growth remained below trend across the G-3 (the three largest developed economies — the U.S., Eurozone and Japan).
 
In the U.S., with consumer demand still weak and employment still declining, attention turned to the dwindling policy options for further stimulus. The increased focus on the widening fiscal deficit made substantial increases in government spending unlikely. Short-term interest rates had remained near zero for almost two years. During September, Federal Reserve (the “Fed”) policymakers began to demonstrate a clear willingness to revisit the exceptional bond-buying strategy it had halted earlier this year, thereby opening the door to a resumption of a second round of quantitative easing. As a result, by the end of the Reporting Period, U.S. markets were strongly positioned for more aggressive Treasury purchases by the Fed, and two-year Treasury yields had reached an all-time low near 0.5%.
 
 
 
 4


 

MARKET REVIEW
 
 

 
Looking Ahead
 
During the Reporting Period, we grew increasingly convinced that the positives in the global economy outweigh the negatives and that economic growth will likely continue at a slow but steady pace. In the U.S., we believe the building blocks for growth are still in place and that downside risks are limited by two key factors. First, the Fed is likely, in our view, to resume quantitative easing, which should keep financial conditions highly accommodative. Second, leverage, or the use of borrowed money, in the U.S. private sector and financial system broadly has declined dramatically since 2008, and as such, we think the possibility of another severe pullback in either asset prices or employment is significantly reduced.
 
The biggest risk to continued economic recovery, in our view, is fiscal tightening in the U.S., where $270 billion of tax cuts and $75 billion of tax credits are scheduled to expire at the end of 2010. We estimate the expiration of these measures would be equivalent to approximately a 10% annualized decline in disposable income, or about 2% of GDP. If this scenario materializes, the risk of a double-dip recession in the U.S. may well rise. We further believe that a massive amount of quantitative easing from the Fed would be required to offset the impact of such a scenario on economic growth. However, that said, at the end of the Reporting Period, we considered this a low-probability risk and believed that a compromise would likely be reached to extend most of these tax measures for at least the next couple of years.
 
From an investment perspective, we think the slow but steady economic growth environment, combined with Fed asset purchases, favors overweight positions in high quality non-Treasury sectors. We anticipate that U.S. interest rates may stabilize as economic growth settles into a slower but steady range. Given our view that the Fed will resume quantitative easing, we favored an overweight position in the intermediate portion of the U.S. yield curve, or spectrum of maturities, at the end of the Reporting Period. In the intermediate, i.e. five- to ten-year, portion of the yield curve, we believe the likelihood of further quantitative easing reduces the downside risk of higher interest rates and increases the possibility of a stronger rally in rates than would be justified by economic fundamentals alone. We believe, however, that rates on 30-year maturities are likely to move higher on investor concerns about the potential long-term inflationary effect of more quantitative easing.
 
Against this backdrop, we saw value in high quality non-Treasury sectors, including corporate bonds and certain agency mortgage-backed securities. Yields on corporate bonds were low at the end of the Reporting Period, but the difference between yields on corporate bonds and U.S. Treasuries remained near long-term historical averages. As a result, we believe much of the yield on corporate bonds was compensation for credit risk, which, in our view, is low and declining given the prevalence of high corporate cash balances and cautious, credit-friendly business strategies.
 
 
 
5 


 

PORTFOLIO RESULTS
 
 

Goldman Sachs Enhanced Income Fund
 
 
Investment Objective
 
The Fund seeks to generate return in excess of traditional money market products while maintaining an emphasis on preservation of capital and liquidity.
 
 
 
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs Enhanced Income Fund’s performance and positioning for the six-month period ended September 30, 2010 (the “Reporting Period”).
 
How did the Goldman Sachs Enhanced Income Fund (the “Fund”) perform during the Reporting Period?
 
A  During the Reporting Period, the Fund’s Class A, B, Institutional and Administration Shares generated cumulative total returns, without sales charges, of 0.13%, −0.34%, 0.30% and 0.18%, respectively. These returns compare to the 0.36% cumulative total return of the Goldman Sachs Enhanced Income Fund Composite Index (the “Enhanced Income Composite”) during the same period. The Enhanced Income Composite is comprised 50% of the Six-Month U.S. Treasury Bill Index and 50% of the One-Year U.S. Treasury Note Index, which generated cumulative total returns of 0.21% and 0.51%, respectively, over the same time period.
 
The Fund’s Class IR Shares were launched on July 30, 2010. During the period from inception through September 30, 2010, the Fund’s Class IR Shares generated a cumulative total return, without sales charge, of 0.21%. This compares to the 0.10% cumulative total return of the Enhanced Income Composite during the same time period.
 
What key factors were responsible for the Fund’s performance during the Reporting Period?
 
A  Both top-down and bottom-up strategies had an impact on the Fund’s performance during the Reporting Period. Within our top-down strategies, our cross-sector strategy contributed the most to relative performance. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark. Bottom-up individual issue selection within the corporate bond and government/agency sectors contributed positively.
 
The primary detractor from Fund performance was our duration strategy. Duration is a measure of the Fund’s sensitivity to changes in interest rates.
 
Which fixed income market sectors most significantly affected Fund performance?
 
A  Exposure to debt backed by the FDIC (Federal Deposit Insurance Corporation) added value, especially in May, when the demand for debt with an explicit government guarantee peaked. At that time, a classic flight to quality took hold, as investor concerns regarding bank liquidity and the possible contagion effect of the sovereign credit risk of the peripheral European nations drove spreads, or the differential in yields between a particular sector’s securities and U.S. Treasuries, wider across markets. The markets experienced their largest correction since March 2009.
 
Selection of short-dated corporate bonds also contributed positively to Fund results during the Reporting Period, especially during the third calendar quarter. Sentiment in the corporate bond market showed signs of improvement, buoyed by the results of the European bank stress tests and strong corporate earnings reports. Technicals in the corporate bond market also bettered, as liquidity within the corporate bond sector hit an all-time high and credit metrics showed signs of improvement as companies repaired their balance sheets.
 
There were no real detractors from a sector allocation or security selection perspective during the Reporting Period.
 
Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?
 
A  Tactical management of the Fund’s duration and yield curve positioning detracted from its results during the Reporting Period. During May, we held underweighted
 
 
 
 6


 

PORTFOLIO RESULTS
 
 

 
positions in the five-year segment of the U.S. Treasury yield curve, as we believed contagion risk from the European bond markets, although contained, could lead to increased risk premia for all indebted sovereigns. The improving economic growth data in mid-May further backed our positioning decision. However, such positioning hurt performance as U.S. Treasury yields dropped sharply during the second calendar quarter. Volatility in the equity market together with the rising concern about the health of the European banking sector led to reduced investor risk appetite and higher demand for U.S. Treasury securities as a safe haven. As mentioned earlier, duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector.
 
How did the Fund use derivatives during the Reporting Period?
 
A  As a tool to get exposure to single name credits and to manage credit and interest rate risks, the Fund used Treasury and Eurodollar futures and credit default swaps during the Reporting Period. Through the use of Treasury and Eurodollar futures, we were able to implement security specific views in a cost effective manner. By using single name credit default swaps, we were able to gain exposure to single names when the opportunity to efficiently do so via cash bonds was not present in the secondary market.
 
Were there any notable changes in the Fund’s weightings during the Reporting Period?
 
A  During the Reporting Period, we increased the Fund’s allocation to investment grade corporate bonds. U.S. companies in particular have undertaken substantial balance sheet repair during the economic downturn. We expect them to maintain conservative balance sheets and lean operating structures in light of weak consumer confidence and increased regulatory pressures.
 
How was the Fund positioned relative to its benchmark indices at the end of September 2010?
 
A  While the Fund is benchmarked to U.S. Treasuries, it continued to hold a portion of its assets in non-Treasury sectors not represented in the benchmark indices, including quasi-government securities, such as agency securities and government-guaranteed corporate bonds, as well as asset-backed securities and investment-grade corporate bonds. The Fund also had exposure to covered bonds. Covered bonds are securities created from either mortgage loans or public sector loans and make up one of the oldest and largest sectors of the European bond market. The Fund also had a position in cash at the end of the Reporting Period. The Fund maintained a modestly longer duration relative to the benchmark index at the end of the Reporting Period.
 
 
 
7 


 

FUND BASICS
 
 

Enhanced Income Fund
as of September 30, 2010
 
(GRAPHIC)
PERFORMANCE REVIEW
 
                                                 
    Fund Total
    Six-Month
    One-Year
    Goldman Sachs
    30-Day
    30-Day
 
    Return
    U.S.
    U.S.
    Enhanced
    Standardized
    Standardized
 
April 1, 2010–
  (based on
    Treasury
    Treasury
    Income Fund
    Subsidized
    Unsubsidized
 
September 30, 2010   NAV)1     Bill Index2     Note Index2     Composite Index     Yield3     Yield3  
 
 
Class A
    0.13 %     0.21 %     0.51 %     0.36 %     0.31 %     0.31 %
Class B
    -0.34       0.21       0.51       0.36       -0.43       -0.43  
Institutional
    0.30       0.21       0.51       0.36       0.65       0.65  
Administration
    0.18       0.21       0.51       0.36       0.40       0.40  
 
July 30, 2010–
September 30, 2010
Class IR
    0.21 %     N/A       N/A       0.10 %     0.72 %     0.72 %
1 The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.
2 The Six-Month U.S. Treasury Bill Index and One-Year U.S. Treasury Note Index, as reported by Merrill Lynch, do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index.
3 The 30-Day Standardized Subsidized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price (“POP”) per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not reflect any applicable expense reductions.
 
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS4
 
                                         
For the period ended 9/30/10   One Year     Five Years     Ten Years     Since Inception     Inception Date    
 
Class A
    -0.78 %     2.73 %     2.88 %     2.95 %   8/2/00    
Class B
    -5.09       N/A       N/A       0.67     6/20/07    
Institutional
    1.10       3.44       3.41       3.48     8/2/00    
Class IR
    N/A       N/A       N/A       0.21     7/30/10    
Administration
    0.85       3.22       3.18       3.24     8/2/00    
4 The Standardized Average Annual Total Returns are average annual total returns or cumulative total returns (only if the performance is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 1.5% for Class A Shares and the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 1% in the sixth year). Class B shares convert automatically to Class A shares on or about the fifteenth day of the last month of the calendar quarter that is eight years after purchase. Returns for Class B shares for the period after conversion reflect the performance of Class A shares. Because Institutional, Class IR and Administration Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns. Effective November 2, 2009, the Fund’s Class B Shares are no longer available for purchase by new or existing shareholders (although current Class B shareholders may continue to reinvest income and capital gains distributions into Class B Shares, and Class B shareholders may continue to exchange their shares for Class B Shares of certain other Goldman Sachs Funds).
 
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Website at www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
 
 
 
 8


 

FUND BASICS
 
 


 
EXPENSE RATIOS5
 
                     
    Net Expense Ratio (Current)     Gross Expense Ratio (Before Waivers)      
 
Class A
    0.63 %     0.68 %    
Class B
    1.38       1.43      
Institutional
    0.29       0.34      
Class IR
    0.38       0.43      
Administration
    0.54       0.59      
5 The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The waivers and expense limitations may be modified or terminated in the future, consistent with the terms of any agreements in place. If this occurs, the expense ratios may change without shareholder approval.
 
FUND COMPOSITION6
 
(SECTOR ALLOCATION BAR CHART)
 
6 The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments represent commercial paper and repurchase agreements. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.
7 “Government Guarantee Obligations” are guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program or a foreign government guarantee program and are backed by the full faith and credit of the United States or the government of a foreign country. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012 and the expiration date of a foreign country guarantee is the maturity date of the debt.
8 “Agency Debentures” include agency securities offered by companies such as Fannie Mae and Freddie Mac, which operate under a government charter. While they are required to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company.
 
 
 
9 


 

PORTFOLIO RESULTS
 
 

Goldman Sachs Government Income Fund
 
 
Investment Objective
 
The Fund seeks a high level of current income, consistent with safety of principal.
 
 
 
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs Government Income Fund’s performance and positioning for the six-month period ended September 30, 2010 (the “Reporting Period”).
 
How did the Goldman Sachs Government Income Fund (the “Fund”) perform during the Reporting Period?
 
A  During the Reporting Period, the Fund’s Class A, B, C, Institutional, Service, IR and R Shares generated cumulative total returns, without sales charges, of 4.78%, 4.39%, 4.39%, 4.90%, 4.64%, 4.91% and 4.59%, respectively. These returns compare to the 5.30% cumulative total return of the Fund’s benchmark, the Barclays Capital Government/ Mortgage Index (the “Barclays Index”), during the same time period.
 
What key factors were responsible for the Fund’s performance during the Reporting Period?
 
A  Both top-down and bottom-up strategies contributed to the Fund’s performance during the Reporting Period. Within our top-down strategies, our cross-sector strategy contributed the most to relative performance. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark. Bottom-up individual issue selection within the collateralized sector also was a key factor contributing positively to the Fund’s performance.
 
The primary detractor from Fund performance was its short U.S. duration bias relative to the Barclays Index, as interest rates declined during the Reporting Period. Duration is a measure of the Fund’s sensitivity to changes in interest rates.
 
Which fixed income market sectors most significantly affected Fund performance?
 
A  Exposure to non-agency residential mortgage-backed securities (RMBS) was particularly beneficial during the Reporting Period. Despite a short-lived sell-off in May, non-agency RMBS performed strongly, driven by supportive supply and demand dynamics.
 
Individual issue selection of agency mortgage-backed securities contributed as well. During the latter part of the Reporting Period, mortgage rates reached historically low levels and concerns surrounding a refinancing wave and heightened prepayment risk mounted within the mortgage-backed securities sector. Against this backdrop, select agency mortgage-backed securities, such as low-loan balanced pools, outperformed securities more susceptible to prepayment risk. The Fund was positioned to benefit from such market conditions. Additionally, individual issue selection of other categories of agency bonds contributed positively to Fund results during the Reporting Period.
 
There were no real detractors from a sector allocation or security selection perspective during the Reporting Period.
 
 
 
 10


 

PORTFOLIO RESULTS
 
 

 
Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?
 
A  The Fund’s shorter U.S. duration relative to the Barclays Index from May through July was the primary detractor from performance, as interest rates declined during the Reporting Period During the second and third calendar quarters, 10-year U.S. Treasury rates declined approximately 135 basis points to 2.51%, driven by reports pointing to weaker than expected economic data. During the third calendar quarter, the Fed’s decision to reinvest mortgage paydowns into U.S. Treasuries, together with the market speculating about an additional round of quantitative easing, or buying of U.S. Treasuries by the Fed, led yields even lower. Duration is a measure of the Fund’s sensitivity to changes in interest rates.
 
How did the Fund use derivatives during the Reporting Period?
 
A  In seeking to achieve its investment objective, including the management and influence of duration and yield curve positioning, as market conditions warranted during the Reporting Period, the Fund utilized eurodollar futures, Treasury futures and interest rate swaps. For example, as market conditions shifted, such instruments helped us shorten and lengthen the duration of the Fund or to introduce a steepening or flattening yield curve bias within the Fund.
 
Were there any notable changes in the Fund’s weightings during the Reporting Period?
 
A  During the Reporting Period, we increased the Fund’s exposure to agency mortgage-backed securities from an underweighted position to an overweighted one. We reduced the Fund’s exposure to quasi-government securities, including agency securities and FDIC (Federal Deposit Insurance Corporation)-guaranteed corporate bonds. Toward the end of the Reporting Period, we shifted from a net short U.S. duration to a net long bias in U.S. duration.
 
How was the Fund positioned relative to its benchmark index at the end of September 2010?
 
A  At the end of September 2010, the Fund had overweighted allocations relative to the Barclays Index in quasi-government securities, including government-guaranteed corporate bonds, as well as in RMBS and asset-backed securities. The Fund also had a modest exposure to commercial mortgage-backed securities (CMBS), which is a sector not represented in the Barclays Index. The Fund had an underweighted exposure relative to the benchmark index in U.S. government securities. The Fund maintained a modestly longer duration relative to the Barclays Index at the end of the Reporting Period.
 
 
 
11 


 

FUND BASICS
 
 

Government Income Fund
as of September 30, 2010
 
(GRAPHIC)
PERFORMANCE REVIEW
 
                                     
                30-Day
    30-Day
     
April 1, 2010–
  Fund Total Return
    Barclays Capital U.S.
    Standardized
    Standardized
     
September 30, 2010   (based on NAV)1     Gov’t/Mortgage Index2     Subsidized Yield3     Unsubsidized Yield3      
 
Class A
    4.78 %     5.30 %     1.14 %     1.13 %    
Class B
    4.39       5.30       0.45       0.43      
Class C
    4.39       5.30       0.45       0.43      
Institutional
    4.90       5.30       1.53       1.51      
Service
    4.64       5.30       1.03       1.01      
Class IR
    4.91       5.30       1.44       1.42      
Class R
    4.59       5.30       0.94       0.92      
1 The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.
2 The Barclays Capital U.S. Gov’t/Mortgage Index, an unmanaged index, does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index.
3 The 30-Day Standardized Subsidized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price (“POP”) per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not reflect any applicable expense reductions.
 
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS4
 
                                         
For the period ended 9/30/10   One Year     Five Years     Ten Years     Since Inception     Inception Date    
 
Class A
    2.29 %     4.57 %     5.26 %     5.73 %   2/10/93    
Class B
    0.36       4.19       5.01       5.46     5/1/96    
Class C
    4.47       4.59       4.87       4.86     8/15/97    
Institutional
    6.59       5.74       6.06       6.04     8/15/97    
Service
    6.06       5.22       5.53       5.51     8/15/97    
Class IR
    6.49       N/A       N/A       5.90     11/30/07    
Class R
    5.97       N/A       N/A       5.42     11/30/07    
4 The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 3.75% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years), and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Class B Shares convert automatically to Class A Shares on or about the fifteenth day of the last month of the calendar quarter that is eight years after purchase. Returns for Class B Shares for the period after conversion reflect the performance of Class A Shares. Because Institutional, Service, Class IR and R Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns. Effective November 2, 2009, the Fund’s Class B Shares are no longer available for purchase by new or existing shareholders (although current Class B shareholders may continue to reinvest income and capital gains distributions into Class B Shares, and Class B shareholders may continue to exchange their shares for Class B Shares of certain other Goldman Sachs Funds).
 
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Website at www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
 
 
 
 12


 

FUND BASICS
 
 


 
EXPENSE RATIOS5
 
                     
    Net Expense Ratio (Current)     Gross Expense Ratio (Before Waivers)      
 
Class A
    0.92 %     1.00 %    
Class B
    1.67       1.75      
Class C
    1.67       1.75      
Institutional
    0.58       0.66      
Service
    1.08       1.16      
Class IR
    0.67       0.75      
Class R
    1.17       1.25      
5 The expense ratios of the Fund, both current (net of any fee waivers and/or expense limitations) and before waivers (gross of any fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The waivers and expense limitations may be modified or terminated in the future, consistent with the terms of any agreements in place. If this occurs, the expense ratios may change without shareholder approval.
 
FUND COMPOSITION6
 
(SECTOR ALLOCATION BAR CHART)
 
6 The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments represent repurchase agreements. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.
7 Federal Agencies are mortgage-backed securities guaranteed by Government National Mortgage Association (“GNMA”), Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). GNMA instruments are backed by the full faith and credit of the U.S. Government.
8 “Government Guarantee Obligations” are guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program or a foreign government guarantee program and are backed by the full faith and credit of the United States or the government of a foreign country. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012 and the expiration date of a foreign country guarantee is the maturity date of the debt.
9 “Agency Debentures” include agency securities offered by companies such as Fannie Mae and Freddie Mac, which operate under a government charter. While they are required to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company.
 
 
 
13 


 

PORTFOLIO RESULTS
 
 

Goldman Sachs Inflation Protected Securities Fund
 
 
Investment Objective
 
The Fund seeks real return consistent with preservation of capital. Real return is the return on an investment adjusted for inflation.
 
 
 
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs Inflation Protected Securities Fund’s performance and positioning for the six-month period ended September 30, 2010 (the “Reporting Period”).
 
How did the Goldman Sachs Inflation Protected Securities Fund (the “Fund”) perform during the Reporting Period?
 
A  During the Reporting Period, the Fund’s Class A, C, Institutional, IR and R Shares generated cumulative total returns, without sales charges, of 6.78%, 6.37%, 6.94%, 6.91% and 6.64%, respectively. These returns compare to the 6.40% cumulative total return of the Fund’s benchmark, the Barclays Capital U.S. TIPS Index (“Barclays Index”) during the same time period.
 
What key factors were responsible for the Fund’s performance during the Reporting Period?
 
A  Bottom-up individual issue selection of various maturity Treasury inflation protected securities (“TIPS”) was the key positive contributor to the Fund’s performance during the Reporting Period.
 
The primary detractor from Fund performance was its short U.S. duration bias relative to the Barclays Index, as interest rates declined during the Reporting Period. Duration is a measure of the Fund’s sensitivity to changes in interest rates.
 
Which fixed income market sectors most significantly affected Fund performance?
 
A  Individual issue selection of various maturity TIPS most significantly affected Fund performance, contributing positively during the Reporting Period. During the second calendar quarter, the Fund’s underweight exposure to specific shorter-term maturity TIPS added value, as break-even inflation in the short end declined sharply amid heightened concerns regarding a slowdown in global economic growth and subdued market expectations for inflationary pressures.
 
During the third calendar quarter, the Fund’s overweight exposure to specific TIPS in the 10-year maturity portion of the TIPS yield curve, or spectrum of maturities, contributed positively to the Fund’s results, as the longer-term end of break-even inflation gradually increased.
 
The break-even inflation rate is the difference between the nominal yield on a fixed-rate investment and the real yield on an inflation-linked investment of similar maturity and credit quality. If inflation averages more than the break-even, the inflation-linked investment will outperform the fixed-rate. Conversely, if inflation averages below the break-even, the fixed-rate will outperform the inflation-linked.
 
There were no real detractors from a sector allocation or security selection perspective during the Reporting Period.
 
Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?
 
A  The Fund’s shorter U.S. duration relative to the Barclays Index from May through July was the primary detractor from performance, as interest rates declined during the Reporting Period. During the second and third calendar quarters, 10-year U.S. Treasury rates declined approximately 135 basis points to 2.51%, driven by reports pointing to weaker than expected economic data. During the third calendar quarter, the Fed’s decision to reinvest mortgage paydowns into U.S. Treasuries, together with the market speculating about an additional round of quantitative easing, or buying of U.S. Treasuries by the Fed, led yields even lower. Duration is a measure of the Fund’s sensitivity to changes in interest rates.
 
 
 
 14


 

PORTFOLIO RESULTS
 
 

 
Were there any notable changes in the Fund’s weightings during the Reporting Period?
 
A  Toward the end of the Reporting Period, we shifted from a net short U.S. duration to a net long bias in U.S. duration.
 
How was the Fund positioned relative to its benchmark index at the end of September 2010?
 
A  At the end of September 2010, the Fund had approximately 98% of its total net assets invested in TIPS, with the remainder in cash or invested in cash equivalents. The Fund maintained a modestly longer duration relative to the benchmark index at the end of the Reporting Period.
 
 
 
15 


 

FUND BASICS
 
 

Inflation Protected Securities Fund
as of September 30, 2010
 
(GRAPHIC)
PERFORMANCE REVIEW
 
                                     
                30-Day
    30-Day
     
April 1, 2010–
  Total Return
    Barclays Capital
    Standardized
    Standardized
     
September 30, 2010   (based on NAV)1     U.S. TIPS Index2     Subsidized Yield3     Unsubsidized Yield3      
 
Class A
    6.78 %     6.40 %     1.46 %     1.46 %    
Class C
    6.37       6.40       0.77       0.77      
Institutional
    6.94       6.40       1.85       1.85      
Class IR
    6.91       6.40       1.76       1.76      
Class R
    6.64       6.40       1.27       1.26      
1 The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.
2 The Barclays Capital U.S. TIPS Index represents securities that protect against adverse inflation and provide a minimum level of real return. To be included in this index, bonds must have cash flows linked to an inflation index, be sovereign issues denominated in U.S. currency, and have more than one year to maturity, and, as a portion of the index, total a minimum amount outstanding of 100 million U.S. dollars. Individuals cannot invest directly in an index.
3 The 30-Day Standardized Subsidized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price (“POP”) per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not reflect any applicable expense reductions.
 
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS4
 
                         
For the period ended 9/30/10   One Year     Since Inception     Inception Date    
 
Class A
    4.81 %     5.67 %   8/31/07    
Class C
    7.13       6.31     8/31/07    
Institutional
    9.33       7.47     8/31/07    
Class IR
    9.24       5.74     11/30/07    
Class R
    8.60       5.24     11/30/07    
4 The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 3.75% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Class IR and R Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns.
 
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Website at www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
 
 
 
 16


 

FUND BASICS
 
 


 
EXPENSE RATIOS5
 
                     
    Net Expense Ratio (Current)     Gross Expense Ratio (Before Waivers)      
 
Class A
    0.67 %     0.91 %    
Class C
    1.42       1.66      
Institutional
    0.33       0.57      
Class IR
    0.42       0.66      
Class R
    0.92       1.16      
5 The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Applicable waivers and expense limitations may be modified or terminated in the future, consistent with the terms of any agreements in place. If this occurs, the expense ratios may change without shareholder approval.
 
FUND COMPOSITION6
 
(SECTOR ALLOCATION BAR CHART)
 
6 The percentage shown for each investment category of the Fund reflects the value of investments in that category as a percentage of net assets. Short-term investments represent repurchase assessments. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.
7 “U.S. Treasury Obligations” percentages are grouped by effective maturity. The weighted average maturity was 9.2 and 9.3 years, respectively, at September 30, 2010 and March 31, 2010.
 
 
 
17 


 

PORTFOLIO RESULTS
 
 

Goldman Sachs Short Duration Government Fund
 
 
Investment Objective
 
The Fund seeks a high level of current income and secondarily, in seeking current income, may also consider the potential for capital appreciation.
 
 
 
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs Short
Duration Government Fund’s performance and positioning for the six-month period ended September 30, 2010 (the “Reporting Period”).
 
How did the Goldman Sachs Short Duration Government Fund (the “Fund”) perform during the Reporting Period?
 
A  During the Reporting Period, the Fund’s Class A, B, C, Institutional, Service and IR Shares generated cumulative total returns, without sales charges, of 1.16%, 0.89%, 0.88%, 1.33%, 1.08% and 1.29%, respectively. These returns compare to the 1.69% cumulative total return of the Fund’s benchmark, the Two-Year U.S. Treasury Note Index (“Two-Year Treasury Note Index”), during the same time period. To compare, the Barclays Capital U.S. Government Bond Index (1-3 Year) returned 1.80% for the Reporting Period.
 
What key factors were responsible for the Fund’s performance during the Reporting Period?
 
A  Both top-down and bottom-up strategies had an impact on the Fund’s performance during the Reporting Period. Bottom-up individual issue selection within the government/agency and agency mortgage-backed securities sectors contributed positively. Within our top-down strategies, our duration and cross-sector strategies detracted. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark.
 
Which fixed income market sectors most significantly affected Fund performance?
 
A  Exposure to debt backed by the FDIC (Federal Deposit Insurance Corporation) added value, especially in May, when the demand for debt with an explicit government guarantee peaked. Conversely, an overweighted allocation to agency securities detracted from returns. In both cases, the results were due to a classic flight to quality that took hold, as investor concerns regarding bank liquidity and the possible contagion effect of the sovereign credit risk of the peripheral European nations drove spreads, or the differential in yields between a particular sector’s securities and U.S. Treasuries, wider across markets. The markets experienced their largest correction since March 2009.
 
An overweighted exposure to agency mortgage-backed securities also detracted from Fund performance, specifically during August and September. This underperformance was due primarily to heightened concerns regarding the increased potential for a wave of refinancing, which could ultimately result in a significant uptick in prepayments.
 
Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?
 
A  Tactical management of the Fund’s duration and yield curve positioning detracted from its results during the Reporting Period. During May, we held underweighted positions in the five-year and seven-year segments of the U.S. Treasury yield curve, as we believed contagion risk from the European bond markets, although contained, could lead to increased risk premia for all indebted sovereigns. The improving economic growth data in mid-May further backed our positioning decision. However, such positioning hurt performance as U.S. Treasury yields dropped sharply during the second calendar quarter. Volatility in the equity market together with the rising concern about the health of the European banking sector led to reduced investor risk appetite and higher demand for U.S. Treasury securities as a safe haven. As mentioned earlier, duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector.
 
 
 
 18


 

PORTFOLIO RESULTS
 
 

 
How did the Fund use derivatives during the Reporting Period?
 
A  In seeking to achieve its investment objective, including the management and influence of duration and yield curve positioning, as market conditions warranted during the Reporting Period, the Fund utilized eurodollar futures, Treasury futures and interest rate swaps. For example, as market conditions shifted, such instruments helped us shorten and lengthen the duration of the Fund or to introduce a steepening or flattening yield curve bias within the Fund.
 
Were there any notable changes in the Fund’s weightings during the Reporting Period?
 
A  During the Reporting Period, we increased the Fund’s allocation to U.S. Treasury securities but maintained an underweighted position compared to the Bank of America Merrill Lynch Two-Year U.S. Treasury Note Index.
 
How was the Fund positioned relative to its benchmark index at the end of September 2010?
 
A  While the Fund is benchmarked to U.S. Treasuries, it continued to hold a portion of its assets in non-Treasury sectors not represented in the benchmark index, including quasi-government securities, such as agency securities and government-guaranteed corporate bonds, as well as residential mortgage-backed securities. The Fund maintained a modestly longer duration relative to the benchmark index at the end of the Reporting Period.
 
 
 
19 


 

FUND BASICS
 
 

Short Duration Government Fund
as of September 30, 2010
 
(GRAPHIC)
PERFORMANCE REVIEW
 
                                     
                30-Day
    30-Day
     
April 1, 2010–
  Fund Total Return
    Two-Year U.S.
    Standardized
    Standardized
     
September 30, 2010   (based on NAV)1     Treasury Note Index2     Subsidized Yield3     Unsubsidized Yield3      
 
Class A
    1.16 %     1.69 %     -0.03 %     -0.05 %    
Class B
    0.89       1.69       -0.51       -0.65      
Class C
    0.88       1.69       -0.51       -0.79      
Institutional
    1.33       1.69       0.30       0.28      
Service
    1.08       1.69       -0.19       -0.21      
Class IR
    1.29       1.69       0.22       0.20      
1 The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.
2 The Two-Year U.S. Treasury Note Index, as reported by Bank of America Merrill Lynch, does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index.
3 The 30-Day Standardized Subsidized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price (“POP”) per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not reflect any applicable expense reductions.
 
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS4
 
                                         
For the period ended 9/30/10   One Year     Five Years     Ten Years     Since Inception     Inception Date    
 
Class A
    0.92 %     4.62 %     4.51 %     4.66 %   5/1/97    
Class B
    -0.15       4.31       4.15       4.41     5/1/97    
Class C
    1.14       4.19       3.89       3.90     8/15/97    
Institutional
    2.72       5.30       5.04       5.93     8/15/88    
Service
    2.31       4.79       4.53       4.77     4/10/96    
Class IR
    2.72       N/A       N/A       5.22     11/30/07    
4 The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 1.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (2% maximum declining to 0% after three years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Class B Shares convert automatically to Class A Shares on or about the fifteenth day of the last month of the calendar quarter that is eight years after purchase. Returns for Class B Shares for the period after conversion reflect the performance of Class A Shares. Because Institutional, Service, Class IR and R Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns. Effective November 2, 2009, the Fund’s Class B Shares are no longer available for purchase by new or existing shareholders (although current Class B shareholders may continue to reinvest income and capital gains distributions into Class B Shares, and Class B shareholders may continue to exchange their shares for Class B Shares of certain other Goldman Sachs Funds).
 
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Website at www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
 
 
 
 20


 

FUND BASICS
 
 


 
EXPENSE RATIOS5
 
                     
    Net Expense Ratio (Current)     Gross Expense Ratio (Before Waivers)      
 
Class A
    0.84 %     0.88 %    
Class B
    1.44       1.63      
Class C
    1.59       1.63      
Institutional
    0.50       0.54      
Service
    1.00       1.04      
Class IR
    0.59       0.63      
5 The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The waivers and expense limitations may be modified or terminated in the future, consistent with the terms of any agreements in place. If this occurs, the expense ratios may change without shareholder approval.
 
FUND COMPOSITION6
 
(SECTOR ALLOCATION BAR CHART)
 
6 The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments represent repurchase agreements. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.
7 “Government Guarantee Obligations” are guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program or a foreign government guarantee program and are backed by the full faith and credit of the United States or the government of a foreign country. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012 and the expiration date of a foreign country guarantee is the maturity date of the debt.
8 “Agency Debentures” include agency securities offered by companies such as Fannie Mae and Freddie Mac, which operate under a government charter. While they are required to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company.
9 Federal Agencies are mortgage-backed securities guaranteed by Government National Mortgage Association (“GNMA”), Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). GNMA instruments are backed by the full faith and credit of the U.S. Government.
 
 
 
21 


 

PORTFOLIO RESULTS
 
 

Goldman Sachs Ultra-Short Duration Government Fund
 
 
Investment Objective
 
The Fund seeks a high level of current income, consistent with low volatility of principal.
 
 
 
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs Ultra-Short Duration Government Fund’s performance and positioning for the six-month period ended September 30, 2010 (the “Reporting Period”).
 
 
How did the Goldman Sachs Ultra-Short Duration Government Fund (the “Fund”) perform during the Reporting Period?
 
A  During the Reporting Period, the Fund’s Class A, Institutional, Service and IR Shares generated cumulative total returns, without sales charges, of −0.30%, −0.01%, −0.26% and −0.06%, respectively. These returns compare to the 0.36% cumulative total return of the Goldman Sachs Ultra-Short Duration Government Fund Composite Index (the “Ultra-Short Duration Government Composite Index”) during the same period. The Ultra-Short Duration Government Composite Index is comprised 50% of the Six-Month U.S. Treasury Bill Index and 50% of the One-Year U.S. Treasury Note Index, which generated cumulative total returns of 0.21% and 0.51%, respectively over the same period.
 
What key factors were responsible for the Fund’s performance during the Reporting Period?
 
A  Both top-down and bottom-up strategies had an impact on the Fund’s performance during the Reporting Period. Bottom-up individual issue selection within the government/agency and agency mortgage-backed securities sectors contributed positively. Within our top-down strategies, our duration and cross-sector strategies detracted. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark.
 
Which fixed income market sectors most significantly affected Fund performance?
 
A  Our selection of high coupon pass-through mortgage-backed securities and of agency adjustable-rate mortgages (ARMs) added value. Agency ARMs performed well during the Reporting Period given their limited uncertainty for credit-related prepayments.
 
Conversely, an overweighted allocation to agency securities detracted from returns. Spreads, or the differential in yields between a particular sector’s securities and U.S. Treasuries, widened across markets as investor concerns regarding bank liquidity and the possible contagion effect of the sovereign credit risk of the peripheral European nations drove the largest market correction since March 2009.
 
An overweighted exposure to agency mortgage-backed securities also detracted from Fund performance, specifically during August and September. This underperformance was due primarily to heightened concerns regarding the increased potential for a wave of refinancing, which could ultimately result in a significant uptick in prepayments.
 
Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?
 
A  Tactical management of the Fund’s duration and yield curve positioning detracted from its results during the Reporting Period. During May, we held underweighted positions in the five-year and seven-year segments of the U.S. Treasury yield curve, as we believed contagion risk from the European bond markets, although contained, could lead to increased risk premia for all indebted sovereigns. The improving economic growth data in mid-May further backed our positioning decision. However, such positioning hurt performance as U.S. Treasury yields
 
 
 
 22


 

PORTFOLIO RESULTS
 
 

 
dropped sharply during the second calendar quarter. Volatility in the equity market together with the rising concern about the health of the European banking sector led to reduced investor risk appetite and higher demand for U.S. Treasury securities as a safe haven. As mentioned earlier, duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector.
 
How did the Fund use derivatives during the Reporting Period?
 
A  In seeking to achieve its investment objective, including the management and influence of duration and yield curve positioning, as market conditions warranted during the Reporting Period, the Fund utilized eurodollar futures, Treasury futures and interest rate swaps. For example, as market conditions shifted, such instruments helped us shorten and lengthen the duration of the Fund or to introduce a steepening or flattening yield curve bias within the Fund.
 
Were there any notable changes in the Fund’s weightings during the Reporting Period?
 
A  During the Reporting Period, we shifted from a net short duration to a net long bias in duration, as we believe that there is an increased likelihood that the Fed will resume quantitative easing efforts given soft economic data releases during the Reporting Period.
 
How was the Fund positioned relative to its benchmark index at the end of September 2010?
 
A  While the Fund is benchmarked to U.S. Treasuries, it continued to hold a portion of its assets in non-Treasury sectors not represented in the benchmark index, including quasi-government securities, such as agency securities and government-guaranteed corporate bonds, as well as asset-backed securities and RMBS. The Fund maintained a modestly longer duration relative to the benchmark index at the end of the Reporting Period.
 
 
 
23 


 

FUND BASICS
 
 

Ultra-Short Duration Government Fund
as of September 30, 2010
 
(GRAPHIC)
PERFORMANCE REVIEW
 
                                             
    Fund Total
    Six-Month
    One-Year
    30-Day
    30-Day
     
April 1, 2010–
  Return
    U.S. Treasury
    U.S. Treasury
    Standardized
    Standardized
     
September 30, 2010   (based on NAV)1     Bill Index2     Note Index2     Subsidized Yield3     Unsubsidized Yield3      
 
Class A
    -0.30 %     0.21 %     0.51 %     0.14 %     0.16 %    
Institutional
    -0.01       0.21       0.51       0.47       0.50      
Service
    -0.26       0.21       0.51       -0.02       0.01      
Class IR
    -0.06       0.21       0.51       0.38       0.41      
1 The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.
2 The Six-Month U.S. Treasury Bill Index and One-Year U.S. Treasury Note Index, as reported by Merrill Lynch, do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index.
3 The 30-Day Standardized Subsidized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price (“POP”) per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not reflect any applicable expense reductions.
 
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS4
 
                                         
For the period ended 9/30/10   One Year     Five Years     Ten Years     Since Inception     Inception Date    
 
Class A
    -1.15 %     2.11 %     2.63 %     3.57 %   5/15/95    
Institutional
    0.65       2.77       3.17       4.20     7/17/91    
Service
    0.14       2.27       2.69       3.20     3/27/97    
Class IR
    0.56       N/A       N/A       1.13     11/30/07    
4 The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 1.5% for Class A Shares. Because Institutional, Service and Class IR Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns.
 
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Website at www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
 
 
 
 24


 

FUND BASICS
 
 


 
EXPENSE RATIOS5
 
                     
    Net Expense Ratio (Current)     Gross Expense Ratio (Before Waivers)      
 
Class A
    0.83 %     0.87 %    
Institutional
    0.49       0.53      
Service
    0.99       1.03      
Class IR
    0.58       0.62      
5 The expense ratios of the Fund, both current (net of any fee waivers and/or expense limitations) and before waivers (gross of any fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The waivers and expense limitations may be modified or terminated in the future, consistent with the terms of any agreements in place. If this occurs, the expense ratios may change without shareholder approval.
 
 
 
25 


 

FUND BASICS
 
 


 
FUND COMPOSITION6
 
(SECTOR ALLOCATION BAR CHART)
 
6 The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments represent repurchase agreements. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.
7 “Government Guarantee Obligations” are guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program or a foreign government guarantee program and are backed by the full faith and credit of the United States or the government of a foreign country. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012 and the expiration date of a foreign country guarantee is the maturity date of the debt.
8 Federal Agencies are mortgage-backed securities guaranteed by Government National Mortgage Association (“GNMA”), Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). GNMA instruments are backed by the full faith and credit of the U.S. Government.
9 “Agency Debentures” include agency securities offered by companies such as Fannie Mae and Freddie Mac, which operate under a government charter. While they are required to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company.
 
 
 
 26


 

GOLDMAN SACHS ENHANCED INCOME FUND
 
 

Schedule of Investments
September 30, 2010 (Unaudited)
 
                                 
    Principal
  Interest
  Maturity
   
    Amount   Rate   Date   Value
 

 Corporate Obligations – 39.1%
                                 
                                 
    Banks – 14.6%
   
ANZ National (International) Ltd.(a)
    $ 3,675,000       6.200 %     07/19/13     $ 4,084,318  
   
Bank of New York Mellon Corp.(b)
      2,000,000       0.390       03/23/12       1,992,684  
   
Bank of Nova Scotia(a)
      14,000,000       1.450       07/26/13       14,151,396  
   
Bank of Tokyo-Mitsubishi UFJ Ltd.(a)
      5,125,000       2.600       01/22/13       5,282,563  
   
Barclays Bank PLC
      3,225,000       5.450       09/12/12       3,492,694  
   
BB&T Corp.
      2,725,000       3.850       07/27/12       2,848,292  
   
Canadian Imperial Bank of Commerce(a)
      10,500,000       2.000       02/04/13       10,767,204  
      1,600,000       2.600       07/02/15       1,664,792  
   
Cie de Financement Foncier(a)
      4,800,000       1.625       07/23/12       4,819,608  
      3,000,000       2.125       04/22/13       3,054,381  
   
Credit Suisse New York
      3,675,000       3.450       07/02/12       3,809,640  
   
Intesa Sanpaolo New York
      11,700,000       2.375       12/21/12       11,715,374  
   
JPMorgan Chase & Co.(b)
      18,829,000       0.695       01/17/11       18,838,377  
   
JPMorgan Securities, Inc.
      3,000,000       0.653 (b)     10/22/10       3,000,528  
      4,025,000       6.950       08/10/12       4,454,674  
   
Keybank National Association
      450,000       7.300       05/01/11       463,335  
   
Lloyds TSB Bank PLC(a)
      1,725,000       4.375       01/12/15       1,766,605  
   
PNC Funding Corp.(b)
      1,376,000       0.615       01/31/12       1,371,481  
   
Rabobank Nederland(a)
      5,900,000       2.650       08/17/12       6,090,222  
      4,675,000       4.200       05/13/14       4,980,885  
   
Royal Bank of Scotland PLC(a)
      2,975,000       4.875       08/25/14       3,156,088  
   
Sovereign Bank
      5,848,000       5.125       03/15/13       6,077,963  
   
Stadshypotek AB(a)
      7,700,000       1.450       09/30/13       7,725,156  
   
Standard Chartered PLC(a)
      3,625,000       3.850       04/27/15       3,781,020  
   
UBS AG
      5,200,000       2.250       08/12/13       5,244,795  
   
Wachovia Corp.
      1,925,000       0.656 (b)     10/15/11       1,926,698  
      5,127,000       5.500       05/01/13       5,652,859  
   
Westpac Banking Corp.
      9,225,000       2.250       11/19/12       9,383,729  
                                 
                              151,597,361  
     
     
    Brokerage – 0.5%
   
Morgan Stanley & Co.
      600,000       0.775 (b)     01/18/11       599,995  
      1,350,000       5.050       01/21/11       1,367,813  
      2,750,000       6.750 (c)     04/15/11       2,832,445  
                                 
                              4,800,253  
     
     
    Captive Financial – 0.3%
   
American Express Centurion Bank
      623,000       5.200       11/26/10       626,906  
   
Caterpillar Financial Services Corp.
      725,000       4.850       12/07/12       778,946  
   
John Deere Capital Corp.
      1,775,000       5.250       10/01/12       1,924,825  
                                 
                              3,330,677  
     
     
    Electric – 2.1%
   
Carolina Power & Light Co.(c)
      3,140,000       6.500       07/15/12       3,429,015  
   
Enel Finance International SA(a)(c)
      6,375,000       5.700       01/15/13       6,876,987  
   
Georgia Power Co.(c)
      3,925,000       1.300       09/15/13       3,934,275  
   
Pacific Gas & Electric Co.(c)
      725,000       4.200       03/01/11       735,863  
   
Public Service Co. of Colorado(c)
      2,325,000       7.875       10/01/12       2,626,929  
   
Southern Co.
      3,500,000       0.918 (b)     10/21/11       3,512,019  
      875,000       4.150 (c)     05/15/14       944,247  
                                 
                              22,059,335  
     
     
    Energy – 2.3%
   
BP Capital Markets PLC
      2,675,000       3.125       10/01/15       2,689,052  
   
ConocoPhillips
      1,200,000       9.375       02/15/11       1,239,956  
   
EnCana Corp.(c)
      1,525,000       6.300       11/01/11       1,604,567  
      625,000       4.750       10/15/13       680,435  
   
Shell International Finance BV(c)
      12,800,000       1.875       03/25/13       13,067,516  
   
Statoil ASA(a)(c)
      3,470,000       5.125       04/30/14       3,900,790  
   
StatoilHydro ASA(c)
      650,000       3.875       04/15/14       703,028  
                                 
                              23,885,344  
     
     
    Food and Beverage – 1.2%
   
Cargill, Inc.(a)(c)
      4,650,000       5.200       01/22/13       5,039,847  
   
Diageo Finance BV
      3,700,000       5.500       04/01/13       4,088,707  
   
Kellogg Co.(c)
      3,200,000       5.125       12/03/12       3,467,890  
                                 
                              12,596,444  
     
     
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
27 


 

GOLDMAN SACHS ENHANCED INCOME FUND
 
 

 
Schedule of Investments (continued)
September 30, 2010 (Unaudited)
 
 
                                 
    Principal
  Interest
  Maturity
   
    Amount   Rate   Date   Value
 

 Corporate Obligations – (continued)
                                 
    Health Care Products(c) – 1.1%
   
St. Jude Medical, Inc.
    $ 5,825,000       2.200 %     09/15/13     $ 5,952,541  
   
Thermo Fisher Scientific, Inc.
      5,900,000       2.150       12/28/12       5,987,066  
                                 
                              11,939,607  
     
     
    Health Care Services(c) – 0.5%
   
Covidien International Finance SA
      1,625,000       1.875       06/15/13       1,652,340  
      2,525,000       2.800       06/15/15       2,606,150  
   
UnitedHealth Group, Inc.
      1,400,000       5.125       11/15/10       1,406,857  
                                 
                              5,665,347  
     
     
    Life Insurance – 3.4%
   
MassMutual Global Funding II(a)(b)
      5,450,000       0.789       09/27/13       5,449,990  
   
Metropolitan Life Global Funding I(a)
      3,400,000       5.125       11/09/11       3,532,053  
      6,000,000       2.500       01/11/13       6,143,700  
      1,725,000       5.125       04/10/13       1,877,481  
      3,437,000       5.125       06/10/14       3,812,966  
   
Nationwide Life Global Funding I(a)
      1,175,000       5.450       10/02/12       1,222,086  
   
Prudential Financial, Inc.
      3,625,000       5.800       06/15/12       3,875,106  
      1,625,000       2.750       01/14/13       1,656,080  
   
Reinsurance Group of America, Inc.
      2,375,000       6.750       12/15/11       2,485,397  
   
Sun Life Financial Global Funding LP(a)(b)
      3,750,000       0.784       10/06/13       3,645,574  
   
TIAA Global Markets, Inc.(a)(c)
      1,900,000       5.125       10/10/12       2,056,176  
                                 
                              35,756,609  
     
     
    Media(c) – 0.1%
   
The Walt Disney Co.
      1,100,000       4.700       12/01/12       1,191,264  
     
     
    Media – Non Cable(c) – 1.1%
   
Reed Elsevier Capital, Inc.
      3,425,000       4.625       06/15/12       3,576,226  
      4,050,000       7.750       01/15/14       4,726,982  
   
Thomson Reuters Corp.
      3,209,000       5.950       07/15/13       3,603,106  
                                 
                              11,906,314  
     
     
    Noncaptive – Financial – 1.2%
   
American Express Credit Corp.
      4,775,000       2.750       09/15/15       4,804,944  
   
General Electric Capital Corp.
      1,400,000       5.200       02/01/11       1,422,140  
   
HSBC Finance Corp.(b)
      450,000       0.628       08/09/11       449,467  
      2,000,000       0.768       04/24/12       1,983,616  
      1,350,000       0.875       07/19/12       1,336,751  
      2,775,000       0.642       09/14/12       2,729,440  
                                 
                              12,726,358  
     
     
    Pharmaceuticals(c) – 1.1%
   
GlaxoSmithKline Capital, Inc.
      1,375,000       4.850       05/15/13       1,512,015  
   
Merck & Co., Inc.
      2,550,000       1.875       06/30/11       2,579,167  
   
Novartis Capital Corp.
      6,650,000       1.900       04/24/13       6,818,060  
                                 
                              10,909,242  
     
     
    Pipelines – 0.1%
   
TransCanada Pipelines Ltd.
      1,200,000       8.625       05/15/12       1,343,497  
     
     
    Property/Casualty Insurance(c) – 0.4%
   
The Chubb Corp.
      450,000       6.000       11/15/11       475,417  
   
The Travelers Cos., Inc.
      3,150,000       5.375       06/15/12       3,364,219  
                                 
                              3,839,636  
     
     
    Real Estate Investment Trust(c) – 0.8%
   
Simon Property Group LP
      2,475,000       4.200       02/01/15       2,659,442  
   
WEA Finance LLC(a)
      2,941,000       5.400       10/01/12       3,137,156  
   
WEA Finance LLC/WT Finance
Australia Property Ltd.(a)
      2,025,000       7.500       06/02/14       2,356,946  
                                 
                              8,153,544  
     
     
    Retailers – 0.3%
   
Wal-Mart Stores, Inc.
      2,400,000       3.200       05/15/14       2,579,312  
     
     
    Software – 0.3%
   
Microsoft Corp.
      2,800,000       2.950       06/01/14       2,977,388  
     
     
    Technology(c) – 2.0%
   
Dell, Inc.
      1,425,000       3.375       06/15/12       1,482,623  
      3,800,000       1.400       09/10/13       3,814,364  
   
Hewlett-Packard Co.
      1,600,000       2.250       05/27/11       1,620,981  
      4,695,000       6.125       03/01/14       5,419,042  
   
International Business Machines Corp.
      2,545,000       6.500       10/15/13       2,955,396  
   
Oracle Corp.
      5,050,000       4.950       04/15/13       5,570,211  
                                 
                              20,862,617  
     
     
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 28


 

GOLDMAN SACHS ENHANCED INCOME FUND
 
 

 
 
 
 
                                 
    Principal
  Interest
  Maturity
   
    Amount   Rate   Date   Value
 

 Corporate Obligations – (continued)
                                 
    Tobacco – 0.9%
   
Philip Morris International, Inc.
    $ 4,775,000       4.875 %     05/16/13     $ 5,247,855  
      3,300,000       6.875       03/17/14       3,880,249  
                                 
                              9,128,104  
     
     
    Wireless Telecommunications – 3.2%
   
ALLTEL Corp.
      1,350,000       6.500       11/01/13       1,526,323  
   
New Cingular Wireless Services, Inc.(c)
      12,550,000       8.125       05/01/12       13,955,679  
   
Telefonica Emisiones SAU(b)(c)
      2,150,000       0.775       02/04/13       2,104,631  
   
Verizon Wireless Capital LLC(c)
      5,159,000       7.375       11/15/13       6,090,320  
   
Vodafone Group PLC(c)
      4,325,000       5.350       02/27/12       4,566,388  
      4,450,000       5.000       12/16/13       4,893,261  
                                 
                              33,136,602  
     
     
    Wirelines Telecommunications(c) – 1.6%
   
Cellco Partnership/Verizon Wireless Capital LLC
      4,500,000       3.750       05/20/11       4,589,271  
      2,025,000       5.250       02/01/12       2,142,079  
   
France Telecom SA
      5,175,000       7.750       03/01/11       5,326,860  
      1,325,000       4.375       07/08/14       1,462,576  
   
Telefonica Emisiones SAU
      2,850,000       5.984       06/20/11       2,955,895  
                                 
                              16,476,681  
     
     
    TOTAL CORPORATE OBLIGATIONS
    (Cost $396,881,325)   $ 406,861,536  
     
     
                                 
                                 

 Agency Debentures – 3.8%
                                 
                                 
   
FHLB(b)
    $ 37,000,000       0.497 %     10/13/11     $ 37,004,107  
   
FNMA(d)
      3,000,000       3.000       07/28/14       3,058,116  
     
     
    TOTAL AGENCY DEBENTURES
    (Cost $40,052,954)   $ 40,062,223  
     
     
                                 
                                 

 Asset-Backed Securities – 10.0%
                                 
                                 
    Autos – 4.0%
   
Bank of America Auto Trust Series 2009-1A, Class A2(a)
    $ 917,407       1.700 %     12/15/11     $ 917,737  
   
Bank of America Auto Trust Series 2009-2A, Class A3(a)
      6,500,000       2.130       09/15/13       6,590,536  
   
Bank of America Auto Trust Series 2009-3A, Class A2(a)
      8,448,337       0.890       04/15/12       8,455,412  
   
Capital One Prime Auto Receivables Trust
Series 2007-2, Class A3
      3,298       4.890       01/15/12       3,303  
   
Chase Manhattan Auto Owner Trust Series 2006-B, Class A4
      260,633       5.110       04/15/14       260,974  
   
Ford Credit Auto Owner Trust Series 2009-B, Class A3
      15,000,000       2.790       08/15/13       15,246,649  
   
Ford Credit Auto Owner Trust Series 2009-E, Class A2
      9,328,332       0.800       03/15/12       9,335,338  
   
Harley-Davidson Motorcycle Trust Series 2006-2, Class A2
      178,625       5.350       03/15/13       181,428  
   
Long Beach Auto Receivables Trust Series 2006-A, Class A4
      735,061       5.500       05/15/13       749,485  
                                 
                              41,740,862  
     
     
    Credit Card – 0.0%
   
Bank of America Credit Card Trust Series 2006-A16, Class A16
      425,000       4.720       05/15/13       428,470  
     
     
    Home Equity(b) – 0.0%
   
Aegis Asset Backed Securities Trust Series 2006-1, Class A1
      5,103       0.336       01/25/37       5,086  
   
Amresco Residential Securities Mortgage Loan Trust Series 1998-2, Class M1F
      32,264       6.745       06/25/28       24,187  
   
Centex Home Equity Series 2004-D, Class MV3
      189,136       1.256       09/25/34       32,536  
   
Morgan Stanley ABS Capital I Series 2004-HE4, Class M3
      61,061       1.756       05/25/34       10,418  
                                 
                              72,227  
     
     
    Manufactured Housing – 0.0%
   
Lehman ABS Manufactured Housing Contract Series 2001-B, Class A3
      76,234       4.350       05/15/14       73,710  
     
     
    Student Loan – 6.0%
   
Access Group, Inc. Series 2002-1, Class A2(b)
      4,903,743       0.469       09/25/25       4,877,262  
   
Brazos Higher Education Authority, Inc. Series 2005-3, Class A14(b)
      1,233,983       0.399       09/25/23       1,227,228  
   
College Loan Corp. Trust Series 2004-1, Class A3(b)
      5,500,000       0.658       04/25/21       5,497,201  
   
College Loan Corp. Trust Series 2005-1, Class A2(b)
      7,000,000       0.598       07/25/24       6,949,620  
   
College Loan Corp. Trust Series 2005-2, Class A2(b)
      6,531,689       0.636       10/15/21       6,486,564  
   
Collegiate Funding Services Education Loan Trust I Series 2003-A, Class A2(b)
      2,014,867       0.589       09/28/20       2,014,734  
   
Education Funding Capital Trust I Series 2004-1,
Class A2(b)
      2,011,123       0.452       12/15/22       1,974,232  
   
Educational Services of America, Inc. Series 2010-1, Class A1(a)(b)
      2,744,476       1.348       07/25/23       2,754,760  
   
GCO Slims Trust Series 2006-1A Class Note(a)
      184,513       5.720       03/01/22       147,610  
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
29 


 

GOLDMAN SACHS ENHANCED INCOME FUND
 
 

 
Schedule of Investments (continued)
September 30, 2010 (Unaudited)
 
 
                                 
    Principal
  Interest
  Maturity
   
    Amount   Rate   Date   Value
 

 Asset-Backed Securities – (continued)
    Student Loan – (continued)
                                 
   
Nelnet Student Loan Corp. Series 2004-2A, Class A3(b)
    $ 1,627,806       0.418 %     11/25/15     $ 1,626,256  
   
Northstar Education Finance, Inc. Series 2004-1, Class A3(b)
      4,620,000       0.658       04/28/17       4,589,970  
   
Northstar Education Finance, Inc. Series 2005-1, Class A1(b)
      678,250       0.588       10/28/26       674,143  
   
SLM Student Loan Trust Series 2004-9, Class A4(b)
      3,405,248       0.628       04/25/17       3,402,370  
   
SLM Student Loan Trust Series 2007-1, Class A3(b)
      6,500,000       0.528       07/25/18       6,473,585  
   
SLM Student Loan Trust Series 2007-2, Class A2(b)
      5,076,746       0.498       07/25/17       5,050,848  
   
SLM Student Loan Trust Series 2008-6, Class A1(b)
      2,680,869       0.898       10/27/14       2,683,892  
   
Sun Trust Student Loan Trust Series 2006-1A, Class A2(a)(b)
      4,630,188       0.588       07/28/20       4,613,204  
   
US Education Loan Trust LLC Series 2006-1, Class A2(a)(b)
      1,160,056       0.427       03/01/25       1,150,950  
                                 
                              62,194,429  
     
     
    TOTAL ASSET-BACKED SECURITIES
    (Cost $104,525,672)   $ 104,509,698  
     
     
                                 
                                 

 Foreign Debt Obligations – 4.2%
                                 
                                 
    Sovereign – 2.6%
   
Kommunalbanken AS
    $ 11,900,000       5.125 %     05/30/12     $ 12,762,101  
   
Landeskreditbank Baden-Wuerttemberg Foerderbank
      7,340,000       3.250       10/29/10       7,352,551  
      5,600,000       0.697 (b)     11/04/11       5,583,126  
   
Oesterreichische Kontrollbank AG
      1,500,000       2.875       03/15/11       1,516,359  
                                 
                              27,214,137  
     
     
    Supranational – 1.6%
   
European Investment Bank
      10,000,000       2.625       05/16/11       10,140,300  
      6,250,000       0.594 (b)     03/05/12       6,281,175  
                                 
                              16,421,475  
     
     
    TOTAL FOREIGN DEBT OBLIGATIONS
    (Cost $43,328,218)   $ 43,635,612  
     
     
                                 
                                 

 Government Guarantee Obligations – 35.0%
                                 
                                 
   
Achmea Hypotheekbank NV(a)(b)(e)
    $ 8,200,000       0.804 %     11/03/14     $ 8,176,884  
   
ANZ National (International) Ltd.(a)(e)
      4,700,000       0.615 (b)     08/05/11       4,703,793  
      5,800,000       3.250       04/02/12       6,026,948  
   
Bank of America Corp.(b)(f)
      18,200,000       1.116       12/02/11       18,397,070  
      19,200,000       0.490       06/22/12       19,282,022  
   
Bank of America NA(b)(f)
      4,000,000       0.470       12/23/10       4,005,244  
   
BRFkredit A/S(a)(b)(e)
      10,800,000       0.776       04/15/13       10,800,705  
   
Citibank NA(f)
      1,000,000       1.875       05/07/12       1,021,584  
   
Citigroup Funding, Inc.(f)
      17,000,000       0.805 (b)     04/30/12       17,098,141  
      14,700,000       1.875       11/15/12       15,085,518  
   
Citigroup, Inc.(b)(f)
      2,600,000       0.842       12/09/10       2,603,518  
   
Danske Bank AS(a)(e)
      5,200,000       2.500       05/10/12       5,325,421  
   
FIH Erhvervsbank AS(a)(e)
      5,500,000       2.450       08/17/12       5,640,301  
      5,700,000       0.523 (b)     12/06/12       5,698,438  
   
General Electric Capital Corp.(f)
      9,000,000       0.493 (b)     03/12/12       9,056,997  
      3,400,000       2.000       09/28/12       3,494,760  
      5,000,000       0.292 (b)     12/21/12       5,002,195  
      9,000,000       2.625       12/28/12       9,396,002  
   
ING Bank NV(a)(e)
      9,500,000       1.218 (b)     02/09/12       9,514,193  
      10,900,000       2.625       02/09/12       11,141,402  
   
JPMorgan Chase & Co.(b)(f)
      1,600,000       0.419       02/23/11       1,601,016  
   
Kreditanstalt fuer Wiederaufbau(e)
      22,200,000       3.250       02/15/11       22,456,787  
   
Landwirtschaftliche Rentenbank(e)
      3,500,000       3.125       06/15/11       3,564,285  
      8,500,000       1.875       09/24/12       8,696,302  
      2,400,000       4.125       07/15/13       2,606,722  
      6,500,000       4.875       01/10/14       7,286,597  
   
LeasePlan Corp. NV(a)(e)
      1,800,000       3.000       05/07/12       1,859,954  
   
Morgan Stanley & Co.(b)(f)
      13,900,000       0.691       02/10/12       13,960,201  
      6,300,000       0.641       06/20/12       6,348,901  
   
Royal Bank of Scotland PLC(a)(e)
      10,800,000       1.500       03/30/12       10,875,596  
      2,700,000       1.098 (b)     05/11/12       2,715,485  
   
Societe Financement de l’Economie Francaise(a)(e)
      15,700,000       1.500       10/29/10       15,711,438  
      14,100,000       2.000       02/25/11       14,198,827  
      2,525,000       2.125       01/30/12       2,576,396  
   
Suncorp-Metway Ltd.(a)(b)(e)
      7,500,000       0.667       12/17/10       7,500,027  
      15,350,000       1.776       04/15/11       15,443,973  
   
SunTrust Bank(b)(f)
      4,500,000       0.942       12/16/10       4,506,237  
   
Swedbank AB(a)(e)
      3,000,000       1.261 (b)     02/10/12       2,998,491  
      8,700,000       2.800       02/10/12       8,957,111  
   
The Huntington National Bank(b)(f)
      18,700,000       0.697       06/01/12       18,871,703  
   
United States Central Federal Credit Union(f)
      2,300,000       1.900       10/19/12       2,360,179  
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 30


 

GOLDMAN SACHS ENHANCED INCOME FUND
 
 

 
 
 
 
                                 
    Principal
  Interest
  Maturity
   
    Amount   Rate   Date   Value
 

 Government Guarantee Obligations – (continued)
                                 
   
Westpac Banking Corp.(a)(e)
    $ 10,500,000       3.250 %     12/16/11     $ 10,809,645  
      7,200,000       1.900       12/14/12       7,361,561  
     
     
    TOTAL GOVERNMENT GUARANTEE OBLIGATIONS
    (Cost $362,038,105)   $ 364,738,570  
     
     
                                 
                                 

 U.S. Treasury Obligations – 3.8%
                                 
                                 
   
United States Treasury Inflation Protected Securities
    $ 26,799,984       2.375 %     04/15/11     $ 27,147,580  
      11,397,594       3.000       07/15/12       12,106,410  
     
     
    TOTAL U.S. TREASURY OBLIGATIONS
    (Cost $39,162,130)   $ 39,253,990  
     
     
    TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
    (Cost $985,988,404)   $ 999,061,629  
     
     
                                 
                                 

 Short-term Investments – 2.1%
                                 
                                 
    Commercial Paper – 1.6%
   
Banco Santander SA
    $ 16,000,000       0.700 %     11/09/10     $ 16,000,000  
     
     
    Repurchase Agreement(g) – 0.5%
   
Joint Repurchase Agreement Account II
      5,400,000       0.270 %     10/01/10       5,400,000  
    Maturity Value: $5,400,041        
     
     
    TOTAL SHORT-TERM INVESTMENTS
    (Cost $21,400,000)   $ 21,400,000  
     
     
    TOTAL INVESTMENTS – 98.0%
    (Cost $1,007,388,404)   $ 1,020,461,629  
     
     
   
OTHER ASSETS IN EXCESS OF LIABILITIES – 2.0%
    20,521,512  
     
     
    NET ASSETS – 100.0%   $ 1,040,983,141  
     
     
 
 
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
 
(a) Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $313,042,788, which represents approximately 30.1% of net assets as of September 30, 2010.
 
(b) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2010.
 
(c) Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
 
(d) A portion of this security is segregated as collateral for initial margin requirements on futures transactions.
 
(e) Guaranteed by a foreign government until maturity. Total market value of these securities amounts to $212,647,282, which represents approximately 20.4% of net assets as of September 30, 2010.
 
(f) Guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program and is backed by the full faith and credit of the United States. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012. Total market value of these securities amounts to $152,091,288, which represents approximately 14.6% of net assets as of September 30, 2010.
 
(g) Joint repurchase agreement was entered into on September 30, 2010. Additional information appears on pages 50-51.
 
             
     
     
    Investment Abbreviations:
    FHLB     Federal Home Loan Bank
    FNMA     Federal National Mortgage Association
     
     
 
 
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
31 


 

GOLDMAN SACHS ENHANCED INCOME FUND
 
 

 
Schedule of Investments (continued)
September 30, 2010 (Unaudited)
 
 
ADDITIONAL INVESTMENT INFORMATION
 
FUTURES CONTRACTS — At September 30, 2010, the following futures contracts were open:
 
                             
    Number of
           
    Contracts
  Expiration
  Current
  Unrealized
Type   Long (Short)   Date   Value   Gain (Loss)
 
Eurodollars
    418     December 2010   $ 104,123,800     $ 288,860  
Eurodollars
    197     March 2011     49,048,075       61,119  
Eurodollars
    (267 )   June 2011     (66,426,262 )     (682,655 )
Eurodollars
    (267 )   September 2011     (66,362,850 )     (863,410 )
Eurodollars
    (267 )   December 2011     (66,282,750 )     (1,016,175 )
Eurodollars
    (291 )   March 2012     (72,142,538 )     (1,232,077 )
Eurodollars
    (122 )   June 2012     (30,199,575 )     (566,030 )
Eurodollars
    (98 )   September 2012     (24,221,925 )     (477,995 )
Eurodollars
    (98 )   December 2012     (24,179,050 )     (497,595 )
2 Year U.S. Treasury Notes
    378     December 2010     82,965,094       159,793  
5 Year U.S. Treasury Notes
    (832 )   December 2010     (100,561,500 )     (695,890 )
 
 
TOTAL
                      $ (5,522,055 )
 
 
 
SWAP CONTRACTS — At September 30, 2010, the Fund had outstanding swap contracts with the following terms:
 
CREDIT DEFAULT SWAP CONTRACTS
 
                                                             
                    Credit
           
            Rates
      Spread at
      Upfront
   
        Notional
  received
      September 30,
      Payments made
   
    Referenced
  Amount
  (paid) by
  Termination
  2010
  Market
  (received) by
  Unrealized
Counterparty   Obligation   (000s)   Fund   Date   (basis points)(a)   Value   the Fund   Gain (Loss)
 
Protection Sold:
                                                       
JPMorgan Securities, Inc.
  Johnson & Johnson
5.150%, 08/15/12
  $ 6,000       1.000 %     06/20/12       23     $ 81,883     $ 76,342     $ 5,541  
    Pacific Gas and Electric Co.
4.800%, 03/01/14
    4,850       1.000       06/20/13       109       (10,154 )     (34,394 )     24,240  
 
 
TOTAL
                                      $ 71,729     $ 41,948     $ 29,781  
 
 
 
(a)  Credit spread on the Referenced Obligation, together with the term of the swap contract, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and the term of the swap contract increase.
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 32


 

GOLDMAN SACHS GOVERNMENT INCOME FUND
 
 

Schedule of Investments
September 30, 2010 (Unaudited)
 
                                 
    Principal
  Interest
  Maturity
   
    Amount   Rate   Date   Value
 

 Mortgage-Backed Obligations – 49.3%
                                 
                                 
    Collateralized Mortgage Obligations – 3.2%
    Adjustable Rate Non-Agency(a) – 0.6%
   
Adjustable Rate Mortgage Trust Series 2004-5, Class 2A1
    $ 81,551       3.080 %     04/25/35     $ 73,972  
   
Bear Stearns Adjustable Rate Mortgage Trust Series 2003-05, Class 1A1
      27,013       3.075       08/25/33       23,687  
   
Chase Mortgage Finance Corp. Series 2007-A1, Class 3A1
      1,393,505       3.186       02/25/37       1,292,632  
   
Chase Mortgage Finance Corp. Series 2007-A1, Class 7A1
      786,573       2.926       02/25/37       792,025  
   
Countrywide Home Loan Mortgage Pass-Through Trust Series 2003-37, Class 1A1
      32,359       3.321       08/25/33       29,187  
   
CS First Boston Mortgage Securities Corp. Series 2003-AR9, Class 2A2
      132,518       2.632       03/25/33       113,191  
   
First Horizon Asset Securities Series, Inc. 2004-AR6, Class 2A1
      51,356       2.987       12/25/34       48,807  
   
JPMorgan Mortgage Trust Series 2005-A4, Class 2A1
      419,522       2.903       07/25/35       381,805  
   
MLCC Mortgage Investors, Inc. Series 2004-E, Class A2B
      1,168,682       0.794       11/25/29       1,006,491  
   
Sequoia Mortgage Trust Series 2004-09, Class A2
      697,940       0.768       10/20/34       568,081  
   
Structured Adjustable Rate Mortgage Loan Trust Series 2004-05, Class 1A
      208,553       2.651       05/25/34       187,542  
   
Structured Adjustable Rate Mortgage Loan Trust Series 2004-12, Class 3A2
      73,284       2.716       09/25/34       66,408  
   
Structured Asset Securities Corp. Series 2003-34A, Class 3A3
      803,922       2.660       11/25/33       715,640  
   
Washington Mutual Mortgage Pass-Through Certificates Series 2004-AR03, Class A2
      198,276       2.707       06/25/34       192,420  
                                 
                              5,491,888  
     
     
    Interest Only(b) – 0.0%
   
CS First Boston Mortgage Securities Corp. Series 2003-AR18, Class 2X(a)(c)
      84,914       0.000       07/25/33        
   
CS First Boston Mortgage Securities Corp. Series 2003-AR20, Class 2X(a)(c)
      115,743       0.000       08/25/33        
   
FNMA REMIC Series 2004-47, Class EI(a)(c)
      1,734,641       0.000       06/25/34       15,197  
   
FNMA REMIC Series 2004-62, Class DI(a)(c)
      760,348       0.000       07/25/33       4,648  
   
