Goldman Sachs Trust
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)
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71 South Wacker Drive, Chicago, Illinois |
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60606 |
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(Address of principal executive offices) |
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(Zip code) |
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| Caroline Kraus, Esq. Goldman Sachs & Co. LLC 200 West Street
New York, New York 10282 |
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Copies to: Geoffrey R.T. Kenyon, Esq. Dechert LLP
One International Place, 40th Floor 100 Oliver Street
Boston, MA 02110-2605 |
(Name and address of agent for service)
Registrant’s telephone number, including area code: (312) 655-4400
Date of fiscal year end: March 31
Date of reporting period: June 30, 2018
| Item 1. |
Schedule of Investments. |
GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND
Schedule of Investments
June 30, 2018 (Unaudited)
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Principal
Amount |
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Interest
Rate |
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Maturity
Date |
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Value |
| Secured Debt Obligations – 39.8% |
| Bank Loans(a) –
18.5% |
| Automotive(b) –
1.8% |
| Navistar International Corp. (B+/Ba3)(1M LIBOR + 3.500%) |
| $ |
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3,843,628 |
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5.530 |
% |
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11/06/24 |
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$ 3,841,245 |
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| Chemicals(b)(c) –
1.1% |
| Consolidated Energy Finance SA (NR/NR)(3M LIBOR + 2.500%) |
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2,387,732 |
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4.525 |
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05/07/25 |
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2,369,824 |
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| Commercial Services(b) –
0.4% |
| Monitronics International, Inc. (B-/Caa1)(3M LIBOR +
5.500%) |
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900,280 |
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7.834 |
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09/30/22 |
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857,517 |
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| Construction Machinery(b) –
1.1% |
| Accudyne Industries LLC (B/B3)(1M LIBOR + 3.750%) |
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975,619 |
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5.344 |
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08/18/24 |
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972,419 |
| Pisces Midco, Inc. (NR/NR)(3M LIBOR + 3.750%) |
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1,325,323 |
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6.089 |
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04/12/25 |
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1,321,188 |
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2,293,607 |
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| Consumer Cyclical Services(b) –
0.9% |
| TKC Holdings, Inc. (B-/B2)(2M LIBOR + 4.250%) |
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2,018,584 |
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5.600 |
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02/01/23 |
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2,011,640 |
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| Consumer Products(b) –
0.2% |
| Bombardier Recreational Products, Inc. (BB/Ba3)(1M LIBOR + 2.500%) |
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452,960 |
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4.090 |
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05/23/25 |
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448,770 |
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| Diversified Manufacturing(b) –
0.3% |
| AI Aqua Merger Sub, Inc. (B/B2) |
| (1M LIBOR + 3.250%) |
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136,654 |
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5.344 |
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12/13/23 |
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135,886 |
| (1M LIBOR + 3.500%) |
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406,955 |
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5.344 |
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12/13/23 |
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404,668 |
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540,554 |
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| Electric(b) –
0.3% |
| Frontera Generation Holdings LLC (NR/NR)(3M LIBOR + 4.250%) |
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679,000 |
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6.233 |
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05/02/25 |
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677,642 |
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| Energy-Oil & Gas Services & Equipment - 0.5% |
| Apergy Corp. (NR/NR)(1M LIBOR + 2.500%) |
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1,158,567 |
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4.563 |
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05/09/25 |
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1,158,567 |
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| Entertainment(b) –
0.4% |
| Lions Gate Entertainment Corp. (NR/NR)(1M LIBOR + 2.250%) |
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824,977 |
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4.341 |
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03/24/25 |
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820,852 |
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| Environmental(b) –
0.6% |
| Core & Main LP (B+/B2)(6M LIBOR + 3.000%) |
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1,396,491 |
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5.211 |
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08/01/24 |
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1,394,746 |
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| Food & Beverage(b) –
0.7% |
| Dole Food Co., Inc. (B-/B1)(1M LIBOR + 2.750%) |
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1,618,139 |
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4.841 |
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04/06/24 |
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1,608,608 |
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| Health Care(b) –
0.8% |
| Owens & Minor, Inc. (NR/NR)(1M LIBOR + 4.500%) |
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923,000 |
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6.480 |
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05/01/25 |
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901,466 |
| BW NHHC Holdco, Inc. (NR/NR)(1M LIBOR + 5.000%) |
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916,000 |
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7.073 |
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05/15/25 |
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903,982 |
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1,805,448 |
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Principal
Amount |
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Interest
Rate |
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Maturity
Date |
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Value |
| Secured Debt
Obligations – (continued) |
| Health Care - Services(b) –
1.0% |
| Community Health Systems, Inc. (B-/B3)(3M LIBOR +
3.250%) |
| $ |
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440,000 |
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4.250 |
% |
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01/27/21 |
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$ 429,057 |
| Greenway Health LLC (B/B3)(3M LIBOR + 4.250%) |
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1,747,729 |
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6.550 |
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02/14/24 |
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1,744,461 |
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2,173,518 |
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| Industrials-Manufactured Goods(b) –
0.2% |
| Tecomet, Inc. (B/B2)(3M LIBOR + 3.750%) |
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506,880 |
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7.250 |
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05/01/24 |
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505,299 |
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| Insurance – 0.3% |
| Acrisure LLC (NR/NR) |
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585,928 |
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5.750 |
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11/22/23 |
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580,801 |
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| Machinery(b) –
0.2% |
| Apex Tool Group LLC (B/B2)(1M LIBOR + 3.750%) |
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371,603 |
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5.844 |
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02/01/22 |
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371,254 |
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| Media - Cable(b) –
0.8% |
| CSC Holdings LLC (BB-/Ba2)(1M LIBOR + 2.500%) |
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1,630,000 |
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4.573 |
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01/25/26 |
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1,623,203 |
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| Media - Non Cable – 1.7% |
| CBS Radio, Inc. (BB-/Ba3)(b)(3M LIBOR + 2.750%) |
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1,160,865 |
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6.250 |
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11/17/24 |
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1,143,452 |
| Sinclair Television Group, Inc. (BB+/Ba1) |
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990,867 |
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2.500 |
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12/12/24 |
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986,537 |
| Univision Communications, Inc. (BB-/B2)(b)(1M LIBOR + 2.750%) |
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1,678,076 |
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4.844 |
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03/15/24 |
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1,620,048 |
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3,750,037 |
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| Pipelines(b) –
0.5% |
| HFOTCO LLC (NR/NR) |
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203,652 |
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3.000 |
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06/19/25 |
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202,888 |
| Oryx Southern Delaware Holdings LLC (NR/NR)(1M LIBOR + 3.250%) |
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964,583 |
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5.344 |
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02/09/25 |
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952,525 |
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1,155,413 |
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| Real Estate Investment Trust – 1.1% |
| GGP, Inc. (NR/NR) |
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646,000 |
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2.500 |
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05/04/25 |
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633,888 |
| iStar, Inc. (NR/NR) |
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1,760,202 |
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2.750 |
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06/19/23 |
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1,753,601 |
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2,387,489 |
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| Restaurant(b) –
0.5% |
| 1011778 B.C. Unlimited Liability Co. (B+/Ba3)(1M LIBOR + 2.250%) |
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1,018,000 |
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3.476 |
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02/16/24 |
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1,012,910 |
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| Retailers(b) –
0.6% |
| JC Penney Corp., Inc. (B+/Ba3)(3M LIBOR + 4.250%) |
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1,299,245 |
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6.569 |
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06/23/23 |
|
1,238,077 |
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GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
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Principal
Amount |
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Interest
Rate |
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Maturity
Date |
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Value |
| Secured Debt
Obligations – (continued) |
| Technology(b) –
0.5% |
| Flexential Intermediate Corp. (B/B2)(3M LIBOR + 3.500%) |
| $ |
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1,028,230 |
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5.834 |
% |
|
08/01/24 |
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$ 1,015,058 |
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| Technology - Software – 0.4% |
| Ensono LP (NR/NR) |
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812,862 |
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5.250 |
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04/25/25 |
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810,488 |
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| Telecommunications(b) –
1.0% |
| ConvergeOne Holdings Corp. (NR/NR)(3M LIBOR + 3.750%) |
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1,162,031 |
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5.844 |
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04/04/25 |
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1,156,953 |
| Shutterfly, Inc. (BB-/Ba3)(1M LIBOR + 2.750%) |
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1,022,000 |
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4.850 |
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08/17/24 |
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1,022,429 |
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2,179,382 |
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| Telecommunications - Wireless(b) –
0.4% |
| Intelsat Jackson Holdings SA (B/B1)(1M LIBOR + 3.750%) |
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818,000 |
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4.750 |
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11/27/23 |
|
815,309 |
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| Telecommunications-Wirelines(b) –
0.2% |
| GTT Communications, Inc. (NR/NR)(3M LIBOR + 2.750%) |
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487,000 |
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4.875 |
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05/31/25 |
|
479,330 |
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| TOTAL BANK LOANS |
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$ 39,926,588 |
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| Other Secured Debt Obligations – 21.3% |
| Automotive(d)(e) –
0.4% |
| Mclaren Finance PLC (B/B2) |
| $ |
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809,000 |
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|
5.750 |
% |
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08/01/22 |
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$ 806,978 |
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| Building Materials(d)(e) –
0.2% |
| Builders FirstSource, Inc. (BB-/B3) |
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424,000 |
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5.625 |
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09/01/24 |
|
413,400 |
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| Commercial Services(d) –
2.8% |
| APX Group, Inc. (B-/B1) |
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3,770,000 |
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7.875 |
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12/01/22 |
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3,732,300 |
| Prime Security Services Borrower LLC/Prime Finance, Inc. (B-/B3)(e) |
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2,103,000 |
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9.250 |
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05/15/23 |
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2,234,437 |
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5,966,737 |
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| Consumer Discretionary(d)(e) –
1.5% |
| The Hertz Corp. (BB-/B1) |
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3,272,000 |
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7.625 |
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06/01/22 |
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3,137,030 |
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| Financial Services(d)(e) –
0.4% |
| VFH Parent LLC/Orchestra Co-Issuer, Inc.
(B-/B1) |
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772,000 |
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6.750 |
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06/15/22 |
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799,020 |
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| Health Care - Services – 1.4% |
| HCA, Inc. (BBB-/Ba1) |
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2,060,000 |
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5.875 |
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03/15/22 |
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2,147,550 |
| Tenet Healthcare Corp.(BB-/Ba3) |
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928,000 |
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6.000 |
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10/01/20 |
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953,520 |
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3,101,070 |
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| Industrials(d)(e) –
0.8% |
| Ashtead Capital, Inc. (BBB-/Ba2) |
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794,000 |
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4.125 |
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08/15/25 |
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740,405 |
| Titan International, Inc. (B-/B3) |
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903,000 |
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6.500 |
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11/30/23 |
|
898,485 |
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1,638,890 |
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Principal
Amount |
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Interest
Rate |
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Maturity
Date |
|
Value |
| Secured Debt
Obligations – (continued) |
| Media - Cable(d)(e) –
3.7% |
| Altice France SA (B/B1) |
| $ |
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|
1,838,000 |
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|
6.000 |
% |
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05/15/22 |
|
$ 1,849,488 |
| Altice US Finance I Corp. (BB/Ba3) |
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|
2,587,000 |
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|
5.500 |
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05/15/26 |
|
2,489,987 |
| Ziggo Secured Finance BV (BB-/B1) |
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|
3,842,000 |
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|
5.500 |
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01/15/27 |
|
3,582,665 |
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7,922,140 |
| |
| Media - Non Cable(d)(e) –
0.7% |
| Univision Communications, Inc. (BB-/B2) |
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|
1,623,000 |
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|
5.125 |
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02/15/25 |
|
1,495,189 |
| |
| Oil Field Service(d)(e) –
0.6% |
| Transocean Proteus Ltd. (BB-/NR) |
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|
1,277,550 |
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|
6.250 |
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12/01/24 |
|
1,285,535 |
| |
| Packaging & Containers(d) –
3.8% |
| ARD Finance SA (B-/Caa2)(f)(PIK 7.875%, Cash 7.125%) |
|
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|
2,037,000 |
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|
|
7.125 |
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09/15/23 |
|
2,031,908 |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (BB/Ba3)(e) |
|
|
|
1,081,000 |
|
|
|
4.250 |
|
|
09/15/22 |
|
1,059,380 |
| BWAY Holding Co.
(B/B2)(e) |
|
|
|
1,974,000 |
|
|
|
5.500 |
|
|
04/15/24 |
|
1,919,715 |
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu (B+/B1)(e) |
|
|
|
3,217,000 |
|
|
|
5.125 |
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07/15/23 |
|
3,176,787 |
|
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|
8,187,790 |
| |
| Pipelines(d) –
1.2% |
| Cheniere Corpus Christi Holdings LLC (BB-/Ba3) |
|
|
|
2,445,000 |
|
|
|
5.125 |
|
|
06/30/27 |
|
2,420,550 |
| Cheniere Energy Partners LP
(BB/Ba2)(e) |
|
|
|
291,000 |
|
|
|
5.250 |
|
|
10/01/25 |
|
283,361 |
|
|
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|
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|
2,703,911 |
| |
| Retailing(d)(e) –
0.7% |
| JC Penney Corp., Inc. (B-/B3) |
|
|
|
1,915,000 |
|
|
|
8.625 |
|
|
03/15/25 |
|
1,622,963 |
| |
| Software(d)(e) –
0.8% |
| First Data Corp. (BB/Ba2) |
|
|
|
1,761,000 |
|
|
|
5.000 |
|
|
01/15/24 |
|
1,745,591 |
| |
| Telecommunications(e) –
0.4% |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC (NR/Baa2) |
|
|
|
909,000 |
|
|
|
5.152 |
|
|
03/20/28 |
|
890,820 |
| |
| Telecommunications - Wireless – 0.9% |
| Hughes Satellite Systems Corp. (BBB-/Ba2) |
|
|
|
1,710,000 |
|
|
|
5.250 |
|
|
08/01/26 |
|
1,603,125 |
| |
GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Secured Debt
Obligations – (continued) |
| Telecommunications - Wireless – (continued) |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC (NR/Baa2)(e) |
| $ |
|
|
353,438 |
|
|
|
3.360 |
% |
|
09/20/21 |
|
$ 349,461 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,952,586 |
| |
| Telecommunications-Wirelines(d)(e) –
1.0% |
| Frontier Communications Corp. (B+/B3) |
|
|
|
2,299,000 |
|
|
|
8.500 |
|
|
04/01/26 |
|
2,218,535 |
| |
| TOTAL OTHER SECURED DEBT OBLIGATIONS |
|
$ 45,888,185 |
| |
TOTAL SECURED DEBT OBLIGATIONS
(Cost $87,826,013) |
|
$ 85,814,773 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unsecured Debt Obligations – 52.7% |
| Aero Leasing(e) –
2.0% |
| Avolon Holdings Funding Ltd.
(BB/Ba3)(d) |
| $ |
|
|
446,000 |
|
|
|
5.500 |
% |
|
01/15/23 |
|
$ 442,655 |
| DAE Funding LLC
(BB/Ba3)(d) |
|
|
|
1,387,000 |
|
|
|
5.000 |
|
|
08/01/24 |
|
1,328,052 |
| Park Aerospace Holdings Ltd. (BB/Ba3) |
|
|
|
2,365,000 |
|
|
|
5.250 |
|
|
08/15/22 |
|
2,356,271 |
|
|
|
177,000 |
|
|
|
4.500 |
(d) |
|
03/15/23 |
|
168,593 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,295,571 |
| |
| Aerospace & Defense – 2.3% |
| Bombardier, Inc. (B-/Caa1)(e) |
|
|
|
993,000 |
|
|
|
6.000 |
(d) |
|
10/15/22 |
|
989,276 |
|
|
|
581,000 |
|
|
|
6.125 |
|
|
01/15/23 |
|
582,453 |
| Triumph Group, Inc. (B-/B3)(d) |
|
|
|
1,723,000 |
|
|
|
4.875 |
|
|
04/01/21 |
|
1,662,695 |
|
|
|
1,778,000 |
|
|
|
7.750 |
|
|
08/15/25 |
|
1,760,220 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,994,644 |
| |
| Automotive – 7.0% |
| Adient Global Holdings Ltd. (BB-/Ba3)(d)(e) |
|
|
|
3,788,000 |
|
|
|
4.875 |
|
|
08/15/26 |
|
3,404,465 |
| Cooper-Standard Automotive, Inc.
(B+/B1)(d)(e) |
|
|
|
2,129,000 |
|
|
|
5.625 |
|
|
11/15/26 |
|
2,102,388 |
| Dana Financing Luxembourg Sarl
(BB/B1)(d)(e) |
|
|
|
1,977,000 |
|
|
|
5.750 |
|
|
04/15/25 |
|
1,952,288 |
| Dana, Inc.
(BB/B1)(d) |
|
|
|
243,000 |
|
|
|
6.000 |
|
|
09/15/23 |
|
252,416 |
| Delphi Technologies PLC
(BB/B1)(e) |
|
|
|
3,291,000 |
|
|
|
5.000 |
|
|
10/01/25 |
|
3,145,943 |
| General Motors Financial Co., Inc.
(BBB/Baa3)(d) |
|
|
|
463,000 |
|
|
|
5.250 |
|
|
03/01/26 |
|
479,774 |
| Jaguar Land Rover Automotive PLC
(BB+/Ba1)(d)(e) |
|
|
|
463,000 |
|
|
|
5.625 |
|
|
02/01/23 |
|
471,858 |
|
|
|
442,000 |
|
|
|
4.500 |
|
|
10/01/27 |
|
394,485 |
| Tesla, Inc. (B-/Caa1)(d)(e) |
|
|
|
2,178,000 |
|
|
|
5.300 |
|
|
08/15/25 |
|
1,938,420 |
| ZF North America Capital, Inc. (BBB-/Baa3)(e) |
|
|
|
947,000 |
|
|
|
4.750 |
|
|
04/29/25 |
|
946,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,088,912 |
| |
| Chemicals(d)(e) –
1.9% |
| NOVA Chemicals Corp. (BB+/Ba2) |
|
|
|
650,000 |
|
|
|
5.250 |
|
|
08/01/23 |
|
648,375 |
|
|
|
779,000 |
|
|
|
4.875 |
|
|
06/01/24 |
|
741,024 |
| Platform Specialty Products Corp. (B+/Caa1) |
|
|
|
1,819,000 |
|
|
|
5.875 |
|
|
12/01/25 |
|
1,775,798 |
| Tronox Finance PLC (B-/B3) |
|
|
|
882,000 |
|
|
|
5.750 |
|
|
10/01/25 |
|
855,540 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,020,737 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Unsecured Debt Obligations – (continued) |
| Commercial Services(d) –
1.3% |
| APX Group, Inc. (CCC/Caa2) |
| $ |
|
|
420,000 |
|
|
|
7.625 |
% |
|
09/01/23 |
|
$ 365,925 |
| Avis Budget Car Rental LLC/Avis Budget Finance, Inc. (BB/B1) |
|
|
|
1,130,000 |
|
|
|
5.500 |
|
|
04/01/23 |
|
1,096,100 |
| Booz Allen Hamilton, Inc.
(B+/B1)(e) |
|
|
|
1,439,000 |
|
|
|
5.125 |
|
|
05/01/25 |
|
1,406,622 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,868,647 |
| |
| Diversified Financial Services – 3.1% |
| Jefferies Finance LLC/JFIN Co-Issuer Corp. (B/B1)(d)(e) |
|
|
|
872,000 |
|
|
|
7.500 |
|
|
04/15/21 |
|
885,080 |
|
|
|
1,096,000 |
|
|
|
6.875 |
|
|
04/15/22 |
|
1,087,780 |
| Lions Gate Capital Holdings LLC
(B-/B2)(d)(e) |
|
|
|
306,000 |
|
|
|
5.875 |
|
|
11/01/24 |
|
309,825 |
| Navient Corp. (B+/Ba3) |
|
|
|
122,000 |
|
|
|
8.000 |
|
|
03/25/20 |
|
128,710 |
|
|
|
1,147,000 |
|
|
|
6.625 |
|
|
07/26/21 |
|
1,178,542 |
|
|
|
996,000 |
|
|
|
7.250 |
|
|
01/25/22 |
|
1,040,820 |
| Quicken Loans, Inc.
(BB/Ba1)(d)(e) |
|
|
|
2,204,000 |
|
|
|
5.250 |
|
|
01/15/28 |
|
2,066,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,697,007 |
| |
| Energy(d)(e) –
0.4% |
| Parkland Fuel Corp. (BB-/B1) |
|
|
|
976,000 |
|
|
|
6.000 |
|
|
04/01/26 |
|
965,020 |
| |
| Engineering & Construction(d) –
0.5% |
| AECOM (BB-/Ba3) |
|
|
|
696,000 |
|
|
|
5.125 |
|
|
03/15/27 |
|
654,240 |
| TopBuild Corp.
(NR/B1)(e) |
|
|
|
430,000 |
|
|
|
5.625 |
|
|
05/01/26 |
|
412,263 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,066,503 |
| |
| Exploration and Production(d) –
4.1% |
| CrownRock LP/CrownRock Finance, Inc.
(BB-/B3)(e) |
|
|
|
3,040,000 |
|
|
|
5.625 |
|
|
10/15/25 |
|
2,918,400 |
| Gulfport Energy Corp. (BB-/B1) |
|
|
|
1,406,000 |
|
|
|
6.625 |
|
|
05/01/23 |
|
1,418,302 |
| Indigo Natural Resources LLC
(B+/B3)(e) |
|
|
|
1,998,000 |
|
|
|
6.875 |
|
|
02/15/26 |
|
1,928,070 |
| Jagged Peak Energy LLC
(B/B3)(e) |
|
|
|
447,000 |
|
|
|
5.875 |
|
|
05/01/26 |
|
439,736 |
| Parsley Energy LLC/Parsley Finance Corp. (BB-/B2)(e) |
|
|
|
1,387,000 |
|
|
|
5.375 |
|
|
01/15/25 |
|
1,376,598 |
| Vine Oil & Gas LP/Vine Oil & Gas Finance Corp. (CCC+/Caa2)(e) |
|
|
|
877,000 |
|
|
|
8.750 |
|
|
04/15/23 |
|
809,033 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,890,139 |
| |
| Food & Drug Retailing(d)(e) –
2.1% |
| Dean Foods Co. (BB-/B3) |
|
|
|
1,762,000 |
|
|
|
6.500 |
|
|
03/15/23 |
|
1,691,520 |
| FAGE International SA/FAGE USA Dairy Industry, Inc. (BB-/B1) |
|
|
|
3,046,000 |
|
|
|
5.625 |
|
|
08/15/26 |
|
2,794,705 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,486,225 |
| |
| Gaming(d)(e) –
0.6% |
| Caesars Resort Collection LLC/CRC Finco, Inc. (B-/B3) |
|
|
|
917,000 |
|
|
|
5.250 |
|
|
10/15/25 |
|
867,712 |
| Churchill Downs, Inc. (NR/NR) |
|
|
|
513,000 |
|
|
|
4.750 |
|
|
01/15/28 |
|
475,166 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,342,878 |
| |
| Home Builders(d) –
1.0% |
| AV Homes, Inc. (B-/B3) |
|
|
|
2,050,000 |
|
|
|
6.625 |
|
|
05/15/22 |
|
2,111,500 |
| |
| Household Products(d) –
0.8% |
| HRG Group, Inc. (B/Caa1) |
|
|
|
970,000 |
|
|
|
7.750 |
|
|
01/15/22 |
|
1,000,313 |
| Spectrum Brands, Inc. (B+/B2) |
|
|
|
712,000 |
|
|
|
5.750 |
|
|
07/15/25 |
|
702,210 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,702,523 |
| |
GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Unsecured Debt Obligations – (continued) |
| Insurance(e) –
1.5% |
| Acrisure LLC/Acrisure Finance, Inc. (CCC+/Caa2)(d) |
| $ |
|
|
1,031,000 |
|
|
|
7.000 |
% |
|
11/15/25 |
|
$ 938,210 |
| HUB International Ltd.
(CCC+/Caa2)(d) |
|
|
|
1,264,000 |
|
|
|
7.000 |
|
|
05/01/26 |
|
1,248,200 |
| Wand Merger Corp. (NR/NR) |
|
|
|
1,036,000 |
|
|
|
8.125 |
|
|
07/15/23 |
|
1,050,245 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,236,655 |
| |
| Iron/Steel(d) –
0.4% |
| United States Steel Corp. (B/B2) |
|
|
|
880,000 |
|
|
|
6.250 |
|
|
03/15/26 |
|
867,900 |
| |
|
| Machinery - Construction & Mining(d)(e)
– 0.7% |
| Terex Corp. (BB/B2) |
|
|
|
1,450,000 |
|
|
|
5.625 |
|
|
02/01/25 |
|
1,439,125 |
| |
| Media – 5.1% |
| AMC Networks, Inc.
(BB/Ba3)(d) |
|
|
|
2,559,000 |
|
|
|
4.750 |
|
|
08/01/25 |
|
2,456,640 |
| CBS Radio, Inc.
(B-/B3)(d)(e) |
|
|
|
1,254,000 |
|
|
|
7.250 |
|
|
11/01/24 |
|
1,191,300 |
| CCO Holdings LLC/CCO Holdings Capital Corp. (BB/B1)(d)(e) |
|
|
|
1,065,000 |
|
|
|
4.000 |
|
|
03/01/23 |
|
999,769 |
|
|
|
2,816,000 |
|
|
|
5.000 |
|
|
02/01/28 |
|
2,580,160 |
| CSC Holdings LLC
(B-/B2)(d)(e) |
|
|
|
1,598,000 |
|
|
|
10.875 |
|
|
10/15/25 |
|
1,845,690 |
| DISH DBS Corp. (B/B1) |
|
|
|
1,123,000 |
|
|
|
5.000 |
|
|
03/15/23 |
|
974,202 |
| Sirius XM Radio, Inc.
(BB/Ba3)(d)(e) |
|
|
|
1,054,000 |
|
|
|
5.375 |
|
|
07/15/26 |
|
1,011,840 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,059,601 |
| |
| Oil Field Services(d) –
5.1% |
| Archrock Partners LP/Archrock Partners Finance Corp. (B-/B3) |
|
|
|
1,472,000 |
|
|
|
6.000 |
|
|
10/01/22 |
|
1,453,600 |
| Ensco PLC (BB-/B3) |
|
|
|
1,609,000 |
|
|
|
5.200 |
|
|
03/15/25 |
|
1,331,447 |
| Noble Holding International Ltd.
(NR/NR)(e) |
|
|
|
314,000 |
|
|
|
7.875 |
|
|
02/01/26 |
|
323,420 |
| Rowan Cos., Inc. (B/B2) |
|
|
|
1,451,000 |
|
|
|
4.750 |
|
|
01/15/24 |
|
1,251,488 |
| Transocean, Inc.
(NR/B3)(e) |
|
|
|
2,121,000 |
|
|
|
7.500 |
|
|
01/15/26 |
|
2,152,815 |
| Transocean, Inc. (B/Caa2) |
|
|
|
1,152,000 |
|
|
|
5.800 |
|
|
10/15/22 |
|
1,143,360 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Unsecured Debt Obligations – (continued) |
| Oil Field Services(d) –
(continued) |
| Weatherford International LLC
(B-/Caa1)(e) |
| $ |
|
|
2,460,000 |
|
|
|
9.875 |
% |
|
03/01/25 |
|
$ 2,472,300 |
| Weatherford International Ltd. (B-/Caa1) |
|
|
|
826,000 |
|
|
|
8.250 |
|
|
06/15/23 |
|
813,610 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,942,040 |
| |
| Packaging(d)(e) –
0.3% |
| Flex Acquisition Co, Inc. (NR/Caa1) |
|
|
|
572,000 |
|
|
|
7.875 |
|
|
07/15/26 |
|
567,710 |
| |
| Pharmaceuticals – 0.5% |
| Teva Pharmaceutical Finance Co. BV (BB/Ba2) |
|
|
|
1,245,000 |
|
|
|
2.950 |
|
|
12/18/22 |
|
1,129,718 |
| |
| Pipelines(d) –
2.7% |
| CNX Midstream Partners LP/CNX Midstream Finance Corp. (BB-/B3)(e) |
|
|
|
1,573,000 |
|
|
|
6.500 |
|
|
03/15/26 |
|
1,525,810 |
| Genesis Energy LP/Genesis Energy Finance Corp. (BB-/B1) |
|
|
|
382,000 |
|
|
|
6.750 |
|
|
08/01/22 |
|
387,730 |
|
|
|
248,000 |
|
|
|
5.625 |
|
|
06/15/24 |
|
231,260 |
|
|
|
644,000 |
|
|
|
6.250 |
|
|
05/15/26 |
|
603,750 |
| Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. (BB+/Ba3)(e) |
|
|
|
1,991,000 |
|
|
|
5.500 |
|
|
09/15/24 |
|
2,025,842 |
| Targa Resources Partners LP/Targa Resources Partners Finance Corp. (BB-/Ba3)(e) |
|
|
|
1,089,000 |
|
|
|
5.875 |
|
|
04/15/26 |
|
1,094,445 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,868,837 |
| |
| Real Estate Investment Trust(d) –
1.1% |
| iStar, Inc. (BB-/B1) |
|
|
|
2,432,000 |
|
|
|
5.250 |
|
|
09/15/22 |
|
2,352,960 |
| |
| Refining & Marketing(d)(e) –
0.2% |
| Sunoco LP/Sunoco Finance Corp. (BB-/B1) |
|
|
|
469,000 |
|
|
|
4.875 |
|
|
01/15/23 |
|
449,068 |
| |
| Retailing(d)(e) –
1.8% |
| Rite Aid Corp. (B-/B3) |
|
|
|
3,889,000 |
|
|
|
6.125 |
|
|
04/01/23 |
|
3,947,335 |
| |
| Software(d) –
0.5% |
| Donnelley Financial Solutions, Inc. (B/B3) |
|
|
|
1,103,000 |
|
|
|
8.250 |
|
|
10/15/24 |
|
1,147,120 |
| |
| Telecommunication Services – 4.6% |
| Inmarsat Finance PLC
(BB+/Ba3)(d)(e) |
|
|
|
1,786,000 |
|
|
|
4.875 |
|
|
05/15/22 |
|
1,754,745 |
| Sprint Capital Corp. (B/B3) |
|
|
|
666,000 |
|
|
|
6.875 |
|
|
11/15/28 |
|
636,030 |
| Sprint Corp.
(B/B3)(d) |
|
|
|
2,913,000 |
|
|
|
7.625 |
|
|
03/01/26 |
|
2,963,977 |
| ViaSat, Inc.
(BB-/B3)(d)(e) |
|
|
|
4,293,000 |
|
|
|
5.625 |
|
|
09/15/25 |
|
4,013,955 |
| Vodafone Group PLC (BBB+/Baa1) |
|
|
|
457,000 |
|
|
|
4.375 |
|
|
05/30/28 |
|
451,568 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,820,275 |
| |
| Transportation(d)(e) –
1.1% |
| XPO Logistics, Inc. (BB-/B1) |
|
|
|
2,231,000 |
|
|
|
6.125 |
|
|
09/01/23 |
|
2,283,986 |
| |
GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
Interest Rate |
|
Maturity Date |
|
Value |
| Unsecured Debt Obligations – (continued) |
| TOTAL UNSECURED DEBT OBLIGATIONS (Cost $116,529,272) |
|
$113,642,636 |
| |
|
|
|
|
|
|
|
|
|
|
| Shares |
|
|
Description |
|
Value |
| |
Common Stock* – 0.1% |
| |
Oil, Gas & Consumable Fuels – 0.1% |
| |
1,141,924 |
|
|
Prairie Provident Resources, Inc. (Cost $2,946,424) |
|
$ 300,372 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| U.S. Treasury
Obligation(g) – 4.0% |
| United States Treasury Bill |
| $ |
|
|
8,500,000 |
|
|
|
0.000 |
% |
|
07/26/18 |
|
$ 8,489,776 |
| (Cost $8,492,192) |
| |
|
|
|
|
|
|
|
|
|
|
| Units |
|
|
Expiration
Date |
|
Value |
| |
Warrant*(c) – 0.0% |
| |
Jack Cooper Enterprises, Inc. (NR/NR) |
| |
1,734 |
|
|
10/29/17 |
|
$ 17 |
| |
(Cost $0) |
| |
|
|
|
|
|
|
|
|
|
|
|
| Shares |
|
|
Distribution Rate |
|
Value |
| |
Investment
Company(h) – 6.5% |
|
Goldman Sachs Financial Square Government Fund - Institutional
Shares |
| |
13,959,316 |
|
|
1.869% |
|
$ 13,959,316 |
| |
(Cost $13,959,316) |
| |
|
|
TOTAL INVESTMENTS – 103.1%
(Cost
$229,753,217) |
|
$222,206,890 |
| |
|
|
LIABILITIES IN EXCESS OF
OTHER ASSETS – (3.1)% |
|
(6,725,577) |
| |
|
| |
NET ASSETS – 100.0% |
|
$215,481,313 |
| |
|
|
|
|
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
|
|
| * |
|
Non-income producing security. |
|
|
|
|
|
| (a) |
|
Bank Loans often require prepayments from excess cash flows or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual
requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. The stated interest rate represents the weighted average interest rate of all
contracts within the bank loan facility on June 30, 2018. Bank Loans typically have rates of interest which are predetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base
lending rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or
other base lending rates used by commercial lenders. |
|
|
| (b) |
|
Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed
is that which is in effect on June 30, 2018. |
|
|
| (c) |
|
Significant unobservable inputs were used in the valuation of this portfolio security; i.e. Level 3. |
|
|
| (d) |
|
Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
|
|
| (e) |
|
Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed 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 $112,593,742, which represents approximately 52.3% of the Fund’s net assets as
of June 30, 2018. The liquidity determination is unaudited. |
|
|
| (f) |
|
Pay-in-kind securities. |
|
|
| (g) |
|
Issued with a zero coupon. Income is recognized through the accretion of discount. |
|
|
| (h) |
|
Represents an affiliated issuer. |
|
|
|
| |
| Investment Abbreviations: |
| LIBOR |
|
— London Interbank Offered Rate |
| LLC |
|
— Limited Liability Company |
| LP |
|
— Limited Partnership |
| PLC |
|
— Public Limited Company |
| |
|
| For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com. |
GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION
SWAP CONTRACTS — At June 30, 2018, the Fund had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACT
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Payments Made by
the Fund |
|
Payments Received by Fund (%) |
|
Termination
Date |
|
Notional
Amount
(000s) |
|
|
Market
Value |
|
Upfront
Premium
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| 2.250%(a) |
|
3M LIBOR(b) |
|
09/19/25 |
|
$ |
27,181 |
(c) |
|
$1,188,609 |
|
$ |
1,155,807 |
|
|
$ |
32,802 |
|
| |
|
| (a) |
|
Payments made Semi-Annually. |
| (b) |
|
Payments made Quarterly. |
| (c) |
|
Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2018.
|
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACT
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Referenced
Obligation/Index |
|
Financing Rate
Received/(Paid) by
the Fund (%) |
|
Credit
Spread at
June 30,
2018(b) |
|
Termination
Date |
|
Notional
Amount
(000s) |
|
Value |
|
|
Upfront
Premiums
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Protection Purchased: |
|
| CDX.NA.HY Index 30(a) |
|
(5.000)% |
|
3.613% |
|
06/20/23 |
|
$65,000 |
|
$ |
(3,919,830 |
) |
|
$ |
(4,512,309 |
) |
|
$ |
592,479 |
|
| |
|
| (a) |
|
Payments made Quarterly |
| (b) |
|
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 or its counterparty 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. |
|
|
|
| |
| Abbreviation: |
| CDX.NA.HY Index 30 |
|
— CDX North America High Yield Index 30 |
| |
GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS
Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
Investments and Fair Value Measurements — U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to
sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that
prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to
unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical,
unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments
for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining
fair value measurement).
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In
accordance with the Funds’ policy, transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the beginning of the reporting period.
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held
by the Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing
and maintaining internal controls and procedures related to the valuation of the Funds’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues
challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
Level 1 and Level 2 Fair Value Investments —The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and
Level 2 are as follows:
Debt Securities — Debt securities for which market quotations are readily available are valued daily
on the basis of quotations supplied by dealers or an independent pricing service approved by the Trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are
considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. With the exception of treasury securities of G8 countries, which are generally
classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.
Bank
Loans — Bank loans (“Loans”) are interests in amounts owed by corporate, governmental, or other borrowers to lenders or lending syndicates. Loans are arranged through private negotiations between the borrower and one or more
financial institutions (“Lenders”). A Fund’s investments in Loans are in the form of either participations in Loans (“Participations”) or assignments of all or a portion of Loans from third parties (“Assignments”).
With respect to Participations, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participations and only upon receipt by the Lender of the payments from the borrower. A
Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement with respect to Participations. Conversely, assignments result in a Fund having a direct contractual relationship with the borrower, and the Fund
may be permitted to enforce compliance by the borrower with the terms of the loan agreement.
Equity Securities — Equity
securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing
price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities are valued at the last bid price for long positions
and at the last ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2.
Unlisted equity securities 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. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Valuation Procedures approved by the Trustees and
consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign
currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
Money Market Funds — Investments in the Goldman Sachs Financial Square Government Fund (“Underlying Fund”) are valued at the NAV of
the Institutional Share class on the day of valuation. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding an Underlying Fund’s accounting policies and investment holdings, please
see the Underlying Fund’s shareholder report.
Derivative Contracts — A derivative is an instrument whose value is derived
from underlying assets, indices, reference rates or a combination of these factors. A Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return,
or to gain access to certain markets or attain exposure to other underliers.
Exchange-traded derivatives, including futures
and options contracts, are valued at the last sale or settlement price and typically fall within Level 1 of the fair value hierarchy. Over-the-counter
(“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other
alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability
of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and
correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives
are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
Swap Contracts — Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic
payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast,
certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”)
(“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor
quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by
delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any
mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as
a receivable or payable for variation margin.
An interest rate swap is an agreement that obligates two
parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in interest rates on a specified notional principal amount. The payment flows are usually netted against each other, with the
difference being paid by one party to the other.
A credit default swap is an agreement that involves
one party (the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive protection on a reference security or obligation, including a group of assets or exposure to the
performance of an index. A Fund’s investment in credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to pay,
restructuring and obligation acceleration. If a Fund buys protection through a credit default swap and no credit event occurs, its payments are limited to the periodic payments previously made to the counterparty. Upon the occurrence of a specified
credit event, a Fund, as a buyer of credit protection, is entitled to receive an amount equal to the notional amount of the swap and deliver to the seller the defaulted reference obligation in a physically settled trade. A Fund may also receive a
net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade.
As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there
is no credit event. In addition, if a Fund sells protection through a credit default swap, a Fund could suffer a loss because the value of the referenced obligation and the premium payments received may be less than the notional amount of the swap
paid to the buyer of protection. Upon the occurrence of a specified credit event, a Fund, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional
amount of the swap in a physically settled trade. A Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in 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, a Fund is entitled to a
return of any assets, which have been pledged as collateral to the counterparty upon settlement.
The maximum
potential amount of future payments (undiscounted) that a Fund as seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. These potential amounts would be partially
offset by any recovery values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where a Fund bought credit protection.
GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
Secured Borrowings — Secured borrowings are valued at their contractual amounts, which approximate fair value, and are generally classified as
Level 2 of the fair value hierarchy.
Level 3 Fair Value Investments — To the extent that significant inputs to
valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Funds’ investments may be
determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of
significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not
limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate
actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies. To the extent investments are valued using single source broker quotations obtained directly from the broker or
passed through from third party pricing vendors, such investments are classified as Level 3 investments.
GSAM did not
develop the unobservable inputs for the valuation of Level 3 Assets and Liabilities.
Fair Value Hierarchy — The following is
a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of June 30, 2018:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets |
|
| Fixed Income |
|
| Bank Loans |
|
$ |
— |
|
|
$ |
37,556,764 |
|
|
$ |
2,369,824 |
|
| Other Secured Debt Obligations |
|
|
— |
|
|
|
45,888,185 |
|
|
|
— |
|
| Unsecured Debt Obligations |
|
|
— |
|
|
|
113,642,636 |
|
|
|
— |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
8,489,776 |
|
|
|
— |
|
| Common Stock and/or Other Equity
Investments(a) |
|
| North America |
|
|
— |
|
|
|
300,372 |
|
|
|
— |
|
| Warrants |
|
|
— |
|
|
|
— |
|
|
|
17 |
|
| Investment Company |
|
|
13,959,316 |
|
|
|
— |
|
|
|
— |
|
| Total |
|
$ |
13,959,316 |
|
|
$ |
205,877,733 |
|
|
$ |
2,369,841 |
|
|
|
|
|
| Derivative Type |
|
|
|
|
|
|
|
|
|
| Liabilities |
|
| Interest Rate Swap Contracts(b) |
|
$ |
— |
|
|
$ |
32,802 |
|
|
$ |
— |
|
| Credit Default Swap Contracts(b) |
|
|
— |
|
|
|
592,479 |
|
|
|
— |
|
| Total |
|
$ |
— |
|
|
$ |
625,281 |
|
|
$ |
— |
|
| (a) |
|
Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security
valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Fund utilize fair value model prices provided by an independent fair value service for international equities,
resulting in a Level 2 classification. |
| (b) |
|
Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedules of Investments.
The Funds’ risks include, but are not limited to, the following:
Derivatives Risk — The Funds’ use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly
in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Funds. Derivatives
are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks
different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if
any) being hedged.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and
considerations not typically associated with investing in the United States. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social
stability in the countries in which the Funds invest. The imposition of exchange controls
GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
(including repatriation restrictions), confiscations, trade restrictions (including tariffs) and other government restrictions by the United States or
other governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in
such foreign currency (or other instruments through which the Funds have exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Funds also invest in
securities of issuers located in emerging markets, these risks may be more pronounced.
Foreign Custody Risk — If a Fund invests
in foreign securities, the Fund may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently
organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place
limitations on a Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy. Investments in emerging markets may be subject to even greater custody risks than investments in more developed markets. Custody services in
emerging market countries are very often undeveloped and may be considerably less well regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries.
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Funds will generally decline in value.
Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with changing interest rates may have unpredictable effects
on the markets and the Funds’ investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Funds.
Investments in Other Investment Companies Risk — As a shareholder of another investment company, including an exchange-traded fund (“ETF”), a Fund will indirectly bear its
proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds,
including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds,
institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a
Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions may cause a Fund to sell portfolio securities at times when it would not
otherwise do so, which may negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction
costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a
Fund’s performance to the extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.
Leverage Risk — Leverage creates exposure to potential gains and losses in excess of the initial amount invested. Borrowing and the use of derivatives may result in leverage and may make a
Fund more volatile. When a Fund uses leverage, the sum of that Fund’s investment exposure may significantly exceed the amount of assets invested in the Fund, although these exposures may vary over time. Relatively small market movements may
result in large changes in the value of a leveraged investment. A Fund will identify liquid assets on its books or otherwise cover transactions that may give rise to such risk, to the extent required by applicable law. The use of leverage may cause
a Fund to liquidate portfolio positions to satisfy its obligations or to meet segregation requirements when it may not be advantageous to do so. The use of leverage by a Fund can substantially increase the adverse impact to which the Fund’s
investment portfolio may be subject.
Liquidity Risk — A Fund may make investments that are illiquid or that may become less
liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable
time period because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions.
Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be
magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity.
GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
Loan-Related Investments Risk — In addition to risks generally associated with debt investments, loan-related investments such as loan
participations and assignments are subject to other risks. Although a loan obligation may be fully collateralized at the time of acquisition, the collateral may decline in value, be relatively illiquid, or lose all or substantially all of its value
subsequent to investment. Many loan investments are subject to legal or contractual restrictions on resale and may be relatively illiquid and difficult to value. There is less readily available, reliable information about most loan investments than
is the case for many other types of securities. Substantial increases in interest rates may cause an increase in loan obligation defaults. With respect to loan participations, the Fund may not always have direct recourse against a borrower if the
borrower fails to pay scheduled principal and/or interest; may be subject to greater delays, expenses and risks than if the Fund had purchased a direct obligation of the borrower; and may be regarded as the creditor of the agent lender (rather than
the borrower), subjecting the Fund to the creditworthiness of that lender as well. Investors in loans, such as the Fund, may not be entitled to rely on the anti-fraud protections of the federal securities laws, although they may be entitled to
certain contractual remedies. The market for loan obligations may be subject to irregular trading activity, wide bid/ask spreads and extended trade settlement periods. Because transactions in many loans are subject to extended trade settlement
periods, the Fund may not receive the proceeds from the sale of a loan for a period after the sale. As a result, sale proceeds related to the sale of loans may not be available to make additional investments or to meet the Fund’s redemption
obligations for a period after the sale of the loans, and, as a result, the Fund may have to sell other investments or engage in borrowing transactions, such as borrowing from its credit facility, if necessary to raise cash to meet its obligations.
Senior Loans hold the most senior position in the capital structure of a business entity, and are typically secured with specific collateral,
but are nevertheless usually rated below investment grade. Because Second Lien Loans are subordinated or unsecured and thus lower in priority of payment to Senior Loans, they are subject to the additional risk that the cash flow of the borrower and
property securing the loan or debt, if any, may be insufficient to meet scheduled payments after giving effect to the senior secured obligations of the borrower. Second Lien Loans generally have greater price volatility than Senior Loans and may be
less liquid.
Market and Credit Risks — In the normal course of business, the Funds trade financial instruments and enter into
financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Funds may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or
entity with which the Funds have unsettled or open transactions defaults.
Short Position Risk — A Fund may enter into a short
position through a futures contract, an option or swap agreement or through short sales of any instrument that a Fund may purchase for investment. Taking short positions involves leverage of a Fund’s assets and presents various risks, including
counterparty risk. If the value of the underlying instrument or market in which a Fund has taken a short position increases, then the Fund will incur a loss equal to the increase in value from the time that the short position was entered into plus
any related interest payments or other fees. Taking short positions involves the risk that losses may be disproportionate, may exceed the amount invested, and may be unlimited. To the extent that the Fund uses the proceeds it receives from a short
position to take additional long positions, the risks associated with the short position, including leverage risks, may be heightened, because doing so increases the exposure of the Fund to the markets and therefore could magnify changes to the
Fund’s NAV.
GOLDMAN SACHS BOND FUND
Schedule of Investments
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – 28.0% |
| Aerospace & Defense – 0.7% |
| General Dynamics Corp. |
| $ |
|
|
850,000 |
|
|
|
3.000 |
% |
|
05/11/21 |
|
$ 847,269 |
|
|
|
275,000 |
|
|
|
3.375 |
(a) |
|
05/15/23 |
|
275,556 |
| (3M USD LIBOR + 0.380%) |
|
|
|
475,000 |
|
|
|
2.736 |
(b) |
|
05/11/21 |
|
476,654 |
| Northrop Grumman
Corp.(a) |
|
|
|
1,250,000 |
|
|
|
2.930 |
|
|
01/15/25 |
|
1,186,704 |
|
|
|
1,275,000 |
|
|
|
3.250 |
|
|
01/15/28 |
|
1,197,815 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,983,998 |
| |
| Agriculture – 0.3% |
| BAT Capital
Corp.(a)(c) |
|
|
|
990,000 |
|
|
|
3.222 |
|
|
08/15/24 |
|
937,761 |
|
|
|
275,000 |
|
|
|
3.557 |
|
|
08/15/27 |
|
255,861 |
| Reynolds American, Inc. |
|
|
|
700,000 |
|
|
|
4.850 |
|
|
09/15/23 |
|
727,608 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,921,230 |
| |
| Banks – 9.9% |
| Banco Santander SA |
|
|
|
1,000,000 |
|
|
|
3.125 |
|
|
02/23/23 |
|
948,910 |
|
|
|
600,000 |
|
|
|
4.250 |
|
|
04/11/27 |
|
570,306 |
|
|
|
400,000 |
|
|
|
4.379 |
|
|
04/12/28 |
|
382,451 |
| Bank of America Corp. |
|
|
|
625,000 |
|
|
|
4.125 |
|
|
01/22/24 |
|
635,288 |
|
|
|
311,000 |
|
|
|
4.000 |
|
|
04/01/24 |
|
313,725 |
|
|
|
1,300,000 |
|
|
|
3.248 |
(a) |
|
10/21/27 |
|
1,211,561 |
|
|
|
925,000 |
|
|
|
4.183 |
(a) |
|
11/25/27 |
|
900,856 |
|
|
|
100,000 |
|
|
|
6.110 |
|
|
01/29/37 |
|
114,870 |
| (3M USD LIBOR + 1.040%) |
|
|
|
279,000 |
|
|
|
3.419 |
(a)(b) |
|
12/20/28 |
|
262,727 |
| (3M USD LIBOR + 1.575%) |
|
|
|
1,250,000 |
|
|
|
3.824 |
(a)(b) |
|
01/20/28 |
|
1,219,308 |
| Barclays PLC |
|
|
|
225,000 |
|
|
|
4.950 |
|
|
01/10/47 |
|
210,938 |
| (5 year USD Swap + 5.022%) |
|
|
|
200,000 |
|
|
|
6.625 |
(a)(b)(d) |
|
09/15/66 |
|
200,250 |
| BNP Paribas SA(c) |
|
|
|
1,525,000 |
|
|
|
3.500 |
|
|
03/01/23 |
|
1,486,423 |
|
|
|
550,000 |
|
|
|
3.375 |
|
|
01/09/25 |
|
519,575 |
| BNP Paribas/BNP Paribas US Medium-Term Note Program LLC |
|
|
|
800,000 |
|
|
|
3.250 |
|
|
03/03/23 |
|
790,148 |
| CIT Group,
Inc.(a) |
|
|
|
1,450,000 |
|
|
|
5.250 |
|
|
03/07/25 |
|
1,466,313 |
| Citibank NA(a) |
|
|
|
1,450,000 |
|
|
|
3.050 |
|
|
05/01/20 |
|
1,449,471 |
| Citigroup, Inc. |
|
|
|
125,000 |
|
|
|
4.300 |
|
|
11/20/26 |
|
121,974 |
|
|
|
1,200,000 |
|
|
|
4.125 |
|
|
07/25/28 |
|
1,148,866 |
| Cooperatieve Rabobank UA |
|
|
|
875,000 |
|
|
|
3.125 |
|
|
04/26/21 |
|
871,647 |
| (3M USD LIBOR + 0.430%) |
|
|
|
750,000 |
|
|
|
2.792 |
(b) |
|
04/26/21 |
|
750,555 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations
– (continued) |
| Banks – (continued) |
| Credit Suisse Group
AG(a)(c) |
| $ |
|
|
875,000 |
|
|
|
4.282 |
% |
|
01/09/28 |
|
$ 851,153 |
| (3M USD LIBOR + 1.410%) |
|
|
|
525,000 |
|
|
|
3.869 |
(b) |
|
01/12/29 |
|
493,672 |
| Credit Suisse Group Funding Guernsey Ltd. |
|
|
|
307,000 |
|
|
|
4.550 |
|
|
04/17/26 |
|
306,976 |
| Deutsche Bank AG |
|
|
|
225,000 |
|
|
|
2.500 |
|
|
02/13/19 |
|
223,438 |
|
|
|
1,275,000 |
|
|
|
2.700 |
|
|
07/13/20 |
|
1,243,639 |
| HSBC Holdings
PLC(a)(b) |
| (3M USD LIBOR + 1.000%) |
|
|
|
450,000 |
|
|
|
3.326 |
|
|
05/18/24 |
|
448,650 |
| (3M USD LIBOR + 1.055%) |
|
|
|
1,150,000 |
|
|
|
3.262 |
|
|
03/13/23 |
|
1,126,451 |
| Huntington Bancshares,
Inc.(a) |
|
|
|
825,000 |
|
|
|
4.000 |
|
|
05/15/25 |
|
827,421 |
| ING Bank NV(a)(b)(5 year USD ICE Swap
+ 2.700%) |
|
|
|
700,000 |
|
|
|
4.125 |
|
|
11/21/23 |
|
701,680 |
| Intesa Sanpaolo
SpA(c) |
|
|
|
1,575,000 |
|
|
|
3.375 |
|
|
01/12/23 |
|
1,447,733 |
| JPMorgan Chase &
Co.(a) |
|
|
|
1,075,000 |
|
|
|
2.972 |
|
|
01/15/23 |
|
1,047,007 |
|
|
|
1,200,000 |
|
|
|
3.625 |
|
|
12/01/27 |
|
1,128,223 |
| (3M USD LIBOR + 0.945%) |
|
|
|
875,000 |
|
|
|
3.509 |
(b) |
|
01/23/29 |
|
829,023 |
| (3M USD LIBOR + 1.337%) |
|
|
|
350,000 |
|
|
|
3.782 |
(b) |
|
02/01/28 |
|
341,479 |
| (3M USD LIBOR + 1.360%) |
|
|
|
425,000 |
|
|
|
3.882 |
(b) |
|
07/24/38 |
|
392,527 |
| (3M USD LIBOR + 3.800%) |
|
|
|
1,075,000 |
|
|
|
5.300 |
(b) |
|
05/01/49 |
|
1,094,888 |
| Kreditanstalt fuer Wiederaufbau |
|
|
|
12,490,000 |
|
|
|
1.500 |
|
|
09/09/19 |
|
12,336,373 |
| Mitsubishi UFJ Financial Group, Inc. |
|
|
|
302,000 |
|
|
|
2.950 |
|
|
03/01/21 |
|
298,740 |
| Morgan Stanley, Inc. |
|
|
|
325,000 |
|
|
|
3.875 |
|
|
04/29/24 |
|
325,575 |
|
|
|
1,050,000 |
|
|
|
3.700 |
|
|
10/23/24 |
|
1,036,608 |
|
|
|
50,000 |
|
|
|
4.000 |
|
|
07/23/25 |
|
49,848 |
| (3M USD LIBOR + 0.847%) |
|
|
|
750,000 |
|
|
|
3.737 |
(a)(b) |
|
04/24/24 |
|
745,500 |
| (3M USD LIBOR + 1.400%) |
|
|
|
1,550,000 |
|
|
|
3.759 |
(a)(b) |
|
10/24/23 |
|
1,585,470 |
| Royal Bank of Canada |
|
|
|
850,000 |
|
|
|
3.200 |
|
|
04/30/21 |
|
849,633 |
| (3M USD LIBOR + 0.390%) |
|
|
|
875,000 |
|
|
|
2.749 |
(b) |
|
04/30/21 |
|
874,704 |
| Royal Bank of Scotland Group PLC |
|
|
|
826,000 |
|
|
|
3.875 |
|
|
09/12/23 |
|
802,394 |
| (3M USD LIBOR + 1.480%) |
|
|
|
1,525,000 |
|
|
|
3.498 |
(a)(b) |
|
05/15/23 |
|
1,477,280 |
| |
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Banks – (continued) |
| (3M USD LIBOR + 1.550%) |
| $ |
|
|
700,000 |
|
|
|
4.519 |
%(a)(b) |
|
06/25/24 |
|
$ 700,502 |
| SunTrust Bank(a)(b)(3M USD LIBOR
+ 0.298%) |
|
|
|
1,295,000 |
|
|
|
2.590 |
|
|
01/29/21 |
|
1,283,532 |
| UniCredit SpA(c) |
|
|
|
250,000 |
|
|
|
3.750 |
|
|
04/12/22 |
|
238,599 |
|
|
|
225,000 |
|
|
|
4.625 |
|
|
04/12/27 |
|
209,176 |
| Wells Fargo & Co. |
|
|
|
2,750,000 |
|
|
|
3.000 |
|
|
10/23/26 |
|
2,539,173 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
53,433,229 |
| |
| Beverages(a) –
0.8% |
| Anheuser-Busch InBev Finance, Inc. |
|
|
|
325,000 |
|
|
|
4.700 |
|
|
02/01/36 |
|
329,403 |
|
|
|
725,000 |
|
|
|
4.900 |
|
|
02/01/46 |
|
745,574 |
| Anheuser-Busch InBev Worldwide, Inc. |
|
|
|
2,000,000 |
|
|
|
4.000 |
|
|
04/13/28 |
|
1,995,355 |
|
|
|
350,000 |
|
|
|
4.600 |
|
|
04/15/48 |
|
344,839 |
| Bacardi Ltd.(c) |
|
|
|
100,000 |
|
|
|
5.300 |
|
|
05/15/48 |
|
94,773 |
| Maple Escrow Subsidiary,
Inc.(c) |
|
|
|
750,000 |
|
|
|
4.057 |
|
|
05/25/23 |
|
751,829 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,261,773 |
| |
| Chemicals – 1.0% |
| LyondellBasell Industries
NV(a) |
|
|
|
300,000 |
|
|
|
5.000 |
|
|
04/15/19 |
|
302,966 |
| Syngenta Finance
NV(c) |
|
|
|
1,210,000 |
|
|
|
3.698 |
|
|
04/24/20 |
|
1,205,607 |
|
|
|
1,485,000 |
|
|
|
3.933 |
|
|
04/23/21 |
|
1,481,235 |
|
|
|
540,000 |
|
|
|
4.441 |
(a) |
|
04/24/23 |
|
536,977 |
|
|
|
800,000 |
|
|
|
4.892 |
(a) |
|
04/24/25 |
|
784,382 |
| The Sherwin-Williams
Co.(a) |
|
|
|
225,000 |
|
|
|
2.750 |
|
|
06/01/22 |
|
218,024 |
|
|
|
500,000 |
|
|
|
3.450 |
|
|
06/01/27 |
|
472,385 |
|
|
|
300,000 |
|
|
|
4.500 |
|
|
06/01/47 |
|
286,324 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,287,900 |
| |
| Commercial Services – 0.1% |
| Rensselaer Polytechnic Institute |
|
|
|
350,000 |
|
|
|
5.600 |
|
|
09/01/20 |
|
365,705 |
| |
| Computers(a) –
0.2% |
| Dell International LLC/EMC
Corp.(c) |
|
|
|
375,000 |
|
|
|
5.450 |
|
|
06/15/23 |
|
392,489 |
| Hewlett Packard Enterprise Co. |
|
|
|
525,000 |
|
|
|
4.900 |
|
|
10/15/25 |
|
535,866 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
928,355 |
| |
| Diversified Financial Services – 0.8% |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
|
|
|
1,150,000 |
|
|
|
4.625 |
|
|
07/01/22 |
|
1,172,711 |
|
|
|
850,000 |
|
|
|
3.300 |
(a) |
|
01/23/23 |
|
817,005 |
| Huarong Finance 2017 Co. Ltd. |
|
|
|
360,000 |
|
|
|
4.750 |
|
|
04/27/27 |
|
346,389 |
| International Lease Finance
Corp.(c) |
|
|
|
575,000 |
|
|
|
7.125 |
|
|
09/01/18 |
|
578,751 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Diversified Financial Services – (continued) |
| Synchrony
Financial(a) |
| $ |
|
|
100,000 |
|
|
|
4.250 |
% |
|
08/15/24 |
|
$ 98,031 |
|
|
|
1,298,000 |
|
|
|
4.500 |
|
|
07/23/25 |
|
1,274,779 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,287,666 |
| |
| Electrical – 1.2% |
| Alliant Energy Finance
LLC(a)(c) |
|
|
|
375,000 |
|
|
|
3.750 |
|
|
06/15/23 |
|
374,931 |
|
|
|
100,000 |
|
|
|
4.250 |
|
|
06/15/28 |
|
99,974 |
| Berkshire Hathaway Energy
Co.(a) |
|
|
|
475,000 |
|
|
|
3.250 |
|
|
04/15/28 |
|
451,748 |
| Consumers Energy
Co.(a) |
|
|
|
850,000 |
|
|
|
3.950 |
|
|
05/15/43 |
|
839,021 |
| Duke Energy Carolinas
LLC(a) |
|
|
|
475,000 |
|
|
|
3.950 |
|
|
03/15/48 |
|
460,013 |
| Duke Energy
Corp.(a) |
|
|
|
1,175,000 |
|
|
|
3.150 |
|
|
08/15/27 |
|
1,090,641 |
| Florida Power & Light
Co.(a) |
|
|
|
450,000 |
|
|
|
3.950 |
|
|
03/01/48 |
|
441,862 |
| Pacific Gas & Electric Co. |
|
|
|
225,000 |
|
|
|
3.300 |
(a) |
|
03/15/27 |
|
203,287 |
|
|
|
150,000 |
|
|
|
6.050 |
|
|
03/01/34 |
|
161,981 |
|
|
|
350,000 |
|
|
|
4.000 |
(a) |
|
12/01/46 |
|
301,630 |
| Sempra Energy(a)(b)(3M USD LIBOR
+ 0.500%) |
|
|
|
1,125,000 |
|
|
|
2.848 |
|
|
01/15/21 |
|
1,125,566 |
| The Southern
Co.(a) |
|
|
|
1,050,000 |
|
|
|
3.250 |
|
|
07/01/26 |
|
985,606 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,536,260 |
| |
| Gas(a)(c) –
0.1% |
| NiSource, Inc. |
|
|
|
575,000 |
|
|
|
3.650 |
|
|
06/15/23 |
|
574,412 |
| |
| Healthcare Providers & Services(a) –
0.7% |
| Becton Dickinson & Co. |
|
|
|
1,525,000 |
|
|
|
2.894 |
|
|
06/06/22 |
|
1,475,031 |
|
|
|
300,000 |
|
|
|
3.363 |
|
|
06/06/24 |
|
288,175 |
|
|
|
475,000 |
|
|
|
4.685 |
|
|
12/15/44 |
|
460,407 |
|
|
|
175,000 |
|
|
|
4.669 |
|
|
06/06/47 |
|
169,124 |
| (3M USD LIBOR + 0.875%) |
|
|
|
1,225,000 |
|
|
|
3.211 |
(b) |
|
12/29/20 |
|
1,227,002 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,619,739 |
| |
| Insurance – 0.7% |
| American International Group,
Inc.(a) |
|
|
|
375,000 |
|
|
|
4.200 |
|
|
04/01/28 |
|
366,889 |
| AXA Equitable Holdings,
Inc.(a)(c) |
|
|
|
325,000 |
|
|
|
3.900 |
|
|
04/20/23 |
|
322,440 |
|
|
|
125,000 |
|
|
|
4.350 |
|
|
04/20/28 |
|
119,496 |
| Great-West Lifeco Finance 2018
LP(a)(c) |
|
|
|
325,000 |
|
|
|
4.047 |
|
|
05/17/28 |
|
327,556 |
| MetLife, Inc. |
|
|
|
150,000 |
|
|
|
4.050 |
|
|
03/01/45 |
|
139,311 |
| Prudential Financial,
Inc.(a) |
|
|
|
525,000 |
|
|
|
3.878 |
|
|
03/27/28 |
|
518,976 |
| Teachers Insurance & Annuity Association of America(c) |
|
|
|
295,000 |
|
|
|
4.900 |
|
|
09/15/44 |
|
310,540 |
| The Northwestern Mutual Life Insurance
Co.(c) |
|
|
|
800,000 |
|
|
|
6.063 |
|
|
03/30/40 |
|
994,752 |
| |
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Insurance – (continued) |
| XLIT Ltd. |
| $ |
|
|
775,000 |
|
|
|
4.450 |
% |
|
03/31/25 |
|
$ 762,509 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,862,469 |
| |
| Internet(a) –
0.2% |
| Amazon.com, Inc. |
|
|
|
400,000 |
|
|
|
3.875 |
|
|
08/22/37 |
|
390,445 |
| Symantec Corp.(c) |
|
|
|
600,000 |
|
|
|
5.000 |
|
|
04/15/25 |
|
579,829 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
970,274 |
| |
| Iron & Steel – 0.0% |
| ABJA Investment Co. Pte Ltd. |
|
|
|
200,000 |
|
|
|
5.450 |
|
|
01/24/28 |
|
169,500 |
| |
| Machinery - Construction & Mining(a)
– 0.1% |
| Oshkosh Corp. |
|
|
|
425,000 |
|
|
|
4.600 |
|
|
05/15/28 |
|
423,937 |
| |
| Media – 1.3% |
| 21st Century Fox America, Inc. |
|
|
|
1,125,000 |
|
|
|
4.000 |
|
|
10/01/23 |
|
1,139,705 |
| Altice Financing
SA(a)(c) |
|
|
|
600,000 |
|
|
|
6.625 |
|
|
02/15/23 |
|
589,500 |
| Altice France
SA(a)(c) |
|
|
|
1,000,000 |
|
|
|
6.000 |
|
|
05/15/22 |
|
1,006,250 |
| Charter Communications Operating LLC/Charter Communications Operating Capital(a) |
|
|
|
1,075,000 |
|
|
|
3.579 |
|
|
07/23/20 |
|
1,073,635 |
|
|
|
1,175,000 |
|
|
|
4.464 |
|
|
07/23/22 |
|
1,189,437 |
|
|
|
825,000 |
|
|
|
4.500 |
|
|
02/01/24 |
|
824,188 |
|
|
|
700,000 |
|
|
|
4.908 |
|
|
07/23/25 |
|
706,919 |
| NBCUniversal Media LLC |
|
|
|
458,000 |
|
|
|
4.450 |
|
|
01/15/43 |
|
432,960 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,962,594 |
| |
| Mining(c) –
0.2% |
| Glencore Finance Canada Ltd. |
|
|
|
650,000 |
|
|
|
4.250 |
|
|
10/25/22 |
|
657,339 |
| Glencore Funding LLC |
|
|
|
325,000 |
|
|
|
4.125 |
|
|
05/30/23 |
|
324,288 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
981,627 |
| |
| Oil Field Services – 1.7% |
| Anadarko Petroleum Corp. |
|
|
|
475,000 |
|
|
|
8.700 |
|
|
03/15/19 |
|
493,468 |
|
|
|
330,000 |
|
|
|
3.450 |
(a) |
|
07/15/24 |
|
317,095 |
