N-Q 1 e94271nvq.htm FORM N-Q nvq

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

     
Investment Company Act file number
  
811-05349
   

Goldman Sachs Trust

(Exact name of registrant as specified in charter)

71 South Wacker Drive, Chicago, Illinois 60606

(Address of principal executive offices)                                                             (Zip code)
     
Peter V. Bonanno, Esq.
Goldman, Sachs & Co.
200 West Street
New York, New York 10282		   Copies to:
Geoffrey R.T. Kenyon, Esq.
Dechert LLP
200 Clarendon Street
27th Floor
Boston, MA 02116-5021
(Name and address of agent for service)
     
Registrant’s telephone number, including area code:
  
(312) 655-4400
   
     
Date of fiscal year end:
  
     December 31
   
     
Date of reporting period:
  
March 31, 2012
   

Item 1. Schedule of Investments.

 

 

GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Schedule of Investments
March 31, 2012 (Unaudited)

                 
Shares     Description   Value  
Underlying Funds (Institutional Shares)(a) — 100.1%
Equity — 38.9%
  3,814,330    
Goldman Sachs Structured Large Cap Growth Fund
   $ 55,956,214  
  5,543,973    
Goldman Sachs Structured International Equity Fund
     51,337,187  
  3,640,643    
Goldman Sachs Structured Large Cap Value Fund
     41,466,923  
  2,024,997    
Goldman Sachs Strategic Growth Fund
     24,097,460  
  1,440,561    
Goldman Sachs Large Cap Value Fund
     17,776,524  
  1,699,239    
Goldman Sachs Structured International Small Cap Fund
     14,086,688  
  893,908    
Goldman Sachs Structured Small Cap Equity Fund
     12,371,685  
  659,675    
Goldman Sachs Real Estate Securities Fund
     9,901,717  
  1,518,451    
Goldman Sachs International Real Estate Securities Fund
     8,564,064  
  731,136    
Goldman Sachs Structured Emerging Markets Equity Fund
     6,273,147  
     
       
 
     241,831,609  
 
Fixed Income — 61.2%
  10,201,851    
Goldman Sachs Global Income Fund
     134,154,339  
  12,503,267    
Goldman Sachs Short Duration Government Fund
     128,408,551  
  3,642,069    
Goldman Sachs Core Fixed Income Fund
     37,731,840  
  4,743,819    
Goldman Sachs High Yield Fund
     33,870,864  
  3,409,840    
Goldman Sachs Commodity Strategy Fund
     21,004,617  
  991,037    
Goldman Sachs Emerging Markets Debt Fund
     12,843,839  
  1,298,889    
Goldman Sachs Local Emerging Markets Debt Fund
     12,183,579  
     
       
 
     380,197,629  
 
TOTAL UNDERLYING FUNDS
(INSTITUTIONAL SHARES) — 100.1%		   $ 622,029,238  
 
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.1)%     (892,984 )
 
NET ASSETS — 100.0%   $ 621,136,254  
 
The percentage shown for each investment category reflects the value of the respective investment in that category as a percentage of net assets.
 
(a) Represents Affiliated Funds.
 
For information on the mutual funds and underlying mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.goldmansachsfunds.com.
      


 

GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Schedule of Investments (continued)
March 31, 2012 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
TAX INFORMATION — At March 31, 2012, the Portfolio’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
         
 
Tax Cost
   $ 611,873,467  
 
Gross unrealized gain
     47,909,047  
Gross unrealized loss
     (37,753,276 )
 
Net unrealized security gain
   $ 10,155,771  
 
Additional information regarding the Portfolio is available in the Portfolio’s most recent Annual and Semi-Annual Reports to Shareholders. This information is available on the Securities and Exchange Commission’s website (www.sec.gov).