FNMA REMIC Series 2004-71, Class DI(a)(c)
      1,556,448       0.000       04/25/34       5,869  
   
FNMA STRIPS Series 151, Class 2
      13,372       9.500       07/25/22       2,785  
   
Master Adjustable Rate Mortgages Trust Series 2003-2, Class 3AX(a)
      40,486       0.120       08/25/33       123  
   
Master Adjustable Rate Mortgages Trust Series 2003-2, Class 4AX(a)
      18,144       0.320       07/25/33       110  
                                 
                              28,732  
     
     
    Inverse Floaters(a) – 0.1%
   
GNMA Series 2001-48, Class SA
      49,436       25.651       10/16/31       76,328  
   
GNMA Series 2001-51, Class SA
      38,544       31.385       10/16/31       63,019  
   
GNMA Series 2001-51, Class SB
      48,369       25.651       10/16/31       77,654  
   
GNMA Series 2001-59, Class SA
      43,004       25.489       11/16/24       65,985  
   
GNMA Series 2002-13, Class SB
      169,497       36.366       02/16/32       304,444  
                                 
                              587,430  
     
     
    Principal Only(d) – 0.0%
   
FNMA REMIC Series G-35, Class N
      13,256       0.000       10/25/21       12,591  
     
     
    Regular Floater(a) – 1.1%
   
BCAP LLC Trust Series 2006-RR1, Class CF
      416,976       0.896       11/25/36       391,986  
   
FHLMC REMIC Series 1760, Class ZB
      387,343       2.010       05/15/24       391,353  
   
FNMA REMIC Series 2006-68, Class FM
      9,380,375       0.706       08/25/36       9,368,473  
                                 
                              10,151,812  
     
     
    Sequential Fixed Rate – 1.3%
   
FHLMC REMIC Series 2329, Class ZA
      2,401,418       6.500       06/15/31       2,661,059  
   
FHLMC REMIC Series 2590, Class NV
      2,000,000       5.000       03/15/18       2,202,157  
   
FNMA REMIC Series 2001-53, Class GH
      285,274       8.000       09/25/16       313,524  
   
GNMA Series 2002-42 Class KZ
      6,208,113       6.000       06/16/32       6,974,803  
                                 
                              12,151,543  
     
     
    Sequential Floating Rate(a)(e) – 0.1%
   
FDIC Structured Sale Guaranteed Notes Series 2010-S1, Class 1A
      834,693       0.806       02/25/48       836,893  
     
     
                                 
    TOTAL COLLATERALIZED
    MORTGAGE OBLIGATIONS   $ 29,260,889  
     
     
    Commercial Mortgage-Backed Securities – 0.9%
    Interest Only(a)(b)(e) – 0.0%
   
Bear Stearns Commercial Mortgage Securities, Inc. Series 2003-T10, Class X2
    $ 13,124,137       1.375 %     03/13/40     $ 79,455  
   
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2004-C1, Class X2
      12,036,553       1.104       01/15/38       40,769  
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
33 


 

GOLDMAN SACHS GOVERNMENT INCOME FUND
 
 

 
Schedule of Investments (continued)
September 30, 2010 (Unaudited)
 
 
                                 
    Principal
  Interest
  Maturity
   
    Amount   Rate   Date   Value
 

 Mortgage-Backed Obligations – (continued)
    Interest Only(a)(b)(e) – (continued)
                                 
   
Prudential Commercial Mortgage Trust Series 2003-PWR1, Class X2
    $ 14,247,247       1.666 %     02/11/36     $ 86,073  
                                 
                              206,297  
     
     
    Sequential Fixed Rate – 0.9%
   
GMAC Commercial Mortgage Securities, Inc. Series 2002-C1, Class A2
      8,000,000       6.278       11/15/39       8,315,900  
     
     
                                 
    TOTAL COMMERCIAL MORTGAGE-
    BACKED SECURITIES   $ 8,522,197  
     
     
    Federal Agencies – 45.2%
    Adjustable Rate FHLMC(a) – 0.6%
    $ 226,953       2.861 %     11/01/32     $ 238,163  
      2,624,700       2.749       09/01/33       2,757,931  
      2,613,748       2.632       08/01/35       2,746,041  
                                 
                              5,742,135  
     
     
    Adjustable Rate FNMA(a) – 1.6%
      219,381       2.839       11/01/32       229,130  
      444,291       2.785       12/01/32       463,663  
      2,907,428       1.924       05/01/33       2,986,770  
      67,257       2.592       06/01/33       70,613  
      2,673,026       3.919       10/01/33       2,783,117  
      2,868,597       2.577       02/01/35       3,009,087  
      2,319,736       3.895       09/01/35       2,425,335  
      2,525,195       5.212       06/01/37       2,652,249  
                                 
                              14,619,964  
     
     
    Adjustable Rate GNMA(a) – 0.7%
      139,761       3.375       06/20/23       144,493  
      64,099       3.625       07/20/23       65,857  
      66,941       3.625       08/20/23       68,731  
      174,798       3.625       09/20/23       179,484  
      52,064       3.375       03/20/24       53,732  
      444,609       3.375       04/20/24       460,313  
      54,385       3.375       05/20/24       56,270  
      466,024       3.375       06/20/24       482,770  
      252,513       3.625       07/20/24       260,566  
      340,268       3.625       08/20/24       350,510  
      109,380       3.625       09/20/24       112,405  
      130,668       3.125       11/20/24       134,975  
      117,957       3.125       12/20/24       123,049  
      91,147       3.375       01/20/25       94,646  
      45,845       3.375       02/20/25       47,670  
      154,424       3.375       05/20/25       160,871  
      115,447       3.625       07/20/25       119,606  
      57,593       3.375       02/20/26       59,537  
      3,226       3.625       07/20/26       3,320  
      167,277       3.375       01/20/27       173,498  
      58,270       3.375       02/20/27       60,220  
      454,214       3.375       04/20/27       470,999  
      50,344       3.375       05/20/27       52,208  
      49,864       3.375       06/20/27       51,711  
      17,868       3.125       11/20/27       18,412  
      72,931       3.125       12/20/27       75,067  
      138,794       3.375       01/20/28       143,514  
      48,238       3.250       02/20/28       49,878  
      54,960       3.375       03/20/28       56,896  
      265,632       3.625       07/20/29       273,830  
      113,635       3.625       08/20/29       117,145  
      33,572       3.625       09/20/29       34,611  
      138,691       3.125       10/20/29       142,740  
      177,560       3.125       11/20/29       182,834  
      41,276       3.125       12/20/29       42,483  
      54,799       3.250       01/20/30       56,659  
      29,550       3.250       02/20/30       30,555  
      117,449       3.250       03/20/30       121,440  
      168,126       3.375       04/20/30       174,580  
      436,916       3.375       05/20/30       455,189  
      35,905       3.375       06/20/30       37,295  
      349,496       3.625       07/20/30       363,588  
      61,425       3.625       09/20/30       63,907  
      117,954       2.875       10/20/30       121,164  
      237,161       3.000       03/20/32       244,510  
                                 
                              6,593,738  
     
     
    FHLMC – 7.3%
      282,779       6.500       12/01/13       306,048  
      6,073       6.500       02/01/14       6,573  
      1,758,568       7.500       11/01/14       1,893,107  
      2,717       7.000       02/01/15       2,937  
      71,268       8.000       07/01/15       77,253  
      10,697       7.000       01/01/16       11,523  
      30,253       7.000       09/01/17       33,607  
      14,123       7.000       10/01/17       15,682  
      180,852       5.500       05/01/18       195,999  
      1,519,794       5.500       06/01/18       1,645,770  
      56,802       4.500       09/01/18       60,296  
      18,839       10.000       10/01/18       20,234  
      351,596       5.000       06/01/19       375,453  
      57,113       10.000       07/01/20       62,318  
      75,261       10.000       10/01/20       82,237  
      173,037       6.500       07/01/21       191,332  
      12,715       6.500       08/01/22       14,057  
      138,617       9.000       10/01/22       160,396  
      989,192       4.500       10/01/23       1,053,674  
      554,940       6.500       07/01/28       590,758  
      5,178       8.000       07/01/30       5,807  
      32,063       7.500       12/01/30       35,756  
      145,832       7.000       04/01/31       161,907  
      1,313,759       6.000       05/01/33       1,438,823  
      1,041,491       6.000       10/01/34       1,134,696  
      3,211,345       4.500       10/01/35       3,359,546  
      180,799       5.000       12/01/35       192,402  
      712,430       5.500       01/01/36       763,692  
      1,658       5.500       02/01/36       1,777  
      19,718       6.000       06/01/36       21,465  
      193,199       5.500       02/01/38       204,789  
      147,287       5.000       04/01/38       156,832  
      12,185,035       6.000       11/01/38       13,348,801  
      552,322       5.500       12/01/38       585,283  
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 34


 

GOLDMAN SACHS GOVERNMENT INCOME FUND
 
 

 
 
 
 
                                 
    Principal
  Interest
  Maturity
   
    Amount   Rate   Date   Value
 

 Mortgage-Backed Obligations – (continued)
    FHLMC – (continued)
                                 
    $ 137,350       5.500 %     02/01/39     $ 145,547  
      1,194,385       5.000       03/01/39       1,276,043  
      2,099,153       5.000       04/01/39       2,240,436  
      759,399       5.000       05/01/39       814,308  
      2,059,141       5.000       06/01/39       2,208,027  
      457,250       5.000       07/01/39       490,312  
      484,379       5.000       08/01/39       518,436  
      5,500,310       4.500       09/01/39       5,795,620  
      2,661,831       5.000       09/01/39       2,851,437  
      1,923,689       5.000       10/01/39       2,057,256  
      1,994,203       5.000       11/01/39       2,128,422  
      670,750       5.000       12/01/39       715,895  
      3,100,812       5.000       01/01/40       3,315,744  
      184,083       4.500       02/01/40       194,092  
      2,339,256       5.000       03/01/40       2,508,395  
      1,829,117       4.500       04/01/40       1,928,574  
      2,264,989       5.000       04/01/40       2,428,758  
      3,137,875       4.500       05/01/40       3,308,497  
      1,626,441       4.500       06/01/40       1,714,878  
      2,500,000       4.500       09/01/40       2,602,761  
                                 
                              67,454,268  
     
     
    FNMA – 24.6%
      30,736       7.000       03/01/14       33,349  
      52,593       7.000       03/01/15       56,338  
      16,252       8.000       01/01/16       17,701  
      77,153       6.000       11/01/16       83,404  
      234,372       8.000       11/01/16       267,133  
      431,370       5.000       08/01/17       455,165  
      581,134       5.000       02/01/18       620,758  
      2,256,768       5.000       03/01/18       2,410,646  
      706,822       5.000       04/01/18       755,017  
      140,593       4.500       05/01/18       149,331  
      869,885       5.000       05/01/18       929,198  
      311,312       4.500       06/01/18       330,999  
      1,146,132       5.000       06/01/18       1,224,280  
      62,291       4.500       07/01/18       66,163  
      73,444       5.000       07/01/18       78,452  
      95,257       4.500       08/01/18       101,177  
      53,545       5.000       08/01/18       57,196  
      829,750       5.000       09/01/18       886,569  
      4,314,221       5.000       10/01/18       4,609,560  
      36,789       5.000       11/01/18       39,298  
      571,051       5.000       01/01/19       610,764  
      64,876       5.000       02/01/19       69,351  
      1,521,794       5.000       04/01/19       1,625,557  
      377,574       5.000       05/01/19       403,831  
      1,550,993       5.000       06/01/19       1,656,747  
      248,443       6.500       08/01/19       271,342  
      1,653,084       6.000       09/01/19       1,789,292  
      25,505       9.500       08/01/20       25,759  
      26,102       9.500       10/01/20       26,536  
      2,043,608       6.000       12/01/20       2,211,993  
      63,196       6.000       05/01/21       68,509  
      23,025       6.000       07/01/21       24,961  
      660,606       6.000       09/01/21       716,151  
      61,086       6.000       09/01/22       66,188  
      1,687,917       5.500       02/01/23       1,813,361  
      1,037,988       6.000       02/01/23       1,124,676  
      2,550,564       5.500       08/01/23       2,740,119  
      565,697       6.000       11/01/28       623,646  
      23,503       6.500       11/01/28       26,028  
      1,318       5.500       04/01/29       1,417  
      48,598       7.000       11/01/30       54,549  
      189,991       7.000       07/01/31       210,601  
      661       6.000       03/01/32       728  
      16,919,772       5.500       04/01/33       18,159,675  
      43,767       6.000       05/01/33       47,973  
      22,239       5.000       07/01/33       23,588  
      4,200,815       5.500       07/01/33       4,472,132  
      238,629       5.000       08/01/33       253,107  
      3,671,338       4.500       09/01/33       3,863,445  
      23,696       5.000       09/01/33       25,138  
      25,118       5.500       09/01/33       26,955  
      24,387       5.000       11/01/33       25,871  
      15,180       5.000       12/01/33       16,104  
      18,469       6.000       12/01/33       20,220  
      14,718       5.000       01/01/34       15,614  
      31,326       5.500       02/01/34       33,612  
      5,130       5.500       04/01/34       5,504  
      26,890       5.500       05/01/34       28,852  
      1,111       5.500       06/01/34       1,191  
      42,498       5.500       08/01/34       45,599  
      2,670       5.500       10/01/34       2,862  
      317,010       5.500       12/01/34       339,547  
      19,864       5.000       03/01/35       20,983  
      29,652       5.000       04/01/35       31,323  
      45,406       5.500       04/01/35       48,634  
      1,235,065       6.000       04/01/35       1,356,621  
      19,594       5.000       05/01/35       20,728  
      257,856       5.000       07/01/35       272,555  
      40,779       5.500       07/01/35       43,641  
      746,276       5.000       08/01/35       789,227  
      4,452       5.500       08/01/35       4,764  
      2,485       6.000       08/01/35       2,701  
      193,834       5.000       09/01/35       204,757  
      41,851       5.500       09/01/35       44,970  
      65,542       5.000       10/01/35       69,235  
      468,986       6.000       10/01/35       509,920  
      79,890       5.000       11/01/35       84,391  
      395,770       6.000       11/01/35       427,815  
      20,629       5.500       12/01/35       22,096  
      950       5.500       02/01/36       1,020  
      314,511       6.000       03/01/36       342,264  
      397,410       6.000       04/01/36       432,494  
      36,202       5.000       07/01/36       38,242  
      440,650       6.000       09/01/36       481,616  
      407,911       6.000       11/01/36       440,574  
      717,314       6.000       12/01/36       783,553  
      680,413       6.000       01/01/37       738,908  
      4,888       5.500       02/01/37       5,235  
      109,358       5.500       04/01/37       117,334  
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
35 


 

GOLDMAN SACHS GOVERNMENT INCOME FUND
 
 

 
Schedule of Investments (continued)
September 30, 2010 (Unaudited)
 
 
                                 
    Principal
  Interest
  Maturity
   
    Amount   Rate   Date   Value
 

 Mortgage-Backed Obligations – (continued)
    FNMA – (continued)
                                 
    $ 9,253       5.500 %     05/01/37     $ 9,909  
      3,592       5.500       06/01/37       3,845  
      139,444       6.000       06/01/37       149,716  
      23,531       6.000       07/01/37       25,322  
      515       5.500       08/01/37       552  
      510,265       6.000       08/01/37       547,854  
      357,142       6.000       09/01/37       383,452  
      1,041,434       6.000       10/01/37       1,120,501  
      1,334,141       6.000       11/01/37       1,432,733  
      1,209,490       7.500       11/01/37       1,344,316  
      1,202,657       5.500       12/01/37       1,279,530  
      1,192,300       6.000       12/01/37       1,280,788  
      2,517,856       5.500       01/01/38       2,677,647  
      321,131       6.000       01/01/38       345,130  
      3,669       5.500       02/01/38       3,928  
      57,646       5.500       03/01/38       61,735  
      203,602       6.000       03/01/38       218,736  
      150,962       5.500       04/01/38       162,024  
      1,585,800       5.500       05/01/38       1,687,469  
      2,568,213       5.500       06/01/38       2,730,950  
      497,561       5.500       07/01/38       529,276  
      309,753       6.000       07/01/38       332,503  
      15,335       5.500       08/01/38       16,425  
      41,331       6.000       08/01/38       44,407  
      10,087       5.500       09/01/38       10,804  
      187,439       6.000       10/01/38       201,452  
      5,193       5.500       12/01/38       5,563  
      128,350       5.000       01/01/39       137,179  
      540,549       5.000       02/01/39       577,972  
      57,447       5.500       02/01/39       61,819  
      1,571,524       4.500       03/01/39       1,659,247  
      537,687       5.000       03/01/39       574,673  
      67,406       5.000       04/01/39       72,042  
      291,624       4.500       05/01/39       307,265  
      1,009,821       5.000       05/01/39       1,081,807  
      179,053       4.500       06/01/39       189,048  
      143,383       5.000       06/01/39       153,494  
      294,633       4.500       07/01/39       311,079  
      1,415,296       5.000       07/01/39       1,515,860  
      930,728       4.500       08/01/39       982,160  
      6,960,607       5.000       08/01/39       7,454,838  
      145,876       5.500       08/01/39       155,185  
      931,666       4.500       09/01/39       983,672  
      7,533,002       5.000       09/01/39       8,066,594  
      1,937,805       4.500       10/01/39       2,042,627  
      6,367,680       5.000       10/01/39       6,821,544  
      2,000,000       5.500       10/01/39       2,127,250  
      882,257       4.500       11/01/39       931,092  
      406,542       5.000       11/01/39       435,333  
      2,826,734       4.500       12/01/39       2,980,629  
      5,819,985       5.000       12/01/39       6,222,504  
      1,306,102       4.500       01/01/40       1,377,334  
      2,560,441       5.000       01/01/40       2,748,026  
      527,698       4.500       02/01/40       557,037  
      558,090       5.000       02/01/40       598,397  
      130,833       4.500       03/01/40       138,136  
      983,351       5.000       03/01/40       1,055,911  
      495,570       4.500       04/01/40       523,233  
      764,341       4.500       05/01/40       807,007  
      52,222       4.500       06/01/40       55,138  
      3,983,196       5.000       07/01/40       4,195,662  
      2,989,252       4.500       09/01/40       3,116,367  
      2,000,000       3.000       TBA-15yr (f)     2,010,625  
      15,000,000       3.500       TBA-15yr (f)     15,410,860  
      4,000,000       3.500       TBA-30yr (f)     4,029,688  
      22,000,000       5.500       TBA-30yr (f)     23,383,593  
      39,000,000       6.000       TBA-30yr (f)     41,839,668  
                                 
                              228,374,592  
     
     
    GNMA – 10.4%
      260       9.000       08/15/16       288  
      237,490       7.000       12/15/27       268,724  
      29,823       6.500       08/15/28       33,757  
      356,921       6.000       01/15/29       390,485  
      279,382       7.000       10/15/29       316,117  
      3,914,774       5.500       12/15/32       4,233,301  
      8,836,750       5.000       05/15/33       9,466,170  
      5,307,060       5.000       06/15/33       5,685,069  
      17,594,375       5.000       07/15/33       18,847,581  
      2,169,793       5.000       09/15/33       2,324,342  
      3,520,136       5.000       03/15/34       3,765,568  
      2,106,421       5.500       06/15/34       2,274,616  
      14,954       5.000       05/15/39       16,089  
      94,399       4.500       06/15/39       100,244  
      92,245       5.000       07/15/39       98,814  
      93,650       4.500       10/15/39       99,448  
      47,000,000       4.000       TBA-30yr (f)     48,546,485  
                                 
                              96,467,098  
     
     
    TOTAL FEDERAL AGENCIES   $ 419,251,795  
     
     
    TOTAL MORTGAGE-BACKED OBLIGATIONS
    (Cost $442,664,028)   $ 457,034,881  
     
     
                                 
                                 

 Agency Debentures – 8.5%
                                 
                                 
   
FFCB
    $ 9,000,000       4.750 %     11/06/12     $ 9,767,988  
   
FHLB
      10,000,000       5.375 (g)     06/13/14       11,504,872  
   
FHLMC
      5,100,000       5.050       01/26/15       5,861,200  
      9,400,000       1.750       09/10/15       9,493,032  
      9,100,000       3.800       03/09/16       9,235,211  
   
FNMA
      2,600,000       3.000       07/28/14       2,650,367  
      9,100,000       3.000       01/28/15       9,173,027  
      10,000,000       3.000       02/17/15       10,098,192  
   
New Valley Generation III
      3,521,598       4.929       01/15/21       3,937,618  
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 36


 

GOLDMAN SACHS GOVERNMENT INCOME FUND
 
 

 
 
 
 
                                 
    Principal
  Interest
  Maturity
   
    Amount   Rate   Date   Value
 

 Agency Debentures – (continued)
                                 
   
Small Business Administration
    $ 207,447       6.700 %     12/01/16     $ 224,932  
      137,387       7.150       03/01/17       150,943  
      108,330       7.500       04/01/17       118,300  
      56,761       7.300       05/01/17       61,498  
      45,384       6.800       08/01/17       49,820  
      167,641       6.300       05/01/18       183,078  
      100,929       6.300       06/01/18       110,395  
   
Tennessee Valley Authority
      1,400,000       4.625       09/15/60       1,458,456  
   
Tennessee Valley Authority Series B
      4,200,000       4.375       06/15/15       4,737,860  
     
     
    TOTAL AGENCY DEBENTURES
    (Cost $75,316,877)   $ 78,816,789  
     
     
                                 
                                 

 Asset-Backed Securities – 1.9%
                                 
                                 
    Home Equity(a) – 0.4%
   
Bear Stearns Adjustable Rate Mortgage Trust Series 2004-1, Class 21A1
    $ 100,037       2.616 %     04/25/34     $ 90,319  
   
Citigroup Mortgage Loan Trust, Inc. Series 2004-OPT1, Class A2
      511,511       0.616       10/25/34       455,346  
   
Household Home Equity Loan Trust Series 2007-3, Class APT
      2,776,024       1.457       11/20/36       2,538,951  
   
Securitized Asset Backed Receivables LLC Trust Series 2004-OP2, Class A2
      21,324       0.606       08/25/34       16,427  
                                 
                              3,101,043  
     
     
    Manufactured Housing – 0.0%
   
Mid-State Trust Series 4, Class A
      151,009       8.330       04/01/30       150,761  
     
     
    Student Loan(a) – 1.5%
   
Brazos Higher Education Authority, Inc. Series 2005-3, Class A14
      1,145,841       0.399       09/25/23       1,139,569  
   
Education Funding Capital Trust I Series 2004-1, Class A2
      1,608,898       0.452       12/15/22       1,579,386  
   
Goal Capital Funding Trust Series 10-1, Class A(e)
      3,481,589       0.964       08/25/48       3,442,479  
   
Knowledgeworks Foundation Student Loan Series 2010-1, Class A
      1,300,000       1.242       02/25/42       1,283,911  
   
Missouri Higher Education Loan Authority Student Loan Series 2010, Class A-1
      3,289,897       1.268       11/26/32       3,297,950  
   
Nelnet Student Loan Trust Series 2010-3A, Class A(e)
      1,600,000       1.212       07/27/48       1,603,716  
   
Northstar Education Finance, Inc. Series 2005-1, Class A1
      581,356       0.588       10/28/26       577,837  
     
     
   
US Education Loan Trust LLC Series 2006-1, Class A2(e)
      1,113,650       0.427       03/01/25       1,104,909  
                                 
                              14,029,757  
     
     
    TOTAL ASSET-BACKED SECURITIES
    (Cost $17,549,016)   $ 17,281,561  
     
     
                                 
                                 

 Government Guarantee Obligations(h) – 11.9%
                                 
                                 
   
Ally Financial, Inc.
    $ 15,000,000       1.750 %     10/30/12     $ 15,352,216  
      20,000,000       2.200       12/19/12       20,684,742  
   
Citigroup Funding, Inc.
      20,700,000       1.875       10/22/12       21,237,720  
      8,000,000       1.875       11/15/12       8,209,806  
   
General Electric Capital Corp.
      12,900,000       2.000       09/28/12       13,259,531  
      14,500,000       0.292 (a)     12/21/12       14,506,365  
      9,100,000       2.125       12/21/12       9,397,878  
   
Private Export Funding Corp.
      7,000,000       3.550       04/15/13       7,486,913  
     
     
    TOTAL GOVERNMENT GUARANTEE OBLIGATIONS
    (Cost $107,882,514)   $ 110,135,171  
     
     
                                 
                                 

 U.S. Treasury Obligations – 20.6%
                                 
                                 
   
United States Treasury Bonds
    $ 370,000       4.500 %     02/15/36     $ 425,442  
      4,100,000       4.375       11/15/39       4,600,323  
      8,200,000       4.375       05/15/40       9,209,419  
      10,900,000       3.875       08/15/40       11,269,620  
   
United States Treasury Inflation Protected Securities
      14,388,516       2.375       04/15/11       14,575,135  
      12,246,351       3.000       07/15/12       13,007,952  
      462,628       2.375       01/15/25       531,986  
      582,157       2.000       01/15/26       640,145  
   
United States Treasury Notes
      45,000,000       1.000       04/30/12       45,452,699  
      5,700,000       0.625       06/30/12       5,723,199  
      6,500,000       3.000       08/31/16       7,014,864  
      22,500,000       3.000       09/30/16       24,273,676  
      9,600,000       3.125       10/31/16       10,421,279  
      2,500,000       3.250       12/31/16       2,728,700  
      4,000,000       2.750       02/15/19       4,149,160  
      18,650,000       3.625       08/15/19       20,508,846  
   
United States Treasury Principal-Only STRIPS(d)
      7,100,000       0.000       08/15/20       5,397,136  
      12,900,000       0.000       05/15/21       9,484,467  
      3,000,000       0.000       11/15/21       2,151,720  
     
     
    TOTAL U.S. TREASURY OBLIGATIONS
    (Cost $185,265,976)   $ 191,565,768  
     
     
                                 
                                 
                                 
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
37 


 

GOLDMAN SACHS GOVERNMENT INCOME FUND
 
 

 
Schedule of Investments (continued)
September 30, 2010 (Unaudited)
 
 
                                 
    Principal
  Interest
  Maturity
   
    Amount   Rate   Date   Value
 

 Municipal Debt Obligation – 0.2%
                                 
                                 
    New Jersey – 0.2%
   
New Jersey Economic Development Authority Series A (MBIA)
    $ 2,000,000       7.425 %     02/15/29     $ 2,336,600  
    (Cost $2,000,000)        
     
     
    TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
    (Cost $830,678,411)   $ 857,170,770  
     
     
                                 
                                 

 Short-term Investment(i) – 22.5%
                                 
                                 
    Repurchase Agreement – 22.5%
   
Joint Repurchase Agreement Account II
    $ 208,600,000       0.270 %     10/01/10     $ 208,600,000  
    Maturity Value: $208,601,565        
    (Cost $208,600,000)        
     
     
    TOTAL INVESTMENTS – 114.9%
    (Cost $1,039,278,411)   $ 1,065,770,770  
     
     
   
LIABILITIES IN EXCESS OF
OTHER ASSETS – (14.9)%
    (138,181,229 )
     
     
    NET ASSETS – 100.0%   $ 927,589,541  
     
     
 
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
 
(a) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2010.
 
(b) Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.
 
(c) Issued with zero coupon and interest rate is contingent upon LIBOR reaching a predetermined level.
 
(d) Issued with a zero coupon. Income is recognized through the accretion of discount.
 
(e) Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $7,194,294, which represents approximately 0.8% of net assets as of September 30, 2010.
 
(f) TBA (To Be Announced) Securities are purchased/sold on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $135,220,919, which represents approximately 14.6% of net assets as of September 30, 2010.
 
(g) A portion of this security is segregated as collateral for initial margin requirements on futures transactions.
 
(h) Guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program and is backed by the full faith and credit of the United States. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012.
 
(i) Joint repurchase agreement was entered into on September 30, 2010. Additional information appears on pages 50-51.
 
             
     
     
    Investment Abbreviations:
    FDIC     Federal Deposit Insurance Corp.
    FFCB     Federal Farm Credit Bank
    FHLB     Federal Home Loan Bank
    FHLMC     Federal Home Loan Mortgage Corp.
    FNMA     Federal National Mortgage Association
    GNMA     Government National Mortgage Association
    LIBOR     London Interbank Offered Rate
    MBIA     Insured by Municipal Bond Investors Insurance
    REMIC     Real Estate Mortgage Investment Conduit
    STRIPS     Separate Trading of Registered Interest and Principal of Securities
     
     
 
 
ADDITIONAL INVESTMENT INFORMATION
 
FORWARD SALES CONTRACTS — At September 30, 2010, the Fund had the following forward sales contracts:
 
                                     
    Interest
  Maturity
  Settlement
  Principal
   
Description   Rate   Date(f)   Date   Amount   Value
 
FHLMC
    4.500 %   TBA-30yr     10/13/10     $ (2,000,000 )   $ (2,079,531 )
FNMA
    4.500     TBA-30yr     10/13/10       (1,000,000 )     (1,041,563 )
 
 
TOTAL (Proceeds Receivable: $3,119,922)
                      $ (3,121,094 )
 
 
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 38


 

GOLDMAN SACHS GOVERNMENT INCOME FUND
 
 

 
 
 
 
ADDITIONAL INVESTMENT INFORMATION (continued)
 
 
FUTURES CONTRACTS — At September 30, 2010, the following futures contracts were open:
 
                             
    Number of
           
    Contracts
  Expiration
  Current
  Unrealized
Type   Long (Short)   Date   Value   Gain (Loss)
 
Eurodollars
    13     December 2010   $ 3,238,300     $ 16,543  
Eurodollars
    (24 )   March 2011     (5,975,400 )     (6,954 )
Eurodollars
    (24 )   June 2011     (5,970,900 )     (9,954 )
Eurodollars
    (24 )   September 2011     (5,965,200 )     (12,954 )
Eurodollars
    (24 )   December 2011     (5,958,000 )     (17,654 )
Eurodollars
    (24 )   March 2012     (5,949,900 )     (20,854 )
2 Year U.S. Treasury Notes
    36     December 2010     7,901,437       15,131  
5 Year U.S. Treasury Notes
    796     December 2010     96,210,282       338,462  
10 Year U.S. Treasury Notes
    714     December 2010     89,997,469       834,809  
30 Year U.S. Treasury Bonds
    164     December 2010     21,929,875       103,820  
 
 
TOTAL
                      $ 1,240,395  
 
 
 
SWAP CONTRACTS — At September 30, 2010, the Fund had outstanding swap contracts with the following terms(a):
 
INTEREST RATE SWAP CONTRACTS
 
                                     
            Rates Exchanged    
    Notional
      Payments
  Payments
   
    Amount
  Termination
  received by
  made by
  Unrealized
Counterparty   (000s)   Date   the Fund   the Fund   Gain (Loss)*
 
Credit Suisse First Boston Corp. 
  $ 12,400       08/15/17     3 month LIBOR     2.252 %   $ (120,490 )
Deutsche Bank Securities, Inc. 
    10,100       08/15/17     3 month LIBOR     2.241       (91,167 )
      11,300       08/15/17     3 month LIBOR     2.113       (11,491 )
JPMorgan Securities, Inc. 
    11,400       08/15/17     3 month LIBOR     2.161       (45,512 )
 
 
TOTAL
                              $ (268,660 )
 
 
* There are no upfront payments on the swap contract(s), therefore the unrealized gain (loss) of the swap contract(s) is equal to their market value.
(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2010.
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
39 


 

GOLDMAN SACHS INFLATION PROTECTED SECURITIES FUND
 
 

Schedule of Investments
September 30, 2010 (Unaudited)
 
                                 
    Principal
  Interest
  Maturity
   
    Amount   Rate   Date   Value
 

 U.S. Treasury Obligations – 98.4%
                                 
                                 
   
United States Treasury Inflation Protected Securities
    $ 2,855,736       2.375 %     04/15/11     $ 2,892,775  
      33,950,280       3.000       07/15/12       36,061,648  
      24,214,800       1.875       07/15/13       25,735,780  
      10,618,830       2.000       01/15/14       11,382,005  
      6,077,767       1.250       04/15/14       6,389,253  
      10,062,159       2.000       07/15/14       10,881,319  
      7,397,412       1.875       07/15/15       8,041,793  
      4,942,845       2.000       01/15/16       5,417,052  
      5,937,305       2.500       07/15/16       6,723,998  
      3,891,780       2.375       01/15/17       4,386,768  
      3,681,580       2.625       07/15/17       4,244,748  
      8,270,343       1.875       07/15/19       9,165,856  
      21,342,528       1.250       07/15/20       22,394,650  
      21,165,231       2.375       01/15/25       24,338,365  
      22,627,246       2.000 (a)     01/15/26       24,881,123  
      9,188,925       2.375       01/15/27       10,606,748  
      5,619,456       1.750       01/15/28       5,956,185  
      6,200,340       3.625       04/15/28       8,293,438  
      7,107,940       2.500       01/15/29       8,385,151  
      8,472,660       2.125       02/15/40       9,467,537  
     
     
    TOTAL U.S. TREASURY OBLIGATIONS
    (Cost $235,584,273)   $ 245,646,192  
     
     
                                 
                                 

 Short-term Investment(b) – 1.7%
                                 
                                 
    Repurchase Agreement – 1.7%
   
Joint Repurchase Agreement Account II
    $ 4,200,000       0.270 %     10/01/10     $ 4,200,000  
    Maturity Value: $4,200,032        
    (Cost $4,200,000)        
     
     
    TOTAL INVESTMENTS – 100.1%
    (Cost $239,784,273)   $ 249,846,192  
     
     
   
LIABILITIES IN EXCESS OF
OTHER ASSETS – (0.1)%
    (136,852 )
     
     
    NET ASSETS – 100.0%   $ 249,709,340  
     
     
 
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 of security is segregated as collateral for initial margin requirement on futures transactions.
 
(b) Joint repurchase agreement was entered into on September 30, 2010. Additional information appears on pages 50-51.
 