|
|
|
300,000 |
|
|
|
5.550 |
(a) |
|
03/15/26 |
|
321,515 |
|
|
|
250,000 |
|
|
|
6.450 |
|
|
09/15/36 |
|
288,914 |
| Canadian Natural Resources
Ltd.(a) |
|
|
|
775,000 |
|
|
|
3.850 |
|
|
06/01/27 |
|
756,136 |
| Concho Resources,
Inc.(a) |
|
|
|
475,000 |
|
|
|
4.300 |
|
|
08/15/28 |
|
476,104 |
| Continental Resources,
Inc.(a) |
|
|
|
1,100,000 |
|
|
|
4.500 |
|
|
04/15/23 |
|
1,117,875 |
| Devon Energy
Corp.(a) |
|
|
|
250,000 |
|
|
|
3.250 |
|
|
05/15/22 |
|
245,755 |
|
|
|
380,000 |
|
|
|
5.600 |
|
|
07/15/41 |
|
409,896 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Oil Field Services – (continued) |
| Gazprom OAO Via Gaz Capital SA |
| $ |
|
|
240,000 |
|
|
|
7.288 |
% |
|
08/16/37 |
|
$ 270,000 |
| Halliburton
Co.(a) |
|
|
|
125,000 |
|
|
|
3.800 |
|
|
11/15/25 |
|
124,106 |
|
|
|
250,000 |
|
|
|
4.850 |
|
|
11/15/35 |
|
258,516 |
| Marathon Oil
Corp.(a) |
|
|
|
600,000 |
|
|
|
4.400 |
|
|
07/15/27 |
|
602,122 |
| Petroleos de Venezuela SA |
|
|
|
4,440,000 |
|
|
|
6.000 |
|
|
10/28/22 |
|
821,400 |
|
|
|
1,660,000 |
|
|
|
5.375 |
(e) |
|
04/12/27 |
|
374,636 |
| Petroleos Mexicanos |
| EUR |
|
|
410,000 |
|
|
|
5.125 |
|
|
03/15/23 |
|
524,882 |
| $ |
|
|
300,000 |
|
|
|
6.500 |
|
|
03/13/27 |
|
307,626 |
| Phillips 66(a) |
|
|
|
925,000 |
|
|
|
3.900 |
|
|
03/15/28 |
|
902,782 |
| Pioneer Natural Resources
Co.(a) |
|
|
|
410,000 |
|
|
|
3.950 |
|
|
07/15/22 |
|
414,687 |
| Reliance Industries
Ltd.(c) |
|
|
|
320,000 |
|
|
|
3.667 |
|
|
11/30/27 |
|
294,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,321,515 |
| |
| Pharmaceuticals(a) –
1.6% |
| Allergan Funding SCS |
|
|
|
150,000 |
|
|
|
4.850 |
|
|
06/15/44 |
|
144,885 |
| Bayer US Finance II
LLC(c) |
|
|
|
950,000 |
|
|
|
3.875 |
|
|
12/15/23 |
|
950,040 |
|
|
|
1,875,000 |
|
|
|
4.250 |
|
|
12/15/25 |
|
1,885,033 |
|
|
|
1,375,000 |
|
|
|
4.375 |
|
|
12/15/28 |
|
1,377,615 |
| CVS Health Corp. |
|
|
|
425,000 |
|
|
|
3.500 |
|
|
07/20/22 |
|
421,255 |
|
|
|
1,025,000 |
|
|
|
3.375 |
|
|
08/12/24 |
|
989,458 |
|
|
|
1,550,000 |
|
|
|
3.875 |
|
|
07/20/25 |
|
1,501,847 |
|
|
|
175,000 |
|
|
|
5.125 |
|
|
07/20/45 |
|
177,324 |
|
|
|
725,000 |
|
|
|
5.050 |
|
|
03/25/48 |
|
737,830 |
| Valeant Pharmaceuticals International,
Inc.(c) |
|
|
|
450,000 |
|
|
|
7.000 |
|
|
03/15/24 |
|
471,375 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,656,662 |
| |
| Pipelines – 1.9% |
| Energy Transfer Partners
LP(a) |
|
|
|
350,000 |
|
|
|
4.650 |
|
|
06/01/21 |
|
358,400 |
|
|
|
875,000 |
|
|
|
4.200 |
|
|
09/15/23 |
|
874,570 |
|
|
|
275,000 |
|
|
|
5.300 |
|
|
04/15/47 |
|
252,106 |
| Enterprise Products Operating
LLC(a)(b)(3M USD LIBOR + 3.708%) |
|
|
|
1,075,000 |
|
|
|
6.066 |
|
|
08/01/66 |
|
1,077,687 |
| EQT Midstream Partners
LP(a) |
|
|
|
1,125,000 |
|
|
|
4.750 |
|
|
07/15/23 |
|
1,123,187 |
| Kinder Morgan Energy Partners
LP(a) |
|
|
|
1,025,000 |
|
|
|
3.500 |
|
|
09/01/23 |
|
995,962 |
| Kinder Morgan, Inc. |
|
|
|
500 |
|
|
|
7.750 |
|
|
01/15/32 |
|
611 |
| MPLX LP(a) |
|
|
|
425,000 |
|
|
|
4.500 |
|
|
04/15/38 |
|
392,550 |
|
|
|
175,000 |
|
|
|
4.700 |
|
|
04/15/48 |
|
162,261 |
| Plains All American Pipeline LP/PAA Finance Corp.(a) |
|
|
|
600,000 |
|
|
|
3.650 |
|
|
06/01/22 |
|
588,145 |
|
|
|
925,000 |
|
|
|
3.850 |
|
|
10/15/23 |
|
901,526 |
| |
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Pipelines – (continued) |
| Sabine Pass Liquefaction
LLC(a) |
| $ |
|
|
800,000 |
|
|
|
6.250 |
% |
|
03/15/22 |
|
$ 860,610 |
|
|
|
900,000 |
|
|
|
5.625 |
|
|
03/01/25 |
|
955,125 |
| Sunoco Logistics Partners Operations
LP(a) |
|
|
|
200,000 |
|
|
|
4.250 |
|
|
04/01/24 |
|
198,108 |
| Williams Partners
LP(a) |
|
|
|
915,000 |
|
|
|
3.600 |
|
|
03/15/22 |
|
910,528 |
|
|
|
600,000 |
|
|
|
3.900 |
|
|
01/15/25 |
|
585,314 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,236,690 |
| |
| Real Estate Investment Trust – 1.1% |
| American Campus Communities Operating Partnership LP(a) |
|
|
|
800,000 |
|
|
|
3.750 |
|
|
04/15/23 |
|
795,728 |
| American Homes 4 Rent
LP(a) |
|
|
|
290,000 |
|
|
|
4.250 |
|
|
02/15/28 |
|
277,724 |
| American Tower Corp. |
|
|
|
300,000 |
|
|
|
3.400 |
|
|
02/15/19 |
|
300,807 |
| China Evergrande
Group(a) |
|
|
|
480,000 |
|
|
|
8.750 |
|
|
06/28/25 |
|
421,973 |
| Crown Castle International Corp. |
|
|
|
575,000 |
|
|
|
5.250 |
|
|
01/15/23 |
|
601,867 |
|
|
|
1,275,000 |
|
|
|
3.150 |
(a) |
|
07/15/23 |
|
1,220,527 |
|
|
|
150,000 |
|
|
|
3.650 |
(a) |
|
09/01/27 |
|
139,523 |
| Kaisa Group Holdings
Ltd.(a) |
|
|
|
200,000 |
|
|
|
9.375 |
|
|
06/30/24 |
|
152,250 |
| National Retail Properties,
Inc.(a) |
|
|
|
400,000 |
|
|
|
4.000 |
|
|
11/15/25 |
|
392,439 |
| Trust
F/1401(a)(c) |
|
|
|
300,000 |
|
|
|
5.250 |
|
|
12/15/24 |
|
294,375 |
| VEREIT Operating Partnership
LP(a) |
|
|
|
575,000 |
|
|
|
3.000 |
|
|
02/06/19 |
|
574,876 |
|
|
|
750,000 |
|
|
|
4.125 |
|
|
06/01/21 |
|
760,372 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,932,461 |
| |
| Retailing(a) –
0.2% |
| Dollar Tree, Inc. |
|
|
|
775,000 |
|
|
|
4.000 |
|
|
05/15/25 |
|
757,410 |
| Walmart, Inc. |
|
|
|
375,000 |
|
|
|
4.050 |
|
|
06/29/48 |
|
377,621 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,135,031 |
| |
| Semiconductors – 0.3% |
| Broadcom Corp./Broadcom Cayman Finance
Ltd.(a) |
|
|
|
1,100,000 |
|
|
|
3.000 |
|
|
01/15/22 |
|
1,069,927 |
| Microchip Technology,
Inc.(c) |
|
|
|
525,000 |
|
|
|
3.922 |
|
|
06/01/21 |
|
525,872 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,595,799 |
| |
| Software(a) –
0.2% |
| Microsoft Corp. |
|
|
|
800,000 |
|
|
|
3.125 |
|
|
11/03/25 |
|
785,924 |
| Oracle Corp. |
|
|
|
600,000 |
|
|
|
4.000 |
|
|
07/15/46 |
|
566,148 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,352,072 |
| |
| Telecommunication Services – 2.6% |
| AT&T, Inc.(a) |
|
|
|
1,375,000 |
|
|
|
3.000 |
|
|
06/30/22 |
|
1,334,845 |
|
|
|
400,000 |
|
|
|
4.450 |
|
|
04/01/24 |
|
403,824 |
|
|
|
1,700,000 |
|
|
|
3.400 |
|
|
05/15/25 |
|
1,594,157 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Telecommunication Services – (continued) |
| AT&T, Inc.(a) –
(continued) |
| $ |
|
|
600,000 |
|
|
|
4.125 |
% |
|
02/17/26 |
|
$ 586,449 |
|
|
|
250,000 |
|
|
|
5.450 |
|
|
03/01/47 |
|
245,396 |
| Digicel
Ltd.(a)(c) |
|
|
|
200,000 |
|
|
|
6.000 |
|
|
04/15/21 |
|
180,500 |
|
|
|
800,000 |
|
|
|
6.750 |
|
|
03/01/23 |
|
664,000 |
| Nokia OYJ |
|
|
|
579,000 |
|
|
|
4.375 |
|
|
06/12/27 |
|
541,977 |
| Sprint Communications,
Inc.(c) |
|
|
|
250,000 |
|
|
|
7.000 |
|
|
03/01/20 |
|
259,375 |
| T-Mobile USA,
Inc.(a) |
|
|
|
550,000 |
|
|
|
4.500 |
|
|
02/01/26 |
|
513,562 |
| Telecom Italia Capital SA |
|
|
|
50,000 |
|
|
|
7.200 |
|
|
07/18/36 |
|
51,500 |
| Telefonica Emisiones SAU |
|
|
|
150,000 |
|
|
|
5.462 |
|
|
02/16/21 |
|
156,984 |
| Verizon Communications, Inc. |
|
|
|
975,000 |
|
|
|
2.625 |
|
|
08/15/26 |
|
865,352 |
|
|
|
2,455,000 |
|
|
|
4.329 |
(c) |
|
09/21/28 |
|
2,433,153 |
|
|
|
300,000 |
|
|
|
5.250 |
|
|
03/16/37 |
|
308,100 |
|
|
|
50,000 |
|
|
|
4.125 |
|
|
08/15/46 |
|
42,893 |
|
|
|
50,000 |
|
|
|
4.862 |
|
|
08/21/46 |
|
47,779 |
|
|
|
1,030,000 |
|
|
|
5.012 |
|
|
04/15/49 |
|
1,003,066 |
| Vodafone Group PLC |
|
|
|
1,525,000 |
|
|
|
3.750 |
|
|
01/16/24 |
|
1,511,968 |
| Wind Tre
SpA(a)(c) |
|
|
|
1,600,000 |
|
|
|
5.000 |
|
|
01/20/26 |
|
1,260,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,004,880 |
| |
| Transportation(a) –
0.1% |
| Union Pacific Corp. |
|
|
|
725,000 |
|
|
|
3.950 |
|
|
09/10/28 |
|
728,461 |
| |
| TOTAL CORPORATE OBLIGATIONS
(Cost $156,086,466) |
|
$151,534,239 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Mortgage-Backed Obligations – 31.1% |
| Collateralized Mortgage Obligations – 4.5% |
| Interest Only(f) –
1.1% |
| FHLMC REMIC Series 4314, Class
SE(b)(-1x1M LIBOR + 6.050%) |
| $ |
|
|
939,534 |
|
|
|
4.131 |
% |
|
03/15/44 |
|
$ 148,162 |
| FHLMC REMIC Series 4320, Class
SD(b)(-1x1M LIBOR + 6.100%) |
|
|
|
4,363,409 |
|
|
|
4.181 |
|
|
07/15/39 |
|
559,001 |
| FHLMC REMIC Series 4431, Class
ST(b)(-1x1M LIBOR + 6.100%) |
|
|
|
687,019 |
|
|
|
4.181 |
|
|
01/15/45 |
|
102,967 |
| FHLMC REMIC Series 4583, Class
ST(b)(-1x1M LIBOR + 6.000%) |
|
|
|
1,870,193 |
|
|
|
3.927 |
|
|
05/15/46 |
|
307,545 |
| FHLMC STRIPS Series 304, Class C45 |
|
|
|
325,034 |
|
|
|
3.000 |
|
|
12/15/27 |
|
28,043 |
| FNMA REMIC Series 2011-124, Class
SC(b)(-1x1M LIBOR + 6.550%) |
|
|
|
508,164 |
|
|
|
4.590 |
|
|
12/25/41 |
|
81,020 |
| FNMA REMIC Series 2012-5, Class
SA(b)(-1x1M LIBOR + 5.950%) |
|
|
|
697,863 |
|
|
|
3.990 |
|
|
02/25/42 |
|
97,170 |
| FNMA REMIC Series 2012-88, Class
SB(b)(-1x1M LIBOR + 6.670%) |
|
|
|
467,548 |
|
|
|
4.710 |
|
|
07/25/42 |
|
80,182 |
| FNMA REMIC Series 2013-121, Class
SA(b)(-1x1M LIBOR + 6.100%) |
|
|
|
582,621 |
|
|
|
4.140 |
|
|
12/25/43 |
|
75,503 |
| FNMA REMIC Series 2013-130, Class
SN(b)(-1x1M LIBOR + 6.650%) |
|
|
|
943,057 |
|
|
|
4.690 |
|
|
10/25/42 |
|
142,400 |
| FNMA REMIC Series 2014-6, Class
SA(b)(-1x1M LIBOR + 6.600%) |
|
|
|
538,530 |
|
|
|
4.640 |
|
|
02/25/44 |
|
90,842 |
| |
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| Interest Only(f) –
(continued) |
| FNMA REMIC Series 2014-87, Class
MS(b)(-1x1M LIBOR + 6.250%) |
| $ |
|
|
910,621 |
|
|
|
4.290 |
% |
|
01/25/45 |
|
$ 122,803 |
| FNMA REMIC Series 2015-28, Class
PS(b)(-1x1M LIBOR + 5.600%) |
|
|
|
1,587,081 |
|
|
|
3.640 |
|
|
08/25/44 |
|
209,687 |
| FNMA REMIC Series 2015-79, Class
SA(b)(-1x1M LIBOR + 6.250%) |
|
|
|
471,692 |
|
|
|
4.290 |
|
|
11/25/45 |
|
63,649 |
| FNMA REMIC Series 2015-86, Class
BS(b)(-1x1M LIBOR + 5.700%) |
|
|
|
282,791 |
|
|
|
3.740 |
|
|
11/25/45 |
|
31,976 |
| FNMA REMIC Series 2016-1, Class
SJ(b)(-1x1M LIBOR + 6.150%) |
|
|
|
1,344,327 |
|
|
|
4.059 |
|
|
02/25/46 |
|
230,329 |
| FNMA REMIC Series 2016-69, Class
BS(b)(-1x1M LIBOR + 6.100%) |
|
|
|
2,888,237 |
|
|
|
4.140 |
|
|
10/25/46 |
|
374,473 |
| GNMA REMIC Series 2010-101, Class
S(b)(-1x1M LIBOR + 6.000%) |
|
|
|
505,855 |
|
|
|
4.052 |
|
|
08/20/40 |
|
72,372 |
| GNMA REMIC Series 2010-20, Class
SE(b)(-1x1M LIBOR + 6.250%) |
|
|
|
1,061,516 |
|
|
|
4.302 |
|
|
02/20/40 |
|
157,877 |
| GNMA REMIC Series 2010-31, Class
SA(b)(-1x1M LIBOR + 5.750%) |
|
|
|
397,832 |
|
|
|
3.803 |
|
|
03/20/40 |
|
50,898 |
| GNMA REMIC Series 2012-149, Class
MS(b)(-1x1M LIBOR + 6.250%) |
|
|
|
112,536 |
|
|
|
4.166 |
|
|
12/20/42 |
|
16,299 |
| GNMA REMIC Series 2013-134, Class
DS(b)(-1x1M LIBOR + 6.100%) |
|
|
|
144,658 |
|
|
|
4.016 |
|
|
09/20/43 |
|
20,516 |
| GNMA REMIC Series 2013-152, Class
SG(b)(-1x1M LIBOR + 6.150%) |
|
|
|
452,659 |
|
|
|
4.066 |
|
|
06/20/43 |
|
63,911 |
| GNMA REMIC Series 2013-167, Class
SG(b)(-1x1M LIBOR + 6.150%) |
|
|
|
210,558 |
|
|
|
4.202 |
|
|
11/20/43 |
|
29,734 |
| GNMA REMIC Series 2013-181, Class
SA(b)(-1x1M LIBOR + 6.100%) |
|
|
|
601,796 |
|
|
|
4.152 |
|
|
11/20/43 |
|
86,906 |
| GNMA REMIC Series 2014-132, Class
SL(b)(-1x1M LIBOR + 6.100%) |
|
|
|
738,054 |
|
|
|
4.016 |
|
|
10/20/43 |
|
96,880 |
| GNMA REMIC Series 2014-133, Class
BS(b)(-1x1M LIBOR + 5.600%) |
|
|
|
364,124 |
|
|
|
3.652 |
|
|
09/20/44 |
|
43,388 |
| GNMA REMIC Series 2014-162, Class
SA(b)(-1x1M LIBOR + 5.600%) |
|
|
|
344,382 |
|
|
|
3.652 |
|
|
11/20/44 |
|
41,923 |
| GNMA REMIC Series 2014-188, Class IB |
|
|
|
864,631 |
|
|
|
4.000 |
|
|
12/20/44 |
|
145,852 |
| GNMA REMIC Series 2014-41, Class
SA(b)(-1x1M LIBOR + 6.100%) |
|
|
|
164,890 |
|
|
|
4.016 |
|
|
03/20/44 |
|
24,245 |
| GNMA REMIC Series 2015-110, Class
MS(b)(-1x1M LIBOR + 5.710%) |
|
|
|
2,441,927 |
|
|
|
3.626 |
|
|
08/20/45 |
|
316,555 |
| GNMA REMIC Series 2015-111, Class IM |
|
|
|
1,049,532 |
|
|
|
4.000 |
|
|
08/20/45 |
|
180,043 |
| GNMA REMIC Series 2015-117, Class KI |
|
|
|
1,639,758 |
|
|
|
5.000 |
|
|
08/20/45 |
|
368,854 |
| GNMA REMIC Series 2015-119, Class
SN(b)(-1x1M LIBOR + 6.250%) |
|
|
|
495,704 |
|
|
|
4.302 |
|
|
08/20/45 |
|
75,384 |
| GNMA REMIC Series 2015-123, Class
SP(b)(-1x1M LIBOR + 6.250%) |
|
|
|
524,727 |
|
|
|
4.166 |
|
|
09/20/45 |
|
77,796 |
| GNMA REMIC Series 2015-126, Class
HS(b)(-1x1M LIBOR + 6.200%) |
|
|
|
229,639 |
|
|
|
4.116 |
|
|
09/20/45 |
|
33,486 |
| GNMA REMIC Series 2015-14, Class IO |
|
|
|
789,659 |
|
|
|
5.000 |
|
|
10/20/44 |
|
178,214 |
| GNMA REMIC Series 2015-167, Class
AS(b)(-1x1M LIBOR + 6.250%) |
|
|
|
375,850 |
|
|
|
4.166 |
|
|
11/20/45 |
|
55,746 |
| GNMA REMIC Series 2015-168, Class
SD(b)(-1x1M LIBOR + 6.200%) |
|
|
|
245,644 |
|
|
|
4.116 |
|
|
11/20/45 |
|
36,555 |
| GNMA REMIC Series 2015-57, Class
AS(b)(-1x1M LIBOR + 5.600%) |
|
|
|
2,005,604 |
|
|
|
3.652 |
|
|
04/20/45 |
|
247,875 |
| GNMA REMIC Series 2015-64, Class
SG(b)(-1x1M LIBOR + 5.600%) |
|
|
|
1,290,733 |
|
|
|
3.516 |
|
|
05/20/45 |
|
184,503 |
| GNMA REMIC Series 2016-109, Class IH |
|
|
|
1,495,547 |
|
|
|
4.000 |
|
|
10/20/45 |
|
268,984 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| Interest Only(f) –
(continued) |
| GNMA REMIC Series 2016-27, Class IA |
| $ |
|
|
778,845 |
|
|
|
4.000 |
% |
|
06/20/45 |
|
$ 123,118 |
| GNMA REMIC Series 2016-6, Class
SB(b)(-1x1M LIBOR + 5.650%) |
|
|
|
695,388 |
|
|
|
3.702 |
|
|
01/20/46 |
|
85,617 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,829,283 |
| |
| Regular Floater(b) –
0.0% |
| FNMA REMIC Series 2011-63, Class FG(1M LIBOR + 0.450%) |
|
|
|
125,093 |
|
|
|
2.410 |
|
|
07/25/41 |
|
125,860 |
| |
| Sequential Fixed Rate – 0.1% |
| FNMA REMIC Series 2005-70, Class PA |
|
|
|
66,536 |
|
|
|
5.500 |
|
|
08/25/35 |
|
72,403 |
| FNMA REMIC Series 2011-52, Class GB |
|
|
|
509,715 |
|
|
|
5.000 |
|
|
06/25/41 |
|
543,685 |
| FNMA REMIC Series 2012-111, Class B |
|
|
|
45,431 |
|
|
|
7.000 |
|
|
10/25/42 |
|
51,231 |
| FNMA REMIC Series 2012-153, Class B |
|
|
|
121,337 |
|
|
|
7.000 |
|
|
07/25/42 |
|
137,361 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
804,680 |
| |
| Sequential Floating Rate(b) –
3.3% |
| Countrywide Alternative Loan Trust Series 2006-0C8, Class 2A3(1M USD LIBOR + 0.250%) |
|
|
|
1,871,083 |
|
|
|
2.210 |
|
|
11/25/36 |
|
1,403,169 |
| Credit Suisse European Mortgage Capital Ltd. Series 2015-1HWA,
Class A(c)(g)(3M EURIBOR + 2.750%) |
| EUR |
|
|
889,457 |
|
|
|
2.750 |
|
|
04/20/20 |
|
1,035,592 |
| Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA3, Class A1(1M LIBOR +
0.140%) |
| $ |
|
|
384,121 |
|
|
|
2.100 |
|
|
07/25/47 |
|
375,128 |
| DSLA Mortgage Loan Trust Series 2006-AR2, Class 2A1A(1M USD LIBOR + 0.200%) |
|
|
|
1,659,163 |
|
|
|
2.148 |
|
|
10/19/36 |
|
1,520,990 |
| Exantas Capital Corp. Ltd. Series 2018-RSO6, Class A(c)(1M LIBOR + 0.830%) |
|
|
|
2,000,000 |
|
|
|
2.791 |
|
|
06/15/35 |
|
1,996,998 |
| FHLMC Structured Agency Credit Risk Debt Notes Series 2015-DNA1, Class M3(1M USD LIBOR +
3.300%) |
|
|
|
260,000 |
|
|
|
5.260 |
|
|
10/25/27 |
|
290,035 |
| FHLMC Structured Agency Credit Risk Debt Notes Series 2015-HQ2, Class M3(1M USD LIBOR +
3.250%) |
|
|
|
1,000,000 |
|
|
|
5.210 |
|
|
05/25/25 |
|
1,129,240 |
| Harben Finance PLC Series 2017-1X, Class A(3M GBP LIBOR + 0.800%) |
| GBP |
|
|
963,168 |
|
|
|
1.423 |
|
|
08/20/56 |
|
1,274,977 |
| London Wall Mortgage Capital PLC Series 2017-FL1, Class A(3M GBP LIBOR + 0.850%) |
|
|
|
2,333,362 |
|
|
|
1.397 |
|
|
11/15/49 |
|
3,083,871 |
| Master Adjustable Rate Mortgages Trust Series 2006-OA2, Class 4A1B(12M MTA + 1.200%) |
| $ |
|
|
211,490 |
|
|
|
2.664 |
|
|
12/25/46 |
|
209,219 |
| Ripon Mortgages PLC Series 1X, Class A1(3M GBP LIBOR + 0.800%) |
| GBP |
|
|
338,954 |
|
|
|
1.423 |
|
|
08/20/56 |
|
449,435 |
| Ripon Mortgages PLC Series 1X, Class A2(3M GBP LIBOR + 0.800%) |
|
|
|
2,943,545 |
|
|
|
1.423 |
|
|
08/20/56 |
|
3,897,141 |
| |
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| Sequential Floating Rate(b) –
(continued) |
| Station Place Securitization Trust Series 2015-2, Class A(c)(1M USD LIBOR + 0.550%) |
| $ |
|
|
950,000 |
|
|
|
2.468 |
% |
|
07/15/19 |
|
$ 950,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,615,795 |
| |
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
$ 24,375,618 |
| |
| Federal Agencies – 26.6% |
| Adjustable Rate FHLMC(b) –
0.0% |
| FHLMC(12M USD LIBOR + 1.768%) |
|
|
|
36,964 |
|
|
|
3.517 |
|
|
09/01/35 |
|
38,044 |
| |
| FHLMC – 0.3% |
|
|
|
154,660 |
|
|
|
6.000 |
|
|
08/01/27 |
|
169,020 |
|
|
|
15,735 |
|
|
|
5.000 |
|
|
08/01/33 |
|
16,779 |
|
|
|
3,043 |
|
|
|
5.000 |
|
|
09/01/33 |
|
3,245 |
|
|
|
4,132 |
|
|
|
5.000 |
|
|
10/01/33 |
|
4,406 |
|
|
|
2,074 |
|
|
|
6.000 |
|
|
12/01/33 |
|
2,321 |
|
|
|
4,010 |
|
|
|
5.000 |
|
|
11/01/34 |
|
4,276 |
|
|
|
230,927 |
|
|
|
5.000 |
|
|
12/01/34 |
|
246,259 |
|
|
|
5,955 |
|
|
|
5.000 |
|
|
07/01/35 |
|
6,350 |
|
|
|
3,195 |
|
|
|
5.000 |
|
|
11/01/35 |
|
3,407 |
|
|
|
24,191 |
|
|
|
6.500 |
|
|
08/01/37 |
|
27,331 |
|
|
|
98,474 |
|
|
|
6.500 |
|
|
10/01/37 |
|
111,743 |
|
|
|
21,109 |
|
|
|
6.500 |
|
|
09/01/38 |
|
23,844 |
|
|
|
152,395 |
|
|
|
6.000 |
|
|
01/01/39 |
|
169,883 |
|
|
|
150,972 |
|
|
|
7.000 |
|
|
02/01/39 |
|
172,556 |
|
|
|
43,151 |
|
|
|
5.000 |
|
|
03/01/39 |
|
46,086 |
|
|
|
9,268 |
|
|
|
5.000 |
|
|
05/01/39 |
|
9,898 |
|
|
|
29,970 |
|
|
|
5.000 |
|
|
04/01/40 |
|
32,038 |
|
|
|
5,056 |
|
|
|
5.000 |
|
|
08/01/40 |
|
5,403 |
|
|
|
590,378 |
|
|
|
5.500 |
|
|
08/01/40 |
|
644,430 |
|
|
|
66,300 |
|
|
|
4.000 |
|
|
02/01/41 |
|
68,159 |
|
|
|
801 |
|
|
|
5.000 |
|
|
04/01/41 |
|
859 |
|
|
|
4,544 |
|
|
|
5.000 |
|
|
06/01/41 |
|
4,854 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,773,147 |
| |
| FNMA – 16.1% |
|
|
|
7,450 |
|
|
|
6.000 |
|
|
06/01/21 |
|
7,706 |
|
|
|
22,529 |
|
|
|
5.000 |
|
|
08/01/23 |
|
23,338 |
|
|
|
10,193 |
|
|
|
5.500 |
|
|
09/01/23 |
|
10,577 |
|
|
|
6,269 |
|
|
|
5.500 |
|
|
10/01/23 |
|
6,512 |
|
|
|
43,690 |
|
|
|
5.000 |
|
|
02/01/24 |
|
45,007 |
|
|
|
34,868 |
|
|
|
5.500 |
|
|
05/01/25 |
|
35,419 |
|
|
|
41,118 |
|
|
|
6.000 |
|
|
12/01/32 |
|
45,421 |
|
|
|
784 |
|
|
|
5.500 |
|
|
03/01/33 |
|
848 |
|
|
|
80,054 |
|
|
|
5.500 |
|
|
04/01/33 |
|
87,054 |
|
|
|
207 |
|
|
|
6.000 |
|
|
05/01/33 |
|
228 |
|
|
|
2,136 |
|
|
|
5.000 |
|
|
08/01/33 |
|
2,279 |
|
|
|
593 |
|
|
|
5.500 |
|
|
09/01/33 |
|
645 |
|
|
|
19,599 |
|
|
|
5.500 |
|
|
12/01/33 |
|
21,347 |
|
|
|
104 |
|
|
|
6.000 |
|
|
12/01/33 |
|
116 |
|
|
|
696 |
|
|
|
5.500 |
|
|
02/01/34 |
|
758 |
|
|
|
8,671 |
|
|
|
6.000 |
|
|
02/01/34 |
|
9,592 |
|
|
|
1,229 |
|
|
|
5.500 |
|
|
03/01/34 |
|
1,342 |
|
|
|
142 |
|
|
|
5.500 |
|
|
04/01/34 |
|
154 |
|
|
|
3,715 |
|
|
|
5.500 |
|
|
09/01/34 |
|
4,051 |
|
|
|
1,299 |
|
|
|
5.500 |
|
|
10/01/34 |
|
1,413 |
|
|
|
4,566 |
|
|
|
5.500 |
|
|
12/01/34 |
|
4,979 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
|
Value |
| Mortgage-Backed Obligations – (continued) |
| FNMA – (continued) |
| $ |
|
|
27,858 |
|
|
|
5.000 |
% |
|
|
04/01/35 |
|
|
$ 29,808 |
|
|
|
152 |
|
|
|
6.000 |
|
|
|
04/01/35 |
|
|
169 |
|
|
|
3,174 |
|
|
|
5.500 |
|
|
|
05/01/35 |
|
|
3,452 |
|
|
|
1,500 |
|
|
|
5.500 |
|
|
|
07/01/35 |
|
|
1,634 |
|
|
|
99,979 |
|
|
|
6.000 |
|
|
|
07/01/35 |
|
|
111,062 |
|
|
|
874 |
|
|
|
5.500 |
|
|
|
09/01/35 |
|
|
951 |
|
|
|
119,278 |
|
|
|
6.000 |
|
|
|
09/01/35 |
|
|
131,505 |
|
|
|
3,286 |
|
|
|
6.000 |
|
|
|
03/01/36 |
|
|
3,648 |
|
|
|
4,953 |
|
|
|
6.000 |
|
|
|
04/01/36 |
|
|
5,496 |
|
|
|
62 |
|
|
|
5.500 |
|
|
|
02/01/37 |
|
|
67 |
|
|
|
99 |
|
|
|
5.500 |
|
|
|
04/01/37 |
|
|
108 |
|
|
|
3,416 |
|
|
|
5.000 |
|
|
|
02/01/38 |
|
|
3,628 |
|
|
|
8,589 |
|
|
|
5.500 |
|
|
|
02/01/38 |
|
|
9,264 |
|
|
|
184 |
|
|
|
5.500 |
|
|
|
03/01/38 |
|
|
201 |
|
|
|
53 |
|
|
|
5.500 |
|
|
|
06/01/38 |
|
|
58 |
|
|
|
117 |
|
|
|
5.500 |
|
|
|
07/01/38 |
|
|
127 |
|
|
|
136 |
|
|
|
5.500 |
|
|
|
08/01/38 |
|
|
148 |
|
|
|
108 |
|
|
|
5.500 |
|
|
|
09/01/38 |
|
|
118 |
|
|
|
118,120 |
|
|
|
6.000 |
|
|
|
11/01/38 |
|
|
129,246 |
|
|
|
39 |
|
|
|
5.500 |
|
|
|
12/01/38 |
|
|
42 |
|
|
|
46,645 |
|
|
|
6.000 |
|
|
|
12/01/38 |
|
|
51,718 |
|
|
|
11,390 |
|
|
|
4.500 |
|
|
|
02/01/39 |
|
|
11,935 |
|
|
|
93,007 |
|
|
|
7.000 |
|
|
|
03/01/39 |
|
|
105,348 |
|
|
|
10,549 |
|
|
|
4.500 |
|
|
|
04/01/39 |
|
|
11,099 |
|
|
|
2,444 |
|
|
|
5.500 |
|
|
|
06/01/39 |
|
|
2,665 |
|
|
|
28,256 |
|
|
|
5.000 |
|
|
|
07/01/39 |
|
|
30,274 |
|
|
|
11,269 |
|
|
|
4.500 |
|
|
|
08/01/39 |
|
|
11,856 |
|
|
|
408,727 |
|
|
|
5.000 |
|
|
|
10/01/39 |
|
|
437,912 |
|
|
|
2,184 |
|
|
|
5.500 |
|
|
|
11/01/39 |
|
|
2,381 |
|
|
|
155,496 |
|
|
|
4.500 |
|
|
|
12/01/39 |
|
|
163,599 |
|
|
|
142,490 |
|
|
|
4.500 |
|
|
|
06/01/40 |
|
|
149,798 |
|
|
|
63,216 |
|
|
|
4.500 |
|
|
|
08/01/41 |
|
|
66,461 |
|
|
|
139,976 |
|
|
|
5.000 |
|
|
|
12/01/41 |
|
|
149,074 |
|
|
|
79,264 |
|
|
|
3.000 |
|
|
|
12/01/42 |
|
|
77,605 |
|
|
|
188,586 |
|
|
|
3.000 |
|
|
|
01/01/43 |
|
|
184,638 |
|
|
|
53,600 |
|
|
|
3.000 |
|
|
|
02/01/43 |
|
|
52,528 |
|
|
|
18,327 |
|
|
|
3.000 |
|
|
|
03/01/43 |
|
|
17,961 |
|
|
|
263,159 |
|
|
|
3.000 |
|
|
|
04/01/43 |
|
|
257,896 |
|
|
|
42,494 |
|
|
|
3.000 |
|
|
|
05/01/43 |
|
|
41,643 |
|
|
|
61,986 |
|
|
|
3.000 |
|
|
|
06/01/43 |
|
|
60,746 |
|
|
|
17,812 |
|
|
|
3.000 |
|
|
|
07/01/43 |
|
|
17,439 |
|
|
|
61,425 |
|
|
|
5.000 |
|
|
|
06/01/44 |
|
|
65,266 |
|
|
|
26,478 |
|
|
|
3.500 |
|
|
|
03/01/45 |
|
|
26,442 |
|
|
|
626,236 |
|
|
|
3.000 |
|
|
|
04/01/45 |
|
|
609,504 |
|
|
|
2,687,303 |
|
|
|
4.500 |
|
|
|
04/01/45 |
|
|
2,828,597 |
|
|
|
307,674 |
|
|
|
4.500 |
|
|
|
05/01/45 |
|
|
323,851 |
|
|
|
1,790,202 |
|
|
|
4.500 |
|
|
|
06/01/45 |
|
|
1,876,775 |
|
|
|
813,285 |
|
|
|
4.000 |
|
|
|
11/01/45 |
|
|
832,164 |
|
|
|
99,114 |
|
|
|
4.000 |
|
|
|
01/01/46 |
|
|
101,415 |
|
|
|
256,814 |
|
|
|
4.000 |
|
|
|
03/01/46 |
|
|
262,484 |
|
|
|
178,075 |
|
|
|
4.000 |
|
|
|
06/01/46 |
|
|
181,826 |
|
|
|
45,215 |
|
|
|
4.000 |
|
|
|
08/01/46 |
|
|
46,167 |
|
|
|
286,257 |
|
|
|
4.000 |
|
|
|
10/01/46 |
|
|
292,285 |
|
|
|
12,990,690 |
|
|
|
4.500 |
|
|
|
04/01/47 |
|
|
13,551,928 |
|
|
|
977,881 |
|
|
|
4.500 |
|
|
|
07/01/47 |
|
|
1,019,670 |
|
|
|
1,882,409 |
|
|
|
4.500 |
|
|
|
08/01/47 |
|
|
1,962,853 |
|
|
|
9,000,003 |
|
|
|
4.500 |
|
|
|
06/01/48 |
|
|
9,376,878 |
|
|
|
1,000,000 |
|
|
|
3.500 |
|
|
|
TBA-30yr |
(h) |
|
995,156 |
|
|
|
24,000,000 |
|
|
|
4.500 |
|
|
|
TBA-30yr |
(h) |
|
24,990,000 |
|
|
|
13,000,000 |
|
|
|
5.000 |
|
|
|
TBA-30yr |
(h) |
|
13,771,875 |
| |
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
|
Value |
| Mortgage-Backed Obligations – (continued) |
| FNMA – (continued) |
| $ |
|
|
11,000,000 |
|
|
|
4.000 |
% |
|
|
TBA-30yr |
(h) |
|
$ 11,214,843 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
86,974,073 |
| |
| GNMA – 10.2% |
|
|
|
34,675 |
|
|
|
5.500 |
|
|
|
11/15/32 |
|
|
37,503 |
|
|
|
20,374 |
|
|
|
5.500 |
|
|
|
01/15/33 |
|
|
22,001 |
|
|
|
51,851 |
|
|
|
5.500 |
|
|
|
02/15/33 |
|
|
56,283 |
|
|
|
51,818 |
|
|
|
5.500 |
|
|
|
03/15/33 |
|
|
56,248 |
|
|
|
52,827 |
|
|
|
5.500 |
|
|
|
07/15/33 |
|
|
57,320 |
|
|
|
24,656 |
|
|
|
5.500 |
|
|
|
08/15/33 |
|
|
26,764 |
|
|
|
16,227 |
|
|
|
5.500 |
|
|
|
09/15/33 |
|
|
17,615 |
|
|
|
35,214 |
|
|
|
5.500 |
|
|
|
04/15/34 |
|
|
38,228 |
|
|
|
8,595 |
|
|
|
5.500 |
|
|
|
05/15/34 |
|
|
9,330 |
|
|
|
228,717 |
|
|
|
5.500 |
|
|
|
09/15/34 |
|
|
248,293 |
|
|
|
224,175 |
|
|
|
5.500 |
|
|
|
12/15/34 |
|
|
243,362 |
|
|
|
163,503 |
|
|
|
5.500 |
|
|
|
01/15/35 |
|
|
177,497 |
|
|
|
901 |
|
|
|
5.500 |
|
|
|
05/15/36 |
|
|
970 |
|
|
|
9,266 |
|
|
|
4.000 |
|
|
|
02/20/41 |
|
|
9,576 |
|
|
|
14,114 |
|
|
|
4.000 |
|
|
|
11/20/41 |
|
|
14,587 |
|
|
|
2,339 |
|
|
|
4.000 |
|
|
|
01/20/42 |
|
|
2,416 |
|
|
|
7,502 |
|
|
|
4.000 |
|
|
|
04/20/42 |
|
|
7,751 |
|
|
|
4,199 |
|
|
|
4.000 |
|
|
|
10/20/42 |
|
|
4,336 |
|
|
|
1,304,643 |
|
|
|
4.000 |
|
|
|
08/20/43 |
|
|
1,347,503 |
|
|
|
1,623,507 |
|
|
|
4.000 |
|
|
|
10/20/43 |
|
|
1,675,827 |
|
|
|
8,060 |
|
|
|
4.000 |
|
|
|
03/20/44 |
|
|
8,310 |
|
|
|
9,749 |
|
|
|
4.000 |
|
|
|
05/20/44 |
|
|
10,051 |
|
|
|
675,464 |
|
|
|
4.000 |
|
|
|
11/20/44 |
|
|
696,387 |
|
|
|
153,504 |
|
|
|
4.000 |
|
|
|
12/20/44 |
|
|
158,259 |
|
|
|
44,821 |
|
|
|
4.000 |
|
|
|
05/20/45 |
|
|
46,168 |
|
|
|
176,444 |
|
|
|
4.000 |
|
|
|
07/20/45 |
|
|
181,689 |
|
|
|
1,497,565 |
|
|
|
4.000 |
|
|
|
08/20/45 |
|
|
1,541,614 |
|
|
|
1,129,453 |
|
|
|
4.000 |
|
|
|
09/20/45 |
|
|
1,162,675 |
|
|
|
1,984,588 |
|
|
|
4.000 |
|
|
|
10/20/45 |
|
|
2,042,963 |
|
|
|
1,018,258 |
|
|
|
4.000 |
|
|
|
01/20/46 |
|
|
1,048,209 |
|
|
|
246,082 |
|
|
|
4.000 |
|
|
|
02/20/46 |
|
|
253,320 |
|
|
|
734,348 |
|
|
|
4.000 |
|
|
|
07/20/47 |
|
|
753,653 |
|
|
|
19,000,000 |
|
|
|
4.000 |
|
|
|
TBA-30yr |
(h) |
|
19,440,859 |
|
|
|
23,000,000 |
|
|
|
4.500 |
|
|
|
TBA-30yr |
(h) |
|
23,903,829 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
55,301,396 |
| |
| TOTAL FEDERAL AGENCIES |
|
|
$144,086,660 |
| |
| TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $167,682,098) |
|
|
$168,462,278 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Agency Debentures – 2.7% |
| FHLB |
| $ |
|
|
2,400,000 |
|
|
|
4.625 |
% |
|
|
09/11/20 |
|
|
$ 2,499,857 |
|
|
|
400,000 |
|
|
|
5.375 |
|
|
|
08/15/24 |
|
|
454,428 |
| FNMA |
|
|
|
4,000,000 |
|
|
|
1.875 |
|
|
|
09/24/26 |
|
|
3,646,920 |
|
|
|
800,000 |
|
|
|
6.250 |
|
|
|
05/15/29 |
|
|
1,026,368 |
| Hashemite Kingdom of Jordan Government AID
Bond(i) |
|
|
|
1,600,000 |
|
|
|
2.503 |
|
|
|
10/30/20 |
|
|
1,589,232 |
| Israel Government AID
Bond(i) |
|
|
|
2,000,000 |
|
|
|
5.500 |
|
|
|
09/18/23 |
|
|
2,251,700 |
|
|
|
300,000 |
|
|
|
5.500 |
|
|
|
12/04/23 |
|
|
338,316 |
|
|
|
877,000 |
|
|
|
5.500 |
|
|
|
04/26/24 |
|
|
994,597 |
|
|
|
40,000 |
|
|
|
5.500 |
|
|
|
09/18/33 |
|
|
50,499 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Agency Debentures – (continued) |
| NCUA Guaranteed Notes Series
A4(i) |
| $ |
|
|
600,000 |
|
|
|
3.000 |
% |
|
06/12/19 |
|
$ 602,967 |
| Tennessee Valley Authority |
|
|
|
1,200,000 |
|
|
|
3.875 |
|
|
02/15/21 |
|
1,235,436 |
| |
| TOTAL AGENCY DEBENTURES
(Cost $14,997,982) |
|
$ 14,690,320 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed
Securities(b) – 15.8% |
| Collateralized Loan Obligations(c) –
7.3% |
| ACIS CLO Ltd. Series 2013-1A, Class A1(3M USD LIBOR + 0.870%) |
| $ |
|
|
718,920 |
|
|
|
2.604 |
% |
|
04/18/24 |
|
$ 718,896 |
| ACIS CLO Ltd. Series 2013-1A, Class B(3M USD LIBOR + 1.950%) |
|
|
|
597,200 |
|
|
|
3.684 |
|
|
04/18/24 |
|
597,268 |
| ACIS CLO Ltd. Series 2013-1A, Class C(3M USD LIBOR + 2.950%) |
|
|
|
377,200 |
|
|
|
4.684 |
|
|
04/18/24 |
|
377,279 |
| BlueMountain CLO Ltd. Series 2014-2A, Class AR(3M USD LIBOR + 0.930%) |
|
|
|
3,050,000 |
|
|
|
2.675 |
|
|
07/20/26 |
|
3,050,265 |
| CBAM Ltd. Series 2017-3A, Class A(3M USD LIBOR + 1.230%) |
|
|
|
3,450,000 |
|
|
|
2.762 |
|
|
10/17/29 |
|
3,453,491 |
| Crown Point CLO Ltd. Series 2015-3A, Class A1AR(3M USD LIBOR + 0.910%) |
|
|
|
3,200,000 |
|
|
|
2.632 |
|
|
12/31/27 |
|
3,199,965 |
| Cutwater Ltd. Series 2014-1A, Class A1AR(3M USD LIBOR + 1.250%) |
|
|
|
3,000,000 |
|
|
|
2.972 |
|
|
07/15/26 |
|
3,000,432 |
| Dryden XXVI Senior Loan Fund Series 2013-26A, Class AR(3M USD LIBOR + 0.900%) |
|
|
|
2,150,000 |
|
|
|
3.248 |
|
|
04/15/29 |
|
2,143,647 |
| Halcyon Loan Advisors Funding Ltd. Series 2015-2A, Class A(3M USD LIBOR + 1.390%) |
|
|
|
1,800,000 |
|
|
|
3.135 |
|
|
07/25/27 |
|
1,799,978 |
| Madison Park Funding XXX Ltd. Series 2018-30A, Class A(3M USD LIBOR + 0.750%) |
|
|
|
4,050,000 |
|
|
|
3.089 |
|
|
04/15/29 |
|
4,006,523 |
| NewMark Capital Funding CLO Ltd. Series 2013-1A, Class A2(3M USD LIBOR + 1.120%) |
|
|
|
1,057,669 |
|
|
|
3.137 |
|
|
06/02/25 |
|
1,057,711 |
| OCP CLO Ltd. Series 2012-2A, Class A1R(3M USD LIBOR + 1.400%) |
|
|
|
1,500,000 |
|
|
|
3.304 |
|
|
11/22/25 |
|
1,502,213 |
| OFSI Fund V Ltd. Series 2013-5A, Class A1LA(3M USD LIBOR + 0.930%) |
|
|
|
290,114 |
|
|
|
2.652 |
|
|
04/17/25 |
|
290,104 |
| Ready Capital Mortgage Financing LLC Series 2018-FL2, Class A(1M USD LIBOR + 0.850%) |
|
|
|
850,000 |
|
|
|
2.830 |
|
|
06/25/35 |
|
850,272 |
| Recette CLO Ltd. Series 2015-1A, Class AR(3M USD LIBOR + 0.920%) |
|
|
|
4,350,000 |
|
|
|
2.665 |
|
|
10/20/27 |
|
4,344,850 |
| Regatta IV Funding Ltd. Series 2014-1A, Class A1R(3M USD LIBOR + 1.020%) |
|
|
|
1,550,000 |
|
|
|
2.765 |
|
|
07/25/26 |
|
1,550,122 |
| Voya CLO Ltd. Series 2014-4A, Class A1R(3M USD LIBOR + 0.950%) |
|
|
|
4,450,000 |
|
|
|
2.672 |
|
|
10/14/26 |
|
4,445,439 |
| Whitehorse Ltd. Series 2014-9A, Class AR(3M USD LIBOR + 1.160%) |
|
|
|
3,450,000 |
|
|
|
2.891 |
|
|
07/17/26 |
|
3,450,355 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
39,838,810 |
| |
| Home Equity – 0.7% |
| Bear Stearns Asset Backed Securities Trust Series 2001-3, Class A2(1M LIBOR + 0.800%) |
|
|
|
6,264 |
|
|
|
2.760 |
|
|
10/27/32 |
|
6,152 |
| |
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Asset-Backed Securities
(b) – (continued) |
| Home Equity – (continued) |
| Bear Stearns Asset Backed Securities Trust Series 2002-2, Class A1(1M USD LIBOR +
0.660%) |
| $ |
|
|
2,011 |
|
|
|
2.620 |
% |
|
10/25/32 |
|
$ 2,008 |
| CS First Boston Mortgage Securities Corp. Series 2001-HE17, Class A1(1M USD LIBOR +
0.620%) |
|
|
|
1,210 |
|
|
|
2.580 |
|
|
01/25/32 |
|
1,190 |
| GMAC Mortgage Home Equity Loan Trust Series 2007-HE3, Class 1A1 |
|
|
|
24,400 |
|
|
|
6.951 |
|
|
09/25/37 |
|
24,621 |
| GMAC Mortgage Home Equity Loan Trust Series 2007-HE3, Class 2A1 |
|
|
|
28,192 |
|
|
|
6.804 |
|
|
09/25/37 |
|
28,801 |
| Home Equity Asset Trust Series 2002-1, Class A4(1M USD LIBOR + 0.600%) |
|
|
|
257 |
|
|
|
2.560 |
|
|
11/25/32 |
|
248 |
| Home Equity Loan Trust Series 2007-FRE1, Class 2AV3(1M USD LIBOR + 0.230%) |
|
|
|
1,400,000 |
|
|
|
2.190 |
|
|
04/25/37 |
|
1,293,938 |
| Morgan Stanley Mortgage Loan Trust Series 2007-7AX, Class 1A(1M USD LIBOR + 0.220%) |
|
|
|
3,267,806 |
|
|
|
2.180 |
|
|
04/25/37 |
|
1,369,334 |
| Renaissance Home Equity Loan Trust Series 2003-2, Class A(1M USD LIBOR + 0.880%) |
|
|
|
1,069 |
|
|
|
2.840 |
|
|
08/25/33 |
|
1,047 |
| Renaissance Home Equity Loan Trust Series 2003-3, Class A(1M USD LIBOR + 0.500%) |
|
|
|
2,910 |
|
|
|
2.960 |
|
|
12/25/33 |
|
2,871 |
| Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-BC6, Class A4(1M USD LIBOR +
0.170%) |
|
|
|
1,025,724 |
|
|
|
2.130 |
|
|
01/25/37 |
|
998,667 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,728,877 |
| |
| Student Loan – 7.8% |
| Academic Loan Funding Trust Series 2012-1A, Class A2(c)(1M USD LIBOR + 1.100%) |
|
|
|
2,604,824 |
|
|
|
3.060 |
|
|
12/27/44 |
|
2,610,958 |
| Access Group, Inc. Series 2004-1, Class A2(3M USD LIBOR + 0.210%) |
|
|
|
2,057,739 |
|
|
|
2.496 |
|
|
09/26/33 |
|
2,013,501 |
| ECMC Group Student Loan Trust Series 2016-1A, Class A(c)(1M USD LIBOR + 1.350%) |
|
|
|
1,952,290 |
|
|
|
3.310 |
|
|
07/26/66 |
|
1,984,184 |
| Edsouth Indenture No. 9 LLC Series 2015-1, Class A(c)(1M USD LIBOR + 0.800%) |
|
|
|
1,164,071 |
|
|
|
2.760 |
|
|
10/25/56 |
|
1,168,416 |
| EFS Volunteer No. 2 LLC Series 2012-1, Class
A2(c)(1M USD LIBOR + 1.350%) |
|
|
|
2,600,000 |
|
|
|
3.310 |
|
|
03/25/36 |
|
2,644,838 |
| EFS Volunteer No. 3 LLC Series 2012-1, Class
A3(c)(1M USD LIBOR + 1.000%) |
|
|
|
1,650,000 |
|
|
|
2.960 |
|
|
04/25/33 |
|
1,660,066 |
| Montana Higher Education Student Assistance Corp. Series 2012-1, Class A3(1M USD LIBOR +
1.050%) |
|
|
|
1,500,000 |
|
|
|
2.998 |
|
|
07/20/43 |
|
1,507,453 |
| Navient Student Loan Trust Series 2016-5A, Class A(c)(1M USD LIBOR + 1.250%) |
|
|
|
4,348,673 |
|
|
|
3.210 |
|
|
06/25/65 |
|
4,462,462 |
| Navient Student Loan Trust Series 2016-7A, Class A(c)(1M USD LIBOR + 1.150%) |
|
|
|
2,182,467 |
|
|
|
3.110 |
|
|
03/25/66 |
|
2,223,364 |
| Navient Student Loan Trust Series 2017-2A, Class A(c)(1M USD LIBOR + 1.050%) |
|
|
|
4,604,777 |
|
|
|
3.010 |
|
|
12/27/66 |
|
4,674,370 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Asset-Backed Securities
(b) – (continued) |
| Student Loan – (continued) |
| Nelnet Student Loan Trust Series 2006-1, Class A6(c)(3M USD LIBOR + 0.450%) |
| $ |
|
|
2,600,000 |
|
|
|
2.370 |
% |
|
08/23/36 |
|
$ 2,543,673 |
| PHEAA Student Loan Trust Series 2016-1A, Class A(c)(1M USD LIBOR + 1.150%) |
|
|
|
2,001,323 |
|
|
|
3.110 |
|
|
09/25/65 |
|
2,031,915 |
| Scholar Funding Trust Series 2010-A, Class
A(c)(3M USD LIBOR + 0.750%) |
|
|
|
493,606 |
|
|
|
2.510 |
|
|
10/28/41 |
|
491,788 |
| SLM Student Loan Trust Series 2003-7A, Class A5A(c)(3M USD LIBOR + 1.200%) |
|
|
|
1,858,417 |
|
|
|
3.325 |
|
|
12/15/33 |
|
1,880,688 |
| SLM Student Loan Trust Series 2004-8A, Class
A6(c)(3M USD LIBOR + 0.630%) |
|
|
|
1,300,000 |
|
|
|
2.375 |
|
|
01/25/40 |
|
1,307,346 |
| SLM Student Loan Trust Series 2005-4, Class A3(3M USD LIBOR + 0.120%) |
|
|
|
309,173 |
|
|
|
1.865 |
|
|
01/25/27 |
|
308,044 |
| SLM Student Loan Trust Series 2005-5, Class A4(3M USD LIBOR + 0.140%) |
|
|
|
1,650,000 |
|
|
|
1.885 |
|
|
10/25/28 |
|
1,644,086 |
| SLM Student Loan Trust Series 2006-10, Class A5A(3M USD LIBOR + 0.100%) |
|
|
|
660,728 |
|
|
|
1.845 |
|
|
04/25/27 |
|
660,010 |
| SLM Student Loan Trust Series 2006-2, Class A5(3M USD LIBOR + 0.110%) |
|
|
|
271,954 |
|
|
|
1.855 |
|
|
07/25/25 |
|
271,954 |
| SLM Student Loan Trust Series 2007-7, Class A4(3M USD LIBOR + 0.330%) |
|
|
|
938,234 |
|
|
|
2.075 |
|
|
01/25/22 |
|
922,717 |
| SLM Student Loan Trust Series 2008-2, Class A3(3M USD LIBOR + 0.750%) |
|
|
|
258,303 |
|
|
|
2.495 |
|
|
04/25/23 |
|
257,415 |
| SLM Student Loan Trust Series 2008-4, Class A4(3M USD LIBOR + 1.650%) |
|
|
|
615,898 |
|
|
|
3.395 |
|
|
07/25/22 |
|
629,670 |
| SLM Student Loan Trust Series 2008-5, Class A4(3M USD LIBOR + 1.700%) |
|
|
|
1,899,345 |
|
|
|
3.445 |
|
|
07/25/23 |
|
1,947,852 |
| SLM Student Loan Trust Series 2008-6, Class A4(3M USD LIBOR + 1.100%) |
|
|
|
1,314,018 |
|
|
|
2.845 |
|
|
07/25/23 |
|
1,324,778 |
| SLM Student Loan Trust Series 2008-8, Class A4(3M USD LIBOR + 1.500%) |
|
|
|
850,000 |
|
|
|
3.245 |
|
|
04/25/23 |
|
865,797 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
42,037,345 |
| |
| TOTAL ASSET-BACKED SECURITIES
(Cost $84,382,181) |
|
$ 85,605,032 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foreign Debt Obligations – 1.0% |
| Sovereign – 1.0% |
| Dominican Republic |
| DOP |
|
|
100,000 |
|
|
|
10.375 |
% |
|
03/04/22 |
|
$ 2,100 |
|
|
|
300,000 |
|
|
|
14.500 |
|
|
02/10/23 |
|
7,059 |
|
|
|
100,000 |
|
|
|
11.375 |
|
|
07/06/29 |
|
2,142 |
| |
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Foreign Debt Obligations – (continued) |
| Sovereign – (continued) |
| Ecuador Government International Bond |
| $ |
|
|
360,000 |
|
|
|
9.625 |
% |
|
06/02/27 |
|
$ 334,800 |
| Perusahaan Penerbit
SBSN(c) |
|
|
|
220,000 |
|
|
|
4.150 |
|
|
03/29/27 |
|
212,025 |
| Republic of Argentina |
| EUR |
|
|
410,000 |
|
|
|
5.250 |
|
|
01/15/28 |
|
408,774 |
|
|
|
40,000 |
|
|
|
2.260 |
(j) |
|
12/31/38 |
|
27,373 |
| $ |
|
|
200,000 |
|
|
|
2.500 |
(j) |
|
12/31/38 |
|
113,400 |
| EUR |
|
|
100,000 |
|
|
|
6.250 |
|
|
11/09/47 |
|
90,797 |
| $ |
|
|
1,100,000 |
|
|
|
6.875 |
|
|
01/11/48 |
|
827,750 |
|
|
|
70,000 |
|
|
|
7.125 |
(k) |
|
06/28/17 |
|
53,445 |
| Republic of
Ecuador(c) |
|
|
|
300,000 |
|
|
|
8.875 |
|
|
10/23/27 |
|
266,250 |
|
|
|
260,000 |
|
|
|
7.875 |
|
|
01/23/28 |
|
217,750 |
| Republic of
Indonesia(c) |
| EUR |
|
|
250,000 |
|
|
|
2.150 |
|
|
07/18/24 |
|
294,140 |
| $ |
|
|
1,060,000 |
|
|
|
4.750 |
|
|
01/08/26 |
|
1,074,575 |
| Republic of South Africa |
| ZAR |
|
|
1,650,000 |
|
|
|
8.000 |
|
|
01/31/30 |
|
109,848 |
|
|
|
4,340,000 |
|
|
|
7.000 |
|
|
02/28/31 |
|
262,096 |
|
|
|
4,894,000 |
|
|
|
8.250 |
|
|
03/31/32 |
|
324,900 |
|
|
|
1,520,000 |
|
|
|
8.875 |
|
|
02/28/35 |
|
104,635 |
|
|
|
2,515,000 |
|
|
|
6.250 |
|
|
03/31/36 |
|
132,439 |
|
|
|
40,000 |
|
|
|
9.000 |
|
|
01/31/40 |
|
2,742 |
|
|
|
870,000 |
|
|
|
6.500 |
|
|
02/28/41 |
|
45,174 |
|
|
|
2,330,000 |
|
|
|
8.750 |
|
|
01/31/44 |
|
155,043 |
| Republic of Sri Lanka |
| $ |
|
|
200,000 |
|
|
|
6.850 |
|
|
11/03/25 |
|
193,250 |
| Republic of
Venezuela(e) |
|
|
|
140,000 |
|
|
|
6.000 |
|
|
12/09/20 |
|
36,400 |
| United Mexican States |
| MXN |
|
|
3,046,400 |
|
|
|
6.500 |
|
|
06/10/21 |
|
148,402 |
|
|
|
404,700 |
|
|
|
8.000 |
|
|
12/07/23 |
|
20,641 |
|
|
|
1,125,400 |
|
|
|
7.750 |
|
|
11/23/34 |
|
56,999 |
|
|
|
48,700 |
|
|
|
8.000 |
|
|
11/07/47 |
|
2,523 |
| |
| TOTAL FOREIGN DEBT OBLIGATIONS (Cost $5,960,310) |
|
$ 5,527,472 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Structured
Notes(c)(l) – 0.5% |
| Arab Republic of Egypt (Issuer Citibank NA) |
| $ |
|
|
10,000,000 |
|
|
|
0.000 |
|
|
11/01/18 |
|
$ 525,070 |
|
|
|
34,100,000 |
|
|
|
0.000 |
|
|
01/17/19 |
|
1,723,451 |
| Arab Republic of Egypt (Issuer JPMorgan Chase Bank NA) |
|
|
|
11,525,000 |
|
|
|
0.000 |
|
|
02/07/19 |
|
576,604 |
| |
| TOTAL STRUCTURED NOTES
(Cost $2,880,178) |
|
$ 2,825,125 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Municipal Debt Obligations – 1.3% |
| California(a) –
0.4% |
| California State GO Bonds Build America Taxable Series 2009 |
| $ |
|
|
210,000 |
|
|
|
7.550 |
% |
|
04/01/39 |
|
$ 309,674 |
| California State GO Bonds Build America Taxable Series 2010 |
|
|
|
625,000 |
|
|
|
7.950 |
|
|
03/01/36 |
|
674,175 |
| East Bay Municipal Utility Disrtict Water System RB Build America SubSeries 2010 |
|
|
|
900,000 |
|
|
|
5.874 |
|
|
06/01/40 |
|
1,141,056 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,124,905 |
| |
| Illinois – 0.3% |
| Illinois State GO Bonds Build America Series 2010(a) |
|
|
|
115,000 |
|
|
|
6.630 |
|
|
02/01/35 |
|
121,855 |
|
|
|
730,000 |
|
|
|
7.350 |
|
|
07/01/35 |
|
815,125 |
| Illinois State GO Bonds Taxable-Pension Series 2003 |
|
|
|
965,000 |
|
|
|
5.100 |
|
|
06/01/33 |
|
913,238 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,850,218 |
| |
| Minnesota(a)(b) –
0.1% |
| Northstar Education Finance, Inc. (Student Loan Asset Backed) Series 2007-1, Class A1(3M USD LIBOR +
0.100%) |
|
|
|
387,565 |
|
|
|
1.860 |
|
|
04/28/30 |
|
385,846 |
| |
| New York(a) –
0.1% |
| Port Authority of New York & New Jersey Consolidated Bonds-192
Series 2015 |
|
|
|
375,000 |
|
|
|
4.810 |
|
|
10/15/65 |
|
422,032 |
| |
| Ohio(a) – 0.1% |
| American Municipal Power-Ohio, Inc. RB Build America Taxable Series 2010 |
|
|
|
250,000 |
|
|
|
6.270 |
|
|
02/15/50 |
|
318,863 |
| |
| Puerto Rico – 0.3% |
| Puerto Rico Commonwealth GO Bonds for Public Improvement
Series 2011 A(a) |
|
|
|
10,000 |
|
|
|
5.750 |
|
|
07/01/41 |
|
4,200 |
| Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2008 A(a) |
|
|
|
15,000 |
|
|
|
5.500 |
|
|
07/01/32 |
|
6,375 |
| Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2009 B(a) |
|
|
|
10,000 |
|
|
|
5.750 |
|
|
07/01/38 |
|
4,250 |
| Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2012 A(a) |
|
|
|
860,000 |
|
|
|
5.750 |
|
|
07/01/28 |
|
361,200 |
|
|
|
170,000 |
|
|
|
5.000 |
|
|
07/01/41 |
|
68,850 |
| Puerto Rico Commonwealth GO Bonds Series 2014
A(a) |
|
|
|
445,000 |
|
|
|
8.000 |
|
|
07/01/35 |
|
180,225 |
| Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2006 A(a) |
|
|
|
10,000 |
|
|
|
5.250 |
|
|
07/01/27 |
|
4,250 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2007 B(a) |
|
|
|
40,000 |
|
|
|
6.050 |
|
|
08/01/37 |
|
34,350 |
|
|
|
15,000 |
|
|
|
6.050 |
|
|
08/01/39 |
|
12,881 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2007 C(a) |
|
|
|
190,000 |
|
|
|
6.000 |
|
|
08/01/31 |
|
163,162 |
|
|
|
35,000 |
|
|
|
6.000 |
|
|
08/01/32 |
|
30,056 |
|
|
|
95,000 |
|
|
|
6.000 |
|
|
08/01/38 |
|
81,581 |
| |
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Municipal Debt Obligations – (continued) |
| Puerto Rico – (continued) |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2008 A(a) |
| $ |
|
|
10,000 |
|
|
|
6.130 |
% |
|
08/01/28 |
|
$ 8,588 |
|
|
|
35,000 |
|
|
|
6.130 |
|
|
08/01/29 |
|
30,056 |
|
|
|
45,000 |
|
|
|
6.130 |
|
|
08/01/30 |
|
38,644 |
|
|
|
40,000 |
|
|
|
6.130 |
|
|
08/01/37 |
|
34,350 |
|
|
|
70,000 |
|
|
|
6.130 |
|
|
08/01/38 |
|
60,112 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2009 C(a) |
|
|
|
25,000 |
|
|
|
5.750 |
|
|
08/01/57 |
|
21,500 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2011 C |
|
|
|
20,000 |
|
|
|
5.000 |
|
|
08/01/21 |
|
17,200 |
|
|
|
90,000 |
|
|
|
5.000 |
(a) |
|
08/01/40 |
|
77,400 |
|
|
|
195,000 |
|
|
|
5.250 |
(a) |
|
08/01/40 |
|
167,700 |
|
|
|
95,000 |
|
|
|
5.000 |
(a) |
|
08/01/46 |
|
81,700 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2011 D(a) |
|
|
|
20,000 |
|
|
|
4.850 |
|
|
08/01/36 |
|
16,825 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2009 A(a) |
|
|
|
70,000 |
|
|
|
6.750 |
|
|
08/01/32 |
|
31,325 |
|
|
|
35,000 |
|
|
|
5.750 |
|
|
08/01/37 |
|
15,662 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 A(a) |
|
|
|
25,000 |
|
|
|
4.500 |
|
|
08/01/21 |
|
11,188 |
|
|
|
5,000 |
|
|
|
5.500 |
|
|
08/01/37 |
|
2,238 |
|
|
|
40,000 |
|
|
|
5.500 |
|
|
08/01/42 |
|
17,900 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 C(a) |
|
|
|
15,000 |
|
|
|
5.375 |
|
|
08/01/38 |
|
6,713 |
|
|
|
290,000 |
|
|
|
6.000 |
|
|
08/01/39 |
|
129,775 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2011 A-1(a) |
|
|
|
150,000 |
|
|
|
5.000 |
|
|
08/01/43 |
|
67,125 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Unrefunded SubSeries 2009 A(a) |
|
|
|
15,000 |
|
|
|
5.500 |
|
|
08/01/28 |
|
6,713 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,794,094 |
| |
| TOTAL MUNICIPAL DEBT OBLIGATIONS (Cost $6,664,452) |
|
$ 6,895,958 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Obligations – 23.4% |
| United States Treasury Bonds |
| $ |
|
|
3,960,000 |
|
|
|
2.750 |
% |
|
11/15/42 |
|
$ 3,805,995 |
|
|
|
5,990,000 |
|
|
|
3.625 |
(m) |
|
02/15/44 |
|
6,678,910 |
|
|
|
4,120,000 |
|
|
|
3.125 |
|
|
08/15/44 |
|
4,228,315 |
|
|
|
2,080,000 |
|
|
|
3.000 |
|
|
11/15/44 |
|
2,087,446 |
|
|
|
9,410,000 |
|
|
|
2.875 |
(m) |
|
11/15/46 |
|
9,214,084 |
|
|
|
4,400,000 |
|
|
|
3.000 |
|
|
05/15/47 |
|
4,413,288 |
|
|
|
4,390,000 |
|
|
|
2.750 |
|
|
11/15/47 |
|
4,188,850 |
| United States Treasury Notes |
|
|
|
68,060,000 |
|
|
|
2.125 |
|
|
07/31/24 |
|
65,524,086 |
|
|
|
1,210,000 |
|
|
|
2.375 |
|
|
08/15/24 |
|
1,181,480 |
|
|
|
9,190,000 |
|
|
|
2.125 |
|
|
11/30/24 |
|
8,825,341 |
|
|
|
4,240,000 |
|
|
|
2.875 |
|
|
04/30/25 |
|
4,257,215 |
|
|
|
3,980,000 |
|
|
|
2.000 |
|
|
11/15/26 |
|
3,730,732 |
|
|
|
7,300,000 |
|
|
|
2.250 |
|
|
02/15/27 |
|
6,968,361 |
| United States Treasury Strip
Coupon(l) |
|
|
|
2,800,000 |
|
|
|
0.000 |
|
|
02/15/35 |
|
1,703,184 |
| |
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $129,783,192) |
|
$126,807,287 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares |
|
Distribution
Rate |
|
Value |
| Investment
Company(n) – 0.3% |
| Goldman Sachs Financial Square Government Fund - Institutional Shares |
| 1,507,330 |
|
1.869% |
|
$ 1,507,330 |
| (Cost $1,507,330) |
| |
TOTAL INVESTMENTS BEFORE
SHORT-TERM INVESTMENT
(Cost $569,944,189) |
|
$563,855,041 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Short-term Investments – 10.8% |
| Certificates of Deposit(b) –
1.4% |
| Mizuho Bank Ltd. |
| $ |
|
|
5,000,000 |
|
|
|
2.445 |
% |
|
10/05/18 |
|
$ 5,003,015 |
| Sumitomo Mitsui Trust Bank Ltd. |
|
|
|
2,787,000 |
|
|
|
2.452 |
|
|
10/12/18 |
|
2,787,538 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,790,553 |
| |
| Commercial Paper – 9.4% |
| AT&T, Inc.(l) |
|
|
|
1,150,000 |
|
|
|
0.000 |
|
|
10/09/18 |
|
1,141,431 |
|
|
|
2,500,000 |
|
|
|
0.000 |
|
|
05/28/19 |
|
2,430,024 |
| Australia & New Zealand Banking Group
Ltd.(b) |
|
|
|
1,700,000 |
|
|
|
2.200 |
|
|
07/09/18 |
|
1,700,132 |
| BAT International Finance
PLC(l) |
|
|
|
4,000,000 |
|
|
|
0.000 |
|
|
08/07/18 |
|
3,989,674 |
| BPCE SA(l) |
|
|
|
5,000,000 |
|
|
|
0.000 |
|
|
08/06/18 |
|
4,989,275 |
| Ciesco LLC(l) |
|
|
|
2,801,000 |
|
|
|
0.000 |
|
|
07/12/18 |
|
2,798,969 |
| CRC Funding
LLC(l) |
|
|
|
2,801,000 |
|
|
|
0.000 |
|
|
07/11/18 |
|
2,799,153 |
| Duke Energy
Corp.(l) |
|
|
|
1,500,000 |
|
|
|
0.000 |
|
|
08/27/18 |
|
1,493,984 |
| Eastman Chemical
Co.(l) |
|
|
|
1,250,000 |
|
|
|
0.000 |
|
|
07/06/18 |
|
1,249,453 |
| Fairway Finance
Corp.(l) |
|
|
|
1,150,000 |
|
|
|
0.000 |
|
|
07/18/18 |
|
1,148,766 |
| Hewlett Packard Enterprise
Co.(l) |
|
|
|
1,362,000 |
|
|
|
0.000 |
|
|
07/10/18 |
|
1,361,193 |
|
|
|
1,363,000 |
|
|
|
0.000 |
|
|
07/11/18 |
|
1,362,117 |
| HP, Inc.(l) |
|
|
|
1,500,000 |
|
|
|
0.000 |
|
|
07/23/18 |
|
1,498,026 |
| Mondelez International,
Inc.(l) |
|
|
|
2,400,000 |
|
|
|
0.000 |
|
|
10/01/18 |
|
2,383,945 |
| Nutrien Ltd.(l) |
|
|
|
548,000 |
|
|
|
0.000 |
|
|
07/16/18 |
|
547,352 |
|
|
|
807,000 |
|
|
|
0.000 |
|
|
07/18/18 |
|
805,930 |
| |
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Short-term Investments – (continued) |
| Commercial Paper – (continued) |
| Old Line Funding
LLC(l) |
| $ |
|
|
5,602,000 |
|
|
|
0.000 |
% |
|
07/16/18 |
|
$ 5,596,622 |
| Schlumberger
Holdings(l) |
|
|
|
3,000,000 |
|
|
|
0.000 |
|
|
09/21/18 |
|
2,982,822 |
| Schlumberger Holdings
Corp.(l) |
|
|
|
1,000,000 |
|
|
|
0.000 |
|
|
08/22/18 |
|
996,502 |
| Sempra Energy
Holdings(l) |
|
|
|
538,000 |
|
|
|
0.000 |
|
|
07/31/18 |
|
536,873 |
| Suncor Energy,
Inc.(l) |
|
|
|
817,000 |
|
|
|
0.000 |
|
|
07/03/18 |
|
816,797 |
|
|
|
700,000 |
|
|
|
0.000 |
|
|
08/21/18 |
|
697,497 |
| The Southern
Co.(l) |
|
|
|
1,091,000 |
|
|
|
0.000 |
|
|
08/30/18 |
|
1,086,383 |
| Thunder Bay Funding
LLC(l) |
|
|
|
2,800,000 |
|
|
|
0.000 |
|
|
08/15/18 |
|
2,792,225 |
| VW Credit,
Inc.(l) |
|
|
|
1,809,000 |
|
|
|
0.000 |
|
|
08/13/18 |
|
1,803,562 |
|
|
|
1,900,000 |
|
|
|
0.000 |
|
|
09/20/18 |
|
1,888,930 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
50,897,637 |
| |
| TOTAL SHORT-TERM INVESTMENTS
(Cost $58,684,127) |
|
$ 58,688,190 |
| |
| TOTAL INVESTMENTS – 114.9% (Cost $628,628,316) |
|
$622,543,231 |
| |
LIABILITIES IN EXCESS OF
OTHER ASSETS – (14.9)% |
|
(80,756,894) |
| |
| NET ASSETS – 100.0% |
|
$541,786,337 |
| |
|
|
|
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
|
|
| (a) |
|
Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
|
|
| (b) |
|
Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed
is that which is in effect on June 30, 2018. |
|
|
| (c) |
|
Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed 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 $107,537,974, which represents approximately 19.9% of the Fund’s net assets as
of June 30, 2018. The liquidity determination is unaudited. |
|
|
| (d) |
|
Actual maturity date is September 15, 2166. |
|
|
| (e) |
|
Security is currently in default and/or non-income producing. |
|
|
| (f) |
|
Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. |
|
|
| (g) |
|
Significant unobservable inputs were used in the valuation of this portfolio security; i.e. Level 3. |
|
|
|
|
|
| (h) |
|
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 $94,316,562 which represents approximately 17.4% of the Fund’s
net assets as of June 30, 2018. |
|
|
| (i) |
|
Guaranteed by the United States Government until maturity. Total market value for these securities amounts to $5,827,311, which represents approximately 1.1% of the Fund’s
net assets as of June 30, 2018. |
|
|
| (j) |
|
Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on June 30, 2018. |
|
|
| (k) |
|
Actual maturity date is June 28, 2117. |
|
|
| (l) |
|
Issued with a zero coupon. Income is recognized through the accretion of discount. |
|
|
| (m) |
|
All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. |
|
|
| (n) |
|
Represents an affiliated issuer. |
|
|
|
| |
| Currency Abbreviations: |
| ARS |
|
— Argentine Peso |
| AUD |
|
— Australian Dollar |
| BRL |
|
— Brazilian Real |
| CAD |
|
— Canadian Dollar |
| CHF |
|
— Swiss Franc |
| CLP |
|
— Chilean Peso |
| CNH |
|
— Chinese Yuan Renminbi Offshore |
| COP |
|
— Colombian Peso |
| CZK |
|
— Czech Koruna |
| DOP |
|
— Dominican Peso |
| EUR |
|
— Euro |
| GBP |
|
— British Pound |
| HKD |
|
— Hong Kong Dollar |
| HUF |
|
— Hungarian Forint |
| IDR |
|
— Indonesian Rupiah |
| INR |
|
— Indian Rupee |
| JPY |
|
— Japanese Yen |
| KRW |
|
— South Korean Won |
| MXN |
|
— Mexican Peso |
| NOK |
|
— Norwegian Krone |
| NZD |
|
— New Zealand Dollar |
| PLN |
|
— Polish Zloty |
| RUB |
|
— Russian Ruble |
| SEK |
|
— Swedish Krona |
| SGD |
|
— Singapore Dollar |
| THB |
|
— Thai Baht |
| TRY |
|
— Turkish Lira |
| TWD |
|
— Taiwan Dollar |
| USD |
|
— U.S. Dollar |
| ZAR |
|
— South African Rand |
|
| Investment Abbreviations: |
| AUDOR |
|
— Australian Dollar Offered Rate |
| CDOR |
|
— Canadian Dollar Offered Rate |
| CHFOR |
|
— Swiss Franc Offered Rate |
| CLO |
|
— Collateralized Loan Obligation |
| EURO |
|
— Euro Offered Rate |
| FHLB |
|
— Federal Home Loan Bank |
| FHLMC |
|
— Federal Home Loan Mortgage Corp. |
| FNMA |
|
— Federal National Mortgage Association |
| GMAC |
|
— General Motors Acceptance Corporation |
| GNMA |
|
— Government National Mortgage Association |
| GO |
|
— General Obligation |
| JIBAR |
|
— Johannesburg Interbank Agreed Rate |
| JYOR |
|
— Japanese Yen Offered Rate |
| KWCDC |
|
— South Korean Won Certificate of Deposit |
| LIBOR |
|
— London Interbank Offered Rate |
| LLC |
|
— Limited Liability Company |
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
| LP |
|
— Limited Partnership |
| MTA |
|
— Monthly Treasury Average |
| NCUA |
|
— National Credit Union Administration |
| NIBOR |
|
— Norwegian Interbank Offered Rate |
| NZDOR |
|
— New Zealand Dollar Offered Rate |
| PLC |
|
— Public Limited Company |
| RB |
|
— Revenue Bond |
| REMIC |
|
— Real Estate Mortgage Investment Conduit |
| STIBOR |
|
— Stockholm Interbank Offered Rate |
| STRIPS |
|
— Separate Trading of Registered Interest and Principal
of Securities |
| TIIE |
|
— La Tasa de Interbank Equilibrium Interest Rate |
| WIBOR |
|
— Warsaw Interbank Offered Rate |
| |
|
| For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com. |
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30,
2018, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED
GAIN
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Gain |
|
| |
|
| MS & Co. Int. PLC |
|
AUD |
|
|
1,889,831 |
|
|
NZD |
|
|
2,029,519 |
|
|
$ |
1,398,913 |
|
|
|
09/19/18 |
|
|
$ |
24,208 |
|
|
|
AUD |
|
|
651,178 |
|
|
USD |
|
|
481,015 |
|
|
|
482,023 |
|
|
|
09/19/18 |
|
|
|
1,007 |
|
|
|
BRL |
|
|
1,499,094 |
|
|
USD |
|
|
383,150 |
|
|
|
386,649 |
|
|
|
07/03/18 |
|
|
|
3,499 |
|
|
|
CAD |
|
|
193,368 |
|
|
EUR |
|
|
124,245 |
|
|
|
147,289 |
|
|
|
09/19/18 |
|
|
|
1,310 |
|
|
|
CAD |
|
|
934,747 |
|
|
USD |
|
|
708,239 |
|
|
|
711,997 |
|
|
|
09/19/18 |
|
|
|
3,759 |
|
|
|
CHF |
|
|
2,377,722 |
|
|
EUR |
|
|
2,049,795 |
|
|
|
2,417,826 |
|
|
|
09/19/18 |
|
|
|
9,463 |
|
|
|
CHF |
|
|
939,205 |
|
|
USD |
|
|
954,118 |
|
|
|
955,046 |
|
|
|
09/19/18 |
|
|
|
928 |
|
|
|
EUR |
|
|
822,246 |
|
|
AUD |
|
|
1,293,861 |
|
|
|
966,080 |
|
|
|
09/19/18 |
|
|
|
8,323 |
|
|
|
EUR |
|
|
1,228,275 |
|
|
CAD |
|
|
1,888,892 |
|
|
|
1,443,136 |
|
|
|
09/19/18 |
|
|
|
4,364 |
|
|
|
EUR |
|
|
822,376 |
|
|
CNH |
|
|
6,167,925 |
|
|
|
966,233 |
|
|
|
09/19/18 |
|
|
|
39,332 |
|
|
|
EUR |
|
|
405,198 |
|
|
CZK |
|
|
10,442,355 |
|
|
|
476,079 |
|
|
|
09/19/18 |
|
|
|
4,622 |
|
|
|
EUR |
|
|
3,676,755 |
|
|
GBP |
|
|
3,225,340 |
|
|
|
4,319,924 |
|
|
|
09/19/18 |
|
|
|
47,963 |
|
|
|
EUR |
|
|
415,034 |
|
|
HUF |
|
|
136,580,990 |
|
|
|
487,635 |
|
|
|
09/19/18 |
|
|
|
995 |
|
|
|
EUR |
|
|
410,136 |
|
|
JPY |
|
|
52,595,058 |
|
|
|
481,881 |
|
|
|
09/19/18 |
|
|
|
4,147 |
|
|
|
EUR |
|
|
1,623,336 |
|
|
NOK |
|
|
15,389,604 |
|
|
|
1,907,304 |
|
|
|
09/19/18 |
|
|
|
11,618 |
|
|
|
EUR |
|
|
3,275,256 |
|
|
NZD |
|
|
5,504,776 |
|
|
|
3,848,194 |
|
|
|
09/19/18 |
|
|
|
119,504 |
|
|
|
EUR |
|
|
1,143,799 |
|
|
PLN |
|
|
4,959,708 |
|
|
|
1,343,882 |
|
|
|
09/19/18 |
|
|
|
18,046 |
|
|
|
EUR |
|
|
4,810,190 |
|
|
SEK |
|
|
49,523,285 |
|
|
|
5,651,629 |
|
|
|
09/19/18 |
|
|
|
88,237 |
|
|
|
EUR |
|
|
1,475,274 |
|
|
USD |
|
|
1,723,159 |
|
|
|
1,730,821 |
|
|
|
08/31/18 |
|
|
|
7,661 |
|
|
|
EUR |
|
|
6,867,330 |
|
|
USD |
|
|
8,017,099 |
|
|
|
8,068,623 |
|
|
|
09/19/18 |
|
|
|
51,524 |
|
|
|
GBP |
|
|
141,902 |
|
|
AUD |
|
|
251,209 |
|
|
|
187,949 |
|
|
|
09/19/18 |
|
|
|
1,996 |
|
|
|
GBP |
|
|
368,888 |
|
|
USD |
|
|
486,861 |
|
|
|
487,835 |
|
|
|
08/14/18 |
|
|
|
974 |
|
|
|
JPY |
|
|
52,427,604 |
|
|
EUR |
|
|
405,068 |
|
|
|
476,213 |
|
|
|
09/19/18 |
|
|
|
288 |
|
|
|
KRW |
|
|
167,479,435 |
|
|
USD |
|
|
150,038 |
|
|
|
150,365 |
|
|
|
07/05/18 |
|
|
|
327 |
|
|
|
KRW |
|
|
2,115,691,190 |
|
|
USD |
|
|
1,893,016 |
|
|
|
1,900,798 |
|
|
|
07/26/18 |
|
|
|
7,782 |
|
|
|
KRW |
|
|
1,708,439,905 |
|
|
USD |
|
|
1,534,056 |
|
|
|
1,535,221 |
|
|
|
08/03/18 |
|
|
|
1,165 |
|
|
|
MXN |
|
|
30,795,043 |
|
|
USD |
|
|
1,468,499 |
|
|
|
1,531,089 |
|
|
|
09/19/18 |
|
|
|
62,590 |
|
|
|
NOK |
|
|
13,472,104 |
|
|
USD |
|
|
1,652,218 |
|
|
|
1,659,489 |
|
|
|
09/19/18 |
|
|
|
7,271 |
|
|
|
RUB |
|
|
6,729,364 |
|
|
USD |
|
|
105,688 |
|
|
|
106,619 |
|
|
|
08/15/18 |
|
|
|
931 |
|
|
|
RUB |
|
|
45,289,841 |
|
|
USD |
|
|
708,168 |
|
|
|
717,168 |
|
|
|
08/20/18 |
|
|
|
8,999 |
|
|
|
SGD |
|
|
1,515,671 |
|
|
USD |
|
|
1,111,593 |
|
|
|
1,114,349 |
|
|
|
09/19/18 |
|
|
|
2,756 |
|
|
|
TRY |
|
|
7,518,775 |
|
|
USD |
|
|
1,561,452 |
|
|
|
1,581,513 |
|
|
|
09/19/18 |
|
|
|
20,061 |
|
|
|
USD |
|
|
1,969,544 |
|
|
ARS |
|
|
53,985,207 |
|
|
|
1,860,084 |
|
|
|
07/03/18 |
|
|
|
109,461 |
|
|
|
USD |
|
|
335,808 |
|
|
ARS |
|
|
7,115,781 |
|
|
|
244,627 |
|
|
|
07/05/18 |
|
|
|
91,182 |
|
|
|
USD |
|
|
1,128,046 |
|
|
AUD |
|
|
1,498,377 |
|
|
|
1,109,029 |
|
|
|
08/10/18 |
|
|
|
19,017 |
|
|
|
USD |
|
|
1,901,019 |
|
|
AUD |
|
|
2,525,059 |
|
|
|
1,869,129 |
|
|
|
09/19/18 |
|
|
|
31,890 |
|
|
|
USD |
|
|
8,133,280 |
|
|
BRL |
|
|
30,544,403 |
|
|
|
7,878,071 |
|
|
|
07/03/18 |
|
|
|
255,212 |
|
|
|
USD |
|
|
897,352 |
|
|
BRL |
|
|
3,425,943 |
|
|
|
880,528 |
|
|
|
08/02/18 |
|
|
|
16,825 |
|
|
|
USD |
|
|
3,187,093 |
|
|
CAD |
|
|
4,102,149 |
|
|
|
3,122,951 |
|
|
|
08/17/18 |
|
|
|
64,142 |
|
|
|
USD |
|
|
4,561,724 |
|
|
CAD |
|
|
5,914,831 |
|
|
|
4,505,333 |
|
|
|
09/19/18 |
|
|
|
56,392 |
|
|
|
USD |
|
|
1,082,540 |
|
|
CLP |
|
|
685,356,072 |
|
|
|
1,048,938 |
|
|
|
07/05/18 |
|
|
|
33,602 |
|
|
|
USD |
|
|
1,077,682 |
|
|
CLP |
|
|
685,179,356 |
|
|
|
1,048,712 |
|
|
|
07/18/18 |
|
|
|
28,970 |
|
|
|
USD |
|
|
8,135,962 |
|
|
CNH |
|
|
52,663,513 |
|
|
|
7,914,146 |
|
|
|
09/19/18 |
|
|
|
221,814 |
|
|
|
USD |
|
|
31,056 |
|
|
CZK |
|
|
672,237 |
|
|
|
30,350 |
|
|
|
09/19/18 |
|
|
|
706 |
|
|
|
USD |
|
|
9,354,281 |
|
|
EUR |
|
|
7,897,000 |
|
|
|
9,264,918 |
|
|
|
08/31/18 |
|
|
|
89,362 |
|
|
|
USD |
|
|
774,828 |
|
|
EUR |
|
|
654,233 |
|
|
|
768,678 |
|
|
|
09/19/18 |
|
|
|
6,150 |
|
|
|
USD |
|
|
10,757,145 |
|
|
GBP |
|
|
8,053,925 |
|
|
|
10,650,911 |
|
|
|
08/14/18 |
|
|
|
106,235 |
|
|
|
USD |
|
|
1,192,155 |
|
|
GBP |
|
|
890,540 |
|
|
|
1,179,519 |
|
|
|
09/19/18 |
|
|
|
12,636 |
|
|
|
USD |
|
|
4,820,086 |
|
|
HKD |
|
|
37,547,681 |
|
|
|
4,792,312 |
|
|
|
09/19/18 |
|
|
|
27,773 |
|
|
|
USD |
|
|
2,771,622 |
|
|
IDR |
|
|
39,553,810,548 |
|
|
|
2,762,992 |
|
|
|
07/02/18 |
|
|
|
8,629 |
|
|
|
USD |
|
|
186,568 |
|
|
IDR |
|
|
2,628,835,277 |
|
|
|
183,428 |
|
|
|
07/23/18 |
|
|
|
3,140 |
|
|
|
USD |
|
|
979,683 |
|
|
IDR |
|
|
13,776,111,773 |
|
|
|
960,361 |
|
|
|
07/27/18 |
|
|
|
19,322 |
|
|
|
USD |
|
|
3,523,961 |
|
|
INR |
|
|
238,758,323 |
|
|
|
3,482,473 |
|
|
|
07/11/18 |
|
|
|
41,488 |
|
|
|
USD |
|
|
1,398,011 |
|
|
INR |
|
|
95,413,745 |
|
|
|
1,390,060 |
|
|
|
07/19/18 |
|
|
|
7,951 |
|
|
|
USD |
|
|
787,974 |
|
|
JPY |
|
|
86,292,414 |
|
|
|
781,469 |
|
|
|
08/08/18 |
|
|
|
6,506 |
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Gain |
|
| |
|
| MS & Co. Int. PLC (continued) |
|
USD |
|
|
5,048,246 |
|
|
JPY |
|
|
552,275,057 |
|
|
$ |
5,016,452 |
|
|
|
09/19/18 |
|
|
$ |
31,795 |
|
|
|
USD |
|
|
155,693 |
|
|
KRW |
|
|
167,479,435 |
|
|
|
150,365 |
|
|
|
07/05/18 |
|
|
|
5,329 |
|
|
|
USD |
|
|
866,645 |
|
|
KRW |
|
|
962,021,115 |
|
|
|
864,307 |
|
|
|
07/26/18 |
|
|
|
2,338 |
|
|
|
USD |
|
|
1,113,264 |
|
|
NOK |
|
|
8,997,058 |
|
|
|
1,108,254 |
|
|
|
09/19/18 |
|
|
|
5,010 |
|
|
|
USD |
|
|
4,743,042 |
|
|
NZD |
|
|
6,881,691 |
|
|
|
4,661,349 |
|
|
|
09/19/18 |
|
|
|
81,693 |
|
|
|
USD |
|
|
2,481,543 |
|
|
SEK |
|
|
22,016,486 |
|
|
|
2,470,626 |
|
|
|
09/05/18 |
|
|
|
10,918 |
|
|
|
USD |
|
|
485,019 |
|
|
SEK |
|
|
4,159,734 |
|
|
|
467,300 |
|
|
|
09/19/18 |
|
|
|
17,719 |
|
|
|
USD |
|
|
1,772,587 |
|
|
SGD |
|
|
2,361,812 |
|
|
|
1,736,447 |
|
|
|
09/19/18 |
|
|
|
36,140 |
|
|
|
USD |
|
|
476,899 |
|
|
THB |
|
|
15,657,321 |
|
|
|
473,160 |
|
|
|
08/14/18 |
|
|
|
3,740 |
|
|
|
USD |
|
|
490,571 |
|
|
TRY |
|
|
2,319,506 |
|
|
|
487,889 |
|
|
|
09/19/18 |
|
|
|
2,682 |
|
|
|
USD |
|
|
478,156 |
|
|
TWD |
|
|
14,192,909 |
|
|
|
466,312 |
|
|
|
07/09/18 |
|
|
|
11,844 |
|
|
|
USD |
|
|
3,592,953 |
|
|
TWD |
|
|
108,541,707 |
|
|
|
3,567,400 |
|
|
|
07/16/18 |
|
|
|
25,554 |
|
|
|
USD |
|
|
6,778,864 |
|
|
TWD |
|
|
203,900,916 |
|
|
|
6,705,172 |
|
|
|
07/27/18 |
|
|
|
73,692 |
|
|
|
USD |
|
|
1,150,965 |
|
|
ZAR |
|
|
14,472,121 |
|
|
|
1,049,711 |
|
|
|
08/08/18 |
|
|
|
101,254 |
|
|
|
USD |
|
|
1,537,178 |
|
|
ZAR |
|
|
21,080,829 |
|
|
|
1,520,770 |
|
|
|
09/19/18 |
|
|
|
16,408 |
|
|
|
ZAR |
|
|
6,588,101 |
|
|
USD |
|
|
475,021 |
|
|
|
475,265 |
|
|
|
09/19/18 |
|
|
|
244 |
|
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
2,250,415 |
|
| |
|
|
| FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS |
|
|
|
|
|
|
|
| Counterparty |
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Loss |
|
| |
|
| MS & Co. Int. PLC |
|
ARS |
|
|
53,985,207 |
|
|
USD |
|
|
2,551,889 |
|
|
$ |
1,860,084 |
|
|
|
07/03/18 |
|
|
$ |
(691,806 |
) |
|
|
ARS |
|
|
18,646,833 |
|
|
USD |
|
|
786,699 |
|
|
|
641,042 |
|
|
|
07/05/18 |
|
|
|
(145,658 |
) |
|
|
ARS |
|
|
11,589,563 |
|
|
USD |
|
|
450,080 |
|
|
|
396,202 |
|
|
|
07/10/18 |
|
|
|
(53,878 |
) |
|
|
ARS |
|
|
19,401,342 |
|
|
USD |
|
|
915,158 |
|
|
|
661,778 |
|
|
|
07/12/18 |
|
|
|
(253,380 |
) |
|
|
ARS |
|
|
16,753,016 |
|
|
USD |
|
|
787,543 |
|
|
|
567,021 |
|
|
|
07/19/18 |
|
|
|
(220,522 |
) |
|
|
ARS |
|
|
53,985,207 |
|
|
USD |
|
|
1,918,110 |
|
|
|
1,805,223 |
|
|
|
07/31/18 |
|
|
|
(112,887 |
) |
|
|
ARS |
|
|
31,310,621 |
|
|
USD |
|
|
1,134,253 |
|
|
|
1,036,833 |
|
|
|
08/10/18 |
|
|
|
(97,420 |
) |
|
|
ARS |
|
|
37,213,587 |
|
|
USD |
|
|
1,451,818 |
|
|
|
1,226,350 |
|
|
|
08/15/18 |
|
|
|
(225,467 |
) |
|
|
ARS |
|
|
27,118,236 |
|
|
USD |
|
|
1,019,291 |
|
|
|
891,940 |
|
|
|
08/17/18 |
|
|
|
(127,351 |
) |
|
|
AUD |
|
|
842,856 |
|
|
EUR |
|
|
533,169 |
|
|
|
623,908 |
|
|
|
09/19/18 |
|
|
|
(2,527 |
) |
|
|
AUD |
|
|
276,316 |
|
|
GBP |
|
|
154,528 |
|
|
|
204,538 |
|
|
|
09/19/18 |
|
|
|
(135 |
) |
|
|
AUD |
|
|
1,403,634 |
|
|
USD |
|
|
1,056,719 |
|
|
|
1,038,904 |
|
|
|
08/10/18 |
|
|
|
(17,814 |
) |
|
|
AUD |
|
|
14,718,883 |
|
|
USD |
|
|
10,968,905 |
|
|
|
10,895,385 |
|
|
|
09/19/18 |
|
|
|
(73,522 |
) |
|
|
BRL |
|
|
29,045,312 |
|
|
USD |
|
|
7,688,134 |
|
|
|
7,491,420 |
|
|
|
07/03/18 |
|
|
|
(196,713 |
) |
|
|
BRL |
|
|
1,640,754 |
|
|
USD |
|
|
423,290 |
|
|
|
421,703 |
|
|
|
08/02/18 |
|
|
|
(1,588 |
) |
|
|
CAD |
|
|
5,017,000 |
|
|
USD |
|
|
3,897,871 |
|
|
|
3,819,424 |
|
|
|
08/17/18 |
|
|
|
(78,447 |
) |
|
|
CAD |
|
|
5,270,597 |
|
|
USD |
|
|
4,040,854 |
|
|
|
4,014,620 |
|
|
|
09/19/18 |
|
|
|
(26,236 |
) |
|
|
CLP |
|
|
685,356,072 |
|
|
USD |
|
|
1,080,788 |
|
|
|
1,048,938 |
|
|
|
07/05/18 |
|
|
|
(31,849 |
) |
|
|
CLP |
|
|
275,435,050 |
|
|
USD |
|
|
423,290 |
|
|
|
421,583 |
|
|
|
08/06/18 |
|
|
|
(1,708 |
) |
|
|
CNH |
|
|
6,275,701 |
|
|
EUR |
|
|
819,977 |
|
|
|
943,097 |
|
|
|
09/19/18 |
|
|
|
(20,317 |
) |
|
|
CNH |
|
|
13,300,783 |
|
|
USD |
|
|
2,013,653 |
|
|
|
1,998,810 |
|
|
|
09/19/18 |
|
|
|
(14,843 |
) |
|
|
COP |
|
|
398,372,451 |
|
|
USD |
|
|
136,156 |
|
|
|
135,770 |
|
|
|
07/23/18 |
|
|
|
(386 |
) |
|
|
COP |
|
|
1,977,114,731 |
|
|
USD |
|
|
675,389 |
|
|
|
673,742 |
|
|
|
07/26/18 |
|
|
|
(1,647 |
) |
|
|
COP |
|
|
7,307,524,125 |
|
|
USD |
|
|
2,494,206 |
|
|
|
2,487,191 |
|
|
|
08/22/18 |
|
|
|
(7,014 |
) |
|
|
EUR |
|
|
4,876,780 |
|
|
USD |
|
|
5,776,722 |
|
|
|
5,721,536 |
|
|
|
08/31/18 |
|
|
|
(55,186 |
) |
|
|
EUR |
|
|
2,837,562 |
|
|
USD |
|
|
3,354,861 |
|
|
|
3,333,931 |
|
|
|
09/19/18 |
|
|
|
(20,929 |
) |
|
|
GBP |
|
|
2,106,152 |
|
|
EUR |
|
|
2,388,178 |
|
|
|
2,789,598 |
|
|
|
09/19/18 |
|
|
|
(16,342 |
) |
|
|
GBP |
|
|
963,000 |
|
|
USD |
|
|
1,288,558 |
|
|
|
1,273,519 |
|
|
|
08/14/18 |
|
|
|
(15,038 |
) |
|
|
GBP |
|
|
9,834,042 |
|
|
USD |
|
|
13,123,096 |
|
|
|
13,025,181 |
|
|
|
09/19/18 |
|
|
|
(97,914 |
) |
|
|
HKD |
|
|
38,496,121 |
|
|
USD |
|
|
4,922,979 |
|
|
|
4,913,364 |
|
|
|
09/19/18 |
|
|
|
(9,614 |
) |
|
|
HUF |
|
|
1,715,395,289 |
|
|
EUR |
|
|
5,309,524 |
|
|
|
6,111,986 |
|
|
|
09/19/18 |
|
|
|
(126,325 |
) |
|
|
IDR |
|
|
39,553,810,548 |
|
|
USD |
|
|
2,778,045 |
|
|
|
2,762,992 |
|
|
|
07/02/18 |
|
|
|
(15,053 |
) |
|
|
IDR |
|
|
71,220,631,392 |
|
|
USD |
|
|
5,030,128 |
|
|
|
4,964,938 |
|
|
|
07/27/18 |
|
|
|
(65,191 |
) |
|
|
IDR |
|
|
47,923,652,433 |
|
|
USD |
|
|
3,382,050 |
|
|
|
3,328,070 |
|
|
|
08/16/18 |
|
|
|
(53,980 |
) |
|
|
INR |
|
|
142,449,383 |
|
|
USD |
|
|
2,088,639 |
|
|
|
2,077,733 |
|
|
|
07/11/18 |
|
|
|
(10,906 |
) |
|
|
INR |
|
|
66,130,029 |
|
|
USD |
|
|
967,494 |
|
|
|
963,433 |
|
|
|
07/19/18 |
|
|
|
(4,061 |
) |
|
|
JPY |
|
|
101,727,000 |
|
|
USD |
|
|
928,914 |
|
|
|
921,245 |
|
|
|
08/08/18 |
|
|
|
(7,669 |
) |
|
|
JPY |
|
|
1,136,178,964 |
|
|
USD |
|
|
10,365,254 |
|
|
|
10,320,196 |
|
|
|
09/19/18 |
|
|
|
(45,058 |
) |
|
|
KRW |
|
|
2,115,691,190 |
|
|
USD |
|
|
1,930,072 |
|
|
|
1,900,041 |
|
|
|
07/09/18 |
|
|
|
(30,031 |
) |
|
|
MXN |
|
|
8,473,389 |
|
|
USD |
|
|
423,290 |
|
|
|
421,286 |
|
|
|
09/19/18 |
|
|
|
(2,005 |
) |
|
|
NOK |
|
|
19,955,379 |
|
|
EUR |
|
|
2,100,423 |
|
|
|
2,458,096 |
|
|
|
09/19/18 |
|
|
|
(9,755 |
) |
|
|
NOK |
|
|
3,877,064 |
|
|
USD |
|
|
477,864 |
|
|
|
477,575 |
|
|
|
09/19/18 |
|
|
|
(289 |
) |
|
|
NZD |
|
|
3,536,853 |
|
|
AUD |
|
|
3,259,064 |
|
|
|
2,395,705 |
|
|
|
09/19/18 |
|
|
|
(16,759 |
) |
|
|
NZD |
|
|
13,791,104 |
|
|
USD |
|
|
9,665,232 |
|
|
|
9,341,476 |
|
|
|
09/19/18 |
|
|
|
(323,756 |
) |
|
|
PLN |
|
|
16,510,718 |
|
|
EUR |
|
|
3,839,281 |
|
|
|
4,413,676 |
|
|
|
09/19/18 |
|
|
|
(97,206 |
) |
|
|
PLN |
|
|
10,243,911 |
|
|
USD |
|
|
2,827,115 |
|
|
|
2,738,422 |
|
|
|
09/19/18 |
|
|
|
(88,693 |
) |
|
|
RUB |
|
|
35,862,483 |
|
|
USD |
|
|
569,043 |
|
|
|
567,885 |
|
|
|
08/20/18 |
|
|
|
(1,158 |
) |
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Loss |
|
| |
|
| MS & Co. Int. PLC (continued) |
|
SEK |
|
|
234,014,673 |
|
|
|
EUR |
|
|
|
22,967,677 |
|
|
$ |
26,288,958 |
|
|
|
09/19/18 |
|
|
$ |
(696,421 |
) |
|
|
SEK |
|
|
18,803,000 |
|
|
|
USD |
|
|
|
2,117,543 |
|
|
|
2,110,018 |
|
|
|
09/05/18 |
|
|
|
(7,525 |
) |
|
|
SEK |
|
|
4,259,219 |
|
|
|
USD |
|
|
|
482,312 |
|
|
|
478,476 |
|
|
|
09/19/18 |
|
|
|
(3,835 |
) |
|
|
SGD |
|
|
1,285,198 |
|
|
|
EUR |
|
|
|
811,018 |
|
|
|
944,901 |
|
|
|
09/19/18 |
|
|
|
(7,987 |
) |
|
|
SGD |
|
|
709,495 |
|
|
|
USD |
|
|
|
523,583 |
|
|
|
521,633 |
|
|
|
09/19/18 |
|
|
|
(1,950 |
) |
|
|
THB |
|
|
15,325,158 |
|
|
|
USD |
|
|
|
479,256 |
|
|
|
463,122 |
|
|
|
08/14/18 |
|
|
|
(16,134 |
) |
|
|
TWD |
|
|
14,201,719 |
|
|
|
USD |
|
|
|
479,788 |
|
|
|
466,602 |
|
|
|
07/09/18 |
|
|
|
(13,186 |
) |
|
|
TWD |
|
|
89,352,777 |
|
|
|
USD |
|
|
|
2,983,769 |
|
|
|
2,938,318 |
|
|
|
07/27/18 |
|
|
|
(45,451 |
) |
|
|
USD |
|
|
5,663,458 |
|
|
|
AUD |
|
|
|
7,697,647 |
|
|
|
5,698,041 |
|
|
|
09/19/18 |
|
|
|
(34,585 |
) |
|
|
USD |
|
|
3,222,741 |
|
|
|
CAD |
|
|
|
4,267,598 |
|
|
|
3,250,635 |
|
|
|
09/19/18 |
|
|
|
(27,894 |
) |
|
|
USD |
|
|
479,182 |
|
|
|
COP |
|
|
|
1,409,187,501 |
|
|
|
480,210 |
|
|
|
07/26/18 |
|
|
|
(1,027 |
) |
|
|
USD |
|
|
19,047,137 |
|
|
|
EUR |
|
|
|
16,290,775 |
|
|
|
19,140,496 |
|
|
|
09/19/18 |
|
|
|
(93,359 |
) |
|
|
USD |
|
|
1,453,519 |
|
|
|
GBP |
|
|
|
1,100,708 |
|
|
|
1,457,887 |
|
|
|
09/19/18 |
|
|
|
(4,369 |
) |
|
|
USD |
|
|
120,984 |
|
|
|
HKD |
|
|
|
948,440 |
|
|
|
121,052 |
|
|
|
09/19/18 |
|
|
|
(68 |
) |
|
|
USD |
|
|
482,074 |
|
|
|
INR |
|
|
|
33,152,204 |
|
|
|
482,987 |
|
|
|
07/19/18 |
|
|
|
(913 |
) |
|
|
USD |
|
|
1,892,338 |
|
|
|
KRW |
|
|
|
2,115,691,190 |
|
|
|
1,900,041 |
|
|
|
07/09/18 |
|
|
|
(7,702 |
) |
|
|
USD |
|
|
5,140,553 |
|
|
|
KRW |
|
|
|
5,741,592,899 |
|
|
|
5,158,411 |
|
|
|
07/26/18 |
|
|
|
(17,859 |
) |
|
|
USD |
|
|
987,796 |
|
|
|
KRW |
|
|
|
1,103,330,028 |
|
|
|
991,356 |
|
|
|
07/31/18 |
|
|
|
(3,560 |
) |
|
|
USD |
|
|
494,395 |
|
|
|
MXN |
|
|
|
10,246,592 |
|
|
|
511,057 |
|
|
|
08/28/18 |
|
|
|
(16,662 |
) |
|
|
USD |
|
|
2,587,644 |
|
|
|
MXN |
|
|
|
54,200,821 |
|
|
|
2,694,793 |
|
|
|
09/19/18 |
|
|
|
(107,149 |
) |
|
|
USD |
|
|
1,908,837 |
|
|
|
RUB |
|
|
|
121,845,989 |
|
|
|
1,929,439 |
|
|
|
08/20/18 |
|
|
|
(20,602 |
) |
|
|
USD |
|
|
1,533,996 |
|
|
|
TRY |
|
|
|
7,500,878 |
|
|
|
1,577,748 |
|
|
|
09/19/18 |
|
|
|
(43,751 |
) |
|
|
USD |
|
|
481,919 |
|
|
|
TWD |
|
|
|
14,680,221 |
|
|
|
482,751 |
|
|
|
07/27/18 |
|
|
|
(832 |
) |
|
|
USD |
|
|
1,175,837 |
|
|
|
ZAR |
|
|
|
16,406,760 |
|
|
|
1,183,583 |
|
|
|
09/19/18 |
|
|
|
(7,746 |
) |
|
|
ZAR |
|
|
113,166,222 |
|
|
|
USD |
|
|
|
8,416,689 |
|
|
|
8,163,803 |
|
|
|
09/19/18 |
|
|
|
(252,886 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(4,949,486 |
) |
| |
|
FORWARD SALES CONTRACTS — At June 30, 2018, the Fund had the
following forward sales contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Interest
Rate |
|
Maturity
Date(a) |
|
Settlement
Date |
|
Principal
Amount |
|
|
Value |
|
| |
|
| GNMA(Proceeds Receivable: $(12,272,344)) |
|
4.000% |
|
TBA-30yr |
|
07/19/18 |
|
$ |
(12,000,000 |
) |
|
$ |
(12,296,250 |
) |
| (a) |
|
TBA (To Be Announced) Securities are purchased or 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. |
FUTURES
CONTRACTS — At June 30, 2018, the Fund had the following futures contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Number of
Contracts |
|
Expiration
Date |
|
Notional
Amount |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Long position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
| Australian 3 Year Government Bonds |
|
233 |
|
09/17/18 |
|
$ |
19,199,149 |
|
|
$ |
43,258 |
|
| Italian 10 Year Government Bonds |
|
32 |
|
09/06/18 |
|
|
4,135,694 |
|
|
|
6,781 |
|
| 2 Year U.S. Treasury Notes |
|
140 |
|
09/28/18 |
|
|
29,655,938 |
|
|
|
(25,786 |
) |
| 5 Year U.S. Treasury Notes |
|
176 |
|
09/28/18 |
|
|
19,996,625 |
|
|
|
11,102 |
|
| 10 Year German Euro-Bund |
|
29 |
|
09/06/18 |
|
|
5,504,951 |
|
|
|
23,906 |
|
| 20 Year U.S. Treasury Bonds |
|
230 |
|
09/19/18 |
|
|
33,350,000 |
|
|
|
535,636 |
|
| Ultra Long U.S. Treasury Bonds |
|
16 |
|
09/19/18 |
|
|
2,553,000 |
|
|
|
20,156 |
|
| |
|
| Total |
|
|
|
|
|
|
|
|
|
$ |
615,053 |
|
| |
|
| Short position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
| Eurodollars |
|
(394) |
|
12/14/20 |
|
|
(95,564,700 |
) |
|
|
25,020 |
|
| Eurodollars |
|
(69) |
|
06/17/19 |
|
|
(16,757,513 |
) |
|
|
147,372 |
|
| French 10 Year Government Bonds |
|
(32) |
|
09/06/18 |
|
|
(5,775,098 |
) |
|
|
(25,789 |
) |
| Ultra 10 Year U.S. Treasury Notes |
|
(26) |
|
09/19/18 |
|
|
(3,334,094 |
) |
|
|
(23,432 |
) |
| 3 Month Euro Euribor |
|
(163) |
|
12/16/19 |
|
|
(47,649,715 |
) |
|
|
(12,117 |
) |
| 5 Year U.S. Treasury Notes |
|
(98) |
|
09/28/18 |
|
|
(11,134,484 |
) |
|
|
(28,557 |
) |
| 10 Year U.S. Treasury Notes |
|
(172) |
|
09/19/18 |
|
|
(20,672,250 |
) |
|
|
(126,956 |
) |
| |
|
| Total |
|
|
|
|
|
|
|
|
|
$ |
(44,459 |
) |
| |
|
| TOTAL FUTURES CONTRACTS |
|
|
|
|
|
|
|
|
|
$ |
570,594 |
|
| |
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
SWAP CONTRACTS — At June 30, 2018, the Fund had the following swap contracts:
OVER THE COUNTER INTEREST RATE SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Payments Made by the Fund |
|
Payments
Received
by the
Fund(a) |
|
Counterparty |
|
Termination
Date |
|
Notional
Amount
(000s) |
|
|
Value |
|
|
Upfront
Payments
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| 3M KWCDC |
|
2.000% |
|
BoA Securities LLC |
|
03/21/20 |
|
|
KRW |
|
|
|
26,099,520 |
|
|
$ |
28,344 |
|
|
$ |
2,295 |
|
|
$ |
26,048 |
|
| |
|
| (a) |
|
Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2018.