 

GOLDMAN SACHS EQUITY GROWTH STRATEGY PORTFOLIO
Schedule of Investments
March 31, 2012 (Unaudited)

                 
Shares     Description   Value  
Underlying Funds (Institutional Shares)(a) — 100.3%
Equity — 93.7%
  11,976,889    
Goldman Sachs Structured International Equity Fund
   $ 110,905,991  
  5,656,240    
Goldman Sachs Structured Large Cap Growth Fund
     82,977,037  
  6,260,579    
Goldman Sachs Structured Large Cap Value Fund
     71,307,995  
  3,001,444    
Goldman Sachs Strategic Growth Fund
     35,717,180  
  2,481,334    
Goldman Sachs Large Cap Value Fund
     30,619,659  
  1,618,919    
Goldman Sachs Structured International Small Cap Fund
     13,420,835  
  1,465,631    
Goldman Sachs Structured Emerging Markets Equity Fund
     12,575,110  
  748,799    
Goldman Sachs Real Estate Securities Fund
     11,239,466  
  762,537    
Goldman Sachs Structured Small Cap Equity Fund
     10,553,507  
  1,723,841    
Goldman Sachs International Real Estate Securities Fund
     9,722,463  
     
       
 
     389,039,243  
 
Fixed Income — 6.6%
  4,435,416    
Goldman Sachs Commodity Strategy Fund
     27,322,163  
 
TOTAL UNDERLYING FUNDS
(INSTITUTIONAL SHARES) — 100.3%		   $ 416,361,406  
 
                             
Principal   Interest   Maturity    
Amount   Rate   Date   Value
Short-term Investment — 0.1%(b)
Repurchase Agreement — 0.1%
Joint Repurchase Agreement Account II
$     200,000       0.147 %   04/02/12   $ 200,000  
 
TOTAL INVESTMENTS — 100.4% $ 416,561,406  
 
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.4)%   (1,465,410 )
 
NET ASSETS — 100.0% $ 415,095,996  
 
The percentage shown for each investment category reflects the value of the respective investment in that category as a percentage of net assets.
 
(a) Represents Affiliated Funds.
 
(b) Joint repurchase agreement was entered into on March 30, 2012. Additional information appears in the Notes to the Schedule of Investments section.
 
For information on the mutual funds and underlying mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.goldmansachsfunds.com.


 

GOLDMAN SACHS EQUITY GROWTH STRATEGY PORTFOLIO
Schedule of Investments (continued)
March 31, 2012 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
TAX INFORMATION — At March 31, 2012, the Portfolio’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
         
 
Tax Cost
   $ 433,777,328  
 
Gross unrealized gain
     65,430,028  
Gross unrealized loss
     (82,645,950 )
 
Net unrealized security loss
   $ (17,215,922 )
 
Additional information regarding the Portfolio is available in the Portfolio’s most recent Annual and Semi-Annual Reports to Shareholders. This information is available on the Securities and Exchange Commission’s website (www.sec.gov).

 

GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Schedule of Investments
March 31, 2012 (Unaudited)

                 
Shares     Description   Value  
Underlying Funds (Institutional Shares)(a) — 100.2%
Equity — 56.9%
  19,816,851    
Goldman Sachs Structured International Equity Fund
   $ 183,504,038  
  10,455,996    
Goldman Sachs Structured Large Cap Growth Fund
     153,389,464  
  10,824,529    
Goldman Sachs Structured Large Cap Value Fund
     123,291,382  
  5,546,497    
Goldman Sachs Strategic Growth Fund
     66,003,316  
  4,287,993    
Goldman Sachs Large Cap Value Fund
     52,913,836  
  3,977,322    
Goldman Sachs Structured International Small Cap Fund
     32,971,999  
  1,960,238    
Goldman Sachs Structured Small Cap Equity Fund
     27,129,690  
  1,289,506    
Goldman Sachs Real Estate Securities Fund
     19,355,487  
  2,968,347    
Goldman Sachs International Real Estate Securities Fund
     16,741,475  
  1,637,769    
Goldman Sachs Structured Emerging Markets Equity Fund
     14,052,061  
     