 
ADDITIONAL INVESTMENT INFORMATION
 
FUTURES CONTRACTS — At September 30, 2010, the following futures contracts were open:
 
                             
    Number of
           
    Contracts
  Expiration
  Current
  Unrealized
Type   Long (Short)   Date   Value   Gain (Loss)
 
Eurodollars
    (15 )   December 2010   $ (3,736,500 )   $ (3,034 )
Eurodollars
    (15 )   March 2011     (3,734,625 )     (4,346 )
Eurodollars
    (15 )   June 2011     (3,731,813 )     (6,221 )
Eurodollars
    (15 )   September 2011     (3,728,250 )     (8,096 )
Eurodollars
    (15 )   December 2011     (3,723,750 )     (11,034 )
Eurodollars
    (15 )   March 2012     (3,718,687 )     (13,034 )
5 Year U.S. Treasury Notes
    76     December 2010     9,185,906       67,161  
10 Year U.S. Treasury Notes
    141     December 2010     17,772,609       99,702  
30 Year U.S. Treasury Bonds
    (63 )   December 2010     (8,424,281 )     (9,237 )
 
 
TOTAL
                      $ 111,861  
 
 
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 40


 

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
 
 

Schedule of Investments
September 30, 2010 (Unaudited)
 
                                 
    Principal
  Interest
  Maturity
   
    Amount   Rate   Date   Value
 

 Mortgage-Backed Obligations – 17.0%
                                 
                                 
    Collateralized Mortgage Obligations – 3.2%
    Interest Only(a) – 0.0%
   
FHLMC REMIC Series 2575, Class IB
    $ 67,882       5.500 %     08/15/30     $ 266  
   
FHLMC REMIC Series 2586, Class NX
      309,805       4.500       08/15/16       8,503  
                                 
                              8,769  
     
     
    Inverse Floaters(b) – 0.0%
   
FNMA REMIC Series 1990-134, Class SC
      31,178       21.178       11/25/20       43,939  
   
GNMA Series 2001-59, Class SA
      12,090       25.489       11/16/24       18,551  
                                 
                              62,490  
     
     
    IOette(a) – 0.0%
   
FHLMC REMIC Series 1161, Class U
      740       1,172.807       11/15/21       20,708  
     
     
    Planned Amortization Class – 0.0%
   
FHLMC REMIC Series 1556, Class H
      368,507       6.500       08/15/13       384,353  
   
FHLMC REMIC Series 1916, Class PC
      301,502       6.750       12/15/11       307,845  
                                 
                              692,198  
     
     
    Regular Floater(b) – 0.9%
   
FHLMC REMIC Series 3297, Class HF
      4,495,439       0.647       04/15/37       4,467,947  
   
FHLMC REMIC Series 3326, Class FC
      10,375,818       0.717       06/15/37       10,347,129  
   
FHLMC REMIC Series 3397, Class FK
      12,964,971       1.037       12/15/37       13,082,512  
   
FNMA REMIC Series 1988-12, Class B(c)
      121,411       0.000       02/25/18       118,530  
   
FNMA REMIC Series 2001-60, Class OF
      1,436,762       1.206       10/25/31       1,461,742  
   
FNMA REMIC Series 2001-70, Class OF
      718,381       1.206       10/25/31       730,871  
                                 
                              30,208,731  
     
     
    Sequential Fixed Rate – 1.3%
   
FHLMC REMIC Series 108, Class G
      275,010       8.500       12/15/20       312,023  
   
FHLMC REMIC Series 1980, Class Z
      1,339,008       7.000       07/15/27       1,541,876  
   
FHLMC REMIC Series 2019, Class Z
      1,460,049       6.500       12/15/27       1,617,889  
   
FNMA REMIC Series 1989-66, Class J
      445,894       7.000       09/25/19       496,880  
   
FNMA REMIC Series 1990-16, Class E
      279,745       9.000       03/25/20       321,238  
   
FNMA REMIC Series 1992-33, Class K
      486,098       8.500       03/25/18       497,825  
   
FNMA REMIC Series 2009-70, Class AL
      38,756,746       5.000       08/25/19       41,819,819  
   
GNMA REMIC Series 1995-3, Class DQ
      68,795       8.050       06/16/25       78,797  
                                 
                              46,686,347  
     
     
    Sequential Floating Rate(b) – 1.0%
   
FDIC Structured Sale Guaranteed Notes Series 2010-S1, Class 1A(d)
      34,222,334       0.806       02/25/48       34,312,551  
   
FNMA REMIC Series 1988-12, Class A
      236,347       4.436       02/25/18       252,867  
                                 
                              34,565,418  
     
     
    Targeted Amortization Class(b)(c) – 0.0%
   
FHLMC REMIC Series 3291, Class XC
      49,774       0.000       03/15/37       49,671  
     
     
                                 
    TOTAL COLLATERALIZED
    MORTGAGE OBLIGATIONS   $ 112,294,332  
     
     
    Federal Agencies – 13.8%
    Adjustable Rate FHLMC(b) – 0.8%
    $ 170,894       3.761 %     05/01/18     $ 175,809  
      95,190       4.818       10/01/25       100,021  
      3,383,128       3.310       09/01/34       3,544,277  
      1,086,153       3.078       11/01/34       1,140,096  
      1,162,124       2.687       04/01/35       1,216,948  
      7,190,281       2.653       06/01/35       7,553,414  
      2,930,308       3.435       08/01/35       3,098,586  
      1,043,987       5.841       05/01/36       1,094,942  
      337,729       5.975       10/01/36       355,043  
      237,718       5.650       11/01/36       251,683  
      7,552,235       6.263       09/01/37       7,956,290  
                                 
                              26,487,109  
     
     
    Adjustable Rate FNMA(b) – 4.0%
      78,260       2.157       11/01/17       79,534  
      256,496       3.970       02/01/18       264,366  
      123,492       6.133       06/01/18       127,211  
      175,834       5.703       05/01/20       186,164  
      85,985       4.720       01/01/23       90,059  
      566,891       3.675       02/01/27       591,266  
      6,098,036       3.550       08/01/29       6,280,820  
      61,103       2.610       07/01/32       64,255  
      44,796       3.005       07/01/32       47,020  
      363,613       2.844       01/01/33       379,849  
      3,991,592       2.676       05/01/33       4,204,024  
      527,193       3.000       08/01/33       550,630  
      3,388,603       4.611       08/01/33       3,632,688  
      2,714,324       2.664       02/01/34       2,856,452  
      898,137       2.570       05/01/34       942,378  
      1,571,417       2.602       05/01/34       1,650,092  
      1,962,455       2.713       06/01/34       2,062,885  
      966,726       3.098       10/01/34       1,011,754  
      1,700,532       3.118       10/01/34       1,782,897  
      295,981       2.683       12/01/34       308,785  
      2,294,533       2.592       02/01/35       2,399,907  
      351,914       2.782       02/01/35       367,755  
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
41 


 

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
 
 

 
Schedule of Investments (continued)
September 30, 2010 (Unaudited)
 
 
                                 
    Principal
  Interest
  Maturity
   
    Amount   Rate   Date   Value
 

 Mortgage-Backed Obligations – (continued)
    Adjustable Rate FNMA(b) – (continued)
                                 
    $ 567,052       2.579 %     03/01/35     $ 594,331  
      3,641,805       2.763       03/01/35       3,824,889  
      3,853,940       2.236       04/01/35       3,989,699  
      7,652,567       2.293       04/01/35       7,947,321  
      2,957,535       2.604       04/01/35       3,104,723  
      631,467       2.400       05/01/35       658,370  
      1,101,309       2.466       05/01/35       1,145,311  
      12,761,721       2.770       07/01/35       13,354,924  
      4,016,692       2.600       08/01/35       4,236,578  
      2,786,522       4.273       10/01/35       2,913,008  
      5,475,448       5.799       03/01/36       5,672,925  
      1,487,860       2.565       04/01/36       1,521,144  
      4,277,335       5.671       04/01/36       4,473,806  
      2,984,101       2.748       06/01/36       3,065,409  
      5,410,086       5.920       06/01/36       5,662,899  
      4,768,083       2.811       07/01/36       4,903,320  
      108,492       4.751       07/01/36       114,883  
      6,876,531       5.887       09/01/36       7,233,099  
      440,818       5.459       11/01/36       466,716  
      336,881       5.609       11/01/36       356,673  
      10,202,470       2.990       04/01/37       10,679,558  
      7,970,420       5.753       07/01/37       8,438,683  
      12,018,056       5.222       11/01/38       12,575,748  
      293,173       5.758       12/01/46       308,997  
                                 
                              137,123,805  
     
     
    Adjustable Rate GNMA(b) – 0.4%
      3,604,308       1.875       05/20/34       3,708,555  
      785,116       2.500       05/20/34       810,773  
      1,457,671       3.500       07/20/34       1,501,277  
      890,803       3.625       08/20/34       918,432  
      4,126,377       3.500       09/20/34       4,249,823  
      2,134,824       3.625       09/20/34       2,201,034  
      883,414       2.750       10/20/34       908,460  
      1,341,715       2.750       12/20/34       1,379,809  
                                 
                              15,678,163  
     
     
    FHLMC – 0.7%
      71       7.000       01/01/11       71  
      3,366       7.000       12/01/12       3,401  
      32,065       6.500       01/01/13       33,557  
      30,234       6.500       04/01/13       32,722  
      77,549       6.500       05/01/13       83,929  
      37,340       6.500       06/01/13       40,413  
      22,219       6.500       10/01/13       23,312  
      767,858       4.500       10/01/14       815,399  
      506,862       4.000       11/01/14       536,650  
      690,401       4.000       03/01/15       728,709  
      4,726,088       4.500       03/01/15       4,903,620  
      337,596       4.500       08/01/15       357,794  
      46,886       8.500       10/01/15       51,499  
      335,414       8.000       12/01/15       363,988  
      12,716       7.000       03/01/16       13,698  
      4,947,697       5.000       10/01/17       5,280,514  
      5,571,297       5.000       11/01/17       5,946,062  
      3,056,213       5.500       01/01/20       3,306,680  
      976,298       7.000       04/01/22       1,103,227  
      25,518       4.500       05/01/23       26,824  
      35,017       7.500       01/01/31       39,050  
      19,718       6.000       06/01/36       21,465  
                                 
                              23,712,584  
     
     
    FNMA – 5.8%
      4,046       7.000       07/01/11       4,150  
      1,006,916       5.500       01/01/13       1,049,307  
      22,410       6.000       01/01/14       24,205  
      73,520       6.000       03/01/14       79,406  
      14,527       5.500       04/01/14       15,644  
      460,767       4.000       01/01/15       476,909  
      182,564       4.500       01/01/15       189,612  
      2,959       8.500       09/01/15       2,975  
      137,852       8.500       10/01/15       143,759  
      19,962       8.500       12/01/15       21,283  
      15,169       5.500       01/01/18       16,434  
      503,115       5.500       07/01/18       544,826  
      278,974       5.500       08/01/18       302,556  
      501,866       5.500       09/01/18       544,132  
      69,424       5.500       12/01/18       75,271  
      31,418       5.500       01/01/19       34,054  
      56,998       5.500       03/01/19       61,781  
      26,805       5.500       08/01/19       28,867  
      16,160       5.000       09/01/19       17,259  
      84,101       7.000       11/01/19       94,053  
      9,660,341       6.000       10/01/21       10,470,096  
      11,250,033       5.500       09/01/23       12,153,991  
      1,924,382       5.500       10/01/23       2,084,347  
      13,401       7.000       12/01/24       15,000  
      2,676       7.000       07/01/27       2,996  
      3,720       7.000       08/01/27       4,208  
      5,188       7.000       10/01/28       5,867  
      4,282       7.000       01/01/29       4,830  
      2,901       7.000       11/01/29       3,263  
      137,977       8.000       02/01/31       152,441  
      4,240       7.000       04/01/31       4,751  
      21,834       7.000       05/01/32       24,438  
      18,112       7.000       06/01/32       20,272  
      6,678       7.000       08/01/32       7,475  
      2,357,621       6.000       03/01/33       2,587,121  
      4,758,442       6.500       04/01/33       5,294,138  
      1,081       7.000       10/01/33       1,210  
      5,155       7.000       04/01/34       5,776  
      13,276,947       6.000       04/01/35       14,583,675  
      1,808       6.000       11/01/35       1,961  
      95,000       8.500       09/01/37       105,641  
      1,387,791       7.500       10/01/37       1,542,349  
      41,954       7.500       09/01/47       46,365  
      146,000,000       3.500       TBA-15yr (e)     149,718,445  
                                 
                              202,567,139  
     
     
    GNMA – 2.1%
      8,655       9.000       07/15/12       8,708  
      1,005,506       5.500       07/15/20       1,088,580  
      262,559       6.000       10/15/38       286,887  
      846,643       6.000       11/15/38       924,387  
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 42


 

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
 
 

 
 
 
 
                                 
    Principal
  Interest
  Maturity
   
    Amount   Rate   Date   Value
 

 Mortgage-Backed Obligations – (continued)
    GNMA – (continued)
                                 
    $ 1,271,106       6.000 %     12/15/38     $ 1,388,882  
      3,255,896       6.000       01/15/39       3,557,576  
      64,000,000       4.000       TBA-30yr (e)     66,103,126  
                                 
                              73,358,146  
     
     
    TOTAL FEDERAL AGENCIES   $ 478,926,946  
     
     
    TOTAL MORTGAGE-BACKED OBLIGATIONS
    (Cost $579,118,487)   $ 591,221,278  
     
     
                                 
                                 

 Agency Debentures – 21.2%
                                 
                                 
   
FHLB
    $ 8,130,000       5.000 %     09/09/11     $ 8,483,649  
      182,500,000       0.497 (b)     10/13/11       182,520,257  
      12,000,000       1.375       06/08/12       12,172,660  
      33,370,000       2.000       09/14/12       34,303,863  
      67,200,000       1.750       12/14/12       68,691,410  
      12,000,000       4.875       12/14/12       13,090,790  
      83,200,000       3.750       09/09/16       90,866,231  
      37,000,000       3.875       12/14/18       40,597,214  
   
FHLMC
      18,000,000       1.250       01/26/12       18,052,450  
      36,600,000       4.500       01/15/13       39,760,084  
      29,800,000       3.800       03/09/16       30,242,777  
   
FNMA
      150,000,000       2.050 (f)     04/26/13       151,429,005  
      42,700,000       3.000       01/28/15       43,042,668  
   
Small Business Administration
      134,748       7.200       06/01/17       148,538  
      335,283       6.300       05/01/18       366,157  
      252,322       6.300       06/01/18       275,987  
     
     
    TOTAL AGENCY DEBENTURES
    (Cost $720,099,862)   $ 734,043,740  
     
     
                                 
                                 

 Government Guarantee Obligations(g) – 26.8%
                                 
                                 
   
Ally Financial, Inc.
    $ 80,000,000       1.750 %     10/30/12     $ 81,878,488  
      92,200,000       2.200       12/19/12       95,356,661  
   
Banco Bilbao Vizcaya Argentaria Puerto Rico
      105,500,000       2.450       06/22/12       108,107,116  
   
Bank of the West
      20,000,000       2.150       03/27/12       20,502,608  
   
Citibank NA
      5,000,000       0.448 (b)     05/07/12       5,006,320  
      15,900,000       1.875       05/07/12       16,243,186  
      4,300,000       0.263 (b)     06/04/12       4,298,078  
   
Citigroup Funding, Inc.
      12,400,000       2.125       07/12/12       12,749,106  
      30,700,000       1.875       10/22/12       31,497,488  
      21,800,000       1.875       11/15/12       22,371,720  
   
Citigroup, Inc.
      19,500,000       0.842 (b)     12/09/10       19,526,383  
      75,300,000       2.125       04/30/12       77,234,984  
   
General Electric Capital Corp.
      25,000,000       3.000       12/09/11       25,768,225  
      51,000,000       0.493 (b)     03/12/12       51,322,983  
      26,500,000       2.000       09/28/12       27,238,571  
      37,000,000       2.125       12/21/12       38,211,151  
      20,400,000       2.625       12/28/12       21,297,604  
   
HSBC USA, Inc.
      65,200,000       3.125       12/16/11       67,331,831  
   
Morgan Stanley & Co.
      25,000,000       1.147 (b)     12/01/11       25,255,475  
      65,000,000       3.250       12/01/11       67,149,166  
   
The Huntington National Bank(b)
      54,900,000       0.697       06/01/12       55,404,092  
   
United States Central Federal Credit Union
      29,700,000       1.900       10/19/12       30,477,095  
   
Western Corporate Federal Credit Union
      26,300,000       1.750       11/02/12       26,898,343  
     
     
    TOTAL GOVERNMENT GUARANTEE OBLIGATIONS
    (Cost $916,584,300)   $ 931,126,674  
     
     
                                 
                                 

 U.S. Treasury Obligations – 38.7%
                                 
                                 
   
United States Treasury Inflation Protected Securities
    $ 30,644,243       2.375 %     04/15/11     $ 31,041,700  
      62,686,766       3.000       07/15/12       66,585,257  
   
United States Treasury Notes
      325,500,000       0.875       01/31/12       327,869,630  
      616,400,000       1.000       04/30/12       622,600,966  
      106,600,000       0.750       05/31/12       107,249,195  
      71,500,000       0.625       06/30/12       71,790,998  
      15,900,000       0.625       07/31/12       15,966,145  
      60,000,000       0.375       08/31/12       59,955,480  
      18,200,000       0.375       09/30/12       18,180,889  
      18,800,000       1.375       01/15/13       19,173,368  
      500,000       0.750       08/15/13       501,885  
     
     
    TOTAL U.S. TREASURY OBLIGATIONS
    (Cost $1,332,838,394)   $ 1,340,915,513  
     
     
    TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
    (Cost $3,548,641,043)   $ 3,597,307,205  
     
     
                                 
                                 

 Short-term Investment(h) – 3.0%
                                 
                                 
    Repurchase Agreement – 3.0%
   
Joint Repurchase Agreement Account II
    $ 104,300,000       0.270 %     10/01/10     $ 104,300,000  
    Maturity Value: $104,300,782        
    (Cost $104,300,000)        
     
     
    TOTAL INVESTMENTS – 106.7%
    (Cost $3,652,941,043)   $ 3,701,607,205  
     
     
   
LIABILITIES IN EXCESS OF
OTHER ASSETS – (6.7)%
    (233,409,199 )
     
     
    NET ASSETS – 100.0%   $ 3,468,198,006  
     
     
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
43 


 

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
 
 

 
Schedule of Investments (continued)
September 30, 2010 (Unaudited)
 
 
 
 
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
 
(a) Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.
 
(b) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2010.
 
(c) Issued with zero coupon and interest rate is contingent upon LIBOR reaching a predetermined level.
 
(d) Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $34,312,551, which represents approximately 1.0% of net assets as of September 30, 2010.
 
(e) TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $215,821,571, which represents approximately 6.2% of net assets as of September 30, 2010.
 
 
(f) A portion of this security is segregated as collateral for initial margin requirements on futures transactions.
 
(g) Guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program and is backed by the full faith and credit of the United States. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012.
 
(h) Joint repurchase agreement was entered into on September 30, 2010. Additional information appears on pages 50-51.
 
             
     
     
    Investment Abbreviations:
    FDIC     Federal Deposit Insurance Corp.
    FHLB     Federal Home Loan Bank
    FHLMC     Federal Home Loan Mortgage Corp.
    FNMA     Federal National Mortgage Association
    GNMA     Government National Mortgage Association
    LIBOR     London Interbank Offered Rate
    REMIC     Real Estate Mortgage Investment Conduit
     
     
 
 
ADDITIONAL INVESTMENT INFORMATION
 
FUTURES CONTRACTS — At September 30, 2010, the following futures contracts were open:
 
                             
    Number of
           
    Contracts
  Expiration
  Current
  Unrealized
Type   Long (Short)   Date   Value   Gain (Loss)
 
Eurodollars
    147     December 2010   $ 36,617,700     $ 187,058  
Ultra Long U.S. Treasury Bonds
    (83 )   December 2010     (11,726,344 )     300,738  
2 Year U.S. Treasury Notes
    7,702     December 2010     1,690,468,664       3,065,338  
5 Year U.S. Treasury Notes
    (138 )   December 2010     (16,679,672 )     (82,523 )
10 Year U.S. Treasury Notes
    (37 )   December 2010     (4,663,734 )     (2,952 )
30 Year U.S. Treasury Bonds
    (138 )   December 2010     (18,453,188 )     (10,254 )
 
 
TOTAL
                      $ 3,457,405  
 
 
 
SWAP CONTRACTS — At September 30, 2010, the Fund had outstanding swap contracts with the following terms:
 
INTEREST RATE SWAP CONTRACTS
 
                                                     
            Rates Exchanged       Upfront
   
    Notional
      Payments
  Payments
      Payments made
   
    Amount
  Termination
  received by
  made by
  Market
  (received) by
  Unrealized
Counterparty   (000s)   Date   the Fund   the Fund   Value   the Fund   Gain (Loss)
 
Bank of America Securities LLC
  $ 29,500       10/27/16     3 month LIBOR     3.263 %   $ (2,850,232 )   $     $ (2,850,232 )
Deutsche Bank Securities, Inc.
    121,700 (a)     12/15/13     3 month LIBOR     2.250       (4,581,483 )     (876,000 )     (3,705,483 )
JPMorgan Securities, Inc.
    49,800       10/21/16     3 month LIBOR     3.185       (4,592,000 )           (4,592,000 )
      37,000       10/05/18     3 month LIBOR     3.242       (3,251,824 )           (3,251,824 )
 
 
TOTAL
                              $ (15,275,539 )   $ (876,000 )   $ (14,399,539 )
 
 
(a)  Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2010.
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 44


 

GOLDMAN SACHS ULTRA-SHORT DURATION GOVERNMENT FUND
 
 

Schedule of Investments
September 30, 2010 (Unaudited)
 
                                 
    Principal
  Interest
  Maturity
   
    Amount   Rate   Date   Value
 

 Mortgage-Backed Obligations – 19.9%
                                 
                                 
    Collateralized Mortgage Obligations – 3.5%
    Adjustable Rate Non-Agency(a) – 0.3%
   
Bank of America Mortgage Securities Series 2002-J, Class A2
    $ 46,261       3.466 %     09/25/32     $ 41,469  
   
Bear Stearns Adjustable Rate Mortgage Trust Series 2003-05, Class 1A1
      54,026       3.075       08/25/33       47,374  
   
Countrywide Home Loan Mortgage Pass-Through Trust Series 2003-37, Class 1A1
      32,359       3.321       08/25/33       29,187  
   
CS First Boston Mortgage Securities Corp. Series 2003-AR9, Class 2A2
      759,770       2.632       03/25/33       648,962  
   
Sequoia Mortgage Trust Series 2004-10, Class A3A
      1,334,795       0.794       11/20/34       1,117,186  
                                 
                              1,884,178  
     
     
    Interest Only(b) – 0.0%
   
FHLMC REMIC Series 2586, Class NX
      554,908       4.500       08/15/16       15,230  
   
FNMA REMIC Series 1990-145, Class B
      1,129       1,004.961       12/25/20       23,828  
                                 
                              39,058  
     
     
    Planned Amortization Class – 0.2%
   
FHLMC REMIC Series 2113, Class TE
      733,231       6.000       01/15/14       766,885  
   
FNMA REMIC Series 1993-225, Class WC
      435,735       6.500       12/25/13       459,354  
                                 
                              1,226,239  
     
     
    Regular Floater(a) – 1.0%
   
BCAP LLC Trust Series 2006-RR1, Class CF
      220,752       0.896       11/25/36       207,522  
   
Collateralized Mortgage Securities Corp. Series N, Class 2
      141,123       0.918       08/25/17       141,171  
   
FHLMC REMIC Series 1826, Class F
      110,859       0.713       09/15/21       111,142  
   
FHLMC REMIC Series 3297, Class HF
      2,511,245       0.647       04/15/37       2,495,887  
   
FNMA REMIC Series 1990-145, Class A
      459,515       1.414       12/25/20       457,372  
   
FNMA REMIC Series 1997-20, Class F
      911,551       0.909       03/25/27       931,067  
   
FNMA REMIC Series 1998-66, Class FC
      212,521       0.757       11/17/28       214,278  
   
FNMA REMIC Series 2001-70, Class OF
      957,841       1.206       10/25/31       974,495  
                                 
                              5,532,934  
     
     
    Sequential Fixed Rate – 1.5%
   
First Nationwide Trust Series 2001-4, Class 1A1
      53,951       6.750       09/21/31       55,337  
   
FNMA REMIC Series 2009-70, Class AL
      7,354,221       5.000       08/25/19       7,935,449  
                                 
                              7,990,786  
     
     
    Sequential Floating Rate(a)(c) – 0.5%
   
FDIC Structured Sale Guaranteed Notes Series 2010-S1, Class 1A
      2,504,073       0.806       02/25/48       2,510,675  
     
     
                                 
    TOTAL COLLATERALIZED
    MORTGAGE OBLIGATIONS   $ 19,183,870  
     
     
    Federal Agencies – 16.4%
    Adjustable Rate FHLMC(a) – 1.3%
    $ 59,600       3.109 %     08/01/16     $ 60,620  
      89,450       3.453       08/01/18       93,192  
      56,460       3.267       11/01/18       58,239  
      396,279       4.735       11/01/18       413,884  
      14,488       2.742       02/01/19       14,915  
      23,478       3.362       02/01/19       24,256  
      62,393       3.076       03/01/19       63,732  
      38,718       3.183       03/01/19       40,328  
      62,750       3.157       06/01/19       64,468  
      50,231       3.697       07/01/19       51,935  
      921,983       3.550       11/01/19       961,428  
      793,869       6.868       11/01/19       840,632  
      69,719       3.619       01/01/20       71,267  
      84,793       3.075       05/01/21       86,932  
      19,682       5.975       01/01/25       20,710  
      58,087       3.125       10/01/26       59,201  
      755,489       5.350       08/01/28       800,110  
      484,405       2.982       05/01/29       495,975  
      56,399       4.202       06/01/29       60,320  
      76,906       2.864       04/01/30       79,269  
      84,395       4.366       06/01/30       90,291  
      215,435       2.796       12/01/30       221,473  
      6,883       2.972       01/01/31       7,193  
      76,068       2.852       02/01/31       78,374  
      9,315       2.623       05/01/31       9,781  
      16,850       4.487       06/01/31       17,383  
      7,722       3.059       11/01/31       8,110  
      15,691       3.500       10/01/32       16,469  
      2,777       2.359       02/01/33       2,887  
      736,625       2.449       07/01/33       767,263  
      1,136,830       2.718       09/01/33       1,193,673  
      49,530       3.130       11/01/33       51,823  
      606,105       5.340       05/01/35       641,713  
                                 
                              7,467,846  
     
     
    Adjustable Rate FNMA(a) – 6.1%
      273,881       6.735       04/01/17       286,442  
      40,389       4.258       08/01/17       40,959  
      88,919       3.041       09/01/17       90,201  
      142,747       3.047       09/01/17       145,255  
      36,911       2.284       11/01/17       37,727  
      43,855       2.875       12/01/17       44,852  
      33,133       4.875       12/01/17       35,520  
      97,717       3.110       03/01/18       99,435  
      226,063       3.185       03/01/18       231,667  
      1,037,348       3.156       07/01/18       1,063,417  
      61,591       2.300       10/01/18       62,570  
      125,667       3.059       10/01/18       128,059  
      110,053       3.075       10/01/18       110,863  
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
45 


 

GOLDMAN SACHS ULTRA-SHORT DURATION GOVERNMENT FUND
 
 

 
Schedule of Investments (continued)
September 30, 2010 (Unaudited)
 
 
                                 
    Principal
  Interest
  Maturity
   
    Amount   Rate   Date   Value
 

 Mortgage-Backed Obligations – (continued)
    Adjustable Rate FNMA(a) – (continued)
                                 
    $ 53,157       3.119 %     10/01/18     $ 54,388  
      282,060       3.370       10/01/18       289,654  
      4,129       2.089       11/01/18       4,213  
      59,009       3.125       12/01/18       60,918  
      136,457       3.156       01/01/19       139,830  
      534,928       4.026       04/01/19       563,724  
      31,143       5.920       04/01/19       32,797  
      236,974       3.041       05/01/19       244,230  
      1,001,233       3.172       05/01/19       1,027,167  
      214,478       3.453       06/01/19       221,525  
      130,039       3.593       06/01/19       134,898  
      139,641       6.193       07/01/19       147,845  
      261,194       3.517       08/01/19       269,431  
      410,725       4.291       08/01/19       436,071  
      1,401,404       2.798       11/01/19       1,451,552  
      40,875       3.594       11/01/19       41,915  
      8,218       3.625       04/01/20       8,480  
      354,539       5.703       05/01/20       375,368  
      467,978       3.060       06/01/20       480,004  
      148,811       3.371       06/01/20       153,247  
      241,193       3.348       11/01/20       248,770  
      319,011       3.487       03/01/21       331,276  
      104,574       2.455       09/01/21       108,134  
      94,863       3.580       12/01/21       99,281  
      1,326,167       3.525       01/01/22       1,356,993  
      32,916       6.485       02/01/22       34,855  
      105,486       3.482       05/20/22       109,289  
      348,915       2.787       02/01/23       356,739  
      6,852       6.219       12/01/23       7,224  
      499,599       2.821       01/01/24       511,949  
      544,843       2.604       03/01/24       556,695  
      5,856,662       3.247       04/01/24       6,007,831  
      485,232       3.472       06/20/24       502,154  
      32,443       4.418       08/01/24       34,133  
      150,638       5.096       01/01/25       158,744  
      275,624       3.675       02/01/27       287,476  
      38,683       3.949       06/01/27       39,838  
      29,307       4.250       12/01/27       31,403  
      57,853       4.546       01/01/28       62,020  
      56,834       2.510       05/01/28       59,393  
      14,419       2.690       09/01/28       15,151  
      513,272       3.718       01/01/29       535,117  
      13,788       2.510       06/01/29       14,421  
      22,352       3.037       06/01/29       23,079  
      32,840       3.075       06/01/29       33,876  
      829,644       3.852       05/01/30       874,484  
      4,416       3.135       02/01/31       4,618  
      92,174       2.494       05/01/31       96,430  
      52,001       2.655       06/01/31       54,519  
      599,797       2.719       07/01/31       631,208  
      188,596       2.518       08/01/31       197,538  
      80,244       2.710       08/01/31       84,285  
      171,632       2.934       11/01/31       179,135  
      82,807       2.365       12/01/31       86,254  
      152,888       1.865       01/01/32       156,730  
      183,714       1.945       02/01/32       188,747  
      58,269       2.015       03/01/32       60,011  
      493,103       2.757       03/01/32       521,089  
      20,198       3.553       03/01/32       21,255  
      6,202       2.500       04/01/32       6,490  
      361,157       2.663       04/01/32       380,049  
      31,392       2.134       05/01/32       32,180  
      119,900       2.830       07/01/32       126,479  
      35,285       2.375       09/01/32       36,787  
      328,714       2.650       09/01/32       345,959  
      12,215       2.675       09/01/32       12,867  
      33,108       2.676       09/01/32       34,644  
      36,081       2.909       09/01/32       37,954  
      37,512       2.758       10/01/32       39,570  
      7,698       2.981       12/01/32       8,050  
      216,842       2.615       01/01/33       228,016  
      436,720       2.313       02/01/33       452,333  
      46,192       2.516       04/01/33       48,366  
      256,465       2.833       04/01/33       271,217  
      3,065,479       2.095       05/01/33       3,167,579  
      961,715       2.833       05/01/33       1,016,984  
      14,373       3.525       08/01/33       15,051  
      112,776       2.876       01/01/34       118,551  
      35,939       2.545       02/01/34       37,666  
      1,207,651       2.236       04/01/35       1,250,191  
      860,459       2.293       04/01/35       893,601  
      1,273,010       2.529       10/01/35       1,335,500  
      27,544       4.113       05/01/36       29,277  
      6,618       2.556       11/01/38       6,924  
      146,847       1.786       06/01/40       147,799  
      558,323       2.590       07/01/40       585,209  
      20,774       1.586       02/01/41       20,740  
                                 
                              33,882,401  
     
     
    Adjustable Rate GNMA(a) – 1.7%
      7,963,448       3.500       08/20/34       8,201,416  
      1,017,416       3.625       08/20/34       1,048,971  
                                 
                              9,250,387  
     
     
    FHLMC – 1.8%
      96,391       6.500       03/01/13       104,323  
      37,360       6.500       04/01/13       40,434  
      44,962       6.500       05/01/13       48,662  
      117,951       6.500       06/01/13       127,657  
      969,348       8.000       12/01/15       1,051,924  
      188,973       6.000       05/01/17       204,695  
      975,666       5.000       10/01/17       1,041,296  
      1,098,637       5.000       11/01/17       1,172,539  
      617,430       5.500       01/01/20       668,030  
      308,140       7.000       04/01/21       347,557  
      174,208       7.000       08/01/21       196,524  
      1,603,244       7.000       03/01/22       1,811,862  
      460,447       7.000       05/01/22       520,366  
      1,901,387       7.000       06/01/22       2,148,706  
      25,518       4.500       05/01/23       26,824  
      22,241       7.000       12/01/25       24,984  
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 46


 

GOLDMAN SACHS ULTRA-SHORT DURATION GOVERNMENT FUND
 
 

 
 
 
 
                                 
    Principal
  Interest
  Maturity
   
    Amount   Rate   Date   Value
 

 Mortgage-Backed Obligations – (continued)
    FHLMC – (continued)
                                 
    $ 286,566       5.000 %     10/01/39     $ 306,324  
                                 
                              9,842,707  
     
     
    FNMA – 4.0%
      143,182       6.000       09/01/11       146,761  
      263,287       6.500       04/01/12       272,935  
      528,783       6.000       05/01/12       553,977  
      140,069       6.500       05/01/12       145,416  
      321,952       6.000       06/01/12       337,294  
      175,392       6.500       06/01/12       182,346  
      2,467,413       5.500       01/01/13       2,570,938  
      459,078       8.000       01/01/16       498,276  
      590,109       7.000       03/01/17       648,525  
      109,292       7.000       05/01/17       120,147  
      4,478,368       5.500       03/01/18       4,856,997  
      457,811       5.500       04/01/18       496,510  
      3,786       5.000       08/01/19       4,049  
      16,433       5.000       09/01/19       17,571  
      19,012       5.000       11/01/19       20,334  
      55,229       5.000       01/01/20       59,071  
      169,075       7.000       07/01/21       191,102  
      300,739       7.000       11/01/21       339,941  
      116,832       7.000       12/01/21       132,061  
      238,682       7.000       01/01/22       269,791  
      58,547       7.000       02/01/22       66,175  
      182,010       7.000       01/01/28       203,228  
      163,972       6.500       04/01/33       182,226  
      248,141       5.000       01/01/37       261,657  
      413,896       5.000       03/01/38       435,381  
      9,000,000       3.500       TBA-15yr (d)     9,229,219  
                                 
                              22,241,928  
     
     
    GNMA – 1.5%
      42,503       7.000       12/15/25       48,396  
      98,500       7.000       04/15/26       112,293  
      8,000,000       4.000       TBA-30yr (d)     8,262,891  
                                 
                              8,423,580  
     
     
                                 
    TOTAL FEDERAL AGENCIES   $ 91,108,849  
     
     
    TOTAL MORTGAGE-BACKED OBLIGATIONS
    (Cost $108,300,211)   $ 110,292,719  
     
     
                                 
                                 

 Agency Debentures – 13.1%
                                 
                                 
   
FHLB
    $ 27,000,000       0.497 %(a)     10/13/11     $ 27,002,997  
      17,000,000       3.750       09/09/16       18,566,417  
      8,000,000       3.875       12/14/18       8,777,776  
   
FNMA
      16,000,000       2.050       04/26/13       16,152,427  
      1,900,000       3.000       07/28/14       1,936,807  
     
     
    TOTAL AGENCY DEBENTURES
    (Cost $70,192,612)   $ 72,436,424  
     
     
                                 
                                 

 Asset-Backed Securities – 15.6%
                                 
                                 
    Auto – 4.3%
   
Bank of America Auto Trust Series 2009-1A, Class A2(c)
    $ 520,690       1.700 %     12/15/11     $ 520,878  
   
Bank of America Auto Trust Series 2009-3A, Class A2(c)
      6,144,245       0.890       04/15/12       6,149,390  
   
Ford Credit Auto Owner Trust Series 2009-B, Class A3
      10,000,000       2.790       08/15/13       10,164,433  
   
Ford Credit Auto Owner Trust Series 2009-E, Class A2
      6,784,241       0.800       03/15/12       6,789,337  
                                 