|
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Payments Made by
the Fund |
|
Payments
Received
by Fund |
|
Termination
Date |
|
|
Notional
Amount
(000s) |
|
|
Market
Value |
|
|
Upfront
Premium
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| 3M STIBOR(a) |
|
0.330%(b) |
|
|
09/15/18 |
|
|
SEK |
|
|
101,290 |
|
|
$ |
(26,134 |
) |
|
$ |
227 |
|
|
$ |
(26,361 |
) |
| Mexico Interbank TIIE 28(c) |
|
7.600 |
|
|
06/17/20 |
|
|
MXN |
|
|
28,125 |
|
|
|
(13,567 |
) |
|
|
(1,213 |
) |
|
|
(12,354 |
) |
| 3M EURO(a) |
|
0.100(b) |
|
|
09/19/20 |
|
|
EUR |
|
|
31,710 |
(d) |
|
|
216,531 |
|
|
|
151,002 |
|
|
|
65,529 |
|
| 6M GBP(e) |
|
1.000 |
|
|
09/19/20 |
|
|
GBP |
|
|
18,700 |
(d) |
|
|
(43,009 |
) |
|
|
(40,808 |
) |
|
|
(2,201 |
) |
| 3M NIBOR(a) |
|
1.450(b) |
|
|
09/19/20 |
|
|
NOK |
|
|
92,000 |
(d) |
|
|
2,083 |
|
|
|
6,069 |
|
|
|
(3,986 |
) |
| 6M NIBOR(e) |
|
1.600(b) |
|
|
09/19/20 |
|
|
|
|
|
90,340 |
(d) |
|
|
16,487 |
|
|
|
16,206 |
|
|
|
281 |
|
| 3M CDOR(e) |
|
2.000 |
|
|
09/19/20 |
|
|
CAD |
|
|
14,140 |
(d) |
|
|
(73,162 |
) |
|
|
(81,886 |
) |
|
|
8,724 |
|
| 0.100(b) |
|
3M STIBOR(a) |
|
|
09/19/20 |
|
|
SEK |
|
|
342,410 |
(d) |
|
|
(143,677 |
) |
|
|
(90,726 |
) |
|
|
(52,951 |
) |
| 3M JIBAR(a) |
|
7.500 |
|
|
09/19/20 |
|
|
ZAR |
|
|
10,300 |
(d) |
|
|
1,457 |
|
|
|
814 |
|
|
|
643 |
|
| 0.100(b) |
|
6M EURO(e) |
|
|
10/15/20 |
|
|
EUR |
|
|
3,530 |
(d) |
|
|
(20,050 |
) |
|
|
(19,455 |
) |
|
|
(595 |
) |
| 3M LIBOR(a) |
|
2.139(e) |
|
|
11/20/20 |
|
|
$ |
|
|
90,470 |
(d) |
|
|
(1,331,754 |
) |
|
|
(122,901 |
) |
|
|
(1,208,853 |
) |
| 3M EURO(e) |
|
0.350(b) |
|
|
12/16/21 |
|
|
EUR |
|
|
52,870 |
(d) |
|
|
165,993 |
|
|
|
(401,880 |
) |
|
|
567,873 |
|
| 0.500(b) |
|
3M STIBOR(a) |
|
|
12/16/21 |
|
|
SEK |
|
|
410,250 |
(d) |
|
|
(78,260 |
) |
|
|
(183,123 |
) |
|
|
104,863 |
|
| 3M CDOR(e) |
|
2.028 |
|
|
07/18/22 |
|
|
CAD |
|
|
13,820 |
(d) |
|
|
(155,209 |
) |
|
|
(47,251 |
) |
|
|
(107,958 |
) |
| 0.500(b) |
|
3M STIBOR(a) |
|
|
09/19/22 |
|
|
SEK |
|
|
152,700 |
(d) |
|
|
(129,646 |
) |
|
|
(34,388 |
) |
|
|
(95,258 |
) |
| 6.750(c) |
|
Mexico IB TIIE 28D |
|
|
12/14/22 |
|
|
MXN |
|
|
10 |
|
|
|
22 |
|
|
|
21 |
|
|
|
1 |
|
| 2.550(b) |
|
6M WIBOR(e) |
|
|
03/21/23 |
|
|
PLN |
|
|
18,000 |
|
|
|
(41,320 |
) |
|
|
10,878 |
|
|
|
(52,198 |
) |
| 6M EURO(e) |
|
0.750(b) |
|
|
06/15/23 |
|
|
EUR |
|
|
23,300 |
(d) |
|
|
174,047 |
|
|
|
(138,531 |
) |
|
|
312,578 |
|
| 6M EURO(e) |
|
0.500(b) |
|
|
09/19/23 |
|
|
|
|
|
32,720 |
(d) |
|
|
352,728 |
|
|
|
98,990 |
|
|
|
253,738 |
|
| 3M LIBOR(a) |
|
2.250(e) |
|
|
09/19/23 |
|
|
$ |
|
|
37,450 |
(d) |
|
|
(1,149,708 |
) |
|
|
(1,253,195 |
) |
|
|
103,487 |
|
| 2.750(e) |
|
3M NZDOR(a) |
|
|
09/19/23 |
|
|
NZD |
|
|
7,400 |
(d) |
|
|
(40,096 |
) |
|
|
11,723 |
|
|
|
(51,819 |
) |
| 0.750(b) |
|
3M STIBOR(a) |
|
|
09/19/23 |
|
|
SEK |
|
|
397,520 |
(d) |
|
|
(570,240 |
) |
|
|
(302,885 |
) |
|
|
(267,355 |
) |
| 2.250(e) |
|
3M CDOR |
|
|
09/19/23 |
|
|
CAD |
|
|
140 |
(d) |
|
|
1,187 |
|
|
|
1,114 |
|
|
|
73 |
|
| 1.250(e) |
|
6M GBP |
|
|
09/19/23 |
|
|
GBP |
|
|
27,770 |
(d) |
|
|
171,805 |
|
|
|
189,398 |
|
|
|
(17,593 |
) |
| 2.275(e) |
|
3M LIBOR(a) |
|
|
11/20/23 |
|
|
$ |
|
|
39,430 |
(d) |
|
|
1,188,594 |
|
|
|
67,252 |
|
|
|
1,121,342 |
|
| 6M GBP(e) |
|
1.200 |
|
|
11/21/23 |
|
|
GBP |
|
|
13,330 |
(d) |
|
|
(148,240 |
) |
|
|
(869,307 |
) |
|
|
721,067 |
|
| 2.882(e) |
|
3M LIBOR(a) |
|
|
02/28/25 |
|
|
$ |
|
|
15,330 |
(d) |
|
|
5,957 |
|
|
|
36,514 |
|
|
|
(30,557 |
) |
| 2.000(b) |
|
3M STIBOR(a) |
|
|
11/02/27 |
|
|
SEK |
|
|
50,880 |
(d) |
|
|
(68,743 |
) |
|
|
2,595 |
|
|
|
(71,338 |
) |
| 3M LIBOR(a) |
|
2.750(e) |
|
|
12/21/27 |
|
|
$ |
|
|
4,680 |
(d) |
|
|
(41,987 |
) |
|
|
(73,389 |
) |
|
|
31,402 |
|
| 2.250(b) |
|
3M STIBOR(a) |
|
|
12/21/27 |
|
|
SEK |
|
|
44,160 |
(d) |
|
|
(111,420 |
) |
|
|
(78,180 |
) |
|
|
(33,240 |
) |
| 3.500%(e) |
|
6M AUDOR |
|
|
12/21/27 |
|
|
AUD |
|
|
1,870 |
(d) |
|
|
(20,642 |
) |
|
|
(61,028 |
) |
|
|
40,386 |
|
| 6M CHFOR(e) |
|
1.000(b) |
|
|
06/21/28 |
|
|
CHF |
|
|
2,420 |
(d) |
|
|
9,398 |
|
|
|
(37,270 |
) |
|
|
46,668 |
|
| 4.000(e) |
|
3M NZDOR(a) |
|
|
06/21/28 |
|
|
NZD |
|
|
3,400 |
(d) |
|
|
(40,501 |
) |
|
|
(8,577 |
) |
|
|
(31,924 |
) |
| 1.500(b) |
|
6M EURO(e) |
|
|
06/21/28 |
|
|
EUR |
|
|
3,090 |
(d) |
|
|
(402 |
) |
|
|
12,330 |
|
|
|
(12,732 |
) |
| 6M CDOR(e) |
|
2.250 |
|
|
09/19/28 |
|
|
CAD |
|
|
7,080 |
(d) |
|
|
(159,468 |
) |
|
|
(223,938 |
) |
|
|
64,470 |
|
| 6M AUDOR(e) |
|
2.750 |
|
|
09/19/28 |
|
|
AUD |
|
|
5,610 |
(d) |
|
|
(34,306 |
) |
|
|
(98,083 |
) |
|
|
63,777 |
|
| 2.500(e) |
|
3M LIBOR(a) |
|
|
09/19/28 |
|
|
$ |
|
|
590 |
(d) |
|
|
23,001 |
|
|
|
29,113 |
|
|
|
(6,112 |
) |
| 3.250(e) |
|
3M NZDOR(a) |
|
|
09/19/28 |
|
|
NZD |
|
|
6,160 |
(d) |
|
|
(71,932 |
) |
|
|
2,179 |
|
|
|
(74,111 |
) |
| 1.250(b) |
|
3M STIBOR(a) |
|
|
09/19/28 |
|
|
SEK |
|
|
29,170 |
(d) |
|
|
(22,858 |
) |
|
|
33,476 |
|
|
|
(56,334 |
) |
| 1.000(b) |
|
6M EURO(e) |
|
|
09/19/28 |
|
|
EUR |
|
|
300 |
(d) |
|
|
(2,909 |
) |
|
|
1,086 |
|
|
|
(3,995 |
) |
| 1.500(e) |
|
6M GBP |
|
|
09/19/28 |
|
|
GBP |
|
|
2,070 |
(d) |
|
|
12,864 |
|
|
|
21,323 |
|
|
|
(8,459 |
) |
| 1.400(e) |
|
6M GBP |
|
|
11/21/28 |
|
|
|
|
|
8,020 |
(d) |
|
|
166,796 |
|
|
|
(512,836 |
) |
|
|
679,632 |
|
| 3M LIBOR(a) |
|
2.750(e) |
|
|
06/16/37 |
|
|
$ |
|
|
2,460 |
(d) |
|
|
(47,410 |
) |
|
|
(65,990 |
) |
|
|
18,580 |
|
| 1.750(e) |
|
6M GBP |
|
|
12/14/37 |
|
|
GBP |
|
|
9,500 |
(d) |
|
|
46,057 |
|
|
|
25,225 |
|
|
|
20,832 |
|
| 1.250(e) |
|
6M JYOR |
|
|
06/14/38 |
|
|
JPY |
|
|
75,960 |
(d) |
|
|
(12,744 |
) |
|
|
(5,721 |
) |
|
|
(7,023 |
) |
| 1.500(b) |
|
6M EURO(e) |
|
|
09/19/38 |
|
|
EUR |
|
|
4,520 |
(d) |
|
|
(88,229 |
) |
|
|
(32,131 |
) |
|
|
(56,098 |
) |
| 3M LIBOR(a) |
|
2.500(e) |
|
|
06/17/47 |
|
|
$ |
|
|
1,640 |
(d) |
|
|
(32,007 |
) |
|
|
(43,204 |
) |
|
|
11,197 |
|
| 3M LIBOR(a) |
|
3.000(e) |
|
|
06/15/48 |
|
|
|
|
|
21,820 |
(d) |
|
|
162,867 |
|
|
|
9,135 |
|
|
|
153,732 |
|
| 1.500(e) |
|
6M JYOR |
|
|
06/16/48 |
|
|
JPY |
|
|
76,610 |
(d) |
|
|
(16,218 |
) |
|
|
(15,701 |
) |
|
|
(517 |
) |
| 2.540(e) |
|
3M CDOR |
|
|
07/18/48 |
|
|
CAD |
|
|
2,320 |
(d) |
|
|
31,873 |
|
|
|
12,028 |
|
|
|
19,845 |
|
| 1.500(b) |
|
6M EURO(e) |
|
|
09/19/48 |
|
|
EUR |
|
|
2,000 |
(d) |
|
|
(20,747 |
) |
|
|
33,198 |
|
|
|
(53,945 |
) |
| 1.000(e) |
|
6M JYOR |
|
|
09/19/48 |
|
|
JPY |
|
|
493,360 |
(d) |
|
|
(190,962 |
) |
|
|
(152,352 |
) |
|
|
(38,610 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(2,197,810 |
) |
|
$ |
(4,224,053 |
) |
|
$ |
2,026,243 |
|
| |
|
| (a) |
|
Payments made quarterly. |
| (b) |
|
Payments made annually. |
| (c) |
|
Payments made monthly. |
| (d) |
|
Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2018.
|
| (e) |
|
Payments made semi-annually. |
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference
Obligation/Index |
|
Financing Rate
Paid by
the Fund(a) |
|
Credit Spread
at June 30,
2018(b) |
|
Counterparty |
|
Termination
Date |
|
Notional
Amount
(000s) |
|
|
Value |
|
|
Upfront
Premiums
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Protection Purchased: |
|
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000)% |
|
0.356% |
|
JPMorgan
Securities, Inc. |
|
12/20/20 |
|
$ |
6,410 |
|
|
$ |
(101,374 |
) |
|
$ |
24,874 |
|
|
$ |
(126,248 |
) |
| People’s Republic of China,
7.500%, 10/28/27 |
|
(1.000) |
|
0.413 |
|
BoA Securities LLC |
|
06/20/21 |
|
|
900 |
|
|
|
(15,415 |
) |
|
|
5,942 |
|
|
|
(21,357 |
) |
| People’s Republic of China,
7.500%, 10/28/27 |
|
(1.000) |
|
0.413 |
|
Deutsche Bank AG
(London) |
|
06/20/21 |
|
|
460 |
|
|
|
(7,879 |
) |
|
|
3,194 |
|
|
|
(11,073 |
) |
| People’s Republic of China,
7.500%, 10/28/27 |
|
(1.000) |
|
0.489 |
|
Barclays Bank PLC |
|
12/20/21 |
|
|
1,130 |
|
|
|
(19,479 |
) |
|
|
(2,757 |
) |
|
|
(16,722 |
) |
| People’s Republic of China,
7.500%, 10/28/27 |
|
(1.000) |
|
0.413 |
|
Citibank NA |
|
06/20/21 |
|
|
560 |
|
|
|
(9,592 |
) |
|
|
3,122 |
|
|
|
(12,714 |
) |
| People’s Republic of China,
7.500%, 10/28/27 |
|
(1.000) |
|
0.546 |
|
Citibank NA |
|
06/20/22 |
|
|
280 |
|
|
|
(4,857 |
) |
|
|
(3,360 |
) |
|
|
(1,497 |
) |
| People’s Republic of China,
7.500%, 10/28/27 |
|
(1.000) |
|
0.546 |
|
JPMorgan
Securities, Inc. |
|
06/20/22 |
|
|
580 |
|
|
|
(10,060 |
) |
|
|
(7,005 |
) |
|
|
(3,055 |
) |
| People’s Republic of China,
7.500%, 10/28/27 |
|
(1.000) |
|
0.413 |
|
Barclays Bank PLC |
|
06/20/21 |
|
|
80 |
|
|
|
(1,370 |
) |
|
|
435 |
|
|
|
(1,805 |
) |
| People’s Republic of China,
7.500%, 10/28/27 |
|
(1.000) |
|
0.356 |
|
Citibank NA |
|
12/20/20 |
|
|
720 |
|
|
|
-11,386 |
|
|
|
3,007 |
|
|
|
-14,393 |
|
| People’s Republic of China,
7.500%, 10/28/27 |
|
(1.000) |
|
0.356 |
|
BoA Securities LLC |
|
12/20/20 |
|
|
830 |
|
|
|
(13,127 |
) |
|
|
2,436 |
|
|
|
(15,563 |
) |
| People’s Republic of China,
7.500%, 10/28/27 |
|
(1.000) |
|
0.413 |
|
JPMorgan
Securities, Inc. |
|
06/20/21 |
|
|
10 |
|
|
|
(171 |
) |
|
|
57 |
|
|
|
(228 |
) |
| People’s Republic of China,
4.250%, 10/28/18 |
|
(1.000) |
|
0.15 |
|
Citibank NA |
|
03/20/19 |
|
|
3,080 |
|
|
|
(19,891 |
) |
|
|
(2,065 |
) |
|
|
(17,826 |
) |
| People’s Republic of China,
4.250%, 10/28/18 |
|
(1.000) |
|
0.15 |
|
BoA Securities LLC |
|
06/20/19 |
|
|
100 |
|
|
|
(857 |
) |
|
|
(121 |
) |
|
|
(736 |
) |
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference
Obligation/Index |
|
Financing Rate
Paid by
the Fund(a) |
|
Credit Spread at June 30,
2018(b) |
|
Counterparty |
|
Termination
Date |
|
Notional
Amount
(000s) |
|
|
Value |
|
|
Upfront
Premiums
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Protection Purchased (continued): |
|
| People’s Republic of China, 4.250%, 10/28/18 |
|
(1.000)% |
|
0.150% |
|
Barclays Bank PLC |
|
03/20/19 |
|
$ |
270 |
|
|
$ |
(1,744 |
) |
|
$ |
(151 |
) |
|
$ |
(1,593 |
) |
| People’s Republic of China,
4.250%, 10/28/18 |
|
(1.000) |
|
0.150 |
|
JPMorgan Securities, Inc. |
|
03/20/19 |
|
|
270 |
|
|
|
(1,744 |
) |
|
|
(136 |
) |
|
|
(1,608 |
) |
| People’s Republic of China,
4.250%, 10/28/18 |
|
(1.000) |
|
0.15 |
|
Citibank NA |
|
06/20/19 |
|
|
4,390 |
|
|
|
(37,618 |
) |
|
|
(3,865 |
) |
|
|
(33,753 |
) |
| People’s Republic of China,
4.250%, 10/28/18 |
|
(1.000) |
|
0.15 |
|
JPMorgan Securities, Inc. |
|
06/20/19 |
|
|
120 |
|
|
|
(1,028 |
) |
|
|
(158 |
) |
|
|
(870 |
) |
| |
|
| TOTAL |
|
|
$ |
(257,592 |
) |
|
$ |
23,449 |
|
|
$ |
(281,041 |
) |
| |
|
| (a) |
|
Payments made quarterly. |
| (b) |
|
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 or its counterparty 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. |
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Referenced
Obligation/Index |
|
Financing Rate
Received/(Paid) by
the Fund(a) |
|
|
Credit Spread at June 30,
2018(b) |
|
|
Termination
Date |
|
|
Notional
Amount
(000s) |
|
|
Value |
|
|
Upfront
Premiums
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Protection Purchased: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CDX.NA.HY Index 30 |
|
|
(5.000)% |
|
|
|
3.613% |
|
|
|
06/20/23 |
|
|
|
$ |
|
|
|
5,575 |
|
|
$ |
(336,244 |
) |
|
$ |
(364,770 |
) |
|
$ |
28,526 |
|
| Protection Sold: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CDX.NA.IG Index 30 |
|
|
1.000 |
|
|
|
0.676% |
|
|
|
06/20/23 |
|
|
|
|
|
|
|
15,875 |
|
|
|
242,756 |
|
|
|
262,391 |
|
|
|
(19,635 |
) |
| iTraxx Europe Series 29 |
|
|
1.000 |
|
|
|
0.735% |
|
|
|
06/20/23 |
|
|
|
EUR |
|
|
|
2,700 |
|
|
|
41,825 |
|
|
|
43,550 |
|
|
|
(1,725 |
) |
| |
|
| TOTAL |
|
|
$ |
(51,663 |
) |
|
$ |
(58,829 |
) |
|
$ |
7,166 |
|
| |
|
| (a) |
|
Payments made quarterly. |
| (b) |
|
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 or its counterparty 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. |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS ON COMMODITY INDICES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference
Obligation/Index(a) |
|
Financing Rate
Paid by
the Fund(b) |
|
Counterparty |
|
Termination
Date |
|
Notional
Amount
(000s) |
|
|
Unrealized
Appreciation/
(Depreciation)* |
|
| |
|
| Egypt Treasury Bill |
|
0.000% |
|
Citibank NA |
|
10/11/18 |
|
$ |
5,250 |
|
|
$ |
13,519 |
|
| |
|
| (a) |
|
Payments made semi-annually. |
| (b) |
|
The Fund pays/receives annual coupon payments in accordance with the swap contract(s). On the termination date of the swap contract(s), the Fund will either receive
from or pay to the counterparty an amount equal to the net of the accrued financing fees and the value of the reference security subtracted from the original notional cost (notional multiplied by the price change of the reference security, converted
to U.S. Dollars). |
| * |
|
There are no upfront payments on the swap contracts, therefore the unrealized gain (loss) on the swap contracts is equal to their value. |
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
WRITTEN AND PURCHASED OPTIONS CONTRACTS — At June 30, 2018, the Fund had the following written and purchased options:
OVER-THE-COUNTER INTEREST RATE SWAPTIONS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Counterparty |
|
Exercise
Price |
|
|
Expiration
Date |
|
|
Number of
Contracts |
|
|
Notional
Amount |
|
|
Market
Value |
|
|
Premiums Paid
(Received)
by Portfolio |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Purchased option contracts |
|
| Calls |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2Y IRS |
|
MS & Co. Int. PLC |
|
|
2.450 |
% |
|
|
04/30/20 |
|
|
|
9,600,000 |
|
|
$ |
9,600,000 |
|
|
$ |
34,952 |
|
|
$ |
27,429 |
|
|
$ |
7,523 |
|
| 2Y IRS |
|
MS & Co. Int. PLC |
|
|
2.450 |
|
|
|
04/27/20 |
|
|
|
9,100,000 |
|
|
|
9,100,000 |
|
|
|
32,873 |
|
|
|
26,000 |
|
|
|
6,873 |
|
| 2Y IRS |
|
Citibank NA |
|
|
2.350 |
|
|
|
05/05/20 |
|
|
|
15,500,000 |
|
|
|
15,500,000 |
|
|
|
50,026 |
|
|
|
37,898 |
|
|
|
12,128 |
|
| 2Y IRS |
|
Citibank NA |
|
|
2.250 |
|
|
|
03/30/20 |
|
|
|
13,200,000 |
|
|
|
13,200,000 |
|
|
|
34,413 |
|
|
|
45,692 |
|
|
|
(11,279 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
47,400,000 |
|
|
$ |
47,400,000 |
|
|
$ |
152,264 |
|
|
$ |
137,019 |
|
|
$ |
15,245 |
|
| |
|
| Puts |
|
| 1Y IRS |
|
Citibank NA |
|
|
2.450 |
|
|
|
01/23/19 |
|
|
|
7,200,000 |
|
|
|
7,200,000 |
|
|
|
25,867 |
|
|
|
80,800 |
|
|
|
(54,933 |
) |
| 1Y IRS |
|
Citibank NA |
|
|
2.400 |
|
|
|
01/25/19 |
|
|
|
4,700,000 |
|
|
|
4,700,000 |
|
|
|
14,726 |
|
|
|
48,044 |
|
|
|
(33,318 |
) |
| 1Y IRS |
|
Citibank NA |
|
|
2.750 |
|
|
|
02/12/19 |
|
|
|
2,500,000 |
|
|
|
2,500,000 |
|
|
|
24,634 |
|
|
|
42,500 |
|
|
|
(17,866 |
) |
| 1Y IRS |
|
Citibank NA |
|
|
2.750 |
|
|
|
02/13/19 |
|
|
|
4,700,000 |
|
|
|
4,700,000 |
|
|
|
46,566 |
|
|
|
82,250 |
|
|
|
(35,684 |
) |
| 1Y IRS |
|
BoA Securities LLC |
|
|
2.750 |
|
|
|
03/04/19 |
|
|
|
2,500,000 |
|
|
|
2,500,000 |
|
|
|
26,274 |
|
|
|
40,556 |
|
|
|
(14,282 |
) |
| 1Y IRS |
|
JPMorgan Securities, Inc. |
|
|
2.750 |
|
|
|
03/06/19 |
|
|
|
2,300,000 |
|
|
|
2,300,000 |
|
|
|
24,409 |
|
|
|
38,333 |
|
|
|
(13,924 |
) |
| 2Y IRS |
|
Citibank NA |
|
|
2.450 |
|
|
|
03/26/20 |
|
|
|
9,600,000 |
|
|
|
9,600,000 |
|
|
|
32,723 |
|
|
|
38,506 |
|
|
|
(5,783 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33,500,000 |
|
|
$ |
33,500,000 |
|
|
$ |
195,199 |
|
|
$ |
370,989 |
|
|
$ |
(175,790 |
) |
| |
|
| Total Purchased option contracts |
|
|
|
80,900,000 |
|
|
$ |
80,900,000 |
|
|
$ |
347,463 |
|
|
$ |
508,008 |
|
|
$ |
(160,545 |
) |
| |
|
| Written option contracts |
|
| Calls |
|
| 2Y IRS |
|
Citibank NA |
|
|
2.377 |
% |
|
|
05/05/20 |
|
|
|
(3,400,000 |
) |
|
$ |
(3,400,000 |
) |
|
$ |
(43,912 |
) |
|
$ |
(37,825 |
) |
|
$ |
(6,087 |
) |
| 2Y IRS |
|
MS & Co. Int. PLC |
|
|
2.505 |
|
|
|
04/27/20 |
|
|
|
(2,000,000 |
) |
|
|
(2,000,000 |
) |
|
|
(31,121 |
) |
|
|
(26,000 |
) |
|
|
(5,121 |
) |
| 2Y IRS |
|
MS & Co. Int. PLC |
|
|
2.483 |
|
|
|
04/30/20 |
|
|
|
(2,100,000 |
) |
|
|
(2,100,000 |
) |
|
|
(31,712 |
) |
|
|
(27,300 |
) |
|
|
(4,412 |
) |
| 2Y IRS |
|
Citibank NA |
|
|
2.338 |
|
|
|
03/30/20 |
|
|
|
(2,900,000 |
) |
|
|
(2,900,000 |
) |
|
|
(33,162 |
) |
|
|
(45,675 |
) |
|
|
12,513 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(10,400,000 |
) |
|
$ |
(10,400,000 |
) |
|
$ |
(139,907 |
) |
|
$ |
(136,800 |
) |
|
$ |
(3,107 |
) |
| |
|
| Puts |
|
| 1Y IRS |
|
Citibank NA |
|
|
2.503 |
|
|
|
01/23/19 |
|
|
|
(3,200,000 |
) |
|
|
(3,200,000 |
) |
|
|
(30,089 |
) |
|
|
(80,800 |
) |
|
|
50,711 |
|
| 1Y IRS |
|
Citibank NA |
|
|
2.449 |
|
|
|
01/25/19 |
|
|
|
(2,100,000 |
) |
|
|
(2,100,000 |
) |
|
|
(16,874 |
) |
|
|
(48,300 |
) |
|
|
31,426 |
|
| 1Y IRS |
|
Citibank NA |
|
|
2.790 |
|
|
|
02/12/19 |
|
|
|
(1,100,000 |
) |
|
|
(1,100,000 |
) |
|
|
(28,190 |
) |
|
|
(42,075 |
) |
|
|
13,885 |
|
| 1Y IRS |
|
Citibank NA |
|
|
2.799 |
|
|
|
02/13/19 |
|
|
|
(2,100,000 |
) |
|
|
(2,100,000 |
) |
|
|
(55,485 |
) |
|
|
(82,687 |
) |
|
|
27,202 |
|
| 1Y IRS |
|
BoA Securities LLC |
|
|
2.795 |
|
|
|
03/04/19 |
|
|
|
(1,100,000 |
) |
|
|
(1,100,000 |
) |
|
|
(30,331 |
) |
|
|
(40,150 |
) |
|
|
9,819 |
|
| 1Y IRS |
|
JPMorgan Securities, Inc. |
|
|
2.793 |
|
|
|
03/06/19 |
|
|
|
(1,000,000 |
) |
|
|
(1,000,000 |
) |
|
|
(27,624 |
) |
|
|
(37,500 |
) |
|
|
9,876 |
|
| 2Y IRS |
|
Citibank NA |
|
|
2.530 |
|
|
|
03/26/20 |
|
|
|
(2,100,000 |
) |
|
|
(2,100,000 |
) |
|
|
(32,461 |
) |
|
|
(38,325 |
) |
|
|
5,864 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(12,700,000 |
) |
|
$ |
(12,700,000 |
) |
|
$ |
(221,055 |
) |
|
$ |
(369,837 |
) |
|
$ |
148,783 |
|
| |
|
| Total Written option contracts |
|
|
|
|
|
|
|
|
|
|
(23,100,000 |
) |
|
$ |
(23,100,000 |
) |
|
$ |
(360,962 |
) |
|
$ |
(506,637 |
) |
|
$ |
145,676 |
|
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
57,800,000 |
|
|
$ |
57,800,000 |
|
|
$ |
(13,499 |
) |
|
$ |
1,371 |
|
|
$ |
(14,869 |
) |
| |
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
|
|
|
| |
| Abbreviations: |
| 1Y IRS |
|
— 1 Year Interest Rate Swaptions |
| 2Y IRS |
|
— 2 Year Interest Rate Swaptions |
| BoA Securities LLC |
|
— Bank of America Securities LLC |
| CDX.NA.HY Index 30 |
|
— CDX North America High Yield
Index 30 |
| CDX.NA.HY Index 30 |
|
— CDX North America High Yield
Index 30 |
| Mexico IB TIIE 28D |
|
— Mexico Interbank TIIE 28 Days |
| MS & Co. Int. PLC |
|
— Morgan Stanley & Co. International PLC |
| |
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – 29.9% |
| Aerospace & Defense – 0.9% |
|
|
| General Dynamics Corp. |
| $ |
|
|
1,725,000 |
|
|
|
3.000 |
% |
|
05/11/21 |
|
$ 1,719,458 |
|
|
|
550,000 |
|
|
|
3.375 |
(a) |
|
05/15/23 |
|
551,111 |
| (3M USD LIBOR + 0.380%) |
|
|
|
900,000 |
|
|
|
2.736 |
(b) |
|
05/11/21 |
|
903,135 |
| Northrop Grumman
Corp.(a) |
|
|
|
3,175,000 |
|
|
|
2.930 |
|
|
01/15/25 |
|
3,014,229 |
|
|
|
4,400,000 |
|
|
|
3.250 |
|
|
01/15/28 |
|
4,133,636 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,321,569 |
| |
| Agriculture – 0.9% |
| BAT Capital
Corp.(a)(c) |
|
|
|
1,960,000 |
|
|
|
3.222 |
|
|
08/15/24 |
|
1,856,578 |
|
|
|
175,000 |
|
|
|
3.557 |
|
|
08/15/27 |
|
162,820 |
|
|
|
800,000 |
|
|
|
4.390 |
|
|
08/15/37 |
|
750,513 |
| BAT International Finance
PLC(c) |
|
|
|
4,875,000 |
|
|
|
2.750 |
|
|
06/15/20 |
|
4,821,825 |
| Reynolds American,
Inc.(a) |
|
|
|
3,125,000 |
|
|
|
4.450 |
|
|
06/12/25 |
|
3,145,010 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,736,746 |
| |
| Airlines – 0.4% |
| Delta Air Lines, Inc. |
|
|
|
4,250,000 |
|
|
|
3.400 |
|
|
04/19/21 |
|
4,229,762 |
| |
| Automotive – 0.3% |
| Ford Motor Credit Co. LLC |
|
|
|
3,250,000 |
|
|
|
5.875 |
|
|
08/02/21 |
|
3,445,387 |
| |
| Banks – 7.2% |
| Banco Santander SA |
|
|
|
2,600,000 |
|
|
|
3.125 |
|
|
02/23/23 |
|
2,467,166 |
|
|
|
400,000 |
|
|
|
4.250 |
|
|
04/11/27 |
|
380,204 |
|
|
|
600,000 |
|
|
|
4.379 |
|
|
04/12/28 |
|
573,676 |
| Bank of America Corp. |
|
|
|
3,050,000 |
|
|
|
4.125 |
|
|
01/22/24 |
|
3,100,203 |
|
|
|
1,243,000 |
|
|
|
4.000 |
|
|
04/01/24 |
|
1,253,889 |
|
|
|
1,700,000 |
|
|
|
3.248 |
(a) |
|
10/21/27 |
|
1,584,350 |
|
|
|
725,000 |
|
|
|
4.183 |
(a) |
|
11/25/27 |
|
706,076 |
|
|
|
350,000 |
|
|
|
6.110 |
|
|
01/29/37 |
|
402,043 |
| (3M USD LIBOR + 1.040%) |
|
|
|
2,820,000 |
|
|
|
3.419 |
(a)(b) |
|
12/20/28 |
|
2,655,521 |
| (3M USD LIBOR + 1.575%) |
|
|
|
100,000 |
|
|
|
3.824 |
(a)(b) |
|
01/20/28 |
|
97,545 |
| Barclays PLC |
|
|
|
400,000 |
|
|
|
4.950 |
|
|
01/10/47 |
|
375,002 |
| BNP Paribas SA(c) |
|
|
|
2,500,000 |
|
|
|
3.500 |
|
|
03/01/23 |
|
2,436,760 |
|
|
|
900,000 |
|
|
|
3.375 |
|
|
01/09/25 |
|
850,214 |
| BNP Paribas/BNP Paribas US Medium-Term Note Program LLC |
|
|
|
1,375,000 |
|
|
|
3.250 |
|
|
03/03/23 |
|
1,358,067 |
| BPCE SA |
|
|
|
925,000 |
|
|
|
2.650 |
|
|
02/03/21 |
|
906,086 |
| Capital One NA(a) |
|
|
|
1,700,000 |
|
|
|
2.650 |
|
|
08/08/22 |
|
1,631,211 |
| Citibank NA(a) |
|
|
|
2,550,000 |
|
|
|
3.050 |
|
|
05/01/20 |
|
2,549,070 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Banks – (continued) |
| Citigroup, Inc. |
| $ |
|
|
1,300,000 |
|
|
|
4.600 |
% |
|
03/09/26 |
|
$ 1,298,133 |
|
|
|
1,150,000 |
|
|
|
4.125 |
|
|
07/25/28 |
|
1,100,997 |
| Cooperatieve Rabobank UA |
|
|
|
1,550,000 |
|
|
|
3.125 |
|
|
04/26/21 |
|
1,544,061 |
| (3M USD LIBOR + 0.430%) |
|
|
|
1,300,000 |
|
|
|
2.792 |
(b) |
|
04/26/21 |
|
1,300,962 |
| Credit Agricole
SA(c) |
|
|
|
1,050,000 |
|
|
|
3.250 |
|
|
10/04/24 |
|
988,778 |
| Credit Suisse Group AG(a)(b)(c)(3M USD
LIBOR + 1.410%) |
|
|
|
2,175,000 |
|
|
|
3.869 |
|
|
01/12/29 |
|
2,045,214 |
| Credit Suisse Group Funding Guernsey Ltd. |
|
|
|
683,000 |
|
|
|
4.550 |
|
|
04/17/26 |
|
682,947 |
| Deutsche Bank AG |
|
|
|
425,000 |
|
|
|
2.500 |
|
|
02/13/19 |
|
422,049 |
|
|
|
4,775,000 |
|
|
|
2.700 |
|
|
07/13/20 |
|
4,657,549 |
| HSBC Holdings
PLC(a)(b) |
| (3M USD LIBOR + 1.000%) |
|
|
|
850,000 |
|
|
|
3.326 |
|
|
05/18/24 |
|
847,450 |
| (3M USD LIBOR + 1.055%) |
|
|
|
2,200,000 |
|
|
|
3.262 |
|
|
03/13/23 |
|
2,154,949 |
| Huntington Bancshares,
Inc.(a) |
|
|
|
1,625,000 |
|
|
|
4.000 |
|
|
05/15/25 |
|
1,629,768 |
| ING Bank NV(a)(b)(5 year USD ICE Swap
+ 2.700%) |
|
|
|
2,025,000 |
|
|
|
4.125 |
|
|
11/21/23 |
|
2,029,860 |
| Intesa Sanpaolo
SpA(c) |
|
|
|
2,525,000 |
|
|
|
3.375 |
|
|
01/12/23 |
|
2,320,969 |
| JPMorgan Chase &
Co.(a) |
|
|
|
346,000 |
|
|
|
3.625 |
|
|
12/01/27 |
|
325,304 |
| (3M USD LIBOR + 0.945%) |
|
|
|
650,000 |
|
|
|
3.509 |
(b) |
|
01/23/29 |
|
615,846 |
| (3M USD LIBOR + 1.337%) |
|
|
|
3,750,000 |
|
|
|
3.782 |
(b) |
|
02/01/28 |
|
3,658,705 |
| (3M USD LIBOR + 1.360%) |
|
|
|
800,000 |
|
|
|
3.882 |
(b) |
|
07/24/38 |
|
738,875 |
| (3M USD LIBOR + 3.800%) |
|
|
|
2,250,000 |
|
|
|
5.300 |
(b) |
|
12/29/49 |
|
2,291,625 |
| Lloyds Bank PLC(b)(3M USD LIBOR +
0.490%) |
|
|
|
1,550,000 |
|
|
|
2.853 |
|
|
05/07/21 |
|
1,552,191 |
| Morgan Stanley, Inc. |
|
|
|
4,700,000 |
|
|
|
3.700 |
|
|
10/23/24 |
|
4,640,057 |
|
|
|
700,000 |
|
|
|
4.000 |
|
|
07/23/25 |
|
697,871 |
|
|
|
175,000 |
|
|
|
3.625 |
|
|
01/20/27 |
|
168,040 |
| (3M USD LIBOR + 0.847%) |
|
|
|
3,725,000 |
|
|
|
3.737 |
(a)(b) |
|
04/24/24 |
|
3,702,649 |
| (3M USD LIBOR + 1.400%) |
|
|
|
2,575,000 |
|
|
|
3.759 |
(a)(b) |
|
10/24/23 |
|
2,633,926 |
| Royal Bank of Canada |
|
|
|
1,475,000 |
|
|
|
3.200 |
|
|
04/30/21 |
|
1,474,363 |
| (3M USD LIBOR + 0.390%) |
|
|
|
1,525,000 |
|
|
|
2.749 |
(b) |
|
04/30/21 |
|
1,524,484 |
| Royal Bank of Scotland Group PLC |
|
|
|
1,336,000 |
|
|
|
3.875 |
|
|
09/12/23 |
|
1,297,819 |
| |
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Banks – (continued) |
| (3M USD LIBOR + 1.480%) |
| $ |
|
|
2,475,000 |
|
|
|
3.498 |
%(a)(b) |
|
05/15/23 |
|
$ 2,397,552 |
| (3M USD LIBOR + 1.550%) |
|
|
|
1,525,000 |
|
|
|
4.519 |
(a)(b) |
|
06/25/24 |
|
1,526,093 |
| (3M USD LIBOR + 1.754%) |
|
|
|
200,000 |
|
|
|
4.892 |
(a)(b) |
|
05/18/29 |
|
199,110 |
| Santander Holdings USA,
Inc.(a) |
|
|
|
650,000 |
|
|
|
2.650 |
|
|
04/17/20 |
|
644,274 |
| The Bank of New York Mellon
Corp.(a) |
|
|
|
825,000 |
|
|
|
3.300 |
|
|
08/23/29 |
|
766,951 |
| UBS Group Funding Switzerland
AG(c) |
|
|
|
2,550,000 |
|
|
|
4.125 |
|
|
09/24/25 |
|
2,532,181 |
| UniCredit SpA(c) |
|
|
|
600,000 |
|
|
|
3.750 |
|
|
04/12/22 |
|
572,638 |
| Wells Fargo & Co. |
|
|
|
2,700,000 |
|
|
|
3.000 |
|
|
10/23/26 |
|
2,493,006 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
82,804,329 |
| |
| Beverages(a) – 0.7% |
|
|
| Anheuser-Busch InBev Finance, Inc. |
|
|
|
850,000 |
|
|
|
4.700 |
|
|
02/01/36 |
|
861,515 |
|
|
|
1,175,000 |
|
|
|
4.900 |
|
|
02/01/46 |
|
1,208,344 |
| Anheuser-Busch InBev Worldwide, Inc. |
|
|
|
3,225,000 |
|
|
|
4.000 |
|
|
04/13/28 |
|
3,217,509 |
|
|
|
550,000 |
|
|
|
4.600 |
|
|
04/15/48 |
|
541,890 |
| Bacardi Ltd.(c) |
|
|
|
975,000 |
|
|
|
5.300 |
|
|
05/15/48 |
|
924,041 |
| Maple Escrow Subsidiary,
Inc.(c) |
|
|
|
1,400,000 |
|
|
|
4.057 |
|
|
05/25/23 |
|
1,403,414 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,156,713 |
| |
| Chemicals – 0.9% |
|
|
| Syngenta Finance
NV(c) |
|
|
|
2,115,000 |
|
|
|
3.698 |
|
|
04/24/20 |
|
2,107,321 |
|
|
|
2,590,000 |
|
|
|
3.933 |
|
|
04/23/21 |
|
2,583,434 |
|
|
|
650,000 |
|
|
|
4.441 |
(a) |
|
04/24/23 |
|
646,361 |
|
|
|
1,375,000 |
|
|
|
4.892 |
(a) |
|
04/24/25 |
|
1,348,157 |
|
|
|
425,000 |
|
|
|
5.182 |
(a) |
|
04/24/28 |
|
410,477 |
| The Sherwin-Williams
Co.(a) |
|
|
|
400,000 |
|
|
|
2.750 |
|
|
06/01/22 |
|
387,598 |
|
|
|
325,000 |
|
|
|
3.125 |
|
|
06/01/24 |
|
310,417 |
|
|
|
1,900,000 |
|
|
|
3.450 |
|
|
06/01/27 |
|
1,795,063 |
|
|
|
525,000 |
|
|
|
4.500 |
|
|
06/01/47 |
|
501,067 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,089,895 |
| |
| Commercial Services – 0.3% |
|
|
| Ecolab, Inc. |
|
|
|
133,000 |
|
|
|
5.500 |
|
|
12/08/41 |
|
156,410 |
|
|
|
1,081,000 |
|
|
|
3.950 |
(a) |
|
12/01/47 |
|
1,033,529 |
| Rensselaer Polytechnic Institute |
|
|
|
2,600,000 |
|
|
|
5.600 |
|
|
09/01/20 |
|
2,716,665 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,906,604 |
| |
| Computers(a) – 0.2% |
|
|
| Dell International LLC/EMC
Corp.(c) |
|
|
|
1,100,000 |
|
|
|
5.450 |
|
|
06/15/23 |
|
1,151,301 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Computers(a) –
(continued) |
| Hewlett Packard Enterprise Co. |
| $ |
|
|
1,025,000 |
|
|
|
4.900 |
% |
|
10/15/25 |
|
$ 1,046,214 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,197,515 |
| |
| Diversified Financial Services – 0.9% |
|
|
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
|
|
|
2,075,000 |
|
|
|
4.625 |
|
|
07/01/22 |
|
2,115,979 |
|
|
|
1,450,000 |
|
|
|
3.300 |
(a) |
|
01/23/23 |
|
1,393,714 |
| American Express
Co.(a) |
|
|
|
700,000 |
|
|
|
3.625 |
|
|
12/05/24 |
|
689,436 |
| Huarong Finance 2017 Co. Ltd. |
|
|
|
200,000 |
|
|
|
4.750 |
|
|
04/27/27 |
|
192,438 |
| International Lease Finance
Corp.(c) |
|
|
|
1,400,000 |
|
|
|
7.125 |
|
|
09/01/18 |
|
1,409,133 |
| Jefferies Group LLC/Jefferies Group Capital Finance, Inc. |
|
|
|
50,000 |
|
|
|
4.150 |
|
|
01/23/30 |
|
44,121 |
| Synchrony
Financial(a) |
|
|
|
175,000 |
|
|
|
4.250 |
|
|
08/15/24 |
|
171,555 |
|
|
|
2,327,000 |
|
|
|
4.500 |
|
|
07/23/25 |
|
2,285,371 |
| TD Ameritrade Holding
Corp.(a) |
|
|
|
1,950,000 |
|
|
|
2.950 |
|
|
04/01/22 |
|
1,915,921 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,217,668 |
| |
| Electrical – 1.7% |
|
|
| Alliant Energy Finance
LLC(a)(c) |
|
|
|
825,000 |
|
|
|
3.750 |
|
|
06/15/23 |
|
824,849 |
|
|
|
225,000 |
|
|
|
4.250 |
|
|
06/15/28 |
|
224,941 |
| Arizona Public Service
Co.(a) |
|
|
|
1,175,000 |
|
|
|
2.950 |
|
|
09/15/27 |
|
1,104,926 |
| Berkshire Hathaway Energy
Co.(a) |
|
|
|
800,000 |
|
|
|
3.250 |
|
|
04/15/28 |
|
760,839 |
| Duke Energy Carolinas
LLC(a) |
|
|
|
800,000 |
|
|
|
3.950 |
|
|
03/15/48 |
|
774,758 |
| Duke Energy
Corp.(a) |
|
|
|
2,100,000 |
|
|
|
3.150 |
|
|
08/15/27 |
|
1,949,232 |
| Emera US Finance
LP(a) |
|
|
|
950,000 |
|
|
|
2.700 |
|
|
06/15/21 |
|
924,647 |
| Enel Finance International
NV(c) |
|
|
|
1,375,000 |
|
|
|
2.875 |
|
|
05/25/22 |
|
1,310,137 |
| Entergy Corp.(a) |
|
|
|
1,025,000 |
|
|
|
2.950 |
|
|
09/01/26 |
|
935,205 |
| Exelon Corp.(a) |
|
|
|
1,125,000 |
|
|
|
3.497 |
|
|
06/01/22 |
|
1,111,984 |
| Florida Power & Light
Co.(a) |
|
|
|
1,532,000 |
|
|
|
4.125 |
|
|
02/01/42 |
|
1,547,514 |
|
|
|
750,000 |
|
|
|
3.950 |
|
|
03/01/48 |
|
736,436 |
| Pacific Gas & Electric
Co.(a) |
|
|
|
975,000 |
|
|
|
3.500 |
|
|
06/15/25 |
|
909,577 |
| Ruwais Power Co.
PJSC(c) |
|
|
|
740,000 |
|
|
|
6.000 |
|
|
08/31/36 |
|
796,425 |
| Sempra Energy(a)(b)(3M USD LIBOR
+ 0.500%) |
|
|
|
1,900,000 |
|
|
|
2.848 |
|
|
01/15/21 |
|
1,900,956 |
| Southern California Edison
Co.(a) |
|
|
|
1,950,000 |
|
|
|
4.050 |
|
|
03/15/42 |
|
1,830,193 |
| The Southern
Co.(a) |
|
|
|
1,730,000 |
|
|
|
3.250 |
|
|
07/01/26 |
|
1,623,904 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,266,523 |
| |
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Electrical Components & Equipment(a)
– 0.1% |
| Hubbell, Inc. |
| $ |
|
|
1,250,000 |
|
|
|
3.500 |
% |
|
02/15/28 |
|
$ 1,196,446 |
| |
| Food & Drug Retailing – 0.3% |
| Kraft Heinz Foods
Co.(a) |
|
|
|
250,000 |
|
|
|
5.200 |
|
|
07/15/45 |
|
243,207 |
|
|
|
125,000 |
|
|
|
4.375 |
|
|
06/01/46 |
|
108,138 |
| Smithfield Foods,
Inc.(c) |
|
|
|
1,200,000 |
|
|
|
2.700 |
|
|
01/31/20 |
|
1,182,782 |
|
|
|
2,350,000 |
|
|
|
2.650 |
(a) |
|
10/03/21 |
|
2,238,917 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,773,044 |
| |
| Gas(a) – 0.3% |
| NiSource, Inc. |
|
|
|
1,275,000 |
|
|
|
3.650 |
(c) |
|
06/15/23 |
|
1,273,695 |
|
|
|
2,500,000 |
|
|
|
3.490 |
|
|
05/15/27 |
|
2,390,524 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,664,219 |
| |
| Healthcare Providers & Services – 1.0% |
| Aetna, Inc.(a) |
|
|
|
750,000 |
|
|
|
2.800 |
|
|
06/15/23 |
|
714,622 |
| Becton Dickinson &
Co.(a) |
|
|
|
2,575,000 |
|
|
|
2.894 |
|
|
06/06/22 |
|
2,490,626 |
|
|
|
2,475,000 |
|
|
|
3.363 |
|
|
06/06/24 |
|
2,377,446 |
|
|
|
825,000 |
|
|
|
4.685 |
|
|
12/15/44 |
|
799,654 |
|
|
|
300,000 |
|
|
|
4.669 |
|
|
06/06/47 |
|
289,926 |
| (3M USD LIBOR + 0.875%) |
|
|
|
2,225,000 |
|
|
|
3.209 |
(b) |
|
12/29/20 |
|
2,228,635 |
| Stryker Corp.(a) |
|
|
|
575,000 |
|
|
|
2.625 |
|
|
03/15/21 |
|
565,251 |
|
|
|
475,000 |
|
|
|
3.375 |
|
|
11/01/25 |
|
456,309 |
| Thermo Fisher Scientific,
Inc.(a) |
|
|
|
450,000 |
|
|
|
3.000 |
|
|
04/15/23 |
|
437,534 |
| UnitedHealth Group, Inc. |
|
|
|
650,000 |
|
|
|
4.625 |
|
|
07/15/35 |
|
683,625 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,043,628 |
| |
| Household Products – 0.1% |
| Kimberly-Clark Corp. |
|
|
|
825,000 |
|
|
|
3.700 |
|
|
06/01/43 |
|
775,756 |
| |
| Insurance – 0.9% |
| AIA Group
Ltd.(a)(c) |
|
|
|
875,000 |
|
|
|
3.900 |
|
|
04/06/28 |
|
872,754 |
| American International Group,
Inc.(a) |
|
|
|
750,000 |
|
|
|
4.200 |
|
|
04/01/28 |
|
733,778 |
| Arch Capital Finance
LLC(a) |
|
|
|
1,200,000 |
|
|
|
4.011 |
|
|
12/15/26 |
|
1,185,584 |
| Arch Capital Group Ltd. |
|
|
|
1,125,000 |
|
|
|
7.350 |
|
|
05/01/34 |
|
1,442,588 |
| AXA Equitable Holdings,
Inc.(a)(c) |
|
|
|
600,000 |
|
|
|
3.900 |
|
|
04/20/23 |
|
595,273 |
|
|
|
275,000 |
|
|
|
4.350 |
|
|
04/20/28 |
|
262,891 |
| Great-West Lifeco Finance 2018
LP(a)(c) |
|
|
|
1,125,000 |
|
|
|
4.047 |
|
|
05/17/28 |
|
1,133,846 |
| MetLife, Inc. |
|
|
|
250,000 |
|
|
|
4.050 |
|
|
03/01/45 |
|
232,186 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Insurance – (continued) |
| Prudential Financial,
Inc.(a) |
| $ |
|
|
1,825,000 |
|
|
|
3.878 |
% |
|
03/27/28 |
|
$ 1,804,060 |
| Teachers Insurance & Annuity Association of America(c) |
|
|
|
560,000 |
|
|
|
4.900 |
|
|
09/15/44 |
|
589,500 |
| The Hartford Financial Services Group, Inc. |
|
|
|
250,000 |
|
|
|
5.125 |
|
|
04/15/22 |
|
263,829 |
| The Northwestern Mutual Life Insurance
Co.(c) |
|
|
|
1,200,000 |
|
|
|
6.063 |
|
|
03/30/40 |
|
1,492,127 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,608,416 |
| |
| Internet(a) –
0.5% |
| Amazon.com, Inc. |
|
|
|
2,300,000 |
|
|
|
5.200 |
|
|
12/03/25 |
|
2,528,425 |
|
|
|
1,300,000 |
|
|
|
4.800 |
|
|
12/05/34 |
|
1,424,333 |
|
|
|
700,000 |
|
|
|
3.875 |
|
|
08/22/37 |
|
683,279 |
| Expedia Group, Inc. |
|
|
|
825,000 |
|
|
|
3.800 |
|
|
02/15/28 |
|
755,492 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,391,529 |
| |
| Investment Companies – 0.0% |
| Huarong Finance II Co. Ltd. |
|
|
|
210,000 |
|
|
|
5.000 |
|
|
11/19/25 |
|
208,425 |
| |
| Machinery - Construction & Mining(a)
– 0.1% |
| Oshkosh Corp. |
|
|
|
875,000 |
|
|
|
4.600 |
|
|
05/15/28 |
|
872,813 |
| |
| Media – 0.8% |
| 21st Century Fox America, Inc. |
|
|
|
500,000 |
|
|
|
6.150 |
|
|
03/01/37 |
|
586,457 |
| Charter Communications Operating LLC/Charter Communications Operating Capital(a) |
|
|
|
2,024,000 |
|
|
|
3.579 |
|
|
07/23/20 |
|
2,021,430 |
|
|
|
2,300,000 |
|
|
|
4.464 |
|
|
07/23/22 |
|
2,328,260 |
|
|
|
1,750,000 |
|
|
|
4.500 |
|
|
02/01/24 |
|
1,748,277 |
|
|
|
1,975,000 |
|
|
|
4.908 |
|
|
07/23/25 |
|
1,994,521 |
| Time Warner Cable
LLC(a) |
|
|
|
275,000 |
|
|
|
5.875 |
|
|
11/15/40 |
|
269,035 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,947,980 |
| |
| Mining(c) –
0.1% |
| Glencore Funding LLC |
|
|
|
625,000 |
|
|
|
4.125 |
|
|
05/30/23 |
|
623,631 |
| |
| Oil Field Services – 1.7% |
| Anadarko Petroleum Corp. |
|
|
|
950,000 |
|
|
|
8.700 |
|
|
03/15/19 |
|
986,936 |
|
|
|
190,000 |
|
|
|
3.450 |
(a) |
|
07/15/24 |
|
182,570 |
|
|
|
475,000 |
|
|
|
5.550 |
(a) |
|
03/15/26 |
|
509,065 |
|
|
|
925,000 |
|
|
|
6.450 |
|
|
09/15/36 |
|
1,068,981 |
| BP Capital Markets
PLC(a) |
|
|
|
1,775,000 |
|
|
|
3.224 |
|
|
04/14/24 |
|
1,741,617 |
| Canadian Natural Resources
Ltd.(a) |
|
|
|
1,225,000 |
|
|
|
3.850 |
|
|
06/01/27 |
|
1,195,183 |
| Concho Resources,
Inc.(a) |
|
|
|
1,050,000 |
|
|
|
4.300 |
|
|
08/15/28 |
|
1,052,441 |
| Continental Resources,
Inc.(a) |
|
|
|
1,900,000 |
|
|
|
4.500 |
|
|
04/15/23 |
|
1,930,875 |
| Devon Energy
Corp.(a) |
|
|
|
400,000 |
|
|
|
5.600 |
|
|
07/15/41 |
|
431,470 |
| |
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Oil Field Services – (continued) |
| Dolphin Energy Ltd.