       
 
     689,352,748  
 
Fixed Income — 43.3%
  19,921,782    
Goldman Sachs Global Income Fund
     261,971,439  
  8,685,893    
Goldman Sachs Core Fixed Income Fund
     89,985,855  
  10,200,065    
Goldman Sachs Commodity Strategy Fund
     62,832,401  
  4,335,026    
Goldman Sachs High Yield Fund
     30,952,085  
  2,926,754    
Goldman Sachs Short Duration Government Fund
     30,057,761  
  1,937,453    
Goldman Sachs Emerging Markets Debt Fund
     25,109,393  
  2,539,354    
Goldman Sachs Local Emerging Markets Debt Fund
     23,819,143  
     
       
 
     524,728,077  
 
TOTAL UNDERLYING FUNDS
(INSTITUTIONAL SHARES) — 100.2%		   $ 1,214,080,825  
 
                             
Principal   Interest   Maturity    
Amount   Rate   Date   Value
Short-term Investment — 0.1%(b)
Repurchase Agreement — 0.1%
Joint Repurchase Agreement Account II
$     600,000       0.147 %   04/02/12   $ 600,000  
 
TOTAL INVESTMENTS — 100.3% $ 1,214,680,825  
 
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.3)%   (3,381,621 )
 
NET ASSETS — 100.0% $ 1,211,299,204  
 
 
 
The percentage shown for each investment category reflects the value of the respective investment in that category as a percentage of net assets.
 
(a) Represents Affiliated Funds.
 
(b) Joint repurchase agreement was entered into on March 30, 2012. Additional information appears in the Notes to the Schedule of Investments section.
 
For information on the mutual funds and underlying mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.goldmansachsfunds.com.


 

GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Schedule of Investments (continued)
March 31, 2012 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
TAX INFORMATION — At March 31, 2012, the Portfolio’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
         
 
Tax Cost
   $ 1,193,801,288  
 
Gross unrealized gain
     136,288,390  
Gross unrealized loss
     (115,408,853 )
 
Net unrealized security gain
   $ 20,879,537  
 
Additional information regarding the Portfolio is available in the Portfolio’s most recent Annual and Semi-Annual Reports to Shareholders. This information is available on the Securities and Exchange Commission’s website (www.sec.gov).

 

GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Schedule of Investments
March 31, 2012 (Unaudited)

                 
Shares     Description   Value  
Underlying Funds (Institutional Shares)(a) — 100.3%
Equity — 76.3%
  24,998,754    
Goldman Sachs Structured International Equity Fund
   $ 231,488,459  
  11,233,377    
Goldman Sachs Structured Large Cap Growth Fund
     164,793,638  
  12,121,086    
Goldman Sachs Structured Large Cap Value Fund
     138,059,175  
  5,956,476    
Goldman Sachs Strategic Growth Fund
     70,882,070  
  4,804,398    
Goldman Sachs Large Cap Value Fund
     59,286,267  
  3,701,039    
Goldman Sachs Structured International Small Cap Fund
     30,681,614  
  1,879,575    
Goldman Sachs Structured Small Cap Equity Fund
     26,013,318  
  2,472,507    
Goldman Sachs Structured Emerging Markets Equity Fund
     21,214,109  
  1,087,973    
Goldman Sachs Real Estate Securities Fund
     16,330,469  
  2,506,631    
Goldman Sachs International Real Estate Securities Fund
     14,137,401  
     
       
 
     772,886,520  
 
Fixed Income — 24.0%
  8,538,921    
Goldman Sachs Global Income Fund
     112,286,815  
  10,264,485    
Goldman Sachs Commodity Strategy Fund
     63,229,226  
  3,663,487    
Goldman Sachs High Yield Fund
     26,157,298  
  1,632,182    
Goldman Sachs Emerging Markets Debt Fund
     21,153,082  
  2,140,202    
Goldman Sachs Local Emerging Markets Debt Fund
     20,075,099  
     