                              23,624,038  
     
     
    Student Loans(a) – 11.3%
   
Access Group, Inc. Series 2002-1, Class A2
      5,429,144       0.469       09/25/25       5,399,826  
   
Access Group, Inc. Series 2005-2, Class A1
      1,456,979       0.439       08/22/17       1,453,604  
   
Brazos Higher Education Authority Inc. Student Loan Revenue Series 2004 I-A-2
      4,983,789       0.449       06/27/22       4,900,799  
   
Brazos Higher Education Authority Inc. Student Loan Revenue Series 2005 I-A-2
      3,696,750       0.369       12/26/18       3,659,819  
   
Brazos Higher Education Authority, Inc. Series 2005-2, Class A9
      3,900,879       0.389       12/26/17       3,852,131  
   
College Loan Corp. Trust Series 2004-1, Class A3
      8,500,000       0.658       04/25/21       8,495,674  
   
College Loan Corp. Trust Series 2005-1, Class A2
      5,000,000       0.598       07/25/24       4,964,014  
   
College Loan Corp. Trust Series 2005-2, Class A2
      2,009,751       0.636       10/15/21       1,995,866  
   
Collegiate Funding Services Education Loan Trust I Series 2003-A, Class A2
      1,373,773       0.589       09/28/20       1,373,682  
   
Education Funding Capital Trust I Series 2003-3, Class A3
      9,475,773       0.562       03/16/20       9,443,115  
   
Education Funding Capital Trust I Series 2004-1, Class A2
      3,217,796       0.452       12/15/22       3,158,772  
   
Pennsylvania State Higher Education Assistance Agency Series 2009-2 Class A-1
      3,052,406       1.098       04/25/19       3,072,827  
   
SLM Student Loan Trust Series 2004-9, Class A4
      2,804,322       0.628       04/25/17       2,801,951  
   
SLM Student Loan Trust Series 2006-1, Class A3
      3,792,810       0.538       10/25/16       3,789,790  
   
SLM Student Loan Trust Series 2006-5, Class A3
      2,404,503       0.528       10/25/19       2,399,375  
   
SLM Student Loan Trust Series 2008-6, Class A1
      2,129,376       0.898       10/27/14       2,131,777  
                                 
                              62,893,022  
     
     
    TOTAL ASSET-BACKED SECURITIES
    (Cost $86,414,598)   $ 86,517,060  
     
     
                                 
                                 
                                 
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
47 


 

GOLDMAN SACHS ULTRA-SHORT DURATION GOVERNMENT FUND
 
 

 
Schedule of Investments (continued)
September 30, 2010 (Unaudited)
 
 
                                 
    Principal
  Interest
  Maturity
   
    Amount   Rate   Date   Value
 

 Government Guarantee Obligations(e) – 27.5%
                                 
                                 
   
Ally Financial, Inc.
    $ 12,800,000       1.750 %     10/30/12     $ 13,100,558  
      26,200,000       2.200       12/19/12       27,097,012  
   
Bank of America Corp.(a)
      12,100,000       1.116       12/02/11       12,231,019  
      13,400,000       0.490       06/22/12       13,457,245  
   
Citibank NA
      1,800,000       1.875       05/07/12       1,838,851  
   
Citigroup Funding, Inc.
      8,600,000       0.805 (a)     04/30/12       8,649,648  
      6,400,000       1.875       10/22/12       6,566,252  
      10,000,000       1.875       11/15/12       10,262,257  
   
Citigroup, Inc.
      1,200,000       2.125       04/30/12       1,230,836  
   
General Electric Capital Corp.
      9,400,000       0.493 (a)     03/12/12       9,459,530  
      7,500,000       2.000       09/28/12       7,709,030  
      2,000,000       0.292 (a)     12/21/12       2,000,878  
      6,000,000       2.625       12/28/12       6,264,001  
   
Morgan Stanley & Co.(a)
      8,500,000       0.691       02/10/12       8,536,813  
      3,800,000       0.641       06/20/12       3,829,496  
   
The Huntington National Bank(a)
      13,000,000       0.697       06/01/12       13,119,366  
   
United States Central Federal Credit Union
      1,500,000       1.900       10/19/12       1,539,247  
   
Western Corporate Federal Credit Union
      5,400,000       1.750       11/02/12       5,522,854  
     
     
    TOTAL GOVERNMENT GUARANTEE OBLIGATIONS
    (Cost $150,449,068)   $ 152,414,893  
     
     
                                 
                                 

 U.S. Treasury Obligations – 23.5%
                                 
                                 
   
United States Treasury Inflation Protected Securities
    $ 10,544,256       2.375 %     04/15/11     $ 10,681,015  
      4,850,040       3.000       07/15/12       5,151,664  
   
United States Treasury Notes
      4,900,000       0.875       01/31/12       4,935,672  
      104,500,000       1.000 (f)     03/31/12       105,529,326  
      1,500,000       1.000       04/30/12       1,515,090  
      1,800,000       0.750       05/31/12       1,810,962  
      400,000       1.250       09/30/15       399,436  
     
     
    TOTAL U.S. TREASURY OBLIGATIONS
    (Cost $128,831,472)   $ 130,023,165  
     
     
    TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
    (Cost $544,187,961)   $ 551,684,261  
     
     
                                 
                                 

 Short-term Investment(g) – 3.2%
                                 
                                 
    Repurchase Agreement – 3.2%
   
Joint Repurchase Agreement Account II
    $ 17,800,000       0.270 %     10/01/10     $ 17,800,000  
    Maturity Value: $17,800,134        
    (Cost $17,800,000)        
     
     
    TOTAL INVESTMENTS – 102.8%
    (Cost $561,987,961)   $ 569,484,261  
     
     
   
LIABILITIES IN EXCESS OF
OTHER ASSETS – (2.8)%
    (15,574,337 )
     
     
    NET ASSETS – 100.0%   $ 553,909,924  
     
     
 
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
 
(a) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2010.
 
(b) Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.
 
(c) Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $9,180,943, which represents approximately 1.7% of net assets as of September 30, 2010.
 
(d) TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $17,492,110, which represents approximately 3.2% of net assets as of September 30, 2010.
 
(e) Guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program and is backed by the full faith and credit of the United States. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012.
 
(f) All or a portion of security is segregated as collateral for initial margin requirement on futures transactions.
 
(g) Joint repurchase agreement was entered into on September 30, 2010. Additional information appears on pages 50-51.
 
             
     
     
    Investment Abbreviations:
    FDIC     Federal Deposit Insurance Corp.
    FHLB     Federal Home Loan Bank
    FHLMC     Federal Home Loan Mortgage Corp.
    FNMA     Federal National Mortgage Association
    GNMA     Government National Mortgage Association
    LIBOR     London Interbank Offered Rate
    REMIC     Real Estate Mortgage Investment Conduit
     
     
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 48


 

GOLDMAN SACHS ULTRA-SHORT DURATION GOVERNMENT FUND
 
 

 
 
 
 
 
 
ADDITIONAL INVESTMENT INFORMATION
 
FUTURES CONTRACTS — At September 30, 2010, the following futures contracts were open:
 
                             
    Number of
           
    Contracts
  Expiration
  Current
  Unrealized
Type   Long (Short)   Date   Value   Gain (Loss)
 
2 Year U.S. Treasury Notes
    (138 )   December 2010   $ (30,288,844 )   $ (28,634 )
5 Year U.S. Treasury Notes
    (378 )   December 2010     (45,687,797 )     (285,223 )
10 Year U.S. Treasury Notes
    220     December 2010     27,730,313       185,276  
30 Year U.S. Treasury Bonds
    (32 )   December 2010     (4,279,000 )     665  
 
 
TOTAL
                      $ (127,916 )
 
 
 
SWAP CONTRACTS — At September 30, 2010, the Fund had outstanding swap contracts with the following terms:
 
INTEREST RATE SWAP CONTRACTS
 
                                     
            Rates Exchanged    
    Notional
      Payments
  Payments
   
    Amount
  Termination
  received by
  made by
  Unrealized
Counterparty   (000s)   Date   the Fund   the Fund   Gain (Loss)*
 
Bank of America Securities LLC
  $ 6,100       10/27/16     3 month LIBOR     3.263 %   $ (589,370 )
Credit Suisse First Boston Corp. 
    5,300 (a)     08/15/17     3 month LIBOR     2.252       (51,500 )
Deutsche Bank Securities, Inc
    4,200 (a)     08/15/17     3 month LIBOR     2.242       (37,911 )
      4,700 (a)     08/15/17     3 month LIBOR     2.114       (4,779 )
JPMorgan Securities, Inc. 
    10,100       10/21/16     3 month LIBOR     3.185       (931,309 )
      4,700 (a)     08/15/17     3 month LIBOR     2.161       (18,764 )
      8,000       10/05/18     3 month LIBOR     3.242       (703,097 )
 
 
TOTAL
                              $ (2,336,730 )
 
 
* There are no upfront payments on the swap contract(s), therefore the unrealized gain (loss) of the swap contract(s) is equal to their market value.
(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2010.
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
49 


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

Schedule of Investments
September 30, 2010 (Unaudited)
 
 
 
ADDITIONAL INVESTMENT INFORMATION
 
 
JOINT REPURCHASE AGREEMENT ACCOUNT II — At September 30, 2010, the Funds had undivided interests in the Joint Repurchase Agreement Account II, as follows:
 
         
Fund   Principal Amount
 
Enhanced Income
  $ 5,400,000  
 
 
Government Income
    208,600,000  
 
 
Inflation Protected Securities
    4,200,000  
 
 
Short Duration Government
    104,300,000  
 
 
Ultra-Short Duration Government
    17,800,000  
 
 
 
REPURCHASE AGREEMENTS
 
                                 
    Principal
  Interest
  Maturity
  Maturity
Counterparty   Amount   Rate   Date   Value
 
Banc of America Securities LLC
  $ 300,000,000     0. 250 %     10/01/10     $ 300,002,083  
 
 
Banc of America Securities LLC
    1,107,500,000     0. 300       10/01/10       1,107,509,229  
 
 
Barclays Capital, Inc. 
    1,400,000,000     0. 250       10/01/10       1,400,009,722  
 
 
BNP Paribas Securities Co. 
    3,200,000,000     0. 240       10/01/10       3,200,021,333  
 
 
BNP Paribas Securities Co. 
    1,500,000,000     0. 280       10/01/10       1,500,011,667  
 
 
BNP Paribas Securities Co. 
    800,000,000     0. 290       10/01/10       800,006,444  
 
 
Citibank N.A.
    250,000,000     0. 300       10/01/10       250,002,083  
 
 
Citigroup Global Markets, Inc. 
    1,250,000,000     0. 300       10/01/10       1,250,010,417  
 
 
Credit Suisse Securities (USA) LLC
    500,000,000     0. 220       10/01/10       500,003,056  
 
 
Credit Suisse Securities (USA) LLC
    550,000,000     0. 250       10/01/10       550,003,819  
 
 
Deutsche Bank Securities, Inc. 
    400,000,000     0. 280       10/01/10       400,003,111  
 
 
JPMorgan Securities
    1,500,000,000     0. 250       10/01/10       1,500,010,417  
 
 
JPMorgan Securities
    160,000,000     0. 300       10/01/10       160,001,333  
 
 
Merrill Lynch & Co., Inc. 
    850,000,000     0. 300       10/01/10       850,007,083  
 
 
RBS Securities, Inc. 
    1,000,000,000     0. 280       10/01/10       1,000,007,778  
 
 
RBS Securities, Inc. 
    1,000,000,000     0. 300       10/01/10       1,000,008,333  
 
 
UBS Securities LLC
    750,000,000     0. 250       10/01/10       750,005,208  
 
 
UBS Securities LLC
    750,000,000     0. 280       10/01/10       750,005,833  
 
 
UBS Securities LLC
    170,000,000     0. 300       10/01/10       170,001,417  
 
 
Wells Fargo Securities LLC
    500,000,000     0. 250       10/01/10       500,003,472  
 
 
Wells Fargo Securities LLC
    3,250,000,000     0. 280       10/01/10       3,250,025,278  
 
 
TOTAL
                          $ 21,187,659,116  
 
 
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 50


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

 
 
 
 
ADDITIONAL INVESTMENT INFORMATION (continued)
 
 
At September 30, 2010, the Joint Repurchase Agreement Account II was fully collateralized by:
 
                 
Issuer   Interest Rates   Maturity Dates
 
Federal Farm Credit Bank
    4.550 to 7.350 %     03/07/11 to 10/29/37  
 
 
Federal Farm Credit Bank Principal-Only Stripped Securities
    0.000       12/16/15  
 
 
Federal Home Loan Bank
    0.000 to 8.290       10/01/10 to 07/15/36  
 
 
Federal Home Loan Mortgage Corp. 
    0.000 to 7.690       10/04/10 to 09/01/40  
 
 
Federal Home Loan Mortgage Corp. Interest-Only Stripped Securities
    0.000       01/15/12 to 01/15/28  
 
 
Federal Home Loan Mortgage Corp. Principal-Only Stripped Securities
    0.000       11/15/13 to 03/15/31  
 
 
Federal National Mortgage Association
    0.000 to 10.350       10/12/10 to 06/01/50  
 
 
Federal National Mortgage Association Interest-Only Stripped Securities
    0.000       11/15/12 to 07/15/29  
 
 
Federal National Mortgage Association Principal-Only Stripped Security
    0.000       03/23/28  
 
 
Government National Mortgage Association
    4.000 to 6.000       03/15/24 to 09/15/40  
 
 
Tennessee Valley Authority
    4.375 to 6.000       03/15/13 to 07/18/17  
 
 
Tennessee Valley Authority Interest-Only Stripped Securities
    0.000       11/01/10 to 07/15/20  
 
 
Tennessee Valley Authority Principal-Only Stripped Security
    0.000       12/15/17  
 
 
U.S. Treasury Bond
    5.000       05/15/37  
 
 
U.S. Treasury Interest-Only Stripped Securities
    0.000       02/15/11 to 08/15/20  
 
 
U.S. Treasury Notes
    0.750 to 4.625       01/31/11 to 11/15/18  
 
 
 
The aggregate market value of the collateral, including accrued interest, was $21,615,378,308.
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
51 


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

Statements of Assets and Liabilities
September 30, 2010 (Unaudited)
 
                 
        Enhanced
     
        Income Fund      
   
Assets:
                 
   
Investments in securities, at value (identified cost $1,001,988,404, $830,678,411, $235,584,273, $3,548,641,043 and $544,187,961, respectively)
  $ 1,015,061,629      
   
Repurchase agreement, at value which equals cost
    5,400,000      
   
Cash
    54,515      
   
Receivables:
           
   
Investment securities sold
    12,045,912      
   
Fund shares sold
    10,598,473      
   
Interest
    6,312,274      
   
Swap contracts, at value (includes upfront payments made of $76,342, $0, $0, $0 and $0, respectively)
    81,883      
   
Due from broker — collateral for swap contracts
         
   
Due from broker — variation margin
         
   
Reimbursement from investment adviser
         
   
Other assets
    4,223      
     
     
   
Total assets
    1,049,558,909      
     
     
                 
                 
   
Liabilities:
                 
   
Payables:
           
   
Fund shares redeemed
    4,202,422      
   
Investment securities purchased
    3,660,575      
   
Amounts owed to affiliates
    310,323      
   
Income distribution
    274,771      
   
Swap contracts, at value (includes upfront payments received of $34,394, $0, $0, $876,000 and $0, respectively)
    10,154      
   
Due to broker — variation margin
    7,464      
   
Forward sale contracts, at value (proceeds receivable $0, $3,119,922, $0, $0 and $0, respectively)
         
   
Accrued expenses and other liabilities
    110,059      
     
     
   
Total liabilities
    8,575,768      
     
     
                 
                 
   
Net Assets:
                 
   
Paid-in capital
    1,052,206,081      
   
Accumulated undistributed net investment income
    874,657      
   
Accumulated net realized gain (loss) from investment, futures and swap transactions
    (19,678,548 )    
   
Net unrealized gain on investments, futures and swaps
    7,580,951      
     
     
   
NET ASSETS
  $ 1,040,983,141      
 
 
                 
   
Net Assets:
           
   
Class A
  $ 334,243,301      
   
Class B
    1,164,674      
   
Class C
         
   
Institutional
    700,272,096      
   
Administration
    5,302,068      
   
Service
         
   
Class IR
    1,002      
   
Class R
         
 
 
   
Total Net Assets
  $ 1,040,983,141      
 
 
   
Shares Outstanding $0.001 par value (unlimited shares authorized):
           
   
Class A
    34,688,172      
   
Class B
    121,050      
   
Class C
         
   
Institutional
    72,745,597      
   
Administration
    548,877      
   
Service
         
   
Class IR
    104      
   
Class R
         
 
 
   
Net asset value, offering and redemption price per share:(a)
           
   
Class A
    $9.64      
   
Class B
    9.62      
   
Class C
         
   
Institutional
    9.63      
   
Administration
    9.66      
   
Service
         
   
Class IR
    9.62      
   
Class R
         
 
 
 
(a)   Maximum public offering price per share for Class A shares of the Enhanced Income, Short Duration Government and Ultra-Short Duration Government Funds (NAV per share multiplied by 1.0152), Government Income and Inflation Protected Securities Funds (NAV per share multiplied by 1.0390) is $9.79, $10.62, $8.94, $16.39 and $11.98, respectively. At redemption, Class B and Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value or the original purchase price of the shares.
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 52


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

 
 
                                 
                      Ultra-Short
 
    Government
    Inflation Protected
    Short Duration
    Duration
 
    Income Fund     Securities Fund     Government Fund     Government Fund  
                                 
 
     
                                 
    $ 857,170,770     $ 245,646,192     $ 3,597,307,205     $ 551,684,261  
      208,600,000       4,200,000       104,300,000       17,800,000  
      58,159       51,576       57,929       12,424  
                                 
      245,277,586             43,203,062       11,900,575  
      1,181,247       76,684       5,217,543       408,615  
      3,489,991       1,111,523       14,569,936       1,394,804  
                         
                  14,650,000       2,250,000  
                  457,163        
      12,581       110       52,482        
      2,358       543       9,779       5,601  
     
     
      1,315,792,692       251,086,628       3,779,825,099       585,456,280  
     
     
                                 
                                 
     
                                 
                                 
      12,887,024       1,086,463       52,986,228       8,005,450  
      370,756,833             240,473,750       20,576,719  
      653,706       100,931       2,024,661       290,066  
      272,844       62,048       545,669       166,883  
      268,660             15,275,539       2,336,730  
      1,591       16,167             54,896  
      3,121,094                    
      241,399       111,679       321,246       115,612  
     
     
      388,203,151       1,377,288       311,627,093       31,546,356  
     
     
                                 
                                 
     
                                 
      876,498,327       233,149,242       3,393,167,082       672,731,549  
      513,934       180,388       5,106,354       357,241  
      23,114,358       6,205,930       32,200,542       (124,210,520 )
      27,462,922       10,173,780       37,724,028       5,031,654  
     
     
    $ 927,589,541     $ 249,709,340     $ 3,468,198,006     $ 553,909,924  
 
 
                                 
                                 
    $ 504,754,274     $ 78,871,222     $ 1,286,388,513     $ 200,060,325  
      24,832,523             1,936,131        
      40,923,788       21,662,071       165,106,543        
      235,595,799       148,407,916       1,845,854,795       352,252,469  
                         
      110,918,780             161,560,961       1,317,304  
      751,230       133,459       7,351,063       279,826  
      9,813,147       634,672              
 
 
    $ 927,589,541     $ 249,709,340     $ 3,468,198,006     $ 553,909,924  
 
 
                                 
      32,005,456       6,838,853       123,001,019       22,701,816  
      1,574,600             185,823        
      2,594,980       1,872,627       15,890,244        
      14,961,432       12,830,371       177,063,002       39,948,197  
                         
      7,049,796             15,519,182       148,748  
      47,659       11,559       702,628       31,767  
      622,914       54,931              
 
 
                                 
      $15.77       $11.53       $10.46       $8.81  
      15.77             10.42        
      15.77       11.57       10.39        
      15.75       11.57       10.42       8.82  
                         
      15.73             10.41       8.86  
      15.76       11.55       10.46       8.81  
      15.75       11.55              
 
 
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
53 


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

Statements of Operations
For the Six Months Ended September 30, 2010 (Unaudited)
 
             
        Enhanced
 
        Income Fund  
 
             
 
   
Investment income:
             
   
Interest
  $ 8,738,353  
     
     
             
             
   
Expenses:
             
   
Management fees
    1,404,570  
   
Distribution and Service fees(a)
    439,235  
   
Transfer Agent fees(a)
    383,205  
   
Custody and accounting fees
    102,403  
   
Registration fees
    70,848  
   
Printing and mailing costs
    42,519  
   
Professional fees
    36,783  
   
Trustee fees
    9,200  
   
Administration share fees
    4,949  
   
Service Share fees — Shareholder Administration Plan
     
   
Service Share fees — Service Plan
     
   
Other
    16,843  
     
     
   
Total expenses
    2,510,555  
     
     
   
Less — expense reductions
    (271,409 )
     
     
   
Net expenses
    2,239,146  
     
     
   
NET INVESTMENT INCOME
    6,499,207  
     
     
             
             
   
Realized and unrealized gain (loss) from investment, futures and swap transactions:
             
   
Net realized gain (loss) from:
       
   
Investment transactions
    1,188,743  
   
Futures transactions
    (4,879,685 )
   
Swap contracts
    16,978  
   
Net change in unrealized gain (loss) on:
       
   
Investments
    5,160,171  
   
Futures
    (5,968,838 )
   
Swap contracts
    27,154  
     
     
   
Net realized and unrealized gain (loss) from investment, futures and swap transactions
    (4,455,477 )
     
     
   
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
  $ 2,043,730  
     
     
 
(a)   Class specific Distribution and Service, and Transfer Agent fees were as follows:
 
                                                                                                 
    Distribution and Service Fees     Transfer Agent Fees  
Fund
 
Class A
   
Class B
   
Class C
   
Class R
   
Class A
   
Class B
   
Class C
   
Institutional
   
Administration
   
Service
   
Class IR(b)
   
Class R
 
Enhanced Income
  $ 432,740     $ 6,495     $     $     $ 225,025     $ 844     $     $ 156,544     $ 792     $     $     $  
Government Income
    632,066       137,983       200,669       19,324       328,674       17,938       26,087       50,129             20,801       317       5,024  
Inflation Protected Securities
    100,941             109,511       1,350       52,490             14,236       28,354                   84       351  
Short Duration Government
    1,820,997       15,961       865,765             946,918       2,075       112,550       397,858             35,662       2,831        
Ultra-Short Duration Government
    331,126                         172,186                   84,730             400       239        
 
(b)   Commenced operations on July 30, 2010 for Enhanced Income Fund.
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 54


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

 
 
                                 
                      Ultra-Short
 
    Government
    Inflation Protected
    Short Duration
    Duration
 
    Income Fund     Securities Fund     Government Fund     Government Fund  
 
                                 
 
     
                                 
    $ 12,259,508     $ 2,782,798     $ 27,701,160     $ 5,140,035  
     
     
                                 
                                 
     
                                 
      2,527,877       404,403       8,632,197       1,381,842  
      990,042       211,802       2,702,723       331,126  
      448,970       95,515       1,497,894       257,555  
      143,869       29,679       177,447       95,777  
      43,123       31,158       103,120       33,251  
      77,822       22,163       152,160       37,435  
      43,588       35,817       39,025       38,519  
      9,695       9,550       12,074       8,490  
                         
      130,005             222,888       2,500  
      130,005             222,888       2,500  
      15,764       4,964       9,869       11,045  
     
     
      4,560,760       845,051       13,772,285       2,200,040  
     
     
      (317,644 )     (177,507 )     (583,836 )     (38,772 )
     
     
      4,243,116       667,544       13,188,449       2,161,268  
     
     
      8,016,392       2,115,254       14,512,711       2,978,767  
     
     
                                 
                                 
     
                                 
                                 
                                 
                                 
      16,002,888       7,051,627       14,248,235       1,725,617  
      7,150,313       (434,824 )     8,910,211       (7,292,408 )
      (750,634 )           (3,828,643 )     (235,693 )
                                 
                                 
                                 
      10,041,015       7,355,416       21,890,828       4,396,574  
      2,542,979       142,056       4,204,436       (285,244 )
      453,611             (13,230,019 )     (2,427,130 )
     
     
      35,440,172       14,114,275       32,195,048       (4,118,284 )
     
     
    $ 43,456,564     $ 16,229,529     $ 46,707,759     $ (1,139,517 )
     
     
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
55 


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

Statements of Changes in Net Assets
 
                     
        Enhanced Income Fund  
        For the
       
        Six Months Ended
    For the Fiscal
 
        September 30, 2010
    Year Ended
 
        (Unaudited)     March 31, 2010  
 
   
From operations:
                     
   
Net investment income
  $ 6,499,207     $ 12,967,876  
   
Net realized gain (loss) from investment, futures and swap transactions
    (3,673,964 )     (5,175,043 )
   
Net change in unrealized gain (loss) on investments, futures and swaps
    (781,513 )     13,092,773  
     
     
   
Net increase in net assets resulting from operations
    2,043,730       20,885,606  
     
     
                     
                     
   
Distributions to shareholders:
                     
   
From net investment income
               
   
Class A Shares
    (1,524,403 )     (2,763,836 )
   
Class B Shares
    (881 )     (15,916 )
   
Class C Shares
           
   
Institutional Shares
    (4,772,881 )     (10,281,671 )
   
Administration Shares
    (19,303 )     (41,110 )
   
Service Shares
           
   
Class IR Shares(a)
    (2 )      
   
Class R Shares
           
   
From net realized gains
               
   
Class A Shares
           
   
Class B Shares
           
   
Class C Shares
           
   
Institutional Shares
           
   
Service Shares
           
   
Class IR Shares(a)
           
   
Class R Shares
           
     
     
   
Total distributions to shareholders
    (6,317,470 )     (13,102,533 )
     
     
                     
                     
   
From share transactions:
                     
   
Proceeds from sales of shares
    362,479,094       1,624,662,395  
   
Reinvestment of distributions
    5,027,925       11,172,511  
   
Cost of shares redeemed
    (545,986,509 )     (693,033,379 )
     
     
   
Net increase (decrease) in net assets resulting from share transactions
    (178,479,490 )     942,801,527  
     
     
   
TOTAL INCREASE (DECREASE)
    (182,753,230 )     950,584,600  
     
     
                     
                     
   
Net assets:
                     
   
Beginning of period
    1,223,736,371       273,151,771  
     
     
   
End of period
  $ 1,040,983,141     $ 1,223,736,371  
     
     
   
Accumulated undistributed net investment income
  $ 874,657     $ 692,920  
     
     
(a)    Commenced operations on July 30, 2010 for Enhanced Income Fund.
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 56


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

 
                                 
    Government Income Fund     Inflation Protected Securities Fund  
    For the
          For the
       
    Six Months Ended
    For the Fiscal
    Six Months Ended
    For the Fiscal
 
    September 30, 2010
    Year Ended
    September 30, 2010
    Year Ended
 
    (Unaudited)     March 31, 2010     (Unaudited)     March 31, 2010  
 
     
                                 
    $ 8,016,392     $ 26,874,405     $ 2,115,254     $ 4,562,630  
      22,402,567       6,663,390       6,616,803       431,661  
      13,037,605       9,579,428       7,497,472       2,746,023  
     
     
      43,456,564       43,117,223       16,229,529       7,740,314  
     
     
                                 
                                 
     
                                 
                                 
      (4,338,191 )     (14,174,772 )     (688,551 )     (1,410,721 )
      (133,851 )     (721,929 )            
      (193,645 )     (721,345 )     (105,946 )     (178,041 )
      (2,577,100 )     (7,425,830 )     (1,456,742 )     (1,849,447 )
                         
      (807,341 )     (2,322,780 )            
      (4,759 )     (2,624 )     (1,268 )     (2,258 )
      (56,265 )     (32,235 )     (3,982 )     (1,796 )
                                 
       —       (8,168,166 )            
       —       (546,856 )            
       —       (594,749 )            
       —       (3,830,459 )            
       —       (1,546,942 )            
       —       (3,224 )            
       —       (34,135 )            
     
     
      (8,111,152 )     (40,126,046 )     (2,256,489 )     (3,442,263 )
     
     
                                 
                                 
     
                                 
      182,805,877       446,391,884       24,430,453       182,279,632  
      6,138,049       30,390,479       1,706,773       2,644,124  
      (238,434,284 )     (536,139,922 )     (30,092,518 )     (49,002,214 )
     
     
      (49,490,358 )     (59,357,559 )     (3,955,292 )     135,921,542  
     
     
      (14,144,946 )     (56,366,382 )     10,017,748       140,219,593  
     
     
                                 
                                 
     
                                 
      941,734,487       998,100,869       239,691,592       99,471,999  
     
     
    $ 927,589,541     $ 941,734,487     $ 249,709,340     $ 239,691,592  
     
     
    $ 513,934     $ 608,694     $ 180,388     $ 321,623  
     
     
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
57 


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

Statements of Changes in Net Assets
 
                                     
        Short Duration Government Fund     Ultra-Short Duration Government Fund  
        For the
          For the
       
        Six Months Ended
    For the Fiscal
    Six Months Ended
    For the Fiscal
 
        September 30, 2010
    Year Ended
    September 30, 2010
    Year Ended
 
        (Unaudited)     March 31, 2010     (Unaudited)     March 31, 2010  
 
   
From operations:
                                     
   
Net investment income
  $ 14,512,711     $ 48,212,506     $ 2,978,767     $ 7,374,070  
   
Net realized gain (loss) from investment, futures and swap transactions
    19,329,803       51,061,401       (5,802,484 )     (4,522,054 )
   
Net change in unrealized gain (loss) on investments, futures and swaps
    12,865,245       (4,698,637 )     1,684,200       9,544,250  
     
     
   
Net increase (decrease) in net assets resulting from operations
    46,707,759       94,575,270       (1,139,517 )     12,396,266  
     
     
                                     
                                     
   
Distributions to shareholders:
                                     
   
From net investment income
                               
   
Class A Shares
    (4,201,092 )     (18,704,864 )     (712,247 )     (3,371,301 )
   
Class B Shares
    (530 )     (51,616 )            
   
Class C Shares
    (8,527 )     (1,225,533 )            
   
Institutional Shares
    (9,106,743 )     (25,664,577 )     (1,866,631 )     (5,340,613 )
   
Service Shares
    (374,519 )     (1,762,344 )     (3,701 )     (47,305 )
   
Class IR Shares
    (17,809 )     (16,145 )     (1,457 )     (2,575 )
   
From net realized gains
                               
   
Class A Shares
          (23,253,713 )            
   
Class B Shares
          (81,035 )            
   
Class C Shares
          (2,885,809 )            
   
Institutional Shares
          (26,899,793 )            
   
Service Shares
          (2,864,628 )            
   
Class IR Shares
          (21,931 )            
   
From capital
                               
   
Class A Shares
                      (85,456 )
   
Institutional Shares
                      (135,375 )
   
Service Shares
                      (1,199 )
   
Class IR Shares
                      (65 )
     
     
   
Total distributions to shareholders
    (13,709,220 )     (103,431,988 )     (2,584,036 )     (8,983,889 )
     
     
                                     
                                     
   
From share transactions:
                                     
   
Proceeds from sales of shares
    1,026,929,810       3,928,313,948       201,853,116       1,058,504,273  
   
Reinvestment of distributions
    10,384,302       83,676,730       1,562,693       5,705,085  
   
Cost of shares redeemed
    (1,403,490,651 )     (2,200,254,956 )     (439,468,767 )     (516,606,081 )
     
     
   
Net increase (decrease) in net assets resulting from share transactions
    (366,176,539 )     1,811,735,722       (236,052,958 )     547,603,277  
     
     
   
TOTAL INCREASE (DECREASE)
    (333,178,000 )     1,802,879,004       (239,776,511 )     551,015,654  
     
     
                                     
                                     
   
Net assets:
                                     
   
Beginning of period
    3,801,376,006       1,998,497,002       793,686,435       242,670,781  
     
     
   
End of period
  $ 3,468,198,006     $ 3,801,376,006     $ 553,909,924     $ 793,686,435  
     
     
   
Accumulated undistributed (distribution in excess of) net investment income
  $ 5,106,354     $ 4,302,863     $ 357,241     $ (37,490 )
     
     
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 58


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

Notes to Financial Statements
September 30, 2010 (Unaudited)
 
1. ORGANIZATION
 
 
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
 
         
        Diversified/
Fund   Share Classes Offered*   Non-diversified
 
Enhanced Income
  A, B, Institutional, Administration and IR   Diversified
 
 
Government Income
  A, B, C, Institutional, Service, IR and R   Diversified
 
 
Inflation Protected Securities
  A, C, Institutional, IR and R   Diversified
 
 
Short Duration Government
  A, B, C, Institutional, Service and IR   Diversified
 
 
Ultra-Short Duration Government
  A, Institutional, Service and IR   Diversified
 
 
 
Effective November 2, 2009, Class B Shares are no longer available for purchase by new or existing shareholders except under certain circumstances.
 
Class A Shares of the Enhanced Income, Government Income, Inflation Protected Securities, Short Duration Government and Ultra-Short Duration Government Funds are sold with a front-end sales charge of up to 1.50%, 3.75%, 3.75%, 1.50% and 1.50%, respectively. Class B Shares were sold with a contingent deferred sales charge that declines from 5.00% to zero, depending upon the period of time the shares are held. Class C Shares are sold with a contingent deferred sales charge of 1.00% during the first 12 months. Effective September 30, 2010, the contingent deferred sales charge on Class C Shares of the Short Duration Government Fund was reduced to 0.65%. Institutional, Administration, Service, Class IR and Class R Shares are not subject to a sales charge. Class IR Shares of the Enhanced Income Fund commenced operations on July 30, 2010.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to each Fund pursuant to a management agreement (the “Agreement”) with the Trust.
 
2. SIGNIFICANT ACCOUNTING POLICIES
 
 
The following is a summary of the significant accounting policies consistently followed by the Funds. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that may affect the amounts and disclosures in the financial statements. Actual results could differ from those estimates and assumptions.
 
A. Investment Valuation — The investment valuation policy of the Funds is to value investments at market value. Debt securities for which market quotations are readily available are valued on the basis of quotations furnished by an independent pricing service approved by the trustees or provided by securities dealers. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from 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 Funds’ investments may be determined based on yield equivalents, a pricing matrix or other sources, under valuation procedures established by the trustees. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at amortized cost, which approximates market value.
Investments in equity securities and investment companies traded on a United States (“U.S.”) securities exchange or the NASDAQ system are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, such securities and investment companies are valued at the last bid price for long positions and at the last ask price for short positions. Unlisted equity securities for which market quotations are available are
 
 
 
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GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

 
Notes to Financial Statements (continued)
September 30, 2010 (Unaudited)
 
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
 
valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price. In the absence of market quotations, broker quotes will be utilized or the security will be fair valued. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share (“NAV”) on the valuation date.
GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the previous closing prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Funds’ NAV. Significant events that could affect a large number of securities in a particular market may include, but are not limited to: situations relating to one or more single issuers in a market sector; significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions or market closings; equipment failures; natural or man-made disasters or acts of God; armed conflicts; government actions or other developments; as well as the same or similar events which may affect specific issuers or the securities markets even though not tied directly to the securities markets. Other significant events that could relate to a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; corporate announcements, including those relating to earnings, products and regulatory news; significant litigation; low trading volume; and trading limits or suspensions.
 