LLC(c) |
| $ |
|
|
142,680 |
|
|
|
5.888 |
% |
|
06/15/19 |
|
$ 144,642 |
| Halliburton
Co.(a) |
|
|
|
1,600,000 |
|
|
|
3.250 |
|
|
11/15/21 |
|
1,599,410 |
| Marathon Oil
Corp.(a) |
|
|
|
1,775,000 |
|
|
|
4.400 |
|
|
07/15/27 |
|
1,781,278 |
| Petroleos Mexicanos |
|
|
|
628,000 |
|
|
|
6.375 |
|
|
02/04/21 |
|
660,970 |
| EUR |
|
|
1,250,000 |
|
|
|
5.125 |
|
|
03/15/23 |
|
1,600,251 |
| $ |
|
|
560,000 |
|
|
|
6.500 |
|
|
03/13/27 |
|
574,235 |
|
|
|
10,000 |
|
|
|
6.625 |
|
|
06/15/35 |
|
9,800 |
|
|
|
53,000 |
|
|
|
6.750 |
|
|
09/21/47 |
|
49,900 |
|
|
|
201,000 |
|
|
|
6.350 |
(c) |
|
02/12/48 |
|
181,403 |
| Phillips 66(a) |
|
|
|
1,600,000 |
|
|
|
3.900 |
|
|
03/15/28 |
|
1,561,568 |
| Pioneer Natural Resources
Co.(a) |
|
|
|
295,000 |
|
|
|
3.950 |
|
|
07/15/22 |
|
298,372 |
| Reliance Industries Ltd. |
|
|
|
250,000 |
|
|
|
4.125 |
|
|
01/28/25 |
|
243,136 |
|
|
|
450,000 |
|
|
|
3.667 |
(c) |
|
11/30/27 |
|
413,438 |
| Valero Energy Corp. |
|
|
|
950,000 |
|
|
|
3.650 |
|
|
03/15/25 |
|
927,884 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,145,425 |
| |
| Pharmaceuticals – 1.6% |
| Allergan Funding
SCS(a) |
|
|
|
150,000 |
|
|
|
4.850 |
|
|
06/15/44 |
|
144,884 |
| Bayer US Finance II
LLC(a)(c) |
|
|
|
2,075,000 |
|
|
|
3.875 |
|
|
12/15/23 |
|
2,075,087 |
|
|
|
4,100,000 |
|
|
|
4.250 |
|
|
12/15/25 |
|
4,121,939 |
|
|
|
2,975,000 |
|
|
|
4.375 |
|
|
12/15/28 |
|
2,980,658 |
| CVS Health
Corp.(a) |
|
|
|
1,100,000 |
|
|
|
4.125 |
|
|
05/15/21 |
|
1,119,444 |
|
|
|
2,100,000 |
|
|
|
3.500 |
|
|
07/20/22 |
|
2,081,497 |
|
|
|
2,625,000 |
|
|
|
3.875 |
|
|
07/20/25 |
|
2,543,451 |
|
|
|
350,000 |
|
|
|
5.125 |
|
|
07/20/45 |
|
354,648 |
|
|
|
2,075,000 |
|
|
|
5.050 |
|
|
03/25/48 |
|
2,111,720 |
| Teva Pharmaceutical Finance Netherlands III BV |
|
|
|
920,000 |
|
|
|
2.800 |
|
|
07/21/23 |
|
794,650 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,327,978 |
| |
| Pipelines – 2.6% |
| Abu Dhabi Crude Oil Pipeline
LLC(c) |
|
|
|
1,190,000 |
|
|
|
4.600 |
|
|
11/02/47 |
|
1,094,800 |
| Columbia Pipeline Group,
Inc.(a) |
|
|
|
925,000 |
|
|
|
3.300 |
|
|
06/01/20 |
|
921,172 |
| Enbridge, Inc.(a) |
|
|
|
1,100,000 |
|
|
|
2.900 |
|
|
07/15/22 |
|
1,068,410 |
| Energy Transfer Partners
LP(a) |
|
|
|
1,375,000 |
|
|
|
4.650 |
|
|
06/01/21 |
|
1,408,000 |
|
|
|
775,000 |
|
|
|
5.200 |
|
|
02/01/22 |
|
803,753 |
|
|
|
1,950,000 |
|
|
|
4.200 |
|
|
09/15/23 |
|
1,949,043 |
|
|
|
575,000 |
|
|
|
5.300 |
|
|
04/15/47 |
|
527,130 |
| Enterprise Products Operating
LLC(a) |
|
|
|
215,000 |
|
|
|
3.350 |
|
|
03/15/23 |
|
211,842 |
|
|
|
85,000 |
|
|
|
3.750 |
|
|
02/15/25 |
|
84,171 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Pipelines – (continued) |
| (3M USD LIBOR + 2.778%) |
| $ |
|
|
1,350,000 |
|
|
|
5.078 |
%(b) |
|
06/01/67 |
|
$ 1,338,187 |
| (3M USD LIBOR + 3.708%) |
|
|
|
2,125,000 |
|
|
|
6.066 |
(b) |
|
08/01/66 |
|
2,130,312 |
| EQT Midstream Partners
LP(a) |
|
|
|
2,375,000 |
|
|
|
4.750 |
|
|
07/15/23 |
|
2,371,174 |
| Kinder Morgan Energy Partners
LP(a) |
|
|
|
4,500,000 |
|
|
|
3.450 |
|
|
02/15/23 |
|
4,342,500 |
|
|
|
175,000 |
|
|
|
5.400 |
|
|
09/01/44 |
|
169,315 |
| MPLX LP(a) |
|
|
|
700,000 |
|
|
|
4.500 |
|
|
04/15/38 |
|
646,553 |
|
|
|
325,000 |
|
|
|
4.700 |
|
|
04/15/48 |
|
301,342 |
| ONEOK, Inc.(a) |
|
|
|
1,575,000 |
|
|
|
4.550 |
|
|
07/15/28 |
|
1,588,844 |
| Plains All American Pipeline LP/PAA Finance Corp.(a) |
|
|
|
525,000 |
|
|
|
3.650 |
|
|
06/01/22 |
|
514,627 |
|
|
|
1,100,000 |
|
|
|
3.850 |
|
|
10/15/23 |
|
1,072,085 |
|
|
|
650,000 |
|
|
|
4.500 |
|
|
12/15/26 |
|
636,266 |
| Sabine Pass Liquefaction
LLC(a) |
|
|
|
1,475,000 |
|
|
|
6.250 |
|
|
03/15/22 |
|
1,586,751 |
|
|
|
1,650,000 |
|
|
|
5.625 |
|
|
03/01/25 |
|
1,751,062 |
| Western Gas Partners
LP(a) |
|
|
|
900,000 |
|
|
|
3.950 |
|
|
06/01/25 |
|
848,764 |
| Williams Partners
LP(a) |
|
|
|
785,000 |
|
|
|
3.600 |
|
|
03/15/22 |
|
781,163 |
|
|
|
1,400,000 |
|
|
|
3.900 |
|
|
01/15/25 |
|
1,365,732 |
|
|
|
800,000 |
|
|
|
4.000 |
|
|
09/15/25 |
|
781,902 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30,294,900 |
| |
| Real Estate Investment Trust – 1.4% |
| American Campus Communities Operating Partnership LP(a) |
|
|
|
2,575,000 |
|
|
|
3.750 |
|
|
04/15/23 |
|
2,561,250 |
| American Homes 4 Rent
LP(a) |
|
|
|
505,000 |
|
|
|
4.250 |
|
|
02/15/28 |
|
483,622 |
| Crown Castle International
Corp.(a) |
|
|
|
2,150,000 |
|
|
|
3.150 |
|
|
07/15/23 |
|
2,058,144 |
| CubeSmart LP(a) |
|
|
|
1,500,000 |
|
|
|
4.000 |
|
|
11/15/25 |
|
1,474,433 |
| Digital Realty Trust
LP(a) |
|
|
|
1,525,000 |
|
|
|
2.750 |
|
|
02/01/23 |
|
1,452,568 |
| Healthcare Trust of America Holdings
LP(a) |
|
|
|
2,275,000 |
|
|
|
3.700 |
|
|
04/15/23 |
|
2,236,473 |
| Kilroy Realty LP |
|
|
|
2,375,000 |
|
|
|
6.625 |
|
|
06/01/20 |
|
2,512,550 |
|
|
|
1,500,000 |
|
|
|
3.800 |
(a) |
|
01/15/23 |
|
1,491,197 |
| National Retail Properties,
Inc.(a) |
|
|
|
1,150,000 |
|
|
|
4.000 |
|
|
11/15/25 |
|
1,128,261 |
| Ventas Realty
LP(a) |
|
|
|
975,000 |
|
|
|
3.500 |
|
|
02/01/25 |
|
933,605 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,332,103 |
| |
| Retailing(a) –
0.3% |
| Dollar Tree, Inc. |
|
|
|
1,400,000 |
|
|
|
4.000 |
|
|
05/15/25 |
|
1,368,224 |
|
|
|
1,400,000 |
|
|
|
4.200 |
|
|
05/15/28 |
|
1,351,377 |
| |
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Retailing(a) –
(continued) |
| Walmart, Inc. |
| $ |
|
|
800,000 |
|
|
|
4.050 |
% |
|
06/29/48 |
|
$ 805,592 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,525,193 |
| |
| Semiconductors – 0.5% |
| Broadcom Corp./Broadcom Cayman Finance
Ltd.(a) |
|
|
|
1,200,000 |
|
|
|
3.000 |
|
|
01/15/22 |
|
1,167,193 |
|
|
|
775,000 |
|
|
|
2.650 |
|
|
01/15/23 |
|
729,847 |
| Microchip Technology,
Inc.(c) |
|
|
|
1,025,000 |
|
|
|
3.922 |
|
|
06/01/21 |
|
1,026,702 |
| NXP BV/NXP Funding
LLC(c) |
|
|
|
725,000 |
|
|
|
4.125 |
|
|
06/15/20 |
|
732,250 |
|
|
|
1,975,000 |
|
|
|
4.125 |
|
|
06/01/21 |
|
1,970,063 |
|
|
|
225,000 |
|
|
|
4.625 |
|
|
06/01/23 |
|
227,531 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,853,586 |
| |
| Software(a) –
0.2% |
| Oracle Corp. |
|
|
|
1,200,000 |
|
|
|
3.250 |
|
|
11/15/27 |
|
1,147,411 |
|
|
|
1,000,000 |
|
|
|
4.000 |
|
|
07/15/46 |
|
943,581 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,090,992 |
| |
| Telecommunication Services – 2.6% |
| AT&T, Inc. |
|
|
|
2,875,000 |
|
|
|
3.800 |
|
|
03/15/22 |
|
2,879,904 |
|
|
|
2,400,000 |
|
|
|
3.000 |
(a) |
|
06/30/22 |
|
2,329,911 |
|
|
|
1,354,000 |
|
|
|
3.600 |
(a) |
|
02/17/23 |
|
1,333,976 |
|
|
|
3,100,000 |
|
|
|
3.400 |
(a) |
|
05/15/25 |
|
2,906,991 |
|
|
|
100,000 |
|
|
|
4.125 |
(a) |
|
02/17/26 |
|
97,742 |
|
|
|
1,975,000 |
|
|
|
4.250 |
(a) |
|
03/01/27 |
|
1,932,962 |
|
|
|
425,000 |
|
|
|
5.450 |
(a) |
|
03/01/47 |
|
417,174 |
| Verizon Communications, Inc. |
|
|
|
6,125,000 |
|
|
|
3.500 |
(a) |
|
11/01/24 |
|
5,924,283 |
|
|
|
7,366,000 |
|
|
|
4.329 |
(c) |
|
09/21/28 |
|
7,300,449 |
|
|
|
500,000 |
|
|
|
5.250 |
|
|
03/16/37 |
|
513,499 |
|
|
|
25,000 |
|
|
|
4.125 |
|
|
08/15/46 |
|
21,446 |
|
|
|
50,000 |
|
|
|
4.862 |
|
|
08/21/46 |
|
47,779 |
|
|
|
693,000 |
|
|
|
5.012 |
|
|
04/15/49 |
|
674,879 |
| Vodafone Group PLC |
|
|
|
2,925,000 |
|
|
|
3.750 |
|
|
01/16/24 |
|
2,900,003 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,280,998 |
| |
| Transportation(a) –
0.2% |
| Burlington Northern Santa Fe LLC |
|
|
|
800,000 |
|
|
|
4.050 |
|
|
06/15/48 |
|
773,541 |
| Union Pacific Corp. |
|
|
|
1,575,000 |
|
|
|
3.950 |
|
|
09/10/28 |
|
1,582,518 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,356,059 |
| |
| Trucking & Leasing(c) –
0.2% |
| Penske Truck Leasing Co. LP/PTL Finance Corp. |
|
|
|
1,225,000 |
|
|
|
3.375 |
(a) |
|
02/01/22 |
|
1,207,421 |
|
|
|
1,425,000 |
|
|
|
4.250 |
|
|
01/17/23 |
|
1,448,931 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,656,352 |
| |
TOTAL CORPORATE OBLIGATIONS
(Cost $348,588,304) |
|
$ 342,342,184 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations – 27.5% |
| Collateralized Mortgage Obligations – 0.5% |
| Interest Only(b)(d)(e) –
0.0% |
| CS First Boston Mortgage Securities Corp. Series 2003-AR20, Class 2X(1 year CMT +
2.912%) |
| $ |
|
|
90,156 |
|
|
|
0.000 |
% |
|
08/25/33 |
|
$ — |
| CS First Boston Mortgage-Backed Pass-Through Certificates Series 2003-AR18, Class 2X(1 year CMT +
2.999%) |
|
|
|
160,091 |
|
|
|
0.000 |
|
|
07/25/33 |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
— |
| |
| Inverse Floaters(b) –
0.0% |
| GNMA REMIC Series 2002-13, Class SB(-1x1M LIBOR + 37.567%) |
|
|
|
47,809 |
|
|
|
28.543 |
|
|
02/16/32 |
|
65,911 |
| |
| Sequential Fixed Rate – 0.5% |
| FHLMC REMIC Series 2755, Class ZA |
|
|
|
546,339 |
|
|
|
5.000 |
|
|
02/15/34 |
|
581,652 |
| FHLMC REMIC Series 4273, Class PD |
|
|
|
1,235,982 |
|
|
|
6.500 |
|
|
11/15/43 |
|
1,395,298 |
| FNMA REMIC Series 2003-134, Class ME |
|
|
|
4,899 |
|
|
|
4.500 |
|
|
06/25/33 |
|
4,910 |
| FNMA REMIC Series 2011-52, Class GB |
|
|
|
1,178,008 |
|
|
|
5.000 |
|
|
06/25/41 |
|
1,256,517 |
| FNMA REMIC Series 2011-99, Class DB |
|
|
|
1,176,029 |
|
|
|
5.000 |
|
|
10/25/41 |
|
1,253,316 |
| FNMA REMIC Series 2012-111, Class B |
|
|
|
196,868 |
|
|
|
7.000 |
|
|
10/25/42 |
|
222,003 |
| FNMA REMIC Series 2012-153, Class B |
|
|
|
687,579 |
|
|
|
7.000 |
|
|
07/25/42 |
|
778,379 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,492,075 |
| |
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
$ 5,557,986 |
| |
| Commercial Mortgage-Backed Securities(b)
– 2.3% |
| Sequential Floating Rate – 2.3% |
| Washington Mutual Mortgage Pass-Through Certificates Series 2002-AR19, Class A7(1 year CMT +
2.592%) |
| $ |
|
|
30,948 |
|
|
|
3.425 |
% |
|
02/25/33 |
|
$ 31,829 |
| Station Place Securitization Trust Series 2015-2, Class A(c)(1M USD LIBOR + 0.550%) |
|
|
|
1,800,000 |
|
|
|
2.468 |
|
|
07/15/19 |
|
1,800,000 |
| Sequoia Mortgage Trust Series 2003-4, Class 1A2(6M USD LIBOR + 0.660%) |
|
|
|
595,737 |
|
|
|
2.586 |
|
|
07/20/33 |
|
588,066 |
| Exantas Capital Corp. Ltd. Series 2018-RSO6, Class A(c)(1M LIBOR + 0.830%) |
|
|
|
4,300,000 |
|
|
|
2.791 |
|
|
06/15/35 |
|
4,293,546 |
| Ripon Mortgages PLC Series 1X, Class A2(3M GBP LIBOR + 0.800%) |
| GBP |
|
|
5,432,179 |
|
|
|
1.353 |
|
|
08/20/56 |
|
7,191,997 |
| Ripon Mortgages PLC Series 1X, Class A1(3M GBP LIBOR + 0.800%) |
|
|
|
517,350 |
|
|
|
1.353 |
|
|
08/20/56 |
|
685,980 |
| Master Adjustable Rate Mortgages Trust Series 2006-OA2, Class 4A1A(12M MTA + 0.850%) |
| $ |
|
|
845,961 |
|
|
|
2.314 |
|
|
12/25/46 |
|
797,448 |
| London Wall Mortgage Capital PLC Series 2017-FL1, Class A(3M GBP LIBOR + 0.850%) |
| GBP |
|
|
5,226,730 |
|
|
|
1.397 |
|
|
11/15/49 |
|
6,907,871 |
| |
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| Sequential Floating Rate – (continued) |
| Impac CMB Trust Series 2004-08, Class 1A(1M USD LIBOR + 0.720%) |
| $ |
|
|
212,755 |
|
|
|
2.680 |
% |
|
10/25/34 |
|
$ 207,361 |
| Harborview Mortgage Loan Trust Series 2005-16, Class 2A1A(1M USD LIBOR + 0.480%) |
|
|
|
435,858 |
|
|
|
2.428 |
|
|
01/19/36 |
|
365,450 |
| Harben Finance PLC Series 2017-1X, Class A(3M GBP LIBOR + 0.800%) |
| GBP |
|
|
2,187,973 |
|
|
|
1.353 |
|
|
08/20/56 |
|
2,896,292 |
| Citigroup Commercial Mortgage Trust Series 2008-C7, Class A1A |
| $ |
|
|
689,552 |
|
|
|
6.047 |
|
|
12/10/49 |
|
688,819 |
| |
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
|
$ 26,454,659 |
| |
| Federal Agencies – 24.7% |
| Adjustable Rate FNMA(b) –
0.3% |
| FNMA(1 year CMT + 2.217%) |
| $ |
|
|
5,017 |
|
|
|
3.990 |
% |
|
06/01/33 |
|
$ 5,262 |
| FNMA(12M USD LIBOR + 1.233%) |
|
|
|
167,863 |
|
|
|
3.490 |
|
|
06/01/35 |
|
172,077 |
| FNMA(12M USD LIBOR + 1.554%) |
|
|
|
1,434,771 |
|
|
|
3.470 |
|
|
09/01/34 |
|
1,502,732 |
| FNMA(12M USD LIBOR + 1.669%) |
|
|
|
780,965 |
|
|
|
3.930 |
|
|
07/01/34 |
|
814,669 |
| FNMA(12M USD LIBOR + 1.739%) |
|
|
|
1,328,288 |
|
|
|
3.915 |
|
|
05/01/35 |
|
1,397,141 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,891,881 |
| |
| FHLMC – 0.3% |
|
|
|
41 |
|
|
|
5.000 |
|
|
07/01/18 |
|
41 |
|
|
|
43 |
|
|
|
5.000 |
|
|
08/01/18 |
|
43 |
|
|
|
640 |
|
|
|
4.500 |
|
|
09/01/18 |
|
640 |
|
|
|
121 |
|
|
|
5.000 |
|
|
10/01/18 |
|
121 |
|
|
|
200 |
|
|
|
5.000 |
|
|
11/01/18 |
|
200 |
|
|
|
8,360 |
|
|
|
5.000 |
|
|
06/01/19 |
|
8,421 |
|
|
|
46,105 |
|
|
|
5.000 |
|
|
05/01/23 |
|
48,677 |
|
|
|
141,366 |
|
|
|
4.500 |
|
|
10/01/23 |
|
147,194 |
|
|
|
43,782 |
|
|
|
5.500 |
|
|
10/01/25 |
|
46,921 |
|
|
|
3,480 |
|
|
|
7.000 |
|
|
06/01/26 |
|
3,635 |
|
|
|
10,703 |
|
|
|
7.500 |
|
|
12/01/30 |
|
11,067 |
|
|
|
12,206 |
|
|
|
7.500 |
|
|
01/01/31 |
|
12,942 |
|
|
|
268,872 |
|
|
|
5.500 |
|
|
03/01/33 |
|
290,129 |
|
|
|
14,175 |
|
|
|
5.000 |
|
|
10/01/33 |
|
15,116 |
|
|
|
54,638 |
|
|
|
6.500 |
|
|
10/01/33 |
|
61,079 |
|
|
|
514 |
|
|
|
5.500 |
|
|
12/01/33 |
|
561 |
|
|
|
20,496 |
|
|
|
5.500 |
|
|
09/01/34 |
|
22,280 |
|
|
|
1,223 |
|
|
|
5.500 |
|
|
12/01/34 |
|
1,324 |
|
|
|
1,123 |
|
|
|
5.500 |
|
|
03/01/35 |
|
1,216 |
|
|
|
2,549 |
|
|
|
5.000 |
|
|
04/01/35 |
|
2,718 |
|
|
|
20,392 |
|
|
|
5.000 |
|
|
07/01/35 |
|
21,746 |
|
|
|
18,606 |
|
|
|
5.500 |
|
|
11/01/35 |
|
20,070 |
|
|
|
110,497 |
|
|
|
5.000 |
|
|
12/01/35 |
|
118,264 |
|
|
|
251 |
|
|
|
5.500 |
|
|
02/01/36 |
|
273 |
|
|
|
45,071 |
|
|
|
5.500 |
|
|
06/01/36 |
|
48,512 |
|
|
|
32,844 |
|
|
|
5.500 |
|
|
08/01/37 |
|
35,294 |
|
|
|
220,568 |
|
|
|
5.000 |
|
|
01/01/38 |
|
235,313 |
|
|
|
88,414 |
|
|
|
5.500 |
|
|
03/01/38 |
|
96,302 |
|
|
|
35,293 |
|
|
|
5.500 |
|
|
04/01/38 |
|
38,442 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| FHLMC – (continued) |
| $ |
|
|
65,938 |
|
|
|
5.500 |
% |
|
08/01/38 |
|
$ 71,800 |
|
|
|
1,541 |
|
|
|
5.500 |
|
|
09/01/38 |
|
1,678 |
|
|
|
6,162 |
|
|
|
6.500 |
|
|
09/01/38 |
|
6,961 |
|
|
|
7,477 |
|
|
|
5.500 |
|
|
11/01/38 |
|
8,184 |
|
|
|
11,890 |
|
|
|
5.500 |
|
|
12/01/38 |
|
12,797 |
|
|
|
540,710 |
|
|
|
5.000 |
|
|
01/01/39 |
|
577,444 |
|
|
|
629,050 |
|
|
|
7.000 |
|
|
02/01/39 |
|
718,981 |
|
|
|
3,184 |
|
|
|
5.500 |
|
|
03/01/39 |
|
3,476 |
|
|
|
168,288 |
|
|
|
5.000 |
|
|
06/01/39 |
|
179,734 |
|
|
|
4,204 |
|
|
|
5.500 |
|
|
10/01/39 |
|
4,577 |
|
|
|
12,027 |
|
|
|
5.500 |
|
|
03/01/40 |
|
13,106 |
|
|
|
22,939 |
|
|
|
4.000 |
|
|
06/01/40 |
|
23,508 |
|
|
|
22,552 |
|
|
|
5.500 |
|
|
06/01/40 |
|
24,557 |
|
|
|
15,022 |
|
|
|
5.000 |
|
|
08/01/40 |
|
16,054 |
|
|
|
4,310 |
|
|
|
4.500 |
|
|
11/01/40 |
|
4,529 |
|
|
|
229,968 |
|
|
|
4.000 |
|
|
02/01/41 |
|
236,416 |
|
|
|
2,381 |
|
|
|
5.000 |
|
|
04/01/41 |
|
2,553 |
|
|
|
13,501 |
|
|
|
5.000 |
|
|
06/01/41 |
|
14,423 |
|
|
|
15,669 |
|
|
|
4.000 |
|
|
11/01/41 |
|
16,120 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,225,439 |
| |
| FNMA – 14.0% |
|
|
|
1,620 |
|
|
|
4.500 |
|
|
07/01/18 |
|
1,619 |
|
|
|
146 |
|
|
|
4.500 |
|
|
08/01/18 |
|
146 |
|
|
|
18 |
|
|
|
6.500 |
|
|
10/01/18 |
|
20 |
|
|
|
58,739 |
|
|
|
5.500 |
|
|
09/01/23 |
|
60,963 |
|
|
|
18,806 |
|
|
|
5.500 |
|
|
10/01/23 |
|
19,537 |
|
|
|
174,759 |
|
|
|
5.000 |
|
|
02/01/24 |
|
180,030 |
|
|
|
33,159 |
|
|
|
7.000 |
|
|
08/01/27 |
|
36,429 |
|
|
|
1,474 |
|
|
|
6.500 |
|
|
09/01/27 |
|
1,614 |
|
|
|
135,442 |
|
|
|
7.000 |
|
|
03/01/28 |
|
149,080 |
|
|
|
1,965 |
|
|
|
6.500 |
|
|
05/01/28 |
|
2,148 |
|
|
|
17,132 |
|
|
|
8.000 |
|
|
02/01/31 |
|
19,285 |
|
|
|
54,674 |
|
|
|
7.000 |
|
|
03/01/31 |
|
58,923 |
|
|
|
626 |
|
|
|
5.500 |
|
|
05/01/33 |
|
682 |
|
|
|
21,907 |
|
|
|
5.000 |
|
|
07/01/33 |
|
23,372 |
|
|
|
33,791 |
|
|
|
5.000 |
|
|
08/01/33 |
|
36,042 |
|
|
|
1,203 |
|
|
|
5.000 |
|
|
09/01/33 |
|
1,283 |
|
|
|
7,099 |
|
|
|
5.500 |
|
|
09/01/33 |
|
7,728 |
|
|
|
1,469 |
|
|
|
6.500 |
|
|
09/01/33 |
|
1,618 |
|
|
|
14,574 |
|
|
|
5.000 |
|
|
12/01/33 |
|
15,553 |
|
|
|
412 |
|
|
|
5.500 |
|
|
12/01/33 |
|
445 |
|
|
|
748 |
|
|
|
5.500 |
|
|
01/01/34 |
|
815 |
|
|
|
9,240 |
|
|
|
5.500 |
|
|
02/01/34 |
|
10,062 |
|
|
|
1,695 |
|
|
|
5.500 |
|
|
04/01/34 |
|
1,846 |
|
|
|
6,396 |
|
|
|
5.500 |
|
|
05/01/34 |
|
6,978 |
|
|
|
1,880 |
|
|
|
6.000 |
|
|
07/01/34 |
|
2,075 |
|
|
|
2,314 |
|
|
|
5.500 |
|
|
08/01/34 |
|
2,519 |
|
|
|
5,123 |
|
|
|
5.500 |
|
|
10/01/34 |
|
5,575 |
|
|
|
4,054 |
|
|
|
5.500 |
|
|
11/01/34 |
|
4,423 |
|
|
|
54,682 |
|
|
|
5.500 |
|
|
12/01/34 |
|
59,626 |
|
|
|
149,367 |
|
|
|
5.000 |
|
|
04/01/35 |
|
159,822 |
|
|
|
6,372 |
|
|
|
5.500 |
|
|
04/01/35 |
|
6,922 |
|
|
|
5,193 |
|
|
|
5.500 |
|
|
07/01/35 |
|
5,649 |
|
|
|
209 |
|
|
|
5.500 |
|
|
08/01/35 |
|
227 |
|
|
|
800,957 |
|
|
|
5.000 |
|
|
09/01/35 |
|
855,699 |
|
|
|
13,653 |
|
|
|
5.500 |
|
|
09/01/35 |
|
14,859 |
|
|
|
941 |
|
|
|
5.500 |
|
|
12/01/35 |
|
1,027 |
|
|
|
201 |
|
|
|
5.500 |
|
|
02/01/36 |
|
219 |
|
|
|
77,251 |
|
|
|
5.500 |
|
|
03/01/36 |
|
83,862 |
|
|
|
16,428 |
|
|
|
6.000 |
|
|
03/01/36 |
|
18,241 |
|
|
|
742 |
|
|
|
5.500 |
|
|
04/01/36 |
|
806 |
|
|
|
3,858 |
|
|
|
6.000 |
|
|
04/01/36 |
|
4,276 |
| |
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| FNMA – (continued) |
| $ |
|
|
84,410 |
|
|
|
6.000 |
% |
|
07/01/36 |
|
$ 93,101 |
|
|
|
189,698 |
|
|
|
6.000 |
|
|
09/01/36 |
|
210,156 |
|
|
|
1,385 |
|
|
|
5.500 |
|
|
01/01/37 |
|
1,508 |
|
|
|
2,959 |
|
|
|
6.000 |
|
|
01/01/37 |
|
3,290 |
|
|
|
700 |
|
|
|
5.500 |
|
|
02/01/37 |
|
762 |
|
|
|
11,482 |
|
|
|
6.000 |
|
|
02/01/37 |
|
12,888 |
|
|
|
23,198 |
|
|
|
6.000 |
|
|
03/01/37 |
|
25,748 |
|
|
|
1,204 |
|
|
|
5.500 |
|
|
04/01/37 |
|
1,313 |
|
|
|
704 |
|
|
|
5.500 |
|
|
05/01/37 |
|
766 |
|
|
|
364 |
|
|
|
5.500 |
|
|
06/01/37 |
|
398 |
|
|
|
326 |
|
|
|
5.500 |
|
|
07/01/37 |
|
357 |
|
|
|
265,149 |
|
|
|
6.000 |
|
|
07/01/37 |
|
294,136 |
|
|
|
4,200 |
|
|
|
6.000 |
|
|
08/01/37 |
|
4,665 |
|
|
|
89,114 |
|
|
|
6.000 |
|
|
09/01/37 |
|
98,533 |
|
|
|
224,071 |
|
|
|
6.000 |
|
|
10/01/37 |
|
247,847 |
|
|
|
318,878 |
|
|
|
6.000 |
|
|
11/01/37 |
|
353,623 |
|
|
|
413 |
|
|
|
5.500 |
|
|
12/01/37 |
|
451 |
|
|
|
791 |
|
|
|
5.500 |
|
|
02/01/38 |
|
869 |
|
|
|
4,211 |
|
|
|
5.500 |
|
|
03/01/38 |
|
4,591 |
|
|
|
20,756 |
|
|
|
6.000 |
|
|
03/01/38 |
|
23,098 |
|
|
|
43,703 |
|
|
|
5.000 |
|
|
04/01/38 |
|
46,821 |
|
|
|
151,443 |
|
|
|
6.000 |
|
|
04/01/38 |
|
167,689 |
|
|
|
996 |
|
|
|
5.500 |
|
|
05/01/38 |
|
1,085 |
|
|
|
333,101 |
|
|
|
6.000 |
|
|
05/01/38 |
|
368,407 |
|
|
|
3,370 |
|
|
|
5.500 |
|
|
06/01/38 |
|
3,690 |
|
|
|
31,897 |
|
|
|
6.000 |
|
|
06/01/38 |
|
35,284 |
|
|
|
3,045 |
|
|
|
5.500 |
|
|
07/01/38 |
|
3,320 |
|
|
|
1,628 |
|
|
|
5.500 |
|
|
08/01/38 |
|
1,775 |
|
|
|
1,359 |
|
|
|
5.500 |
|
|
09/01/38 |
|
1,482 |
|
|
|
159,055 |
|
|
|
6.000 |
|
|
10/01/38 |
|
175,980 |
|
|
|
194,856 |
|
|
|
6.000 |
|
|
11/01/38 |
|
215,470 |
|
|
|
2,503 |
|
|
|
5.500 |
|
|
12/01/38 |
|
2,716 |
|
|
|
42,755 |
|
|
|
5.000 |
|
|
02/01/39 |
|
45,593 |
|
|
|
52,548 |
|
|
|
6.000 |
|
|
02/01/39 |
|
58,156 |
|
|
|
372,029 |
|
|
|
7.000 |
|
|
03/01/39 |
|
421,390 |
|
|
|
27,976 |
|
|
|
4.500 |
|
|
04/01/39 |
|
29,433 |
|
|
|
239,721 |
|
|
|
6.000 |
|
|
04/01/39 |
|
266,081 |
|
|
|
10,064 |
|
|
|
4.500 |
|
|
05/01/39 |
|
10,589 |
|
|
|
9,377 |
|
|
|
5.500 |
|
|
06/01/39 |
|
10,225 |
|
|
|
7,232 |
|
|
|
4.500 |
|
|
07/01/39 |
|
7,608 |
|
|
|
437,637 |
|
|
|
5.000 |
|
|
07/01/39 |
|
468,887 |
|
|
|
46,432 |
|
|
|
4.500 |
|
|
08/01/39 |
|
48,852 |
|
|
|
264,258 |
|
|
|
6.000 |
|
|
09/01/39 |
|
292,322 |
|
|
|
8,390 |
|
|
|
5.500 |
|
|
11/01/39 |
|
9,149 |
|
|
|
249,869 |
|
|
|
6.000 |
|
|
11/01/39 |
|
276,459 |
|
|
|
412,374 |
|
|
|
4.500 |
|
|
12/01/39 |
|
433,862 |
|
|
|
34,878 |
|
|
|
6.000 |
|
|
04/01/40 |
|
38,592 |
|
|
|
387,945 |
|
|
|
5.000 |
|
|
06/01/40 |
|
414,190 |
|
|
|
78,854 |
|
|
|
5.000 |
|
|
07/01/40 |
|
84,189 |
|
|
|
387,211 |
|
|
|
6.000 |
|
|
10/01/40 |
|
428,313 |
|
|
|
223,717 |
|
|
|
5.000 |
|
|
11/01/40 |
|
239,692 |
|
|
|
232,655 |
|
|
|
6.000 |
|
|
04/01/41 |
|
258,237 |
|
|
|
848,707 |
|
|
|
4.500 |
|
|
05/01/41 |
|
891,348 |
|
|
|
172,561 |
|
|
|
6.000 |
|
|
05/01/41 |
|
190,976 |
|
|
|
133,456 |
|
|
|
4.500 |
|
|
08/01/41 |
|
140,306 |
|
|
|
314,413 |
|
|
|
5.000 |
|
|
07/01/42 |
|
335,683 |
|
|
|
30,490 |
|
|
|
3.000 |
|
|
11/01/42 |
|
29,851 |
|
|
|
678,069 |
|
|
|
3.000 |
|
|
12/01/42 |
|
663,519 |
|
|
|
986,356 |
|
|
|
3.000 |
|
|
01/01/43 |
|
965,879 |
|
|
|
149,229 |
|
|
|
3.000 |
|
|
02/01/43 |
|
146,244 |
|
|
|
997,493 |
|
|
|
3.000 |
|
|
03/01/43 |
|
977,543 |
|
|
|
1,706,127 |
|
|
|
3.000 |
|
|
04/01/43 |
|
1,672,005 |
|
|
|
1,208,623 |
|
|
|
3.000 |
|
|
05/01/43 |
|
1,184,448 |
|
|
|
120,983 |
|
|
|
3.000 |
|
|
06/01/43 |
|
118,562 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
|
Value |
| Mortgage-Backed Obligations – (continued) |
| FNMA – (continued) |
| $ |
|
|
1,046,759 |
|
|
|
3.000 |
% |
|
|
07/01/43 |
|
|
$ 1,024,843 |
|
|
|
1,135,951 |
|
|
|
5.000 |
|
|
|
05/01/44 |
|
|
1,208,318 |
|
|
|
4,030,956 |
|
|
|
4.500 |
|
|
|
04/01/45 |
|
|
4,242,896 |
|
|
|
461,511 |
|
|
|
4.500 |
|
|
|
05/01/45 |
|
|
485,776 |
|
|
|
1,790,202 |
|
|
|
4.500 |
|
|
|
06/01/45 |
|
|
1,876,775 |
|
|
|
99,114 |
|
|
|
4.000 |
|
|
|
01/01/46 |
|
|
101,415 |
|
|
|
256,814 |
|
|
|
4.000 |
|
|
|
03/01/46 |
|
|
262,484 |
|
|
|
178,075 |
|
|
|
4.000 |
|
|
|
06/01/46 |
|
|
181,826 |
|
|
|
45,215 |
|
|
|
4.000 |
|
|
|
08/01/46 |
|
|
46,167 |
|
|
|
286,257 |
|
|
|
4.000 |
|
|
|
10/01/46 |
|
|
292,285 |
|
|
|
1,924,759 |
|
|
|
4.500 |
|
|
|
04/01/47 |
|
|
2,007,013 |
|
|
|
4,889,404 |
|
|
|
4.500 |
|
|
|
07/01/47 |
|
|
5,098,350 |
|
|
|
802,263 |
|
|
|
4.500 |
|
|
|
10/01/47 |
|
|
836,548 |
|
|
|
3,875,943 |
|
|
|
4.500 |
|
|
|
01/01/48 |
|
|
4,040,065 |
|
|
|
15,197,744 |
|
|
|
4.500 |
|
|
|
06/01/48 |
|
|
15,834,150 |
|
|
|
1,000,000 |
|
|
|
3.500 |
|
|
|
TBA-30yr |
(f) |
|
995,156 |
|
|
|
5,000,000 |
|
|
|
4.000 |
|
|
|
TBA-30yr |
(f) |
|
5,097,656 |
|
|
|
68,000,000 |
|
|
|
4.500 |
|
|
|
TBA-30yr |
(f) |
|
70,805,000 |
|
|
|
28,000,000 |
|
|
|
5.000 |
|
|
|
TBA-30yr |
(f) |
|
29,662,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
159,521,270 |
| |
| GNMA – 10.1% |
|
|
|
9,815 |
|
|
|
6.000 |
|
|
|
11/15/38 |
|
|
10,933 |
|
|
|
143,734 |
|
|
|
5.000 |
|
|
|
07/15/40 |
|
|
152,314 |
|
|
|
154,947 |
|
|
|
5.000 |
|
|
|
01/15/41 |
|
|
164,195 |
|
|
|
9,266 |
|
|
|
4.000 |
|
|
|
02/20/41 |
|
|
9,576 |
|
|
|
14,114 |
|
|
|
4.000 |
|
|
|
11/20/41 |
|
|
14,587 |
|
|
|
2,339 |
|
|
|
4.000 |
|
|
|
01/20/42 |
|
|
2,416 |
|
|
|
7,502 |
|
|
|
4.000 |
|
|
|
04/20/42 |
|
|
7,751 |
|
|
|
4,199 |
|
|
|
4.000 |
|
|
|
10/20/42 |
|
|
4,337 |
|
|
|
77,758 |
|
|
|
4.000 |
|
|
|
08/20/43 |
|
|
80,312 |
|
|
|
13,269,522 |
|
|
|
4.000 |
|
|
|
10/20/43 |
|
|
13,697,154 |
|
|
|
8,060 |
|
|
|
4.000 |
|
|
|
03/20/44 |
|
|
8,310 |
|
|
|
9,749 |
|
|
|
4.000 |
|
|
|
05/20/44 |
|
|
10,051 |
|
|
|
675,464 |
|
|
|
4.000 |
|
|
|
11/20/44 |
|
|
696,387 |
|
|
|
44,821 |
|
|
|
4.000 |
|
|
|
05/20/45 |
|
|
46,168 |
|
|
|
6,580,962 |
|
|
|
4.000 |
|
|
|
07/20/45 |
|
|
6,776,591 |
|
|
|
1,497,565 |
|
|
|
4.000 |
|
|
|
08/20/45 |
|
|
1,541,614 |
|
|
|
553,618 |
|
|
|
4.000 |
|
|
|
09/20/45 |
|
|
569,903 |
|
|
|
2,150,945 |
|
|
|
4.000 |
|
|
|
10/20/45 |
|
|
2,214,213 |
|
|
|
222,919 |
|
|
|
4.000 |
|
|
|
02/20/46 |
|
|
229,476 |
|
|
|
1,835,868 |
|
|
|
4.000 |
|
|
|
07/20/47 |
|
|
1,884,131 |
|
|
|
33,000,000 |
|
|
|
4.000 |
|
|
|
TBA-30yr |
(f) |
|
33,765,702 |
|
|
|
52,000,000 |
|
|
|
4.500 |
|
|
|
TBA-30yr |
(f) |
|
54,043,439 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
115,929,560 |
| |
| TOTAL FEDERAL AGENCIES |
|
|
$ 282,568,150 |
| |
TOTAL MORTGAGE-BACKED OBLIGATIONS
(Cost $315,837,783) |
|
|
$ 314,580,795 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Agency Debentures – 5.1% |
| FHLB |
| $ |
|
|
6,800,000 |
|
|
|
2.125 |
% |
|
|
06/09/23 |
|
|
$ 6,607,315 |
|
|
|
3,500,000 |
|
|
|
3.375 |
|
|
|
09/08/23 |
|
|
3,585,690 |
|
|
|
750,000 |
|
|
|
3.375 |
|
|
|
12/08/23 |
|
|
769,202 |
|
|
|
2,400,000 |
|
|
|
5.000 |
|
|
|
09/28/29 |
|
|
2,771,350 |
| |
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Agency Debentures – (continued) |
| FNMA |
| $ |
|
|
3,700,000 |
|
|
|
1.875 |
% |
|
09/24/26 |
|
$ 3,373,401 |
|
|
|
4,200,000 |
|
|
|
6.250 |
|
|
05/15/29 |
|
5,388,432 |
| Hashemite Kingdom of Jordan Government AID
Bond(g) |
|
|
|
7,400,000 |
|
|
|
2.503 |
|
|
10/30/20 |
|
7,350,198 |
| Israel Government AID
Bond(g) |
|
|
|
7,827,000 |
|
|
|
5.500 |
|
|
09/18/23 |
|
8,812,028 |
|
|
|
1,200,000 |
|
|
|
5.500 |
|
|
12/04/23 |
|
1,353,264 |
|
|
|
2,400,000 |
|
|
|
5.500 |
|
|
04/26/24 |
|
2,721,816 |
|
|
|
4,700,000 |
|
|
|
5.500 |
|
|
09/18/33 |
|
5,933,609 |
| NCUA Guaranteed Notes Series A4 |
|
|
|
3,500,000 |
|
|
|
3.000 |
|
|
06/12/19 |
|
3,517,310 |
| Qatar Government
Bond(c) |
|
|
|
210,000 |
|
|
|
3.875 |
|
|
04/23/23 |
|
209,738 |
|
|
|
230,000 |
|
|
|
4.500 |
|
|
04/23/28 |
|
232,300 |
| Tennessee Valley Authority |
|
|
|
5,400,000 |
|
|
|
3.875 |
|
|
02/15/21 |
|
5,559,462 |
| |
TOTAL AGENCY DEBENTURES
(Cost $57,974,970) |
|
$ 58,185,115 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed
Securities(b) – 10.9% |
| Collateralized Loan Obligations(c) –
4.9% |
| BlueMountain CLO Ltd. Series 2014-2A, Class AR(3M USD LIBOR + 0.930%) |
| $ |
|
|
5,150,000 |
|
|
|
2.675 |
% |
|
07/20/26 |
|
$ 5,150,448 |
| Catamaran CLO Ltd. Series 2013-1A, Class AR(3M USD LIBOR + 0.850%) |
|
|
|
5,000,000 |
|
|
|
2.363 |
|
|
01/27/28 |
|
4,984,705 |
| Cutwater Ltd. Series 2014-1A, Class A1AR(3M USD LIBOR + 1.250%) |
|
|
|
5,000,000 |
|
|
|
2.972 |
|
|
07/15/26 |
|
5,000,720 |
| Halcyon Loan Advisors Funding Ltd. Series 2014-1A, Class A1R(3M USD LIBOR + 1.130%) |
|
|
|
3,400,000 |
|
|
|
2.864 |
|
|
04/18/26 |
|
3,400,371 |
| Madison Park Funding XXX Ltd. Series 2018-30A, Class A(3M USD LIBOR + 0.750%) |
|
|
|
6,900,000 |
|
|
|
3.089 |
|
|
04/15/29 |
|
6,825,929 |
| Nassau Ltd. Series 2017-IIA, Class AL(3M USD LIBOR + 1.250%) |
|
|
|
5,100,000 |
|
|
|
2.913 |
|
|
01/15/30 |
|
5,107,676 |
| Palmer Square Loan Funding Ltd. Series 2017-1A, Class A1(3M USD LIBOR + 0.740%) |
|
|
|
4,071,744 |
|
|
|
2.462 |
|
|
10/15/25 |
|
4,071,703 |
| Recette CLO Ltd. Series 2015-1A, Class AR(3M USD LIBOR + 0.920%) |
|
|
|
7,000,000 |
|
|
|
2.665 |
|
|
10/20/27 |
|
6,991,712 |
| Voya CLO Ltd. Series 2014-4A, Class A1R(3M USD LIBOR + 0.950%) |
|
|
|
7,500,000 |
|
|
|
2.672 |
|
|
10/14/26 |
|
7,492,312 |
| WhiteHorse VIII Ltd. Series 2014-1A, Class AR(3M USD LIBOR + 0.900%) |
|
|
|
7,500,000 |
|
|
|
2.673 |
|
|
05/01/26 |
|
7,499,947 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
56,525,523 |
| |
| Other(c) – 0.7% |
| Arbor Realty Commercial Real Estate Notes Ltd. Series 2018-FL1, Class A(1M USD LIBOR +
1.150%) |
|
|
|
5,700,000 |
|
|
|
3.059 |
|
|
06/15/28 |
|
5,700,382 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Asset-Backed
Securities(b) – (continued) |
| Other(c) –
(continued) |
| Ready Capital Mortgage Financing LLC Series 2018-FL2, Class A(1M USD LIBOR + 0.850%) |
| $ |
|
|
1,850,000 |
|
|
|
2.830 |
% |
|
06/25/35 |
|
$ 1,850,591 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,550,973 |
| |
| Student Loan – 5.3% |
| Access Group, Inc. Series 2004-1, Class A2(3M USD LIBOR + 0.210%) |
|
|
|
3,464,560 |
|
|
|
2.496 |
|
|
09/26/33 |
|
3,390,078 |
| Access Group, Inc. Series 2015-1, Class
A(c)(1M USD LIBOR + 0.700%) |
|
|
|
1,648,194 |
|
|
|
2.660 |
|
|
07/25/56 |
|
1,645,914 |
| Chase Education Loan Trust Series 2007-A, Class A3(3M USD LIBOR + 0.070%) |
|
|
|
234,749 |
|
|
|
2.365 |
|
|
12/28/23 |
|
234,244 |
| ECMC Group Student Loan Trust Series 2016-1A, Class A(c)(1M USD LIBOR + 1.350%) |
|
|
|
3,660,544 |
|
|
|
3.310 |
|
|
07/26/66 |
|
3,720,345 |
| Edsouth Indenture No. 9 LLC Series 2015-1, Class A(c)(1M USD LIBOR + 0.800%) |
|
|
|
2,402,443 |
|
|
|
2.760 |
|
|
10/25/56 |
|
2,411,411 |
| Education Loan Asset-Backed Trust I Series 2013-1, Class A2(c)(1M USD LIBOR + 0.800%) |
|
|
|
8,200,000 |
|
|
|
2.760 |
|
|
04/26/32 |
|
8,239,487 |
| Educational Funding of the South, Inc. Series 2011-1, Class A2(3M USD LIBOR + 0.650%) |
|
|
|
2,435,612 |
|
|
|
2.395 |
|
|
04/25/35 |
|
2,437,453 |
| EFS Volunteer No. 3 LLC Series 2012-1, Class
A2(c)(1M USD LIBOR + 1.000%) |
|
|
|
709,028 |
|
|
|
2.960 |
|
|
02/25/25 |
|
710,107 |
| Higher Education Funding I Series 2014-1, Class A(c)(3M USD LIBOR + 1.050%) |
|
|
|
4,091,055 |
|
|
|
2.994 |
|
|
05/25/34 |
|
4,112,545 |
| Navient Student Loan Trust Series 2016-5A, Class A(c)(1M USD LIBOR + 1.250%) |
|
|
|
8,148,864 |
|
|
|
3.210 |
|
|
06/25/65 |
|
8,362,091 |
| Navient Student Loan Trust Series 2016-7A, Class A(c)(1M USD LIBOR + 1.150%) |
|
|
|
4,041,605 |
|
|
|
3.110 |
|
|
03/25/66 |
|
4,117,341 |
| Nelnet Student Loan Trust Series 2006-1, Class A5(3M USD LIBOR + 0.110%) |
|
|
|
1,993,679 |
|
|
|
2.030 |
|
|
08/23/27 |
|
1,991,163 |
| Nelnet Student Loan Trust Series 2006-1, Class A6(c)(3M USD LIBOR + 0.450%) |
|
|
|
5,200,000 |
|
|
|
2.370 |
|
|
08/23/36 |
|
5,087,347 |
| Nelnet Student Loan Trust Series 2013-5A, Class A(c)(1M USD LIBOR + 0.630%) |
|
|
|
550,538 |
|
|
|
2.590 |
|
|
01/25/37 |
|
550,974 |
| North Carolina State Education Assistance Authority Series 2010-1, Class A1(3M USD LIBOR +
0.900%) |
|
|
|
1,891,062 |
|
|
|
2.645 |
|
|
07/25/41 |
|
1,886,923 |
| PHEAA Student Loan Trust Series 2016-1A, Class A(c)(1M USD LIBOR + 1.150%) |
|
|
|
3,931,171 |
|
|
|
3.110 |
|
|
09/25/65 |
|
3,991,261 |
| Scholar Funding Trust Series 2010-A, Class
A(c)(3M USD LIBOR + 0.750%) |
|
|
|
1,316,284 |
|
|
|
2.150 |
|
|
10/28/41 |
|
1,311,435 |
| SLC Student Loan Trust Series 2006-2, Class A5(3M USD LIBOR + 0.100%) |
|
|
|
2,338,497 |
|
|
|
2.225 |
|
|
09/15/26 |
|
2,333,961 |
| SLM Student Loan Trust Series 2004-8A, Class
A6(c)(3M USD LIBOR + 0.630%) |
|
|
|
2,550,000 |
|
|
|
2.375 |
|
|
01/25/40 |
|
2,564,410 |
| |
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Asset-Backed
Securities(b) – (continued) |
| Student Loan – (continued) |
| SLM Student Loan Trust Series 2005-3, Class A5(3M USD LIBOR + 0.090%) |
| $ |
|
|
1,042,210 |
|
|
|
1.835 |
% |
|
10/25/24 |
|
$ 1,041,416 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
60,139,906 |
| |
TOTAL ASSET-BACKED SECURITIES
(Cost $123,095,904) |
|
$ 124,216,402 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foreign Debt Obligations – 1.3% |
| Sovereign – 1.3% |
| Abu Dhabi Government International Bond |
| $ |
|
|
460,000 |
|
|
|
2.500 |
%(c) |
|
10/11/22 |
|
$ 440,450 |
|
|
|
420,000 |
|
|
|
3.125 |
(c) |
|
10/11/27 |
|
391,125 |
|
|
|
240,000 |
|
|
|
4.125 |
(c) |
|
10/11/47 |
|
219,600 |
|
|
|
450,000 |
|
|
|
4.125 |
|
|
10/11/47 |
|
411,750 |
| Perusahaan Penerbit SBSN Indonesia III |
|
|
|
2,030,000 |
|
|
|
4.550 |
|
|
03/29/26 |
|
2,017,312 |
| Qatar Government International
Bond(c) |
|
|
|
2,210,000 |
|
|
|
5.103 |
|
|
04/23/48 |
|
2,204,475 |
| Republic of
Chile(a) |
|
|
|
241,000 |
|
|
|
3.240 |
|
|
02/06/28 |
|
230,456 |
| Republic of Indonesia |
|
|
|
790,000 |
|
|
|
3.700 |
(c) |
|
01/08/22 |
|
783,088 |
|
|
|
200,000 |
|
|
|
5.875 |
|
|
01/15/24 |
|
214,500 |
| EUR |
|
|
280,000 |
|
|
|
2.150 |
(c) |
|
07/18/24 |
|
329,436 |
| $ |
|
|
420,000 |
|
|
|
4.125 |
(c) |
|
01/15/25 |
|
413,175 |
|
|
|
380,000 |
|
|
|
4.125 |
|
|
01/15/25 |
|
373,825 |
|
|
|
1,380,000 |
|
|
|
4.350 |
(c) |
|
01/08/27 |
|
1,362,750 |
|
|
|
510,000 |
|
|
|
6.750 |
|
|
01/15/44 |
|
607,538 |
|
|
|
380,000 |
|
|
|
5.250 |
(c) |
|
01/08/47 |
|
381,425 |
| Republic of Kuwait |
|
|
|
4,120,000 |
|
|
|
3.500 |
|
|
03/20/27 |
|
4,006,700 |
| |
TOTAL FOREIGN DEBT OBLIGATIONS
(Cost $14,522,636) |
|
$ 14,387,605 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Municipal Debt Obligations – 1.2% |
| California(a) –
0.5% |
| California State GO Bonds Build America Taxable Series 2009 |
| $ |
|
|
950,000 |
|
|
|
7.500 |
% |
|
04/01/34 |
|
$ 1,334,265 |
|
|
|
1,650,000 |
|
|
|
7.550 |
|
|
04/01/39 |
|
2,433,156 |
| California State GO Bonds Build America Taxable Series 2010 |
|
|
|
1,645,000 |
|
|
|
7.950 |
|
|
03/01/36 |
|
1,774,429 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,541,850 |
| |
| Illinois – 0.2% |
| Illinois State GO Bonds Build America Series 2010(a) |
|
|
|
160,000 |
|
|
|
6.630 |
|
|
02/01/35 |
|
169,538 |
|
|
|
1,595,000 |
|
|
|
7.350 |
|
|
07/01/35 |
|
1,780,993 |
| Illinois State GO Bonds Taxable-Pension Series 2003 |
|
|
|
1,170,000 |
|
|
|
5.100 |
|
|
06/01/33 |
|
1,107,241 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,057,772 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Municipal Debt Obligations – (continued) |
| New Hampshire(a)(b) –
0.3% |
| New Hampshire Higher Education Loan Corp. Series 2011-1, Class A3 (3M USD LIBOR +
0.850%) |
| $ |
|
|
3,500,000 |
|
|
|
3.210 |
% |
|
10/25/37 |
|
$ 3,522,857 |
| |
| Ohio(a) – 0.2% |
| American Municipal Power-Ohio, Inc. RB Build America Taxable Series 2010 |
|
|
|
1,700,000 |
|
|
|
6.270 |
|
|
02/15/50 |
|
2,168,265 |
| |
TOTAL MUNICIPAL DEBT OBLIGATIONS
(Cost $12,558,258) |
|
$ 14,290,744 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Obligations – 26.8% |
| United States Treasury Bonds |
| $ |
|
|
3,670,000 |
|
|
|
2.750 |
% |
|
11/15/42 |
|
$ 3,527,274 |
|
|
|
8,320,000 |
|
|
|
3.625 |
|
|
02/15/44 |
|
9,276,883 |
|
|
|
3,830,000 |
|
|
|
3.125 |
|
|
08/15/44 |
|
3,930,690 |
|
|
|
31,750,000 |
|
|
|
3.000 |
(h) |
|
11/15/44 |
|
31,863,663 |
|
|
|
7,700,000 |
|
|
|
2.875 |
|
|
11/15/46 |
|
7,539,686 |
|
|
|
1,190,000 |
|
|
|
3.000 |
|
|
05/15/47 |
|
1,193,594 |
|
|
|
11,300,000 |
|
|
|
2.750 |
|
|
11/15/47 |
|
10,782,234 |
| United States Treasury Notes |
|
|
|
118,110,000 |
|
|
|
1.375 |
|
|
09/30/19 |
|
116,581,658 |
|
|
|
800,000 |
|
|
|
1.375 |
|
|
03/31/20 |
|
784,504 |
|
|
|
5,880,000 |
|
|
|
1.125 |
|
|
06/30/21 |
|
5,626,690 |
|
|
|
23,870,000 |
|
|
|
1.750 |
|
|
05/31/22 |
|
23,037,414 |
|
|
|
52,350,000 |
|
|
|
2.125 |
|
|
07/31/24 |
|
50,399,440 |
|
|
|
1,010,000 |
|
|
|
2.375 |
|
|
08/15/24 |
|
986,194 |
|
|
|
11,120,000 |
|
|
|
2.125 |
|
|
09/30/24 |
|
10,691,769 |
|
|
|
5,590,000 |
|
|
|
2.125 |
|
|
11/30/24 |
|
5,368,189 |
|
|
|
17,900,000 |
|
|
|
2.875 |
|
|
04/30/25 |
|
17,972,675 |
|
|
|
4,570,000 |
|
|
|
2.250 |
|
|
02/15/27 |
|
4,362,385 |
| United States Treasury Strip
Coupon(e) |
|
|
|
3,200,000 |
|
|
|
0.000 |
|
|
02/15/36 |
|
1,890,752 |
| |
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $307,834,979) |
|
$ 305,815,694 |
| |
|
|
|
| Shares |
|
|
Distribution Rate |
|
Value |
| Investment
Company(i) – 7.4% |
| Goldman Sachs Financial Square Government Fund - Institutional Shares |
|
|
|
84,487,863 |
|
|
|
1.869% |
|
$ 84,487,863 |
| (Cost $84,487,863) |
| |
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
(Cost $1,264,900,697) |
|
$1,258,306,402 |
| |
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Short-term Investments – 6.8% |
| Certificate of Deposit(e) –
0.2% |
| The Southern Co. |
| $ |
|
|
2,330,000 |
|
|
|
0.000 |
% |
|
08/30/18 |
|
$ 2,320,141 |
| |
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Short-term Investments – (continued) |
| Commercial Paper(e) –
6.6% |
| AT&T, Inc. |
| $ |
|
|
900,000 |
|
|
|
0.000 |
% |
|
12/06/18 |
|
$ 889,212 |
|
|
|
2,550,000 |
|
|
|
0.000 |
|
|
10/09/18 |
|
2,530,998 |
|
|
|
5,000,000 |
|
|
|
0.000 |
|
|
05/28/19 |
|
4,860,048 |
| BAT International Finance PLC |
|
|
|
8,000,000 |
|
|
|
0.000 |
|
|
08/07/18 |
|
7,979,347 |
| Dominion Resources, Inc |
|
|
|
5,000,000 |
|
|
|
0.000 |
|
|
09/12/18 |
|
4,973,958 |
| Duke Energy Corp. |
|
|
|
2,500,000 |
|
|
|
0.000 |
|
|
08/27/18 |
|
2,489,974 |
| Eastman Chemical Co. |
|
|
|
2,000,000 |
|
|
|
0.000 |
|
|
07/06/18 |
|
1,999,125 |
| Hewlett Packard Enterprise Co. |
|
|
|
2,500,000 |
|
|
|
0.000 |
|
|
07/10/18 |
|
2,498,518 |
|
|
|
3,027,000 |
|
|
|
0.000 |
|
|
07/11/18 |
|
3,025,040 |
| HP, Inc. |
|
|
|
2,000,000 |
|
|
|
0.000 |
|
|
07/02/18 |
|
1,999,680 |
|
|
|
4,000,000 |
|
|
|
0.000 |
|
|
07/23/18 |
|
3,994,736 |
| Mondelez International, Inc. |
|
|
|
5,250,000 |
|
|
|
0.000 |
|
|
10/01/18 |
|
5,214,879 |
| Nutrien Ltd. |
|
|
|
1,057,000 |
|
|
|
0.000 |
|
|
07/16/18 |
|
1,055,750 |
|
|
|
1,250,000 |
|
|
|
0.000 |
|
|
07/18/18 |
|
1,248,343 |
| Schlumberger Holdings |
|
|
|
6,000,000 |
|
|
|
0.000 |
|
|
09/21/18 |
|
5,965,644 |
| Schlumberger Holdings Corp. |
|
|
|
1,500,000 |
|
|
|
0.000 |
|
|
08/22/18 |
|
1,494,753 |
| Sempra Energy Holdings |
|
|
|
1,056,000 |
|
|
|
0.000 |
|
|
07/31/18 |
|
1,053,788 |
|
|
|
1,550,000 |
|
|
|
0.000 |
|
|
08/30/18 |
|
1,543,441 |
| Suncor Energy, Inc. |
|
|
|
1,400,000 |
|
|
|
0.000 |
|
|
08/21/18 |
|
1,394,994 |
|
|
|
1,577,000 |
|
|
|
0.000 |
|
|
07/03/18 |
|
1,576,608 |
| United Overseas Bank Ltd. |
|
|
|
4,909,000 |
|
|
|
0.000 |
|
|
07/27/18 |
|
4,901,150 |
| Versailles Commercial Paper LLC |
|
|
|
5,359,000 |
|
|
|
0.000 |
|
|
07/09/18 |
|
5,355,963 |
| VW Credit, Inc. |
|
|
|
3,512,000 |
|
|
|
0.000 |
|
|
08/13/18 |
|
3,501,442 |
|
|
|
4,200,000 |
|
|
|
0.000 |
|
|
09/20/18 |
|
4,175,530 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
75,722,921 |
| |
TOTAL SHORT-TERM INVESTMENTS
(Cost $78,044,702) |
|
$ 78,043,062 |
| |
TOTAL INVESTMENTS – 116.9%
(Cost $1,342,945,399) |
|
$1,336,349,464 |
| |
| LIABILITIES IN EXCESS OF OTHER ASSETS – (16.9)% |
|
(193,117,349) |
| |
| NET ASSETS – 100.0% |
|
$1,143,232,115 |
| |
|
|
|
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
|
|
| (a) |
|
Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
|
|
| (b) |
|
Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed
is that which is in effect on June 30, 2018. |
|
|
| (c) |
|
Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed 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 $193,631,483, which represents approximately 16.9% of the Fund’s net assets as
of June 30, 2018. The liquidity determination is unaudited. |
|
|
| (d) |
|
Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. |
|
|
| (e) |
|
Issued with a zero coupon. Income is recognized through the accretion of discount. |
|
|
| (f) |
|
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 $194,369,453 which represents approximately 17.0% of the Fund’s
net assets as of June 30, 2018. |
|
|
| (g) |
|
Guaranteed by the United States Government until maturity. Total market value for these securities amounts to $26,170,915, which represents approximately 2.3% of the Fund’s
net assets as of June 30, 2018. |
|
|
| (h) |
|
All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. |
|
|
| (i) |
|
Represents an affiliated issuer. |
|
|
|
| |
| Currency Abbreviations: |
| AUD |
|
— Australian Dollar |
| CAD |
|
— Canadian Dollar |
| CHF |
|
— Swiss Franc |
| EUR |
|
— Euro |
| GBP |
|
— British Pound |
| JPY |
|
— Japanese Yen |
| NOK |
|
— Norwegian Krone |
| NZD |
|
— New Zealand Dollar |
| SEK |
|
— Swedish Krona |
| USD |
|
— U.S. Dollar |
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
| Investment Abbreviations: |
| AUDOR |
|
— Australian Dollar Offered Rate |
| BP |
|
— British Pound Offered Rate |
| CDOR |
|
— Canadian Dollar Offered Rate |
| CHFOR |
|
— Swiss Franc Offered Rate |
| CLO |
|
— Collateralized Loan Obligation |
| CMT |
|
— Constant Maturity Treasury Indexes |
| EURO |
|
— Euro Offered Rate |
| FHLB |
|
— Federal Home Loan Bank |
| FHLMC |
|
— Federal Home Loan Mortgage Corp. |
| FNMA |
|
— Federal National Mortgage Association |
| GNMA |
|
— Government National Mortgage Association |
| GO |
|
— General Obligation |
| JYOR |
|
— Japanese Yen Offered Rate |
| LIBOR |
|
— London Interbank Offered Rate |
| LLC |
|
— Limited Liability Company |
| LP |
|
— Limited Partnership |
| MTA |
|
— Monthly Treasury Average |
| NCUA |
|
— National Credit Union Administration |
| NIBOR |
|
— Norwegian Interbank Offered Rate |
| NZDOR |
|
— New Zealand Dollar Offered Rate |
| PLC |
|
— Public Limited Company |
| RB |
|
— Revenue Bond |
| REMIC |
|
— Real Estate Mortgage Investment Conduit |
| STIBOR |
|
— Stockholm Interbank Offered Rate |
| |
|
| For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com. |
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2018, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Gain |
|
| |
|
| Australia & New Zealand Banking Group |
|
AUD |
|
|
1,127,493 |
|
|
NZD |
|
|
1,209,697 |
|
|
$ |
834,606 |
|
|
|
09/19/18 |
|
|
$ |
15,212 |
|
| Barclays Bank PLC |
|
EUR |
|
|
768,496 |
|
|
USD |
|
|
898,052 |
|
|
|
902,928 |
|
|
|
09/19/18 |
|
|
|
4,876 |
|
|
|
USD |
|
|
6,981,148 |
|
|
GBP |
|
|
5,235,539 |
|
|
|
6,923,738 |
|
|
|
08/14/18 |
|
|
|
57,410 |
|
| BoA Securities LLC |
|
AUD |
|
|
1,213,047 |
|
|
NZD |
|
|
1,305,973 |
|
|
|
897,936 |
|
|
|
09/19/18 |
|
|
|
13,328 |
|
|
|
EUR |
|
|
1,541,642 |
|
|
CAD |
|
|
2,370,715 |
|
|
|
1,811,319 |
|
|
|
09/19/18 |
|
|
|
5,543 |
|
|
|
EUR |
|
|
768,255 |
|
|
JPY |
|
|
98,519,524 |
|
|
|
902,645 |
|
|
|
09/19/18 |
|
|
|
7,767 |
|
|
|
EUR |
|
|
3,056,419 |
|
|
NZD |
|
|
5,125,142 |
|
|
|
3,591,075 |
|
|
|
09/19/18 |
|
|
|
119,534 |
|
|
|
GBP |
|
|
265,917 |
|
|
AUD |
|
|
470,752 |
|
|
|
352,206 |
|
|
|
09/19/18 |
|
|
|
3,741 |
|
|
|
GBP |
|
|
245,679 |
|
|
USD |
|
|
324,250 |
|
|
|
324,899 |
|
|
|
08/14/18 |
|
|
|
649 |
|
|
|
GBP |
|
|
1,731,196 |
|
|
USD |
|
|
2,272,728 |
|
|
|
2,292,968 |
|
|
|
09/19/18 |
|
|
|
20,240 |
|
|
|
USD |
|
|
1,852,462 |
|
|
GBP |
|
|
1,390,372 |
|
|
|
1,838,697 |
|
|
|
08/14/18 |
|
|
|
13,765 |
|
|
|
USD |
|
|
1,789,579 |
|
|
JPY |
|
|
195,077,524 |
|
|
|
1,771,938 |
|
|
|
09/19/18 |
|
|
|
17,641 |
|
|
|
USD |
|
|
2,992,390 |
|
|
NZD |
|
|
4,333,661 |
|
|
|
2,935,428 |
|
|
|
09/19/18 |
|
|
|
56,962 |
|
| Citibank NA |
|
EUR |
|
|
302,372 |
|
|
NOK |
|
|
2,862,971 |
|
|
|
355,266 |
|
|
|
09/19/18 |
|
|
|
2,606 |
|
|
|
EUR |
|
|
1,541,508 |
|
|
NZD |
|
|
2,600,320 |
|
|
|
1,811,162 |
|
|
|
09/19/18 |
|
|
|
49,821 |
|
|
|
EUR |
|
|
1,796,747 |
|
|
SEK |
|
|
18,499,579 |
|
|
|
2,111,049 |
|
|
|
09/19/18 |
|
|
|
32,828 |
|
|
|
NOK |
|
|
2,902,581 |
|
|
USD |
|
|
357,091 |
|
|
|
357,539 |
|
|
|
09/19/18 |
|
|
|
447 |
|
|
|
USD |
|
|
2,673,533 |
|
|
AUD |
|
|
3,555,213 |
|
|
|
2,631,681 |
|
|
|
09/19/18 |
|
|
|
41,851 |
|
|
|
USD |
|
|
2,119,687 |
|
|
GBP |
|
|
1,592,592 |
|
|
|
2,106,123 |
|
|
|
08/14/18 |
|
|
|
13,564 |
|
|
|
USD |
|
|
434,515 |
|
|
GBP |
|
|
325,274 |
|
|
|
430,825 |
|
|
|
09/19/18 |
|
|
|
3,691 |
|
|
|
USD |
|
|
895,137 |
|
|
NOK |
|
|
7,260,725 |
|
|
|
894,373 |
|
|
|
09/19/18 |
|
|
|
764 |
|
| Deutsche Bank AG |
|
AUD |
|
|
1,209,330 |
|
|
USD |
|
|
893,314 |
|
|
|
895,185 |
|
|
|
09/19/18 |
|
|
|
1,870 |
|
|
|
EUR |
|
|
759,904 |
|
|
GBP |
|
|
668,336 |
|
|
|
892,833 |
|
|
|
09/19/18 |
|
|
|
7,623 |
|
| JPMorgan Securities, Inc. |
|
CAD |
|
|
1,177,429 |
|
|
USD |
|
|
895,090 |
|
|
|
896,849 |
|
|
|
09/19/18 |
|
|
|
1,760 |
|
|
|
EUR |
|
|
6,131,510 |
|
|
GBP |
|
|
5,378,300 |
|
|
|
7,204,087 |
|
|
|
09/19/18 |
|
|
|
80,533 |
|
|
|
NOK |
|
|
22,116,965 |
|
|
USD |
|
|
2,711,304 |
|
|
|
2,724,358 |
|
|
|
09/19/18 |
|
|
|
13,054 |
|
|
|
USD |
|
|
2,159,684 |
|
|
EUR |
|
|
1,822,534 |
|
|
|
2,138,233 |
|
|
|
08/31/18 |
|
|
|
21,451 |
|
|
|
USD |
|
|
344,828 |
|
|
NOK |
|
|
2,785,517 |
|
|
|
343,119 |
|
|
|
09/19/18 |
|
|
|
1,709 |
|
| MS & Co. Int. PLC |
|
EUR |
|
|
769,220 |
|
|
SEK |
|
|
8,006,943 |
|
|
|
903,778 |
|
|
|
09/19/18 |
|
|
|
4,287 |
|
|
|
EUR |
|
|
765,572 |
|
|
USD |
|
|
892,343 |
|
|
|
899,493 |
|
|
|
09/19/18 |
|
|
|
7,149 |
|
|
|
USD |
|
|
1,890,696 |
|
|
CAD |
|
|
2,451,214 |
|
|
|
1,867,093 |
|
|
|
09/19/18 |
|
|
|
23,604 |
|
|
|
USD |
|
|
904,177 |
|
|
EUR |
|
|
760,532 |
|
|
|
893,571 |
|
|
|
09/19/18 |
|
|
|
10,606 |
|
|
|
USD |
|
|
901,020 |
|
|
GBP |
|
|
669,490 |
|
|
|
886,739 |
|
|
|
09/19/18 |
|
|
|
14,281 |
|
|
|
USD |
|
|
1,788,531 |
|
|
JPY |
|
|
196,071,263 |
|
|
|
1,780,964 |
|
|
|
09/19/18 |
|
|
|
7,567 |
|
| State Street Bank (London) |
|
CAD |
|
|
358,648 |
|
|
EUR |
|
|
230,443 |
|
|
|
273,183 |
|
|
|
09/19/18 |
|
|
|
2,429 |
|
|
|
CAD |
|
|
574,590 |
|
|
USD |
|
|
432,021 |
|
|
|
437,666 |
|
|
|
09/19/18 |
|
|
|
5,645 |
|
|
|
CHF |
|
|
3,310,622 |
|
|
EUR |
|
|
2,849,788 |
|
|
|
3,366,460 |
|
|
|
09/19/18 |
|
|
|
18,162 |
|
|
|
EUR |
|
|
1,541,460 |
|
|
AUD |
|
|
2,425,596 |
|
|
|
1,811,106 |
|
|
|
09/19/18 |
|
|
|
15,603 |
|
|
|
EUR |
|
|
760,874 |
|
|
CAD |
|
|
1,171,168 |
|
|
|
893,973 |
|
|
|
09/19/18 |
|
|
|
1,893 |
|
|
|
EUR |
|
|
1,541,428 |
|
|
NZD |
|
|
2,594,624 |
|
|
|
1,811,068 |
|
|
|
09/19/18 |
|
|
|
53,585 |
|
|
|
EUR |
|
|
1,518,875 |
|
|
SEK |
|
|
15,415,774 |
|
|
|
1,784,569 |
|
|
|
09/19/18 |
|
|
|
52,777 |
|
|
|
EUR |
|
|
2,778,761 |
|
|
USD |
|
|
3,241,230 |
|
|
|
3,264,846 |
|
|
|
09/19/18 |
|
|
|
23,616 |
|
|
|
USD |
|
|
6,182,038 |
|
|
CAD |
|
|
8,015,630 |
|
|
|
6,105,514 |
|
|
|
09/19/18 |
|
|
|
76,524 |
|
|
|
USD |
|
|
7,117,925 |
|
|
GBP |
|
|
5,319,562 |
|
|
|
7,034,854 |
|
|
|
08/14/18 |
|
|
|
83,071 |
|
|
|
USD |
|
|
895,362 |
|
|
JPY |
|
|
97,904,240 |
|
|
|
889,289 |
|
|
|
09/19/18 |
|
|
|
6,073 |
|
|
|
USD |
|
|
429,759 |
|
|
NOK |
|
|
3,486,230 |
|
|
|
429,432 |
|
|
|
09/19/18 |
|
|
|
326 |
|
|
|
USD |
|
|
1,458,549 |
|
|
NZD |
|
|
2,133,754 |
|
|
|
1,445,309 |
|
|
|
09/19/18 |
|
|
|
13,240 |
|
|
|
USD |
|
|
905,880 |
|
|
SEK |
|
|
7,769,213 |
|
|
|
872,785 |
|
|
|
09/19/18 |
|
|
|
33,094 |
|
| UBS AG (London) |
|
AUD |
|
|
1,211,696 |
|
|
NZD |
|
|
1,299,884 |
|
|
|
896,936 |
|
|
|
09/19/18 |
|
|
|
16,453 |
|
|
|
CHF |
|
|
1,768,810 |
|
|
EUR |
|
|
1,528,333 |
|
|
|
1,798,643 |
|
|
|
09/19/18 |
|
|
|
2,960 |
|
|
|
CHF |
|
|
1,760,271 |
|
|
USD |
|
|
1,788,221 |
|
|
|
1,789,960 |
|
|
|
09/19/18 |
|
|
|
1,740 |
|
|
|
EUR |
|
|
2,911,372 |
|
|
NOK |
|
|
27,604,322 |
|
|
|
3,420,654 |
|
|
|
09/19/18 |
|
|
|
20,367 |
|
|
|
EUR |
|
|
301,000 |
|
|
USD |
|
|
351,232 |
|
|
|
353,139 |
|
|
|
08/31/18 |
|
|
|
1,907 |
|
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION (continued)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Gain |
|
| |
|
| UBS AG (London) (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EUR |
|
|
3,846,268 |
|
|
|
USD |
|
|
|
4,475,152 |
|
|
$ |
4,519,092 |
|
|
|
09/19/18 |
|
|
$ |
43,939 |
|
|
|
JPY |
|
|
98,382,665 |
|
|
|
EUR |
|
|
|
760,127 |
|
|
|
893,634 |
|
|
|
09/19/18 |
|
|
|
540 |
|
|
|
USD |
|
|
890,595 |
|
|
|
AUD |
|
|
|
1,178,896 |
|
|
|
872,656 |
|
|
|
09/19/18 |
|
|
|
17,938 |
|
|
|
USD |
|
|
543,608 |
|
|
|
EUR |
|
|
|
461,906 |
|
|
|
542,706 |
|
|
|
09/19/18 |
|
|
|
901 |
|
|
|
USD |
|
|
901,252 |
|
|
|
GBP |
|
|
|
675,492 |
|
|
|
894,689 |
|
|
|
09/19/18 |
|
|
|
6,563 |
|
|
|
USD |
|
|
407,669 |
|
|
|
NOK |
|
|
|
3,256,210 |
|
|
|
401,098 |
|
|
|
09/19/18 |
|
|
|
6,570 |
|
|
|
USD |
|
|
4,450,737 |
|
|
|
NZD |
|
|
|
6,448,225 |
|
|
|
4,367,739 |
|
|
|
09/19/18 |
|
|
|
82,996 |
|
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,266,646 |
|
| |
|
| FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS |
|
| Counterparty |
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Loss |
|
| |
|
| Australia & New Zealand Banking Group |
|
AUD |
|
|
2,425,830 |
|
|
|
USD |
|
|
|
1,802,355 |
|
|
$ |
1,795,676 |
|
|
|
09/19/18 |
|
|
$ |
(6,679 |
) |
|
|
NZD |
|
|
1,310,032 |
|
|
|
AUD |
|
|
|
1,210,270 |
|
|
|
887,357 |
|
|
|
09/19/18 |
|
|
|
(8,523 |
) |
|
|
USD |
|
|
6,148,817 |
|
|
|
AUD |
|
|
|
8,365,269 |
|
|
|
6,192,237 |
|
|
|
09/19/18 |
|
|
|
(43,420 |
) |
| Barclays Bank PLC |
|
GBP |
|
|
1,988,410 |
|
|
|
EUR |
|
|
|
2,258,818 |
|
|
|
2,633,647 |
|
|
|
09/19/18 |
|
|
|
(20,304 |
) |
|
|
GBP |
|
|
411,204 |
|
|
|
USD |
|
|
|
552,544 |
|
|
|
544,640 |
|
|
|
09/19/18 |
|
|
|
(7,904 |
) |
|
|
JPY |
|
|
293,318,607 |
|
|
|
USD |
|
|
|
2,684,855 |
|
|
|
2,664,286 |
|
|
|
09/19/18 |
|
|
|
(20,570 |
) |
|
|
NOK |
|
|
7,259,356 |
|
|
|
USD |
|
|
|
894,746 |
|
|
|
894,204 |
|
|
|
09/19/18 |
|
|
|
(542 |
) |
|
|
SEK |
|
|
7,818,923 |
|
|
|
EUR |
|
|
|
768,462 |
|
|
|
878,369 |
|
|
|
09/19/18 |
|
|
|
(24,518 |
) |
|
|
USD |
|
|
1,801,652 |
|
|
|
EUR |
|
|
|
1,543,038 |
|
|
|
1,812,960 |
|
|
|
09/19/18 |
|
|
|
(11,308 |
) |
| BoA Securities LLC |
|
AUD |
|
|
1,219,615 |
|
|
|
EUR |
|
|
|
772,377 |
|
|
|
902,797 |
|
|
|
09/19/18 |
|
|
|
(4,691 |
) |
|
|
AUD |
|
|
519,783 |
|
|
|
GBP |
|
|
|
290,685 |
|
|
|
384,760 |
|
|
|
09/19/18 |
|
|
|
(252 |
) |
|
|
AUD |
|
|
13,226,485 |
|
|
|
USD |
|
|
|
9,863,784 |
|
|
|
9,790,664 |
|
|
|
09/19/18 |
|
|
|
(73,120 |
) |
|
|
CAD |
|
|
2,349,562 |
|
|
|
USD |
|
|
|
1,790,115 |
|
|
|
1,789,664 |
|
|
|
09/19/18 |
|
|
|
(451 |
) |
|
|
EUR |
|
|
1,520,503 |
|
|
|
USD |
|
|
|
1,792,394 |
|
|
|
1,786,483 |
|
|
|
09/19/18 |
|
|
|
(5,911 |
) |
|
|
GBP |
|
|
669,416 |
|
|
|
USD |
|
|
|
895,698 |
|
|
|
886,641 |
|
|
|
09/19/18 |
|
|
|
(9,056 |
) |
|
|
NOK |
|
|
10,097,975 |
|
|
|
EUR |
|
|
|
1,068,538 |
|
|
|
1,243,864 |
|
|
|
09/19/18 |
|
|
|
(11,592 |
) |
|
|
SEK |
|
|
7,837,722 |
|
|
|
EUR |
|
|
|
768,104 |
|
|
|
880,481 |
|
|
|
09/19/18 |
|
|
|
(21,986 |
) |
| Citibank NA |
|
AUD |
|
|
358,659 |
|
|
|
EUR |
|
|
|
226,010 |
|
|
|
265,491 |
|
|
|
09/19/18 |
|
|
|
(55 |
) |
|
|
CAD |
|
|
1,166,277 |
|
|
|
USD |
|
|
|
893,877 |
|
|
|
888,355 |
|
|
|
09/19/18 |
|
|
|
(5,523 |
) |
|
|
GBP |
|
|
321,329 |
|
|
|
USD |
|
|
|
430,060 |
|
|
|
425,600 |
|
|
|
09/19/18 |
|
|
|
(4,460 |
) |
|
|
NZD |
|
|
2,484,172 |
|
|
|
USD |
|
|
|
1,726,939 |
|
|
|
1,682,667 |
|
|
|
09/19/18 |
|
|
|
(44,273 |
) |
|
|
SEK |
|
|
215,319,936 |
|
|
|
EUR |
|
|
|
21,163,320 |
|
|
|
24,188,812 |
|
|
|
09/19/18 |
|
|
|
(676,579 |
) |
| Deutsche Bank AG |
|
AUD |
|
|
1,205,927 |
|
|
|
USD |
|
|
|
895,521 |
|
|
|
892,665 |
|
|
|
09/19/18 |
|
|
|
(2,856 |
) |
|
|
GBP |
|
|
14,008,136 |
|
|
|
USD |
|
|
|
18,676,459 |
|
|
|
18,553,765 |
|
|
|
09/19/18 |
|
|
|
(122,693 |
) |
|
|
JPY |
|
|
196,396,753 |
|
|
|
USD |
|
|
|
1,789,614 |
|
|
|
1,783,921 |
|
|
|
09/19/18 |
|
|
|
(5,694 |
) |
|
|
NOK |
|
|
2,913,439 |
|
|
|
EUR |
|
|
|
307,695 |
|
|
|
358,876 |
|
|
|
09/19/18 |
|
|
|
(2,644 |
) |
|
|
NZD |
|
|
1,302,600 |
|
|
|
AUD |
|
|
|
1,208,484 |
|
|
|
882,323 |
|
|
|
09/19/18 |
|
|
|
(12,234 |
) |
|
|
USD |
|
|
1,772,565 |
|
|
|
AUD |
|
|
|
2,408,674 |
|
|
|
1,782,977 |
|
|
|
09/19/18 |
|
|
|
(10,412 |
) |
|
|
USD |
|
|
4,251,209 |
|
|
|
CAD |
|
|
|
5,627,311 |
|
|
|
4,286,328 |
|
|
|
09/19/18 |
|
|
|
(35,120 |
) |
|
|
USD |
|
|
895,474 |
|
|
|
EUR |
|
|
|
765,844 |
|
|
|
899,812 |
|
|
|
09/19/18 |
|
|
|
(4,338 |
) |
| JPMorgan Securities, Inc. |
|
CAD |
|
|
1,174,724 |
|
|
|
USD |
|
|
|
895,672 |
|
|
|
894,789 |
|
|
|
09/19/18 |
|
|
|
(883 |
) |
|
|
EUR |
|
|
3,042,000 |
|
|
|
USD |
|
|
|
3,605,460 |
|
|
|
3,574,132 |
|
|
|
09/19/18 |
|
|
|
(31,328 |
) |
|
|
GBP |
|
|
301,069 |
|
|
|
EUR |
|
|
|
340,794 |
|
|
|
398,766 |
|
|
|
09/19/18 |
|
|
|
(1,642 |
) |
|
|
JPY |
|
|
727,183,724 |
|
|
|
USD |
|
|
|
6,629,239 |
|
|
|
6,605,191 |
|
|
|
09/19/18 |
|
|
|
(24,047 |
) |
|
|
NOK |
|
|
6,229,300 |
|
|
|
EUR |
|
|
|
653,321 |
|
|
|
767,322 |
|
|
|
09/19/18 |
|
|
|
(282 |
) |
|
|
NZD |
|
|
20,806,708 |
|
|
|
USD |
|
|
|
14,628,781 |
|
|
|
14,093,531 |
|
|
|
09/19/18 |
|
|
|
(535,249 |
) |
|
|
USD |
|
|
23,752,244 |
|
|
|
EUR |
|
|
|
20,311,673 |
|
|
|
23,864,765 |
|
|
|
09/19/18 |
|
|
|