       
 
     242,901,520  
 
TOTAL UNDERLYING FUNDS
(INSTITUTIONAL SHARES) — 100.3% 		$ 1,015,788,040  
 
                             
Principal   Interest   Maturity    
Amount   Rate   Date   Value
Short-term Investment(b) — 0.1%
Repurchase Agreement — 0.1%
Joint Repurchase Agreement Account II
$     800,000       0.147 %   04/02/12   $ 800,000  
 
TOTAL INVESTMENTS — 100.4% $ 1,016,588,040  
 
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.4)%   (3,578,211 )
 
NET ASSETS — 100.0% $ 1,013,009,829  
 
 
 
The percentage shown for each investment category reflects the value of the respective investment in that category as a percentage of net assets.
 
(a) Represents Affiliated Funds.
 
(b) Joint repurchase agreement was entered into on March 30, 2012. Additional information appears in the Notes to the Schedule of Investments section.
 
For information on the mutual funds and underlying mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.goldmansachsfunds.com.


 

GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Schedule of Investments (continued)
March 31, 2012 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
TAX INFORMATION — At March 31, 2012, the Portfolio’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
         
 
Tax Cost
   $ 1,020,777,186  
 
Gross unrealized gain
     134,611,718  
Gross unrealized loss
     (138,800,864 )
 
Net unrealized security loss
   $ (4,189,146 )
 
Additional information regarding the Portfolio is available in the Portfolio’s most recent Annual and Semi-Annual Reports to Shareholders. This information is available on the Securities and Exchange Commission’s website (www.sec.gov).

 

GOLDMAN SACHS INCOME STRATEGIES PORTFOLIO
Schedule of Investments
March 31, 2012 (Unaudited)

                 
Shares     Description   Value  
Underlying Funds (Institutional Shares)(a) — 100.1%
Equity — 42.0%
  850,071    
Goldman Sachs U.S. Equity Dividend and Premium Fund
   $ 8,636,721  
  609,535    
Goldman Sachs International Equity Dividend and Premium Fund
     4,352,078  
  508,722    
Goldman Sachs International Real Estate Securities Fund
     2,869,195  
  86,243    
Goldman Sachs Real Estate Securities Fund
     1,294,513  
     
       
 
     17,152,507  
 
Fixed Income — 58.1%
  941,354    
Goldman Sachs High Yield Fund
     6,721,265  
  432,999    
Goldman Sachs Global Income Fund
     5,693,940  
  344,507    
Goldman Sachs Emerging Markets Debt Fund
     4,464,806  
  444,514    
Goldman Sachs Local Emerging Markets Debt Fund
     4,169,541  
  190,312    
Goldman Sachs Ultra-Short Duration Government Fund
     1,669,041  
  105,710    
Goldman Sachs Investment Grade Credit Fund
     1,007,416  
     
       
 
     23,726,009  
 
TOTAL UNDERLYING FUNDS
(INSTITUTIONAL SHARES) — 100.1%		   $ 40,878,516  
 
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.1)%     (34,527 )
 
NET ASSETS — 100.0%   $ 40,843,989  
 
The percentage shown for each investment category reflects the value of the respective investment in that category as a percentage of net assets.
 
(a) Represents Affiliated Funds.
 
For information on the mutual funds and underlying mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.goldmansachsfunds.com.


 

GOLDMAN SACHS INCOME STRATEGIES PORTFOLIO
Schedule of Investments (continued)
March 31, 2012 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
TAX INFORMATION — At March 31, 2012, the Portfolio’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
         
 
Tax Cost
   $ 41,047,189  
 
Gross unrealized gain
     2,319,235  
Gross unrealized loss
     (2,487,908 )
 
Net unrealized security loss
   $ (168,673 )
 
Additional information regarding the Portfolio is available in the Portfolio’s most recent Annual and Semi-Annual Reports to Shareholders. This information is available on the Securities and Exchange Commission’s website (www.sec.gov).