B. Security and Fund Share Transactions, and Investment Income — Security and Fund share transactions are reflected for financial reporting purposes as of the trade date, which may cause the NAV as stated in the accompanying financial statements to be different than the NAV applied to Fund share transactions. Realized gains and losses on sales of portfolio securities are calculated using the identified cost basis. Dividend income is recognized on the ex-dividend date, net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Funds, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted. Realized gains and losses resulting from principal paydowns on mortgage-backed and asset-backed securities are included in interest income. Market discounts, original issue discount and market premiums on debt securities are accreted/amortized to interest income over the life of the security with a corresponding adjustment in the cost basis of that security. In addition, it is the Funds’ policy to accrue for foreign capital gains taxes, if applicable, on certain foreign securities held by the Funds. An estimated foreign capital gains tax is recorded daily on net unrealized gains on these securities and is payable upon the sale of such securities when a gain is realized.
Investment income and unrealized and realized gains or losses are allocated daily to each class of shares of the respective Fund based upon the relative proportion of net assets of each class.
 
C. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Funds on a straight-line and/or pro-rata basis depending upon the nature of the expense and are accrued daily.
 
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 income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid according to the following schedule:
 
                 
    Income Distributions
    Capital Gains Distributions
 
Fund   Declared/Paid     Declared/Paid  
   
All Funds
    Daily/Monthly       Annually  
 
 
 
Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
 
 
 
 60


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

 
 
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
 
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. The Funds’ capital accounts on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
 
E. Futures Contracts — The Funds 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 Funds deposit cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Funds equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset in unrealized gains or losses. The Funds recognize a realized gain or loss when a contract is closed or expires.
The use of futures contracts involves, to varying degrees, elements of market and counterparty risk which may exceed the amounts recognized in the Statements of Assets and Liabilities. Futures contracts may be illiquid, and exchanges may limit fluctuations in futures contract prices during a single day. Changes in the value of a futures contract may not directly correlate with changes in the value of the underlying securities. These risks may decrease the effectiveness of the Funds’ strategies and potentially result in a loss. The Funds must set aside liquid assets, or engage in other appropriate measures to cover their obligations under these contracts.
 
F. Mortgage-Backed and Asset-Backed Securities — The Funds may invest in mortgage-backed and/or asset-backed securities. Mortgage-backed securities represent direct or indirect participations in, or are collateralized by and payable from, mortgage loans secured by residential and/or commercial real property. These securities may include mortgage pass-through securities, collateralized mortgage obligations, real estate mortgage investment conduit pass-through or participation certificates and stripped mortgage-backed securities. Asset-backed securities include securities whose principal and interest payments are collateralized by pools of assets such as auto loans, credit card receivables, leases, installment contracts and personal property. Asset-backed securities also include home equity line of credit loans and other second-lien mortgages.
The value of certain mortgage-backed and asset-backed securities (including adjustable rate mortgage loans) may be particularly sensitive to changes in prevailing interest rates. The value of these securities may also fluctuate in response to the market’s perception of the creditworthiness of the issuers. Early repayment of principal on mortgage-backed or asset-backed securities may expose a Fund to the risk of earning a lower rate of return upon reinvestment of principal. Asset-backed securities may present credit risks that are not presented by mortgage-backed securities because they generally do not have the benefit of a security interest in collateral that is comparable to mortgage assets. Some asset-backed securities may only have a subordinated claim on collateral. In addition, while mortgage-backed and asset-backed securities may be supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers, if any, will meet their obligations.
Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all of the interest payments (the interest-only, or “IO” and/or the high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all of the principal payments (the principal-only, or “PO”) from a pool of mortgage loans. Little to no principal will be received at the maturity of an IO; as a result, adjustments are made to the cost of the security on a daily basis until maturity. These adjustments are included in interest income. Payments received for PO’s are treated as a proportionate reduction to the cost basis of the securities and excess amounts are recorded as gains.
 
G. Mortgage Dollar Rolls — Certain Funds may enter into mortgage dollar rolls (“dollar rolls”) in which the Funds sell securities in the current month for delivery and simultaneously contracts with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. The Funds treat dollar rolls as two separate transactions: one involving the purchase of a security and a separate transaction involving a sale.
 
 
 
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GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

 
Notes to Financial Statements (continued)
September 30, 2010 (Unaudited)
 
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
 
During the settlement period between sale and repurchase, the Funds will not be entitled to accrue interest and principal payments on the securities sold. Dollar roll transactions involve the risk that the market value of the securities sold by the Funds may decline below the repurchase price of those securities. In the event the buyer of the securities in a dollar roll transaction files for bankruptcy or becomes insolvent, the Funds’ use of proceeds from the transaction may be restricted pending a determination by, or with respect to, the other counterparty.
 
H. Repurchase Agreements — The Funds may enter into repurchase agreements which involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Funds, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. If the seller defaults or becomes insolvent, realization of the collateral by the Funds may be delayed or limited and there may be a decline in the value of the collateral during the period while the Funds seek to assert their rights. The underlying securities for all repurchase agreements are held at the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements.
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and terms and conditions contained therein, the Funds, together with other registered investment companies having management agreements with GSAM, or its affiliates, may transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements. Under these joint accounts, the Funds’ credit exposure is allocated to the underlying repurchase agreements counterparties on a pro-rata basis. With the exception of certain transaction fees, the Funds are not subject to any expenses in relation to these investments.
 
I. Swap Contracts — The Funds 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 Funds and/or the termination value at the end of the contract. Therefore, the Funds consider the creditworthiness of each counterparty to a contract in evaluating potential credit risk. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying reference asset or index. Entering into these agreements involves, to varying degrees, market risk, liquidity risk and elements of credit, legal and documentation risk in excess of amounts recognized in the Statements of Assets and Liabilities. The Funds may pay or receive cash as collateral on these contracts which is recorded as an asset and/or liability. The Funds must set aside liquid assets, or engage in other appropriate measures to cover their obligations under these contracts.
Swaps are marked to market daily using either pricing vendor quotations, counterparty prices or model prices and the change in value, if any, is recorded as an unrealized gain or loss. Upfront payments made and/or received by the Funds, are recorded as an asset and/or liability and realized gains or losses are recognized ratably over the contract’s term/event, with the exception of forward starting interest rate swaps, whose realized gains or losses are recognized ratably from the effective start date. Periodic payments received or made on swap contracts are recorded as realized gains or losses. Gains or losses are realized upon termination of a swap contract and are recorded on the Statements of Operations. The Funds invest in the following types of swaps:
An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in specified prices, rates or indices for a specified amount of an underlying asset or notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
A credit default swap is an agreement that involves one party making a stream of payments to another party in exchange for the right to receive protection on a reference security or obligation. A Fund may use credit default swaps to provide a measure of protection against defaults of the reference security or obligation or to take a short position with respect to the likelihood of default. A Fund’s investment in credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. If a Fund buys protection through a credit default swap and no credit event occurs, its payments are limited to the periodic payments previously made to the counterparty. Upon the occurrence of a
 
 
 
 62


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

 
 
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
 
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 Funds sell protection through a credit default swap, the Funds 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 Funds, 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 Funds may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade. Recovery values are at times established through the credit event auction process in which market participants are ensured that a transparent price has been set for the defaulted security or obligation. In addition, the Funds are entitled to a return of any assets, which have been pledged as collateral to the counterparty.
The Funds’ credit default swaps are disclosed in the Additional Investment Information section of the Schedules of Investments. The maximum potential amount of future payments (undiscounted) that the Funds as sellers of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where the Funds bought credit protection.
 
J. Treasury Inflation Protected Securities — The Funds may invest in treasury inflation protected securities (“TIPS”), including structured bonds in which the principal amount is adjusted daily to keep pace with inflation, as measured by the U.S. Consumer Pricing Index for Urban Consumers. The adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost. Such adjustments may have a significant impact on the Funds’ distributions and may result in a return of capital to shareholders. The repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.
 
K. When-Issued Securities and Forward Commitments — The Funds may purchase when-issued securities, including TBA (“To Be Announced”) securities and enter into contracts to purchase or sell securities for a fixed price at a future date beyond the customary settlement period. When-issued securities are securities that have been authorized, but not yet issued in the market. A forward commitment involves entering into a contract to purchase or sell securities for a fixed price at a future date beyond the customary settlement period. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Although the Funds will generally purchase securities on a when-issued or forward commitment basis with the intention of acquiring the securities for their portfolios, the Funds may dispose of when-issued securities or forward commitments prior to settlement if GSAM deems it appropriate. When purchasing a security on a when-issued basis or entering into a forward commitment, the Funds must set aside liquid assets, or engage in other appropriate measures to cover their obligations under these contracts. The Funds may dispose of or renegotiate these contracts after they have been entered into and may sell these securities before they are delivered, which may result in a capital gain or loss.
 
3. FAIR VALUE OF INVESTMENTS
 
 
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest
 
 
 
63 


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

 
Notes to Financial Statements (continued)
September 30, 2010 (Unaudited)
 
3. FAIR VALUE OF INVESTMENTS (continued)
 
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 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 following is a summary of the Funds’ investments categorized in the fair value hierarchy, as of September 30, 2010:
 
                         
Enhanced Income   Level 1     Level 2     Level 3  
   
Assets
                       
Fixed Income
                       
Corporate Obligations
  $     $ 406,861,536     $  
U.S. Treasuries and/or Other U.S. Government Obligations and Agencies
    39,253,990       40,062,223        
Asset-Backed Securities
          104,362,088       147,610  
Foreign Debt Obligations
          43,635,612        
Government Guarantee Obligations
          364,738,570        
Short-term Investments
          21,400,000        
Derivatives
    509,772       81,883        
 
 
Total
  $ 39,763,762     $ 981,141,912     $ 147,610  
 
 
Liabilities
                       
Derivatives
  $ (6,031,827 )   $ (10,154 )   $  
 
 
 
The following is a reconciliation of Level 3 investments for the six months ended September 30, 2010:
 
         
    Fixed Income
 
    Asset-Backed
 
    Securities  
   
Beginning Balance as of April 1, 2010
  $ 151,218  
Realized gain (loss)
    5  
Unrealized gain (loss) relating to instruments still held at reporting date
    21,899  
Net purchases (sales)
    (25,512 )
Transfers into Level 3
     
Transfers out of Level 3
     
 
 
Ending Balance as of September 30, 2010
  $ 147,610  
 
 
 
 
 
 64


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

 
 
3. FAIR VALUE OF INVESTMENTS (continued)
 
                         
Government Income   Level 1     Level 2     Level 3  
   
Assets
                       
Fixed Income
                       
Mortgage-Backed Obligations
  $     $ 457,034,881     $  
U.S. Treasuries and/or Other U.S. Government Obligations and Agencies
    191,565,768       78,816,789        
Asset-Backed Securities
          17,281,561        
Government Guarantee Obligations
          110,135,171        
Municipal Debt Obligations
          2,336,600        
Short-term Investments
          208,600,000        
Derivatives
    1,308,765              
 
 
Total
  $ 192,874,533     $ 874,205,002     $  
 
 
Liabilities
                       
Fixed Income — Mortgage-Backed Obligations
                       
Forward Sales Contracts
  $     $ (3,121,094 )   $  
Derivatives
    (68,370 )     (268,660 )      
 
 
Total
  $ (68,370 )   $ (3,389,754 )   $  
 
 
                         
                         
Inflation Protected Securities   Level 1     Level 2     Level 3  
   
Assets
                       
U.S. Treasury Obligations
  $ 245,646,192     $     $  
Short-term Investments
          4,200,000        
Derivatives
    166,863              
 
 
Total
  $ 245,813,055     $ 4,200,000     $  
 
 
Liabilities
                       
Derivatives
  $ (55,002 )   $     $  
 
 
                         
                         
Short Duration Government   Level 1     Level 2     Level 3  
   
Assets
                       
Fixed Income
                       
Mortgage-Backed Obligations
  $     $ 591,221,278     $  
U.S. Treasuries and/or Other U.S. Government Obligations and Agencies
    1,340,915,513       734,043,740        
Government Guarantee Obligations
          931,126,674        
Short-term Investments
          104,300,000        
Derivatives
    3,553,134              
 
 
Total
  $ 1,344,468,647     $ 2,360,691,692     $  
 
 
Liabilities
                       
Derivatives
  $ (95,729 )   $ (15,275,539 )   $  
 
 
 
 
 
65 


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

 
Notes to Financial Statements (continued)
September 30, 2010 (Unaudited)
 
3. FAIR VALUE OF INVESTMENTS (continued)
 
                         
Ultra-Short Duration Government   Level 1     Level 2     Level 3  
   
Assets
                       
Fixed Income
                       
Mortgage-Backed Obligations
  $     $ 110,292,719     $  
U.S. Treasuries and/or Other U.S. Government Obligations and Agencies
    130,023,165       72,436,424        
Asset-Backed Securities
          86,517,060        
Government Guarantee Obligations
          152,414,893        
Short-term Investments
          17,800,000        
Derivatives
    185,941              
 
 
Total
  $ 130,209,106     $ 439,461,096     $  
 
 
Liabilities
                       
Derivatives
  $ (313,857 )   $ (2,336,730 )   $  
 
 
 
4. AGREEMENTS AND AFFILIATED TRANSACTIONS
 
A. Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee computed daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
For the six months ended September 30, 2010, contractual and effective net management fees with GSAM were at the following rates:
 
                                                         
    Contractual Management Rate     Effective Net
 
    First
    Next
    Next
    Next
    Over
    Effective
    Management
 
Fund   $1 billion     $1 billion     $3 billion     $3 billion     $8 billion     Rate     Rate  
   
Enhanced Income
    0.25 %     0.23 %     0.22 %     0.22 %     0.22 %     0.25 %     0.20 %*
 
 
Government Income
    0.54       0.49       0.47       0.46       0.45       0.54       0.54  
 
 
Inflation Protected Securities
    0.33       0.30       0.28       0.27       0.26       0.33       0.25 *
 
 
Short Duration Government
    0.50       0.45       0.43       0.42       0.41       0.45       0.45  
 
 
Ultra-Short Duration Government
    0.40       0.36       0.34       0.33       0.32       0.40       0.40  
 
 
 
GSAM agreed to waive a portion of its management fee in order to achieve the effective net management rates above, through at least July 29, 2011, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees.
 
 
 
 66


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

 
 
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
 
B. Distribution and Service Plans — The Trust, on behalf of each Fund, has adopted Distribution and Service Plans (the “Plans”). Under the Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee, computed daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, at the following annual rates calculated on a Fund’s average daily net assets of each respective share class:
 
                                 
    Distribution and Service Plan Rates  
    Class A*     Class B     Class C     Class R*  
   
Distribution Plan
    0.25 %     0.75 %     0.75 %     0.50 %
 
 
Service Plan
          0.25       0.25        
 
 
 
With respect to Class A and Class R Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution Plan to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority.
 
Goldman Sachs has agreed to waive a portion of the Distribution and Service fees applicable to the Short Duration Government Fund’s Class B and Class C Shares in an amount equal to a minimum of 0.15% of the average daily net assets attributable to Class B Shares and (effective September 30, 2010) equal to a minimum of 0.35% of the average daily net assets attributable to Class C Shares. These arrangements will remain in place through at least July 29, 2011, and prior to such date Goldman Sachs may not terminate the arrangement without the approval of the Trustees.
For the six months ended September 30, 2010, Goldman Sachs waived a portion of the Distribution and Service fees equal to 0.20% and 0.19% of the average daily net assets attributable to the Class B and Class C Shares of Short Duration Government Fund, respectively.
 
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A front end sales charge and Class B and Class C contingent deferred sales charges. During the six months ended September 30, 2010, Goldman Sachs advised that it retained the following approximate amounts:
 
                         
    Front End
    Contingent Deferred
 
    Sales Charge     Sales Charge  
Fund   Class A     Class B     Class C  
   
Enhanced Income
  $ 2,100     $       N/A  
 
 
Government Income
    15,600           $  
 
 
Inflation Protected Securities
    11,100       N/A        
 
 
Short Duration Government
    26,900              
 
 
Ultra-Short Duration Government
    2,400       N/A       N/A  
 
 
 
D. Service Plan, Shareholder Administration Plan and Administration Plan — The Trust, on behalf of each Fund that offers Service Shares, has adopted a Service Plan and a Shareholder Administration Plan. In addition, the Trust, on behalf of Enhanced Income Fund, has adopted an Administration Plan for Administration Shares. These plans allow for Service and Administration Shares to compensate service organizations for providing varying levels of personal and account maintenance and shareholder administration services to their customers who are beneficial owners of such shares. The Service Plan and Shareholder Administration Plan each provide for compensation to the service organizations in an amount equal to, on an annual basis, 0.25% (0.50% in aggregate) of the average daily net assets of the Service Shares. The
 
 
 
67 


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

 
Notes to Financial Statements (continued)
September 30, 2010 (Unaudited)
 
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
 
Administration Plan provides compensation to the service organizations in an amount equal to, on an annual basis, 0.25% of the average daily net assets of the Administration Shares.
 
E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to a Transfer Agency Agreement. The fees charged for such transfer agency services are computed daily and paid monthly at an annual rate as follows: 0.13% of the average daily net assets for Class A, Class B, Class C, Class IR and Class R Shares and 0.04% of the average daily net assets for Institutional, Administration and Service Shares.
 
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expense” of the Funds (excluding management fees, distribution and service fees, transfer agent fees and expenses, service fees and shareholder administration fees (as applicable), Administration Share fees (as applicable), taxes, interest, brokerage fees and litigation, indemnification, shareholder meetings and other extraordinary expenses, exclusive of any custody and transfer agent fee credit reductions) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are computed daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations for the Enhanced Income, Government Income, Inflation Protected Securities, Short Duration Government and Ultra-Short Duration Government Funds as an annual percentage rate of average daily net assets are 0.064%, 0.004%, 0.044%, 0.004% and 0.054%, respectively. These Other Expense reimbursements will remain in place through at least July 29, 2011, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Funds’ expenses.
For the six months ended September 30, 2010, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows (in thousands):
 
                                                 
    Fee Waivers                    
          Class B
    Class C
          Other
    Total
 
    Management
    Distribution and
    Distribution and
    Custody
    Expense
    Expense
 
Fund   Fees     Service Fees     Service Fees     Fee Credits     Reimbursements     Reductions  
   
Enhanced Income
  $ 270     $       N/A     $ 1     $     $ 271  
 
 
Government Income
              $       3       315       318  
 
 
Inflation Protected Securities
    98       N/A                   80       178  
 
 
Short Duration Government
          3       159       4       418       584  
 
 
Ultra-Short Duration Government
          N/A       N/A       1       38       39  
 
 
 
As of September 30, 2010, the amounts owed to affiliates of the Funds were as follows (in thousands):
 
                                         
                      Other
       
          Distribution
          Expense
       
    Management
    and Service
    Transfer
    Over
       
Fund   Fees     Fees     Agent Fees     Reimbursement     Total  
   
Enhanced Income
  $ 179     $ 70     $ 61     $     $ 310  
 
 
Government Income
    417       163       74             654  
 
 
Inflation Protected Securities
    51       34       16             101  
 
 
Short Duration Government
    1,393       392       240             2,025  
 
 
Ultra-Short Duration Government
    195       47       36       12       290  
 
 
 
 
 
 68


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

 
 
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
 
G. Line of Credit Facility — As of September 30, 2010, the Funds participated in a $580,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates. Pursuant to the terms of the facility, the Funds and other borrowers could increase the credit amount by an additional $340,000,000, for a total of up to $920,000,000. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended September 30, 2010, the Funds did not have any borrowings under the facility. Prior to May 11, 2010, the amount available through the facility was $660,000,000.
 
H. Other Transactions with Affiliates — For the six months ended September 30, 2010, Goldman Sachs earned approximately $29,200, $34,900, $3,900, $124,500 and $23,600 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Enhanced Income, Government Income, Inflation Protected Securities, Short Duration Government and Ultra-Short Duration Government Funds, respectively.
 
5. INVESTMENTS IN DERIVATIVES
 
The Funds 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.
The following tables set forth, by certain risk types, the gross value of the Funds’ derivative contracts for trading activities as of September 30, 2010. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.
 
Enhanced Income
 
                           
    Statements of Assets
          Statements of Assets
     
    and Liabilities
          and Liabilities
     
Risk   Location   Assets       Location   Liabilities  
   
Interest rate
  Due from broker — variation margin   $ 509,772 (a)     Due to broker — variation margin   $ (6,031,827 )(a)
 
 
Credit
  Receivables for swap contracts, at value     81,883       Payables for swap contracts, at value     (10,154 )(b)
 
 
Total
      $ 591,655           $ (6,041,981 )
 
 
 
 
 
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GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

 
Notes to Financial Statements (continued)
September 30, 2010 (Unaudited)
 
5. INVESTMENTS IN DERIVATIVES (continued)
 
Government Income
 
                           
    Statements of Assets
          Statements of Assets
     
    and Liabilities
          and Liabilities
     
Risk   Location   Assets       Location   Liabilities  
   
Interest rate
  Due from broker — variation margin   $ 1,308,765(a )     Payables for swap contracts, at value;
Due to broker — variation margin
  $ (337,030 )(a)(b)
 
 
 
Inflation Protected Securities
 
                           
    Statements of Assets
          Statements of Assets
     
    and Liabilities
          and Liabilities
     
Risk   Location   Assets       Location   Liabilities  
   
Interest rate
  Due from broker — variation margin   $ 166,863(a )     Due to broker — variation margin   $ (55,002 )(a)
 
 
 
Short Duration Government
 
                           
    Statements of Assets
          Statements of Assets
     
    and Liabilities
          and Liabilities
     
Risk   Location   Assets       Location   Liabilities  
   
Interest rate
 
Due from broker — variation margin
 
$
3,553,134(a )     Payables for swap contracts, at value; Due to broker — variation margin   $ (15,371,268 )(a)(b)
 
 
 
Ultra-Short Duration Government
 
                           
    Statements of Assets
          Statements of Assets
     
    and Liabilities
          and Liabilities
     
Risk   Location   Assets       Location   Liabilities  
   
Interest rate
 
Due from broker — variation margin
 
$
185,941(a )     Payables for swap contracts, at value; Due to broker — variation margin   $ (2,650,587 )(a)(b)
 
 
 
(a)  Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.
 
(b)  Aggregate of amounts include $10,154, $268,660, $15,275,539 and $2,336,730 for Enhanced Income, Government Income, Short Duration Government and Ultra-Short Duration Government Funds, respectively, which represent the payments to be made pursuant to bilateral agreements should counterparties exercise their “right to terminate” provisions based on, among others, the Funds’ performance, its failure to pay on its obligations or failure to pledge collateral. Such amounts do not include incremental charges directly associated with the close-out of the agreements. They also do not reflect the fair value of any assets pledged as collateral which, through the daily margining process, substantially offsets the aforementioned amounts and for which the Funds are entitled to a full return.
 
The following tables set forth, by certain risk types, the Funds’ gains (losses) related to derivative activities and their indicative volumes for the six months ended September 30, 2010. These gains (losses) should be considered in the context that these contracts may have been executed to economically hedge securities and accordingly, gains (losses) on such
 
 
 
 70


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

 
 
5. INVESTMENTS IN DERIVATIVES (continued)
 
contracts may offset (losses) gains attributable to securities. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:
 
Enhanced Income
 
                               
        Net
    Net Change in
      Average
 
        Realized
    Unrealized
      Number of
 
Risk   Statements of Operations Location   Gain (Loss)     Gain (Loss)       Contracts(a)  
   
Interest rate
  Net realized gain (loss) from futures transactions and swap contracts/Net change in unrealized gain (loss) on futures and swap contracts   $ (4,888,312 )   $ (5,968,838 )       3,160  
 
 
Credit
  Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts     25,605       27,154         2  
 
 
Total
      $ (4,862,707 )   $ (5,941,684 )       3,162  
 
 
 
Government Income
 
                               
        Net
    Net Change in
      Average
 
        Realized
    Unrealized
      Number of
 
Risk   Statements of Operations Location   Gain (Loss)     Gain (Loss)       Contracts(a)  
   
Interest rate
  Net realized gain (loss) from futures transactions and swap contracts/Net change in unrealized gain (loss) on futures and swap contracts   $ 6,399,679     $ 2,996,590         1,186  
 
 
 
Inflation Protected Securities
 
                               
        Net
    Net Change in
      Average
 
        Realized
    Unrealized
      Number of
 
Risk   Statements of Operations Location   Gain (Loss)     Gain (Loss)       Contracts(a)  
   
Interest rate
  Net realized gain (loss) from futures transactions/Net change in unrealized gain (loss) on futures   $ (434,824 )   $ 142,056         242  
 
 
 
Short Duration Government
 
                               
        Net
    Net Change in
      Average
 
        Realized
    Unrealized
      Number of
 
Risk   Statements of Operations Location   Gain (Loss)     Gain (Loss)       Contracts(a)  
   
Interest rate
  Net realized gain (loss) from futures transactions and swap contracts/Net change in unrealized gain (loss) on futures and swap contracts   $ 5,081,568     $ (9,025,583 )       9,349  
 
 
 
Ultra-Short Duration Government
 
                               
        Net
    Net Change in
      Average
 
        Realized
    Unrealized
      Number of
 
Risk   Statements of Operations Location   Gain (Loss)     Gain (Loss)       Contracts(a)  
   
Interest rate
  Net realized gain (loss) from futures transactions and swap contracts/Net change in unrealized gain (loss) on futures and swap contracts   $ (7,528,101 )   $ (2,712,374 )       1,353  
 
 
 
(a)  Average number of contracts is based on the average of month end balances for the six months ended September 30, 2010.
 
 
 
71 


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

 
Notes to Financial Statements (continued)
September 30, 2010 (Unaudited)
 
6. PORTFOLIO SECURITIES TRANSACTIONS
 
 
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended September 30, 2010, were as follows:
 
                                 
                Sales and
    Sales and
 
    Purchases of
    Purchases (Excluding
    Maturities of
    Maturities (Excluding
 
    U.S. Government and
    U.S. Government and
    U.S. Government and
    U.S. Government and
 
Fund   Agency Obligations     Agency Obligations)     Agency Obligations     Agency Obligations)  
   
Enhanced Income
  $ 152,426,852     $ 262,176,770     $ 220,084,832     $ 254,270,045  
 
 
Government Income
    1,702,021,946       25,019,410       1,699,648,028       66,885,413  
 
 
Inflation Protected Securities
    212,136,584             204,051,139        
 
 
Short Duration Government
    2,213,047,575       206,611,573       1,898,529,408       228,841,078  
 
 
Ultra-Short Duration Government
    170,382,931       25,679,137       305,779,303       62,724,858  
 
 
 
7. TAX INFORMATION
 
As of the Funds’ most recent fiscal year end, March 31, 2010, the Funds’ capital loss carryforwards and certain timing differences, on a tax basis were as follows:
 
                                         
                Inflation
          Ultra-Short
 
    Enhanced
    Government
    Protected
    Short Duration
    Duration
 
    Income     Income     Securities     Government     Government  
   
Capital loss carryforward:(1)
                                       
Expiring 2011
  $     $     $     $     $ (55,920,321 )
Expiring 2012
    (7,658,641 )                       (24,528,394 )
Expiring 2013
    (352,397 )                       (7,818,636 )
Expiring 2014
    (320,682 )                       (2,842,873 )
Expiring 2015
    (987,433 )                       (4,261,952 )
Expiring 2016
    (2,472,185 )                        
Expiring 2018
    (1,658,767 )                       (21,924,176 )
 
 
Total capital loss carryforward
  $ (13,450,105 )   $     $     $     $ (117,296,352 )
 
 
Timing differences (Income Distribution Payable, Post-October Losses and Straddles)
  $ (2,329,303 )   $ (2,808,210 )   $ (617,194 )   $ (1,511,146 )   $ (1,170,213 )
 
 
 
(1)  Expiration occurs on March 31 of the year indicated.
 
 
 
 72


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

 
 
7. TAX INFORMATION (continued)
 
As of September 30, 2010, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
 
                                         
                Inflation
          Ultra-Short
 
    Enhanced
    Government
    Protected
    Short Duration
    Duration
 
    Income     Income     Securities     Government     Government  
   
Tax Cost
  $ 1,007,039,584     $ 1,038,837,899     $ 239,834,834     $ 3,651,290,732     $ 560,715,693  
 
 
Gross unrealized gain
    13,946,425       28,552,105       10,061,919       52,619,362       9,468,474  
Gross unrealized loss
    (524,380 )     (1,619,234 )     (50,561 )     (2,302,889 )     (699,906 )
 
 
Net unrealized security gain
  $ 13,422,045     $ 26,932,871     $ 10,011,358     $ 50,316,473     $ 8,768,568  
 
 
 
The difference between GAAP-basis and tax-basis unrealized gains (losses), as of the most recent fiscal year end, is attributable primarily to wash sales and net mark-to-market gains (losses) on regulated futures contracts, and differences related to the tax treatment of swap transactions, premium amortization, sales of inflation protected securities and the accretion of market discount.
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
 
8. OTHER RISKS
 
Market and Credit Risks — In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Funds may also be exposed to credit risk in the event that an issuer fails to perform or that an institution or entity with which the Funds have unsettled or open transaction defaults.
 
9. INDEMNIFICATIONS
 
Under the Trust’s organizational documents, its trustees, officers, employees and agents are indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
 
10. SUBSEQUENT EVENTS
 
Subsequent events after the balance sheet date have been evaluated through the date the financial statements were issued. Other than the item discussed below, GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
Effective November 1, 2010, GSAM has voluntarily agreed to waive a portion of its management fee equal on an annualized basis to 0.05% of each of the Short Duration Government Fund’s and Ultra-Short Duration Government Fund’s average daily net assets. These management fee waivers are temporary and may be modified or terminated at any time at the option of GSAM, without shareholder approval.
 
 
 
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GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

 
Notes to Financial Statements (continued)
September 30, 2010 (Unaudited)
 
11. SUMMARY OF SHARE TRANSACTIONS
 
Share activity is as follows:
 
                                 
    Enhanced Income Fund  
       
    For the Six Months Ended
       
    September 30, 2010
    For the Fiscal Year Ended
 
    (Unaudited)     March 31, 2010  
       
    Shares     Dollars     Shares     Dollars  
       
Class A Shares
                               
Shares sold
    12,162,211     $ 117,191,102       52,050,217     $ 502,340,979  
Reinvestment of distributions
    129,320       1,245,934       225,427       2,176,768  
Shares converted from Class B(a)
    3,898       37,500       10,539       101,757  
Shares redeemed
    (16,065,957 )     (154,858,152 )     (18,873,395 )     (182,388,201 )
 
 
      (3,770,528 )     (36,383,616 )     33,412,788       322,231,303  
 
 
Class B Shares
                               
Shares sold
    2,317       22,309       12,259       117,831  
Reinvestment of distributions
    78       751       1,454       13,969  
Shares converted to Class A(a)
    (3,902 )     (37,500 )     (10,553 )     (101,757 )
Shares redeemed
    (21,711 )     (208,935 )     (92,418 )     (889,443 )
 
 
      (23,218 )     (223,375 )     (89,258 )     (859,400 )
 
 
Class C Shares
                               
Shares sold
                       
Reinvestment of distributions
                       
Shares redeemed
                       
 
 
                         
 
 
Institutional Shares
                               
Shares sold
    25,110,168       241,822,782       115,908,510       1,116,981,401  
Reinvestment of distributions
    391,316       3,766,308       927,612       8,944,718  
Shares redeemed
    (40,492,118 )     (389,958,427 )     (52,527,669 )     (506,983,238 )
 
 
      (14,990,634 )     (144,369,337 )     64,308,453       618,942,881  
 
 
Administration Shares
                               
Shares sold
    356,395       3,441,891       542,004       5,222,184  
Reinvestment of distributions
    1,546       14,930       3,832       37,056  
Shares redeemed
    (99,421 )     (960,985 )     (286,375 )     (2,772,497 )
 
 
      258,520       2,495,836       259,461       2,486,743  
 
 
Service Shares
                               
Shares sold
                       
Reinvestment of distributions
                       
Shares redeemed
                       
 
 
                         
 
 
Class IR Shares(b)
                               
Shares sold
    105       1,010              
Reinvestment of distributions
          2              
Shares redeemed
    (1 )     (10 )            
 
 
      104       1,002              
 
 
Class R Shares
                               
Shares sold
                       
Reinvestment of distributions
                       
Shares redeemed
                       
 
 
                         
 
 
NET INCREASE (DECREASE)
    (18,525,756 )   $ (178,479,490 )     97,891,444     $ 942,801,527  
 
 
 
(a)  Class B Shares automatically convert into Class A Shares on or about the fifteenth day of the last month of the calendar quarter that is eight years after the initial purchase date of either the Fund or another Goldman Sachs Fund.
 
(b)  Commenced operations on July 30, 2010 for Enhanced Income Fund.
 