(112,521 |
) |
|
|
USD |
|
|
895,302 |
|
|
|
GBP |
|
|
|
676,209 |
|
|
|
895,638 |
|
|
|
09/19/18 |
|
|
|
(336 |
) |
| MS & Co. Int. PLC |
|
AUD |
|
|
7,048,663 |
|
|
|
USD |
|
|
|
5,251,341 |
|
|
|
5,217,644 |
|
|
|
09/19/18 |
|
|
|
(33,697 |
) |
|
|
CAD |
|
|
1,971,010 |
|
|
|
USD |
|
|
|
1,517,341 |
|
|
|
1,501,321 |
|
|
|
09/19/18 |
|
|
|
(16,021 |
) |
|
|
EUR |
|
|
3,907,136 |
|
|
|
USD |
|
|
|
4,594,224 |
|
|
|
4,590,606 |
|
|
|
09/19/18 |
|
|
|
(3,618 |
) |
|
|
GBP |
|
|
676,942 |
|
|
|
EUR |
|
|
|
766,507 |
|
|
|
896,610 |
|
|
|
09/19/18 |
|
|
|
(3,982 |
) |
|
|
NZD |
|
|
1,302,791 |
|
|
|
USD |
|
|
|
886,898 |
|
|
|
882,452 |
|
|
|
09/19/18 |
|
|
|
(4,446 |
) |
|
|
SEK |
|
|
97,035,305 |
|
|
|
EUR |
|
|
|
9,519,705 |
|
|
|
10,900,842 |
|
|
|
09/19/18 |
|
|
|
(284,131 |
) |
|
|
USD |
|
|
1,780,601 |
|
|
|
AUD |
|
|
|
2,416,052 |
|
|
|
1,788,438 |
|
|
|
09/19/18 |
|
|
|
(7,837 |
) |
|
|
USD |
|
|
406,842 |
|
|
|
CAD |
|
|
|
537,292 |
|
|
|
409,256 |
|
|
|
09/19/18 |
|
|
|
(2,414 |
) |
|
|
USD |
|
|
896,894 |
|
|
|
EUR |
|
|
|
770,286 |
|
|
|
905,031 |
|
|
|
09/19/18 |
|
|
|
(8,137 |
) |
|
|
USD |
|
|
1,795,023 |
|
|
|
GBP |
|
|
|
1,361,103 |
|
|
|
1,802,780 |
|
|
|
09/19/18 |
|
|
|
(7,757 |
) |
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION (continued)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Loss |
|
| |
|
| State Street Bank (London) |
|
CAD |
|
|
607,953 |
|
|
|
USD |
|
|
|
468,811 |
|
|
$ |
463,078 |
|
|
|
09/19/18 |
|
|
$ |
(5,733 |
) |
|
|
JPY |
|
|
686,926,978 |
|
|
|
USD |
|
|
|
6,261,168 |
|
|
|
6,239,529 |
|
|
|
09/19/18 |
|
|
|
(21,638 |
) |
|
|
NZD |
|
|
2,633,274 |
|
|
|
AUD |
|
|
|
2,410,893 |
|
|
|
1,783,662 |
|
|
|
09/19/18 |
|
|
|
(958 |
) |
|
|
SEK |
|
|
7,919,003 |
|
|
|
USD |
|
|
|
896,785 |
|
|
|
889,612 |
|
|
|
09/19/18 |
|
|
|
(7,173 |
) |
|
|
USD |
|
|
889,002 |
|
|
|
AUD |
|
|
|
1,204,953 |
|
|
|
891,944 |
|
|
|
09/19/18 |
|
|
|
(2,942 |
) |
|
|
USD |
|
|
1,355,472 |
|
|
|
CAD |
|
|
|
1,798,566 |
|
|
|
1,369,969 |
|
|
|
09/19/18 |
|
|
|
(14,497 |
) |
| UBS AG (London) |
|
AUD |
|
|
1,187,792 |
|
|
|
USD |
|
|
|
886,871 |
|
|
|
879,241 |
|
|
|
09/19/18 |
|
|
|
(7,630 |
) |
|
|
CAD |
|
|
904,518 |
|
|
|
USD |
|
|
|
691,742 |
|
|
|
688,972 |
|
|
|
09/19/18 |
|
|
|
(2,769 |
) |
|
|
NZD |
|
|
1,306,812 |
|
|
|
AUD |
|
|
|
1,208,473 |
|
|
|
885,176 |
|
|
|
09/19/18 |
|
|
|
(9,374 |
) |
|
|
NZD |
|
|
1,274,815 |
|
|
|
USD |
|
|
|
890,311 |
|
|
|
863,502 |
|
|
|
09/19/18 |
|
|
|
(26,809 |
) |
|
|
USD |
|
|
3,588,167 |
|
|
|
EUR |
|
|
|
3,073,226 |
|
|
|
3,610,821 |
|
|
|
09/19/18 |
|
|
|
(22,654 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(2,398,213 |
) |
| |
|
FORWARD SALES CONTRACTS — At June 30, 2018, the Fund had the
following forward sales contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Interest
Rate |
|
|
Maturity
Date(a) |
|
Settlement
Date |
|
|
Principal
Amount |
|
|
Value |
|
| |
|
| FNMA |
|
|
3.000 |
% |
|
TBA-30yr |
|
|
07/12/18 |
|
|
$ |
(4,000,000 |
) |
|
$ |
(3,874,375 |
) |
| GNMA |
|
|
4.000 |
|
|
TBA-30yr |
|
|
07/19/18 |
|
|
|
(27,000,000 |
) |
|
|
(27,666,563 |
) |
| |
|
| TOTAL (Proceeds Receivable: $31,491,250) |
|
|
$ |
(31,540,938 |
) |
| |
|
| (a) |
|
TBA (To Be Announced) Securities are purchased or 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. |
FUTURES
CONTRACTS — At June 30, 2018, the Fund had the following futures contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Number of
Contracts |
|
Expiration
Date |
|
|
Notional
Amount |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Long position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Australian 3 Year Government Bonds |
|
174 |
|
|
09/17/18 |
|
|
$ |
14,337,562 |
|
|
$ |
33,966 |
|
| Italian 10 Year Government Bonds |
|
25 |
|
|
09/06/18 |
|
|
|
3,231,011 |
|
|
|
5,239 |
|
| Ultra Long U.S. Treasury Bonds |
|
97 |
|
|
09/19/18 |
|
|
|
15,477,563 |
|
|
|
228,788 |
|
| Ultra 10 Year U.S. Treasury Notes |
|
81 |
|
|
09/19/18 |
|
|
|
10,386,984 |
|
|
|
92,184 |
|
| 10 Year German Euro-Bund |
|
23 |
|
|
09/06/18 |
|
|
|
4,365,996 |
|
|
|
19,069 |
|
| 2 Year U.S. Treasury Notes |
|
246 |
|
|
09/28/18 |
|
|
|
52,109,719 |
|
|
|
(4,214 |
) |
| 5 Year U.S Treasury Notes |
|
611 |
|
|
09/28/18 |
|
|
|
69,420,102 |
|
|
|
156,169 |
|
| 20 Year U.S. Treasury Bonds |
|
363 |
|
|
09/19/18 |
|
|
|
52,635,000 |
|
|
|
677,752 |
|
| |
|
| Total |
|
|
$ |
1,208,953 |
|
| |
|
| Short position contracts: |
|
| Eurodollars |
|
(40) |
|
|
06/17/19 |
|
|
|
(9,714,500 |
) |
|
|
85,433 |
|
| Eurodollars |
|
(245) |
|
|
12/14/20 |
|
|
|
(59,424,750 |
) |
|
|
15,626 |
|
| French 10 Year Government Bonds |
|
(25) |
|
|
09/06/18 |
|
|
|
(4,511,795 |
) |
|
|
(20,114 |
) |
| 3 Month Euro Euribor |
|
(111) |
|
|
12/16/19 |
|
|
|
(32,448,579 |
) |
|
|
(8,242 |
) |
| 10 Year U.S Treasury Notes |
|
(118) |
|
|
09/19/18 |
|
|
|
(14,182,125 |
) |
|
|
(100,078 |
) |
| |
|
| Total |
|
|
$ |
(27,375 |
) |
| |
|
| TOTAL FUTURES CONTRACTS |
|
|
$ |
1,181,578 |
|
| |
|
SWAP CONTRACTS — At June 30, 2018, the Fund had the following
swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Payments Made
by the Fund |
|
Payments
Received
by Fund |
|
Termination
Date |
|
Notional
Amount
(000s) |
|
|
Market
Value |
|
|
Upfront
Premium
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| 3M STIBOR(a) |
|
0.330%(b) |
|
09/15/18 |
|
SEK |
104,320 |
|
|
$ |
(26,903 |
) |
|
$ |
(17 |
) |
|
$ |
(26,886 |
) |
| 6M EURO(a) |
|
0.100(b) |
|
09/19/20 |
|
EUR |
26,590 |
(c) |
|
|
181,570 |
|
|
|
126,621 |
|
|
|
54,949 |
|
| 6M GBP(d) |
|
1.000 |
|
09/19/20 |
|
GBP |
18,090 |
(c) |
|
|
(41,606 |
) |
|
|
(40,339 |
) |
|
|
(1,267 |
) |
| 3M NIBOR(b) |
|
1.450(a) |
|
09/19/20 |
|
NOK |
71,940 |
(c) |
|
|
1,629 |
|
|
|
4,746 |
|
|
|
(3,117 |
) |
| 6M NIBOR(d) |
|
1.600(b) |
|
09/19/20 |
|
|
65,120 |
(c) |
|
|
11,884 |
|
|
|
11,723 |
|
|
|
161 |
|
| 6M CDOR(d) |
|
2.000 |
|
09/19/20 |
|
CAD |
8,780 |
(c) |
|
|
(45,429 |
) |
|
|
(50,846 |
) |
|
|
5,417 |
|
| 0.100%(b) |
|
3M STIBOR(a) |
|
09/19/20 |
|
SEK |
321,350 |
(c) |
|
|
(134,840 |
) |
|
|
(85,146 |
) |
|
|
(49,694 |
) |
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION (continued)
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Payments Made
by the Fund |
|
Payments
Received
by Fund |
|
Termination
Date |
|
|
Notional
Amount
(000s) |
|
|
Market
Value |
|
|
Upfront
Premium
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| 0.100%(b) |
|
6M EURO(d) |
|
|
10/15/20 |
|
|
EUR |
2,840 |
(c) |
|
$ |
(16,130 |
) |
|
$ |
(15,652 |
) |
|
$ |
(478 |
) |
| 3M LIBOR(a) |
|
2.139%(d) |
|
|
11/20/20 |
|
|
$ |
60,500 |
(c) |
|
|
(890,584 |
) |
|
|
(117,428 |
) |
|
|
(773,156 |
) |
| 6M EURO(d) |
|
0.350(b) |
|
|
12/16/21 |
|
|
EUR |
35,480 |
(c) |
|
|
111,394 |
|
|
|
(98,549 |
) |
|
|
209,943 |
|
| 0.500(b) |
|
3M STIBOR(a) |
|
|
12/16/21 |
|
|
SEK |
261,160 |
(c) |
|
|
(49,819 |
) |
|
|
144,527 |
|
|
|
(194,346 |
) |
| 2.028(d) |
|
6M CDOR |
|
|
07/18/22 |
|
|
|
7,590 |
(c) |
|
|
(85,241 |
) |
|
|
(38,725 |
) |
|
|
(46,516 |
) |
| 0.500(b) |
|
3M STIBOR(a) |
|
|
09/19/22 |
|
|
SEK |
96,800 |
(c) |
|
|
(82,185 |
) |
|
|
(21,799 |
) |
|
|
(60,386 |
) |
| 6M EURO(d) |
|
0.750(b) |
|
|
06/15/23 |
|
|
EUR |
15,350 |
(c) |
|
|
114,662 |
|
|
|
(113,395 |
) |
|
|
228,057 |
|
| 6M EURO(d) |
|
0.500(b) |
|
|
09/19/23 |
|
|
|
26,000 |
(c) |
|
|
280,285 |
|
|
|
78,659 |
|
|
|
201,626 |
|
| 3M LIBOR(a) |
|
2.250(d) |
|
|
09/19/23 |
|
|
$ |
28,110 |
(c) |
|
|
(862,971 |
) |
|
|
(939,093 |
) |
|
|
76,122 |
|
| 2.750(d) |
|
3M NZDOR(a) |
|
|
09/19/23 |
|
|
NZD |
5,140 |
(c) |
|
|
(27,851 |
) |
|
|
8,141 |
|
|
|
(35,992 |
) |
| 0.750(b) |
|
3M STIBOR(a) |
|
|
09/19/23 |
|
|
SEK |
331,320 |
(c) |
|
|
(475,276 |
) |
|
|
(279,050 |
) |
|
|
(196,226 |
) |
| 2.250(d) |
|
3M CDOR |
|
|
09/19/23 |
|
|
CAD |
1,990 |
(c) |
|
|
16,871 |
|
|
|
15,815 |
|
|
|
1,056 |
|
| 1.250(d) |
|
6M GBP |
|
|
09/19/23 |
|
|
GBP |
20,530 |
(c) |
|
|
127,014 |
|
|
|
139,721 |
|
|
|
(12,707 |
) |
| 2.275(d) |
|
3M LIBOR(a) |
|
|
11/20/23 |
|
|
$ |
25,070 |
(c) |
|
|
755,720 |
|
|
|
53,195 |
|
|
|
702,525 |
|
| 6M GBP(d) |
|
1.200 |
|
|
11/21/23 |
|
|
GBP |
9,700 |
(c) |
|
|
(107,871 |
) |
|
|
(544,167 |
) |
|
|
436,295 |
|
| 2.882(d) |
|
3M LIBOR(a) |
|
|
02/28/25 |
|
|
$ |
12,400 |
|
|
|
4,819 |
|
|
|
48,913 |
|
|
|
(44,094 |
) |
| 2.000(b) |
|
3M STIBOR(a) |
|
|
11/02/27 |
|
|
SEK |
31,060 |
(c) |
|
|
(41,964 |
) |
|
|
1,524 |
|
|
|
(43,488 |
) |
| 3M LIBOR(a) |
|
2.750(d) |
|
|
12/21/27 |
|
|
$ |
8,470 |
(c) |
|
|
(75,990 |
) |
|
|
(128,982 |
) |
|
|
52,992 |
|
| 2.250(b) |
|
3M STIBOR(a) |
|
|
12/21/27 |
|
|
SEK |
40,970 |
(c) |
|
|
(103,371 |
) |
|
|
(85,473 |
) |
|
|
(17,898 |
) |
| 3.500(d) |
|
6M AUDOR |
|
|
12/21/27 |
|
|
AUD |
3,070 |
(c) |
|
|
(33,889 |
) |
|
|
(93,675 |
) |
|
|
59,786 |
|
| 6M CHFOR(d) |
|
1.000(b) |
|
|
06/21/28 |
|
|
CHF |
2,160 |
(c) |
|
|
8,388 |
|
|
|
(10,882 |
) |
|
|
19,270 |
|
| 4.000(d) |
|
3M NZDOR(a) |
|
|
06/21/28 |
|
|
NZD |
2,690 |
(c) |
|
|
(32,044 |
) |
|
|
309 |
|
|
|
(32,353 |
) |
| 1.500(b) |
|
6M EURO |
|
|
06/21/28 |
|
|
EUR |
2,100 |
(c) |
|
|
(273 |
) |
|
|
16,875 |
|
|
|
(17,148 |
) |
| 6M CDOR(d) |
|
2.250(d) |
|
|
09/19/28 |
|
|
CAD |
5,750 |
(c) |
|
|
(129,511 |
) |
|
|
(207,833 |
) |
|
|
78,322 |
|
| 3M LIBOR(a) |
|
2.500(d) |
|
|
09/19/28 |
|
|
$ |
10 |
(c) |
|
|
(390 |
) |
|
|
(493 |
) |
|
|
103 |
|
| 6M AUDOR(d) |
|
2.750 |
|
|
09/19/28 |
|
|
AUD |
4,280 |
(c) |
|
|
(26,173 |
) |
|
|
(74,830 |
) |
|
|
48,657 |
|
| 3.250(d) |
|
3M NZDOR(a) |
|
|
09/19/28 |
|
|
NZD |
4,690 |
(c) |
|
|
(54,767 |
) |
|
|
1,659 |
|
|
|
(56,426 |
) |
| 1.250(b) |
|
3M STIBOR(a) |
|
|
09/19/28 |
|
|
SEK |
17,660 |
(c) |
|
|
(13,838 |
) |
|
|
20,267 |
|
|
|
(34,105 |
) |
| 1.500(d) |
|
6M GBP |
|
|
09/19/28 |
|
|
GBP |
2,030 |
(c) |
|
|
12,615 |
|
|
|
20,911 |
|
|
|
(8,296 |
) |
| 1.400(d) |
|
6M GBP |
|
|
11/21/28 |
|
|
|
5,830 |
(c) |
|
|
121,249 |
|
|
|
(310,089 |
) |
|
|
431,338 |
|
| 3M LIBOR(a) |
|
2.750(d) |
|
|
06/16/37 |
|
|
$ |
1,910 |
(c) |
|
|
(36,810 |
) |
|
|
(50,889 |
) |
|
|
14,079 |
|
| 1.750(d) |
|
6M GBP |
|
|
12/14/37 |
|
|
GBP |
7,360 |
(c) |
|
|
35,682 |
|
|
|
25,590 |
|
|
|
10,092 |
|
| 1.250(d) |
|
6M JYOR |
|
|
06/14/38 |
|
|
JPY |
61,420 |
(c) |
|
|
(10,304 |
) |
|
|
(4,626 |
) |
|
|
(5,678 |
) |
| 1.500(b) |
|
6M EURO(d) |
|
|
09/19/38 |
|
|
EUR |
2,970 |
(c) |
|
|
(57,974 |
) |
|
|
(26,538 |
) |
|
|
(31,436 |
) |
| 3M LIBOR(a) |
|
2.500(d) |
|
|
06/17/47 |
|
|
$ |
1,220 |
(c) |
|
|
(23,810 |
) |
|
|
(32,118 |
) |
|
|
8,308 |
|
| 3M LIBOR(a) |
|
3.000(d) |
|
|
06/15/48 |
|
|
|
17,430 |
(c) |
|
|
130,099 |
|
|
|
4,671 |
|
|
|
125,428 |
|
| 1.500(d) |
|
6M JYOR |
|
|
06/16/48 |
|
|
JPY |
56,190 |
(c) |
|
|
(11,895 |
) |
|
|
(11,516 |
) |
|
|
(379 |
) |
| 3M CDOR(d) |
|
2.540 |
|
|
07/18/48 |
|
|
|
1,120 |
(c) |
|
|
15,387 |
|
|
|
14,880 |
|
|
|
507 |
|
| 1.500(b) |
|
6M EURO(d) |
|
|
09/19/48 |
|
|
EUR |
1,600 |
(c) |
|
|
(16,598 |
) |
|
|
26,558 |
|
|
|
(43,156 |
) |
| 1.000(d) |
|
6M JYOR |
|
|
09/19/48 |
|
|
JPY |
388,370 |
(c) |
|
|
(150,325 |
) |
|
|
(119,000 |
) |
|
|
(31,325 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,737,365 |
) |
|
$ |
(2,735,845 |
) |
|
$ |
998,480 |
|
| |
|
| (a) |
|
Payments made quarterly. |
| (b) |
|
Payments made annually. |
| (c) |
|
Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2018.
|
| (d) |
|
Payments made semi-annually. |
CENTRALLY
CLEARED CREDIT DEFAULT SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Referenced
Obligation/Index |
|
Financing Rate
Received/(Paid) by
the Fund(a) |
|
Credit
Spread at
June
30,
2018(b) |
|
|
Termination
Date |
|
Notional
Amount
(000s) |
|
|
Value |
|
|
Upfront
Premiums
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Protection Sold: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CDX.NA.IG Index 30(a) |
|
1.000% |
|
|
0.676% |
|
|
06/20/23 |
|
$ |
20,725 |
|
|
$ |
316,852 |
|
|
$ |
363,190 |
|
|
$ |
(46,338 |
) |
| iTraxx Europe Series 29(a) |
|
1.000 |
|
|
0.735 |
|
|
06/20/23 |
|
EUR |
5,250 |
|
|
|
81,325 |
|
|
|
84,680 |
|
|
|
(3,355 |
) |
| |
|
| TOTAL |
|
|
$ |
398,176 |
|
|
$ |
447,870 |
|
|
$ |
(49,693 |
) |
| |
|
| (a) |
|
Payments made quarterly. |
| (b) |
|
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 or its counterparty 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. |
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION (continued)
|
|
|
|
|
| |
|
|
| Abbreviation: |
|
|
| BoA Securities LLC |
|
— Bank of America Securities LLC |
|
|
| CDX.NA.IG Index 30 |
|
— CDX North America Investment Grade Index 30. |
|
|
| MS & Co. Int. PLC |
|
— Morgan Stanley & Co. International PLC |
|
|
| |
|
|
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Foreign Sovereign Debt Obligations – 34.0% |
| British Pound – 2.2% |
| United Kingdom Treasury |
| GBP |
|
|
2,000,000 |
|
|
|
4.500 |
% |
|
09/07/34 |
|
$ 3,712,828 |
|
|
|
90,000 |
|
|
|
4.250 |
|
|
03/07/36 |
|
165,736 |
|
|
|
3,970,000 |
|
|
|
3.500 |
|
|
01/22/45 |
|
7,169,136 |
|
|
|
1,270,000 |
|
|
|
3.500 |
|
|
07/22/68 |
|
2,790,913 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,838,613 |
| |
| Canadian Dollar – 2.4% |
| British Columbia Province of Canada |
| CAD |
|
|
800,000 |
|
|
|
3.250 |
|
|
12/18/21 |
|
627,324 |
|
|
|
2,600,000 |
|
|
|
2.850 |
|
|
06/18/25 |
|
2,009,653 |
|
|
|
2,000,000 |
|
|
|
4.950 |
|
|
06/18/40 |
|
2,023,048 |
| Canadian Government Bond |
|
|
|
1,760,000 |
|
|
|
2.750 |
|
|
12/01/48 |
|
1,500,080 |
| Ontario Province of Canada |
|
|
|
1,800,000 |
|
|
|
4.400 |
|
|
06/02/19 |
|
1,400,595 |
|
|
|
3,700,000 |
|
|
|
2.850 |
|
|
06/02/23 |
|
2,854,768 |
|
|
|
1,700,000 |
|
|
|
2.600 |
|
|
06/02/25 |
|
1,285,439 |
|
|
|
2,300,000 |
|
|
|
4.650 |
|
|
06/02/41 |
|
2,218,228 |
| Quebec Province of Canada |
|
|
|
1,800,000 |
|
|
|
4.250 |
|
|
12/01/21 |
|
1,454,965 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,374,100 |
| |
| Czech Koruna – 0.1% |
| Czech Republic Government Bond |
| CZK |
|
|
11,190,000 |
|
|
|
1.500 |
|
|
10/29/19 |
|
507,325 |
| |
| Danish Krone – 0.1% |
| Kingdom of Denmark |
| DKK |
|
|
3,000,000 |
|
|
|
4.500 |
|
|
11/15/39 |
|
815,583 |
| |
| Euro – 6.4% |
| French Republic Government Bond
OAT(a) |
| EUR |
|
|
800,000 |
|
|
|
1.750 |
|
|
05/25/66 |
|
945,937 |
| Government of France |
|
|
|
1,700,000 |
|
|
|
4.500 |
|
|
04/25/41 |
|
3,245,126 |
| Ireland Government Bond |
|
|
|
1,030,000 |
|
|
|
0.900 |
|
|
05/15/28 |
|
1,213,720 |
| Italy Buoni Poliennali Del Tesoro |
|
|
|
940,000 |
|
|
|
0.300 |
|
|
10/15/18 |
|
1,098,467 |
|
|
|
3,440,000 |
|
|
|
1.200 |
|
|
04/01/22 |
|
3,984,371 |
|
|
|
7,790,000 |
|
|
|
1.450 |
|
|
11/15/24 |
|
8,712,625 |
|
|
|
1,750,000 |
|
|
|
2.950 |
(a) |
|
09/01/38 |
|
1,974,534 |
|
|
|
970,000 |
|
|
|
2.800 |
(a) |
|
03/01/67 |
|
984,555 |
| Kingdom of
Belgium(a) |
|
|
|
1,800,000 |
|
|
|
0.800 |
|
|
06/22/27 |
|
2,147,780 |
|
|
|
910,000 |
|
|
|
2.150 |
|
|
06/22/66 |
|
1,158,745 |
| Republic of
Austria(a) |
|
|
|
450,000 |
|
|
|
1.500 |
|
|
11/02/86 |
|
485,429 |
|
|
|
460,000 |
|
|
|
2.100 |
(b) |
|
09/20/17 |
|
610,557 |
| Republic of
Indonesia(a) |
|
|
|
650,000 |
|
|
|
2.625 |
|
|
06/14/23 |
|
788,484 |
|
|
|
240,000 |
|
|
|
2.150 |
|
|
07/18/24 |
|
282,374 |
|
|
|
420,000 |
|
|
|
3.750 |
|
|
06/14/28 |
|
541,363 |
| Republic of Ireland |
|
|
|
860,000 |
|
|
|
4.500 |
|
|
04/18/20 |
|
1,096,192 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Foreign Sovereign Debt Obligations – (continued) |
| Euro – (continued) |
| Spain Government
Bond(a) |
| EUR |
|
|
2,230,000 |
|
|
|
3.800 |
% |
|
04/30/24 |
|
$ 3,082,663 |
|
|
|
1,250,000 |
|
|
|
2.750 |
|
|
10/31/24 |
|
1,649,226 |
|
|
|
1,215,000 |
|
|
|
5.900 |
|
|
07/30/26 |
|
1,951,878 |
|
|
|
1,800,000 |
|
|
|
1.500 |
|
|
04/30/27 |
|
2,157,176 |
|
|
|
1,370,000 |
|
|
|
1.450 |
|
|
10/31/27 |
|
1,628,364 |
|
|
|
1,110,000 |
|
|
|
3.450 |
|
|
07/30/66 |
|
1,526,862 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
41,266,428 |
| |
| Indonesian Rupiah – 0.4% |
| Indonesia Treasury Bond |
| IDR |
|
|
36,684,000,000 |
|
|
|
8.750 |
|
|
05/15/31 |
|
2,665,542 |
| |
| Israeli Shekel – 0.1% |
| Israel Government Bond |
| ILS |
|
|
2,430,000 |
|
|
|
2.000 |
|
|
03/31/27 |
|
665,057 |
| |
| Japanese Yen – 15.9% |
| Government of Japan |
| JPY |
|
|
2,549,500,000 |
|
|
|
1.300 |
|
|
06/20/20 |
|
23,678,353 |
|
|
|
436,000,000 |
|
|
|
2.200 |
|
|
03/20/31 |
|
4,948,343 |
|
|
|
225,000,000 |
|
|
|
1.700 |
|
|
09/20/32 |
|
2,449,567 |
|
|
|
214,000,000 |
|
|
|
1.400 |
|
|
09/20/34 |
|
2,259,936 |
|
|
|
2,029,200,000 |
|
|
|
2.500 |
|
|
09/20/34 |
|
24,605,161 |
|
|
|
454,000,000 |
|
|
|
1.400 |
|
|
09/20/45 |
|
4,846,111 |
|
|
|
181,600,000 |
|
|
|
2.000 |
|
|
03/20/52 |
|
2,236,330 |
|
|
|
312,700,000 |
|
|
|
1.400 |
|
|
03/20/55 |
|
3,348,882 |
| Japan Government Five Year Bond |
|
|
|
1,624,000,000 |
|
|
|
0.100 |
|
|
09/20/21 |
|
14,773,609 |
| Japanese Government CPI Linked Bond |
|
|
|
815,068,800 |
|
|
|
0.100 |
|
|
03/10/25 |
|
7,711,553 |
|
|
|
1,145,867,002 |
|
|
|
0.100 |
|
|
03/10/26 |
|
10,903,409 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
101,761,254 |
| |
| Mexican Peso – 0.2% |
| United Mexican States |
| MXN |
|
|
3,957,000 |
|
|
|
6.500 |
|
|
06/10/21 |
|
192,761 |
|
|
|
1,339,300 |
|
|
|
8.000 |
|
|
12/07/23 |
|
68,308 |
|
|
|
2,098,900 |
|
|
|
7.750 |
|
|
11/23/34 |
|
106,305 |
|
|
|
13,763,300 |
|
|
|
10.000 |
|
|
11/20/36 |
|
848,884 |
|
|
|
2,436,600 |
|
|
|
8.500 |
|
|
11/18/38 |
|
132,550 |
|
|
|
94,300 |
|
|
|
8.000 |
|
|
11/07/47 |
|
4,886 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,353,694 |
| |
| Russian Ruble – 0.1% |
| Russian Federation Bond |
| RUB |
|
|
26,160,000 |
|
|
|
7.050 |
|
|
01/19/28 |
|
402,973 |
| |
| South African Rand – 0.5% |
| Republic of South Africa |
| ZAR |
|
|
47,650,000 |
|
|
|
7.750 |
|
|
02/28/23 |
|
3,409,680 |
| |
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Foreign Sovereign Debt Obligations – (continued) |
| South African Rand – (continued) |
| ZAR |
|
|
290,000 |
|
|
|
8.750 |
% |
|
01/31/44 |
|
$ 19,297 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,428,977 |
| |
| South Korean Won – 1.8% |
| Inflation Linked Korea Treasury Bond |
| KRW |
|
|
13,376,001,411 |
|
|
|
1.000 |
|
|
06/10/26 |
|
11,411,364 |
| |
| Swedish Krona – 0.4% |
| Sweden Government Bond |
| SEK |
|
|
21,290,000 |
|
|
|
3.500 |
|
|
06/01/22 |
|
2,733,525 |
| |
| Thai Baht – 0.6% |
| Thailand Government Bond |
| THB |
|
|
126,490,000 |
|
|
|
1.875 |
|
|
06/17/22 |
|
3,796,430 |
| |
| United States Dollar – 2.8% |
| Abu Dhabi Government International Bond |
| $ |
|
|
500,000 |
|
|
|
2.500 |
(a) |
|
10/11/22 |
|
478,750 |
|
|
|
790,000 |
|
|
|
3.125 |
(a) |
|
10/11/27 |
|
735,688 |
|
|
|
600,000 |
|
|
|
4.125 |
(a) |
|
10/11/47 |
|
549,000 |
|
|
|
1,370,000 |
|
|
|
4.125 |
|
|
10/11/47 |
|
1,253,550 |
| Qatar Government International
Bond(a) |
|
|
|
1,820,000 |
|
|
|
5.103 |
|
|
04/23/48 |
|
1,815,450 |
| Republic of Indonesia |
|
|
|
970,000 |
|
|
|
5.875 |
|
|
01/15/24 |
|
1,040,325 |
|
|
|
200,000 |
|
|
|
4.125 |
(a) |
|
01/15/25 |
|
196,750 |
|
|
|
4,340,000 |
|
|
|
4.125 |
|
|
01/15/25 |
|
4,269,475 |
|
|
|
790,000 |
|
|
|
3.850 |
(a) |
|
07/18/27 |
|
750,500 |
|
|
|
300,000 |
|
|
|
4.750 |
(a) |
|
07/18/47 |
|
283,500 |
| Republic of Korea |
|
|
|
660,000 |
|
|
|
7.125 |
|
|
04/16/19 |
|
681,581 |
| Republic of Kuwait |
|
|
|
6,250,000 |
|
|
|
3.500 |
|
|
03/20/27 |
|
6,078,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,132,694 |
| |
TOTAL FOREIGN SOVEREIGN DEBT OBLIGATIONS
(Cost $213,234,417) |
|
$218,153,559 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Obligations – 28.3% |
| Aerospace & Defense – 0.6% |
| General Dynamics Corp. |
| $ |
|
|
850,000 |
|
|
|
2.875 |
% |
|
05/11/20 |
|
$ 849,076 |
|
|
|
850,000 |
|
|
|
3.000 |
|
|
05/11/21 |
|
847,269 |
|
|
|
400,000 |
|
|
|
3.375 |
(c) |
|
05/15/23 |
|
400,808 |
| Northrop Grumman
Corp.(c) |
|
|
|
1,700,000 |
|
|
|
2.930 |
|
|
01/15/25 |
|
1,613,918 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,711,071 |
| |
| Agriculture – 0.5% |
| BAT Capital
Corp.(a)(c) |
|
|
|
450,000 |
|
|
|
3.222 |
|
|
08/15/24 |
|
426,255 |
|
|
|
900,000 |
|
|
|
3.557 |
|
|
08/15/27 |
|
837,361 |
| BAT International Finance
PLC(a) |
|
|
|
800,000 |
|
|
|
2.750 |
|
|
06/15/20 |
|
791,274 |
|
|
|
200,000 |
|
|
|
3.500 |
|
|
06/15/22 |
|
198,098 |
| Reynolds American, Inc. |
|
|
|
108,000 |
|
|
|
3.250 |
|
|
06/12/20 |
|
107,889 |
|
|
|
150,000 |
|
|
|
4.000 |
|
|
06/12/22 |
|
150,934 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Agriculture – (continued) |
| $ |
|
|
650,000 |
|
|
|
5.850 |
%(c) |
|
08/15/45 |
|
$ 709,602 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,221,413 |
| |
| Banks – 14.6% |
| Banco Santander SA |
|
|
|
600,000 |
|
|
|
4.379 |
|
|
04/12/28 |
|
573,676 |
| Bank of America Corp. |
|
|
|
1,400,000 |
|
|
|
2.600 |
|
|
01/15/19 |
|
1,399,112 |
|
|
|
600,000 |
|
|
|
2.650 |
|
|
04/01/19 |
|
599,363 |
| (3M USD LIBOR + 0.630%) |
|
|
|
900,000 |
|
|
|
3.499 |
(c)(d) |
|
05/17/22 |
|
899,691 |
|
|
|
1,450,000 |
|
|
|
4.125 |
|
|
01/22/24 |
|
1,473,867 |
|
|
|
150,000 |
|
|
|
3.875 |
|
|
08/01/25 |
|
149,249 |
|
|
|
2,300,000 |
|
|
|
3.248 |
(c) |
|
10/21/27 |
|
2,143,532 |
|
|
|
650,000 |
|
|
|
4.183 |
(c) |
|
11/25/27 |
|
633,034 |
|
|
|
100,000 |
|
|
|
6.110 |
|
|
01/29/37 |
|
114,870 |
| Barclays PLC(c) |
|
|
|
900,000 |
|
|
|
3.684 |
|
|
01/10/23 |
|
875,215 |
| BNP Paribas SA |
|
|
|
1,450,000 |
|
|
|
3.375 |
(a) |
|
01/09/25 |
|
1,369,790 |
|
|
|
1,250,000 |
|
|
|
3.375 |
|
|
01/09/25 |
|
1,180,853 |
|
|
|
200,000 |
|
|
|
4.375 |
(a) |
|
09/28/25 |
|
195,196 |
| Capital One Financial
Corp.(c) |
|
|
|
1,600,000 |
|
|
|
2.500 |
|
|
05/12/20 |
|
1,577,310 |
| Citigroup,
Inc.(c) |
|
|
|
1,300,000 |
|
|
|
3.200 |
|
|
10/21/26 |
|
1,208,908 |
| Credit Agricole
SA(a) |
|
|
|
1,200,000 |
|
|
|
3.375 |
|
|
01/10/22 |
|
1,174,861 |
| Credit Suisse AG |
|
|
|
750,000 |
|
|
|
6.500 |
|
|
08/08/23 |
|
797,750 |
| Credit Suisse Group AG(a)(c)(d)(3M USD
LIBOR + 1.410%) |
|
|
|
1,600,000 |
|
|
|
3.869 |
|
|
01/12/29 |
|
1,504,526 |
| Credit Suisse Group Funding Guernsey Ltd. |
|
|
|
650,000 |
|
|
|
4.550 |
|
|
04/17/26 |
|
649,949 |
| Deutsche Bank AG |
|
|
|
150,000 |
|
|
|
2.850 |
|
|
05/10/19 |
|
148,683 |
|
|
|
3,400,000 |
|
|
|
2.700 |
|
|
07/13/20 |
|
3,316,370 |
|
|
|
100,000 |
|
|
|
3.125 |
|
|
01/13/21 |
|
96,700 |
| Dexia Credit Local SA |
|
|
|
3,500,000 |
|
|
|
1.875 |
(a) |
|
03/28/19 |
|
3,479,498 |
| GBP |
|
|
5,900,000 |
|
|
|
1.125 |
|
|
06/15/22 |
|
7,703,601 |
| HSBC Holdings PLC |
| $ |
|
|
200,000 |
|
|
|
4.250 |
|
|
08/18/25 |
|
196,357 |
|
|
|
450,000 |
|
|
|
6.800 |
|
|
06/01/38 |
|
541,590 |
| Intesa Sanpaolo SpA |
|
|
|
900,000 |
|
|
|
3.875 |
|
|
01/15/19 |
|
901,655 |
| Kreditanstalt fuer
Wiederaufbau(e) |
| AUD |
|
|
3,000,000 |
|
|
|
6.000 |
|
|
08/20/20 |
|
2,388,726 |
| EUR |
|
|
11,000,000 |
|
|
|
0.000 |
(f) |
|
05/25/21 |
|
12,977,727 |
|
|
|
3,100,000 |
|
|
|
3.500 |
|
|
07/04/21 |
|
4,039,976 |
|
|
|
7,300,000 |
|
|
|
2.500 |
|
|
01/17/22 |
|
9,362,601 |
|
|
|
14,900,000 |
|
|
|
0.000 |
(f) |
|
12/15/22 |
|
17,486,177 |
| Morgan Stanley, Inc. |
| $ |
|
|
500,000 |
|
|
|
5.625 |
|
|
09/23/19 |
|
515,227 |
| |
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Banks – (continued) |
| Morgan Stanley, Inc. – (continued) |
| EUR |
|
|
900,000 |
|
|
|
2.375 |
% |
|
03/31/21 |
|
$ 1,111,716 |
| $ |
|
|
50,000 |
|
|
|
3.875 |
|
|
04/29/24 |
|
50,089 |
|
|
|
1,700,000 |
|
|
|
3.700 |
|
|
10/23/24 |
|
1,678,318 |
|
|
|
300,000 |
|
|
|
4.000 |
|
|
07/23/25 |
|
299,088 |
|
|
|
350,000 |
|
|
|
4.300 |
|
|
01/27/45 |
|
331,157 |
| Royal Bank of Scotland Group PLC |
| (3M USD LIBOR + 1.480%) |
|
|
|
1,200,000 |
|
|
|
3.498 |
(c)(d) |
|
05/15/23 |
|
1,162,450 |
|
|
|
200,000 |
|
|
|
3.875 |
|
|
09/12/23 |
|
194,284 |
| (3M USD LIBOR + 1.550%) |
|
|
|
900,000 |
|
|
|
4.519 |
(c)(d) |
|
06/25/24 |
|
900,645 |
| (3M USD LIBOR + 1.754%) |
|
|
|
2,150,000 |
|
|
|
4.892 |
(c)(d) |
|
05/18/29 |
|
2,140,431 |
| The Huntington National
Bank(c) |
|
|
|
1,950,000 |
|
|
|
3.250 |
|
|
05/14/21 |
|
1,945,421 |
| UBS Group Funding Switzerland
AG(a) |
|
|
|
2,400,000 |
|
|
|
3.000 |
|
|
04/15/21 |
|
2,363,318 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
93,852,557 |
| |
| Beverages(c) –
0.2% |
| Anheuser-Busch InBev Finance, Inc. |
|
|
|
500,000 |
|
|
|
4.900 |
|
|
02/01/46 |
|
514,189 |
| Anheuser-Busch InBev Worldwide, Inc. |
|
|
|
700,000 |
|
|
|
4.600 |
|
|
04/15/48 |
|
689,678 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,203,867 |
| |
| Biotechnology(c) –
0.1% |
| Gilead Sciences, Inc. |
|
|
|
800,000 |
|
|
|
4.150 |
|
|
03/01/47 |
|
764,702 |
| |
| Chemicals – 0.7% |
| CNAC HK Finbridge Co. Ltd. |
|
|
|
200,000 |
|
|
|
4.125 |
|
|
07/19/27 |
|
184,250 |
| LyondellBasell Industries
NV(c) |
|
|
|
252,000 |
|
|
|
5.000 |
|
|
04/15/19 |
|
254,492 |
| Syngenta Finance
NV(a)(c) |
|
|
|
750,000 |
|
|
|
4.441 |
|
|
04/24/23 |
|
745,801 |
|
|
|
600,000 |
|
|
|
4.892 |
|
|
04/24/25 |
|
588,287 |
|
|
|
200,000 |
|
|
|
5.182 |
|
|
04/24/28 |
|
193,165 |
|
|
|
200,000 |
|
|
|
5.676 |
|
|
04/24/48 |
|
186,991 |
| The Sherwin-Williams
Co.(c) |
|
|
|
2,300,000 |
|
|
|
3.450 |
|
|
06/01/27 |
|
2,172,971 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,325,957 |
| |
| Diversified Financial Services – 1.2% |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
|
|
|
2,550,000 |
|
|
|
3.750 |
|
|
05/15/19 |
|
2,565,202 |
|
|
|
1,400,000 |
|
|
|
3.500 |
(c) |
|
05/26/22 |
|
1,369,404 |
|
|
|
2,149,000 |
|
|
|
4.625 |
|
|
07/01/22 |
|
2,191,441 |
| GE Capital International Funding Co. |
|
|
|
1,100,000 |
|
|
|
3.373 |
|
|
11/15/25 |
|
1,055,804 |
| Huarong Finance 2017 Co. Ltd. |
|
|
|
200,000 |
|
|
|
4.750 |
|
|
04/27/27 |
|
192,438 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Diversified Financial Services – (continued) |
| Synchrony
Financial(c) |
| $ |
|
|
250,000 |
|
|
|
3.000 |
% |
|
08/15/19 |
|
$ 249,469 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,623,758 |
| |
| Electrical – 0.4% |
| innogy Finance BV |
| GBP |
|
|
900,000 |
|
|
|
6.250 |
|
|
06/03/30 |
|
1,561,521 |
| Ruwais Power Co.
PJSC(a) |
| $ |
|
|
520,000 |
|
|
|
6.000 |
|
|
08/31/36 |
|
559,650 |
| Sempra Energy(c) |
|
|
|
700,000 |
|
|
|
3.400 |
|
|
02/01/28 |
|
656,721 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,777,892 |
| |
| Food & Drug Retailing(c) –
0.1% |
| Kraft Heinz Foods Co. |
|
|
|
600,000 |
|
|
|
2.800 |
|
|
07/02/20 |
|
595,705 |
| |
| Healthcare Providers & Services(c) –
0.3% |
| Becton Dickinson & Co. |
|
|
|
1,600,000 |
|
|
|
2.894 |
|
|
06/06/22 |
|
1,547,573 |
|
|
|
275,000 |
|
|
|
3.363 |
|
|
06/06/24 |
|
264,161 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,811,734 |
| |
| Insurance – 1.2% |
| Aviva PLC(c)(d) |
| (5 year UK Government Bond + 2.850%) |
| GBP |
|
|
450,000 |
|
|
|
6.125 |
|
|
11/14/36 |
|
661,727 |
| (5 year EUR Swap + 5.130%) |
| EUR |
|
|
450,000 |
|
|
|
6.125 |
|
|
07/05/43 |
|
620,412 |
| (6M GBP LIBOR + 1.880%) |
| GBP |
|
|
300,000 |
|
|
|
5.902 |
|
|
11/29/49 |
|
413,378 |
| AXA SA(c)(d)(3M USD LIBOR +
1.449%) |
| $ |
|
|
2,450,000 |
|
|
|
6.463 |
|
|
12/29/49 |
|
2,394,875 |
| Chubb INA Holdings,
Inc.(c) |
| EUR |
|
|
1,550,000 |
|
|
|
2.500 |
|
|
03/15/38 |
|
1,829,024 |
| Cloverie PLC for Zurich Insurance Co.
Ltd.(c)(d)(3M USD LIBOR + 4.918%) |
| $ |
|
|
500,000 |
|
|
|
5.625 |
|
|
06/24/46 |
|
502,927 |
| MetLife, Inc. |
|
|
|
500,000 |
|
|
|
4.368 |
|
|
09/15/23 |
|
518,094 |
|
|
|
110,000 |
|
|
|
3.600 |
|
|
04/10/24 |
|
109,096 |
| NN Group NV(c)(d)(3M Euribor +
3.950%) |
| EUR |
|
|
800,000 |
|
|
|
4.625 |
|
|
04/08/44 |
|
1,004,261 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,053,794 |
| |
| Internet(c) –
0.4% |
| Amazon.com, Inc. |
| $ |
|
|
2,700,000 |
|
|
|
3.875 |
|
|
08/22/37 |
|
2,635,505 |
| |
| Investment Companies – 0.1% |
| Huarong Finance II Co. Ltd. |
|
|
|
570,000 |
|
|
|
5.000 |
|
|
11/19/25 |
|
565,725 |
| |
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Media – 0.7% |
| Charter Communications Operating LLC/Charter Communications Operating Capital(c) |
| $ |
|
|
150,000 |
|
|
|
3.579 |
% |
|
07/23/20 |
|
$ 149,810 |
|
|
|
650,000 |
|
|
|
4.500 |
|
|
02/01/24 |
|
649,360 |
|
|
|
2,400,000 |
|
|
|
4.908 |
|
|
07/23/25 |
|
2,423,722 |
| Comcast Corp. |
|
|
|
300,000 |
|
|
|
6.400 |
|
|
03/01/40 |
|
354,594 |
| Time Warner Cable LLC |
|
|
|
300,000 |
|
|
|
6.750 |
|
|
07/01/18 |
|
300,000 |
|
|
|
450,000 |
|
|
|
5.000 |
|
|
02/01/20 |
|
459,395 |
|
|
|
100,000 |
|
|
|
4.125 |
(c) |
|
02/15/21 |
|
100,509 |
|
|
|
28,000 |
|
|
|
7.300 |
|
|
07/01/38 |
|
31,738 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,469,128 |
| |
| Mining(a) –
0.2% |
| Glencore Funding LLC |
|
|
|
1,400,000 |
|
|
|
4.125 |
|
|
05/30/23 |
|
1,396,934 |
| |
| Oil Field Services – 0.8% |
| Anadarko Petroleum Corp. |
|
|
|
50,000 |
|
|
|
3.450 |
(c) |
|
07/15/24 |
|
48,045 |
|
|
|
650,000 |
|
|
|
6.450 |
|
|
09/15/36 |
|
751,176 |
| BP Capital Markets PLC |
|
|
|
250,000 |
|
|
|
3.814 |
|
|
02/10/24 |
|
252,553 |
| Devon Energy
Corp.(c) |
|
|
|
500,000 |
|
|
|
3.250 |
|
|
05/15/22 |
|
491,509 |
|
|
|
200,000 |
|
|
|
5.600 |
|
|
07/15/41 |
|
215,735 |
|
|
|
500,000 |
|
|
|
4.750 |
|
|
05/15/42 |
|
488,131 |
|
|
|
300,000 |
|
|
|
5.000 |
|
|
06/15/45 |
|
305,185 |
| Dolphin Energy Ltd. LLC |
|
|
|
114,800 |
|
|
|
5.888 |
(a) |
|
06/15/19 |
|
116,379 |
|
|
|
77,080 |
|
|
|
5.888 |
|
|
06/15/19 |
|
78,140 |
| Gazprom OAO Via Gaz Capital SA |
|
|
|
240,000 |
|
|
|
8.625 |
(g) |
|
04/28/34 |
|
297,000 |
|
|
|
310,000 |
|
|
|
7.288 |
|
|
08/16/37 |
|
348,750 |
| Petroleos Mexicanos |
|
|
|
32,000 |
|
|
|
6.375 |
|
|
02/04/21 |
|
33,680 |
| EUR |
|
|
820,000 |
|
|
|
5.125 |
|
|
03/15/23 |
|
1,049,765 |
| Reliance Industries
Ltd.(a) |
| $ |
|
|
510,000 |
|
|
|
3.667 |
|
|
11/30/27 |
|
468,562 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,944,610 |
| |
| Pharmaceuticals – 1.2% |
| AbbVie, Inc.(c) |
|
|
|
750,000 |
|
|
|
4.450 |
|
|
05/14/46 |
|
717,190 |
| Allergan Funding SCS |
|
|
|
50,000 |
|
|
|
2.450 |
|
|
06/15/19 |
|
49,758 |
|
|
|
250,000 |
|
|
|
3.000 |
(c) |
|
03/12/20 |
|
248,815 |
| Bayer AG(c)(d)(5 year EUR Swap +
2.176%) |
| EUR |
|
|
1,400,000 |
|
|
|
3.000 |
|
|
07/01/75 |
|
1,680,828 |
| Bayer US Finance II
LLC(a)(c) |
| $ |
|
|
750,000 |
|
|
|
3.875 |
|
|
12/15/23 |
|
750,031 |
|
|
|
1,000,000 |
|
|
|
4.250 |
|
|
12/15/25 |
|
1,005,351 |
|
|
|
550,000 |
|
|
|
4.375 |
|
|
12/15/28 |
|
551,046 |
| CVS Health
Corp.(c) |
|
|
|
550,000 |
|
|
|
2.800 |
|
|
07/20/20 |
|
544,807 |
|
|
|
950,000 |
|
|
|
4.300 |
|
|
03/25/28 |
|
937,089 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Pharmaceuticals – (continued) |
| $ |
|
|
750,000 |
|
|
|
4.780 |
% |
|
03/25/38 |
|
$ 737,679 |
|
|
|
250,000 |
|
|
|
5.050 |
|
|
03/25/48 |
|
254,424 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,477,018 |
| |
| Pipelines – 1.8% |
| Abu Dhabi Crude Oil Pipeline
LLC(a) |
|
|
|
1,260,000 |
|
|
|
4.600 |
|
|
11/02/47 |
|
1,159,200 |
| Enterprise Products Operating
LLC(c) |
|
|
|
700,000 |
|
|
|
2.850 |
|
|
04/15/21 |
|
691,295 |
|
|
|
500,000 |
|
|
|
3.750 |
|
|
02/15/25 |
|
495,122 |
| Kinder Morgan Energy Partners
LP(c) |
|
|
|
470,000 |
|
|
|
3.950 |
|
|
09/01/22 |
|
469,938 |
| Kinder Morgan,
Inc.(c) |
|
|
|
350,000 |
|
|
|
3.050 |
|
|
12/01/19 |
|
348,918 |
|
|
|
3,000,000 |
|
|
|
5.000 |
(a) |
|
02/15/21 |
|
3,102,714 |
|
|
|
300,000 |
|
|
|
4.300 |
|
|
06/01/25 |
|
299,257 |
| MPLX LP(c) |
|
|
|
400,000 |
|
|
|
4.500 |
|
|
04/15/38 |
|
369,459 |
|
|
|
500,000 |
|
|
|
4.700 |
|
|
04/15/48 |
|
463,603 |
| Plains All American Pipeline LP/PAA Finance Corp.(c) |
|
|
|
1,200,000 |
|
|
|
4.500 |
|
|
12/15/26 |
|
1,174,645 |
|
|
|
300,000 |
|
|
|
4.700 |
|
|
06/15/44 |
|
263,583 |
| Sabine Pass Liquefaction
LLC(c) |
|
|
|
1,500,000 |
|
|
|
5.625 |
|
|
03/01/25 |
|
1,591,875 |
| Williams Partners
LP(c) |
|
|
|
550,000 |
|
|
|
3.600 |
|
|
03/15/22 |
|
547,312 |
|
|
|
450,000 |
|
|
|
3.900 |
|
|
01/15/25 |
|
438,986 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,415,907 |
| |
| Real Estate Investment Trust(c) –
0.3% |
| American Tower Corp. |
|
|
|
450,000 |
|
|
|
3.300 |
|
|
02/15/21 |
|
449,513 |
| HCP, Inc. |
|
|
|
100,000 |
|
|
|
2.625 |
|
|
02/01/20 |
|
98,807 |
|
|
|
273,000 |
|
|
|
5.375 |
|
|
02/01/21 |
|
283,792 |
| Ventas Realty LP/Ventas Capital Corp. |
|
|
|
200,000 |
|
|
|
3.250 |
|
|
08/15/22 |
|
196,142 |
| WEA Finance LLC/Westfield UK & Europe Finance PLC(a) |
|
|
|
350,000 |
|
|
|
2.700 |
|
|
09/17/19 |
|
348,549 |
|
|
|
400,000 |
|
|
|
3.750 |
|
|
09/17/24 |
|
395,178 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,771,981 |
| |
| Retailing(c) –
0.3% |
| Dollar Tree, Inc. |
|
|
|
900,000 |
|
|
|
4.000 |
|
|
05/15/25 |
|
879,573 |
|
|
|
1,100,000 |
|
|
|
4.200 |
|
|
05/15/28 |
|
1,061,796 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,941,369 |
| |
| Semiconductors(c) –
0.1% |
| Broadcom Corp./Broadcom Cayman Finance Ltd. |
|
|
|
500,000 |
|
|
|
3.000 |
|
|
01/15/22 |
|
486,330 |
| |
| Software(c) –
0.5% |
| Oracle Corp. |
|
|
|
1,650,000 |
|
|
|
2.650 |
|
|
07/15/26 |
|
1,521,684 |
|
|
|
700,000 |
|
|
|
3.250 |
|
|
11/15/27 |
|
669,323 |
|
|
|
800,000 |
|
|
|
3.800 |
|
|
11/15/37 |
|
756,728 |
| |
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Software(c) –
(continued) |
| $ |
|
|
650,000 |
|
|
|
4.000 |
% |
|
11/15/47 |
|
$ 611,826 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,559,561 |
| |
| Supranational – 0.8% |
| European Financial Stability
Facility(e) |
| EUR |
|
|
900,000 |
|
|
|
1.375 |
|
|
05/31/47 |
|
1,005,542 |
| European Investment Bank |
|
|
|
3,400,000 |
|
|
|
0.875 |
|
|
01/14/28 |
|
4,041,076 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,046,618 |
| |
| Telecommunication Services – 1.2% |
| America Movil SAB de CV |
| MXN |
|
|
5,260,000 |
|
|
|
6.000 |
|
|
06/09/19 |
|
257,870 |
| AT&T, Inc.(c) |
| $ |
|
|
2,000,000 |
|
|
|
2.800 |
|
|
02/17/21 |
|
1,968,156 |
|
|
|
1,450,000 |
|
|
|
3.200 |
|
|
03/01/22 |
|
1,422,899 |
|
|
|
250,000 |
|
|
|
3.000 |
|
|
06/30/22 |
|
242,699 |
| Verizon Communications, Inc. |
|
|
|
1,884,000 |
|
|
|
4.329 |
(a) |
|
09/21/28 |
|
1,867,234 |
|
|
|
450,000 |
|
|
|
4.862 |
|
|
08/21/46 |
|
430,007 |
|
|
|
650,000 |
|
|
|
5.012 |
|
|
04/15/49 |
|
633,003 |
| Vodafone Group PLC |
|
|
|
1,050,000 |
|
|
|
3.750 |
|
|
01/16/24 |
|
1,041,027 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,862,895 |
| |
| TOTAL CORPORATE OBLIGATIONS
(Cost $184,736,248) |
|
$181,516,031 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed
Securities(d) – 21.0% |
| Collateralized Loan Obligations(a) –
12.9% |
| AIMCO CLO Series 2014-AA, Class AR(3M USD LIBOR + 1.100%) |
| $ |
|
|
4,250,000 |
|
|
|
2.845 |
% |
|
07/20/26 |
|
$ 4,250,463 |
| Apex Credit CLO II LLC Series 2017-2A, Class A(3M USD LIBOR + 1.270%) |
|
|
|
8,400,000 |
|
|
|
3.472 |
|
|
09/20/29 |
|
8,414,549 |
| Atrium X CLO Series 2017-10A, Class AR(3M USD LIBOR + 0.950%) |
|
|
|
3,535,828 |
|
|
|
2.672 |
|
|
07/16/25 |
|
3,535,821 |
| Catamaran CLO Ltd. Series 2013-1A, Class AR(3M USD LIBOR + 0.850%) |
|
|
|
3,800,000 |
|
|
|
2.363 |
|
|
01/27/28 |
|
3,788,376 |
| GoldentTree Loan Management US CLO 1 Ltd. Series 2017-1A, Class A(3M USD LIBOR +
1.220%) |
|
|
|
4,650,000 |
|
|
|
2.965 |
|
|
04/20/29 |
|
4,653,697 |
| Halcyon Loan Advisors Funding Ltd. Series 2013-1A, Class A1(3M USD LIBOR + 1.150%) |
|
|
|
1,519,821 |
|
|
|
2.872 |
|
|
04/15/25 |
|
1,519,838 |
| Halcyon Loan Advisors Funding Ltd. Series 2014-1A, Class A1R(3M USD LIBOR + 1.130%) |
|
|
|
5,600,000 |
|
|
|
2.864 |
|
|
04/18/26 |
|
5,600,610 |
| Madison Park Funding XII Ltd. Series 2014-12A, Class AR(3M USD LIBOR + 1.260%) |
|
|
|
3,900,000 |
|
|
|
3.005 |
|
|
07/20/26 |
|
3,900,788 |
| Madison Park Funding XXX Ltd. Series 2018-30A, Class A(3M USD LIBOR + 0.750%) |
|
|
|
5,300,000 |
|
|
|
3.089 |
|
|
04/15/29 |
|
5,243,104 |
| Oak Hill Credit Partners X Ltd. Series 2014-10A, Class AR(3M USD LIBOR + 1.130%) |
|
|
|
4,650,000 |
|
|
|
2.875 |
|
|
07/20/26 |
|
4,650,586 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Asset-Backed
Securities(d) – (continued) |
| Collateralized Loan Obligations(a) –
(continued) |
| OCP CLO Ltd. Series 2016-12A, Class A1(3M USD LIBOR + 1.570%) |
| $ |
|
|
4,650,000 |
|
|
|
3.304 |
% |
|
10/18/28 |
|
$ 4,656,608 |
| Octagon Investment Partners 24 Ltd. Series 2015-1A, Class A1R(3M USD LIBOR + 0.900%) |
|
|
|
8,450,000 |
|
|
|
2.792 |
|
|
05/21/27 |
|
8,439,488 |
| OFSI Fund VII Ltd. Series 2014-7A, Class AR(3M USD LIBOR + 0.900%) |
|
|
|
2,250,000 |
|
|
|
2.634 |
|
|
10/18/26 |
|
2,249,973 |
| OHA Credit Partners VIII Ltd. Series 2013-8A, Class A(3M USD LIBOR + 1.120%) |
|
|
|
3,647,091 |
|
|
|
2.865 |
|
|
04/20/25 |
|
3,647,317 |
| Sound Point CLO XI Ltd. Series 2016-1A, Class A(3M USD LIBOR + 1.650%) |
|
|
|
8,350,000 |
|
|
|
3.395 |
|
|
07/20/28 |
|
8,362,316 |
| Sound Point CLO XI Ltd. Series 2016-1A, Class B1(3M USD LIBOR + 2.400%) |
|
|
|
1,700,000 |
|
|
|
4.145 |
|
|
07/20/28 |
|
1,704,530 |
| Trinitas CLO II Ltd. Series 2014-2A, Class A1R(3M USD LIBOR + 1.180%) |
|
|
|
1,000,000 |
|
|
|
2.902 |
|
|
07/15/26 |
|
1,000,116 |
| Tryon Park CLO Ltd. Series 2013-1A, Class A1SR(3M USD LIBOR + 0.890%) |
|
|
|
3,700,000 |
|
|
|
3.238 |
|
|
04/15/29 |
|
3,683,439 |
| WhiteHorse VIII Ltd. Series 2014-1A, Class AR(3M USD LIBOR + 0.900%) |
|
|
|
3,500,000 |
|
|
|
2.673 |
|
|
05/01/26 |
|
3,499,975 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
82,801,594 |
| |
| Home Equity – 0.0% |
| GMAC Mortgage Home Equity Loan Trust Series 2007-HE3, Class 1A1 |
|
|
|
14,418 |
|
|
|
6.951 |
|
|
09/25/37 |
|
14,549 |
| GMAC Mortgage Home Equity Loan Trust Series 2007-HE3, Class 2A1 |
|
|
|
61,084 |
|
|
|
6.804 |
|
|
09/25/37 |
|
62,402 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
76,951 |
| |
| Student Loans – 8.1% |
| Chase Education Loan Trust Series 2007-A, Class A3(3M USD LIBOR + 0.070%) |
|
|
|
140,849 |
|
|
|
2.365 |
|
|
12/28/23 |
|
140,546 |
| ECMC Group Student Loan Trust Series 2017-1A, Class A(a)(1M USD LIBOR + 1.200%) |
|
|
|
6,292,067 |
|
|
|
3.160 |
|
|
12/27/66 |
|
6,397,003 |
| Education Loan Asset-Backed Trust I Series 2013-1, Class A2(a)(1M USD LIBOR + 0.800%) |
|
|
|
6,750,000 |
|
|
|
2.760 |
|
|
04/26/32 |
|
6,782,505 |
| Educational Services of America, Inc. Series 2010-1, Class A1(a)(3M USD LIBOR + 0.850%) |
|
|
|
318,460 |
|
|
|
2.595 |
|
|
07/25/23 |
|
318,998 |
| Educational Services of America, Inc. Series 2015-2, Class A(a)(1M USD LIBOR + 1.000%) |
|
|
|
1,574,062 |
|
|
|
2.960 |
|
|
12/25/56 |
|
1,586,546 |
| Higher Education Funding I Series 2014-1, Class A(a)(3M USD LIBOR + 1.050%) |
|
|
|
3,363,757 |
|
|
|
2.994 |
|
|
05/25/34 |
|
3,381,426 |
| Knowledgeworks Foundation Student Loan Series 2010-1, Class A(3M USD LIBOR + 0.950%) |
|
|
|
459,798 |
|
|
|
2.894 |
|
|
02/25/42 |
|
461,146 |
| Montana Higher Education Student Assistance Corp. Series 2012-1, Class A3(1M USD LIBOR +
1.050%) |
|
|
|
2,450,000 |
|
|
|
2.998 |
|
|
07/20/43 |
|
2,462,174 |
| |
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Asset-Backed
Securities(d) – (continued) |
| Student Loans – (continued) |
| Navient Student Loan Trust Series 2017-2A, Class A(a)(1M USD LIBOR + 1.050%) |
| $ |
|
|
6,614,134 |
|
|
|
3.010 |
% |
|
12/27/66 |
|
$ 6,714,095 |
| Navient Student Loan Trust Series 2017-5A, Class A(a)(1M USD LIBOR + 0.800%) |
|
|
|
7,283,457 |
|
|
|
2.760 |
|
|
07/26/66 |
|
7,350,607 |
| Nelnet Student Loan Trust Series 2006-1, Class A6(a)(3M USD LIBOR + 0.450%) |
|
|
|
4,300,000 |
|
|
|
2.370 |
|
|
08/23/36 |
|
4,206,844 |
| Nelnet Student Loan Trust Series 2006-2, Class A7(a)(3M Euribor + 0.580%) |
|
|
|
4,050,000 |
|
|
|
2.325 |
|
|
01/25/37 |
|
3,967,219 |
| Nelnet Student Loan Trust Series 2011-1A, Class A(a)(1M USD LIBOR + 0.850%) |
|
|
|
229,479 |
|
|
|
2.810 |
|
|
02/25/48 |
|
231,673 |
| North Carolina State Education Assistance Authority Series 2010-1, Class A1(3M USD LIBOR +
0.900%) |
|
|
|
1,565,017 |
|
|
|
2.645 |
|
|
07/25/41 |
|
1,561,591 |
| PHEAA Student Loan Trust Series 2016-1A, Class A(a)(1M USD LIBOR + 1.150%) |
|
|
|
3,216,413 |
|
|
|
3.110 |
|
|
09/25/65 |
|
3,265,577 |
| Scholar Funding Trust Series 2010-A, Class
A(a)(3M USD LIBOR + 0.750%) |
|
|
|
781,543 |
|
|
|
2.510 |
|
|
10/28/41 |
|
778,665 |
| SLM Student Loan Trust Series 2004-8A, Class
A6(a)(3M USD LIBOR + 0.630%) |
|
|
|
2,100,000 |
|
|
|
2.375 |
|
|
01/25/40 |
|
2,111,867 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
51,718,482 |
| |
| TOTAL ASSET-BACKED SECURITIES
(Cost $133,438,168) |
|
$134,597,027 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Mortgage-Backed Obligations – 21.1% |
| Collateralized Mortgage Obligations – 3.5% |
| Interest Only – 0.9% |
| $ |
|
|
555,750 |
|
|
|
4.081 |
% |
|
05/15/41 |
|
$ 75,551 |
|
|
|
431,419 |
|
|
|
4.131 |
|
|
03/15/44 |
|
68,034 |
|
|
|
329,466 |
|
|
|
4.181 |
|
|
07/15/39 |
|
42,208 |
|
|
|
1,525,206 |
|
|
|
3.927 |
|
|
05/15/46 |
|
250,813 |
|
|
|
390,040 |
|
|
|
3.000 |
|
|
12/15/27 |
|
33,652 |
|
|
|
523,110 |
|
|
|
4.590 |
|
|
12/25/41 |
|
83,403 |
|
|
|
697,863 |
|
|
|
3.990 |
|
|
02/25/42 |
|
97,170 |
|
|
|
702,133 |
|
|
|
4.140 |
|
|
12/25/43 |
|
90,991 |
|
|
|
1,421,122 |
|
|
|
4.690 |
|
|
10/25/42 |
|
214,587 |
|
|
|
558,113 |
|
|
|
4.640 |
|
|
02/25/44 |
|
94,146 |
|
|
|
1,308,363 |
|
|
|
4.290 |
|
|
01/25/45 |
|
176,441 |
|
|
|
471,692 |
|
|
|
4.290 |
|
|
11/25/45 |
|
63,649 |
|
|
|
296,930 |
|
|
|
3.740 |
|
|
11/25/45 |
|
33,575 |
|
|
|
1,344,327 |
|
|
|
4.059 |
|
|
02/25/46 |
|
230,329 |
|
|
|
1,077,470 |
|
|
|
4.052 |
|
|
08/20/40 |
|
154,153 |
|
|
|
800,545 |
|
|
|
4.302 |
|
|
02/20/40 |
|
119,063 |
|
|
|
461,485 |
|
|
|
3.802 |
|
|
03/20/40 |
|
59,042 |
|
|
|
602,066 |
|
|
|
4.166 |
|
|
12/20/42 |
|
87,197 |
|
|
|
848,830 |
|
|
|
4.102 |
|
|
08/20/43 |
|
130,347 |
|
|
|
175,112 |
|
|
|
4.016 |
|
|
09/20/43 |
|
24,835 |
|
|
|
316,143 |
|
|
|
4.066 |
|
|
06/20/43 |
|
44,636 |
|
|
|
323,688 |
|
|
|
4.016 |
|
|
06/20/43 |
|
45,364 |
|
|
|
159,734 |
|
|
|
4.202 |
|
|
11/20/43 |
|
22,557 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| Interest Only – (continued) |
| $ |
|
|
1,013,150 |
|
|
|
4.152 |
% |
|
11/20/43 |
|
$ 146,309 |
|
|
|
2,456,541 |
|
|
|
3.516 |
|
|
08/20/44 |
|
319,233 |
|
|
|
738,054 |
|
|
|
4.016 |
|
|
10/20/43 |
|
96,880 |
|
|
|
364,124 |
|
|
|
3.652 |
|
|
09/20/44 |
|
43,388 |
|
|
|
1,158,782 |
|
|
|
3.666 |
|
|
10/16/44 |
|
148,856 |
|
|
|
864,631 |
|
|
|
4.000 |
|
|
12/20/44 |
|
145,852 |
|
|
|
208,282 |
|
|
|
4.016 |
|
|
03/20/44 |
|
30,625 |
|
|
|
2,157,982 |
|
|
|
3.626 |
|
|
08/20/45 |
|
279,746 |
|
|
|
1,034,955 |
|
|
|
4.000 |
|
|
08/20/45 |
|
177,542 |
|
|
|
3,034,110 |
|
|
|
5.000 |
|
|
08/20/45 |
|
682,505 |
|
|
|
524,727 |
|
|
|
4.166 |
|
|
09/20/45 |
|
77,796 |
|
|
|
803,737 |
|
|
|
4.116 |
|
|
09/20/45 |
|
117,199 |
|
|
|
424,090 |
|
|
|
4.500 |
|
|
09/16/45 |
|
86,601 |
|
|
|
1,579,318 |
|
|
|
5.000 |
|
|
10/20/44 |
|
356,428 |
|
|
|
375,850 |
|
|
|
4.166 |
|
|
11/20/45 |
|
55,746 |
|
|
|
245,644 |
|
|
|
4.116 |
|
|
11/20/45 |
|
36,555 |
|
|
|
1,707,096 |
|
|
|
3.652 |
|
|
04/20/45 |
|
210,982 |
|
|
|
1,290,733 |
|
|
|
3.516 |
|
|
05/20/45 |
|
184,503 |
|
|
|
481,613 |
|
|
|
4.116 |
|
|
01/20/46 |
|
70,789 |
|
|
|
1,132,826 |
|
|
|
4.000 |
|
|
10/20/46 |
|
207,845 |
|
|
|
663,933 |
|
|
|
4.000 |
|
|
06/20/45 |
|
104,953 |
|
|
|
709,580 |
|
|
|
3.702 |
|
|
01/20/46 |
|
87,365 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,909,441 |
| |
| Sequential Fixed Rate – 0.2% |
|
|
|
509,715 |
|
|
|
5.000 |
|
|
06/25/41 |
|
543,685 |
|
|
|
484,247 |
|
|
|
5.000 |
|
|
10/25/41 |
|
516,071 |
|
|
|
60,575 |
|
|
|
7.000 |
|
|
10/25/42 |
|
68,309 |
|
|
|
242,675 |
|
|
|
7.000 |
|
|
07/25/42 |
|
274,722 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,402,787 |
| |
| Sequential Floating Rate(d) –
2.4% |
| (12M MTA + 1.500%) |
|
|
|
97,708 |
|
|
|
2.965 |
|
|
09/25/35 |
|
97,934 |
| (1M USD LIBOR + 0.210%) |
|
|
|
568,103 |
|
|
|
2.158 |
|
|
03/20/46 |
|
514,512 |
|
|
|
47,271 |
|
|
|
3.480 |
|
|
04/20/35 |
|
46,975 |
| (3M GBP LIBOR + 0.800%) |
| GBP |
|
|
1,006,624 |
|
|
|
1.423 |
|
|
08/20/56 |
|
1,332,501 |
| $ |
|
|
452,741 |
|
|
|
3.990 |
|
|
08/19/36 |
|
423,405 |
| (3M GBP LIBOR + 0.850%) |
| GBP |
|
|
1,026,679 |
|
|
|
1.490 |
|
|
11/15/49 |
|
1,356,903 |
| (12M MTA + 1.000%) |
| $ |
|
|
690,003 |
|
|
|
2.465 |
|
|
01/25/46 |
|
627,296 |
| (3M GBP LIBOR + 0.800%) |
| GBP |
|
|
437,072 |
|
|
|
1.423 |
|
|
08/20/56 |
|
579,535 |
| (3M GBP LIBOR + 0.800%) |
|
|
|
3,844,448 |
|
|
|
1.423 |
|
|
08/20/56 |
|
5,089,902 |
| (6M USD LIBOR + 0.660%) |
| $ |
|
|
100,716 |
|
|
|
3.163 |
|
|
11/20/34 |
|
101,413 |
| (1M USD LIBOR + 0.550%) |
|
|
|
1,400,000 |
|
|
|
2.468 |
|
|
07/15/19 |
|
1,400,000 |
| (3M GBP LIBOR + 0.850%) |
| GBP |
|
|
2,643,665 |
|
|
|
1.473 |
|
|
05/20/45 |
|
3,503,767 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,074,143 |
| |
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
22,386,371 |
| |
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
| Mortgage-Backed Obligations – (continued) |
|
| Federal Agencies – 17.6% |
|
| FHLMC – 0.1% |
|
| $ |
|
|
44 |
|
|
|
5.000 |
% |
|
07/01/18 |
|
|
$ 44 |
|
|
|
|
75 |
|
|
|
5.000 |
|
|
08/01/18 |
|
|
75 |
|
|
|
|
75 |
|
|
|
5.000 |
|
|
09/01/18 |
|
|
75 |
|
|
|
|
2,036 |
|
|
|
5.000 |
|
|
10/01/18 |
|
|
2,044 |
|
|
|
|
1,683 |
|
|
|
5.000 |
|
|
11/01/18 |
|
|
1,689 |
|
|
|
|
2,139 |
|
|
|
5.000 |
|
|
12/01/18 |
|
|
2,149 |
|
|
|
|
1,291 |
|
|
|
5.000 |
|
|
01/01/19 |
|
|
1,298 |
|
|
|
|
194 |
|
|
|
5.000 |
|
|
02/01/19 |
|
|
195 |
|
|
|
|
526 |
|
|
|
5.000 |
|
|
03/01/19 |
|
|
529 |
|
|
|
|
3,345 |
|
|
|
5.000 |
|
|
01/01/33 |
|
|
3,546 |
|
|
|
|
528 |
|
|
|
5.000 |
|
|
06/01/33 |
|
|
563 |
|
|
|
|
5,593 |
|
|
|
5.000 |
|
|
07/01/33 |
|
|
5,964 |
|
|
|
|
6,777 |
|
|
|
5.000 |
|
|
08/01/33 |
|
|
7,227 |
|
|
|
|
1,198 |
|
|
|
5.000 |
|
|
10/01/33 |
|
|
1,277 |
|
|
|
|
3,433 |
|
|
|
5.000 |
|
|
11/01/33 |
|
|
3,661 |
|
|
|
|
1,661 |
|
|
|
5.000 |
|
|
12/01/33 |
|
|
1,772 |
|
|
|
|
5,020 |
|
|
|
5.000 |
|
|
02/01/34 |
|
|
5,352 |
|
|
|
|
1,937 |
|
|
|
5.000 |
|
|
03/01/34 |
|
|
2,066 |
|
|
|
|
2,932 |
|
|
|
5.000 |
|
|
04/01/34 |
|
|
3,126 |
|
|
|
|
5,913 |
|
|
|
5.000 |
|
|
05/01/34 |
|
|
6,305 |
|
|
|
|
86,045 |
|
|
|
5.000 |
|
|
06/01/34 |
|
|
91,753 |
|
|
|
|
1,050 |
|
|
|
5.000 |
|
|
11/01/34 |
|
|
1,120 |
|
|
|
|
22,878 |
|
|
|
5.000 |
|
|
04/01/35 |
|
|
24,395 |
|
|
|
|
2,569 |
|
|
|
5.000 |
|
|
11/01/35 |
|
|
2,739 |
|
|
|
|
7,864 |
|
|
|
5.000 |
|
|
02/01/37 |
|
|
8,433 |
|
|
|
|
581 |
|
|
|
5.000 |
|
|
11/01/37 |
|
|
618 |
|
|
|
|
201,296 |
|
|
|
7.000 |
|
|
02/01/39 |
|
|
230,074 |
|
|
|
|
34,481 |
|
|
|
5.000 |
|
|
01/01/40 |
|
|
36,865 |
|
|
|
|
17,204 |
|
|
|
4.000 |
|
|
06/01/40 |
|
|
17,631 |
|
|
|
|
172,476 |
|
|
|
4.000 |
|
|
02/01/41 |
|
|
177,312 |
|
|
|
|
11,752 |
|
|
|
4.000 |
|
|
11/01/41 |
|
|
12,090 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
651,987 |
|
| |
|
| FNMA – 9.0% |
|
|
|
|
47 |
|
|
|
5.000 |
|
|
11/01/18 |
|
|
48 |
|
|
|
|
270 |
|
|
|
5.000 |
|
|
03/01/19 |
|
|
271 |
|
|
|
|
279 |
|
|
|
5.000 |
|
|
04/01/19 |
|
|
281 |
|
|
|
|
2,136 |
|
|
|
5.000 |
|
|
08/01/33 |
|
|
2,279 |
|
|
|
|
1,330 |
|
|
|
5.500 |
|
|
02/01/34 |
|
|
1,447 |
|
|
|
|
3,278 |
|
|
|
5.500 |
|
|
05/01/34 |
|
|
3,577 |
|
|
|
|
1,446 |
|
|
|
5.500 |
|
|
10/01/34 |
|
|
1,577 |
|
|
|
|
10,773 |
|
|
|
5.500 |
|
|
12/01/34 |
|
|
11,752 |
|
|
|
|
3,290 |
|
|
|
5.500 |
|
|
04/01/35 |
|
|
3,574 |
|
|
|
|
2,617 |
|
|
|
5.500 |
|
|
07/01/35 |
|
|
2,846 |
|
|
|
|
371,818 |
|
|
|
4.500 |
|
|
07/01/36 |
|
|
390,612 |
|
|
|
|
40,036 |
|
|
|
4.500 |
|
|
12/01/36 |
|
|
42,035 |
|
|
|
|
36,064 |
|
|
|
4.500 |
|
|
05/01/38 |
|
|
37,925 |
|
|
|
|
116,259 |
|
|
|
7.000 |
|
|
03/01/39 |
|
|
131,684 |
|
|
|
|
26,649 |
|
|
|
4.500 |
|
|
05/01/39 |
|
|
28,036 |
|
|
|
|
16,072 |
|
|
|
4.500 |
|
|
06/01/39 |
|
|
16,910 |
|
|
|
|
11,269 |
|
|
|
4.500 |
|
|
08/01/39 |
|
|
11,856 |
|
|
|
|
17,722 |
|
|
|
4.500 |
|
|
09/01/39 |
|
|
18,623 |
|
|
|
|
25,394 |
|
|
|
4.500 |
|
|
10/01/39 |
|
|
26,685 |
|
|
|
|
10,171 |
|
|
|
4.500 |
|
|
03/01/40 |
|
|
10,688 |
|
|
|
|
143,255 |
|
|
|
4.500 |
|
|
04/01/40 |
|
|
150,603 |
|
|
|
|
125,082 |
|
|
|
5.000 |
|
|
06/01/40 |
|
|
133,544 |
|
|
|
|
9,660 |
|
|
|
4.500 |
|
|
12/01/40 |
|
|
10,156 |
|
|
|
|
162,645 |
|
|
|
4.500 |
|
|
01/01/41 |
|
|
170,968 |
|
|
|
|
43,138 |
|
|
|
4.500 |
|
|
04/01/41 |
|
|
45,345 |
|
|
|
|
75,029 |
|
|
|
4.500 |
|
|
06/01/41 |
|
|
78,799 |
|
|
|
|
58,068 |
|
|
|
4.500 |
|
|
07/01/41 |
|
|
61,003 |
|
|
|
|
51,852 |
|
|
|
5.000 |
|
|
07/01/41 |
|
|
55,518 |
|
|
|
|
89,845 |
|
|
|
4.500 |
|
|
08/01/41 |
|
|
94,428 |
|
|
|
|
268,410 |
|
|
|
4.500 |
|
|
09/01/41 |
|
|
282,157 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity Date |
|
|
Value |
| Mortgage-Backed Obligations – (continued) |
| FNMA – (continued) |
| $ |
|
|
230,364 |
|
|
|
4.500 |
% |
|
|
10/01/41 |
|
|
$ 242,008 |
|
|
|
185,704 |
|
|
|
4.500 |
|
|
|
11/01/41 |
|
|
194,975 |
|
|
|
106,628 |
|
|
|
4.500 |
|
|
|
12/01/41 |
|
|
111,986 |
|
|
|
112,415 |
|
|
|
4.500 |
|
|
|
01/01/42 |
|
|
118,054 |
|
|
|
26,883 |
|
|
|
4.500 |
|
|
|
03/01/42 |
|
|
28,216 |
|
|
|
49,089 |
|
|
|
4.500 |
|
|
|
04/01/42 |
|
|
51,530 |
|
|
|
111,524 |
|
|
|
3.000 |
|
|
|
12/01/42 |
|
|
109,189 |
|
|
|
282,204 |
|
|
|
3.000 |
|
|
|
01/01/43 |
|
|
276,313 |
|
|
|
336,532 |
|
|
|
3.000 |
|
|
|
04/01/43 |
|
|
329,800 |
|
|
|
895,101 |
|
|
|
4.500 |
|
|
|
06/01/45 |
|
|
938,388 |
|
|
|
111,491 |
|
|
|
4.500 |
|
|
|
03/01/47 |
|
|
116,290 |
|
|
|
2,083,763 |
|
|
|
4.500 |
|
|
|
01/01/48 |
|
|
2,171,998 |
|
|
|
742,718 |
|
|
|
4.500 |
|
|
|
05/01/48 |
|
|
773,819 |
|
|
|
29,000,000 |
|
|
|
4.000 |
|
|
|
TBA-30yr |
(h) |
|
29,566,405 |
|
|
|
20,000,000 |
|
|
|
4.500 |
|
|
|
TBA-30yr |
(h) |
|
20,825,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
57,679,198 |
| |
| GNMA – 8.5% |
|
|
|
6,881,592 |
|
|
|
4.000 |
|
|
|
10/20/43 |
|
|
7,103,362 |
|
|
|
675,464 |
|
|
|
4.000 |
|
|
|
11/20/44 |
|
|
696,387 |
|
|
|
64,131 |
|
|
|
4.000 |
|
|
|
05/20/45 |
|
|
66,057 |
|
|
|
3,088,895 |
|
|
|
4.000 |
|
|
|
07/20/45 |
|
|
3,180,717 |
|
|
|
2,396,103 |
|
|
|
4.000 |
|
|
|
08/20/45 |
|
|
2,466,583 |
|
|
|
562,855 |
|
|
|
4.000 |
|
|
|
09/20/45 |
|
|
579,411 |
|
|
|
1,971,306 |
|
|
|
4.000 |
|
|
|
10/20/45 |
|
|
2,029,290 |
|
|
|
1,175,769 |
|
|
|
4.000 |
|
|
|
01/20/46 |
|
|
1,210,353 |
|
|
|
300,734 |
|
|
|
4.000 |
|
|
|
02/20/46 |
|
|
309,579 |
|
|
|
19,000,000 |
|
|
|
4.000 |
|
|
|
TBA-30yr |
(h) |
|
19,440,859 |
|
|
|
17,000,000 |
|
|
|
4.500 |
|
|
|
TBA-30yr |
(h) |
|
17,668,047 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
54,750,645 |
| |
| TOTAL FEDERAL AGENCIES |
|
|
$113,081,830 |
| |
| TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $136,513,894) |
|
|
$135,468,201 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Agency Debentures – 1.0% |
| Canada Housing Trust No.