 

GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Schedule of Investments
March 31, 2012 (Unaudited)

                 
Shares     Description   Value  
Underlying Funds (Institutional Shares)(a) — 100.0%
Equity — 29.3%
  5,570,331    
Goldman Sachs Real Estate Securities Fund
   $ 83,610,673  
  13,560,609    
Goldman Sachs International Real Estate Securities Fund
     76,481,837  
  7,556,475    
Goldman Sachs Structured International Small Cap Fund
     62,643,176  
  5,467,903    
Goldman Sachs Structured Emerging Markets Equity Fund
     46,914,610  
  2,321,032    
Goldman Sachs Emerging Markets Equity Fund
     37,507,883  
  1,753,800    
Goldman Sachs International Small Cap Fund
     26,955,907  
     
       
 
     334,114,086  
 
Fixed Income — 70.7%
  28,597,938    
Goldman Sachs High Yield Fund
     204,189,279  
  14,134,882    
Goldman Sachs Emerging Markets Debt Fund
     183,188,068  
  16,901,826    
Goldman Sachs Local Emerging Markets Debt Fund
     158,539,132  
  13,457,757    
Goldman Sachs High Yield Floating Rate Fund
     133,366,369  
  20,346,933    
Goldman Sachs Commodity Strategy Fund
     125,337,107  
     
       
 
     804,619,955  
 
TOTAL UNDERLYING FUNDS
(INSTITUTIONAL SHARES) — 100.0%		   $ 1,138,734,041  
 
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0%     173,568  
 
NET ASSETS — 100.0%   $ 1,138,907,609  
 
The percentage shown for each investment category reflects the value of the respective investment in that category as a percentage of net assets.
 
(a) Represents Affiliated Funds.
 
For information on the mutual funds and underlying mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.goldmansachsfunds.com.


 

GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Schedule of Investments (continued)
March 31, 2012 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
TAX INFORMATION — At March 31, 2012, the Portfolio’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
         
 
Tax Cost
   $ 1,145,219,214  
 
Gross unrealized gain
     52,287,197  
Gross unrealized loss
     (58,772,370 )
 
Net unrealized security loss
   $ (6,485,173 )
 
Additional information regarding the Portfolio is available in the Portfolio’s most recent Annual and Semi-Annual Reports to Shareholders. This information is available on the Securities and Exchange Commission’s website (www.sec.gov).

 

GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Schedule of Investments (continued)
March 31, 2012 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS
Investment Valuation — The investment valuation policy of the Portfolios, as well as the Underlying Funds, is to value investments at fair value. Each Portfolio invests in a combination of domestic and international equity, fixed income and other diversifier underlying funds (the “Underlying Funds”) for which Goldman Sachs Asset Management, L.P. (“GSAM”) and Goldman Sachs Asset Management International (“GSAMI”), affiliates of Goldman Sachs, act as investment advisers. Investments in the Underlying Funds are valued at the net asset value per share (“NAV”) of the Institutional Share class of each Underlying Fund on the day of valuation. Because each Portfolio invests primarily in other mutual funds, that fluctuate in value, the Portfolios’ shares will correspondingly fluctuate in value. The Underlying Funds may invest in debt securities which, if market quotations are readily available, are valued on the basis of quotations furnished by an independent pricing service approved by the trustees or provided by securities dealers. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. If accurate quotations are not readily available, or if GSAM or GSAMI believes that such quotations do not accurately reflect fair value, the fair value of the Underlying Funds’ investments may be determined under valuation procedures approved by the trustees. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at amortized cost, which approximates fair value.
     The Underlying Funds may invest in equity securities and investment companies. 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. Investments in equity securities and investment companies traded on a foreign securities exchange for which an independent fair value service cannot provide a quote are valued daily at their last sale price or official closing price on the principal exchange on which they are traded. If no sale occurs, such securities and investment companies are valued at the last bid price for long positions and at the last ask price for short positions. Unlisted equity securities in the Underlying Funds for which market quotations are available are 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 NAV of the investment company on the valuation date.
     The Underlying Funds may also invest in equity securities traded on a foreign securities exchange that are valued daily at fair value determined by an independent fair value service (if available) under valuation procedures approved by the trustees consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchanges. While the independent fair value service may not take into account market or security specific information, under the valuation procedures, these securities might also be fair valued by GSAM or GSAMI by taking into consideration market or security specific information as discussed below.
     GSAM or GSAMI, 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 an Underlying Fund’s NAV. Significant events that could affect a large number of securities in a particular market may include, but are not limited to: situations relating to one or more single issuers in a market sector; significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions or market closings; equipment failures; natural or man-made disasters or acts of God; armed conflicts; government actions or other developments; as well as the same or similar events which may affect specific issuers or the securities markets even though not tied directly to the securities markets. Other significant events that could relate to a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; corporate announcements, including those relating to earnings, products and regulatory news; significant litigation; and trading halts or suspensions.
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). Accounting principles generally accepted in the United States of America establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1