 
 
 74


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

 
 
 
 
                                                                 
    Government Income Fund     Inflation Protected Securities Fund  
   
    For the Six Months Ended
          For the Six Months Ended
       
    September 30, 2010
    For the Fiscal Year Ended
    September 30, 2010
    For the Fiscal Year Ended
 
    (Unaudited)     March 31, 2010     (Unaudited)     March 31, 2010  
   
    Shares     Dollars     Shares     Dollars     Shares     Dollars     Shares     Dollars  
   
                                                                 
      4,624,023     $ 71,850,357       13,110,920     $ 199,462,105       947,306     $ 10,573,610       6,242,927     $ 67,237,095  
      239,367       3,725,689       1,242,746       18,903,595       45,194       509,276       102,958       1,114,843  
      214,256       3,321,847       314,978       4,770,525                          
      (6,888,598 )     (106,703,211 )     (18,787,648 )     (285,880,618 )     (1,796,317 )     (20,151,099 )     (3,067,050 )     (33,080,741 )
 
 
      (1,810,952 )     (27,805,318 )     (4,119,004 )     (62,744,393 )     (803,817 )     (9,068,213 )     3,278,835       35,271,197  
 
 
                                                                 
      78,910       1,225,045       332,142       5,054,976                          
      7,237       112,516       68,505       1,041,525                          
      (214,256 )     (3,321,847 )     (314,978 )     (4,770,525 )                        
      (236,136 )     (3,660,245 )     (1,178,746 )     (17,932,018 )                        
 
 
      (364,245 )     (5,644,531 )     (1,093,077 )     (16,606,042 )                        
 
 
                                                                 
      514,445       7,972,222       1,151,336       17,500,187       251,063       2,824,147       1,798,539       19,471,653  
      8,664       134,788       59,325       901,920       5,249       59,252       9,825       106,898  
      (513,551 )     (7,950,013 )     (1,399,365 )     (21,253,194 )     (393,443 )     (4,425,457 )     (452,254 )     (4,904,923 )
 
 
      9,558       156,997       (188,704 )     (2,851,087 )     (137,131 )     (1,542,058 )     1,356,110       14,673,628  
 
 
                                                                 
      4,662,787       72,400,417       11,486,124       174,633,341       948,191       10,674,856       8,711,530       95,008,925  
      100,124       1,556,832       456,308       6,932,784       100,190       1,133,026       130,227       1,418,329  
      (6,555,381 )     (101,853,183 )     (11,419,506 )     (173,974,644 )     (479,486 )     (5,397,407 )     (1,012,373 )     (10,912,515 )
 
 
      (1,792,470 )     (27,895,934 )     522,926       7,591,481       568,895       6,410,475       7,829,384       85,514,739  
 
 
                                                                 
                                                 
                                                 
                                                 
 
 
                                                 
 
 
                                                                 
      1,445,643       22,423,351       2,901,744       44,026,081                          
      35,232       547,230       167,232       2,538,443                          
      (1,048,715 )     (16,183,629 )     (2,416,446 )     (36,626,573 )                        
 
 
      432,160       6,786,952       652,530       9,937,951                          
 
 
                                                                 
      34,356       534,264       14,678       224,910       20       221       18,640       202,043  
      305       4,759       384       5,848       112       1,268       206       2,258  
      (2,750 )     (42,744 )     (24 )     (357 )     (4 )     (42 )     (8,397 )     (91,118 )
 
 
      31,911       496,279       15,038       230,401       128       1,447       10,449       113,183  
 
 
                                                                 
      414,528       6,400,221       360,487       5,490,284       31,830       357,619       33,132       359,916  
      3,613       56,235       4,362       66,364       350       3,951       164       1,796  
      (131,876 )     (2,041,259 )     (31,064 )     (472,518 )     (10,357 )     (118,513 )     (1,187 )     (12,917 )
 
 
      286,265       4,415,197       333,785       5,084,130       21,823       243,057       32,109       348,795  
 
 
      (3,207,773 )   $ (49,490,358 )     (3,876,506 )   $ (59,357,559 )     (350,102 )   $ (3,955,292 )     12,506,887     $ 135,921,542  
 
 
 
 
 
75 


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

 
Notes to Financial Statements (continued)
September 30, 2010 (Unaudited)
 
11. SUMMARY OF SHARE TRANSACTIONS (continued)
 
Share activity is as follows:
 
                                 
    Short Duration Government Fund  
       
    For the Six Months Ended
       
    September 30, 2010
    For the Fiscal Year Ended
 
    (Unaudited)     March 31, 2010  
       
    Shares     Dollars     Shares     Dollars  
       
Class A Shares
                               
Shares sold
    42,959,150     $ 447,347,720       143,161,885     $ 1,492,425,487  
Reinvestment of distributions
    331,089       3,452,973       3,317,607       34,455,884  
Shares converted from Class B(a)
    113,068       1,177,715       32,485       337,322  
Shares redeemed
    (65,397,114 )     (681,391,884 )     (91,650,563 )     (955,026,905 )
 
 
      (21,993,807 )     (229,413,476 )     54,861,414       572,191,788  
 
 
Class B Shares
                               
Shares sold
    1       14       4,953       51,263  
Reinvestment of distributions
    42       427       10,290       106,429  
Shares converted to Class A(a)
    (113,504 )     (1,177,715 )     (32,606 )     (337,322 )
Shares redeemed
    (68,398 )     (711,605 )     (166,886 )     (1,729,747 )
 
 
      (181,859 )     (1,888,879 )     (184,249 )     (1,909,377 )
 
 
Class C Shares
                               
Shares sold
    2,489,905       25,769,198       11,486,640       118,982,739  
Reinvestment of distributions
    556       5,758       256,321       2,641,555  
Shares redeemed
    (4,020,913 )     (41,607,376 )     (6,262,554 )     (64,839,887 )
 
 
      (1,530,452 )     (15,832,420 )     5,480,407       56,784,407  
 
 
Institutional Shares
                               
Shares sold
    50,477,188       523,896,126       207,410,555       2,155,160,663  
Reinvestment of distributions
    632,836       6,577,263       4,079,905       42,251,223  
Shares redeemed
    (59,949,107 )     (622,832,487 )     (107,963,854 )     (1,122,410,650 )
 
 
      (8,839,083 )     (92,359,098 )     103,526,606       1,075,001,236  
 
 
Service Shares
                               
Shares sold
    2,340,565       24,270,797       15,186,489       157,732,589  
Reinvestment of distributions
    31,853       330,598       405,291       4,186,708  
Shares redeemed
    (5,326,195 )     (55,235,443 )     (5,361,369 )     (55,566,339 )
 
 
      (2,953,777 )     (30,634,048 )     10,230,411       106,352,958  
 
 
Class IR Shares
                               
Shares sold
    540,619       5,645,955       380,645       3,961,207  
Reinvestment of distributions
    1,656       17,283       3,365       34,931  
Shares redeemed
    (164,159 )     (1,711,856 )     (65,488 )     (681,428 )
 
 
      378,116       3,951,382       318,522       3,314,710  
 
 
NET INCREASE (DECREASE)
    (35,120,862 )   $ (366,176,539 )     174,233,111     $ 1,811,735,722  
 
 
 
(a)  Class B Shares automatically convert into Class A Shares on or about the fifteenth day of the last month of the calendar quarter that is eight years after the initial purchase date of either the Fund or another Goldman Sachs Fund.
 
 
 
 76


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

 
 
 
 
                                 
    Ultra-Short Duration Government Fund  
   
    For the Six Months Ended
       
    September 30, 2010
    For the Fiscal Year Ended
 
    (Unaudited)     March 31, 2010  
   
    Shares     Dollars     Shares     Dollars  
   
                                 
      10,172,616     $ 89,861,531       47,117,500     $ 416,783,086  
      67,301       594,028       336,826       2,978,496  
                         
      (21,788,665 )     (192,348,914 )     (24,376,504 )     (215,757,265 )
 
 
      (11,548,748 )     (101,893,355 )     23,077,822       204,004,317  
 
 
                                 
                         
                         
                         
                         
 
 
                         
 
 
                                 
                         
                         
                         
 
 
                         
 
 
                                 
      12,613,262       111,452,543       72,246,719       639,733,722  
      109,255       965,249       304,136       2,692,152  
      (27,732,639 )     (245,035,227 )     (33,764,814 )     (299,019,388 )
 
 
      (15,010,122 )     (132,617,435 )     38,786,041       343,406,486  
 
 
                                 
      57,088       507,443       162,443       1,445,321  
      221       1,959       3,580       31,797  
      (212,111 )     (1,882,676 )     (193,923 )     (1,724,985 )
 
 
      (154,802 )     (1,373,274 )     (27,900 )     (247,867 )
 
 
                                 
      3,571       31,599       61,284       542,144  
      165       1,457       299       2,640  
      (22,887 )     (201,950 )     (11,809 )     (104,443 )
 
 
      (19,151 )     (168,894 )     49,774       440,341  
 
 
      (26,732,823 )   $ (236,052,958 )     61,885,737     $ 547,603,277  
 
 
 
 
 
77 


 

GOLDMAN SACHS ENHANCED INCOME FUND
 
 

Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
 
                                                 
              Income (loss) from
           
              investment operations            
                                Distribution
     
        Net asset
                      to shareholders
     
        value,
    Net
    Net realized
    Total from
    from net
     
        beginning
    investment
    and unrealized
    investment
    investment
     
    Year - Share Class   of period     income(a)     gain (loss)     operations     income      
 
 FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
                                                 
                                                 
    2010 - A   $ 9.67     $ 0.04     $ (0.03 )   $ 0.01     $ (0.04 )    
    2010 - B     9.66       0.01       (0.04 )     (0.03 )     (0.01 )    
    2010 - Institutional     9.66       0.06       (0.03 )     0.03       (0.06 )    
    2010 - Administration     9.69       0.05       (0.03 )     0.02       (0.05 )    
    2010 - IR (Commenced July 30, 2010)     9.62       0.02             0.02       (0.02 )    
                                                 
                                                 
 FOR THE FISCAL YEARS ENDED MARCH 31,
                                                 
                                                 
    2010 - A     9.51       0.12       0.19       0.31       (0.15 )    
    2010 - B     9.50       0.07       0.17       0.24       (0.08 )    
    2010 - Institutional     9.50       0.16       0.18       0.34       (0.18 )    
    2010 - Administration     9.53       0.14       0.18       0.32       (0.16 )    
                                                 
                                                 
     
     
    2009 - A     9.67       0.28       (0.12 )     0.16       (0.32 )    
    2009 - B     9.65       0.21       (0.11 )     0.10       (0.25 )    
    2009 - Institutional     9.66       0.31       (0.11 )     0.20       (0.36 )    
    2009 - Administration     9.68       0.29       (0.11 )     0.18       (0.33 )    
                                                 
                                                 
 FOR THE PERIOD NOVEMBER 1, 2007 TO MARCH 31, 2008*
                                                 
                                                 
    2008 - A     9.72       0.16       (0.04 )     0.12       (0.17 )    
    2008 - B     9.70       0.13       (0.04 )     0.09       (0.14 )    
    2008 - Institutional     9.70       0.17       (0.03 )     0.14       (0.18 )    
    2008 - Administration     9.72       0.17       (0.04 )     0.13       (0.17 )    
                                                 
                                                 
 FOR THE FISCAL YEARS ENDED OCTOBER 31,
                                                 
                                                 
    2007 - A     9.73       0.43             0.43       (0.44 )    
    2007 - B (Commenced June 20, 2007)     9.74       0.13       (0.02 )     0.11       (0.15 )    
    2007 - Institutional     9.72       0.47       (0.01 )     0.46       (0.48 )    
    2007 - Administration     9.71       0.44       0.02       0.46       (0.45 )    
                                                 
                                                 
     
     
    2006 - A     9.68       0.37       0.04       0.41       (0.36 )    
    2006 - Institutional     9.67       0.40       0.04       0.44       (0.39 )    
    2006 - Administration     9.67       0.38       0.03       0.41       (0.37 )    
                                                 
                                                 
     
     
    2005 - A     9.78       0.28       (0.10 )     0.18       (0.28 )    
    2005 - Institutional     9.77       0.32       (0.10 )     0.22       (0.32 )    
    2005 - Service     9.78       0.30       (0.12 )     0.18       (0.29 )    
                                                 
                                                 
     
     
*    The Fund changed its fiscal year end from October 31 to March 31.
(a)   Calculated based on the average shares outstanding methodology.
(b)   Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
(c)   Annualized.
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 78


 

GOLDMAN SACHS ENHANCED INCOME FUND
 
 

 
 
 
 
                                                             
                                  Ratio of
           
                Net assets,
    Ratio of
    Ratio of
    net investment
           
    Net asset
          end of
    net expenses
    total expenses
    income
    Portfolio
     
    value, end
    Total
    period
    to average
    to average
    to average
    turnover
     
    of period     return(b)     (in 000s)     net assets     net assets     net assets     rate      
 
 
                                                             
                                                             
    $ 9.64       0.13 %   $ 334,243       0.63 %(c)     0.68 %(c)     0.91 %(c)     40 %    
      9.62       (0.34 )     1,165       1.38 (c)     1.43 (c)     0.17 (c)     40      
      9.63       0.30       700,272       0.29 (c)     0.34 (c)     1.25 (c)     40      
      9.66       0.18       5,302       0.54 (c)     0.59 (c)     1.00 (c)     40      
      9.62       0.21       1       0.38 (c)     0.43 (c)     1.20 (c)     40      
                                                             
                                                             
 
                                                             
                                                             
      9.67       3.26       371,906       0.63       0.68       1.25       66      
      9.66       2.49       1,393       1.38       1.43       0.75       66      
      9.66       3.62       847,623       0.29       0.34       1.64       66      
      9.69       3.35       2,814       0.54       0.59       1.45       66      
                                                             
                                                             
 
 
      9.51       1.73       48,001       0.59       0.78       2.94       180      
      9.50       1.08       2,218       1.34       1.53       2.21       180      
      9.50       2.07       222,638       0.25       0.44       3.30       180      
      9.53       1.92       295       0.50       0.69       3.04       180      
                                                             
                                                             
 
                                                             
                                                             
      9.67       1.32       40,286       0.58 (c)     0.76 (c)     3.90 (c)     8      
      9.65       0.91       3,501       1.33 (c)     1.51 (c)     3.16 (c)     8      
      9.66       1.47       228,300       0.24 (c)     0.42 (c)     4.26 (c)     8      
      9.68       1.36       266       0.49 (c)     0.67 (c)     4.29 (c)     8      
                                                             
                                                             
 
                                                             
                                                             
      9.72       4.43       40,505       0.61       0.79       4.46       87      
      9.70       1.16       5,230       1.36 (c)     1.54 (c)     3.87 (c)     87      
      9.70       4.82       236,210       0.25       0.43       4.82       87      
      9.72       4.88       254       0.50       0.68       4.40       87      
                                                             
                                                             
 
 
      9.73       4.26       36,333       0.62       0.78       3.77       67      
      9.72       4.66       173,430       0.25       0.41       4.15       67      
      9.71       4.29       1,703       0.50       0.66       3.91       67      
                                                             
                                                             
 
 
      9.68       1.88       65,645       0.64       0.79       2.94       49      
      9.67       2.28       301,362       0.25       0.40       3.34       49      
      9.67       1.92       2,568       0.50       0.65       3.09       49      
                                                             
                                                             
 
 
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
79 


 

GOLDMAN SACHS GOVERNMENT INCOME FUND
 
 

Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
 
                                                                 
              Income (loss) from
    Distributions
     
              investment operations     to shareholders      
        Net asset
                                         
        value,
    Net
    Net realized
    Total from
    From net
    From net
           
        beginning
    investment
    and unrealized
    investment
    investment
    realized
    Total
     
    Year - Share Class   of period     income(a)     gain (loss)     operations     income     gains     distributions      
 
 FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
                                                                 
                                                                 
    2010 - A   $ 15.18     $ 0.13     $ 0.59     $ 0.72     $ (0.13 )   $     $ (0.13 )    
    2010 - B     15.18       0.07       0.59       0.66       (0.07 )           (0.07 )    
    2010 - C     15.18       0.07       0.60       0.67       (0.08 )           (0.08 )    
    2010 - Institutional     15.16       0.16       0.59       0.75       (0.16 )           (0.16 )    
    2010 - Service     15.15       0.12       0.58       0.70       (0.12 )           (0.12 )    
    2010 - IR     15.18       0.15       0.58       0.73       (0.15 )           (0.15 )    
    2010 - R     15.17       0.11       0.58       0.69       (0.11 )           (0.11 )    
                                                                 
 FOR THE FISCAL YEARS ENDED MARCH 31,
                                                                 
                                                                 
    2010 - A     15.14       0.42       0.25       0.67       (0.39 )     (0.24 )     (0.63 )    
    2010 - B     15.14       0.31       0.24       0.55       (0.27 )     (0.24 )     (0.51 )    
    2010 - C     15.14       0.30       0.25       0.55       (0.27 )     (0.24 )     (0.51 )    
    2010 - Institutional     15.12       0.47       0.25       0.72       (0.44 )     (0.24 )     (0.68 )    
    2010 - Service     15.11       0.39       0.25       0.64       (0.36 )     (0.24 )     (0.60 )    
    2010 - IR     15.14       0.41       0.30       0.71       (0.43 )     (0.24 )     (0.67 )    
    2010 - R     15.14       0.33       0.30       0.63       (0.36 )     (0.24 )     (0.60 )    
     
     
    2009 - A     15.07       0.57       0.16       0.73       (0.60 )     (0.06 )     (0.66 )    
    2009 - B     15.07       0.46       0.15       0.61       (0.48 )     (0.06 )     (0.54 )    
    2009 - C     15.07       0.46       0.15       0.61       (0.48 )     (0.06 )     (0.54 )    
    2009 - Institutional     15.05       0.62       0.16       0.78       (0.65 )     (0.06 )     (0.71 )    
    2009 - Service     15.04       0.54       0.16       0.70       (0.57 )     (0.06 )     (0.63 )    
    2009 - IR     15.08       0.60       0.15       0.75       (0.63 )     (0.06 )     (0.69 )    
    2009 - R     15.08       0.52       0.17       0.69       (0.57 )     (0.06 )     (0.63 )    
                                                                 
 FOR THE PERIOD NOVEMBER 1, 2007 TO MARCH 31, 2008*
                                                                 
                                                                 
    2008 - A     14.79       0.26       0.28       0.54       (0.26 )           (0.26 )    
    2008 - B     14.79       0.22       0.27       0.49       (0.21 )           (0.21 )    
    2008 - C     14.78       0.21       0.29       0.50       (0.21 )           (0.21 )    
    2008 - Institutional     14.77       0.28       0.28       0.56       (0.28 )           (0.28 )    
    2008 - Service     14.76       0.25       0.28       0.53       (0.25 )           (0.25 )    
    2008 - IR (Commenced November 30, 2007)     15.02       0.22       0.06       0.28       (0.22 )           (0.22 )    
    2008 - R (Commenced November 30, 2007)     15.02       0.20       0.06       0.26       (0.20 )           (0.20 )    
                                                                 
 FOR THE FISCAL YEARS ENDED OCTOBER 31,
                                                                 
                                                                 
    2007 - A     14.64       0.60       0.13       0.73       (0.58 )           (0.58 )    
    2007 - B     14.64       0.50       0.12       0.62       (0.47 )           (0.47 )    
    2007 - C     14.63       0.49       0.13       0.62       (0.47 )           (0.47 )    
    2007 - Institutional     14.63       0.65       0.13       0.78       (0.64 )           (0.64 )    
    2007 - Service     14.61       0.58       0.13       0.71       (0.56 )           (0.56 )    
     
     
    2006 - A     14.57       0.55       0.08       0.63       (0.56 )     (f)     (0.56 )    
    2006 - B     14.57       0.44       0.08       0.52       (0.45 )     (f)     (0.45 )    
    2006 - C     14.56       0.44       0.08       0.52       (0.45 )     (f)     (0.45 )    
    2006 - Institutional     14.55       0.60       0.09       0.69       (0.61 )     (f)     (0.61 )    
    2006 - Service     14.54       0.53       0.08       0.61       (0.54 )     (f)     (0.54 )    
     
     
    2005 - A     15.00       0.43       (0.30 )     0.13       (0.39 )     (0.17 )     (0.56 )    
    2005 - B     15.00       0.30       (0.28 )     0.02       (0.28 )     (0.17 )     (0.45 )    
    2005 - C     14.99       0.31       (0.29 )     0.02       (0.28 )     (0.17 )     (0.45 )    
    2005 - Institutional     14.98       0.46       (0.27 )     0.19       (0.45 )     (0.17 )     (0.62 )    
    2005 - Service     14.98       0.41       (0.31 )     0.10       (0.37 )     (0.17 )     (0.54 )    
     
     
*    The Fund changed its fiscal year end from October 31 to March 31.
(a)   Calculated based on the average shares outstanding methodology.
(b)   Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
(c)   The portfolio turnover rates excluding the effect of mortgage dollar rolls were as follows:
                                         
For the Six Months
     
Ended September 30,   For the Periods Ended  
2010
  2010     2009     2008     2007     2006  
128%
    280 %(e)     373 %     119 %     117 %     690 %
     Prior years include the effect of mortgage dollar roll transactions, if any.
(d)   Annualized.
(e)   The amount previously reported has been adjusted to exclude certain “To Be Announced” activity where a mortgage security was delivered.
(f)   Amount is less than $0.005 per share.
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 80


 

GOLDMAN SACHS GOVERNMENT INCOME FUND
 
 

 
 
 
                                                             
                                  Ratio of
           
                Net assets,
    Ratio of
    Ratio of
    net investment
           
    Net asset
          end of
    net expenses
    total expenses
    income
    Portfolio
     
    value, end
    Total
    period
    to average
    to average
    to average
    turnover
     
    of period     return(b)     (in 000s)     net assets     net assets     net assets     rate(c)      
 
 
                                                             
                                                             
    $ 15.77       4.78 %   $ 504,754       0.92 %(d)     0.99 %(d)     1.70 %(d)     197 %    
      15.77       4.39       24,833       1.67 (d)     1.74 (d)     0.95 (d)     197      
      15.77       4.39       40,924       1.67 (d)     1.74 (d)     0.95 (d)     197      
      15.75       4.90       235,596       0.58 (d)     0.65 (d)     2.04 (d)     197      
      15.73       4.64       110,919       1.08 (d)     1.15 (d)     1.53 (d)     197      
      15.76       4.91       751       0.67 (d)     0.74 (d)     1.95 (d)     197      
      15.75       4.59       9,813       1.17 (d)     1.24 (d)     1.44 (d)     197      
                                                             
 
                                                             
                                                             
      15.18       4.48       513,457       0.92       1.00       2.74       366 (e)    
      15.18       3.70       29,438       1.67       1.75       2.02       366 (e)    
      15.18       3.68       39,255       1.67       1.75       1.99       366 (e)    
      15.16       4.84       253,997       0.58       0.66       3.06       366 (e)    
      15.15       4.32       100,242       1.08       1.16       2.56       366 (e)    
      15.18       4.67       239       0.67       0.75       2.68       366 (e)    
      15.17       4.22       5,106       1.17       1.25       2.21       366 (e)    
 
 
      15.14       5.00       574,520       0.92       0.98       3.84       386      
      15.14       4.22       45,916       1.67       1.73       3.10       386      
      15.14       4.19       42,004       1.67       1.73       3.07       386      
      15.12       5.37       245,475       0.58       0.64       4.21       386      
      15.11       4.85       90,132       1.08       1.14       3.66       386      
      15.14       5.19       11       0.67       0.73       4.06       386      
      15.14       4.85       43       1.17       1.23       3.55       386      
                                                             
 
                                                             
                                                             
      15.07       3.63       512,301       0.90 (d)     0.99 (d)     4.20 (d)     161      
      15.07       3.31       50,078       1.65 (d)     1.74 (d)     3.46 (d)     161      
      15.07       3.37       30,010       1.65 (d)     1.74 (d)     3.44 (d)     161      
      15.05       3.79       300,342       0.56 (d)     0.65 (d)     4.56 (d)     161      
      15.04       3.57       59,449       1.06 (d)     1.15 (d)     4.03 (d)     161      
      15.08       1.85       10       0.66 (d)     0.78 (d)     4.24 (d)     161      
      15.08       1.65       10       1.16 (d)     1.28 (d)     3.86 (d)     161      
                                                             
 
                                                             
                                                             
      14.79       5.13       434,917       0.94       1.02       4.11       141      
      14.79       4.34       49,393       1.69       1.77       3.44       141      
      14.78       4.35       22,078       1.69       1.77       3.37       141      
      14.77       5.45       323,764       0.58       0.66       4.49       141      
      14.76       5.00       45,154       1.08       1.16       3.99       141      
 
 
      14.64       4.40       432,762       0.95       1.04       3.77       766      
      14.64       3.62       18,713       1.70       1.79       3.03       766      
      14.63       3.63       16,931       1.70       1.79       3.04       766      
      14.63       4.86       146,784       0.58       0.67       4.18       766      
      14.61       4.27       23,461       1.08       1.17       3.67       766      
 
 
      14.57       0.80       729,958       0.97       1.07       2.83       256      
      14.57       0.04       24,882       1.72       1.83       2.08       256      
      14.56       0.11       18,692       1.72       1.83       2.08       256      
      14.55       1.26       60,747       0.58       0.69       3.20       256      
      14.54       0.69       16,198       1.08       1.18       2.74       256      
 
 
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
81 


 

GOLDMAN SACHS INFLATION PROTECTED SECURITIES FUND
 
 

Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
 
                                                                         
              Income (loss) from
    Distributions
     
              investment operations     to shareholders      
        Net asset
                                               
        value,
    Net
    Net realized
    Total from
    From net
    From net
                 
        beginning
    investment
    and unrealized
    investment
    investment
    realized
    From
    Total
     
    Year - Share Class   of period     income (loss)     gain (loss)     operations     income     gains     capital     distributions      
 
 FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
                                                                         
                                                                         
    2010 - A   $ 10.89     $ 0.09 (b)   $ 0.65     $ 0.74     $ (0.10 )   $     $     $ (0.10 )    
    2010 - C     10.93       0.05 (b)     0.64       0.69       (0.05 )                 (0.05 )    
    2010 - Institutional     10.93       0.11 (b)     0.65       0.76       (0.12 )                 (0.12 )    
    2010 - IR     10.91       0.10 (b)     0.65       0.75       (0.11 )                 (0.11 )    
    2010 - R     10.91       0.06 (b)     0.66       0.72       (0.08 )                 (0.08 )    
                                                                         
                                                                         
 FOR THE FISCAL YEARS ENDED MARCH 31,
                                                                         
                                                                         
    2010 - A     10.51       0.31 (b)     0.29       0.60       (0.22 )                 (0.22 )    
    2010 - C     10.54       0.21 (b)     0.32       0.53       (0.14 )                 (0.14 )    
    2010 - Institutional     10.54       0.33 (b)     0.32       0.65       (0.26 )                 (0.26 )    
    2010 - IR     10.53       0.23 (b)     0.40       0.63       (0.25 )                 (0.25 )    
    2010 - R     10.53       0.20 (b)     0.37       0.57       (0.19 )                 (0.19 )    
                                                                         
                                                                         
     
     
    2009 - A     11.07       0.04       (0.35 )     (0.31 )     (0.09 )     (0.02 )     (0.14 )     (0.25 )    
    2009 - C     11.11       (0.06 )     (0.34 )     (0.40 )     (0.06 )     (0.02 )     (0.09 )     (0.17 )    
    2009 - Institutional     11.11       0.01       (0.29 )     (0.28 )     (0.11 )     (0.02 )     (0.16 )     (0.29 )    
    2009 - IR     11.09       0.15       (0.43 )     (0.28 )     (0.11 )     (0.02 )     (0.15 )     (0.28 )    
    2009 - R     11.09       0.11       (0.44 )     (0.33 )     (0.08 )     (0.02 )     (0.13 )     (0.23 )    
                                                                         
                                                                         
 FOR THE PERIOD ENDED MARCH 31, 2008
                                                                         
                                                                         
    2008 - A (Commenced August 31, 2007)     10.00       0.27 (b)     0.93       1.20       (0.13 )                 (0.13 )    
    2008 - C (Commenced August 31, 2007)     10.00       0.29 (b)     0.91       1.20       (0.09 )                 (0.09 )    
    2008 - Institutional (Commenced August 31, 2007)     10.00       0.24 (b)     1.02       1.26       (0.15 )                 (0.15 )    
    2008 - IR (Commenced November 30, 2007)     10.56       0.17 (b)     0.46       0.63       (0.10 )                 (0.10 )    
    2008 - R (Commenced November 30, 2007)     10.56       0.16 (b)     0.45       0.61       (0.08 )                 (0.08 )    
                                                                         
                                                                         
     
     
(a)   Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
(b)   Calculated based on the average shares outstanding methodology.
(c)   Annualized.
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 82


 

GOLDMAN SACHS INFLATION PROTECTED SECURITIES FUND
 
 

 
 
 
 
                                                             
                                  Ratio of
           
                Net assets,
    Ratio of
    Ratio of
    net investment
           
    Net asset
          end of
    net expenses
    total expenses
    income (loss)
    Portfolio
     
    value, end
    Total
    period
    to average
    to average
    to average
    turnover
     
    of period     return(a)     (in 000s)     net assets     net assets     net assets     rate      
 
 
                                                             
                                                             
    $ 11.53       6.78 %   $ 78,871       0.67 %(c)     0.81 %(c)     1.62 %(c)     88 %    
      11.57       6.37       21,662       1.42 (c)     1.56 (c)     0.86 (c)     88      
      11.57       6.94       148,408       0.33 (c)     0.47 (c)     1.92 (c)     88      
      11.55       6.91       133       0.42 (c)     0.56 (c)     1.84 (c)     88      
      11.55       6.64       635       0.92 (c)     1.06 (c)     1.13 (c)     88      
                                                             
                                                             
 
                                                             
                                                             
      10.89       5.76       83,263       0.67       0.91       2.88       82      
      10.93       5.05       21,962       1.42       1.66       1.91       82      
      10.93       6.20       133,982       0.33       0.57       3.05       82      
      10.91       6.01       125       0.42       0.66       2.15       82      
      10.91       5.49       361       0.92       1.16       1.86       82      
                                                             
                                                             
 
 
      10.51       (2.68 )     45,855       0.67       1.19       0.41       44      
      10.54       (3.49 )     6,890       1.42       1.94       (0.57 )     44      
      10.54       (2.33 )     46,706       0.33       0.85       (0.25 )     44      
      10.53       (2.45 )     10       0.42       0.94       1.44       44      
      10.53       (2.90 )     11       0.92       1.44       1.01       44      
                                                             
                                                             
 
                                                             
                                                             
      11.07       12.09       20,155       0.67 (c)     4.22 (c)     4.37 (c)     1      
      11.11       12.02       3,031       1.42 (c)     4.97 (c)     4.61 (c)     1      
      11.11       12.62       11,765       0.32 (c)     3.87 (c)     3.95 (c)     1      
      11.09       5.98       11       0.42 (c)     4.68 (c)     4.80 (c)     1      
      11.09       5.81       11       0.92 (c)     5.18 (c)     4.31 (c)     1      
                                                             
                                                             
 
 
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
83 


 

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
 
 

Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
 
                                                                 
              Income (loss) from
    Distributions
     
              investment operations     to shareholders      
        Net asset
                                         
        value,
    Net
    Net realized
    Total from
    From net
    From net
           
        beginning
    investment
    and unrealized
    investment
    investment
    realized
    Total
     
    Year - Share Class   of period     income(a)     gain (loss)     operations     income     gains     distributions      
 
 FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
                                                                 
                                                                 
    2010 - A   $ 10.37     $ 0.03     $ 0.09     $ 0.12     $ (0.03 )   $     $ (0.03 )    
    2010 - B     10.33       (d)     0.09       0.09       (d)           (d)    
    2010 - C     10.30       (d)     0.09       0.09       (d)           (d)    
    2010 - Institutional     10.33       0.05       0.09       0.14       (0.05 )           (0.05 )    
    2010 - Service     10.32       0.02       0.09       0.11       (0.02 )           (0.02 )    
    2010 - IR     10.37       0.05       0.08       0.13       (0.04 )           (0.04 )    
                                                                 
 FOR THE FISCAL YEARS ENDED MARCH 31,
                                                                 
                                                                 
    2010 - A     10.36       0.16       0.19       0.35       (0.17 )     (0.17 )     (0.34 )    
    2010 - B     10.32       0.11       0.17       0.28       (0.10 )     (0.17 )     (0.27 )    
    2010 - C     10.30       0.08       0.18       0.26       (0.09 )     (0.17 )     (0.26 )    
    2010 - Institutional     10.33       0.19       0.18       0.37       (0.20 )     (0.17 )     (0.37 )    
    2010 - Service     10.31       0.14       0.19       0.33       (0.15 )     (0.17 )     (0.32 )    
    2010 - IR     10.36       0.16       0.21       0.37       (0.19 )     (0.17 )     (0.36 )    
     
     
    2009 - A     10.14       0.27       0.31       0.58       (0.31 )     (0.05 )     (0.36 )    
    2009 - B     10.10       0.22       0.30       0.52       (0.25 )     (0.05 )     (0.30 )    
    2009 - C     10.07       0.19       0.33       0.52       (0.24 )     (0.05 )     (0.29 )    
    2009 - Institutional     10.11       0.31       0.31       0.62       (0.35 )     (0.05 )     (0.40 )    
    2009 - Service     10.09       0.25       0.32       0.57       (0.30 )     (0.05 )     (0.35 )    
    2009 - IR     10.14       0.30       0.31       0.61       (0.34 )     (0.05 )     (0.39 )    
                                                                 
 FOR THE PERIOD NOVEMBER 1, 2007 TO MARCH 31, 2008*
                                                                 
                                                                 
    2008 - A     9.79       0.17       0.34       0.51       (0.16 )           (0.16 )    
    2008 - B     9.76       0.15       0.32       0.47       (0.13 )           (0.13 )    
    2008 - C     9.73       0.14       0.33       0.47       (0.13 )           (0.13 )    
    2008 - Institutional     9.77       0.18       0.33       0.51       (0.17 )           (0.17 )    
    2008 - Service     9.75       0.16       0.33       0.49       (0.15 )           (0.15 )    
    2008 - IR (Commenced November 30, 2007)     9.91       0.15       0.21       0.36       (0.13 )           (0.13 )    
                                                                 
 FOR THE FISCAL YEARS ENDED OCTOBER 31,
                                                                 
                                                                 
    2007 - A     9.67       0.37       0.12       0.49       (0.37 )           (0.37 )    
    2007 - B     9.64       0.32       0.11       0.43       (0.31 )           (0.31 )    
    2007 - C     9.61       0.30       0.11       0.41       (0.29 )           (0.29 )    
    2007 - Institutional     9.64       0.41       0.12       0.53       (0.40 )           (0.40 )    
    2007 - Service     9.63       0.36       0.11       0.47       (0.35 )           (0.35 )    
     
     
    2006 - A     9.65       0.33       0.03       0.36       (0.34 )           (0.34 )    
    2006 - B     9.62       0.26       0.05       0.31       (0.29 )           (0.29 )    
    2006 - C     9.59       0.26       0.03       0.29       (0.27 )           (0.27 )    
    2006 - Institutional     9.63       0.37       0.02       0.39       (0.38 )           (0.38 )    
    2006 - Service     9.61       0.32       0.03       0.35       (0.33 )           (0.33 )    
     
     
    2005 - A     9.86       0.24       (0.19 )     0.05       (0.26 )           (0.26 )    
    2005 - B     9.83       0.19       (0.20 )     (0.01 )     (0.20 )           (0.20 )    
    2005 - C     9.81       0.17       (0.20 )     (0.03 )     (0.19 )           (0.19 )    
    2005 - Institutional     9.84       0.29       (0.20 )     0.09       (0.30 )           (0.30 )    
    2005 - Service     9.82       0.23       (0.19 )     0.04       (0.25 )           (0.25 )    
     
     
*    The Fund changed its fiscal year end from October 31 to March 31.
(a)   Calculated based on the average shares outstanding methodology.
(b)   Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
(c)   The portfolio turnover rates excluding the effect of mortgage dollar rolls were as follows:
                                         
For the Six Months
           
Ended September 30,   For the Periods Ended        
2010
  2010     2009     2008     2007        
58%
    166 %(f)     307 %     55 %     96 %        
     Prior years include the effect of mortgage dollar roll transactions, if any.
(d)   Amount is less than $0.005 per share.
(e)   Annualized.
(f)   The amount previously reported has been adjusted to exclude certain “To Be Announced” activity where a mortgage security was delivered.
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 84


 

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
 
 

 
 
 
 
                                                             
                                  Ratio of
           
                Net assets,
    Ratio of
    Ratio of
    net investment
           
    Net asset
          end of
    net expenses
    total expenses
    income
    Portfolio
     
    value, end
    Total
    period
    to average
    to average
    to average
    turnover
     
    of period     return(b)     (in 000s)     net assets     net assets     net assets     rate(c)      
 
 
                                                             
                                                             
    $ 10.46       1.16 %   $ 1,286,389       0.83 %(e)     0.86 %(e)     0.62 %(e)     60 %    
      10.42       0.89       1,936       1.38 (e)     1.61 (e)     0.08 (e)     60      
      10.39       0.88       165,107       1.39 (e)     1.61 (e)     0.05 (e)     60      
      10.42       1.33       1,845,855       0.49 (e)     0.52 (e)     0.96 (e)     60      
      10.41       1.08       161,561       0.99 (e)     1.02 (e)     0.46 (e)     60      
      10.46       1.29       7,351       0.58 (e)     0.61 (e)     0.87 (e)     60      
                                                             