1(a)(e) |
| CAD |
|
|
5,200,000 |
|
|
|
2.350 |
% |
|
|
12/15/18 |
|
|
$ 3,968,439 |
| FHLMC |
| $ |
|
|
1,800,000 |
|
|
|
6.750 |
|
|
|
03/15/31 |
|
|
2,456,730 |
| |
TOTAL AGENCY DEBENTURES
(Cost $6,677,636) |
|
|
$ 6,425,169 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Municipal Debt
Obligation(c)(d) – 0.4% |
| Ohio – 0.4% |
| New Hampshire Higher Education Loan Corp. Series 2011-1, Class A3 |
| $ |
|
|
2,900,000 |
|
|
|
2.600 |
% |
|
|
10/25/37 |
|
|
$ 2,918,939 |
| (Cost $2,875,088) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares |
|
|
Distribution
Rate |
|
Value |
| Investment
Company(i) – 4.4% |
| Goldman Sachs Financial Square Government Fund - Institutional Shares |
|
|
|
28,090,008 |
|
|
1.869% |
|
$ 28,090,008 |
| (Cost $28,090,008) |
| |
| TOTAL INVESTMENTS BEFORE
SHORT-TERM INVESTMENT (Cost
$705,565,459) |
|
$707,168,934 |
| |
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Short-term
Investment(f) – 0.1% |
| Commercial Paper – 0.1% |
| HP, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| $ |
|
|
1,000,000 |
|
|
|
0.000 |
% |
|
07/02/18 |
|
$ 999,840 |
| (Cost $999,930) |
| |
| TOTAL INVESTMENTS – 110.3% (Cost $706,565,389) |
|
$708,168,774 |
| |
| LIABILITIES IN EXCESS OF
OTHER ASSETS – (10.3)% |
|
(66,261,068) |
| |
| NET ASSETS – 100.0% |
|
$641,907,706 |
| |
|
|
|
|
| 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 may be deemed 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 $187,763,872, which represents approximately 29.3% of the Fund’s net assets as
of June 30, 2018. The liquidity determination is unaudited. |
|
|
| (b) |
|
Actual maturity date is September 20, 2117. |
|
|
| (c) |
|
Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
|
|
| (d) |
|
Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed
is that which is in effect on June 30, 2018. |
|
|
| (e) |
|
Guaranteed by a foreign government until maturity. Total market value of these securities amounts to $51,229,188, which representsapproximately 8.0% of the Fund’s net assets
as of June 30, 2018 |
|
|
| (f) |
|
Issued with a zero coupon. Income is recognized through the accretion of discount. |
|
|
| (g) |
|
Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect at June
30, 2018. |
|
|
| (h) |
|
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 $87,500,311, which represents approximately 13.6% of the Fund’s
net assets as of June 30, 2018. |
|
|
| (i) |
|
Represents an affiliated issuer. |
|
|
|
| |
| Currency Abbreviations: |
| ARS |
|
— Argentine Peso |
| AUD |
|
— Australian Dollar |
| BRL |
|
— Brazilian Real |
| CAD |
|
— Canadian Dollar |
| CHF |
|
— Swiss Franc |
| CLP |
|
— Chilean Peso |
| CNH |
|
— Chinese Yuan Renminbi Offshore |
| COP |
|
— Colombian Peso |
| CZK |
|
— Czech Koruna |
| DKK |
|
— Danish Krone |
| EUR |
|
— Euro |
| GBP |
|
— British Pound |
| HKD |
|
— Hong Kong Dollar |
| HUF |
|
— Hungarian Forint |
| IDR |
|
— Indonesian Rupiah |
| ILS |
|
— Israeli Shekel |
| INR |
|
— Indian Rupee |
| JPY |
|
— Japanese Yen |
| KRW |
|
— South Korean Won |
| MXN |
|
— Mexican Peso |
| NOK |
|
— Norwegian Krone |
| NZD |
|
— New Zealand Dollar |
| PLN |
|
— Polish Zloty |
| RUB |
|
— Russian Ruble |
| SEK |
|
— Swedish Krona |
| SGD |
|
— Singapore Dollar |
| THB |
|
— Thai Baht |
| TRY |
|
— Turkish Lira |
| TWD |
|
— Taiwan Dollar |
| USD |
|
— U.S. Dollar |
| ZAR |
|
— South African Rand |
|
| Investment Abbreviations: |
| AUDOR |
|
— Australian Dollar Offered Rate |
| BP |
|
— British Pound Offered Rate |
| CDOR |
|
— Canadian Dollar Offered Rate |
| CHFOR |
|
— Swiss Franc Offered Rate |
| CLO |
|
— Collateralized Loan Obligation |
| CPI |
|
— Consumer Price Index |
| EURO |
|
— Euro Offered Rate |
| FHLMC |
|
— Federal Home Loan Mortgage Corp. |
| FNMA |
|
— Federal National Mortgage Association |
| GMAC |
|
— General Motors Acceptance Corporation |
| GNMA |
|
— Government National Mortgage Association |
| JYOR |
|
— Japanese Yen Offered Rate |
| LIBOR |
|
— London Interbank Offered Rate |
| LLC |
|
— Limited Liability Company |
| LP |
|
— Limited Partnership |
| MTA |
|
— Monthly Treasury Average |
| NIBOR |
|
— Norwegian Interbank Offered Rate |
| NZDOR |
|
— New Zealand Dollar Offered Rate |
| PLC |
|
— Public Limited Company |
| REMIC |
|
— Real Estate Mortgage Investment Conduit |
| STIBOR |
|
— Stockholm Interbank Offered Rate |
| STRIPS |
|
— Separate Trading of Registered Interest and Principal of Securities |
| TIIE |
|
— La Tasa de Interbank Equilibrium Interest Rate |
| |
|
| For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com. |
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30,
2018, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED
GAIN
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Gain |
|
| |
|
| MS & Co. Int. PLC |
|
AUD |
|
|
1,733,548 |
|
|
NZD |
|
|
1,861,682 |
|
|
$ |
1,283,227 |
|
|
|
09/19/18 |
|
|
$ |
22,207 |
|
|
|
AUD |
|
|
589,161 |
|
|
USD |
|
|
435,204 |
|
|
|
436,116 |
|
|
|
09/19/18 |
|
|
|
911 |
|
|
|
BRL |
|
|
1,393,414 |
|
|
USD |
|
|
356,140 |
|
|
|
359,392 |
|
|
|
07/03/18 |
|
|
|
3,252 |
|
|
|
CAD |
|
|
173,938 |
|
|
EUR |
|
|
111,761 |
|
|
|
132,489 |
|
|
|
09/19/18 |
|
|
|
1,178 |
|
|
|
CAD |
|
|
855,152 |
|
|
USD |
|
|
647,939 |
|
|
|
651,370 |
|
|
|
09/19/18 |
|
|
|
3,431 |
|
|
|
CHF |
|
|
2,339,637 |
|
|
EUR |
|
|
2,016,761 |
|
|
|
2,379,099 |
|
|
|
09/19/18 |
|
|
|
9,549 |
|
|
|
CHF |
|
|
862,415 |
|
|
USD |
|
|
876,108 |
|
|
|
876,960 |
|
|
|
09/19/18 |
|
|
|
852 |
|
|
|
EUR |
|
|
755,226 |
|
|
AUD |
|
|
1,188,400 |
|
|
|
887,336 |
|
|
|
09/19/18 |
|
|
|
7,645 |
|
|
|
EUR |
|
|
1,126,253 |
|
|
CAD |
|
|
1,731,996 |
|
|
|
1,323,267 |
|
|
|
09/19/18 |
|
|
|
4,004 |
|
|
|
EUR |
|
|
754,179 |
|
|
CNH |
|
|
5,656,439 |
|
|
|
886,106 |
|
|
|
09/19/18 |
|
|
|
36,070 |
|
|
|
EUR |
|
|
372,182 |
|
|
CZK |
|
|
9,591,496 |
|
|
|
437,287 |
|
|
|
09/19/18 |
|
|
|
4,245 |
|
|
|
EUR |
|
|
3,372,692 |
|
|
GBP |
|
|
2,958,610 |
|
|
|
3,962,672 |
|
|
|
09/19/18 |
|
|
|
43,997 |
|
|
|
EUR |
|
|
375,031 |
|
|
HUF |
|
|
123,416,557 |
|
|
|
440,634 |
|
|
|
09/19/18 |
|
|
|
899 |
|
|
|
EUR |
|
|
376,125 |
|
|
JPY |
|
|
48,233,517 |
|
|
|
441,920 |
|
|
|
09/19/18 |
|
|
|
3,803 |
|
|
|
EUR |
|
|
1,455,164 |
|
|
NOK |
|
|
13,795,265 |
|
|
|
1,709,713 |
|
|
|
09/19/18 |
|
|
|
10,419 |
|
|
|
EUR |
|
|
3,007,154 |
|
|
NZD |
|
|
5,054,174 |
|
|
|
3,533,191 |
|
|
|
09/19/18 |
|
|
|
109,718 |
|
|
|
EUR |
|
|
1,048,807 |
|
|
PLN |
|
|
4,547,827 |
|
|
|
1,232,273 |
|
|
|
09/19/18 |
|
|
|
16,539 |
|
|
|
EUR |
|
|
5,032,760 |
|
|
SEK |
|
|
51,874,616 |
|
|
|
5,913,135 |
|
|
|
09/19/18 |
|
|
|
85,595 |
|
|
|
EUR |
|
|
7,732,576 |
|
|
USD |
|
|
9,047,787 |
|
|
|
9,072,013 |
|
|
|
08/31/18 |
|
|
|
24,226 |
|
|
|
EUR |
|
|
6,280,203 |
|
|
USD |
|
|
7,331,550 |
|
|
|
7,378,791 |
|
|
|
09/19/18 |
|
|
|
47,241 |
|
|
|
GBP |
|
|
129,977 |
|
|
AUD |
|
|
230,099 |
|
|
|
172,155 |
|
|
|
09/19/18 |
|
|
|
1,828 |
|
|
|
GBP |
|
|
381,214 |
|
|
USD |
|
|
503,130 |
|
|
|
504,136 |
|
|
|
08/14/18 |
|
|
|
1,007 |
|
|
|
HKD |
|
|
1,174,458 |
|
|
USD |
|
|
149,829 |
|
|
|
149,899 |
|
|
|
09/19/18 |
|
|
|
70 |
|
|
|
JPY |
|
|
48,155,725 |
|
|
EUR |
|
|
372,062 |
|
|
|
437,410 |
|
|
|
09/19/18 |
|
|
|
264 |
|
|
|
KRW |
|
|
1,949,097,487 |
|
|
USD |
|
|
1,743,956 |
|
|
|
1,751,125 |
|
|
|
07/26/18 |
|
|
|
7,169 |
|
|
|
KRW |
|
|
1,543,663,447 |
|
|
USD |
|
|
1,386,099 |
|
|
|
1,387,151 |
|
|
|
08/03/18 |
|
|
|
1,053 |
|
|
|
MXN |
|
|
28,239,001 |
|
|
USD |
|
|
1,346,626 |
|
|
|
1,404,006 |
|
|
|
09/19/18 |
|
|
|
57,380 |
|
|
|
NOK |
|
|
12,197,370 |
|
|
USD |
|
|
1,495,887 |
|
|
|
1,502,467 |
|
|
|
09/19/18 |
|
|
|
6,579 |
|
|
|
RUB |
|
|
6,797,665 |
|
|
USD |
|
|
106,761 |
|
|
|
107,701 |
|
|
|
08/15/18 |
|
|
|
940 |
|
|
|
RUB |
|
|
11,572,180 |
|
|
USD |
|
|
181,547 |
|
|
|
183,246 |
|
|
|
08/20/18 |
|
|
|
1,699 |
|
|
|
SGD |
|
|
1,366,620 |
|
|
USD |
|
|
1,002,273 |
|
|
|
1,004,763 |
|
|
|
09/19/18 |
|
|
|
2,489 |
|
|
|
TRY |
|
|
6,707,188 |
|
|
USD |
|
|
1,393,009 |
|
|
|
1,410,801 |
|
|
|
09/19/18 |
|
|
|
17,793 |
|
|
|
USD |
|
|
1,991,791 |
|
|
ARS |
|
|
54,594,985 |
|
|
|
1,881,094 |
|
|
|
07/03/18 |
|
|
|
110,697 |
|
|
|
USD |
|
|
409,450 |
|
|
ARS |
|
|
8,676,252 |
|
|
|
298,273 |
|
|
|
07/05/18 |
|
|
|
111,178 |
|
|
|
USD |
|
|
2,434,685 |
|
|
AUD |
|
|
3,233,979 |
|
|
|
2,393,640 |
|
|
|
08/10/18 |
|
|
|
41,044 |
|
|
|
USD |
|
|
1,742,145 |
|
|
AUD |
|
|
2,314,054 |
|
|
|
1,712,936 |
|
|
|
09/19/18 |
|
|
|
29,209 |
|
|
|
USD |
|
|
7,564,075 |
|
|
BRL |
|
|
28,407,324 |
|
|
|
7,326,870 |
|
|
|
07/03/18 |
|
|
|
237,207 |
|
|
|
USD |
|
|
883,423 |
|
|
BRL |
|
|
3,369,864 |
|
|
|
866,114 |
|
|
|
08/02/18 |
|
|
|
17,309 |
|
|
|
USD |
|
|
21,035,962 |
|
|
CAD |
|
|
27,074,608 |
|
|
|
20,611,799 |
|
|
|
08/17/18 |
|
|
|
424,163 |
|
|
|
USD |
|
|
4,219,420 |
|
|
CAD |
|
|
5,470,991 |
|
|
|
4,167,260 |
|
|
|
09/19/18 |
|
|
|
52,160 |
|
|
|
USD |
|
|
1,068,701 |
|
|
CLP |
|
|
676,594,363 |
|
|
|
1,035,529 |
|
|
|
07/05/18 |
|
|
|
33,172 |
|
|
|
USD |
|
|
1,057,450 |
|
|
CLP |
|
|
672,506,887 |
|
|
|
1,029,316 |
|
|
|
07/18/18 |
|
|
|
28,134 |
|
|
|
USD |
|
|
7,626,018 |
|
|
CNH |
|
|
49,377,466 |
|
|
|
7,420,328 |
|
|
|
09/19/18 |
|
|
|
205,692 |
|
|
|
USD |
|
|
493,273 |
|
|
CZK |
|
|
10,677,262 |
|
|
|
482,062 |
|
|
|
09/19/18 |
|
|
|
11,211 |
|
|
|
USD |
|
|
115,023,591 |
|
|
EUR |
|
|
97,066,466 |
|
|
|
113,880,321 |
|
|
|
08/31/18 |
|
|
|
1,143,271 |
|
|
|
USD |
|
|
707,315 |
|
|
EUR |
|
|
597,214 |
|
|
|
701,684 |
|
|
|
09/19/18 |
|
|
|
5,630 |
|
|
|
USD |
|
|
35,415,109 |
|
|
GBP |
|
|
26,470,272 |
|
|
|
35,005,607 |
|
|
|
08/14/18 |
|
|
|
409,503 |
|
|
|
USD |
|
|
1,091,889 |
|
|
GBP |
|
|
815,643 |
|
|
|
1,080,318 |
|
|
|
09/19/18 |
|
|
|
11,570 |
|
|
|
USD |
|
|
4,968,251 |
|
|
HKD |
|
|
38,709,404 |
|
|
|
4,940,587 |
|
|
|
09/19/18 |
|
|
|
27,664 |
|
|
|
USD |
|
|
2,638,734 |
|
|
IDR |
|
|
37,657,375,724 |
|
|
|
2,630,519 |
|
|
|
07/02/18 |
|
|
|
8,216 |
|
|
|
USD |
|
|
1,388,979 |
|
|
IDR |
|
|
19,517,938,244 |
|
|
|
1,365,915 |
|
|
|
07/10/18 |
|
|
|
23,065 |
|
|
|
USD |
|
|
170,592 |
|
|
IDR |
|
|
2,403,724,603 |
|
|
|
167,721 |
|
|
|
07/23/18 |
|
|
|
2,871 |
|
|
|
USD |
|
|
945,838 |
|
|
IDR |
|
|
13,303,917,282 |
|
|
|
927,444 |
|
|
|
07/27/18 |
|
|
|
18,394 |
|
|
|
USD |
|
|
694,247 |
|
|
ILS |
|
|
2,461,480 |
|
|
|
674,984 |
|
|
|
08/13/18 |
|
|
|
19,263 |
|
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Gain |
|
| |
|
| MS & Co. Int. PLC (Continued) |
|
USD |
|
|
2,637,000 |
|
|
|
INR |
|
|
|
178,739,571 |
|
|
$ |
2,607,053 |
|
|
|
07/11/18 |
|
|
$ |
29,947 |
|
|
|
USD |
|
|
1,283,439 |
|
|
|
INR |
|
|
|
87,594,316 |
|
|
|
1,276,141 |
|
|
|
07/19/18 |
|
|
|
7,299 |
|
|
|
USD |
|
|
21,898,329 |
|
|
|
JPY |
|
|
|
2,386,885,026 |
|
|
|
21,603,174 |
|
|
|
07/30/18 |
|
|
|
295,155 |
|
|
|
USD |
|
|
87,824,119 |
|
|
|
JPY |
|
|
|
9,617,944,188 |
|
|
|
87,100,614 |
|
|
|
08/08/18 |
|
|
|
723,505 |
|
|
|
USD |
|
|
2,616,230 |
|
|
|
JPY |
|
|
|
285,878,870 |
|
|
|
2,596,709 |
|
|
|
09/19/18 |
|
|
|
19,522 |
|
|
|
USD |
|
|
12,037,791 |
|
|
|
KRW |
|
|
|
12,874,418,000 |
|
|
|
11,564,579 |
|
|
|
07/18/18 |
|
|
|
473,213 |
|
|
|
USD |
|
|
793,818 |
|
|
|
KRW |
|
|
|
881,179,003 |
|
|
|
791,677 |
|
|
|
07/26/18 |
|
|
|
2,141 |
|
|
|
USD |
|
|
1,012,125 |
|
|
|
NOK |
|
|
|
8,179,524 |
|
|
|
1,007,551 |
|
|
|
09/19/18 |
|
|
|
4,575 |
|
|
|
USD |
|
|
4,355,472 |
|
|
|
NZD |
|
|
|
6,319,386 |
|
|
|
4,280,468 |
|
|
|
09/19/18 |
|
|
|
75,005 |
|
|
|
USD |
|
|
2,794,766 |
|
|
|
SEK |
|
|
|
24,806,314 |
|
|
|
2,783,692 |
|
|
|
09/05/18 |
|
|
|
11,074 |
|
|
|
USD |
|
|
440,087 |
|
|
|
SEK |
|
|
|
3,774,381 |
|
|
|
424,010 |
|
|
|
09/19/18 |
|
|
|
16,078 |
|
|
|
USD |
|
|
1,786,352 |
|
|
|
SGD |
|
|
|
2,380,153 |
|
|
|
1,749,931 |
|
|
|
09/19/18 |
|
|
|
36,421 |
|
|
|
USD |
|
|
437,908 |
|
|
|
THB |
|
|
|
14,377,163 |
|
|
|
434,474 |
|
|
|
08/14/18 |
|
|
|
3,434 |
|
|
|
USD |
|
|
3,933,157 |
|
|
|
THB |
|
|
|
125,613,224 |
|
|
|
3,799,879 |
|
|
|
09/14/18 |
|
|
|
133,278 |
|
|
|
USD |
|
|
443,890 |
|
|
|
TRY |
|
|
|
2,098,791 |
|
|
|
441,463 |
|
|
|
09/19/18 |
|
|
|
2,427 |
|
|
|
USD |
|
|
445,145 |
|
|
|
TWD |
|
|
|
13,213,064 |
|
|
|
434,119 |
|
|
|
07/09/18 |
|
|
|
11,026 |
|
|
|
USD |
|
|
3,326,830 |
|
|
|
TWD |
|
|
|
100,507,841 |
|
|
|
3,303,354 |
|
|
|
07/16/18 |
|
|
|
23,476 |
|
|
|
USD |
|
|
6,643,760 |
|
|
|
TWD |
|
|
|
199,653,951 |
|
|
|
6,565,512 |
|
|
|
07/27/18 |
|
|
|
78,248 |
|
|
|
USD |
|
|
3,092,450 |
|
|
|
ZAR |
|
|
|
38,884,158 |
|
|
|
2,820,397 |
|
|
|
08/08/18 |
|
|
|
272,053 |
|
|
|
USD |
|
|
1,397,702 |
|
|
|
ZAR |
|
|
|
19,167,303 |
|
|
|
1,382,728 |
|
|
|
09/19/18 |
|
|
|
14,974 |
|
|
|
ZAR |
|
|
6,047,183 |
|
|
|
USD |
|
|
|
436,019 |
|
|
|
436,243 |
|
|
|
09/19/18 |
|
|
|
224 |
|
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
5,737,750 |
|
| |
|
|
| FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS |
|
|
|
|
|
|
|
| Counterparty |
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Loss |
|
| |
|
| MS & Co. Int. PLC |
|
ARS |
|
|
54,594,985 |
|
|
|
USD |
|
|
|
2,580,713 |
|
|
|
1,881,094 |
|
|
|
07/03/18 |
|
|
$ |
(699,619 |
) |
|
|
ARS |
|
|
19,461,036 |
|
|
|
USD |
|
|
|
831,390 |
|
|
|
669,033 |
|
|
|
07/05/18 |
|
|
|
(162,358 |
) |
|
|
ARS |
|
|
10,839,508 |
|
|
|
USD |
|
|
|
420,952 |
|
|
|
370,560 |
|
|
|
07/10/18 |
|
|
|
(50,391 |
) |
|
|
ARS |
|
|
19,472,219 |
|
|
|
USD |
|
|
|
918,501 |
|
|
|
664,195 |
|
|
|
07/12/18 |
|
|
|
(254,305 |
) |
|
|
ARS |
|
|
17,159,077 |
|
|
|
USD |
|
|
|
806,632 |
|
|
|
580,765 |
|
|
|
07/19/18 |
|
|
|
(225,867 |
) |
|
|
ARS |
|
|
54,594,985 |
|
|
|
USD |
|
|
|
1,939,776 |
|
|
|
1,825,614 |
|
|
|
07/31/18 |
|
|
|
(114,162 |
) |
|
|
ARS |
|
|
30,955,386 |
|
|
|
USD |
|
|
|
1,121,649 |
|
|
|
1,025,070 |
|
|
|
08/10/18 |
|
|
|
(96,579 |
) |
|
|
ARS |
|
|
27,222,222 |
|
|
|
USD |
|
|
|
1,046,750 |
|
|
|
897,090 |
|
|
|
08/15/18 |
|
|
|
(149,658 |
) |
|
|
ARS |
|
|
34,899,393 |
|
|
|
USD |
|
|
|
1,311,761 |
|
|
|
1,147,868 |
|
|
|
08/17/18 |
|
|
|
(163,893 |
) |
|
|
AUD |
|
|
769,505 |
|
|
|
EUR |
|
|
|
486,778 |
|
|
|
569,612 |
|
|
|
09/19/18 |
|
|
|
(2,318 |
) |
|
|
AUD |
|
|
253,128 |
|
|
|
GBP |
|
|
|
141,560 |
|
|
|
187,374 |
|
|
|
09/19/18 |
|
|
|
(123 |
) |
|
|
AUD |
|
|
13,984,253 |
|
|
|
USD |
|
|
|
10,421,717 |
|
|
|
10,351,586 |
|
|
|
09/19/18 |
|
|
|
(70,128 |
) |
|
|
BRL |
|
|
27,013,911 |
|
|
|
USD |
|
|
|
7,150,555 |
|
|
|
6,967,479 |
|
|
|
07/03/18 |
|
|
|
(183,076 |
) |
|
|
BRL |
|
|
1,473,864 |
|
|
|
USD |
|
|
|
380,235 |
|
|
|
378,809 |
|
|
|
08/02/18 |
|
|
|
(1,426 |
) |
|
|
CAD |
|
|
2,336,692 |
|
|
|
USD |
|
|
|
1,811,308 |
|
|
|
1,778,915 |
|
|
|
08/17/18 |
|
|
|
(32,393 |
) |
|
|
CAD |
|
|
4,988,091 |
|
|
|
USD |
|
|
|
3,824,967 |
|
|
|
3,799,433 |
|
|
|
09/19/18 |
|
|
|
(25,535 |
) |
|
|
CLP |
|
|
676,594,363 |
|
|
|
USD |
|
|
|
1,066,547 |
|
|
|
1,035,528 |
|
|
|
07/05/18 |
|
|
|
(31,019 |
) |
|
|
CLP |
|
|
247,419,110 |
|
|
|
USD |
|
|
|
380,235 |
|
|
|
378,701 |
|
|
|
08/06/18 |
|
|
|
(1,534 |
) |
|
|
CNH |
|
|
5,747,623 |
|
|
|
EUR |
|
|
|
750,979 |
|
|
|
863,739 |
|
|
|
09/19/18 |
|
|
|
(18,607 |
) |
|
|
CNH |
|
|
12,016,272 |
|
|
|
USD |
|
|
|
1,819,210 |
|
|
|
1,805,776 |
|
|
|
09/19/18 |
|
|
|
(13,434 |
) |
|
|
COP |
|
|
402,239,262 |
|
|
|
USD |
|
|
|
137,478 |
|
|
|
137,088 |
|
|
|
07/23/18 |
|
|
|
(390 |
) |
|
|
COP |
|
|
1,810,970,620 |
|
|
|
USD |
|
|
|
618,634 |
|
|
|
617,125 |
|
|
|
07/26/18 |
|
|
|
(1,508 |
) |
|
|
COP |
|
|
6,881,122,148 |
|
|
|
USD |
|
|
|
2,348,666 |
|
|
|
2,342,061 |
|
|
|
08/22/18 |
|
|
|
(6,605 |
) |
|
|
EUR |
|
|
9,589,586 |
|
|
|
USD |
|
|
|
11,355,970 |
|
|
|
11,250,693 |
|
|
|
08/31/18 |
|
|
|
(105,275 |
) |
|
|
EUR |
|
|
2,604,516 |
|
|
|
USD |
|
|
|
3,079,325 |
|
|
|
3,060,120 |
|
|
|
09/19/18 |
|
|
|
(19,205 |
) |
|
|
GBP |
|
|
1,978,630 |
|
|
|
EUR |
|
|
|
2,243,452 |
|
|
|
2,620,692 |
|
|
|
09/19/18 |
|
|
|
(15,205 |
) |
|
|
GBP |
|
|
9,129,394 |
|
|
|
USD |
|
|
|
12,181,485 |
|
|
|
12,091,876 |
|
|
|
09/19/18 |
|
|
|
(89,610 |
) |
|
|
HKD |
|
|
37,534,946 |
|
|
|
USD |
|
|
|
4,800,033 |
|
|
|
4,790,687 |
|
|
|
09/19/18 |
|
|
|
(9,346 |
) |
|
|
HUF |
|
|
1,644,914,964 |
|
|
|
EUR |
|
|
|
5,092,300 |
|
|
|
5,860,863 |
|
|
|
09/19/18 |
|
|
|
(122,224 |
) |
|
|
IDR |
|
|
37,657,375,724 |
|
|
|
USD |
|
|
|
2,644,850 |
|
|
|
2,630,519 |
|
|
|
07/02/18 |
|
|
|
(14,332 |
) |
|
|
IDR |
|
|
65,179,461,888 |
|
|
|
USD |
|
|
|
4,604,695 |
|
|
|
4,543,795 |
|
|
|
07/27/18 |
|
|
|
(60,900 |
) |
|
|
IDR |
|
|
45,625,919,860 |
|
|
|
USD |
|
|
|
3,219,896 |
|
|
|
3,168,503 |
|
|
|
08/16/18 |
|
|
|
(51,392 |
) |
|
|
INR |
|
|
139,654,609 |
|
|
|
USD |
|
|
|
2,047,661 |
|
|
|
2,036,969 |
|
|
|
07/11/18 |
|
|
|
(10,692 |
) |
|
|
INR |
|
|
60,321,128 |
|
|
|
USD |
|
|
|
882,503 |
|
|
|
878,805 |
|
|
|
07/19/18 |
|
|
|
(3,699 |
) |
|
|
JPY |
|
|
713,058,854 |
|
|
|
USD |
|
|
|
6,520,910 |
|
|
|
6,457,499 |
|
|
|
08/08/18 |
|
|
|
(63,411 |
) |
|
|
JPY |
|
|
1,005,066,397 |
|
|
|
USD |
|
|
|
9,169,501 |
|
|
|
9,129,268 |
|
|
|
09/19/18 |
|
|
|
(40,235 |
) |
|
|
KRW |
|
|
1,949,097,487 |
|
|
|
USD |
|
|
|
1,778,273 |
|
|
|
1,750,428 |
|
|
|
07/09/18 |
|
|
|
(27,846 |
) |
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Loss |
|
| |
|
| MS & Co. Int. PLC (continued) |
|
MXN |
|
|
7,611,516 |
|
|
|
USD |
|
|
|
380,235 |
|
|
$ |
378,435 |
|
|
|
09/19/18 |
|
|
$ |
(1,801 |
) |
|
|
NOK |
|
|
19,754,994 |
|
|
|
EUR |
|
|
|
2,078,963 |
|
|
|
2,433,411 |
|
|
|
09/19/18 |
|
|
|
(9,223 |
) |
|
|
NOK |
|
|
3,552,623 |
|
|
|
USD |
|
|
|
437,876 |
|
|
|
437,611 |
|
|
|
09/19/18 |
|
|
|
(265 |
) |
|
|
NZD |
|
|
3,200,423 |
|
|
|
AUD |
|
|
|
2,949,058 |
|
|
|
2,167,823 |
|
|
|
09/19/18 |
|
|
|
(15,164 |
) |
|
|
NZD |
|
|
13,881,233 |
|
|
|
USD |
|
|
|
9,731,177 |
|
|
|
9,402,525 |
|
|
|
09/19/18 |
|
|
|
(328,653 |
) |
|
|
PLN |
|
|
15,377,760 |
|
|
|
EUR |
|
|
|
3,575,929 |
|
|
|
4,110,812 |
|
|
|
09/19/18 |
|
|
|
(90,649 |
) |
|
|
PLN |
|
|
9,557,593 |
|
|
|
USD |
|
|
|
2,637,705 |
|
|
|
2,554,954 |
|
|
|
09/19/18 |
|
|
|
(82,751 |
) |
|
|
RUB |
|
|
32,239,964 |
|
|
|
USD |
|
|
|
511,563 |
|
|
|
510,522 |
|
|
|
08/20/18 |
|
|
|
(1,041 |
) |
|
|
SEK |
|
|
218,476,150 |
|
|
|
EUR |
|
|
|
21,444,006 |
|
|
|
24,543,378 |
|
|
|
09/19/18 |
|
|
|
(651,798 |
) |
|
|
SEK |
|
|
3,849,880 |
|
|
|
USD |
|
|
|
435,972 |
|
|
|
432,491 |
|
|
|
09/19/18 |
|
|
|
(3,480 |
) |
|
|
SGD |
|
|
1,179,023 |
|
|
|
EUR |
|
|
|
744,017 |
|
|
|
866,839 |
|
|
|
09/19/18 |
|
|
|
(7,328 |
) |
|
|
SGD |
|
|
649,873 |
|
|
|
USD |
|
|
|
479,585 |
|
|
|
477,798 |
|
|
|
09/19/18 |
|
|
|
(1,786 |
) |
|
|
THB |
|
|
14,331,267 |
|
|
|
USD |
|
|
|
448,174 |
|
|
|
433,087 |
|
|
|
08/14/18 |
|
|
|
(15,087 |
) |
|
|
TWD |
|
|
13,225,350 |
|
|
|
USD |
|
|
|
446,802 |
|
|
|
434,523 |
|
|
|
07/09/18 |
|
|
|
(12,280 |
) |
|
|
TWD |
|
|
85,365,962 |
|
|
|
USD |
|
|
|
2,852,294 |
|
|
|
2,807,214 |
|
|
|
07/27/18 |
|
|
|
(45,081 |
) |
|
|
USD |
|
|
5,181,323 |
|
|
|
AUD |
|
|
|
7,042,321 |
|
|
|
5,212,949 |
|
|
|
09/19/18 |
|
|
|
(31,626 |
) |
|
|
USD |
|
|
2,935,281 |
|
|
|
CAD |
|
|
|
3,886,894 |
|
|
|
2,960,650 |
|
|
|
09/19/18 |
|
|
|
(25,371 |
) |
|
|
USD |
|
|
434,165 |
|
|
|
COP |
|
|
|
1,276,800,365 |
|
|
|
435,096 |
|
|
|
07/26/18 |
|
|
|
(931 |
) |
|
|
USD |
|
|
672,508 |
|
|
|
DKK |
|
|
|
4,279,000 |
|
|
|
673,245 |
|
|
|
08/17/18 |
|
|
|
(736 |
) |
|
|
USD |
|
|
4,117,147 |
|
|
|
EUR |
|
|
|
3,516,907 |
|
|
|
4,126,107 |
|
|
|
08/31/18 |
|
|
|
(8,958 |
) |
|
|
USD |
|
|
18,836,488 |
|
|
|
EUR |
|
|
|
16,108,408 |
|
|
|
18,926,228 |
|
|
|
09/19/18 |
|
|
|
(89,739 |
) |
|
|
USD |
|
|
1,353,810 |
|
|
|
GBP |
|
|
|
1,030,246 |
|
|
|
1,362,449 |
|
|
|
08/14/18 |
|
|
|
(8,638 |
) |
|
|
USD |
|
|
1,314,773 |
|
|
|
GBP |
|
|
|
995,641 |
|
|
|
1,318,726 |
|
|
|
09/19/18 |
|
|
|
(3,951 |
) |
|
|
USD |
|
|
436,067 |
|
|
|
INR |
|
|
|
29,988,301 |
|
|
|
436,892 |
|
|
|
07/19/18 |
|
|
|
(826 |
) |
|
|
USD |
|
|
1,743,332 |
|
|
|
KRW |
|
|
|
1,949,097,487 |
|
|
|
1,750,428 |
|
|
|
07/09/18 |
|
|
|
(7,096 |
) |
|
|
USD |
|
|
4,615,624 |
|
|
|
KRW |
|
|
|
5,155,456,892 |
|
|
|
4,631,810 |
|
|
|
07/26/18 |
|
|
|
(16,188 |
) |
|
|
USD |
|
|
894,228 |
|
|
|
KRW |
|
|
|
998,822,379 |
|
|
|
897,455 |
|
|
|
07/31/18 |
|
|
|
(3,227 |
) |
|
|
USD |
|
|
1,726,665 |
|
|
|
MXN |
|
|
|
35,786,000 |
|
|
|
1,784,856 |
|
|
|
08/28/18 |
|
|
|
(58,191 |
) |
|
|
USD |
|
|
2,412,455 |
|
|
|
MXN |
|
|
|
50,531,171 |
|
|
|
2,512,343 |
|
|
|
09/19/18 |
|
|
|
(99,888 |
) |
|
|
USD |
|
|
841,033 |
|
|
|
NZD |
|
|
|
1,244,861 |
|
|
|
843,213 |
|
|
|
09/19/18 |
|
|
|
(2,180 |
) |
|
|
USD |
|
|
1,771,596 |
|
|
|
RUB |
|
|
|
113,093,585 |
|
|
|
1,790,844 |
|
|
|
08/20/18 |
|
|
|
(19,248 |
) |
|
|
USD |
|
|
1,399,898 |
|
|
|
TRY |
|
|
|
6,846,041 |
|
|
|
1,440,007 |
|
|
|
09/19/18 |
|
|
|
(40,110 |
) |
|
|
USD |
|
|
435,927 |
|
|
|
TWD |
|
|
|
13,279,203 |
|
|
|
436,679 |
|
|
|
07/27/18 |
|
|
|
(753 |
) |
|
|
USD |
|
|
1,066,013 |
|
|
|
ZAR |
|
|
|
14,874,446 |
|
|
|
1,073,042 |
|
|
|
09/19/18 |
|
|
|
(7,029 |
) |
|
|
ZAR |
|
|
110,298,804 |
|
|
|
USD |
|
|
|
8,207,737 |
|
|
|
7,956,948 |
|
|
|
09/19/18 |
|
|
|
(250,789 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(4,880,162 |
) |
| |
|
FORWARD SALES CONTRACTS — At June 30, 2018, the Fund had the
following forward sales contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Interest
Rate |
|
|
|
|
Maturity
Date(a) |
|
|
|
Settlement
Date |
|
Principal
Amount |
|
|
Value |
|
| |
|
| GNMA (Proceeds Receivable: $(35,802,813)) |
|
|
4.000 |
% |
|
|
|
TBA-30yr |
|
|
|
07/19/18 |
|
$ |
(35,000,000) |
|
|
$ |
(35,864,063) |
|
| |
|
| (a) |
|
TBA (To Be Announced) Securities are purchased or 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. |
FUTURES
CONTRACTS — At June 30, 2018, the Fund had the following futures contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Number of
Contracts |
|
Expiration
Date |
|
Notional
Amount |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Long position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
| Australian 3 Year Government Bonds |
|
295 |
|
09/17/18 |
|
$ |
24,307,936 |
|
|
$ |
66,566 |
|
| Australian 10 Year Government Bonds |
|
41 |
|
09/17/18 |
|
|
3,925,098 |
|
|
|
58,188 |
|
| Euro Buxl 30 Year Bonds |
|
2 |
|
09/06/18 |
|
|
415,036 |
|
|
|
7,050 |
|
| French 10 Year Government Bonds |
|
30 |
|
09/06/18 |
|
|
5,414,155 |
|
|
|
55,306 |
|
| Italian 10 Year Government Bonds |
|
31 |
|
09/06/18 |
|
|
4,606,317 |
|
|
|
(35,340 |
) |
| Japan 10 Year Government Bond |
|
10 |
|
09/12/18 |
|
|
13,624,170 |
|
|
|
19,835 |
|
| Italian 10 Year Government Bonds |
|
29 |
|
09/06/18 |
|
|
3,747,972 |
|
|
|
6,097 |
|
| Ultra 10 Year U.S. Treasury Notes |
|
54 |
|
09/19/18 |
|
|
6,924,656 |
|
|
|
27,744 |
|
| Ultra Long U.S. Treasury Bonds |
|
115 |
|
09/19/18 |
|
|
18,349,688 |
|
|
|
204,218 |
|
| 2 Year U.S. Treasury Notes |
|
56 |
|
09/28/18 |
|
|
11,862,375 |
|
|
|
(13,220 |
) |
| 10 Year German Euro-Bund |
|
84 |
|
09/06/18 |
|
|
15,945,375 |
|
|
|
88,841 |
|
| 10 Year U.K. Long Gilt |
|
16 |
|
09/26/18 |
|
|
2,598,536 |
|
|
|
38,616 |
|
| 10 Year U.S Treasury Notes |
|
133 |
|
09/19/18 |
|
|
15,984,938 |
|
|
|
(5,046 |
) |
| |
|
| Total |
|
|
|
|
|
|
|
|
|
$ |
518,855 |
|
| |
|
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FUTURES CONTRACTS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Number of
Contracts |
|
|
Expiration
Date |
|
Notional
Amount |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Short position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Eurodollars |
|
|
(68) |
|
|
06/17/19 |
|
$ |
(16,514,650 |
) |
|
$ |
145,236 |
|
| Eurodollars |
|
|
(368) |
|
|
12/14/20 |
|
|
(89,258,400 |
) |
|
|
23,743 |
|
| 3 Month Euro Euribor |
|
|
(148) |
|
|
12/16/19 |
|
|
(43,264,772 |
) |
|
|
(10,999 |
) |
| 5 Year U.S Treasury Notes |
|
|
(126) |
|
|
09/28/18 |
|
|
(14,315,766 |
) |
|
|
(6,229 |
) |
| 20 Year U.S. Treasury Bonds |
|
|
(18) |
|
|
09/19/18 |
|
|
(2,610,000 |
) |
|
|
(21,409 |
) |
| |
|
| Total |
|
|
|
|
|
|
|
|
|
|
|
$ |
130,342 |
|
| |
|
| TOTAL FUTURES CONTRACTS |
|
|
|
|
|
|
|
|
|
|
|
$ |
649,197 |
|
| |
|
SWAP CONTRACTS — At June 30, 2018, the Fund had the following
swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Payments Made by
the Fund |
|
Payments Received by Fund (%) |
|
Termination
Date |
|
Notional
Amount
(000s) |
|
|
Market
Value |
|
|
Upfront
Premium
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| 3M STIBOR(a) |
|
0.330%(b) |
|
09/15/18 |
|
SEK |
|
|
191,800 |
|
|
$ |
(49,481 |
) |
|
$ |
301 |
|
|
$ |
(49,782 |
) |
| Mexico IB TIIE 28D(c) |
|
7.600 |
|
06/17/20 |
|
MXN |
|
|
35,250 |
|
|
|
(17,005 |
) |
|
|
(1,521 |
) |
|
|
(15,484 |
) |
| 6M EURO(a)
|
|
0.100(b) |
|
09/19/20 |
|
EUR |
|
|
25,820 |
(d) |
|
|
176,311 |
|
|
|
122,954 |
|
|
|
53,357 |
|
| 6M GBP(e)
|
|
1.000 |
|
09/19/20 |
|
GBP |
|
|
17,670 |
(d) |
|
|
(40,640 |
) |
|
|
(38,597 |
) |
|
|
(2,043 |
) |
| 3M NIBOR(a)
|
|
1.450(b) |
|
09/19/20 |
|
NOK |
|
|
97,030 |
(d) |
|
|
2,197 |
|
|
|
6,401 |
|
|
|
(4,204 |
) |
| 3M NIBOR(e)
|
|
1.600(b) |
|
09/19/20 |
|
|
|
|
88,350 |
(d) |
|
|
16,123 |
|
|
|
15,454 |
|
|
|
669 |
|
| 6M CDOR(e)
|
|
2.000 |
|
09/19/20 |
|
CAD |
|
|
14,790 |
(d) |
|
|
(76,525 |
) |
|
|
(85,650 |
) |
|
|
9,125 |
|
| 0.100%(b)
|
|
3M STIBOR(a) |
|
09/19/20 |
|
SEK |
|
|
346,690 |
(d) |
|
|
(145,473 |
) |
|
|
(91,860 |
) |
|
|
(53,613 |
) |
| 0.100(b)
|
|
6M EURO(e) |
|
10/15/20 |
|
EUR |
|
|
3,220 |
(d) |
|
|
(18,289 |
) |
|
|
(17,747 |
) |
|
|
(542 |
) |
| 3M LIBOR(a)
|
|
2.139(e) |
|
11/20/20 |
|
$ |
|
|
75,390 |
(d) |
|
|
(1,109,771 |
) |
|
|
(152,608 |
) |
|
|
(957,163 |
) |
| 6M EURO(e)
|
|
0.350(b) |
|
12/16/21 |
|
EUR |
|
|
46,900 |
(d) |
|
|
147,249 |
|
|
|
(628,353 |
) |
|
|
775,602 |
|
| 0.500(b)
|
|
3M STIBOR(a) |
|
12/16/21 |
|
SEK |
|
|
388,540 |
(d) |
|
|
(74,118 |
) |
|
|
(286,057 |
) |
|
|
211,939 |
|
| 6M CDOR(e)
|
|
2.028 |
|
07/18/22 |
|
CAD |
|
|
14,470 |
(d) |
|
|
(162,508 |
) |
|
|
(100,490 |
) |
|
|
(62,018 |
) |
| 0.500(b)
|
|
3M STIBOR(a) |
|
09/19/22 |
|
SEK |
|
|
143,390 |
(d) |
|
|
(121,741 |
) |
|
|
(32,291 |
) |
|
|
(89,450 |
) |
| 6M EURO(e)
|
|
0.750(b) |
|
06/15/23 |
|
EUR |
|
|
24,840 |
(d) |
|
|
185,551 |
|
|
|
(123,605 |
) |
|
|
309,156 |
|
| 6M EURO(e)
|
|
0.500(b) |
|
09/19/23 |
|
|
|
|
40,620 |
(d) |
|
|
437,891 |
|
|
|
122,890 |
|
|
|
315,001 |
|
| 3M LIBOR(a)
|
|
2.250(e) |
|
09/19/23 |
|
$ |
|
|
32,270 |
(d) |
|
|
(990,682 |
) |
|
|
(1,078,561 |
) |
|
|
87,879 |
|
| 2.750(e)
|
|
3M NZDOR(a) |
|
09/19/23 |
|
NZD |
|
|
7,690 |
(d) |
|
|
(41,667 |
) |
|
|
12,182 |
|
|
|
(53,849 |
) |
| 0.750(b)
|
|
3M STIBOR(a) |
|
09/19/23 |
|
SEK |
|
|
355,720 |
(d) |
|
|
(510,278 |
) |
|
|
(271,035 |
) |
|
|
(239,243 |
) |
| 2.250(e)
|
|
6M CDOR |
|
09/19/23 |
|
CAD |
|
|
1,050 |
(d) |
|
|
8,901 |
|
|
|
8,353 |
|
|
|
548 |
|
| 1.250(e)
|
|
6M GBP |
|
09/19/23 |
|
GBP |
|
|
23,890 |
(d) |
|
|
147,801 |
|
|
|
162,752 |
|
|
|
(14,951 |
) |
| 2.275(e)
|
|
3M LIBOR(b) |
|
11/20/23 |
|
$ |
|
|
32,600 |
(d) |
|
|
982,708 |
|
|
|
33,174 |
|
|
|
949,534 |
|
| 6M GBP(e)
|
|
1.200 |
|
11/21/23 |
|
GBP |
|
|
13,130 |
(d) |
|
|
(146,016 |
) |
|
|
(845,557 |
) |
|
|
699,541 |
|
| 2.882(e)
|
|
3M LIBOR(a) |
|
02/28/25 |
|
$ |
|
|
14,400 |
|
|
|
5,596 |
|
|
|
26,813 |
|
|
|
(21,217 |
) |
| 6M EURO(e)
|
|
0.750(b) |
|
09/19/25 |
|
EUR |
|
|
4,190 |
(d) |
|
|
56,393 |
|
|
|
14,904 |
|
|
|
41,489 |
|
| 1.250(e)
|
|
6M GBP |
|
09/19/25 |
|
GBP |
|
|
1,540 |
(d) |
|
|
26,510 |
|
|
|
25,161 |
|
|
|
1,349 |
|
| 2.000(b)
|
|
3M STIBOR(a) |
|
11/02/27 |
|
SEK |
|
|
49,820 |
(d) |
|
|
(67,311 |
) |
|
|
2,522 |
|
|
|
(69,833 |
) |
| 3M LIBOR(a)
|
|
2.750(e) |
|
12/21/27 |
|
$ |
|
|
10,950 |
(d) |
|
|
(98,240 |
) |
|
|
(154,797 |
) |
|
|
56,557 |
|
| 2.250(b)
|
|
3M STIBOR(a) |
|
12/21/27 |
|
SEK |
|
|
52,920 |
(d) |
|
|
(133,522 |
) |
|
|
(108,559 |
) |
|
|
(24,963 |
) |
| 3.500(e)
|
|
6M AUDOR |
|
12/21/27 |
|
AUD |
|
|
4,750 |
(d) |
|
|
(52,433 |
) |
|
|
(144,438 |
) |
|
|
92,005 |
|
| 6M CHFOR(e)
|
|
1.000(b) |
|
06/21/28 |
|
CHF |
|
|
3,170 |
(d) |
|
|
12,310 |
|
|
|
(15,971 |
) |
|
|
28,281 |
|
| 4.000(e)
|
|
3M NZDOR(a) |
|
06/21/28 |
|
NZD |
|
|
4,140 |
(d) |
|
|
(49,317 |
) |
|
|
475 |
|
|
|
(49,792 |
) |
| 1.500(b)
|
|
6M EURO(e) |
|
06/21/28 |
|
EUR |
|
|
2,970 |
(d) |
|
|
(386 |
) |
|
|
23,866 |
|
|
|
(24,252 |
) |
| 6M CHFOR(e)
|
|
0.500(b) |
|
09/19/28 |
|
CHF |
|
|
1,320 |
(d) |
|
|
9,043 |
|
|
|
2,622 |
|
|
|
6,421 |
|
| 6M EURO(e)
|
|
1.000(b) |
|
09/19/28 |
|
EUR |
|
|
3,500 |
(d) |
|
|
33,942 |
|
|
|
(13,288 |
) |
|
|
47,230 |
|
| 6M GBP(e)
|
|
1.500 |
|
09/19/28 |
|
GBP |
|
|
1,930 |
(d) |
|
|
(11,994 |
) |
|
|
(19,717 |
) |
|
|
7,723 |
|
| 6M CDOR(e)
|
|
2.250 |
|
09/19/28 |
|
CAD |
|
|
6,600 |
(d) |
|
|
(148,656 |
) |
|
|
(208,756 |
) |
|
|
60,100 |
|
| 6M AUDOR(e)
|
|
2.750 |
|
09/19/28 |
|
AUD |
|
|
5,200 |
(d) |
|
|
(31,799 |
) |
|
|
(90,915 |
) |
|
|
59,116 |
|
| 2.500(e) |
|
3M LIBOR(a) |
|
09/19/28 |
|
$ |
|
|
530 |
(d) |
|
|
20,662 |
|
|
|
26,153 |
|
|
|
(5,491 |
) |
| 3.250(e)
|
|
3M NZDOR(a) |
|
09/19/28 |
|
NZD |
|
|
5,700 |
(d) |
|
|
(66,561 |
) |
|
|
2,016 |
|
|
|
(68,577 |
) |
| 1.250(b)
|
|
3M STIBOR(a) |
|
09/19/28 |
|
SEK |
|
|
29,530 |
(d) |
|
|
(23,140 |
) |
|
|
33,889 |
|
|
|
(57,029 |
) |
| 1.400(e)
|
|
6M GBP |
|
11/21/28 |
|
GBP |
|
|
7,890 |
(d) |
|
|
164,093 |
|
|
|
(498,739 |
) |
|
|
662,832 |
|
| 1.500(e)
|
|
6M GBP |
|
09/19/33 |
|
|
|
|
1,460 |
(d) |
|
|
35,534 |
|
|
|
35,326 |
|
|
|
208 |
|
| 3M LIBOR(a)
|
|
2.750(e) |
|
06/16/37 |
|
$ |
|
|
2,250 |
(d) |
|
|
(43,363 |
) |
|
|
(60,048 |
) |
|
|
16,685 |
|
| 1.750(e)
|
|
6M GBP |
|
12/14/37 |
|
GBP |
|
|
9,850 |
(d) |
|
|
47,754 |
|
|
|
18,789 |
|
|
|
28,965 |
|
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Payments Made by
the Fund |
|
Payments Received by Fund (%) |
|
Termination
Date |
|
|
Notional
Amount
(000s) |
|
|
Market
Value |
|
|
Upfront
Premium
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| 1.250%(e) |
|
6M JYOR |
|
|
06/14/38 |
|
|
JPY |
|
|
74,940 |
(d) |
|
$ |
(12,572 |
) |
|
$ |
(5,644 |
) |
|
$ |
(6,928 |
) |
| 1.500(b) |
|
6M EURO(e) |
|
|
09/19/38 |
|
|
EUR |
|
|
4,830 |
(d) |
|
|
(94,280 |
) |
|
|
(28,431 |
) |
|
|
(65,849 |
) |
| 3M LIBOR(a) |
|
2.500%(e) |
|
|
06/17/47 |
|
|
$ |
|
|
1,580 |
(d) |
|
|
(30,836 |
) |
|
|
(41,449 |
) |
|
|
10,613 |
|
| 3M LIBOR(a) |
|
3.000(e) |
|
|
06/15/48 |
|
|
|
|
|
18,830 |
(d) |
|
|
140,549 |
|
|
|
2,149 |
|
|
|
138,400 |
|
| 1.500(e) |
|
6M JYOR |
|
|
06/16/48 |
|
|
JPY |
|
|
75,900 |
(d) |
|
|
(16,068 |
) |
|
|
(15,556 |
) |
|
|
(512 |
) |
| 2.540(e) |
|
6M CDOR |
|
|
07/18/48 |
|
|
CAD |
|
|
2,440 |
(d) |
|
|
33,522 |
|
|
|
39,776 |
|
|
|
(6,254 |
) |
| 6M GBP(e) |
|
1.500 |
|
|
09/19/48 |
|
|
GBP |
|
|
560 |
(d) |
|
|
(23,373 |
) |
|
|
(23,831 |
) |
|
|
458 |
|
| 1.500(b) |
|
6M EURO(e) |
|
|
09/19/48 |
|
|
EUR |
|
|
1,820 |
(d) |
|
|
(18,880 |
) |
|
|
30,241 |
|
|
|
(49,121 |
) |
| 1.000(e) |
|
6M JYOR |
|
|
09/19/48 |
|
|
JPY |
|
|
450,270 |
(d) |
|
|
(174,284 |
) |
|
|
(139,099 |
) |
|
|
(35,185 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,910,569 |
) |
|
$ |
(4,554,007 |
) |
|
$ |
2,643,438 |
|
| |
|
| (a) |
|
Payments made quarterly. |
| (b) |
|
Payments made annually. |
| (c) |
|
Payments made monthly. |
| (d) |
|
Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2018.