 

 

GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Schedule of Investments (continued)
March 31, 2012 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described below:
    Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
 
    Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
 
    Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
     The levels used for classifying investments are not necessarily an indication of the risk associated with investing in those investments.
     The following is a summary of the Portfolios’ investments categorized in the fair value hierarchy as of March 31, 2012:
                                                                         
    BALANCED STRATEGY   EQUITY GROWTH STRATEGY   GROWTH AND INCOME STRATEGY
Investment Type   Level 1   Level 2   Level 3   Level 1   Level 2   Level 3   Level 1   Level 2   Level 3
 
Assets
                                                                        
Equity Underlying Funds
   $ 241,831,609     $ —     $ —     $ 389,039,243     $ —     $ —     $ 689,352,748     $ —     $ —  
Fixed Income Underlying Funds
     380,197,629       —       —       27,322,163       —       —       524,728,077       —       —  
Short-term Investments
     —       —       —       —       200,000       —       —       600,000       —  
 
Total
   $ 622,029,238     $ —     $ —     $ 416,361,406     $ 200,000     $ —     $ 1,214,080,825     $ 600,000     $ —  
 
                                                                         
    GROWTH STRATEGY   INCOME STRATEGIES   SATELLITE STRATEGIES
Investment Type   Level 1   Level 2   Level 3   Level 1   Level 2   Level 3   Level 1   Level 2   Level 3
 
Assets
                                                                        
Equity Underlying Funds
   $ 772,886,520     $ —     $ —     $ 17,152,507     $ —     $ —     $ 334,114,086     $ —     $ —  
Fixed Income Underlying Funds
     242,901,520       —       —       23,726,009       —       —       804,619,955       —       —  
Short-term Investments
     —       800,000       —       —       —       —                          
 
Total
   $ 1,015,788,040     $ 800,000     $ —     $ 40,878,516     $ —     $ —     $ 1,138,734,041     $ —     $ —  
 
Repurchase Agreements — The Portfolios 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 Portfolios, 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 Portfolios may be delayed or limited and there may be a decline in the value of the collateral during the period while the Portfolios seek to assert their rights. The underlying securities for all repurchase agreements are held at the Portfolios’ custodian or designated sub-custodians under tri-party repurchase agreements.
     Pursuant to exemptive relief granted by the Securities and Exchange Commission and terms and conditions contained therein, the Portfolios, 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 Portfolios maintain pro rata credit exposure to the underlying repurchase agreements’ counterparties. With the exception of certain transaction fees, the Portfolios are not subject to any expenses in relation to these investments.