 
                                                             
                                                             
      10.37       3.38       1,503,139       0.84       0.88       1.53       175 (f)    
      10.33       2.78       3,797       1.44       1.63       1.05       175 (f)    
      10.30       2.53       179,424       1.59       1.63       0.80       175 (f)    
      10.33       3.64       1,921,023       0.50       0.54       1.84       175 (f)    
      10.32       3.23       190,628       1.00       1.04       1.31       175 (f)    
      10.37       3.64       3,366       0.59       0.63       1.54       175 (f)    
 
 
      10.36       5.90       933,942       0.86       0.91       2.63       308      
      10.32       5.29       5,698       1.46       1.66       2.01       308      
      10.30       5.25       122,944       1.61       1.66       1.84       308      
      10.33       6.28       850,831       0.52       0.57       3.11       308      
      10.31       5.76       85,020       1.02       1.07       2.43       308      
      10.36       6.16       62       0.61       0.66       2.99       308      
                                                             
 
                                                             
                                                             
      10.14       5.23       393,830       0.88 (e)     0.94 (e)     4.11 (e)     61      
      10.10       4.88       7,975       1.48 (e)     1.69 (e)     3.52 (e)     61      
      10.07       4.83       40,967       1.63 (e)     1.69 (e)     3.36 (e)     61      
      10.11       5.29       761,654       0.53 (e)     0.59 (e)     4.44 (e)     61      
      10.09       5.08       8,429       1.03 (e)     1.09 (e)     3.96 (e)     61      
      10.14       3.67       10       0.63 (e)     0.69 (e)     4.30 (e)     61      
                                                             
 
                                                             
                                                             
      9.79       5.25       303,073       0.90       0.97       3.85       102      
      9.76       4.65       9,263       1.50       1.71       3.26       102      
      9.73       4.51       29,944       1.65       1.72       3.10       102      
      9.77       5.77       630,240       0.54       0.61       4.23       102      
      9.75       5.14       8,141       1.04       1.10       3.68       102      
 
 
      9.67       3.84       323,915       0.91       0.99       3.35       100      
      9.64       3.24       14,433       1.51       1.74       2.73       100      
      9.61       3.09       41,691       1.66       1.74       2.59       100      
      9.64       4.13       468,033       0.54       0.62       3.72       100      
      9.63       3.72       12,177       1.04       1.12       3.22       100      
 
 
      9.65       0.50       327,365       0.93       0.99       2.50       98      
      9.62       (0.10 )     23,602       1.54       1.74       1.95       98      
      9.59       (0.35 )     57,078       1.69       1.74       1.80       98      
      9.63       0.89       517,492       0.54       0.60       2.87       98      
      9.61       0.39       13,009       1.04       1.10       2.38       98      
 
 
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
85 


 

GOLDMAN SACHS ULTRA-SHORT DURATION GOVERNMENT FUND
 
 

Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
 
                                                 
              Income (loss) from
           
              investment operations            
                                Distributions
     
        Net asset
                      to shareholders
     
        value,
    Net
    Net realized
    Total from
    from net
     
        beginning
    investment
    and unrealized
    investment
    investment
     
    Year - Share Class   of period     income(a)     gain (loss)     operations     income      
 
 FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
                                                 
                                                 
    2010 - A   $ 8.86     $ 0.03     $ (0.06 )   $ (0.03 )   $ (0.02 )    
    2010 - Institutional     8.86       0.04       (0.04 )           (0.04 )    
    2010 - Service     8.90       0.02       (0.04 )     (0.02 )     (0.02 )    
    2010 - IR     8.85       0.04       (0.05 )     (0.01 )     (0.03 )    
                                                 
                                                 
 FOR THE FISCAL YEARS ENDED MARCH 31,
                                                 
                                                 
    2010 - A     8.77       0.10       0.16       0.26       (0.17 )(e)    
    2010 - Institutional     8.77       0.13       0.16       0.29       (0.20 )(e)    
    2010 - Service     8.81       0.11       0.13       0.24       (0.15 )(e)    
    2010 - IR     8.76       0.10       0.18       0.28       (0.19 )(e)    
                                                 
                                                 
     
     
    2009 - A     9.14       0.30       (0.32 )     (0.02 )     (0.35 )    
    2009 - Institutional     9.14       0.34       (0.33 )     0.01       (0.38 )    
    2009 - Service     9.18       0.29       (0.33 )     (0.04 )     (0.33 )    
    2009 - IR     9.14       0.34       (0.35 )     (0.01 )     (0.37 )    
                                                 
                                                 
 FOR THE PERIOD NOVEMBER 1, 2007 TO MARCH 31, 2008*
                                                 
                                                 
    2008 - A     9.28       0.15       (0.12 )     0.03       (0.17 )    
    2008 - Institutional     9.28       0.16       (0.12 )     0.04       (0.18 )    
    2008 - Service     9.32       0.15       (0.13 )     0.02       (0.16 )    
    2008 - IR (Commenced November 30, 2007)     9.26       0.12       (0.10 )     0.02       (0.14 )    
                                                 
                                                 
 FOR THE FISCAL YEARS ENDED OCTOBER 31,
                                                 
                                                 
    2007 - A     9.27       0.36       0.10       0.46       (0.45 )    
    2007 - Institutional     9.27       0.39       0.10       0.49       (0.48 )    
    2007 - Service     9.31       0.35       0.09       0.44       (0.43 )    
                                                 
                                                 
     
     
    2006 - A     9.27       0.32       0.05       0.37       (0.37 )    
    2006 - Institutional     9.28       0.35       0.05       0.40       (0.41 )    
    2006 - Service     9.31       0.31       0.05       0.36       (0.36 )    
                                                 
                                                 
     
     
    2005 - A     9.33       0.20       (0.01 )     0.19       (0.25 )    
    2005 - Institutional     9.34       0.23       (g)     0.23       (0.29 )    
    2005 - Service     9.37       0.19       (0.01 )     0.18       (0.24 )    
                                                 
                                                 
     
     
*    The Fund changed its fiscal year end from October 31 to March 31.
(a)   Calculated based on the average shares outstanding methodology.
(b)   Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
(c)   The portfolio turnover rates excluding the effect of mortgage dollar rolls were as follows:
                         
For the Six Months
     
Ended September 30,   For the Periods Ended  
2010
  2010     2008     2007  
30%
    111 %(f)     10 %     78 %
     The Fund did not have any mortgage dollar roll transactions for the fiscal year end March 31, 2009. Prior years include the effect of mortgage dollar roll transactions, if any.
(d)   Annualized.
(e)   Includes a return of capital amounting to less than $0.005 per share.
(f)   The amount previously reported has been adjusted to exclude certain “To Be Announced” activity where a mortgage security was delivered.
(g)   Amount is less than $0.005 per share.
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 86


 

GOLDMAN SACHS ULTRA-SHORT DURATION GOVERNMENT FUND
 
 

 
 
 
 
 
                                                             
                                  Ratio of
           
                Net assets,
    Ratio of
    Ratio of
    net investment
           
    Net asset
          end of
    net expenses
    total expenses
    income
    Portfolio
     
    value, end
    Total
    period
    to average
    to average
    to average
    turnover
     
    of period     return(b)     (in 000s)     net assets     net assets     net assets     rate(c)      
 
 
                                                             
                                                             
    $ 8.81       (0.30 )%   $ 200,060       0.83 %(d)     0.84 %(d)     0.65 %(d)     30 %    
      8.82       (0.01 )     352,252       0.49 (d)     0.50 (d)     0.99 (d)     30      
      8.86       (0.26 )     1,317       0.99 (d)     1.00 (d)     0.49 (d)     30      
      8.81       (0.06 )     280       0.58 (d)     0.59 (d)     0.91 (d)     30      
                                                             
                                                             
 
                                                             
                                                             
      8.86       2.96       303,400       0.83       0.87       1.14       111 (f)    
      8.86       3.31       487,133       0.49       0.53       1.45       111 (f)    
      8.90       2.78       2,702       0.99       1.03       1.29       111 (f)    
      8.85       3.22       451       0.58       0.62       1.19       111 (f)    
                                                             
                                                             
 
 
      8.77       (0.26 )     97,936       0.83       0.90       3.39       163      
      8.77       0.07       141,806       0.49       0.56       3.74       163      
      8.81       (0.42 )     2,919       0.99       1.06       3.22       163      
      8.76       (0.13 )     10       0.58       0.65       3.81       163      
                                                             
                                                             
 
                                                             
                                                             
      9.14       0.31       90,398       0.81 (d)     0.87 (d)     3.94 (d)     28      
      9.14       0.46       422,242       0.47 (d)     0.53 (d)     4.26 (d)     28      
      9.18       0.25       3,620       0.98 (d)     1.04 (d)     3.81 (d)     28      
      9.14       0.20       10       0.57 (d)     0.60 (d)     3.93 (d)     28      
                                                             
                                                             
 
                                                             
                                                             
      9.28       5.02       106,648       0.85       0.89       3.86       94      
      9.28       5.41       406,895       0.49       0.53       4.22       94      
      9.32       4.86       3,590       0.99       1.02       3.68       94      
                                                             
                                                             
 
 
      9.27       4.20       122,379       0.86       0.91       3.46       57      
      9.27       4.36       317,956       0.49       0.54       3.83       57      
      9.31       3.93       17,478       0.99       1.04       3.32       57      
                                                             
                                                             
 
 
      9.27       1.98       190,210       0.89       0.89       2.20       71      
      9.28       2.49       584,628       0.49       0.50       2.59       71      
      9.31       1.97       42,642       0.99       1.00       2.06       71      
                                                             
                                                             
 
 
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
87 


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 
Fund Expenses — Six Month Period Ended September 30, 2010 (Unaudited)
 
As a shareholder of Class A, Class B, Class C, Institutional, Administration, Service, Class IR or Class R Shares of a Fund you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares), contingent deferred sales charges on redemptions (with respect to Class B and Class C Shares), and redemption fees (if any); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Class A, Class B, Class C and Class R Shares); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class B, Class C, Institutional, Administration, Service, Class IR and Class R Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
 
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from April 1, 2010 through September 30, 2010.
 
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.
 
                                                                                                                                                       
      Enhanced Income Fund     Government Income Fund     Inflation Protected Securities Fund     Short Duration Government Fund     Ultra-Short Duration Government Fund
                  Expenses
                Expenses
                Expenses
                Expenses
    Beginning
          Expenses
      Beginning
    Ending
    Paid for the
    Beginning
    Ending
    Paid for the
    Beginning
    Ending
    Paid for the
    Beginning
    Ending
    Paid for the
    Account
    Ending
    Paid for the
      Account Value
    Account Value
    6 months ended
    Account Value
    Account Value
    6 months ended
    Account Value
    Account Value
    6 months ended
    Account Value
    Account Value
    6 months ended
    Value
    Account Value
    6 months ended
Share Class     4/1/10     9/30/10     9/30/10*     4/1/10     9/30/10     9/30/10*     4/1/10     9/30/10     9/30/10*     4/1/10     9/30/10     9/30/10*     4/1/10     9/30/10     9/30/10*
Class A
                                                                                                                                                     
Actual
    $ 1,000.00       $ 1,001.30       $ 3.16       $ 1,000.00       $ 1,047.80       $ 4.72       $ 1,000.00       $ 1,067.80       $ 3.47       $ 1,000.00       $ 1,011.60       $ 4.19       $ 1,000.00       $ 997.00       $ 4.16  
Hypothetical 5% return
      1,000.00         1,021.91 +       3.19         1,000.00         1,020.46 +       4.66         1,000.00         1,021.71 +       3.40         1,000.00         1,020.91 +       4.20         1,000.00         1,020.91 +       4.20  
 
Class B
                                                                                                                                                     
Actual
      1,000.00         996.60         6.91         1,000.00         1,043.90         8.56         N/A         N/A         N/A         1,000.00         1,008.90         6.95         N/A         N/A         N/A  
Hypothetical 5% return
      1,000.00         1,018.15 +       6.98         1,000.00         1,016.70 +       8.44         N/A         N/A         N/A         1,000.00         1,018.15 +       6.98         N/A         N/A         N/A  
 
Class C
                                                                                                                                                     
Actual
      N/A         N/A         N/A         1,000.00         1,043.90         8.56         1,000.00         1,063.70         7.35         1,000.00         1,008.80         7.00         N/A         N/A         N/A  
Hypothetical 5% return
      N/A         N/A         N/A         1,000.00         1,016.70 +       8.44         1,000.00         1,017.95 +       7.18         1,000.00         1,018.10 +       7.03         N/A         N/A         N/A  
 
Institutional
                                                                                                                                                     
Actual
      1,000.00         1,003.00         1.46         1,000.00         1,049.00         2.98         1,000.00         1,069.40         1.71         1,000.00         1,013.30         2.47         1,000.00         999.90         2.46  
Hypothetical 5% return
      1,000.00         1,023.61 +       1.47         1,000.00         1,022.16 +       2.94         1,000.00         1,023.41 +       1.67         1,000.00         1,022.61 +       2.48         1,000.00         1,022.61 +       2.48  
 
Administration
                                                                                                                                                     
Actual
      1,000.00         1,001.80         2.71         N/A         N/A         N/A         N/A         N/A         N/A         N/A         N/A         N/A         N/A         N/A         N/A  
Hypothetical 5% return
      1,000.00         1,022.36 +       2.74         N/A         N/A         N/A         N/A         N/A         N/A         N/A         N/A         N/A         N/A         N/A         N/A  
 
Service
                                                                                                                                                     
Actual
      N/A         N/A         N/A         1,000.00         1,046.40         5.54         N/A         N/A         N/A         1,000.00         1,010.80         4.99         1,000.00         997.40         4.96  
Hypothetical 5% return
      N/A         N/A         N/A         1,000.00         1,019.65 +       5.47         N/A         N/A         N/A         1,000.00         1,020.10 +       5.01         1,000.00         1,020.10 +       5.01  
 
Class IR(a)
                                                                                                                                                     
Actual
      1,000.00         1,002.10         0.64         1,000.00         1,049.10         3.44         1,000.00         1,069.10         2.18         1,000.00         1,012.90         2.93         1,000.00         999.40         2.91  
Hypothetical 5%
      1,000.00         1,007.72 +       0.64         1,000.00         1,021.71 +       3.40         1,000.00         1,022.96 +       2.13         1,000.00         1,022.16 +       2.94         1,000.00         1,022.16 +       2.94  
 
Class R
                                                                                                                                                     
Actual
      N/A         N/A         N/A         1,000.00         1,045.90         6.00         1,000.00         1,066.40         4.77         N/A         N/A         N/A         N/A         N/A         N/A  
Hypothetical 5% return
      N/A         N/A         N/A         1,000.00         1,019.20 +       5.92         1,000.00         1,020.46 +       4.66         N/A         N/A         N/A         N/A         N/A         N/A  
 
*   Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended September 30, 2010. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows:
 
                                                                 
Fund   Class A   Class B   Class C   Institutional   Administration   Service   Class IR(a)   Class R
 
Enhanced Income
    0.63 %     1.38 %     N/A       0.29 %     0.54 %     N/A       0.38 %     N/A  
Government Income
    0.92       1.67       1.67 %     0.58       N/A       1.08 %     0.67       1.17 %
Inflation Protected Securities
    0.67       N/A       1.42       0.33       N/A       N/A       0.42       0.92  
Short Duration Government
    0.83       1.38       1.39       0.49       N/A       0.99       0.58       N/A  
Ultra-Short Duration Government
    0.83       N/A       N/A       0.49       N/A       0.99       0.58       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.
(a)  Commenced operations on July 30, 2010 for Enhanced Income Fund.
 
 

88


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

Statement Regarding Basis for Approval of Management Agreements (Unaudited)
 
Background
The Goldman Sachs Enhanced Income, Goldman Sachs Government Income, Goldman Sachs Inflation Protected Securities, Goldman Sachs Short Duration Government and Goldman Sachs Ultra-Short Duration Government Funds (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held during the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreements (the “Management Agreements”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Funds.
The Management Agreements were most recently approved for continuation until June 30, 2011 by the Board of Trustees, including those Trustees who are not parties to the Management Agreements or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 16-17, 2010 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held three meetings over the course of the year, since last approving the Management Agreements. At those Committee meetings, regularly scheduled Board meetings and/or the Annual Meeting, the Board, or the Independent Trustees, as applicable, considered matters relating to the Management Agreements, including:
  (a)   the nature and quality of the advisory, administrative and other services provided to the Funds by the Investment Adviser and its affiliates, including information about:
  (i)   the structure, staff and capabilities of the Investment Adviser and its portfolio management teams;
  (ii)   the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services and operations), controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, market risk analysis and finance and strategy), sales and distribution support groups and others (e.g., information technology and training);
  (iii)   trends in headcount;
  (iv)   the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and
  (v)   the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management;
  (b)   information on the investment performance of the Funds, including comparisons to the performance of similar mutual funds, as provided by a third party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), and benchmark performance indices, and general investment outlooks in the markets in which the Funds invest;
  (c)   the terms of the Management Agreements and agreements with affiliated service providers entered into by the Trust on behalf of the Funds;
  (d)   expense information for the Funds, including:
  (i)   the relative management fee and expense levels of the Funds as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider;
  (ii)   each Fund’s expense trends over time; and
  (iii)   to the extent the Investment Adviser manages institutional accounts or collective investment vehicles having investment objectives and policies similar to those of the Funds, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser;
  (e)   with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Funds;
  (f)   the undertakings of the Investment Adviser to waive certain fees (with respect to the Enhanced Income and Inflation Protected Securities Funds) and reimburse certain expenses of the Funds that exceed specified levels; the undertaking of Goldman, Sachs & Co. (“Goldman Sachs”), the Funds’ affiliated distributor, to waive a portion of the distribution and service fees paid by the Short Duration Government Fund’s Class B Shares; and a summary of contractual fee reductions made by the Investment Adviser and its affiliates over the past several years with respect to the Funds;
  (g)   information relating to the profitability of the Management Agreements and the transfer agency and distribution and service arrangements of each of the Funds and the Trust as a whole to the Investment Adviser and its affiliates;
  (h)   potential economies of scale, if any, and the levels of breakpoints in the fees payable by the Funds under the Management Agreements;
  (i)   a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds, including the fees received by the Investment Adviser’s affiliates from the Funds for transfer agency, distribution and other services;
 
 
 
89 


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
 
  (j)   a summary of potential benefits derived by the Funds as a result of their relationship with the Investment Adviser;
  (k)   portfolio trading related issues;
  (l)   portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined, the alignment of the interests of the Funds and of the portfolio managers and related potential conflicts of interest; and the number and types of accounts managed by the portfolio managers;
  (m)   the nature and quality of the services provided to the Funds by their unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administration services provided under the Management Agreements; and
  (n)   the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Funds’ compliance program; and compliance reports.
The Trustees also received an overview of the Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity and the payment of Rule 12b-1 distribution and service fees by the Funds and the payment of non-Rule 12b-1 shareholder service and/or administration fees by those Funds offering Service or Administration Shares. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution and/or servicing of Fund shares.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual fund portfolios for which the Board of Trustees has responsibility. In evaluating the Management Agreements at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser, its affiliates, their services and the Funds. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
 
Nature, Extent and Quality of the Services Provided Under the Management Agreements
As part of their review, the Trustees considered the nature, extent and quality of the services provided by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services, and the other, non-advisory services, that are provided to the Funds by the Investment Adviser and its affiliates. The Independent Trustees concluded that the Investment Adviser had committed substantial financial and operational resources to the Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also observed that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser.
 
Investment Performance
The Trustees also considered the investment performance of the Funds and the Investment Adviser. In this regard, they compared the investment performance of each Fund to the performance of other similar SEC-registered funds and to rankings and ratings compiled by the Outside Data Provider. This information on each Fund’s investment performance relative to that of its peers was provided for the one-, three-, five- and ten-year periods ended December 31, 2009, to the extent that each Fund had been in existence for those periods. The Trustees also reviewed each Fund’s investment performance over time on a year-by-year basis relative to its performance benchmark. In addition, they considered the investment performance trends of the Funds over time, and reviewed the investment performance of each Fund in light of its investment objective and policies, market conditions and credit and duration parameters. The Trustees considered whether each Fund had operated within its investment policies and had complied with its investment limitations.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s Chief Investment Officer and portfolio management personnel, in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management.
The Trustees believed that most of the Funds were providing investment performance within a competitive range for long-term investors and noted that each of the Funds, with the exception of Inflation Protected Securities Fund, outperformed its respective benchmark for the one-year period ended December 31, 2009. They also noted that Government Income, Inflation Protected Securities and Short Duration Government Funds ranked in the top half of their respective peer groups for the one-year period ended December 31, 2009. The Trustees recognized that the recent performance of the Funds was generally strong. The Trustees concluded that the Investment Adviser’s continued management likely would benefit each Fund and its shareholders.
 
 
 
 90


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
 
Costs of Services Provided and Competitive Information
The Trustees considered the contractual fee rates payable by each Fund under the Management Agreements. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of the Funds’ management fees and breakpoints to those of relevant peer groups and category universes; an expense analysis which compared each Fund’s expenses to a peer group and a category universe; and a five-year (two-year, in the case of Inflation Protected Securities Fund) history comparing each Fund’s expenses to the peer and category averages. The analyses also compared each Fund’s transfer agency fees, custody and accounting fees, distribution fees, other expenses and fee waivers/reimbursements to those of other funds in the peer group and the peer group median. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.
In addition, the Trustees considered the Investment Adviser’s undertakings to limit the Funds’ “other expenses” ratios (excluding certain expenses) to certain specified levels and to waive a portion of the contractual management fees paid by the Enhanced Income and Inflation Protected Securities Funds, as well as Goldman Sachs’ undertaking to waive a portion of the distribution and service fees paid by the Short Duration Government Fund’s Class B Shares. They also considered, to the extent that the Investment Adviser manages institutional accounts or collective investment vehicles having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to institutional accounts, which generally operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, were less time-intensive and paid lower fees. By contrast, the Trustees noted that the Investment Adviser provides substantial administrative services to the Funds under the terms of the Management Agreements.
In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if they believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
 
Profitability
The Trustees reviewed the Investment Adviser’s revenues and pre-tax profit margins with respect to the Trust and each of the Funds. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service) and the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also reviewed the report of the internal audit group within the Goldman Sachs organization, which included an assessment of the reasonableness and consistency of the Investment Adviser’s expense allocation methodology and an evaluation of the accuracy of the Investment Adviser’s profitability analysis calculations. Profitability data for the Trust and each Fund were provided for 2009 and 2008, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability. The Trustees considered the Investment Adviser’s revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.
 
Economies of Scale
The Trustees considered the information that had been provided regarding the Investment Adviser’s profitability and the rationale for the Funds’ breakpoint structure. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreements for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:
 
                                         
                Inflation
    Short
    Ultra-Short
 
    Enhanced
    Government
    Protected
    Duration
    Duration
 
Average Daily
  Income
    Income
    Securities
    Government
    Government
 
Net Assets   Fund     Fund     Fund     Fund     Fund  
   
First $1 billion
    0.25 %     0.54 %     0.33 %     0.50 %     0.40 %
Next $1 billion
    0.23       0.49       0.30       0.45       0.36  
Next $3 billion
    0.22       0.47       0.28       0.43       0.34  
Next $3 billion
    0.22       0.46       0.27       0.42       0.33  
Over $8 billion
    0.22       0.45       0.26       0.41       0.32  
 
The Trustees noted that the breakpoints at the $5 and $8 billion asset levels had been proposed by the Investment Adviser and approved by the Trustees in 2008 to further share potential economies of scale, if any, with the Funds and their
 
 
 
91 


 

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
 
 

Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
 
shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer group; and the Investment Adviser’s undertakings to limit management fees (with respect to the Enhanced Income and Inflation Protected Securities Funds) and other expenses (with respect to all of the Funds) to certain amounts. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability would be passed along to shareholders at the specified asset levels. They also noted that the Investment Adviser was passing along savings to shareholders of the Short Duration Government Fund, which had asset levels above the first breakpoint.
 
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationship with the Funds as stated above, including: (a) transfer agency fees received by Goldman Sachs; (b) futures commissions earned by Goldman Sachs for executing futures transactions on behalf of the Funds; (c) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Adviser; (d) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (e) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (f) Goldman Sachs’ retention of certain fees as Fund Distributor; (g) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds; and (h) the Investment Adviser’s ability to leverage relationships with the Funds’ third party service providers to attract more firmwide business. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of the fall-out benefits.
 
Other Benefits to the Funds and Their Shareholders
The Trustees also noted that the Funds receive certain potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Adviser; (b) improved servicing and pricing from vendors because of the volume of business generated by the Investment Adviser and its affiliates; (c) improved servicing from broker-dealers because of the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties as a result of the size and reputation of the Goldman Sachs organization; (e) the advantages gained from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Funds because of the reputation of the Goldman Sachs organization; (g) the Funds’ access, through the Investment Adviser, to certain firmwide resources (e.g., proprietary databases); and (h) the Funds’ access to certain affiliated distribution channels. The Trustees noted the competitive nature of the mutual fund marketplace, and noted further that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
 
Conclusion
In connection with their consideration of the Management Agreements, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees concluded that the Management Agreements should be approved and continued with respect to each applicable Fund until June 30, 2011.
 
 
 
 92


 

FUNDS PROFILE
 
 

Goldman Sachs Funds
 
(GRAPHIC)
 
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
 
Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With portfolio management teams located around the world — and $700.8 billion in assets under management as of September 30, 2010 — our investment professionals bring firsthand knowledge of local markets to every investment decision. Goldman Sachs Asset Management ranks in the top 10 asset management firms worldwide, based on assets under management.1
 
OVERVIEW OF GOLDMAN SACHS FUNDS
 
(FUND RANGE RISK CHART)
 
         
Money Market2
Financial Square FundsSM
n Financial Square Tax-Exempt Funds
n Financial Square Federal Fund
n Financial Square Government Fund
n Financial Square Money Market Fund
n Financial Square Prime Obligations Fund
n Financial Square Treasury Instruments Fund
n Financial Square Treasury Obligations Fund

Fixed Income
Short Duration and Government
n Enhanced Income Fund
n Ultra-Short Duration Govt. Fund
n Short Duration Government Fund
n Government Income Fund
n Inflation Protected Securities Fund
Multi-Sector
n Core Fixed Income Fund
n Core Plus Fixed Income Fund
n Global Income Fund
n Strategic Income Fund
Municipal and Tax-Free
n High Yield Municipal Fund
n Municipal Income Fund
n Short Duration Tax-Free Fund
Single Sector
n Investment Grade Credit Fund
n U.S. Mortgages Fund
n High Yield Fund
 
n Emerging Markets Debt Fund
n Local Emerging Markets Debt Fund
Corporate Credit
n Credit Strategies Fund

Fundamental Equity
n Growth and Income Fund
n Small Cap Value Fund
n Mid Cap Value Fund
n Large Cap Value Fund
n Capital Growth Fund
n Strategic Growth Fund
n Small/Mid Cap Growth Fund
n All Cap Growth Fund
n Concentrated Growth Fund
n Technology Tollkeeper FundSM 4
n Growth Opportunities Fund
n U.S. Equity Fund

Structured Equity
n Balanced Fund
n Structured Small Cap Equity Fund
n Structured U.S. Equity Fund
n Structured Small Cap Growth Fund
n Structured Large Cap Growth Fund
n Structured Large Cap Value Fund
n Structured Small Cap Value Fund
n Structured Tax-Managed Equity Fund
n Structured International Tax-Managed Equity Fund
n U.S. Equity Dividend and Premium Fund
 
n International Equity Dividend and Premium Fund
n Structured International Small Cap Fund
n Structured International Equity Fund
n Structured Emerging Markets Equity Fund

Fundamental Equity International
n Strategic International Equity Fund
n Concentrated International Equity Fund
n International Small Cap Fund
n Asia Equity Fund
n Emerging Markets Equity Fund
n BRIC Fund (Brazil, Russia, India, China)

Select Satellite3
n Real Estate Securities Fund
n International Real Estate Securities Fund
n Commodity Strategy Fund
n Dynamic Allocation Fund
n Absolute Return Tracker Fund

Total Portfolio Solutions3
n Balanced Strategy Portfolio
n Growth and Income Strategy Portfolio
n Growth Strategy Portfolio
n Equity Growth Strategy Portfolio
n Income Strategies Portfolio
n Satellite Strategies Portfolio
n Retirement Strategies Portfolios
n Enhanced Dividend Global Equity Portfolio
n Tax Advantaged Global Equity Portfolio
 
 
Firmwide assets under management includes assets managed by GSAM and its Investment Advisory Affiliates.
 
1 Ranking for Goldman Sachs Group, Inc., includes Goldman Sachs Asset Management, Private Wealth Management and Merchant Banking 2009 year-end assets. Ranked 9th in total assets worldwide. Pensions&Investments, June 2010.
 
2 An investment in a money market fund is neither insured nor guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. Although the Funds seek to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Funds.
 
3 Individual Funds within the Total Portfolio Solutions and Select Satellite categories will have various placement on the risk/return spectrum and may have greater or lesser risk than that indicated by the placement of the general Total Portfolio Solutions or Select Satellite category.
 
4 Effective July 31, 2010, the Goldman Sachs Tollkeeper Fund was renamed the Goldman Sachs Technology Tollkeeper Fund.
 
The Goldman Sachs Technology Tollkeeper FundSM and Financial Square FundsSM are registered service marks of Goldman, Sachs & Co.


 

         
TRUSTEES
Ashok N. Bakhru, Chairman
Donald C. Burke**
John P. Coblentz, Jr.
Diana M. Daniels
Patrick T. Harker*
  OFFICERS
James A. McNamara, President
George F. Travers, Principal Financial Officer
Peter V. Bonanno, Secretary
Scott M. McHugh, Treasurer
   
Joseph P. LoRusso**
James A. McNamara
Jessica Palmer
Alan A. Shuch
Richard P. Strubel
*Resigned effective September 30, 2010
**Effective August 19, 2010
       
         
         
GOLDMAN, SACHS & CO.
Distributor and Transfer Agent
  GOLDMAN SACHS ASSET MANAGEMENT, L.P.
Investment Adviser
   
 
 
 
 
 
Visit our Website at www.goldmansachsfunds.com to obtain the most recent month-end returns.
 
 
 
Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282
 
The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
 
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (I) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (II) on the Securities and Exchange Commission (”SEC”) Web site at http://www.sec.gov.
 
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q will become available on the SEC’s website at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. When available, the Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. When available, Form N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
 
Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Funds’ entire investment portfolio, which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.
 
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling (retail — 1-800-526-7384) (institutional — 1-800-621-2550).
 
Copyright © 2010 Goldman, Sachs & Co. All rights reserved. 44095.MF.TMPL SDFISAR10/71.0K/10-10


 

     
ITEM 2.   CODE OF ETHICS.
The information required by this Item is only required in an annual report on this Form N-CSR.
     
ITEM 3.   AUDIT COMMITTEE FINANCIAL EXPERT.
The information required by this Item is only required in an annual report on this Form N-CSR.
     
ITEM 4.   PRINCIPAL ACCOUNTANT FEES AND SERVICES.
The information required by this Item is only required in an annual report on this Form N-CSR.


 

     
ITEM 5.   AUDIT COMMITTEE OF LISTED REGISTRANTS.
     
    Not applicable.
     
ITEM 6.   INVESTMENTS.
     
  (a)  Schedules of Investments are included as part of the Semi-Annual Report to Stockholders filed under Item 1 of this Form N-CSR.
     
  (b)  Not applicable.
     
ITEM 7.   DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
     
    Not applicable.
     
ITEM 8.   PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
     
    Not applicable.
     
ITEM 9.   PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
     
    Not applicable.


 

     
ITEM 10.   SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
 
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.
     
     
ITEM 11.   CONTROLS AND PROCEDURES.
     

  (a)   The registrant’s principal executive and principal financial officers, or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended.
     
  (b)   There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
     

     
ITEM 12.   EXHIBITS.

  (a)(1)     The information required by this Item is only required in an annual report on this Form N-CSR.
     
  (a)(2)   Exhibit 99.CERT Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are filed herewith.
     
  (a)(3)     Not applicable.
     
  (b)   Exhibit 99.906CERT Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are filed herewith.


 

SIGNATURES

      Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, 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    
        Principal Executive Officer    
        Goldman Sachs Trust    
             
Date:       December 1, 2010    

      Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, 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    
        Principal Executive Officer    
        Goldman Sachs Trust    
             
Date:       December 1, 2010    
             
By:       /s/ George F. Travers    
       
   
        George F. Travers    
        Principal Financial Officer    
        Goldman Sachs Trust    
             
Date:       December 1, 2010    

  EX-99.CERT 2 y87260exv99wcert.htm EX-99.CERT exv99wcert

CERTIFICATIONS
(Section 302)

     I, James A. McNamara, certify that:

     1. I have reviewed this report on Form N-CSR of the Goldman Sachs Trust (the “Registrant”);

     2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

     3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report;

     4. The Registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have:

     (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

     (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

     (c) Evaluated the effectiveness of the Registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

     (d) Disclosed in this report any change in the Registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting; and

     5. The Registrant’s other certifying officer(s) and I have disclosed to the Registrant’s auditors and the audit committee of the Registrant’s board of directors (or persons performing the equivalent functions):

     (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize, and report financial information; and

     (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant’s internal control over financial reporting.

Date: December 1, 2010

     
    /s/ James A. McNamara
   
    James A. McNamara
Principal Executive Officer

 


 

CERTIFICATIONS
(Section 302)

     I, George F. Travers, certify that:

     1. I have reviewed this report on Form N-CSR of the Goldman Sachs Trust (the “Registrant”);

     2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

     3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report;

     4. The Registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have:

     (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

     (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

     (c) Evaluated the effectiveness of the Registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

     (d) Disclosed in this report any change in the Registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting; and

     5. The Registrant’s other certifying officer(s) and I have disclosed to the Registrant’s auditors and the audit committee of the Registrant’s board of directors (or persons performing the equivalent functions):

     (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize, and report financial information; and

     (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant’s internal control over financial reporting.

Date: December 1, 2010

     
    /s/ George F. Travers
   
    George F. Travers
Principal Financial Officer

  EX-99.906CERT 3 y87260exv99w906cert.htm EX-99.906CERT exv99w906cert

EX-99.906CERT

Certification Under Section 906
of the Sarbanes-Oxley Act of 2002

James A. McNamara, Principal Executive Officer, and George F. Travers, Principal Financial Officer of the Goldman Sachs Trust (the “Registrant”), each certify to the best of his knowledge that:

1.   The Registrant’s periodic report on Form N-CSR for the period ended September 30, 2010 (the “Form N-CSR”) fully complies with the requirements of section 15(d) of the Securities Exchange Act of 1934, as amended; and

2.   The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

         
Principal Executive Officer   Principal Financial Officer    
         
Goldman Sachs Trust   Goldman Sachs Trust    
         
/s/ James A. McNamara   /s/ George F. Travers    

 
   
James A. McNamara   George F. Travers    
         
Date: December 1, 2010   Date: December 1, 2010    

This certification is being furnished to the Securities and Exchange Commission pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as amended, and 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Securities and Exchange Commission.

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