|
| (e) |
|
Payments made semi-annually. |
OVER THE
COUNTER CREDIT DEFAULT SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference
Obligation/Index |
|
Financing Rate
Paid by
the Fund(a) |
|
Credit
Spread at
June 30,
2018(b) |
|
Counterparty |
|
Termination
Date |
|
Notional
Amount
(000s) |
|
|
Value |
|
|
Upfront
Premiums
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Protection Purchased: |
|
|
|
|
|
|
|
|
|
|
|
|
|
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000)% |
|
0.490% |
|
Barclays Bank PLC |
|
12/20/21 |
|
$ |
460 |
|
|
$ |
(7,929 |
) |
|
$ |
(1,272 |
) |
|
$ |
(6,657 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000) |
|
0.357 |
|
Citibank NA |
|
12/20/20 |
|
|
13,280 |
|
|
|
(210,023 |
) |
|
|
49,789 |
|
|
|
(259,812 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000) |
|
0.414 |
|
Deutsche Bank Securities, Inc. |
|
06/20/21 |
|
|
100 |
|
|
|
(1,713 |
) |
|
|
(14 |
) |
|
|
(1,699 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000) |
|
0.623 |
|
JPMorgan Securities, Inc. |
|
12/20/22 |
|
|
9,110 |
|
|
|
(146,539 |
) |
|
|
(186,718 |
) |
|
|
40,179 |
|
| |
|
| TOTAL |
|
|
|
|
|
|
|
$ |
(366,204 |
) |
|
$ |
(138,215 |
) |
|
$ |
(227,989 |
) |
| |
|
| (a) |
|
Payments made quarterly. |
| (b) |
|
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 or its counterparty 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. |
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Referenced
Obligation/Index |
|
Financing Rate
Received/(Paid) by
the Fund(a) |
|
|
Credit Spread
at June 30,
2018(b) |
|
|
Termination
Date |
|
Notional
Amount
(000s) |
|
|
Value |
|
|
Upfront
Premiums
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Protection Sold: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| iTraxx Europe Series 29 |
|
|
1.000% |
|
|
|
7.35% |
|
|
06/20/23 |
|
|
EUR |
|
|
|
3,480 |
|
|
$ |
66,624 |
|
|
$ |
49,034 |
|
|
$ |
17,590 |
|
| CDX.NA.IG Index 30 |
|
|
1.000 |
|
|
|
0.676 |
|
|
06/20/23 |
|
|
$ |
|
|
|
21,125 |
|
|
|
323,039 |
|
|
|
364,248 |
|
|
|
(41,209 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
389,663 |
|
|
$ |
413,282 |
|
|
$ |
(23,619 |
) |
| |
|
| (a) |
|
Payments made quarterly. |
| (b) |
|
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 or its counterparty 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. |
GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At June 30, 2018, the Fund had the following purchased and written options:
OVER-THE-COUNTER INTEREST RATE SWAPTIONS
|
|
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|
|
|
|
| Description |
|
Counterparty |
|
Exercise
Price |
|
|
Expiration
Date |
|
|
Number of
Contracts |
|
|
Notional
Amount |
|
|
Market
Value |
|
|
Premiums Paid
(Received)
by Portfolio |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Purchased option contracts |
|
| Calls |
|
| 2Y IRS |
|
MS & Co. Int. PLC |
|
|
2.450 |
% |
|
|
04/27/20 |
|
|
|
13,200,000 |
|
|
$ |
13,200,000 |
|
|
$ |
47,683 |
|
|
$ |
37,714 |
|
|
$ |
9,969 |
|
| 2Y IRS |
|
MS & Co. Int. PLC |
|
|
2.450 |
|
|
|
05/01/20 |
|
|
|
11,400,000 |
|
|
|
11,400,000 |
|
|
|
41,611 |
|
|
|
33,407 |
|
|
|
8,204 |
|
| 2Y IRS |
|
Citibank NA |
|
|
2.250 |
|
|
|
03/30/20 |
|
|
|
13,200,000 |
|
|
|
13,200,000 |
|
|
|
34,413 |
|
|
|
45,692 |
|
|
|
(11,279 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
37,800,000 |
|
|
$ |
37,800,000 |
|
|
$ |
123,707 |
|
|
$ |
116,813 |
|
|
$ |
6,894 |
|
| |
|
| Puts |
|
| 1Y IRS |
|
Citibank NA |
|
|
2.450 |
|
|
|
01/23/19 |
|
|
|
7,200,000 |
|
|
|
7,200,000 |
|
|
|
25,867 |
|
|
|
80,800 |
|
|
|
(54,933 |
) |
| 1Y IRS |
|
Citibank NA |
|
|
2.400 |
|
|
|
01/25/19 |
|
|
|
4,500,000 |
|
|
|
4,500,000 |
|
|
|
14,100 |
|
|
|
46,000 |
|
|
|
(31,900 |
) |
| 1Y IRS |
|
Citibank NA |
|
|
2.750 |
|
|
|
02/12/19 |
|
|
|
2,300,000 |
|
|
|
2,300,000 |
|
|
|
22,663 |
|
|
|
39,100 |
|
|
|
(16,437 |
) |
| 1Y IRS |
|
Citibank NA |
|
|
2.750 |
|
|
|
02/13/19 |
|
|
|
4,300,000 |
|
|
|
4,300,000 |
|
|
|
42,603 |
|
|
|
75,250 |
|
|
|
(32,647 |
) |
| 1Y IRS |
|
JPMorgan Securities, Inc. |
|
|
2.750 |
|
|
|
03/06/19 |
|
|
|
4,300,000 |
|
|
|
4,300,000 |
|
|
|
45,636 |
|
|
|
71,667 |
|
|
|
(26,031 |
) |
| 2Y IRS |
|
Citibank NA |
|
|
2.450 |
|
|
|
03/26/20 |
|
|
|
9,600,000 |
|
|
|
9,600,000 |
|
|
|
32,722 |
|
|
|
38,505 |
|
|
|
(5,783 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,200,000 |
|
|
$ |
32,200,000 |
|
|
$ |
183,591 |
|
|
$ |
351,322 |
|
|
$ |
(167,731 |
) |
| |
|
| Total Purchased option contracts |
|
|
|
70,000,000 |
|
|
$ |
70,000,000 |
|
|
$ |
307,298 |
|
|
$ |
468,135 |
|
|
$ |
(160,837 |
) |
| |
|
| Written option contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Calls |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2Y IRS |
|
Citibank NA |
|
|
2.338 |
% |
|
|
03/30/20 |
|
|
|
(2,900,000 |
) |
|
$ |
(2,900,000 |
) |
|
$ |
(33,162 |
) |
|
$ |
(45,675 |
) |
|
$ |
12,513 |
|
| 2Y IRS |
|
MS & Co. Int. PLC. |
|
|
2.495 |
|
|
|
04/27/20 |
|
|
|
(2,900,000 |
) |
|
|
(2,900,000 |
) |
|
|
(44,440 |
) |
|
|
(37,700 |
) |
|
|
(6,740 |
) |
| 2Y IRS |
|
MS & Co. Int. PLC |
|
|
2.493 |
|
|
|
05/01/20 |
|
|
|
(2,500,000 |
) |
|
|
(2,500,000 |
) |
|
|
(38,404 |
) |
|
|
(33,333 |
) |
|
|
(5,071 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(8,300,000 |
) |
|
$ |
(8,300,000 |
) |
|
$ |
(116,006 |
) |
|
$ |
(116,708 |
) |
|
$ |
702 |
|
| |
|
| Puts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 1Y IRS |
|
Citibank NA |
|
|
2.503 |
|
|
|
01/23/19 |
|
|
|
(3,200,000 |
) |
|
|
(3,200,000 |
) |
|
|
(30,089 |
) |
|
|
(80,800 |
) |
|
|
50,711 |
|
| 1Y IRS |
|
Citibank NA |
|
|
2.449 |
|
|
|
01/25/19 |
|
|
|
(2,000,000 |
) |
|
|
(2,000,000 |
) |
|
|
(16,070 |
) |
|
|
(46,000 |
) |
|
|
29,930 |
|
| 1Y IRS |
|
Citibank NA |
|
|
2.790 |
|
|
|
02/12/19 |
|
|
|
(1,000,000 |
) |
|
|
(1,000,000 |
) |
|
|
(25,627 |
) |
|
|
(38,250 |
) |
|
|
12,623 |
|
| 1Y IRS |
|
Citibank NA |
|
|
2.799 |
|
|
|
02/13/19 |
|
|
|
(1,900,000 |
) |
|
|
(1,900,000 |
) |
|
|
(50,202 |
) |
|
|
(74,813 |
) |
|
|
24,611 |
|
| 1Y IRS |
|
JPMorgan Securities, Inc. |
|
|
2.793 |
|
|
|
03/06/19 |
|
|
|
(1,900,000 |
) |
|
|
(1,900,000 |
) |
|
|
(52,486 |
) |
|
|
(71,250 |
) |
|
|
18,764 |
|
| 2Y IRS |
|
Citibank NA |
|
|
2.530 |
|
|
|
03/26/20 |
|
|
|
(2,100,000 |
) |
|
|
(2,100,000 |
) |
|
|
(32,460 |
) |
|
|
(38,324 |
) |
|
|
5,864 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(12,100,000 |
) |
|
$ |
(12,100,000 |
) |
|
$ |
(206,934 |
) |
|
$ |
(349,437 |
) |
|
$ |
142,503 |
|
| |
|
| Total Written option contracts |
|
|
|
|
|
|
|
|
|
|
(20,400,000 |
) |
|
$ |
(20,400,000 |
) |
|
$ |
(322,940 |
) |
|
$ |
(466,145 |
) |
|
$ |
143,205 |
|
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
49,600,000 |
|
|
$ |
49,600,000 |
|
|
$ |
(15,642 |
) |
|
$ |
1,990 |
|
|
$ |
(17,632 |
) |
| |
|
|
|
|
| |
| Abbreviations: |
|
|
| 1Y IRS |
|
— 1 Year Interest Rate Swaptions. |
| 2Y IRS |
|
— 2 Year Interest Rate Swaptions. |
| CDX.NA.IG Index 30 |
|
— CDX North America Investment Grade
Index 30. |
| Mexico IB TIIE 28D |
|
— Mexico Interbank TIIE 28 Days. |
| MS & Co. Int. PLC |
|
— Morgan Stanley & Co. International PLC. |
| |
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Bank Loans(a) – 1.7% |
| Environmental(b) –
0.1% |
| EnergySolutions LLC(3M LIBOR + 3.750%) |
| $ |
|
|
5,425,000 |
|
|
|
6.084 |
% |
|
05/09/25 |
|
$ 5,431,781 |
| |
| Food & Beverages(b)(c) –
0.3% |
| Shearer’s Foods, Inc.(1M LIBOR + 6.750%) |
|
|
|
14,295,736 |
|
|
|
8.844 |
|
|
06/30/22 |
|
13,473,731 |
| |
| Media - Broadcasting & Radio(b) –
0.2% |
| Getty Images, Inc.(1M LIBOR + 3.500%) |
|
|
|
9,180,667 |
|
|
|
5.594 |
|
|
10/18/19 |
|
8,851,724 |
| |
| Noncaptive - Financial(b) –
0.4% |
| Avolon TLB Borrower 1 (Luxembourg) S.a.r.l.(1M LIBOR + 2.000%) |
|
|
|
14,675,035 |
|
|
|
4.088 |
|
|
01/15/25 |
|
14,485,434 |
| |
| Semiconductors(b) –
0.0% |
| Microchip Technology, Inc.(1M LIBOR + 2.000%) |
|
|
|
1,850,000 |
|
|
|
4.100 |
|
|
05/29/25 |
|
1,846,152 |
| |
| Technology - Software/Services – 0.5% |
| Ion Trading Technologies S.A.R.L. |
|
|
|
3,550,000 |
|
|
|
|
|
|
|
|
3,514,500 |
| MA FinanceCo. LLC(b)(1M LIBOR +
2.750%) |
|
|
|
984,217 |
|
|
|
4.844 |
|
|
06/21/24 |
|
978,686 |
| Seattle SpinCo, Inc.(b)(1M LIBOR
+ 2.750%) |
|
|
|
6,646,658 |
|
|
|
4.844 |
|
|
06/21/24 |
|
6,609,304 |
| SS&C Technologies Holdings Europe
S.a.r.l.(b)(1M LIBOR + 2.500%) |
|
|
|
2,443,236 |
|
|
|
4.594 |
|
|
04/16/25 |
|
2,441,868 |
| SS&C Technologies, Inc.(b)(1M
LIBOR + 2.500%) |
|
|
|
6,458,238 |
|
|
|
4.594 |
|
|
04/16/25 |
|
6,454,621 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,998,979 |
| |
| Telecommunications - Satellites(b) –
0.2% |
| Windstream Corp.(1M LIBOR + 4.000%) |
|
|
|
6,401,274 |
|
|
|
6.090 |
|
|
03/29/21 |
|
6,067,511 |
| |
TOTAL BANK LOANS
(Cost $70,872,189) |
|
$ 70,155,312 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Obligations – 11.6% |
| Banks(d) – 0.8% |
| CIT Group, Inc. |
| $ |
|
|
5,950,000 |
|
|
|
4.125 |
% |
|
03/09/21 |
|
$ 5,920,250 |
| Popular, Inc. |
|
|
|
13,218,000 |
|
|
|
7.000 |
|
|
07/01/19 |
|
13,445,111 |
| SMFG Preferred Capital USD 3
Ltd.(b)(6M USD LIBOR + 5.890%) |
|
|
|
13,157,000 |
|
|
|
9.500 |
|
|
07/25/49 |
|
13,195,945 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,561,306 |
| |
| Chemicals – 0.4% |
| CNAC HK Finbridge Co. Ltd. |
|
|
|
3,040,000 |
|
|
|
4.125 |
|
|
07/19/27 |
|
2,800,600 |
|
|
|
14,740,000 |
|
|
|
5.125 |
|
|
03/14/28 |
|
14,537,325 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,337,925 |
| |
| Computers(d) –
0.2% |
| Western Digital Corp. |
|
|
|
6,475,000 |
|
|
|
4.750 |
|
|
02/15/26 |
|
6,296,938 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Diversified Financial Services – 0.3% |
| Huarong Finance 2017 Co. Ltd. |
| $ |
|
|
2,410,000 |
|
|
|
4.750 |
% |
|
04/27/27 |
|
$ 2,318,878 |
| Huarong Finance II Co. Ltd. |
|
|
|
2,090,000 |
|
|
|
5.500 |
|
|
01/16/25 |
|
2,137,824 |
|
|
|
1,190,000 |
|
|
|
5.000 |
|
|
11/19/25 |
|
1,181,075 |
| Nationstar Mortgage LLC/Nationstar Capital Corp.(d) |
|
|
|
6,450,000 |
|
|
|
6.500 |
|
|
08/01/18 |
|
6,458,063 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,095,840 |
| |
| Electrical(d)(e) –
0.1% |
| Calpine Corp. |
|
|
|
4,325,000 |
|
|
|
5.875 |
|
|
01/15/24 |
|
4,292,563 |
| |
| Healthcare Providers & Services – 0.3% |
| HCA, Inc. |
|
|
|
7,050,000 |
|
|
|
3.750 |
|
|
03/15/19 |
|
7,076,437 |
|
|
|
2,975,000 |
|
|
|
6.500 |
|
|
02/15/20 |
|
3,088,422 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,164,859 |
| |
| Insurance(d) –
0.1% |
| AXA SA(b)(3M USD LIBOR +
1.449%) |
|
|
|
3,250,000 |
|
|
|
6.463 |
|
|
12/14/49 |
|
3,176,875 |
| Wand Merger
Corp.(e) |
|
|
|
1,600,000 |
|
|
|
8.125 |
|
|
07/15/23 |
|
1,622,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,798,875 |
| |
| Iron/Steel – 0.1% |
| ABJA Investment Co. Pte Ltd. |
|
|
|
560,000 |
|
|
|
5.950 |
|
|
07/31/24 |
|
537,600 |
|
|
|
4,689,000 |
|
|
|
5.450 |
|
|
01/24/28 |
|
3,973,928 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,511,528 |
| |
| Lodging – 0.1% |
| MGM Resorts International |
|
|
|
5,000,000 |
|
|
|
8.625 |
|
|
02/01/19 |
|
5,137,500 |
| |
| Media – 0.4% |
| Altice Financing
SA(d)(e) |
|
|
|
8,500,000 |
|
|
|
6.625 |
|
|
02/15/23 |
|
8,351,250 |
| Cablevision Systems Corp. |
|
|
|
1,850,000 |
|
|
|
8.000 |
|
|
04/15/20 |
|
1,933,250 |
| DISH DBS Corp. |
|
|
|
1,200,000 |
|
|
|
7.875 |
|
|
09/01/19 |
|
1,245,000 |
|
|
|
4,400,000 |
|
|
|
5.875 |
|
|
07/15/22 |
|
4,114,000 |
| Meredith
Corp.(d)(e) |
|
|
|
2,000,000 |
|
|
|
6.875 |
|
|
02/01/26 |
|
1,970,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,613,500 |
| |
| Mining(d)(e) –
0.2% |
| First Quantum Minerals Ltd. |
|
|
|
5,950,000 |
|
|
|
7.250 |
|
|
04/01/23 |
|
5,950,000 |
| |
| Oil Field Services – 1.9% |
| Carrizo Oil & Gas,
Inc.(d) |
|
|
|
4,182,000 |
|
|
|
7.500 |
|
|
09/15/20 |
|
4,202,910 |
| Laredo Petroleum,
Inc.(d) |
|
|
|
4,050,000 |
|
|
|
5.625 |
|
|
01/15/22 |
|
3,989,250 |
| |
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Oil Field Services – (continued) |
| Petroleos de Venezuela
SA(f) |
| $ |
|
|
223,560,000 |
|
|
|
6.000 |
% |
|
10/28/22 |
|
$ 41,358,600 |
|
|
|
11,610,000 |
|
|
|
5.375 |
|
|
04/12/27 |
|
2,620,196 |
| Petroleos Mexicanos |
| EUR |
|
|
7,630,000 |
|
|
|
5.125 |
|
|
03/15/23 |
|
9,767,932 |
| Reliance Industries Ltd. |
| $ |
|
|
280,000 |
|
|
|
4.125 |
|
|
01/28/25 |
|
272,313 |
|
|
|
11,260,000 |
|
|
|
3.667 |
(e) |
|
11/30/27 |
|
10,345,125 |
| Whiting Petroleum Corp. |
|
|
|
2,950,000 |
|
|
|
1.250 |
|
|
04/01/20 |
|
2,815,571 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
75,371,897 |
| |
| Packaging(d) –
0.2% |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.(e) |
|
|
|
4,275,000 |
|
|
|
6.000 |
|
|
02/15/25 |
|
4,146,750 |
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu |
|
|
|
5,087,815 |
|
|
|
5.750 |
|
|
10/15/20 |
|
5,087,815 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,234,565 |
| |
| Pharmaceuticals(d)(e) –
1.0% |
| Bayer US Finance II LLC |
|
|
|
16,575,000 |
|
|
|
3.875 |
|
|
12/15/23 |
|
16,575,695 |
|
|
|
15,425,000 |
|
|
|
4.375 |
|
|
12/15/28 |
|
15,454,335 |
| Valeant Pharmaceuticals International, Inc. |
|
|
|
5,900,000 |
|
|
|
6.500 |
|
|
03/15/22 |
|
6,106,500 |
|
|
|
1,675,000 |
|
|
|
7.000 |
|
|
03/15/24 |
|
1,754,563 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
39,891,093 |
| |
| Pipelines(d) –
1.3% |
| DCP Midstream Operating LP |
|
|
|
6,200,000 |
|
|
|
2.700 |
|
|
04/01/19 |
|
6,138,000 |
| Enterprise Products Operating
LLC(b)(3M USD LIBOR + 3.708%) |
|
|
|
29,675,000 |
|
|
|
6.066 |
|
|
08/01/66 |
|
29,749,187 |
| Plains All American Pipeline LP/PAA Finance Corp. |
|
|
|
7,725,000 |
|
|
|
3.600 |
|
|
11/01/24 |
|
7,315,936 |
| Targa Resources Partners LP/Targa Resources Partners Finance Corp. |
|
|
|
10,850,000 |
|
|
|
4.125 |
|
|
11/15/19 |
|
10,850,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
54,053,123 |
| |
| Real Estate Investment Trust – 0.6% |
| China Evergrande
Group(d) |
|
|
|
11,680,000 |
|
|
|
8.750 |
|
|
06/28/25 |
|
10,268,005 |
| Corporacion Geo
SA(c) |
|
|
|
492,130 |
|
|
|
8.000 |
|
|
04/13/21 |
|
— |
| istar, Inc.(d) |
|
|
|
2,350,000 |
|
|
|
5.000 |
|
|
07/01/19 |
|
2,344,125 |
| Kaisa Group Holdings
Ltd.(d) |
|
|
|
4,810,000 |
|
|
|
8.500 |
|
|
06/30/22 |
|
3,854,013 |
|
|
|
6,930,000 |
|
|
|
9.375 |
|
|
06/30/24 |
|
5,275,462 |
| Trust
F/1401(d)(e) |
|
|
|
4,470,000 |
|
|
|
5.250 |
|
|
12/15/24 |
|
4,386,187 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,127,792 |
| |
| Semiconductors(e) –
0.1% |
| NXP BV/NXP Funding LLC |
|
|
|
3,750,000 |
|
|
|
4.125 |
|
|
06/01/21 |
|
3,740,625 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Software(d)(e) –
0.4% |
| Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. |
| $ |
|
|
7,000,000 |
|
|
|
5.750 |
% |
|
03/01/25 |
|
$ 6,580,000 |
| CURO Financial Technologies Corp. |
|
|
|
6,975,000 |
|
|
|
12.000 |
|
|
03/01/22 |
|
7,567,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,147,875 |
| |
| Telecommunication Services – 3.1% |
| America Movil SAB de CV |
| MXN |
|
|
256,740,000 |
|
|
|
6.000 |
|
|
06/09/19 |
|
12,586,630 |
| Digicel Group
Ltd.(d)(e) |
| $ |
|
|
8,150,000 |
|
|
|
8.250 |
|
|
09/30/20 |
|
5,990,250 |
| Frontier Communications Corp. |
|
|
|
16,107,000 |
|
|
|
8.125 |
|
|
10/01/18 |
|
16,147,267 |
|
|
|
2,475,000 |
|
|
|
8.500 |
(d)(e) |
|
04/01/26 |
|
2,388,375 |
| Intelsat Jackson Holdings
SA(d) |
|
|
|
1,600,000 |
|
|
|
7.250 |
|
|
10/15/20 |
|
1,586,000 |
|
|
|
9,850,000 |
|
|
|
7.500 |
|
|
04/01/21 |
|
9,776,125 |
| Nokia OYJ |
|
|
|
3,500,000 |
|
|
|
3.375 |
|
|
06/12/22 |
|
3,408,125 |
| Sprint Communications, Inc. |
|
|
|
7,700,000 |
|
|
|
9.000 |
(e) |
|
11/15/18 |
|
7,854,000 |
|
|
|
11,000,000 |
|
|
|
7.000 |
|
|
08/15/20 |
|
11,385,000 |
| Sprint Corp. |
|
|
|
13,500,000 |
|
|
|
7.125 |
|
|
06/15/24 |
|
13,567,500 |
| Telecom Italia Capital SA |
|
|
|
5,550,000 |
|
|
|
6.375 |
|
|
11/15/33 |
|
5,445,938 |
|
|
|
5,600,000 |
|
|
|
7.200 |
|
|
07/18/36 |
|
5,768,000 |
|
|
|
7,450,000 |
|
|
|
7.721 |
|
|
06/04/38 |
|
8,064,625 |
| Wind Tre
SpA(d)(e) |
|
|
|
11,335,000 |
|
|
|
5.000 |
|
|
01/20/26 |
|
8,926,313 |
| Windstream Services LLC/Windstream Finance Corp.(d)(e) |
|
|
|
13,537,000 |
|
|
|
8.625 |
|
|
10/31/25 |
|
12,826,307 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
125,720,455 |
| |
TOTAL CORPORATE OBLIGATIONS
(Cost $517,819,965) |
|
$ 469,048,259 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Mortgage-Backed Obligations – 15.0% |
| Collateralized Mortgage Obligations – 12.6% |
| Interest Only(g) –
3.6% |
| FHLMC REMIC Series 3753, Class
SK(b)(-1x1M LIBOR + 6.050%) |
| $ |
|
|
11,044,172 |
|
|
|
4.131 |
% |
|
11/15/38 |
|
$ 727,248 |
| FHLMC REMIC Series 3852, Class
SW(b)(-1x1M LIBOR + 6.000%) |
|
|
|
4,404,316 |
|
|
|
4.081 |
|
|
05/15/41 |
|
598,745 |
| FHLMC REMIC Series 4273, Class
PS(b)(-1x1M LIBOR + 6.100%) |
|
|
|
34,170,199 |
|
|
|
4.027 |
|
|
11/15/43 |
|
4,727,809 |
| FHLMC REMIC Series 4320, Class
SD(b)(-1x1M LIBOR + 6.100%) |
|
|
|
10,761,468 |
|
|
|
4.181 |
|
|
07/15/39 |
|
1,378,662 |
| FHLMC REMIC Series 4431, Class
ST(b)(-1x1M LIBOR + 6.100%) |
|
|
|
16,488,445 |
|
|
|
4.181 |
|
|
01/15/45 |
|
2,471,214 |
| FHLMC REMIC Series 4468, Class
SY(b)(-1x1M LIBOR + 6.100%) |
|
|
|
12,598,973 |
|
|
|
4.181 |
|
|
05/15/45 |
|
1,865,388 |
| FHLMC STRIPS Series 304, Class C45 |
|
|
|
26,333,670 |
|
|
|
3.000 |
|
|
12/15/27 |
|
2,272,035 |
| FNMA REMIC Series 2011-100, Class
S(b)(-1x1M LIBOR + 6.450%) |
|
|
|
11,122,673 |
|
|
|
4.490 |
|
|
10/25/41 |
|
1,600,335 |
| |
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| Interest Only(g) –
(continued) |
| FNMA REMIC Series 2012-88, Class
SB(b)(-1x1M LIBOR + 6.670%) |
| $ |
|
|
9,350,950 |
|
|
|
4.710 |
% |
|
07/25/42 |
|
$ 1,603,650 |
| FNMA REMIC Series 2013-121, Class
SA(b)(-1x1M LIBOR + 6.100%) |
|
|
|
18,255,450 |
|
|
|
4.140 |
|
|
12/25/43 |
|
2,365,771 |
| FNMA REMIC Series 2013-130, Class
SN(b)(-1x1M LIBOR + 6.650%) |
|
|
|
21,355,900 |
|
|
|
4.690 |
|
|
10/25/42 |
|
3,224,704 |
| FNMA REMIC Series 2014-19, Class
MS(b)(-1x1M LIBOR + 6.600%) |
|
|
|
18,365,011 |
|
|
|
4.640 |
|
|
11/25/39 |
|
1,287,150 |
| FNMA REMIC Series 2014-87, Class
MS(b)(-1x1M LIBOR + 6.250%) |
|
|
|
13,795,379 |
|
|
|
4.290 |
|
|
01/25/45 |
|
1,860,391 |
| FNMA REMIC Series 2015-20, Class
ES(b)(-1x1M LIBOR + 6.150%) |
|
|
|
42,557,949 |
|
|
|
4.190 |
|
|
04/25/45 |
|
6,536,633 |
| FNMA REMIC Series 2015-22, Class
DS(b)(-1x1M LIBOR + 6.200%) |
|
|
|
10,150,380 |
|
|
|
4.109 |
|
|
04/25/45 |
|
1,587,497 |
| FNMA REMIC Series 2015-24, Class
SG(b)(-1x1M LIBOR + 5.600%) |
|
|
|
17,416,138 |
|
|
|
3.640 |
|
|
04/25/45 |
|
2,310,562 |
| FNMA REMIC Series 2015-34, Class
LS(b)(-1x1M LIBOR + 6.100%) |
|
|
|
27,819,705 |
|
|
|
4.009 |
|
|
06/25/45 |
|
4,199,062 |
| FNMA REMIC Series 2015-79, Class
SA(b)(-1x1M LIBOR + 6.250%) |
|
|
|
26,414,765 |
|
|
|
4.290 |
|
|
11/25/45 |
|
3,564,353 |
| FNMA REMIC Series 2015-79, Class
SE(b)(-1x1M LIBOR + 6.250%) |
|
|
|
10,624,060 |
|
|
|
4.290 |
|
|
11/25/45 |
|
1,464,622 |
| FNMA REMIC Series 2015-86, Class
BS(b)(-1x1M LIBOR + 5.700%) |
|
|
|
20,657,873 |
|
|
|
3.740 |
|
|
11/25/45 |
|
2,335,856 |
| GNMA REMIC Series 2010-1, Class
SD(b)(-1x1M LIBOR + 5.790%) |
|
|
|
6,456,989 |
|
|
|
3.842 |
|
|
01/20/40 |
|
849,279 |
| GNMA REMIC Series 2010-162, Class
SE(b)(-1x1M LIBOR + 6.550%) |
|
|
|
11,543,891 |
|
|
|
4.602 |
|
|
12/20/40 |
|
901,249 |
| GNMA REMIC Series 2010-20, Class
SC(b)(-1x1M LIBOR + 6.150%) |
|
|
|
9,136,646 |
|
|
|
4.202 |
|
|
02/20/40 |
|
1,337,322 |
| GNMA REMIC Series 2010-20, Class
SD(b)(-1x1M LIBOR + 5.680%) |
|
|
|
8,300,410 |
|
|
|
3.732 |
|
|
02/20/40 |
|
1,046,115 |
| GNMA REMIC Series 2010-31, Class
SA(b)(-1x1M LIBOR + 5.750%) |
|
|
|
302,352 |
|
|
|
3.802 |
|
|
03/20/40 |
|
38,683 |
| GNMA REMIC Series 2010-35, Class
DS(b)(-1x1M LIBOR + 5.680%) |
|
|
|
9,970,543 |
|
|
|
3.732 |
|
|
03/20/40 |
|
1,259,422 |
| GNMA REMIC Series 2010-37, Class
SG(b)(-1x1M LIBOR + 5.700%) |
|
|
|
20,664,208 |
|
|
|
3.752 |
|
|
03/20/40 |
|
2,623,999 |
| GNMA REMIC Series 2010-58, Class
AI(b)(-1x1M LIBOR + 5.770%) |
|
|
|
3,269,853 |
|
|
|
3.822 |
|
|
05/20/40 |
|
415,853 |
| GNMA REMIC Series 2010-59, Class
SA(b)(-1x1M LIBOR + 6.500%) |
|
|
|
5,779,221 |
|
|
|
4.552 |
|
|
05/20/40 |
|
921,093 |
| GNMA REMIC Series 2010-85, Class
SN(b)(-1x1M LIBOR + 5.940%) |
|
|
|
12,232,096 |
|
|
|
3.992 |
|
|
07/20/40 |
|
1,836,796 |
| GNMA REMIC Series 2010-9, Class
XD(b)(-1x1M LIBOR + 6.600%) |
|
|
|
20,701,983 |
|
|
|
4.666 |
|
|
01/16/40 |
|
3,294,197 |
| GNMA REMIC Series 2010-9, Class
YD(b)(-1x1M LIBOR + 6.800%) |
|
|
|
27,728,270 |
|
|
|
4.866 |
|
|
01/16/40 |
|
4,698,694 |
| GNMA REMIC Series 2010-90, Class
ES(b)(-1x1M LIBOR + 5.950%) |
|
|
|
19,443,787 |
|
|
|
4.002 |
|
|
07/20/40 |
|
2,627,729 |
| GNMA REMIC Series 2011-50, Class
PS(b)(-1x1M LIBOR + 6.100%) |
|
|
|
22,793,272 |
|
|
|
4.152 |
|
|
02/20/41 |
|
3,069,784 |
| GNMA REMIC Series 2012-149, Class
MS(b)(-1x1M LIBOR + 6.250%) |
|
|
|
5,041,597 |
|
|
|
4.166 |
|
|
12/20/42 |
|
730,173 |
| GNMA REMIC Series 2013-103, Class
DS(b)(-1x1M LIBOR + 6.150%) |
|
|
|
12,279,412 |
|
|
|
4.066 |
|
|
07/20/43 |
|
1,779,526 |
| GNMA REMIC Series 2013-111, Class
SA(b)(-1x1M LIBOR + 6.700%) |
|
|
|
13,106,983 |
|
|
|
4.752 |
|
|
07/20/43 |
|
2,185,340 |
| GNMA REMIC Series 2013-117, Class
PS(b)(-1x1M LIBOR + 6.150%) |
|
|
|
17,237,901 |
|
|
|
4.202 |
|
|
04/20/43 |
|
2,173,997 |
| GNMA REMIC Series 2013-134, Class
DS(b)(-1x1M LIBOR + 6.100%) |
|
|
|
106,590 |
|
|
|
4.016 |
|
|
09/20/43 |
|
15,117 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| Interest Only(g) –
(continued) |
| GNMA REMIC Series 2013-152, Class
SJ(b)(-1x1M LIBOR + 6.150%) |
| $ |
|
|
19,148,795 |
|
|
|
4.066 |
% |
|
05/20/41 |
|
$ 2,739,398 |
| GNMA REMIC Series 2013-152, Class
TS(b)(-1x1M LIBOR + 6.100%) |
|
|
|
323,688 |
|
|
|
4.016 |
|
|
06/20/43 |
|
45,364 |
| GNMA REMIC Series 2013-167, Class
SG(b)(-1x1M LIBOR + 6.150%) |
|
|
|
15,719,241 |
|
|
|
4.202 |
|
|
11/20/43 |
|
2,219,767 |
| GNMA REMIC Series 2013-182, Class PI |
|
|
|
11,804,516 |
|
|
|
4.500 |
|
|
12/20/43 |
|
2,513,988 |
| GNMA REMIC Series 2014-11, Class NI |
|
|
|
9,286,703 |
|
|
|
4.500 |
|
|
12/16/42 |
|
1,272,368 |
| GNMA REMIC Series 2014-132, Class
SL(b)(-1x1M LIBOR + 6.100%) |
|
|
|
21,640,776 |
|
|
|
4.016 |
|
|
10/20/43 |
|
2,840,666 |
| GNMA REMIC Series 2014-133, Class
BS(b)(-1x1M LIBOR + 5.600%) |
|
|
|
9,831,339 |
|
|
|
3.652 |
|
|
09/20/44 |
|
1,171,484 |
| GNMA REMIC Series 2014-180, Class PI |
|
|
|
11,441,322 |
|
|
|
4.000 |
|
|
08/20/44 |
|
2,079,502 |
| GNMA REMIC Series 2014-3, Class
TS(b)(-1x1M LIBOR + 5.550%) |
|
|
|
7,570,304 |
|
|
|
3.602 |
|
|
01/20/44 |
|
903,628 |
| GNMA REMIC Series 2014-41, Class
SA(b)(-1x1M LIBOR + 6.100%) |
|
|
|
22,772,115 |
|
|
|
4.016 |
|
|
03/20/44 |
|
3,348,368 |
| GNMA REMIC Series 2014-5, Class
SA(b)(-1x1M LIBOR + 5.550%) |
|
|
|
11,839,695 |
|
|
|
3.466 |
|
|
01/20/44 |
|
1,456,736 |
| GNMA REMIC Series 2014-56, Class
ST(b)(-1x1M LIBOR + 6.100%) |
|
|
|
16,709,777 |
|
|
|
4.166 |
|
|
12/16/39 |
|
2,278,228 |
| GNMA REMIC Series 2014-76, Class
SA(b)(-1x1M LIBOR + 5.600%) |
|
|
|
25,664,281 |
|
|
|
3.652 |
|
|
01/20/40 |
|
3,185,943 |
| GNMA REMIC Series 2015-110, Class
MS(b)(-1x1M LIBOR + 5.710%) |
|
|
|
15,287,597 |
|
|
|
3.626 |
|
|
08/20/45 |
|
1,981,779 |
| GNMA REMIC Series 2015-111, Class IW |
|
|
|
13,009,053 |
|
|
|
4.000 |
|
|
06/20/45 |
|
2,115,648 |
| GNMA REMIC Series 2015-111, Class
SM(b)(-1x1M LIBOR + 6.200%) |
|
|
|
13,178,323 |
|
|
|
4.116 |
|
|
08/20/45 |
|
1,918,925 |
| GNMA REMIC Series 2015-112, Class
SB(b)(-1x1M LIBOR + 5.740%) |
|
|
|
25,441,469 |
|
|
|
3.656 |
|
|
08/20/45 |
|
3,239,414 |
| GNMA REMIC Series 2015-123, Class
SE(b)(-1x1M LIBOR + 5.720%) |
|
|
|
15,695,504 |
|
|
|
3.636 |
|
|
09/20/45 |
|
1,961,122 |
| GNMA REMIC Series 2015-126, Class
HS(b)(-1x1M LIBOR + 6.200%) |
|
|
|
27,648,739 |
|
|
|
4.116 |
|
|
09/20/45 |
|
4,031,678 |
| GNMA REMIC Series 2015-126, Class
LS(b)(-1x1M LIBOR + 6.200%) |
|
|
|
8,581,014 |
|
|
|
4.116 |
|
|
09/20/45 |
|
1,249,500 |
| GNMA REMIC Series 2015-129, Class IC |
|
|
|
4,240,901 |
|
|
|
4.500 |
|
|
09/16/45 |
|
866,008 |
| GNMA REMIC Series 2015-133, Class
SA(b)(-1x1M LIBOR + 5.700%) |
|
|
|
4,878,955 |
|
|
|
3.752 |
|
|
09/20/45 |
|
600,789 |
| GNMA REMIC Series 2015-133, Class
SB(b)(-1x1M LIBOR + 5.700%) |
|
|
|
6,882,367 |
|
|
|
3.752 |
|
|
09/20/45 |
|
868,559 |
| GNMA REMIC Series 2015-144, Class
QS(b)(-1x1M LIBOR + 5.700%) |
|
|
|
13,708,269 |
|
|
|
3.752 |
|
|
10/20/45 |
|
1,445,958 |
| GNMA REMIC Series 2015-167, Class
SA(b)(-1x1M LIBOR + 6.250%) |
|
|
|
15,542,924 |
|
|
|
4.166 |
|
|
11/20/45 |
|
2,375,632 |
| GNMA REMIC Series 2015-168, Class
SD(b)(-1x1M LIBOR + 6.200%) |
|
|
|
24,159,077 |
|
|
|
4.116 |
|
|
11/20/45 |
|
3,595,156 |
| GNMA REMIC Series 2015-95, Class GI |
|
|
|
38,289,582 |
|
|
|
4.500 |
|
|
07/16/45 |
|
8,412,669 |
| GNMA REMIC Series 2016-6, Class
S(b)(-1x1M LIBOR + 5.650%) |
|
|
|
17,541,996 |
|
|
|
3.702 |
|
|
01/20/46 |
|
2,158,837 |
| GNMA REMIC Series 2016-6, Class
SB(b)(-1x1M LIBOR + 5.650%) |
|
|
|
36,046,645 |
|
|
|
3.702 |
|
|
01/20/46 |
|
4,438,128 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
147,101,297 |
| |
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
|
Value |
|
| Mortgage-Backed Obligations – (continued) |
|
| Regular Floater(b) –
0.2% |
|
| FHLMC REMIC Series 3231, Class FB(1M LIBOR + 0.350%) |
|
| $ |
|
|
442,677 |
|
|
|
2.269 |
% |
|
|
10/15/36 |
|
|
|
$ 444,171 |
|
| FHLMC REMIC Series 3314, Class FC(1M LIBOR + 0.400%) |
|
|
|
|
266,717 |
|
|
|
2.473 |
|
|
|
12/15/36 |
|
|
|
268,054 |
|
| FHLMC REMIC Series 3371, Class FA(1M LIBOR + 0.600%) |
|
|
|
|
372,479 |
|
|
|
2.519 |
|
|
|
09/15/37 |
|
|
|
376,646 |
|
| FHLMC REMIC Series 3545, Class FA(1M LIBOR + 0.850%) |
|
|
|
|
298,967 |
|
|
|
2.769 |
|
|
|
06/15/39 |
|
|
|
302,814 |
|
| FHLMC REMIC Series 3827, Class KF(1M LIBOR + 0.370%) |
|
|
|
|
695,829 |
|
|
|
2.289 |
|
|
|
03/15/41 |
|
|
|
698,425 |
|
| FNMA REMIC Series 2006-45, Class TF(1M LIBOR + 0.400%) |
|
|
|
|
834,718 |
|
|
|
2.360 |
|
|
|
06/25/36 |
|
|
|
839,169 |
|
| FNMA REMIC Series 2006-76, Class QF(1M LIBOR + 0.400%) |
|
|
|
|
882,263 |
|
|
|
2.360 |
|
|
|
08/25/36 |
|
|
|
886,934 |
|
| FNMA REMIC Series 2006-79, Class PF(1M LIBOR + 0.400%) |
|
|
|
|
936,826 |
|
|
|
2.360 |
|
|
|
08/25/36 |
|
|
|
939,949 |
|
| FNMA REMIC Series 2007-33, Class HF(1M LIBOR + 0.350%) |
|
|
|
|
1,149,336 |
|
|
|
2.310 |
|
|
|
04/25/37 |
|
|
|
1,152,614 |
|
| FNMA REMIC Series 2007-75, Class VF(1M LIBOR + 0.450%) |
|
|
|
|
326,151 |
|
|
|
2.410 |
|
|
|
08/25/37 |
|
|
|
328,371 |
|
| FNMA REMIC Series 2009-84, Class WF(1M LIBOR + 1.100%) |
|
|
|
|
122,221 |
|
|
|
3.060 |
|
|
|
10/25/39 |
|
|
|
124,542 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,361,689 |
|
| |
|
| Sequential Fixed Rate – 0.4% |
|
| Banc of America Funding Trust Series 2007-8, Class 2A1 |
|
|
|
|
1,478,318 |
|
|
|
7.000 |
|
|
|
10/25/37 |
|
|
|
1,130,396 |
|
| BCAP LLC Trust Series 2007-AA2, Class 2A7 |
|
|
|
|
1,405,464 |
|
|
|
6.000 |
|
|
|
04/25/37 |
|
|
|
1,148,343 |
|
| Citicorp Mortgage Securities, Inc. Series 2007-4, Class 2A1 |
|
|
|
|
60,017 |
|
|
|
5.500 |
|
|
|
05/25/22 |
|
|
|
59,405 |
|
| Countrywide Alternative Loan Trust Series 2005-77T1, Class 1A2 |
|
|
|
|
1,715,311 |
|
|
|
6.000 |
|
|
|
02/25/36 |
|
|
|
1,387,237 |
|
| Countrywide Home Loans Mortgage Pass-Through Trust Series 2007-1, Class A4 |
|
|
|
|
991,627 |
|
|
|
6.000 |
|
|
|
03/25/37 |
|
|
|
851,134 |
|
| Countrywide Home Mortgage Loan Pass-Through Trust Series 2007-10, Class A5 |
|
|
|
|
1,470,076 |
|
|
|
6.000 |
|
|
|
07/25/37 |
|
|
|
1,241,330 |
|
| Countrywide Home Mortgage Pass-Through Trust Series 2007-10, Class A22 |
|
|
|
|
2,763,012 |
|
|
|
6.000 |
|
|
|
07/25/37 |
|
|
|
2,333,084 |
|
| Morgan Stanley Mortgage Loan Trust Series 2005-4, Class 1A |
|
|
|
|
254,804 |
|
|
|
5.000 |
|
|
|
08/25/35 |
|
|
|
252,377 |
|
| Residential Accredit Loans, Inc. Series 2006-QS2, Class 1A9 |
|
|
|
|
520,131 |
|
|
|
5.500 |
|
|
|
02/25/36 |
|
|
|
473,837 |
|
| Residential Accredit Loans, Inc. Series 2006-QS6, Class 1A13 |
|
|
|
|
805,387 |
|
|
|
6.000 |
|
|
|
06/25/36 |
|
|
|
733,206 |
|
| Residential Accredit Loans, Inc. Series 2006-QS9, Class 1A11 |
|
|
|
|
1,528,147 |
|
|
|
6.500 |
|
|
|
07/25/36 |
|
|
|
1,344,485 |
|
| Residential Asset Securitization Trust Series 2006-A8, Class 1A1 |
|
|
|
|
1,221,994 |
|
|
|
6.000 |
|
|
|
08/25/36 |
|
|
|
1,117,438 |
|
| Residential Funding Mortgage Securities I Series 2007-S9, Class 1A1 |
|
|
|
|
3,931,191 |
|
|
|
6.000 |
|
|
|
10/25/37 |
|
|
|
3,290,319 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,362,591 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
|
Value |
|
| Mortgage-Backed Obligations – (continued) |
|
| Sequential Floating Rate(b) –
8.4% |
|
| American Home Mortgage Assets Trust Series 2006-2, Class 2A1(1M USD LIBOR + 0.190%) |
|
| $ |
|
|
7,445,771 |
|
|
|
2.150 |
% |
|
|
09/25/46 |
|
|
|
$ 7,016,966 |
|
| American Home Mortgage Investment Trust Series 2007-2, Class 11A1(1M USD LIBOR + 0.230%) |
|
|
|
|
4,078,526 |
|
|
|
2.420 |
|
|
|
03/25/47 |
|
|
|
2,690,092 |
|
| Banc of America Funding Trust Series 2006-H, Class 6A1(1M USD LIBOR + 0.190%) |
|
|
|
|
17,468,330 |
|
|
|
2.138 |
|
|
|
10/20/36 |
|
|
|
15,380,271 |
|
| Banc of America Funding Trust Series 2007-2, Class 2A1 |
|
|
|
|
54,312 |
|
|
|
4.668 |
|
|
|
03/25/37 |
|
|
|
54,241 |
|
| Bear Stearns Mortgage Funding Trust Series 2007-AR4, Class 1A1(1M USD LIBOR + 0.200%) |
|
|
|
|
3,356,304 |
|
|
|
2.160 |
|
|
|
09/25/47 |
|
|
|
3,252,594 |
|
| Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-4A, Class A1(e)(1M LIBOR + 0.200%) |
|
|
|
|
4,447,465 |
|
|
|
2.160 |
|
|
|
10/25/36 |
|
|
|
4,269,972 |
|
| Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-1A, Class A1(e)(1M USD LIBOR + 0.150%) |
|
|
|
|
20,711,736 |
|
|
|
2.110 |
|
|
|
12/25/46 |
|
|
|
19,894,907 |
|
| Citigroup Mortgage Loan Trust Series 2006-AR6, Class 2A2(1M USD LIBOR + 0.160%) |
|
|
|
|
5,851,399 |
|
|
|
2.120 |
|
|
|
09/25/36 |
|
|
|
5,595,809 |
|
| Countrywide Alternative Loan Trust Series 2005-26CB, Class A1(1M USD LIBOR + 0.500%) |
|
|
|
|
621,616 |
|
|
|
2.460 |
|
|
|
07/25/35 |
|
|
|
533,189 |
|
| Countrywide Alternative Loan Trust Series 2005-36, Class 2A1A(1M USD LIBOR + 0.310%) |
|
|
|
|
5,137,250 |
|
|
|
2.270 |
|
|
|
08/25/35 |
|
|
|
4,547,114 |
|
| Countrywide Alternative Loan Trust Series 2005-64CB, Class 1A12(1M USD LIBOR + 0.800%) |
|
|
|
|
828,159 |
|
|
|
2.760 |
|
|
|
12/25/35 |
|
|
|
765,182 |
|
| Countrywide Alternative Loan Trust Series 2005-9CB, Class 1A5(1M USD LIBOR + 0.500%) |
|
|
|
|
645,940 |
|
|
|
2.460 |
|
|
|
05/25/35 |
|
|
|
584,221 |
|
| Countrywide Alternative Loan Trust Series 2006-0C8, Class 2A2B(1M USD LIBOR + 0.170%) |
|
|
|
|
1,491,503 |
|
|
|
2.130 |
|
|
|
11/25/36 |
|
|
|
1,481,288 |
|
| Countrywide Alternative Loan Trust Series 2006-OA1, Class 2A1(1M USD LIBOR + 0.210%) |
|
|
|
|
257,847 |
|
|
|
2.158 |
|
|
|
03/20/46 |
|
|
|
233,523 |
|
| Countrywide Alternative Loan Trust Series 2007-16CB, Class 4A3(1M USD LIBOR + 0.500%) |
|
|
|
|
4,067,274 |
|
|
|
2.460 |
|
|
|
08/25/37 |
|
|
|
3,510,039 |
|
| Countrywide Alternative Loan Trust Series 2007-19, Class 1A11(1M USD LIBOR + 0.500%) |
|
|
|
|
9,234,479 |
|
|
|
2.460 |
|
|
|
08/25/37 |
|
|
|
5,784,223 |
|
| Credit Suisse European Mortgage Capital Ltd. Series 2015-1HWA,
Class A(c)(e)(3M EURIBOR + 2.750%) |
|
| EUR |
|
|
13,675,406 |
|
|
|
2.750 |
|
|
|
04/20/20 |
|
|
|
15,922,229 |
|
| Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA5, Class A1A(1M LIBOR + 0.200%) |
|
| $ |
|
|
2,733,326 |
|
|
|
2.160 |
|
|
|
08/25/47 |
|
|
|
2,602,589 |
|
| Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA5, Class A1B(1M LIBOR + 0.220%) |
|
|
|
|
3,411,413 |
|
|
|
2.180 |
|
|
|
08/25/47 |
|
|
|
3,246,651 |
|
| FHLMC Structured Agency Credit Risk Debt Notes Series 2015-DNA1, Class M3(1M USD LIBOR +
3.300%) |
|
|
|
|
4,930,000 |
|
|
|
5.260 |
|
|
|
10/25/27 |
|
|
|
5,499,503 |
|
| |
|
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations –
(continued) |
| Sequential Floating Rate(b) –
(continued) |
| FHLMC Structured Agency Credit Risk Debt Notes Series 2016-DNA2, Class M3(1M USD LIBOR +
4.650%) |
| $ |
|
|
4,852,000 |
|
|
|
6.610 |
% |
|
10/25/28 |
|
$ 5,596,291 |
| FHLMC Structured Agency Credit Risk Debt Notes Series 2016-DNA3, Class M3(1M USD LIBOR +
5.000%) |
|
|
|
2,000,000 |
|
|
|
6.960 |
|
|
12/25/28 |
|
2,329,659 |
| GreenPoint Mortgage Funding Trust Series 2006-OH1, Class A1(1M USD LIBOR + 0.180%) |
|
|
|
1,215,028 |
|
|
|
2.140 |
|
|
01/25/37 |
|
1,141,647 |
| GSR Mortgage Loan Trust Series 2006-OA1, Class 2A2(1M USD LIBOR + 0.260%) |
|
|
|
24,354,344 |
|
|
|
2.220 |
|
|
08/25/46 |
|
13,659,231 |
| Harben Finance PLC Series 2017-1X, Class A(3M GBP LIBOR + 0.800%) |
| GBP |
|
|
6,017,566 |
|
|
|
1.353 |
|
|
08/20/56 |
|
7,965,653 |
| HarborView Mortgage Loan Trust Series 2006-11, Class A1A(1M USD LIBOR + 0.170%) |
| $ |
|
|
4,178,044 |
|
|
|
2.118 |
|
|
12/19/36 |
|
3,735,181 |
| Indymac Index Mortgage Loan Trust Series 2005-AR10, Class A1(1M USD LIBOR + 0.260%) |
|
|
|
3,853,905 |
|
|
|
2.480 |
|
|
06/25/35 |
|
3,759,215 |
| Indymac Index Mortgage Loan Trust Series 2005-AR23, Class 6A1 |
|
|
|
2,538,450 |
|
|
|
3.504 |
|
|
11/25/35 |
|
2,422,488 |
| JPMorgan Alternative Loan Trust Series 2006-A2, Class 2A2 |
|
|
|
5,117,629 |
|
|
|
3.841 |
|
|
05/25/36 |
|
4,465,402 |
| Lehman XS Trust Series 2005-7N, Class 1A1A(1M USD LIBOR + 0.270%) |
|
|
|
7,538,092 |
|
|
|
2.230 |
|
|
12/25/35 |
|
7,494,021 |
| Lehman XS Trust Series 2006-14N, Class 1A1A(1M USD LIBOR + 0.190%) |
|
|
|
10,809,506 |
|
|
|
2.150 |
|
|
09/25/46 |
|
10,084,125 |
| Lehman XS Trust Series 2006-16N, Class A321(1M USD LIBOR + 0.200%) |
|
|
|
5,112,345 |
|
|
|
2.160 |
|
|
11/25/46 |
|
4,707,782 |
| Lehman XS Trust Series 2006-GP1, Class A2A(1M USD LIBOR + 0.170%) |
|
|
|
55 |
|
|
|
2.130 |
|
|
05/25/46 |
|
4,349 |
| Lehman XS Trust Series 2007-16N, Class 2A2(1M LIBOR + 0.850%) |
|
|
|
9,292,241 |
|
|
|
2.810 |
|
|
09/25/47 |
|
9,117,647 |
| Lehman XS Trust Series 2007-4N, Class 3A2A(12M MTA + 0.750%) |
|
|
|
4,356,169 |
|
|
|
2.215 |
|
|
03/25/47 |
|
4,313,424 |
| Lehman XS Trust Series 2007-5H, Class 3A4 |
|
|
|
4,919,531 |
|
|
|
3.349 |
|
|
05/25/37 |
|
4,939,241 |
| London Wall Mortgage Capital PLC Series 2017-FL1, Class A(3M GBP LIBOR + 0.850%) |
| GBP |
|
|
18,573,559 |
|
|
|
1.397 |
|
|
11/15/49 |
|
24,547,614 |
| Luminent Mortgage Trust Series 2007-2, Class 2A1(1M USD LIBOR + 0.230%) |
| $ |
|
|
1,172,193 |
|
|
|
2.190 |
|
|
05/25/37 |
|
1,121,572 |
| Master Adjustable Rate Mortgages Trust Series 2006-OA2, Class 1A1(12M MTA + 0.800%) |
|
|
|
6,735,572 |
|
|
|
2.264 |
|
|
12/25/46 |
|
6,647,517 |
| Master Adjustable Rate Mortgages Trust Series 2006-OA2, Class 4A1A(12M MTA + 0.850%) |
|
|
|
2,643,629 |
|
|
|
2.314 |
|
|
12/25/46 |
|
2,492,025 |
| Master Adjustable Rate Mortgages Trust Series 2007-2, Class A1(1M USD LIBOR + 0.150%) |
|
|
|
2,743,502 |
|
|
|
2.110 |
|
|
03/25/47 |
|
2,612,413 |
| Master Adjustable Rate Mortgages Trust Series 2007-3, Class 12A1(1M LIBOR + 0.200%) |
|
|
|
1,311,229 |
|
|
|
2.160 |
|
|
05/25/47 |
|
1,219,345 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations –
(continued) |
| Sequential Floating Rate(b) –
(continued) |
| Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2006-AR4, Class A4A(1M USD LIBOR +
0.240%) |
| $ |
|
|
1,823,026 |
|
|
|
2.200 |
% |
|
12/25/36 |
|
$ 1,675,116 |
| Residential Accredit Loans, Inc. Series 2005-QA12, Class CB3 |
|
|
|
3,950,414 |
|
|
|
4.590 |
|
|
12/25/35 |
|
3,658,942 |
| Residential Accredit Loans, Inc. Series 2005-QO5, Class A1(12M MTA + 1.000%) |
|
|
|
3,855,391 |
|
|
|
2.465 |
|
|
01/25/46 |
|
3,505,015 |
| Residential Accredit Loans, Inc. Series 2006-QA2, Class 2A1 |
|
|
|
3,610,810 |
|
|
|
5.073 |
|
|
02/25/36 |
|
3,120,552 |
| Residential Accredit Loans, Inc. Series 2006-QO1, Class 3A1(1M USD LIBOR + 0.270%) |
|
|
|
2,108,811 |
|
|
|
2.230 |
|
|
02/25/46 |
|
1,593,420 |
| Residential Accredit Loans, Inc. Series 2006-QO7, Class 1A1(12M MTA + 0.800%) |
|
|
|
4,458,893 |
|
|
|
2.265 |
|
|
09/25/46 |
|
4,026,044 |
| Residential Accredit Loans, Inc. Series 2006-QO7, Class 3A2(1M USD LIBOR + 0.205%) |
|
|
|
195,998 |
|
|
|
2.165 |
|
|
09/25/46 |
|
188,001 |
| Residential Accredit Loans, Inc. Series 2007-QO4, Class A1A(1M USD LIBOR + 0.190%) |
|
|
|
1,495,258 |
|
|
|
2.150 |
|
|
05/25/47 |
|
1,463,528 |
| Residential Funding Mortgage Securities I Series 2005-SA5, Class 2A |
|
|
|
1,843,593 |
|
|
|
4.183 |
|
|
11/25/35 |
|
1,750,165 |
| Ripon Mortgages PLC Series 1X, Class A1(3M GBP LIBOR + 0.800%) |
| GBP |
|
|
2,604,591 |
|
|
|
1.353 |
|
|
08/20/56 |
|
3,453,553 |
| Ripon Mortgages PLC Series 1X, Class A2(3M GBP LIBOR + 0.800%) |
|
|
|
26,572,184 |
|
|
|
1.353 |
|
|
08/20/56 |
|
35,180,556 |
| Station Place Securitization Trust Series 2015-2, Class A(e)(1M USD LIBOR + 0.550%) |
| $ |
|
|
15,350,000 |
|
|
|
2.468 |
|
|
05/15/18 |
|
15,350,000 |
| Structured Adjustable Rate Mortgage Loan Trust Series 2006-11, Class 1A1(1M USD LIBOR +
0.160%) |
|
|
|
3,473,927 |
|
|
|
2.120 |
|
|
12/25/36 |
|
3,413,010 |
| Structured Adjustable Rate Mortgage Loan Trust Series 2006-9, Class 3A1 |
|
|
|
2,586,059 |
|
|
|
3.623 |
|
|
10/25/36 |
|
1,973,302 |
| Structured Asset Mortgage Investments II Trust Series 2006-AR3, Class 21A1(1M USD LIBOR +
0.200%) |
|
|
|
2,496,111 |
|
|
|
2.360 |
|
|
02/25/36 |
|
2,184,112 |
| Structured Asset Mortgage Investments II Trust Series 2007-AR4, Class A4A(1M USD LIBOR +
0.180%) |
|
|
|
5,163,111 |
|
|
|
2.140 |
|
|
09/25/47 |
|
5,031,273 |
| Structured Asset Mortgage Investments II Trust Series 2007-AR7, Class 3A1 |
|
|
|
13,455,256 |
|
|
|
6.500 |
|
|
05/25/47 |
|
9,852,743 |
| Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR1, Class A2A1(1M USD LIBOR +
0.680%) |
|
|
|
5,734,954 |
|
|
|
2.640 |
|
|
01/25/45 |
|
5,739,021 |
| Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR19, Class A1A1(1M USD LIBOR +
0.270%) |
|
|
|
346,551 |
|
|
|
2.500 |
|
|
12/25/45 |
|
350,527 |
| Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR8, Class 1A1A(1M USD LIBOR +
0.540%) |
|
|
|
218,893 |
|
|
|
2.500 |
|
|
07/25/45 |
|
220,286 |
| Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR8, Class 2A1A(1M USD LIBOR +
0.580%) |
|
|
|
784,466 |
|
|
|
2.540 |
|
|
07/25/45 |
|
782,018 |
| Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR9, Class A1A(1M USD LIBOR +
0.640%) |
|
|
|
2,722,734 |
|
|
|
2.600 |
|
|
07/25/45 |
|
2,758,987 |
| |
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| Sequential Floating Rate(b) –
(continued) |
| Washington Mutual Mortgage Pass-Through Certificates Series 2007-OA6, Class 2A(COF +
1.250%) |
| $ |
|
|
3,970,886 |
|
|
|
2.047 |
% |
|
07/25/47 |
|
$ 3,333,113 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
337,843,729 |
| |
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
$ 506,669,306 |
| |
| Commercial Mortgage-Backed Securities – 1.8% |
| Sequential Fixed Rate – 0.6% |
| CSMC Trust Series 2014-USA, Class
E(e) |
| $ |
|
|
9,050,000 |
|
|
|
4.373 |
% |
|
09/15/37 |
|
$ 8,159,972 |
| FHLMC Multifamily Structured Pass-Through Certificates Series K030, Class A1 |
|
|
|
14,464,063 |
|
|
|
2.779 |
|
|
09/25/22 |
|
14,412,923 |
| WF-RBS Commercial Mortgage Trust Series 2012-C6, Class B |
|
|
|
2,500,000 |
|
|
|
4.697 |
|
|
04/15/45 |
|
2,568,813 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,141,708 |
| |
| Sequential Floating Rate(b)(e) –
1.2% |
| CGBAM Commercial Mortgage Trust Series 2015-SMRT, Class E |
|
|
|
12,450,000 |
|
|
|
3.786 |
|
|
04/10/28 |
|
12,372,755 |
| Citigroup Commercial Mortgage Trust Series 2015-SSHP, Class D(1M LIBOR + 3.050%) |
|
|
|
10,013,500 |
|
|
|
5.124 |
|
|
09/15/27 |
|
10,043,244 |
| Exantas Capital Corp. Ltd. Series 2018-RSO6, Class A(1M LIBOR + 0.830%) |
|
|
|
15,900,000 |
|
|
|
2.791 |
|
|
06/15/35 |
|
15,876,134 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2014-CBM, Class E(1M LIBOR +
3.850%) |
|
|
|
9,600,000 |
|
|
|
5.924 |
|
|
10/15/29 |
|
9,601,144 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
47,893,277 |
| |
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
|
$ 73,034,985 |
| |
| Federal Agencies – 0.6% |
| FHLMC – 0.0% |
| $ |
|
|
20,333 |
|
|
|
5.000 |
% |
|
01/01/33 |
|
$ 21,552 |
|
|
|
1,688 |
|
|
|
5.000 |
|
|
03/01/33 |
|
1,800 |
|
|
|
9,370 |
|
|
|
5.000 |
|
|
04/01/33 |
|
9,992 |
|
|
|
1,461 |
|
|
|
5.000 |
|
|
05/01/33 |
|
1,558 |
|
|
|
5,451 |
|
|
|
5.000 |
|
|
06/01/33 |
|
5,812 |
|
|
|
33,996 |
|
|
|
5.000 |
|
|
07/01/33 |
|
36,250 |
|
|
|
47,430 |
|
|
|
5.000 |
|
|
08/01/33 |
|
50,572 |
|
|
|
5,856 |
|
|
|
5.000 |
|
|
09/01/33 |
|
6,246 |
|
|
|
10,381 |
|
|
|
5.000 |
|
|
10/01/33 |
|
11,069 |
|
|
|
20,867 |
|
|
|
5.000 |
|
|
11/01/33 |
|
22,250 |
|
|
|
11,997 |
|
|
|
5.000 |
|
|
12/01/33 |
|
12,793 |
|
|
|
11,302 |
|
|
|
5.000 |
|
|
01/01/34 |
|
12,051 |
|
|
|
33,869 |
|
|
|
5.000 |
|
|
02/01/34 |
|
36,116 |
|
|
|
13,951 |
|
|
|
5.000 |
|
|
03/01/34 |
|
14,877 |
|
|
|
22,454 |
|
|
|
5.000 |
|
|
04/01/34 |
|
23,945 |
|
|
|
38,563 |
|
|
|
5.000 |
|
|
05/01/34 |
|
41,122 |
|
|
|
523,035 |
|
|
|
5.000 |
|
|
06/01/34 |
|
557,729 |
|
|
|
8,054 |
|
|
|
5.000 |
|
|
11/01/34 |
|
8,589 |
|
|
|
139,065 |
|
|
|
5.000 |
|
|
04/01/35 |
|
148,289 |
|
|
|
15,613 |
|
|
|
5.000 |
|
|
11/01/35 |
|
16,648 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,039,260 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| FNMA – 0.6% |
| $ |
|
|
31 |
|
|
|
5.500 |
% |
|
01/01/19 |
|
$ 31 |
|
|
|
3,543 |
|
|
|
5.500 |
|
|
02/01/19 |
|
3,556 |
|
|
|
4,628 |
|
|
|
5.500 |
|
|
03/01/19 |
|
4,647 |
|
|
|
3,393 |
|
|
|
5.500 |
|
|
04/01/19 |
|
3,413 |
|
|
|
2,621 |
|
|
|
5.500 |
|
|
05/01/19 |
|
2,639 |
|
|
|
11,972 |
|
|
|
5.500 |
|
|
06/01/19 |
|
12,047 |
|
|
|
42,209 |
|
|
|
5.500 |
|
|
07/01/19 |
|
42,497 |
|
|
|
43,756 |
|
|
|
5.500 |
|
|
08/01/19 |
|
44,033 |
|
|
|
40,420 |
|
|
|
5.500 |
|
|
09/01/19 |
|
40,848 |
|
|
|
12,357 |
|
|
|
5.500 |
|
|
10/01/19 |
|
12,475 |
|
|
|
14,727 |
|
|
|
5.500 |
|
|
11/01/19 |
|
14,878 |
|
|
|
22,112 |
|
|
|
5.500 |
|
|
12/01/19 |
|
22,357 |
|
|
|
2,364 |
|
|
|
5.500 |
|
|
01/01/20 |
|
2,391 |
|
|
|
403 |
|
|
|
5.500 |
|
|
06/01/20 |
|
405 |
|
|
|
235,701 |
|
|
|
5.500 |
|
|
07/01/20 |
|
238,565 |
|
|
|
1,313,084 |
|
|
|
3.416 |
|
|
10/01/20 |
|
1,325,940 |
|
|
|
1,032,880 |
|
|
|
3.619 |
|
|
12/01/20 |
|
1,047,760 |
|
|
|
3,730,288 |
|
|
|
4.381 |
|
|
06/01/21 |
|
3,856,878 |
|
|
|
2,571 |
|
|
|
6.000 |
|
|
01/01/24 |
|
2,810 |
|
|
|
51,743 |
|
|
|
6.000 |
|
|
04/01/24 |
|
56,549 |
|
|
|
200,494 |
|
|
|
5.500 |
|
|
05/01/25 |
|
203,660 |
|
|
|
3,200 |
|
|
|
4.500 |
|
|
09/01/29 |
|
3,355 |
|
|
|
5,902 |
|
|
|
6.000 |
|
|
12/01/32 |
|
6,528 |
|
|
|
524 |
|
|
|
6.000 |
|
|
01/01/33 |
|
577 |
|
|
|
2,806 |
|
|
|
6.000 |
|
|
04/01/33 |
|
3,103 |
|
|
|
126,872 |
|
|
|
6.000 |
|
|
10/01/33 |
|
141,087 |
|
|
|
4,306 |
|
|
|
6.000 |
|
|
02/01/34 |
|
4,764 |
|
|
|
32,147 |
|
|
|
6.000 |
|
|
03/01/34 |
|
35,541 |
|
|
|
84,679 |
|
|
|
6.000 |
|
|
08/01/34 |
|
93,853 |
|
|
|
23,405 |
|
|
|
6.000 |
|
|
11/01/34 |
|
25,923 |
|
|
|
223,901 |
|
|
|
6.000 |
|
|
05/01/35 |
|
248,895 |
|
|
|
35,596 |
|
|
|
6.000 |
|
|
06/01/35 |
|
39,610 |
|
|
|
136,968 |
|
|
|
6.000 |
|
|
10/01/35 |
|
151,994 |
|
|
|
17,192 |
|
|
|
6.000 |
|
|
11/01/35 |
|
19,102 |
|
|
|
24,537 |
|
|
|
6.000 |
|
|
12/01/35 |
|
27,156 |
|
|
|
92,241 |
|
|
|
6.000 |
|
|
02/01/36 |
|
102,158 |
|
|
|
5,108 |
|
|
|
6.000 |
|
|
05/01/36 |
|
5,677 |
|
|
|
509,308 |
|
|
|
6.000 |
|
|
08/01/36 |
|
564,904 |
|
|
|
24,993 |
|
|
|
6.000 |
|
|
09/01/36 |
|
27,783 |
|
|
|
12,336 |
|
|
|
6.000 |
|
|
10/01/36 |
|
13,711 |
|
|
|
120,399 |
|
|
|
6.000 |
|
|
11/01/36 |
|
134,260 |
|
|
|
263,128 |
|
|
|
6.000 |
|
|
12/01/36 |
|
291,691 |
|
|
|
859,143 |
|
|
|
6.000 |
|
|
01/01/37 |
|
951,711 |
|
|
|
1,452,021 |
|
|
|
6.000 |
|
|
02/01/37 |
|
1,607,993 |
|
|
|
67,820 |
|
|
|
6.000 |
|
|
04/01/37 |
|
75,296 |
|
|
|
411,888 |
|
|
|
6.000 |
|
|
05/01/37 |
|
456,361 |
|
|
|
775,727 |
|
|
|
6.000 |
|
|
07/01/37 |
|
862,919 |
|
|
|
49,328 |
|
|
|
4.500 |
|
|
08/01/37 |
|
51,616 |
|
|
|
816,359 |
|
|
|
6.000 |
|
|
08/01/37 |
|
903,839 |
|
|
|
23,216 |
|
|
|
6.000 |
|
|
09/01/37 |
|
25,699 |
|
|
|
347,943 |
|
|
|
6.000 |
|
|
10/01/37 |
|
385,610 |
|
|
|
3,325 |
|
|
|
6.000 |
|
|
11/01/37 |
|
3,689 |
|
|
|
214,313 |
|
|
|
6.000 |
|
|
12/01/37 |
|
237,193 |
|
|
|
732,979 |
|
|
|
6.000 |
|
|
01/01/38 |
|
810,411 |
|
|
|
58,962 |
|
|
|
5.000 |
|
|
03/01/38 |
|
63,416 |
|
|
|
56,748 |
|
|
|
6.000 |
|
|
03/01/38 |
|
63,077 |
|
|
|
160,865 |
|
|
|
6.000 |
|
|
05/01/38 |
|
178,196 |
|
|
|
14,260 |
|
|
|
6.000 |
|
|
07/01/38 |
|
15,871 |
|
|
|
14,663 |
|
|
|
6.000 |
|
|
08/01/38 |
|
16,229 |
| |
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| FNMA – (continued) |
| $ |
|
|
426,001 |
|
|
|
6.000 |
% |
|
09/01/38 |
|
$ 473,279 |
|
|
|
264,814 |
|
|
|
6.000 |
|
|
10/01/38 |
|
292,968 |
|
|
|
1,136,036 |
|
|
|
6.000 |
|
|
11/01/38 |
|
1,246,557 |
|
|
|
3,587,892 |
|
|
|
6.000 |
|
|
12/01/38 |
|
3,912,324 |
|
|
|
844 |
|
|
|
6.000 |
|
|
01/01/39 |
|
920 |
|
|
|
11,388 |
|
|
|
4.500 |
|
|
04/01/39 |
|
11,982 |
|
|
|
5,091 |
|
|
|
6.000 |
|
|
04/01/39 |
|
5,663 |
|
|
|
81,290 |
|
|
|
6.000 |
|
|
07/01/39 |
|
90,382 |
|
|
|
17,561 |
|
|
|
4.000 |
|
|
08/01/39 |
|
18,000 |
|
|
|
9,408 |
|
|
|
4.000 |
|
|
09/01/39 |
|
9,643 |
|
|
|
58,549 |
|
|
|
6.000 |
|
|
09/01/39 |
|
64,575 |
|
|
|
49,435 |
|
|
|
4.500 |
|
|
10/01/39 |
|
52,057 |
|
|
|
539,487 |
|
|
|
6.000 |
|
|
10/01/39 |
|
598,581 |
|
|
|
169,412 |
|
|
|
6.000 |
|
|
10/01/40 |
|
187,375 |
|
|
|
7,710 |
|
|
|
4.500 |
|
|
05/01/41 |
|
8,106 |
|
|
|
905,382 |
|
|
|
6.000 |
|
|
05/01/41 |
|
1,003,769 |
|
|
|
28,453 |
|
|
|
4.500 |
|
|
06/01/41 |
|
29,900 |
|
|
|
91,315 |
|
|
|
6.000 |
|
|
07/01/41 |
|
101,334 |
|
|
|
36,775 |
|
|
|
4.500 |
|
|
08/01/41 |
|
38,978 |
|
|
|
9,389 |
|
|
|
4.500 |
|
|
10/01/41 |
|
9,868 |
|
|
|
298,488 |
|
|
|
5.000 |
|
|
11/01/41 |
|
317,890 |
|
|
|
8,504 |
|
|
|
6.000 |
|
|
01/01/42 |
|
9,406 |
|
|
|
3,819 |
|
|
|
4.500 |
|
|
11/01/42 |
|
4,009 |
|
|
|
46,513 |
|
|
|
4.500 |
|
|
12/01/43 |
|
48,856 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,125,599 |
| |
| TOTAL FEDERAL AGENCIES |
|
$ 25,164,859 |
| |
| TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $559,670,446) |
|
$ 604,869,150 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Agency Debentures – 0.3% |
| FFCB |
| $ |
|
|
11,000,000 |
|
|
|
2.850 |
% |
|
02/10/31 |
|
$ 10,378,863 |
|
|
|
3,000,000 |
|
|
|
3.020 |
|
|
04/09/31 |
|
2,879,433 |
| |
| TOTAL AGENCY DEBENTURES
(Cost $13,264,502) |
|
$ 13,258,296 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities – 39.3% |
| Collateralized Loan Obligations(e) –
21.3% |
| ACIS CLO Ltd. Series 2013-1A, Class
A1(b)(3M USD LIBOR + 0.870%) |
| $ |
|
|
4,232,639 |
|
|
|
2.604 |
% |
|
04/18/24 |
|
$ 4,232,499 |
| ACIS CLO Ltd. Series 2013-1A, Class
B(b)(3M USD LIBOR + 1.950%) |
|
|
|
3,516,015 |
|
|
|
3.684 |
|
|
04/18/24 |
|
3,516,412 |
| ACIS CLO Ltd. Series 2013-1A, Class
C(b)(3M USD LIBOR + 2.950%) |
|
|
|
2,220,765 |
|
|
|
4.684 |
|
|
04/18/24 |
|
2,221,229 |
| ACIS CLO Ltd. Series 2014-4A, Class
A(b)(3M USD LIBOR + 1.420%) |
|
|
|
109,000,000 |
|
|
|
3.193 |
|
|
05/01/26 |
|
109,014,606 |
| BlueMountain CLO Ltd. Series 2014-2A, Class
AR(b)(3M USD LIBOR + 0.930%) |
|
|
|
28,750,000 |
|
|
|
2.675 |
|
|
07/20/26 |
|
28,752,501 |
| Catamaran CLO Ltd. Series 2013-1A, Class
AR(b)(3M USD LIBOR + 0.850%) |
|
|
|
9,150,000 |
|
|
|
2.363 |
|
|
01/27/28 |
|
9,122,010 |
| CBAM CLO Management LLC Series 2017-2A, Class
A(b)(3M USD LIBOR + 1.240%) |
|
|
|
18,350,000 |
|
|
|
2.631 |
|
|
10/17/29 |
|
18,370,937 |
| Cedar Funding V CLO Ltd. Series 2016-5A, Class A1(b)(3M USD LIBOR + 1.610%) |
|
|
|
850,000 |
|
|
|
3.341 |
|
|
07/17/28 |
|
850,029 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Asset-Backed Securities – (continued) |
| Collateralized Loan Obligations(e) –
(continued) |
| Crown Point CLO Ltd. Series 2015-3A, Class
A1AR(b)(3M USD LIBOR + 0.910%) |
| $ |
|
|
31,350,000 |
|
|
|
2.632 |
% |
|
12/31/27 |
|
$ 31,349,655 |
| Cutwater Ltd. Series 2014-1A, Class
A1AR(b)(3M USD LIBOR + 1.250%) |
|
|
|
38,250,000 |
|
|
|
2.972 |
|
|
07/15/26 |
|
38,255,508 |
| Halcyon Loan Advisors Funding Ltd. Series 2015-2A, Class A(b)(3M USD LIBOR + 1.390%) |
|
|
|
62,450,000 |
|
|
|
3.135 |
|
|
07/25/27 |
|
62,449,251 |
| Madison Park Funding XXX Ltd. Series 2018-30A, Class A(b)(3M USD LIBOR + 0.750%) |
|
|
|
36,000,000 |
|
|
|
3.089 |
|
|
04/15/29 |
|
35,613,540 |
| Nassau Ltd. Series 2017-IIA, Class
AL(b)(3M USD LIBOR + 1.250%) |
|
|
|
10,000,000 |
|
|
|
2.913 |
|
|
01/15/30 |
|
10,015,050 |
| OCP CLO Ltd. Series 2012-2A, Class
A1R(b)(3M USD LIBOR + 1.400%) |
|
|
|
10,850,000 |
|
|
|
3.304 |
|
|
11/22/25 |
|
10,866,004 |
| OCP CLO Ltd. Series 2014-5A, Class
A1R(b)(3M USD LIBOR + 1.080%) |
|
|
|
65,150,000 |
|
|
|
2.832 |
|
|
04/26/31 |
|
65,077,032 |
| OCP CLO Ltd. Series 2014-5A, Class
A2R(b)(3M USD LIBOR + 1.400%) |
|
|
|
2,950,000 |
|
|
|
3.152 |
|
|
04/26/31 |
|
2,927,315 |
| OCP CLO Ltd. Series 2014-5A, Class
BR(b)(3M USD LIBOR + 1.800%) |
|
|
|
2,200,000 |
|
|
|
3.552 |
|
|
04/26/31 |
|
2,164,459 |
| OCP CLO Ltd. Series 2015-10A, Class
A1R(b)(3M USD LIBOR + 0.820%) |
|
|
|
27,800,000 |
|
|
|
2.572 |
|
|
10/26/27 |
|
27,720,464 |
| OCP CLO Ltd. Series 2015-8A, Class
A1R(b)(3M USD LIBOR + 0.850%) |
|
|
|
30,550,000 |
|
|
|
2.581 |
|
|
04/17/27 |
|
30,440,478 |
| OCP CLO Ltd. Series 2015-8A, Class
A2AR(b)(3M USD LIBOR + 1.450%) |
|
|
|
850,000 |
|
|
|
3.181 |
|
|
04/17/27 |
|
846,265 |
| Octagon Investment Partners 24 Ltd. Series 2015-1A, Class A1R(b)(3M USD LIBOR + 0.900%) |
|
|
|
74,550,000 |
|
|
|
2.792 |
|
|
05/21/27 |
|
74,457,260 |
| OFSI Fund V Ltd. Series 2013-5A, Class
A1LA(b)(3M USD LIBOR + 0.930%) |
|
|
|
2,101,130 |
|
|
|
2.652 |
|
|
04/17/25 |
|
2,101,053 |
| OFSI Fund VII Ltd. Series 2014-7A, Class
AR(b)(3M USD LIBOR + 0.900%) |
|
|
|
84,050,000 |
|
|
|
2.634 |
|
|
10/18/26 |
|
84,048,991 |
| Palmer Square Loan Funding Ltd. Series 2017-1A, Class A1(b)(3M USD LIBOR + 0.740%) |
|
|
|
20,478,711 |
|
|
|
2.462 |
|
|
10/15/25 |
|
20,478,506 |
| Recette CLO Ltd. Series 2015-1A, Class
AR(b)(3M USD LIBOR + 0.920%) |
|
|
|
45,100,000 |
|
|
|
2.665 |
|
|
10/20/27 |
|
45,046,602 |
| TCW CLO Ltd. Series 2017-1A, Class
A(b)(3M USD LIBOR + 1.280%) |
|
|
|
19,000,000 |
|
|
|
3.040 |
|
|
07/29/29 |
|
19,039,596 |
| The Bank of New York Mellon
SA(c)(f) |
|
|
|
1,630,000 |
|
|
|
9.625 |
|
|
05/02/21 |
|
— |
| Trinitas CLO II Ltd. Series 2014-2A, Class
A1R(b)(3M USD LIBOR + 1.180%) |
|
|
|
46,550,000 |
|
|
|
2.902 |
|
|
07/15/26 |
|
46,555,400 |
| Zais CLO 1 Ltd. Series 2014-1A, Class
A1(b)(3M USD LIBOR + 1.400%) |
|
|
|
77,111,170 |
|
|
|
3.122 |
|
|
04/15/26 |
|
77,115,565 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
862,648,217 |
| |
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Asset-Backed Securities – (continued) |
| Home Equity – 1.4% |
| ACE Securities Corp. Home Equity Loan Trust Series 2007-ASAP1, Class A2C(b)(1M USD LIBOR + 0.260%) |
| $ |
|
|
9,169,966 |
|
|
|
2.220 |
% |
|
03/25/37 |
|
$ 5,860,172 |
| ACE Securities Corp. Home Equity Loan Trust Series 2007-HE2,
Class A2D(b)(1M USD LIBOR + 0.270%) |
|
|
|
16,641,000 |
|
|
|
2.230 |
|
|
05/25/36 |
|
15,314,050 |
| Bayview Financial Mortgage Pass-Through Trust Series 2006-A, Class M3(b)(1M USD LIBOR + 0.650%) |
|
|
|
10,095,000 |
|
|
|
2.618 |
|
|
02/28/41 |
|
9,989,215 |
| Credit-Based Asset Servicing and Securitization LLC Series 2005-CB8, Class AF2(h) |
|
|
|
6,112 |
|
|
|
3.741 |
|
|
12/25/35 |
|
6,119 |
| Credit-Based Asset Servicing and Securitization LLC Series 2005-CB8, Class AF3(h) |
|
|
|
9,006,000 |
|
|
|
3.741 |
|
|
12/25/35 |
|
8,989,210 |
| Lehman XS Trust Series 2007-3, Class
1BA2(b)(6M USD LIBOR + 0.500%) |
|
|
|
223,268 |
|
|
|
2.960 |
|
|
03/25/37 |
|
225,159 |
| Morgan Stanley Mortgage Loan Trust Series 2006-16AX, Class 1A(b)(1M USD LIBOR + 0.170%) |
|
|
|
866,172 |
|
|
|
2.130 |
|
|
11/25/36 |
|
319,841 |
| Morgan Stanley Mortgage Loan Trust Series 2007-1XS, Class 2A1(b)(1M USD LIBOR + 0.080%) |
|
|
|
6,834,879 |
|
|
|
2.040 |
|
|
09/25/46 |
|
2,879,292 |
| Saxon Asset Securities Trust Series 2007-2, Class A2C(b)(1M USD LIBOR + 0.240%) |
|
|
|
5,482,272 |
|
|
|
2.200 |
|
|
05/25/47 |
|
4,492,534 |
| Securitized Asset Backed Receivables LLC Trust Series 2004-DO1, Class M1(b)(1M USD LIBOR + 0.975%) |
|
|
|
3,180,395 |
|
|
|
2.935 |
|
|
07/25/34 |
|
3,272,229 |
| Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-EQ1, Class A1(b)(1M USD LIBOR + 0.215%) |
|
|
|
4,364,596 |
|
|
|
2.175 |
|
|
03/25/37 |
|
3,374,902 |
| Wachovia Mortgage Loan Trust Series 2005-WMC1, Class M1(b)(1M USD LIBOR + 0.660%) |
|
|
|
1,934,163 |
|
|
|
2.620 |
|
|
10/25/35 |
|
1,937,352 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
56,660,075 |
| |
| Other(b)(e) –
0.2% |
| Ready Capital Mortgage Financing LLC Series 2018-FL2, Class A(1M USD LIBOR + 0.850%) |
|
|
|
6,950,000 |
|
|
|
2.830 |
|
|
06/25/35 |
|
6,952,222 |
| |
| Student Loan(b) –
16.4% |
| Academic Loan Funding Trust Series 2012-1A, Class A2(e)(1M USD LIBOR + 1.100%) |
|
|
|
44,139,922 |
|
|
|
3.060 |
|
|
12/27/44 |
|
44,243,867 |
| Access Group, Inc. Series 2015-1, Class
A(e)(1M USD LIBOR + 0.700%) |
|
|
|
25,794,236 |
|
|
|
2.660 |
|
|
07/25/56 |
|
25,758,550 |
| Bank of America Student Loan Trust Series 2010-1A, Class A(e)(3M USD LIBOR + 0.800%) |
|
|
|
95,925 |
|
|
|
2.545 |
|
|
02/25/43 |
|
96,298 |
| EFS Volunteer No. 2 LLC Series 2012-1, Class
A2(e)(1M USD LIBOR + 1.350%) |
|
|
|
40,450,000 |
|
|
|
3.310 |
|
|
03/25/36 |
|
41,147,576 |
| EFS Volunteer No. 3 LLC Series 2012-1, Class
A3(e)(1M USD LIBOR + 1.000%) |
|
|
|
25,300,000 |
|
|
|
2.960 |
|
|
04/25/33 |
|
25,454,345 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Asset-Backed Securities – (continued) |
| Student Loan(b) –
(continued) |
| GCO Education Loan Funding Trust Series 2006-1, Class A8L(3M USD LIBOR + 0.130%) |
| $ |
|
|
1,042,086 |
|
|
|
2.074 |
% |
|
05/25/25 |
|
$ 1,040,429 |
| Montana Higher Education Student Assistance Corp. Series 2012-1, Class A3(1M USD LIBOR +
1.050%) |
|
|
|
22,700,000 |
|
|
|
2.998 |
|
|
07/20/43 |
|
22,812,794 |
| Nelnet Student Loan Trust Series 2006-1, Class A6(e)(3M USD LIBOR + 0.450%) |
|
|
|
40,900,000 |
|
|
|
2.370 |
|
|
08/23/36 |
|
40,013,938 |
| Nelnet Student Loan Trust Series 2006-2, Class A7(e)(3M Euribor + 0.580%) |
|
|
|
28,300,000 |
|
|
|
2.325 |
|
|
01/25/37 |
|
27,721,554 |
| Panhandle-Plains Higher Education Authority, Inc. Series 2011-1, Class A2(3M USD LIBOR +
0.950%) |
|
|
|
1,944,941 |
|
|
|
2.645 |
|
|
07/01/24 |
|
1,948,174 |
| Scholar Funding Trust Series 2010-A, Class
A(e)(3M USD LIBOR + 0.750%) |
|
|
|
24,652,895 |
|
|
|
2.510 |
|
|
10/28/41 |
|
24,562,093 |
| SLC Student Loan Trust Series 2005-3, Class A3(3M USD LIBOR + 0.120%) |
|
|
|
7,801,123 |
|
|
|
2.245 |
|
|
06/15/29 |
|
7,759,885 |
| SLM Student Loan Trust Series 2003-14, Class A5(3M USD LIBOR + 0.230%) |
|
|
|
2,796,881 |
|
|
|
1.975 |
|
|
01/25/23 |
|
2,796,963 |
| SLM Student Loan Trust Series 2003-7A, Class A5A(e)(3M USD LIBOR + 1.200%) |
|
|
|
29,631,927 |
|
|
|
3.325 |
|
|
12/15/33 |
|
29,987,036 |
| SLM Student Loan Trust Series 2004-8A, Class
A6(e)(3M USD LIBOR + 0.630%) |
|
|
|
20,350,000 |
|
|
|
2.375 |
|
|
01/25/40 |
|
20,464,996 |
| SLM Student Loan Trust Series 2005-4, Class A3(3M USD LIBOR + 0.120%) |
|
|
|
45,499,042 |
|
|
|
1.865 |
|
|
01/25/27 |
|
45,332,862 |
| SLM Student Loan Trust Series 2005-5, Class A4(3M USD LIBOR + 0.140%) |
|
|
|
12,900,000 |
|
|
|
1.885 |
|
|
10/25/28 |
|
12,853,762 |
| SLM Student Loan Trust Series 2006-10, Class A5A(3M USD LIBOR + 0.100%) |
|
|
|
206,478 |
|
|
|
1.845 |
|
|
04/25/27 |
|
206,253 |
| SLM Student Loan Trust Series 2007-1, Class A5(3M USD LIBOR + 0.090%) |
|
|
|
30,503,125 |
|
|
|
1.835 |
|
|
01/26/26 |
|
30,432,828 |
| SLM Student Loan Trust Series 2007-2, Class A4(3M USD LIBOR + 0.060%) |
|
|
|
81,200,000 |
|
|
|
1.805 |
|
|
07/25/22 |
|
79,404,765 |
| SLM Student Loan Trust Series 2008-2, Class A3(3M USD LIBOR + 0.750%) |
|
|
|
14,091,848 |
|
|
|
2.495 |
|
|
04/25/23 |
|
14,043,410 |
| SLM Student Loan Trust Series 2008-3, Class A3(3M USD LIBOR + 1.000%) |
|
|
|
15,235,536 |
|
|
|
2.745 |
|
|
10/25/21 |
|
15,375,066 |
| SLM Student Loan Trust Series 2008-4, Class A4(3M USD LIBOR + 1.650%) |
|
|
|
39,900,040 |
|
|
|
3.395 |
|
|
07/25/22 |
|
40,792,245 |
| SLM Student Loan Trust Series 2008-5, Class A4(3M USD LIBOR + 1.700%) |
|
|
|
62,128,256 |
|
|
|
3.445 |
|
|
07/25/23 |
|
63,714,937 |
| SLM Student Loan Trust Series 2008-6, Class A4(3M USD LIBOR + 1.100%) |
|
|
|
21,202,614 |
|
|
|
2.845 |
|
|
07/25/23 |
|
21,376,232 |
| |
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Asset-Backed Securities – (continued) |
| Student Loan(b) –
(continued) |
| SLM Student Loan Trust Series 2008-8, Class A4(3M USD LIBOR + 1.500%) |
| $ |
|
|
13,600,000 |
|
|
|
3.245 |
% |
|
04/25/23 |
|
$ 13,852,742 |
| South Texas Higher Education Authority, Inc. Series 2013-1, Class A1(1M USD LIBOR +
0.600%) |
|
|
|
7,726,742 |
|
|
|
2.507 |
|
|
12/03/29 |
|
7,723,728 |
| Wachovia Student Loan Trust Series 2005-1, Class A5(3M USD LIBOR + 0.130%) |
|
|
|
4,027,062 |
|
|
|
1.875 |
|
|
01/26/26 |
|
4,024,573 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
664,941,901 |
| |
TOTAL ASSET-BACKED SECURITIES
(Cost $1,564,090,364) |
|
$1,591,202,415 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foreign Debt Obligations – 11.3% |
| Sovereign – 11.3% |
| Dominican Republic |
| DOP |
|
|
61,100,000 |
|
|
|
10.375 |
% |
|
03/04/22 |
|
$ 1,282,878 |
|
|
|
98,700,000 |
|
|
|
14.500 |
|
|
02/10/23 |
|
2,322,469 |
| $ |
|
|
2,380,000 |
|
|
|
6.600 |
(e) |
|
01/28/24 |
|
2,499,000 |
|
|
|
2,860,000 |
|
|
|
6.600 |
|
|
01/28/24 |
|
3,003,000 |
|
|
|
1,604,000 |
|
|
|
8.625 |
|
|
04/20/27 |
|
1,802,968 |
| DOP |
|
|
30,000,000 |
|
|
|
18.500 |
|
|
02/04/28 |
|
852,824 |
|
|
|
58,700,000 |
|
|
|
11.375 |
|
|
07/06/29 |
|
1,257,097 |
| Ecuador Government International Bond |
| $ |
|
|
2,720,000 |
|
|
|
9.625 |
|
|
06/02/27 |
|
2,529,600 |
|
|
|
15,390,000 |
|
|
|
9.650 |
|
|
12/13/26 |
|
14,389,650 |
|
|
|
10,400,000 |
|
|
|
9.625 |
(e) |
|
06/02/27 |
|
9,672,000 |
|
|
|
4,100,000 |
|
|
|
7.875 |
(e) |
|
01/23/28 |
|
3,433,750 |
| Japanese Government CPI Linked Bond |
| JPY |
|
|
16,320,799,831 |
|
|
|
0.100 |
|
|
03/10/26 |
|
155,299,306 |
| Republic of Argentina |
| ARS |
|
|
680,275,000 |
|
|
|
1.000 |
|
|
09/19/18 |
|
21,445,641 |
|
|
|
2,543,450,000 |
|
|
|
32.223 |
(b) |
|
06/21/20 |
|
89,794,935 |
| EUR |
|
|
20,240,000 |
|
|
|
3.375 |
|
|
01/15/23 |
|
21,449,917 |
|
|
|
16,660,000 |
|
|
|
5.250 |
|
|
01/15/28 |
|
16,610,174 |
|
|
|
460,000 |
|
|
|
2.260 |
(h) |
|
12/31/38 |
|
314,792 |
| $ |
|
|
4,650,000 |
|
|
|
2.500 |
(h) |
|
12/31/38 |
|
2,636,550 |
| EUR |
|
|
3,090,000 |
|
|
|
6.250 |
|
|
11/09/47 |
|
2,805,610 |
| $ |
|
|
43,620,000 |
|
|
|
6.875 |
|
|
01/11/48 |
|
32,824,050 |
|
|
|
2,580,000 |
|
|
|
7.125 |
(i) |
|
06/28/17 |
|
1,969,830 |
| Republic of
Indonesia(e) |
| EUR |
|
|
5,950,000 |
|
|
|
2.150 |
|
|
07/18/24 |
|
7,000,523 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Foreign Debt Obligations – (continued) |
| Sovereign – (continued) |
| Republic of South Africa |
| ZAR |
|
|
68,590,000 |
|
|
|
8.000 |
% |
|
01/31/30 |
|
$ 4,566,367 |
|
|
|
190,720,000 |
|
|
|
7.000 |
|
|
02/28/31 |
|
11,517,722 |
|
|
|
73,460,000 |
|
|
|
8.250 |
|
|
03/31/32 |
|
4,876,823 |
|
|
|
70,190,000 |
|
|
|
8.875 |
|
|
02/28/35 |
|
4,831,815 |
|
|
|
101,925,000 |
|
|
|
6.250 |
|
|
03/31/36 |
|
5,367,344 |
|
|
|
1,310,000 |
|
|
|
9.000 |
|
|
01/31/40 |
|
89,814 |
|
|
|
39,710,000 |
|
|
|
6.500 |
|
|
02/28/41 |
|
2,061,909 |
|
|
|
9,890,000 |
|
|
|
8.750 |
|
|
01/31/44 |
|
658,101 |
| Republic of Sri Lanka |
| $ |
|
|
4,613,000 |
|
|
|
6.850 |
|
|
11/03/25 |
|
4,457,311 |
|
|
|
2,000,000 |
|
|
|
6.825 |
|
|
07/18/26 |
|
1,915,000 |
| Republic of
Venezuela(f) |
|
|
|
120,000 |
|
|
|
6.000 |
|
|
12/09/20 |
|
31,200 |
| United Mexican States |
| MXN |
|
|
352,713,800 |
|
|
|
6.500 |
|
|
06/10/21 |
|
17,182,080 |
|
|
|
68,477,500 |
|
|
|
8.000 |
|
|
12/07/23 |
|
3,492,524 |
|
|
|
1,546,000 |
|
|
|
7.750 |
|
|
11/23/34 |
|
78,302 |
|
|
|
15,377,700 |
|
|
|
8.500 |
|
|
11/18/38 |
|
836,544 |
|
|
|
2,663,200 |
|
|
|
8.000 |
|
|
11/07/47 |
|
137,979 |
| |
| TOTAL FOREIGN DEBT OBLIGATIONS (Cost $532,948,769) |
|
$ 457,297,399 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Structured
Notes(e)(j) – 1.1% |
| Arab Republic of Egypt (Issuer Citibank NA) |
| $ |
|
|
197,000,000 |
|
|
|
0.000 |
% |
|
11/01/18 |
|
$ 10,343,877 |
|
|
|
238,100,000 |
|
|
|
0.000 |
|
|
01/17/19 |
|
12,033,832 |
| Arab Republic of Egypt (Issuer JPMorgan Chase Bank NA) |
|
|
|
127,600,000 |
|
|
|
0.000 |
|
|
07/26/18 |
|
7,048,099 |
|
|
|
307,625,000 |
|
|
|
0.000 |
|
|
02/07/19 |
|
15,390,707 |
| |
| TOTAL STRUCTURED NOTES
(Cost $45,652,693) |
|
$ 44,816,515 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Municipal Debt Obligations – 1.8% |
| Illinois – 0.4% |
| Illinois State GO Bonds Build America Series 2010(d) |
| $ |
|
|
4,470,000 |
|
|
|
7.350 |
% |
|
07/01/35 |
|
$ 4,991,247 |
| Illinois State GO Bonds Taxable-Pension Series 2003 |
|
|
|
13,800,000 |
|
|
|
5.100 |
|
|
06/01/33 |
|
13,059,768 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,051,015 |
| |
| Minnesota(b)(d) –
0.2% |
| Northstar Education Finance, Inc. (Student Loan Asset Backed) Series 2007-1, Class A1(3M USD LIBOR +
0.100%) |
|
|
|
6,341,969 |
|
|
|
2.459 |
|
|
04/28/30 |
|
6,313,849 |
| |
| Puerto Rico(f) –
1.2% |
| Puerto Rico Commonwealth GO Bonds for Public Improvement
Series 2011 A(d) |
|
|
|
3,035,000 |
|
|
|
5.750 |
|
|
07/01/41 |
|
1,274,700 |
| Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2008 A(d) |
|
|
|
1,495,000 |
|
|
|
5.500 |
|
|
07/01/32 |
|
635,375 |
| Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2009 B(d) |
|
|
|
1,160,000 |
|
|
|
5.875 |
|
|
07/01/36 |
|
493,000 |
|
|
|
3,340,000 |
|
|
|
5.750 |
|
|
07/01/38 |
|
1,419,500 |
|
|
|
2,170,000 |
|
|
|
6.000 |
|
|
07/01/39 |
|
922,250 |
| |
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Municipal Debt Obligations – (continued) |
| Puerto Rico(f) –
(continued) |
| Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2011 A(d) |
| $ |
|
|
1,120,000 |
|
|
|
6.000 |
% |
|
07/01/34 |
|
$ 470,400 |
| Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2011 E(d) |
|
|
|
1,010,000 |
|
|
|
5.625 |
|
|
07/01/32 |
|
424,200 |
| Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2012 A(d) |
|
|
|
515,000 |
|
|
|
5.500 |
|
|
07/01/26 |
|
216,300 |
|
|
|
1,975,000 |
|
|
|
5.500 |
|
|
07/01/39 |
|
829,500 |
|
|
|
2,115,000 |
|
|
|
5.000 |
|
|
07/01/41 |
|
856,575 |
| Puerto Rico Commonwealth GO Bonds Series 2014
A(d) |
|
|
|
7,455,000 |
|
|
|
8.000 |
|
|
07/01/35 |
|
3,019,275 |
| Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2001 A(d) |
|
|
|
1,960,000 |
|
|
|
5.125 |
|
|
07/01/31 |
|
833,000 |
| Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2004 A(d) |
|
|
|
455,000 |
|
|
|
5.000 |
|
|
07/01/34 |
|
193,375 |
| Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2006 A(d) |
|
|
|
605,000 |
|
|
|
5.250 |
|
|
07/01/27 |
|
257,125 |
| Puerto Rico Commonwealth GO Unrefunded Balance Refunding for Public Improvement 2006 B(d) |
|
|
|
670,000 |
|
|
|
5.000 |
|
|
07/01/35 |
|
284,750 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2007 B(d) |
|
|
|
185,000 |
|
|
|
6.050 |
|
|
08/01/37 |
|
158,869 |
|
|
|
95,000 |
|
|
|
6.050 |
|
|
08/01/39 |
|
81,581 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2007 C(d) |
|
|
|
2,905,000 |
|
|
|
6.000 |
|
|
08/01/31 |
|
2,494,669 |
|
|
|
210,000 |
|
|
|
6.000 |
|
|
08/01/32 |
|
180,338 |
|
|
|
2,285,000 |
|
|
|
6.000 |
|
|
08/01/38 |
|
1,962,244 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2008 A(d) |
|
|
|
75,000 |
|
|
|
6.130 |
|
|
08/01/28 |
|
64,406 |
|
|
|
1,520,000 |
|
|
|
6.130 |
|
|
08/01/29 |
|
1,305,300 |
|
|
|
260,000 |
|
|
|
6.130 |
|
|
08/01/30 |
|
223,275 |
|
|
|
255,000 |
|
|
|
6.130 |
|
|
08/01/37 |
|
218,981 |
|
|
|
465,000 |
|
|
|
6.130 |
|
|
08/01/38 |
|
399,319 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2009 C(d) |
|
|
|
1,100,000 |
|
|
|
5.750 |
|
|
08/01/57 |
|
946,000 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2011 C |
|
|
|
80,000 |
|
|
|
5.000 |
|
|
08/01/21 |
|
68,800 |
|
|
|
2,175,000 |
|
|
|
5.000 |
(d) |
|
08/01/40 |
|
1,870,500 |
|
|
|
8,365,000 |
|
|
|
5.250 |
(d) |
|
08/01/40 |
|
7,193,900 |
|
|
|
3,610,000 |
|
|
|
5.000 |
(d) |
|
08/01/46 |
|
3,104,600 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2011 D(d) |
|
|
|
75,000 |
|
|
|
4.850 |
|
|
08/01/36 |
|
63,094 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2009 A(d) |
|
|
|
12,920,000 |
|
|
|
6.750 |
|
|
08/01/32 |
|
5,781,700 |
|
|
|
6,045,000 |
|
|
|
5.750 |
|
|
08/01/37 |
|
2,705,137 |
|
|
|
155,000 |
|
|
|
6.375 |
|
|
08/01/39 |
|
69,363 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 A(d) |
|
|
|
470,000 |
|
|
|
5.500 |
|
|
08/01/37 |
|
210,325 |
|
|
|
3,010,000 |
|
|
|
5.500 |
|
|
08/01/42 |
|
1,346,975 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 C(d) |
|
|
|
5,990,000 |
|
|
|
5.375 |
|
|
08/01/38 |
|
2,680,525 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2011 A-1(d) |
|
|
|
4,910,000 |
|
|
|
5.000 |
|
|
08/01/43 |
|
2,197,225 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Municipal Debt Obligations – (continued) |
| Puerto Rico(f) –
(continued) |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Unrefunded SubSeries 2009 A(d) |
| $ |
|
|
2,325,000 |
|
|
|
5.500 |
% |
|
08/01/28 |
|
$ 1,040,437 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
48,496,888 |
| |
| TOTAL MUNICIPAL DEBT OBLIGATIONS (Cost $81,312,892) |
|
$ 72,861,752 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Obligations – 0.6% |
| United States Treasury Bonds |
| $ |
|
|
10,000 |
|
|
|
2.750 |
% |
|
11/15/47 |
|
$ 9,542 |
|
|
|
5,280,000 |
|
|
|
3.000 |
(k) |
|
02/15/48 |
|
5,298,058 |
| United States Treasury
Notes(k) |
|
|
|
15,000,000 |
|
|
|
2.250 |
|
|
11/15/24 |
|
14,516,400 |
|
|
|
2,370,000 |
|
|
|
2.750 |
|
|
02/28/25 |
|
2,361,871 |
| |
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $22,400,020) |
|
$ 22,185,871 |
| |
|
|
|
| Shares |
|
|
Description |
|
Value |
| Common
Stock(f)(l)(m) – 1.2% |
| Oil, Gas & Consumable Fuels – 1.2% |
| 7,667,598 |
|
|
|
Blue Ridge Mountain
Resources, Inc.