 

 

GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Schedule of Investments (continued)
March 31, 2012 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
JOINT REPURCHASE AGREEMENT ACCOUNT II — At March 31, 2012, certain Funds had undivided interests in the Joint Repurchase Agreement Account II, with a maturity date of April 2, 2012, as follows:
                         
                    Collateral
    Principal   Maturity   Allocation
Fund   Amount   Value   Value
 
Equity Growth Strategy
   $ 200,000     $ 200,002     $ 204,385  
 
Growth and Income Strategy
     600,000       600,007       613,154  
 
Growth Strategy
     800,000       800,010       817,538  
 
REPURCHASE AGREEMENTS — At March 31, 2012, the Principal Amounts of certain Funds’ interest in the Joint Repurchase Agreement Account II were as follows:
                                 
            Equity   Growth and    
    Interest   Growth   Income   Growth
Counterparty   Rate   Strategy   Strategy   Strategy
 
BNP Paribas Securities Co.
     0.150 %   $ 81,266     $ 243,798     $ 325,063  
 
Credit Suisse Securities LLC
     0.070       9,561       28,682       38,243  
 
Deutsche Bank Securities, Inc.
     0.050       18,165       54,496       72,661  
 
JPMorgan Securities LLC
     0.190       38,424       115,273       153,698  
 
Wells Fargo Securities LLC
     0.160       52,584       157,751       210,335  
 
TOTAL
           $ 200,000     $ 600,000     $ 800,000  
 
At March 31, 2012, the Joint Repurchase Agreement Account II was fully collateralized by:
                 
Issuer   Interest Rates     Maturity Dates  
Federal Home Loan Mortgage Corp.
     3.000 to 4.500 %   08/01/24 to 04/01/42
 
Federal National Mortgage Association
     2.500 to 7.500     05/01/12 to 10/01/51
 
Government National Mortgage Assoication
     3.500 to 5.000     12/15/39 to 02/15/42
 
U.S. Treasury Notes
     0.625 to 9.250     03/31/12 to 05/15/19
 
The Portfolios’ risks include, but are not limited to, the following;
Investments in the Underlying Funds — The investments of a Portfolio are concentrated in the Underlying Funds, and the Portfolio’s investment performance is directly related to the investment performance of the Underlying Funds it holds. A Portfolio is subject to the risk factors associated with the investments of the Underlying Funds in direct proportion to the amount of assets allocated to each. A Portfolio that has a relative concentration of its portfolio in a single Underlying Fund may be more susceptible to adverse developments affecting that Underlying Fund, and may be more susceptible to losses because of these developments.
Liquidity Risk — An Underlying Fund may make investments that may be illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Liquidity risk may also refer to the risk that a Portfolio will not be able to pay redemption proceeds within the allowable time period because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Portfolio may be forced to sell investments at an unfavorable time and/or under unfavorable conditions.
Market and Credit Risks — In the normal course of business, the Portfolios and the Underlying 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 Portfolios and the Underlying 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 Portfolios and the Underlying Funds have unsettled or open transaction defaults.
     Investing in foreign markets by the Underlying Funds may involve special risks and considerations not typically associated with investing in the U.S. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, be subject to government ownership controls, have delayed settlements and their prices may be more volatile than those of comparable securities in the U.S.

 

 

Item 2. Controls and Procedures.

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

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

Item 3. Exhibits.

(a)   Separate certifications for the President/Principal Executive Officer and the Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are filed herewith.

 

 

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

             
(Registrant)
   Goldman Sachs Trust  
   
By (Signature and Title)*   /s/ JAMES A. McNAMARA, PRESIDENT/PRINCIPAL EXECUTIVE OFFICER    
     
   
Date
   May 29, 2012  
   

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

             
By (Signature and Title)*   /s/ JAMES A. McNAMARA, PRESIDENT/PRINCIPAL EXECUTIVE OFFICER    
     
   
Date
   May 29, 2012  
   
By (Signature and Title)*   /s/ GEORGE F. TRAVERS, PRINCIPAL FINANCIAL OFFICER    
     
   
Date
   May 29, 2012  
   

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