(Cost $76,509,670) |
|
$ 46,005,588 |
| |
|
|
|
| Units |
|
|
Expiration Date |
|
Value |
| Warrant(f) – 0.0% |
| True Religion Warrant (NR/NR) |
|
|
|
1,890 |
|
|
|
10/27/22 |
|
$ — |
| True Religion Warrant (NR/NR) |
|
|
|
8,897 |
|
|
|
10/27/22 |
|
— |
| |
| TOTAL WARRANT (Cost
$0) |
|
$ — |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares |
|
|
Distribution Rate |
|
Value |
| Investment
Company(m) – 0.0% |
| Goldman Sachs Financial Square Government Fund - Institutional Shares |
| 68,177 |
|
|
|
1.869% |
|
$ 68,177 |
| (Cost $68,177) |
| |
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost $3,484,609,687) |
|
$3,391,768,734 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Short-term Investments – 11.6% |
| Certificates of Deposit – 2.6% |
| Credit Suisse AG(b) (3M USD LIBOR
+ 0.320%) |
| $ |
|
|
18,500,000 |
|
|
|
2.641 |
% |
|
03/08/19 |
|
$ 18,514,985 |
| Societe Generale
SA(j) |
|
|
|
4,000,000 |
|
|
|
1.580 |
|
|
07/10/18 |
|
3,998,484 |
| |
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Short-term Investments – (continued) |
| Certificates of Deposit – (continued) |
| Standard Chartered
Bank(b) |
| $ |
|
|
9,000,000 |
|
|
|
2.541 |
% |
|
05/16/19 |
|
$ 9,003,047 |
| Sumitomo Mitsui Banking
Corp.(b) |
| (1M USD LIBOR + 0.330%) |
|
|
|
9,800,000 |
|
|
|
2.428 |
|
|
10/26/18 |
|
9,801,994 |
| (3M USD LIBOR + 0.060%) |
|
|
|
20,000,000 |
|
|
|
2.420 |
|
|
10/25/18 |
|
20,001,169 |
| Suncor Energy, Inc. |
|
|
|
11,864,000 |
|
|
|
0.010 |
|
|
07/03/18 |
|
11,861,054 |
| The Southern
Co.(j) |
|
|
|
10,823,000 |
|
|
|
0.000 |
|
|
08/30/18 |
|
10,777,202 |
| UBS AG London(b)(e) (1M USD
LIBOR + 0.300%) |
|
|
|
20,000,000 |
|
|
|
2.313 |
|
|
12/05/18 |
|
20,005,168 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
103,963,103 |
| |
| Commercial Paper – 9.0% |
| Alpine Securitization
Ltd.(e) |
|
|
|
10,000,000 |
|
|
|
2.330 |
|
|
10/18/18 |
|
9,999,777 |
|
|
|
20,350,000 |
|
|
|
2.330 |
|
|
10/01/18 |
|
20,351,153 |
| AT&T, Inc. |
|
|
|
19,900,000 |
|
|
|
0.000 |
(j) |
|
10/05/18 |
|
19,757,527 |
|
|
|
10,800,000 |
|
|
|
0.000 |
(j) |
|
10/09/18 |
|
10,719,522 |
|
|
|
5,100,000 |
|
|
|
0.000 |
(j) |
|
05/28/19 |
|
4,957,248 |
| Barton Capital
Corp.(j) |
|
|
|
4,300,000 |
|
|
|
0.000 |
|
|
08/14/18 |
|
4,287,962 |
| BAT International Finance
PLC(j) |
|
|
|
20,000,000 |
|
|
|
0.000 |
|
|
09/10/18 |
|
19,898,895 |
| Bedford Row Funding Corp. |
|
|
|
2,000,000 |
|
|
|
0.000 |
(j) |
|
09/04/18 |
|
1,991,867 |
|
|
|
10,000,000 |
|
|
|
0.000 |
(j) |
|
04/25/19 |
|
9,780,000 |
| Collateralized Commercial Paper Co.
Ltd.(b) (1M USD LIBOR + 0.280%) |
|
|
|
10,000,000 |
|
|
|
2.293 |
|
|
03/01/19 |
|
10,000,259 |
| Ford Motor Credit Co.
LLC(j) |
|
|
|
25,000,000 |
|
|
|
0.000 |
|
|
02/20/19 |
|
24,557,664 |
| Hewlett Packard Enterprise Co.
(j) |
|
|
|
1,179,000 |
|
|
|
0.000 |
|
|
07/10/18 |
|
1,178,301 |
|
|
|
10,466,000 |
|
|
|
0.000 |
|
|
07/11/18 |
|
10,459,221 |
| HP, Inc.(j) |
|
|
|
18,200,000 |
|
|
|
0.000 |
|
|
07/02/18 |
|
18,197,088 |
|
|
|
8,409,000 |
|
|
|
0.000 |
|
|
07/23/18 |
|
8,397,934 |
| LMA-Americas
LLC(j) |
|
|
|
18,000,000 |
|
|
|
0.000 |
|
|
07/11/18 |
|
17,988,186 |
| Macquarie Bank
Ltd.(j) |
|
|
|
18,550,000 |
|
|
|
0.000 |
|
|
09/05/18 |
|
18,472,038 |
| Marriott International,
Inc.(j) |
|
|
|
5,250,000 |
|
|
|
0.000 |
|
|
07/05/18 |
|
5,248,036 |
|
|
|
10,000,000 |
|
|
|
0.000 |
|
|
07/27/18 |
|
9,981,784 |
|
|
|
7,750,000 |
|
|
|
0.000 |
|
|
08/21/18 |
|
7,722,286 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Short-term Investments – (continued) |
| Commercial Paper – (continued) |
| Mondelez International,
Inc.(j) |
| $ |
|
|
19,500,000 |
|
|
|
0.000 |
% |
|
10/01/18 |
|
$ 19,369,551 |
|
|
|
2,800,000 |
|
|
|
0.000 |
|
|
10/02/18 |
|
2,781,047 |
| Nutrien Ltd.(j) |
|
|
|
8,765,000 |
|
|
|
0.000 |
|
|
07/16/18 |
|
8,754,632 |
|
|
|
3,500,000 |
|
|
|
0.000 |
|
|
07/18/18 |
|
3,495,362 |
|
|
|
10,100,000 |
|
|
|
0.000 |
|
|
07/26/18 |
|
10,080,820 |
| Old Line Funding
LLC(j) |
|
|
|
1,660,000 |
|
|
|
0.000 |
|
|
08/20/18 |
|
1,654,862 |
| Schlumberger
Holdings(j) |
|
|
|
4,000,000 |
|
|
|
0.000 |
|
|
09/21/18 |
|
3,977,096 |
| Schlumberger Holdings
Corp.(j) |
|
|
|
9,610,000 |
|
|
|
0.000 |
|
|
03/05/19 |
|
9,423,953 |
|
|
|
3,000,000 |
|
|
|
0.000 |
|
|
03/06/19 |
|
2,941,646 |
| Sempra Energy
Holdings(j) |
|
|
|
4,834,000 |
|
|
|
0.000 |
|
|
07/31/18 |
|
4,823,872 |
|
|
|
2,250,000 |
|
|
|
0.000 |
|
|
08/13/18 |
|
2,243,236 |
| Tyco International Holding
S.a.r.l(j) |
|
|
|
11,589,000 |
|
|
|
0.000 |
|
|
07/09/18 |
|
11,581,696 |
| VW Credit,
Inc.(j) |
|
|
|
9,765,000 |
|
|
|
0.000 |
|
|
08/13/18 |
|
9,735,644 |
|
|
|
26,120,000 |
|
|
|
0.000 |
|
|
08/15/18 |
|
26,037,782 |
|
|
|
15,550,000 |
|
|
|
0.000 |
|
|
09/20/18 |
|
15,459,404 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
366,307,351 |
| |
TOTAL SHORT-TERM INVESTMENTS
(Cost $470,238,664) |
|
$ 470,270,454 |
| |
TOTAL INVESTMENTS – 95.5%
(Cost $3,954,848,351) |
|
$3,862,039,188 |
| |
OTHER ASSETS IN EXCESS OF
LIABILITIES – 4.5% |
|
183,410,202 |
| |
| NET ASSETS – 100.0% |
|
$4,045,449,390 |
| |
|
|
|
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
|
|
| (a) |
|
Bank Loans often require prepayments from excess cash flows or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual
requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. The stated interest rate represents the weighted average interest rate of all
contracts within the bank loan facility on June 30, 2018. Bank Loans typically have rates of interest which are predetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending
rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other
base lending rates used by commercial lenders. |
|
|
| (b) |
|
Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed
is that which is in effect on June 30, 2018. |
|
|
| (c) |
|
Significant unobservable inputs were used in the valuation of this portfolio security; i.e. Level 3. |
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
| (d) |
|
Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
|
|
| (e) |
|
Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed 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 $1,515,147,648, which represents approximately 37.5% of the Fund’s net assets
as of June 30, 2018. The liquidity determination is unaudited. |
|
|
| (f) |
|
Security is currently in default and/or non-income producing. |
|
|
| (g) |
|
Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. |
|
|
| (h) |
|
Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on June 30, 2018. |
|
|
| (i) |
|
Actual maturity date is June 28, 2117. |
|
|
| (j) |
|
Issued with a zero coupon. Income is recognized through the accretion of discount. |
|
|
| (k) |
|
All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. |
|
|
| (l) |
|
Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in
transactions exempt from registration or to the public if the securities are subsequently registered and the registration statement is effective. Disposal of these securities may involve time consuming negotiations and prompt sale at an acceptable
price may be difficult. Total market value of restricted securities amounts to $46,005,588, which represents approximately 1.2% of the Fund’s net assets as of June 30, 2018. |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Restricted Security |
|
Acquisition Date |
|
|
Cost |
|
|
|
Blue Ridge Mountain Resources, Inc. (Common Stocks) |
|
|
05/06/16 - 08/18/16 |
|
|
$ |
76,509,670 |
|
|
|
|
|
|
| (m) |
|
Represents an affiliated issuer. |
|
|
|
| |
| Currency Abbreviations: |
| ARS |
|
— Argentine Peso |
| AUD |
|
— Australian Dollar |
| BRL |
|
— Brazilian Real |
| CAD |
|
— Canadian Dollar |
| CHF |
|
— Swiss Franc |
| CLP |
|
— Chilean Peso |
| CNH |
|
— Chinese Yuan Renminbi Offshore |
| COP |
|
— Colombian Peso |
| CZK |
|
— Czech Koruna |
| DOP |
|
— Dominican Peso |
| EGP |
|
— Egyptian Pound |
| EUR |
|
— Euro |
| GBP |
|
— British Pound |
| HKD |
|
— Hong Kong Dollar |
| HUF |
|
— Hungarian Forint |
|
|
|
| IDR |
|
— Indonesian Rupiah |
| INR |
|
— Indian Rupee |
| JPY |
|
— Japanese Yen |
| KRW |
|
— South Korean Won |
| MXN |
|
— Mexican Peso |
| NOK |
|
— Norwegian Krone |
| NZD |
|
— New Zealand Dollar |
| PLN |
|
— Polish Zloty |
| RUB |
|
— Russian Ruble |
| SEK |
|
— Swedish Krona |
| SGD |
|
— Singapore Dollar |
| THB |
|
— Thai Baht |
| TRY |
|
— Turkish Lira |
| TWD |
|
— Taiwan Dollar |
| USD |
|
— U.S. Dollar |
| ZAR |
|
— South African Rand |
|
| Investment Abbreviations: |
| AUDOR |
|
— Australian Dollar Offered Rate |
| CDOR |
|
— Canadian Dollar Offered Rate |
| CHFOR |
|
— Swiss Franc Offered Rate |
| CLO |
|
— Collateralized Loan Obligation |
| COF |
|
— Cost of Funds |
| CPI |
|
— Consumer Price Index |
| EURO |
|
— Euro Offered Rate |
| FFCB |
|
— Federal Farm Credit Bank |
| FHLMC |
|
— Federal Home Loan Mortgage Corp. |
| FNMA |
|
— Federal National Mortgage Association |
| GNMA |
|
— Government National Mortgage Association |
| GO |
|
— General Obligation |
| JIBAR |
|
— Johannesburg Interbank Agreed Rate |
| JYOR |
|
— Japanese Yen Offered Rate |
| KWCDC |
|
— South Korean Won Certificate of Deposit |
| LIBOR |
|
— London Interbank Offered Rate |
| LLC |
|
— Limited Liability Company |
| LP |
|
— Limited Partnership |
| MTA |
|
— Monthly Treasury Average |
| NIBOR |
|
— Norwegian Interbank Offered Rate |
| NZDOR |
|
— New Zealand Dollar Offered Rate |
| PI |
|
— Private Investment |
| PLC |
|
— Public Limited Company |
| RB |
|
— Revenue Bond |
| REMIC |
|
— Real Estate Mortgage Investment Conduit |
| STIBOR |
|
— Stockholm Interbank Offered Rate |
| STRIPS |
|
— Separate Trading of Registered Interest and Principal of
Securities |
| TIIE |
|
— La Tasa de Interbank Equilibrium Interest Rate |
| WIBOR |
|
— Warsaw Interbank Offered Rate |
| |
|
For information on the mutual funds, please call our
toll free Shareholder Services Line at 1-800-526-7384
or visit us on the web at
www.GSAMFUNDS.com. |
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30,
2018, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED
GAIN
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Gain |
|
| |
|
| MS & Co. Int. PLC |
|
AUD |
|
|
33,815,087 |
|
|
NZD |
|
|
36,314,068 |
|
|
$ |
25,030,999 |
|
|
|
09/19/18 |
|
|
$ |
433,476 |
|
|
|
AUD |
|
|
11,334,097 |
|
|
USD |
|
|
8,372,328 |
|
|
|
8,389,858 |
|
|
|
09/19/18 |
|
|
|
17,530 |
|
|
|
BRL |
|
|
27,789,997 |
|
|
USD |
|
|
7,102,784 |
|
|
|
7,167,648 |
|
|
|
07/03/18 |
|
|
|
64,865 |
|
|
|
CAD |
|
|
3,368,551 |
|
|
EUR |
|
|
2,164,400 |
|
|
|
2,565,829 |
|
|
|
09/19/18 |
|
|
|
22,814 |
|
|
|
CAD |
|
|
16,951,086 |
|
|
USD |
|
|
12,844,569 |
|
|
|
12,911,660 |
|
|
|
09/19/18 |
|
|
|
67,090 |
|
|
|
CHF |
|
|
48,337,618 |
|
|
EUR |
|
|
41,665,167 |
|
|
|
49,152,901 |
|
|
|
09/19/18 |
|
|
|
199,305 |
|
|
|
CHF |
|
|
17,142,951 |
|
|
USD |
|
|
17,415,150 |
|
|
|
17,432,092 |
|
|
|
09/19/18 |
|
|
|
16,942 |
|
|
|
EUR |
|
|
15,043,494 |
|
|
AUD |
|
|
23,671,991 |
|
|
|
17,675,031 |
|
|
|
09/19/18 |
|
|
|
152,273 |
|
|
|
EUR |
|
|
22,537,025 |
|
|
CAD |
|
|
34,658,443 |
|
|
|
26,479,395 |
|
|
|
09/19/18 |
|
|
|
80,022 |
|
|
|
EUR |
|
|
15,087,586 |
|
|
CNH |
|
|
113,158,859 |
|
|
|
17,726,836 |
|
|
|
09/19/18 |
|
|
|
721,595 |
|
|
|
EUR |
|
|
7,486,656 |
|
|
CZK |
|
|
192,938,614 |
|
|
|
8,796,286 |
|
|
|
09/19/18 |
|
|
|
85,398 |
|
|
|
EUR |
|
|
67,591,840 |
|
|
GBP |
|
|
59,293,331 |
|
|
|
79,415,585 |
|
|
|
09/19/18 |
|
|
|
881,611 |
|
|
|
EUR |
|
|
7,208,587 |
|
|
HUF |
|
|
2,372,230,786 |
|
|
|
8,469,575 |
|
|
|
09/19/18 |
|
|
|
17,272 |
|
|
|
EUR |
|
|
7,524,501 |
|
|
JPY |
|
|
964,926,906 |
|
|
|
8,840,751 |
|
|
|
09/19/18 |
|
|
|
76,079 |
|
|
|
EUR |
|
|
25,356,686 |
|
|
NOK |
|
|
240,381,719 |
|
|
|
29,792,295 |
|
|
|
09/19/18 |
|
|
|
182,181 |
|
|
|
EUR |
|
|
60,111,093 |
|
|
NZD |
|
|
101,028,864 |
|
|
|
70,626,240 |
|
|
|
09/19/18 |
|
|
|
2,193,819 |
|
|
|
EUR |
|
|
30,198,834 |
|
|
PLN |
|
|
130,932,077 |
|
|
|
35,481,473 |
|
|
|
09/19/18 |
|
|
|
480,457 |
|
|
|
EUR |
|
|
115,830,739 |
|
|
SEK |
|
|
1,194,938,369 |
|
|
|
136,092,845 |
|
|
|
09/19/18 |
|
|
|
1,854,749 |
|
|
|
EUR |
|
|
5,061,000 |
|
|
USD |
|
|
5,906,420 |
|
|
|
5,937,667 |
|
|
|
08/31/18 |
|
|
|
31,247 |
|
|
|
EUR |
|
|
123,883,834 |
|
|
USD |
|
|
144,616,892 |
|
|
|
145,554,659 |
|
|
|
09/19/18 |
|
|
|
937,768 |
|
|
|
GBP |
|
|
2,619,418 |
|
|
AUD |
|
|
4,637,156 |
|
|
|
3,469,417 |
|
|
|
09/19/18 |
|
|
|
36,847 |
|
|
|
GBP |
|
|
15,031,000 |
|
|
USD |
|
|
19,839,718 |
|
|
|
19,877,744 |
|
|
|
08/14/18 |
|
|
|
38,026 |
|
|
|
HKD |
|
|
129,525,178 |
|
|
USD |
|
|
16,523,933 |
|
|
|
16,531,650 |
|
|
|
09/19/18 |
|
|
|
7,718 |
|
|
|
JPY |
|
|
968,680,898 |
|
|
EUR |
|
|
7,484,247 |
|
|
|
8,798,770 |
|
|
|
09/19/18 |
|
|
|
5,314 |
|
|
|
KRW |
|
|
2,165,224,214 |
|
|
USD |
|
|
1,939,731 |
|
|
|
1,943,960 |
|
|
|
07/05/18 |
|
|
|
4,229 |
|
|
|
KRW |
|
|
38,437,751,642 |
|
|
USD |
|
|
34,392,197 |
|
|
|
34,533,580 |
|
|
|
07/26/18 |
|
|
|
141,383 |
|
|
|
KRW |
|
|
29,669,510,426 |
|
|
USD |
|
|
26,641,085 |
|
|
|
26,661,314 |
|
|
|
08/03/18 |
|
|
|
20,229 |
|
|
|
MXN |
|
|
566,306,378 |
|
|
USD |
|
|
27,004,438 |
|
|
|
28,156,005 |
|
|
|
09/19/18 |
|
|
|
1,151,568 |
|
|
|
NOK |
|
|
234,079,073 |
|
|
USD |
|
|
28,707,579 |
|
|
|
28,833,758 |
|
|
|
09/19/18 |
|
|
|
126,178 |
|
|
|
RUB |
|
|
156,258,144 |
|
|
USD |
|
|
2,454,111 |
|
|
|
2,475,730 |
|
|
|
08/15/18 |
|
|
|
21,619 |
|
|
|
RUB |
|
|
595,039,088 |
|
|
USD |
|
|
9,308,136 |
|
|
|
9,422,481 |
|
|
|
08/20/18 |
|
|
|
114,345 |
|
|
|
SGD |
|
|
26,275,511 |
|
|
USD |
|
|
19,270,417 |
|
|
|
19,318,226 |
|
|
|
09/19/18 |
|
|
|
47,809 |
|
|
|
TRY |
|
|
140,185,597 |
|
|
USD |
|
|
29,108,366 |
|
|
|
29,486,871 |
|
|
|
09/19/18 |
|
|
|
378,504 |
|
|
|
USD |
|
|
4,666,457 |
|
|
ARS |
|
|
98,928,892 |
|
|
|
3,408,638 |
|
|
|
07/03/18 |
|
|
|
1,257,819 |
|
|
|
USD |
|
|
13,776,667 |
|
|
ARS |
|
|
291,927,570 |
|
|
|
10,035,899 |
|
|
|
07/05/18 |
|
|
|
3,740,768 |
|
|
|
USD |
|
|
28,722,742 |
|
|
ARS |
|
|
804,811,235 |
|
|
|
27,452,032 |
|
|
|
07/12/18 |
|
|
|
1,270,710 |
|
|
|
USD |
|
|
3,468,147 |
|
|
ARS |
|
|
98,928,892 |
|
|
|
3,308,105 |
|
|
|
07/31/18 |
|
|
|
160,042 |
|
|
|
USD |
|
|
35,028,609 |
|
|
AUD |
|
|
46,526,067 |
|
|
|
34,440,070 |
|
|
|
09/19/18 |
|
|
|
588,540 |
|
|
|
USD |
|
|
152,368,302 |
|
|
BRL |
|
|
572,258,532 |
|
|
|
147,598,000 |
|
|
|
07/03/18 |
|
|
|
4,770,304 |
|
|
|
USD |
|
|
19,753,820 |
|
|
BRL |
|
|
75,340,976 |
|
|
|
19,363,961 |
|
|
|
08/02/18 |
|
|
|
389,859 |
|
|
|
USD |
|
|
91,217,552 |
|
|
CAD |
|
|
118,274,503 |
|
|
|
90,089,815 |
|
|
|
09/19/18 |
|
|
|
1,127,738 |
|
|
|
USD |
|
|
19,329,913 |
|
|
CLP |
|
|
12,237,767,839 |
|
|
|
18,729,919 |
|
|
|
07/05/18 |
|
|
|
599,994 |
|
|
|
USD |
|
|
19,242,368 |
|
|
CLP |
|
|
12,232,246,889 |
|
|
|
18,722,250 |
|
|
|
07/18/18 |
|
|
|
520,119 |
|
|
|
USD |
|
|
151,078,397 |
|
|
CNH |
|
|
977,787,928 |
|
|
|
146,939,623 |
|
|
|
09/19/18 |
|
|
|
4,138,775 |
|
|
|
USD |
|
|
8,420,378 |
|
|
CZK |
|
|
182,265,407 |
|
|
|
8,229,009 |
|
|
|
09/19/18 |
|
|
|
191,370 |
|
|
|
USD |
|
|
78,085,806 |
|
|
EUR |
|
|
65,895,751 |
|
|
|
77,310,214 |
|
|
|
08/31/18 |
|
|
|
775,592 |
|
|
|
USD |
|
|
14,030,576 |
|
|
EUR |
|
|
11,845,363 |
|
|
|
13,917,455 |
|
|
|
09/19/18 |
|
|
|
113,121 |
|
|
|
USD |
|
|
91,747,097 |
|
|
GBP |
|
|
68,687,674 |
|
|
|
90,836,004 |
|
|
|
08/14/18 |
|
|
|
911,095 |
|
|
|
USD |
|
|
21,779,232 |
|
|
GBP |
|
|
16,268,532 |
|
|
|
21,547,658 |
|
|
|
09/19/18 |
|
|
|
231,574 |
|
|
|
USD |
|
|
98,725,668 |
|
|
HKD |
|
|
770,439,416 |
|
|
|
98,333,276 |
|
|
|
09/19/18 |
|
|
|
392,392 |
|
|
|
USD |
|
|
53,302,050 |
|
|
IDR |
|
|
760,673,550,562 |
|
|
|
53,136,094 |
|
|
|
07/02/18 |
|
|
|
165,956 |
|
|
|
USD |
|
|
3,443,248 |
|
|
IDR |
|
|
48,517,082,280 |
|
|
|
3,385,305 |
|
|
|
07/23/18 |
|
|
|
57,943 |
|
|
|
USD |
|
|
18,172,810 |
|
|
IDR |
|
|
255,541,722,128 |
|
|
|
17,814,344 |
|
|
|
07/27/18 |
|
|
|
358,467 |
|
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Gain |
|
| |
|
| MS & Co. Int. PLC (continued) |
|
USD |
|
|
62,109,373 |
|
|
|
INR |
|
|
|
4,208,488,247 |
|
|
$ |
61,384,018 |
|
|
|
07/11/18 |
|
|
$ |
725,356 |
|
|
|
USD |
|
|
25,335,712 |
|
|
|
INR |
|
|
|
1,729,202,346 |
|
|
|
25,192,343 |
|
|
|
07/19/18 |
|
|
|
143,369 |
|
|
|
USD |
|
|
158,629,936 |
|
|
|
JPY |
|
|
|
17,372,151,256 |
|
|
|
157,323,125 |
|
|
|
08/08/18 |
|
|
|
1,306,811 |
|
|
|
USD |
|
|
88,273,127 |
|
|
|
JPY |
|
|
|
9,657,056,802 |
|
|
|
87,717,457 |
|
|
|
09/19/18 |
|
|
|
555,669 |
|
|
|
USD |
|
|
2,012,851 |
|
|
|
KRW |
|
|
|
2,165,224,214 |
|
|
|
1,943,960 |
|
|
|
07/05/18 |
|
|
|
68,891 |
|
|
|
USD |
|
|
15,308,302 |
|
|
|
KRW |
|
|
|
16,993,011,607 |
|
|
|
15,267,010 |
|
|
|
07/26/18 |
|
|
|
41,293 |
|
|
|
USD |
|
|
19,745,403 |
|
|
|
NOK |
|
|
|
159,557,667 |
|
|
|
19,654,244 |
|
|
|
09/19/18 |
|
|
|
91,158 |
|
|
|
USD |
|
|
86,323,037 |
|
|
|
NZD |
|
|
|
125,239,121 |
|
|
|
84,831,364 |
|
|
|
09/19/18 |
|
|
|
1,491,674 |
|
|
|
USD |
|
|
2,527,299 |
|
|
|
PLN |
|
|
|
9,408,000 |
|
|
|
2,513,331 |
|
|
|
08/13/18 |
|
|
|
13,968 |
|
|
|
USD |
|
|
8,913,299 |
|
|
|
SEK |
|
|
|
76,444,277 |
|
|
|
8,587,669 |
|
|
|
09/19/18 |
|
|
|
325,630 |
|
|
|
USD |
|
|
32,055,604 |
|
|
|
SGD |
|
|
|
42,711,207 |
|
|
|
31,402,044 |
|
|
|
09/19/18 |
|
|
|
653,560 |
|
|
|
USD |
|
|
8,704,163 |
|
|
|
THB |
|
|
|
285,770,726 |
|
|
|
8,635,909 |
|
|
|
08/14/18 |
|
|
|
68,254 |
|
|
|
USD |
|
|
8,577,345 |
|
|
|
TRY |
|
|
|
40,555,233 |
|
|
|
8,530,455 |
|
|
|
09/19/18 |
|
|
|
46,890 |
|
|
|
USD |
|
|
8,877,894 |
|
|
|
TWD |
|
|
|
263,518,978 |
|
|
|
8,657,992 |
|
|
|
07/09/18 |
|
|
|
219,902 |
|
|
|
USD |
|
|
66,348,257 |
|
|
|
TWD |
|
|
|
2,004,394,142 |
|
|
|
65,877,675 |
|
|
|
07/16/18 |
|
|
|
470,581 |
|
|
|
USD |
|
|
120,761,367 |
|
|
|
TWD |
|
|
|
3,629,599,655 |
|
|
|
119,357,426 |
|
|
|
07/27/18 |
|
|
|
1,403,942 |
|
|
|
USD |
|
|
38,285,083 |
|
|
|
ZAR |
|
|
|
481,392,802 |
|
|
|
34,917,021 |
|
|
|
08/08/18 |
|
|
|
3,368,061 |
|
|
|
USD |
|
|
27,295,621 |
|
|
|
ZAR |
|
|
|
374,211,870 |
|
|
|
26,995,618 |
|
|
|
09/19/18 |
|
|
|
300,003 |
|
|
|
ZAR |
|
|
120,388,883 |
|
|
|
USD |
|
|
|
8,680,381 |
|
|
|
8,684,846 |
|
|
|
09/19/18 |
|
|
|
4,464 |
|
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
43,671,916 |
|
| |
|
| FORWARD FOREIGN CURRENCY
EXCHANGE CONTRACTS WITH UNREALIZED LOSS |
|
| Counterparty |
|
|
|
Currency
Purchased |
|
|
|
|
|
Currency
Sold |
|
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Loss |
|
| |
|
| MS & Co. Int. PLC |
|
ARS |
|
|
98,928,892 |
|
|
|
USD |
|
|
|
3,567,576 |
|
|
$ |
3,408,638 |
|
|
|
07/03/18 |
|
|
$ |
(158,940 |
) |
|
|
ARS |
|
|
505,360,366 |
|
|
|
USD |
|
|
|
22,140,614 |
|
|
|
17,373,301 |
|
|
|
07/05/18 |
|
|
|
(4,767,314 |
) |
|
|
ARS |
|
|
214,515,788 |
|
|
|
USD |
|
|
|
8,330,710 |
|
|
|
7,333,455 |
|
|
|
07/10/18 |
|
|
|
(997,255 |
) |
|
|
ARS |
|
|
434,117,791 |
|
|
|
USD |
|
|
|
20,477,254 |
|
|
|
14,807,715 |
|
|
|
07/12/18 |
|
|
|
(5,669,539 |
) |
|
|
ARS |
|
|
429,733,096 |
|
|
|
USD |
|
|
|
20,201,344 |
|
|
|
14,544,708 |
|
|
|
07/19/18 |
|
|
|
(5,656,636 |
) |
|
|
ARS |
|
|
25,858,342 |
|
|
|
USD |
|
|
|
1,035,576 |
|
|
|
856,284 |
|
|
|
08/10/18 |
|
|
|
(179,293 |
) |
|
|
ARS |
|
|
424,296,770 |
|
|
|
USD |
|
|
|
15,978,708 |
|
|
|
13,955,447 |
|
|
|
08/17/18 |
|
|
|
(2,023,260 |
) |
|
|
AUD |
|
|
14,905,186 |
|
|
|
EUR |
|
|
|
9,428,816 |
|
|
|
11,033,291 |
|
|
|
09/19/18 |
|
|
|
(44,896 |
) |
|
|
AUD |
|
|
5,079,959 |
|
|
|
GBP |
|
|
|
2,840,934 |
|
|
|
3,760,346 |
|
|
|
09/19/18 |
|
|
|
(2,469 |
) |
|
|
AUD |
|
|
276,506,687 |
|
|
|
USD |
|
|
|
206,077,802 |
|
|
|
204,679,013 |
|
|
|
09/19/18 |
|
|
|
(1,398,789 |
) |
|
|
BRL |
|
|
544,468,535 |
|
|
|
USD |
|
|
|
144,096,087 |
|
|
|
140,430,353 |
|
|
|
07/03/18 |
|
|
|
(3,665,733 |
) |
|
|
BRL |
|
|
51,499,120 |
|
|
|
USD |
|
|
|
13,297,105 |
|
|
|
13,236,183 |
|
|
|
08/02/18 |
|
|
|
(60,922 |
) |
|
|
CAD |
|
|
107,488,971 |
|
|
|
USD |
|
|
|
82,458,321 |
|
|
|
81,874,465 |
|
|
|
09/19/18 |
|
|
|
(583,857 |
) |
|
|
CLP |
|
|
12,237,767,839 |
|
|
|
USD |
|
|
|
19,303,327 |
|
|
|
18,729,919 |
|
|
|
07/05/18 |
|
|
|
(573,408 |
) |
|
|
CLP |
|
|
4,762,278,025 |
|
|
|
USD |
|
|
|
7,318,700 |
|
|
|
7,289,171 |
|
|
|
08/06/18 |
|
|
|
(29,529 |
) |
|
|
CNH |
|
|
110,880,917 |
|
|
|
EUR |
|
|
|
14,487,590 |
|
|
|
16,662,918 |
|
|
|
09/19/18 |
|
|
|
(358,966 |
) |
|
|
CNH |
|
|
231,635,950 |
|
|
|
USD |
|
|
|
35,069,013 |
|
|
|
34,809,695 |
|
|
|
09/19/18 |
|
|
|
(259,319 |
) |
|
|
COP |
|
|
9,244,498,168 |
|
|
|
USD |
|
|
|
3,159,594 |
|
|
|
3,150,625 |
|
|
|
07/23/18 |
|
|
|
(8,969 |
) |
|
|
COP |
|
|
34,923,488,534 |
|
|
|
USD |
|
|
|
11,929,980 |
|
|
|
11,900,894 |
|
|
|
07/26/18 |
|
|
|
(29,086 |
) |
|
|
COP |
|
|
144,392,630,597 |
|
|
|
USD |
|
|
|
49,284,125 |
|
|
|
49,145,524 |
|
|
|
08/22/18 |
|
|
|
(138,601 |
) |
|
|
EUR |
|
|
52,388,371 |
|
|
|
USD |
|
|
|
61,938,889 |
|
|
|
61,552,594 |
|
|
|
09/19/18 |
|
|
|
(386,295 |
) |
|
|
GBP |
|
|
40,883,614 |
|
|
|
EUR |
|
|
|
46,349,152 |
|
|
|
54,150,318 |
|
|
|
09/19/18 |
|
|
|
(306,624 |
) |
|
|
GBP |
|
|
190,455,485 |
|
|
|
USD |
|
|
|
254,160,720 |
|
|
|
252,258,152 |
|
|
|
09/19/18 |
|
|
|
(1,902,569 |
) |
|
|
HKD |
|
|
640,914,239 |
|
|
|
USD |
|
|
|
81,954,388 |
|
|
|
81,801,625 |
|
|
|
09/19/18 |
|
|
|
(152,762 |
) |
|
|
HUF |
|
|
32,395,081,998 |
|
|
|
EUR |
|
|
|
100,293,333 |
|
|
|
115,424,297 |
|
|
|
09/19/18 |
|
|
|
(2,413,205 |
) |
|
|
IDR |
|
|
760,673,550,562 |
|
|
|
USD |
|
|
|
53,425,590 |
|
|
|
53,136,094 |
|
|
|
07/02/18 |
|
|
|
(289,496 |
) |
|
|
IDR |
|
|
1,380,605,171,491 |
|
|
|
USD |
|
|
|
97,503,407 |
|
|
|
96,244,849 |
|
|
|
07/27/18 |
|
|
|
(1,258,558 |
) |
|
|
IDR |
|
|
921,636,991,382 |
|
|
|
USD |
|
|
|
65,041,425 |
|
|
|
64,003,310 |
|
|
|
08/16/18 |
|
|
|
(1,038,115 |
) |
|
|
INR |
|
|
2,377,334,519 |
|
|
|
USD |
|
|
|
34,857,255 |
|
|
|
34,675,241 |
|
|
|
07/11/18 |
|
|
|
(182,014 |
) |
|
|
INR |
|
|
1,180,281,873 |
|
|
|
USD |
|
|
|
17,267,472 |
|
|
|
17,195,248 |
|
|
|
07/19/18 |
|
|
|
(72,223 |
) |
|
|
JPY |
|
|
20,494,608,358 |
|
|
|
USD |
|
|
|
186,971,072 |
|
|
|
186,157,643 |
|
|
|
09/19/18 |
|
|
|
(813,428 |
) |
|
|
KRW |
|
|
38,437,751,642 |
|
|
|
USD |
|
|
|
35,071,954 |
|
|
|
34,519,825 |
|
|
|
07/09/18 |
|
|
|
(552,128 |
) |
|
|
MXN |
|
|
146,505,076 |
|
|
|
USD |
|
|
|
7,318,700 |
|
|
|
7,284,039 |
|
|
|
09/19/18 |
|
|
|
(34,661 |
) |
|
|
NOK |
|
|
457,405,910 |
|
|
|
EUR |
|
|
|
48,119,421 |
|
|
|
56,343,062 |
|
|
|
09/19/18 |
|
|
|
(193,821 |
) |
|
|
NOK |
|
|
71,076,803 |
|
|
|
USD |
|
|
|
8,760,513 |
|
|
|
8,755,210 |
|
|
|
09/19/18 |
|
|
|
(5,304 |
) |
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
|
|
|
Currency
Purchased |
|
|
|
|
|
Currency
Sold |
|
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Loss |
|
| |
|
| MS & Co. Int. PLC (continued) |
|
|
NZD |
|
|
|
61,615,989 |
|
|
|
AUD |
|
|
|
56,777,119 |
|
|
$ |
41,735,908 |
|
|
|
09/19/18 |
|
|
$ |
(292,315 |
) |
|
|
|
NZD |
|
|
|
259,999,222 |
|
|
|
USD |
|
|
|
182,244,526 |
|
|
|
176,111,814 |
|
|
|
09/19/18 |
|
|
|
(6,132,712 |
) |
|
|
|
PLN |
|
|
|
317,831,760 |
|
|
|
EUR |
|
|
|
73,914,286 |
|
|
|
84,963,398 |
|
|
|
09/19/18 |
|
|
|
(1,880,608 |
) |
|
|
|
PLN |
|
|
|
199,025,499 |
|
|
|
USD |
|
|
|
54,927,072 |
|
|
|
53,203,880 |
|
|
|
09/19/18 |
|
|
|
(1,723,192 |
) |
|
|
|
RUB |
|
|
|
620,948,545 |
|
|
|
USD |
|
|
|
9,852,807 |
|
|
|
9,832,759 |
|
|
|
08/20/18 |
|
|
|
(20,049 |
) |
|
|
|
SEK |
|
|
|
4,356,013,472 |
|
|
|
EUR |
|
|
|
427,607,191 |
|
|
|
489,349,893 |
|
|
|
09/19/18 |
|
|
|
(13,058,015 |
) |
|
|
|
SEK |
|
|
|
74,305,949 |
|
|
|
USD |
|
|
|
8,414,731 |
|
|
|
8,347,450 |
|
|
|
09/19/18 |
|
|
|
(67,281 |
) |
|
|
|
SGD |
|
|
|
23,715,158 |
|
|
|
EUR |
|
|
|
14,965,332 |
|
|
|
17,435,809 |
|
|
|
09/19/18 |
|
|
|
(147,388 |
) |
|
|
|
SGD |
|
|
|
12,532,417 |
|
|
|
USD |
|
|
|
9,248,504 |
|
|
|
9,214,057 |
|
|
|
09/19/18 |
|
|
|
(34,447 |
) |
|
|
|
THB |
|
|
|
286,978,011 |
|
|
|
USD |
|
|
|
8,974,513 |
|
|
|
8,672,393 |
|
|
|
08/14/18 |
|
|
|
(302,120 |
) |
|
|
|
TWD |
|
|
|
262,790,966 |
|
|
|
USD |
|
|
|
8,878,073 |
|
|
|
8,634,073 |
|
|
|
07/09/18 |
|
|
|
(244,000 |
) |
|
|
|
TWD |
|
|
|
1,624,239,006 |
|
|
|
USD |
|
|
|
54,260,716 |
|
|
|
53,412,224 |
|
|
|
07/27/18 |
|
|
|
(848,492 |
) |
|
|
|
USD |
|
|
|
101,859,429 |
|
|
|
AUD |
|
|
|
138,444,005 |
|
|
|
102,480,641 |
|
|
|
09/19/18 |
|
|
|
(621,210 |
) |
|
|
|
USD |
|
|
|
57,239,464 |
|
|
|
CAD |
|
|
|
75,792,853 |
|
|
|
57,731,497 |
|
|
|
09/19/18 |
|
|
|
(492,032 |
) |
|
|
|
USD |
|
|
|
8,325,170 |
|
|
|
COP |
|
|
|
24,482,794,313 |
|
|
|
8,343,013 |
|
|
|
07/26/18 |
|
|
|
(17,844 |
) |
|
|
|
USD |
|
|
|
4,276,536 |
|
|
|
EUR |
|
|
|
3,652,730 |
|
|
|
4,285,456 |
|
|
|
08/31/18 |
|
|
|
(8,920 |
) |
|
|
|
USD |
|
|
|
362,481,566 |
|
|
|
EUR |
|
|
|
310,001,444 |
|
|
|
364,229,552 |
|
|
|
09/19/18 |
|
|
|
(1,747,985 |
) |
|
|
|
USD |
|
|
|
41,171,707 |
|
|
|
GBP |
|
|
|
31,250,313 |
|
|
|
41,391,016 |
|
|
|
09/19/18 |
|
|
|
(219,309 |
) |
|
|
|
USD |
|
|
|
8,425,287 |
|
|
|
INR |
|
|
|
579,406,984 |
|
|
|
8,441,244 |
|
|
|
07/19/18 |
|
|
|
(15,957 |
) |
|
|
|
USD |
|
|
|
34,379,893 |
|
|
|
KRW |
|
|
|
38,437,751,642 |
|
|
|
34,519,826 |
|
|
|
07/09/18 |
|
|
|
(139,934 |
) |
|
|
|
USD |
|
|
|
92,979,710 |
|
|
|
KRW |
|
|
|
103,852,105,499 |
|
|
|
93,303,716 |
|
|
|
07/26/18 |
|
|
|
(324,005 |
) |
|
|
|
USD |
|
|
|
17,164,703 |
|
|
|
KRW |
|
|
|
19,172,424,895 |
|
|
|
17,226,673 |
|
|
|
07/31/18 |
|
|
|
(61,969 |
) |
|
|
|
USD |
|
|
|
32,645,952 |
|
|
|
MXN |
|
|
|
676,603,673 |
|
|
|
33,746,167 |
|
|
|
08/28/18 |
|
|
|
(1,100,215 |
) |
|
|
|
USD |
|
|
|
46,587,414 |
|
|
|
MXN |
|
|
|
975,822,480 |
|
|
|
48,516,604 |
|
|
|
09/19/18 |
|
|
|
(1,929,190 |
) |
|
|
|
USD |
|
|
|
33,987,022 |
|
|
|
RUB |
|
|
|
2,169,767,926 |
|
|
|
34,358,409 |
|
|
|
08/20/18 |
|
|
|
(371,389 |
) |
|
|
|
USD |
|
|
|
27,419,282 |
|
|
|
TRY |
|
|
|
134,121,562 |
|
|
|
28,211,353 |
|
|
|
09/19/18 |
|
|
|
(792,071 |
) |
|
|
|
USD |
|
|
|
8,378,594 |
|
|
|
TWD |
|
|
|
255,228,728 |
|
|
|
8,393,059 |
|
|
|
07/27/18 |
|
|
|
(14,465 |
) |
|
|
|
USD |
|
|
|
20,601,874 |
|
|
|
ZAR |
|
|
|
287,473,969 |
|
|
|
20,738,351 |
|
|
|
09/19/18 |
|
|
|
(136,479 |
) |
|
|
|
ZAR |
|
|
|
2,079,421,769 |
|
|
|
USD |
|
|
|
154,712,387 |
|
|
|
150,009,341 |
|
|
|
09/19/18 |
|
|
|
(4,703,047 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(73,654,624 |
) |
| |
|
FUTURES CONTRACTS — At June 30, 2018, the Fund had the following futures contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Number of
Contracts |
|
Expiration
Date |
|
Notional
Amount |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Long position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
| Australian 3 Year Government Bonds |
|
4,223 |
|
09/17/18 |
|
$ |
347,974,281 |
|
|
$ |
823,851 |
|
| Eurodollars |
|
1,495 |
|
09/17/18 |
|
|
364,574,438 |
|
|
|
33,907 |
|
| Italian 10 Year Government Bonds |
|
574 |
|
09/06/18 |
|
|
74,184,006 |
|
|
|
120,504 |
|
| Ultra Long U.S. Treasury Bonds |
|
250 |
|
09/19/18 |
|
|
39,890,625 |
|
|
|
327,481 |
|
| 10 Year German Euro-Bund |
|
518 |
|
09/06/18 |
|
|
98,329,812 |
|
|
|
427,188 |
|
| 10 Year U.S. Treasury Notes |
|
4,146 |
|
09/19/18 |
|
|
498,297,375 |
|
|
|
1,102,894 |
|
| |
|
| Total |
|
|
|
|
|
|
|
|
|
$ |
2,835,825 |
|
| |
|
| Short position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
| Eurodollars |
|
(927) |
|
12/17/18 |
|
|
(225,631,800 |
) |
|
|
1,690,431 |
|
| Eurodollars |
|
(1,591) |
|
06/17/19 |
|
|
(386,394,238 |
) |
|
|
3,398,105 |
|
| Eurodollars |
|
(884) |
|
12/16/19 |
|
|
(214,447,350 |
) |
|
|
394,215 |
|
| Eurodollars |
|
(6,252) |
|
12/14/20 |
|
|
(1,516,422,600 |
) |
|
|
398,197 |
|
| French 10 Year Government Bonds |
|
(575) |
|
09/06/18 |
|
|
(103,771,293 |
) |
|
|
(463,444 |
) |
| Japan 10 Year Government Bonds |
|
(69) |
|
09/12/18 |
|
|
(94,006,774 |
) |
|
|
(143,585 |
) |
| Ultra 10 Year U.S. Treasury Notes |
|
(153) |
|
09/19/18 |
|
|
(19,619,859 |
) |
|
|
(204,558 |
) |
| 3 Month Euro Euribor |
|
(2,813) |
|
12/16/19 |
|
|
(822,322,994 |
) |
|
|
(209,077 |
) |
| 2 Year U.S. Treasury Notes |
|
(1,538) |
|
09/28/18 |
|
|
(325,791,658 |
) |
|
|
54,571 |
|
| 5 Year U.S. Treasury Notes |
|
(11,532) |
|
09/28/18 |
|
|
(1,310,233,412 |
) |
|
|
(327,011 |
) |
| 20 Year U.S. Treasury Bonds |
|
(1,401) |
|
09/19/18 |
|
|
(203,145,000 |
) |
|
|
(2,943,561 |
) |
| |
|
| Total |
|
|
|
|
|
|
|
|
|
$ |
1,644,283 |
|
| |
|
| TOTAL FUTURES CONTRACTS |
|
|
|
|
|
|
|
|
|
$ |
4,480,108 |
|
| |
|
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
SWAP CONTRACTS — At June 30, 2018, the Fund had the following swap contracts:
OVER THE COUNTER INTEREST RATE SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Payments Made
by the Fund |
|
Payments
Received by
the Fund (%) |
|
Counterparty |
|
Termination
Date |
|
Notional
Amount
(000s) |
|
|
Value |
|
|
Upfront
Payments
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| 3M KWCDC(a) |
|
2.000% |
|
MS & Co. Int. PLC |
|
03/21/20 |
|
KRW |
583,560,210 |
|
|
$ |
633,734 |
|
|
$ |
49,019 |
|
|
$ |
584,715 |
|
| |
|
| (a) |
|
Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2018.
|
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Payments Made
by the Fund |
|
Payments
Received by
Fund (%) |
|
Termination
Date |
|
Notional
Amount
(000s) |
|
|
Market
Value |
|
|
Upfront
Premium
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| 3M STIBOR(a) |
|
0.330%(b) |
|
09/15/18 |
|
SEK |
5,993,640 |
|
|
$ |
(1,547,367 |
) |
|
$ |
97,578 |
|
|
$ |
(1,644,945 |
) |
| 6M WIBOR(c) |
|
3.048 |
|
06/17/19 |
|
PLN |
285,790 |
|
|
|
937,180 |
|
|
|
481,151 |
|
|
|
456,029 |
|
| Mexico Interbank TIIE 28
Days(d) |
|
7.600 |
|
06/17/20 |
|
MXN |
335,850 |
|
|
|
(162,012 |
) |
|
|
(14,486 |
) |
|
|
(147,526 |
) |
| 6M EURO(a) |
|
0.100(b) |
|
09/19/20 |
|
EUR |
572,490 |
(e) |
|
|
3,909,234 |
|
|
|
2,726,177 |
|
|
|
1,183,057 |
|
| 6M GBP(c) |
|
1.000 |
|
09/19/20 |
|
GBP |
402,410 |
(e) |
|
|
(925,514 |
) |
|
|
(893,344 |
) |
|
|
(32,170 |
) |
| 3M NIBOR(a) |
|
1.450(b) |
|
09/19/20 |
|
NOK |
2,152,550 |
(e) |
|
|
48,737 |
|
|
|
142,007 |
|
|
|
(93,270 |
) |
| 3M NIBOR(c) |
|
1.600(b) |
|
09/19/20 |
|
|
1,674,650 |
(e) |
|
|
305,615 |
|
|
|
300,277 |
|
|
|
5,338 |
|
| 6M CDOR(c) |
|
2.000 |
|
09/19/20 |
|
CAD |
310,710 |
(e) |
|
|
(1,607,661 |
) |
|
|
(1,799,353 |
) |
|
|
191,692 |
|
| 0.100%(b) |
|
3M STIBOR(a) |
|
09/19/20 |
|
SEK |
7,486,140 |
(e) |
|
|
(3,141,224 |
) |
|
|
(1,983,549 |
) |
|
|
(1,157,675 |
) |
| 3M JIBAR(a) |
|
7.500 |
|
09/19/20 |
|
ZAR |
529,600 |
(e) |
|
|
74,887 |
|
|
|
37,894 |
|
|
|
36,993 |
|
| 0.100(b) |
|
6M EURO(c) |
|
10/15/20 |
|
EUR |
64,230 |
(e) |
|
|
(364,816 |
) |
|
|
(353,996 |
) |
|
|
(10,820 |
) |
| 3M LIBOR(a) |
|
2.139(c) |
|
11/20/20 |
|
$ |
2,448,190 |
|
|
|
(36,038,336 |
) |
|
|
(2,318,682 |
) |
|
|
(33,719,654 |
) |
| 6M EURO(c) |
|
0.350(b) |
|
12/16/21 |
|
EUR |
951,470 |
|
|
|
2,987,264 |
|
|
|
(9,344,608 |
) |
|
|
12,331,872 |
|
| 0.500(b) |
|
3M STIBOR(a) |
|
12/16/21 |
|
SEK |
7,997,860 |
|
|
|
(1,525,681 |
) |
|
|
2,110,290 |
|
|
|
(3,635,971 |
) |
| 6M CDOR(c) |
|
2.028 |
|
07/18/22 |
|
|
219,320 |
(e) |
|
|
(2,463,127 |
) |
|
|
(7,018,207 |
) |
|
|
4,555,080 |
|
| 0.500(b) |
|
3M STIBOR(a) |
|
09/19/22 |
|
SEK |
2,697,470 |
(e) |
|
|
(2,290,218 |
) |
|
|
(607,468 |
) |
|
|
(1,682,750 |
) |
| 2.550(b) |
|
6M WIBOR(c) |
|
03/21/23 |
|
PLN |
649,890 |
|
|
|
(1,491,841 |
) |
|
|
(113,712 |
) |
|
|
(1,378,129 |
) |
| 6M EURO(c) |
|
0.750(b) |
|
06/15/23 |
|
EUR |
616,920 |
(e) |
|
|
4,608,289 |
|
|
|
(3,450,220 |
) |
|
|
8,058,509 |
|
| 6M EURO(c) |
|
0.500(b) |
|
09/19/23 |
|
|
586,660 |
(e) |
|
|
6,324,310 |
|
|
|
1,774,861 |
|
|
|
4,549,449 |
|
| 3M LIBOR(a) |
|
2.250(c) |
|
09/19/23 |
|
$ |
674,350 |
(e) |
|
|
(20,702,410 |
) |
|
|
(22,588,593 |
) |
|
|
1,886,183 |
|
| 2.750(c) |
|
3M NZDOR(a) |
|
09/19/23 |
|
NZD |
124,720 |
(e) |
|
|
(675,783 |
) |
|
|
197,605 |
|
|
|
(873,388 |
) |
| 0.750(b) |
|
3M STIBOR(a) |
|
09/19/23 |
|
SEK |
7,013,680 |
(e) |
|
|
(10,061,079 |
) |
|
|
(5,564,346 |
) |
|
|
(4,496,733 |
) |
| 2.250(c) |
|
6M CDOR |
|
09/19/23 |
|
CAD |
450 |
(e) |
|
|
3,815 |
|
|
|
3,580 |
|
|
|
235 |
|
| 0.500(b) |
|
6M EURO(c) |
|
09/19/23 |
|
EUR |
35,630 |
|
|
|
(384,098 |
) |
|
|
(108,694 |
) |
|
|
(275,404 |
) |
| 1.250(c) |
|
6M GBP |
|
09/19/23 |
|
GBP |
501,410 |
(e) |
|
|
3,102,087 |
|
|
|
3,409,952 |
|
|
|
(307,865 |
) |
| 2.275(c) |
|
3M LIBOR(a) |
|
11/20/23 |
|
$ |
1,089,280 |
|
|
|
32,835,692 |
|
|
|
1,372,995 |
|
|
|
31,462,697 |
|
| 6M GBP(c) |
|
1.200 |
|
11/21/23 |
|
GBP |
334,110 |
|
|
|
(3,715,553 |
) |
|
|
(22,650,569 |
) |
|
|
18,935,016 |
|
| 2.882(c) |
|
3M LIBOR(a) |
|
02/28/25 |
|
$ |
402,620 |
|
|
|
156,454 |
|
|
|
741,862 |
|
|
|
(585,408 |
) |
| 0.750(b) |
|
6M EURO(c) |
|
09/19/25 |
|
EUR |
30 |
|
|
|
(403 |
) |
|
|
(107 |
) |
|
|
(296 |
) |
| 2.000(b) |
|
3M STIBOR(a) |
|
11/02/27 |
|
SEK |
859,430 |
(e) |
|
|
(1,161,160 |
) |
|
|
(19,414 |
) |
|
|
(1,141,746 |
) |
| 3M LIBOR(a) |
|
2.750(c) |
|
12/21/27 |
|
$ |
87,710 |
|
|
|
(786,907 |
) |
|
|
(1,369,181 |
) |
|
|
582,274 |
|
| 2.250(b) |
|
3M STIBOR(a) |
|
12/21/27 |
|
SEK |
822,710 |
|
|
|
(2,075,773 |
) |
|
|
(1,481,258 |
) |
|
|
(594,515 |
) |
| 3.500(c) |
|
6M AUDOR |
|
12/21/27 |
|
AUD |
34,270 |
|
|
|
(378,292 |
) |
|
|
(1,118,827 |
) |
|
|
740,535 |
|
| 6M CHFOR(c) |
|
1.000(b) |
|
06/21/28 |
|
CHF |
43,880 |
(e) |
|
|
170,402 |
|
|
|
(683,689 |
) |
|
|
854,091 |
|
| 4.000(c) |
|
3M NZDOR(a) |
|
06/21/28 |
|
NZD |
65,210 |
(e) |
|
|
(776,796 |
) |
|
|
(174,942 |
) |
|
|
(601,854 |
) |
| 1.500(b) |
|
6M EURO(c) |
|
06/21/28 |
|
EUR |
57,160 |
(e) |
|
|
(7,423 |
) |
|
|
232,178 |
|
|
|
(239,601 |
) |
| 6M CDOR(c) |
|
2.250 |
|
09/19/28 |
|
CAD |
141,920 |
(e) |
|
|
(3,196,555 |
) |
|
|
(4,488,877 |
) |
|
|
1,292,322 |
|
| 3M LIBOR(a) |
|
2.500(c) |
|
09/19/28 |
|
$ |
1,400 |
|
|
|
(54,580 |
) |
|
|
(69,026 |
) |
|
|
14,446 |
|
| 6M AUDOR(c) |
|
2.750 |
|
09/19/28 |
|
AUD |
103,680 |
(e) |
|
|
(634,007 |
) |
|
|
(1,812,697 |
) |
|
|
1,178,690 |
|
| 3.250(c) |
|
3M NZDOR(a) |
|
09/19/28 |
|
NZD |
113,280 |
(e) |
|
|
(1,322,808 |
) |
|
|
40,066 |
|
|
|
(1,362,874 |
) |
| 1.250(b) |
|
3M STIBOR(a) |
|
09/19/28 |
|
SEK |
588,680 |
(e) |
|
|
(461,289 |
) |
|
|
675,582 |
|
|
|
(1,136,871 |
) |
| 1.000(b) |
|
6M EURO(c) |
|
09/19/28 |
|
EUR |
7,690 |
(e) |
|
|
(74,576 |
) |
|
|
27,838 |
|
|
|
(102,414 |
) |
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Payments Made
by the Fund |
|
Payments
Received by
Fund |
|
Termination
Date |
|
|
Notional
Amount
(000s) |
|
|
Market
Value |
|
|
Upfront
Premium
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| 1.500%(c) |
|
6M GBP |
|
|
09/19/28 |
|
|
GBP |
41,870 |
(e) |
|
$ |
260,204 |
|
|
$ |
431,306 |
|
|
$ |
(171,102 |
) |
| 1.400(c) |
|
6M GBP |
|
|
11/21/28 |
|
|
|
201,700 |
|
|
|
4,194,866 |
|
|
|
(13,472,092 |
) |
|
|
17,666,958 |
|
| 3M LIBOR(a) |
|
2.750%(c) |
|
|
06/16/37 |
|
|
$ |
45,670 |
(e) |
|
|
(880,175 |
) |
|
|
(1,227,814 |
) |
|
|
347,639 |
|
| 1.750(c) |
|
6M GBP |
|
|
12/14/37 |
|
|
GBP |
178,890 |
(e) |
|
|
867,278 |
|
|
|
374,811 |
|
|
|
492,467 |
|
| 1.250(c) |
|
6M JYOR |
|
|
06/14/38 |
|
|
JPY |
1,453,770 |
|
|
|
(243,888 |
) |
|
|
(109,486 |
) |
|
|
(134,402 |
) |
| 1.500(b) |
|
6M EURO(c) |
|
|
09/19/38 |
|
|
EUR |
119,520 |
(e) |
|
|
(2,332,976 |
) |
|
|
(797,842 |
) |
|
|
(1,535,134 |
) |
| 3M LIBOR(a) |
|
2.500(c) |
|
|
06/17/47 |
|
|
$ |
30,660 |
|
|
|
(598,373 |
) |
|
|
(806,749 |
) |
|
|
208,376 |
|
| 3M LIBOR(a) |
|
3.000(c) |
|
|
06/15/48 |
|
|
|
365,120 |
|
|
|
2,725,292 |
|
|
|
(35,976 |
) |
|
|
2,761,268 |
|
| 1.500(c) |
|
6M JYOR |
|
|
06/16/48 |
|
|
JPY |
1,523,210 |
(e) |
|
|
(322,456 |
) |
|
|
(312,177 |
) |
|
|
(10,279 |
) |
| 2.540(c) |
|
6M CDOR |
|
|
07/18/48 |
|
|
|
33,160 |
(e) |
|
|
455,568 |
|
|
|
(1,141,854 |
) |
|
|
1,597,422 |
|
| 2.500(c) |
|
3M LIBOR(a) |
|
|
09/19/48 |
|
|
$ |
3,900 |
|
|
|
356,248 |
|
|
|
428,201 |
|
|
|
(71,953 |
) |
| 1.500(b) |
|
6M EURO(c) |
|
|
09/19/48 |
|
|
EUR |
36,800 |
(e) |
|
|
(381,756 |
) |
|
|
610,838 |
|
|
|
(992,594 |
) |
| 1.000(c) |
|
6M JYOR |
|
|
09/19/48 |
|
|
JPY |
9,038,050 |
(e) |
|
|
(3,498,313 |
) |
|
|
(2,790,842 |
) |
|
|
(707,471 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
$ |
(41,961,804 |
) |
|
$ |
(94,505,628 |
) |
|
$ |
52,543,824 |
|
| |
|
| (a) |
|
Payments made quarterly. |
| (b) |
|
Payments made annually. |
| (c) |
|
Payments made semi-annually. |
| (d) |
|
Payments made monthly. |
| (e) |
|
Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2018.
|
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference
Obligation/Index |
|
Financing Rate
Paid by
the Fund(a) |
|
Credit Spread at June 30,
2018(b) |
|
|
Counterparty |
|
Termination
Date |
|
|
Notional
Amount
(000s) |
|
|
Value |
|
|
Upfront
Premiums
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Protection Purchased: |
|
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000)% |
|
|
0.414% |
|
|
Barclays Bank PLC |
|
|
06/20/21 |
|
|
$ |
10,330 |
|
|
$ |
(176,927 |
) |
|
$ |
27,828 |
|
|
$ |
(204,755 |
) |
| People’s Republic of China, 4.250%, 10/28/18 |
|
(1.000) |
|
|
0.150 |
|
|
Barclays Bank PLC |
|
|
03/20/19 |
|
|
|
98,670 |
|
|
|
(637,246 |
) |
|
|
(47,516 |
) |
|
|
(589,730 |
) |
| People’s Republic of China, 4.250%, 10/28/18 |
|
(1.000) |
|
|
0.150 |
|
|
BoA Securities LLC |
|
|
03/20/19 |
|
|
|
13,180 |
|
|
|
(85,121 |
) |
|
|
(3,579 |
) |
|
|
(81,542 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000) |
|
|
0.414 |
|
|
Citibank NA |
|
|
06/20/21 |
|
|
|
2,060 |
|
|
|
(35,282 |
) |
|
|
11,918 |
|
|
|
(47,200 |
) |
| People’s Republic of China, 4.250%, 10/28/18 |
|
(1.000) |
|
|
0.150 |
|
|
Citibank NA |
|
|
03/20/19 |
|
|
|
518,290 |
|
|
|
(3,347,301 |
) |
|
|
(369,341 |
) |
|
|
(2,977,960 |
) |
| People’s Republic of China, 4.250%, 10/28/18 |
|
(1.000) |
|
|
0.150 |
|
|
Citibank NA |
|
|
06/20/19 |
|
|
|
1,072,530 |
|
|
|
(9,190,676 |
) |
|
|
(1,116,827 |
) |
|
|
(8,073,849 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000) |
|
|
0.414 |
|
|
Deutsche Bank AG |
|
|
06/20/21 |
|
|
|
11,160 |
|
|
|
(191,143 |
) |
|
|
25,164 |
|
|
|
(216,307 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000) |
|
|
0.414 |
|
|
JPMorgan Securities, Inc. |
|
|
06/20/21 |
|
|
|
3,640 |
|
|
|
(62,344 |
) |
|
|
11,248 |
|
|
|
(73,592 |
) |
| People’s Republic of China, 4.250%, 10/28/18 |
|
(1.000) |
|
|
0.150 |
|
|
JPMorgan Securities, Inc. |
|
|
03/20/19 |
|
|
|
66,660 |
|
|
|
(430,515 |
) |
|
|
(45,070 |
) |
|
|
(385,445 |
) |
| People’s Republic of China, 4.250%, 10/28/18 |
|
(1.000) |
|
|
0.150 |
|
|
JPMorgan Securities, Inc. |
|
|
06/20/19 |
|
|
|
24,020 |
|
|
|
(205,831 |
) |
|
|
(27,340 |
) |
|
|
(178,491 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000) |
|
|
0.414 |
|
|
UBS AG (London) |
|
|
06/20/21 |
|
|
|
5,910 |
|
|
|
(101,223 |
) |
|
|
17,717 |
|
|
|
(118,940 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(14,463,609 |
) |
|
$ |
(1,515,798 |
) |
|
$ |
(12,947,811 |
) |
| |
|
| (a) |
|
Payments made quarterly. |
| (b) |
|
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 or its counterparty 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. |
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Referenced
Obligation/Index |
|
Financing Rate
Received/(Paid) by
the
Fund(a) |
|
|
Credit Spread at
June 30, 2018(b) |
|
|
Termination
Date |
|
|
Notional
Amount
(000s) |
|
|
Value |
|
|
Upfront
Premiums
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Protection Purchased: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CDX.EM Index 29 |
|
|
(1.000)% |
|
|
|
1.910% |
|
|
|
06/20/23 |
|
|
$ |
354,997 |
|
|
$ |
13,259,524 |
|
|
$ |
6,612,576 |
|
|
$ |
6,646,948 |
|
| CDX.NA.HY Index 30 |
|
|
(5.000) |
|
|
|
3.613 |
|
|
|
06/20/23 |
|
|
|
298,550 |
|
|
|
(21,422,214 |
) |
|
|
(18,494,666 |
) |
|
|
(2,927,548 |
) |
| Protection Sold: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CDX.NA.IG Index 30(b) |
|
|
1.000 |
|
|
|
0.676 |
|
|
|
06/20/23 |
|
|
|
51,650 |
|
|
|
921,886 |
|
|
|
908,466 |
|
|
|
13,420 |
|
| Markit iTraxx Europe Index 29 |
|
|
1.000 |
|
|
|
0.735 |
|
|
|
06/20/23 |
|
|
EUR |
55,900 |
|
|
|
1,032,750 |
|
|
|
901,643 |
|
|
|
131,107 |
|
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(6,208,054 |
) |
|
$ |
(10,071,981 |
) |
|
$ |
3,863,927 |
|
| |
|
| (a) |
|
Payments made quarterly. |
| (b) |
|
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 or its counterparty 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. |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference
Obligation/Index |
|
Financing Rate
Paid by
the Fund# |
|
Counterparty |
|
Termination
Date |
|
Notional
Amount
(000s) |
|
|
Value |
|
|
Upfront
Premiums
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Markit MBX Fannie-Mae Index, 30 yr Fixed Rate, 6.500%, Series 67 |
|
1M LIBOR |
|
CS International
(London) |
|
01/12/38 |
|
$ |
15,012 |
|
|
$ |
(16,397 |
) |
|
$ |
22,550 |
|
|
$ |
(38,947 |
) |
| Markit MBX Ginnie-Mae Index, 30 yr Fixed Rate, 4.500%, Series 10 |
|
1M LIBOR |
|
JPMorgan
Securities, Inc. |
|
01/12/41 |
|
|
15,429 |
|
|
|
(36,000 |
) |
|
|
43,052 |
|
|
|
(79,052 |
) |
| |
|
| TOTAL |
|
|
$ |
(52,397 |
) |
|
$ |
65,602 |
|
|
$ |
(117,999 |
) |
| |
|
| # |
|
The Fund pays/receives annual coupon payments in accordance with the swap contract(s). On the termination date of the swap contract(s), the Fund will either receive
from or pay to the counterparty an amount equal to the net of the accrued financing fees and the value of the reference security subtracted from the original notional cost (notional multiplied by the price change of the reference security, converted
to U.S. Dollars). |
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
WRITTEN AND PURCHASED OPTIONS CONTRACTS — At June 30, 2018, the Fund had the following written and purchased options:
OVER-THE-COUNTER INTEREST RATE SWAPTIONS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Counterparty |
|
Exercise
Price |
|
|
Expiration
Date |
|
|
Number of
Contracts |
|
|
Notional
Amount |
|
|
Market
Value |
|
|
Premiums Paid
(Received)
by Portfolio |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Purchased option contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Calls |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2Y IRS |
|
BoA Securities LLC |
|
|
2.350% |
|
|
|
03/30/20 |
|
|
|
102,400,000 |
|
|
$ |
102,400,000 |
|
|
$ |
306,258 |
|
|
$ |
427,604 |
|
|
$ |
(121,346 |
) |
| 2Y IRS |
|
Citibank NA |
|
|
2.250 |
|
|
|
03/30/20 |
|
|
|
121,900,000 |
|
|
|
121,900,000 |
|
|
|
317,806 |
|
|
|
421,962 |
|
|
|
(104,156 |
) |
| 2Y IRS |
|
Citibank NA |
|
|
2.250 |
|
|
|
04/06/20 |
|
|
|
134,200,000 |
|
|
|
134,200,000 |
|
|
|
355,683 |
|
|
|
449,791 |
|
|
|
(94,108 |
) |
| 2Y IRS |
|
Citibank NA |
|
|
2.250 |
|
|
|
04/14/20 |
|
|
|
110,100,000 |
|
|
|
110,100,000 |
|
|
|
297,865 |
|
|
|
314,572 |
|
|
|
(16,707 |
) |
| 2Y IRS |
|
Citibank NA |
|
|
2.350 |
|
|
|
05/05/20 |
|
|
|
215,200,000 |
|
|
|
215,200,000 |
|
|
|
694,558 |
|
|
|
526,176 |
|
|
|
168,382 |
|
| 2Y IRS |
|
MS & Co. Int. PLC |
|
|
2.450 |
|
|
|
04/27/20 |
|
|
|
238,900,000 |
|
|
|
238,900,000 |
|
|
|
863,002 |
|
|
|
682,571 |
|
|
|
180,431 |
|
| 2Y IRS |
|
MS & Co. Int. PLC |
|
|
2.450 |
|
|
|
04/30/20 |
|
|
|
129,200,000 |
|
|
|
129,200,000 |
|
|
|
470,391 |
|
|
|
369,143 |
|
|
|
101,248 |
|
| 2Y IRS |
|
MS & Co. Int. PLC |
|
|
2.450 |
|
|
|
05/01/20 |
|
|
|
142,000,000 |
|
|
|
142,000,000 |
|
|
|
518,300 |
|
|
|
416,117 |
|
|
|
102,183 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,193,900,000 |
|
|
$ |
1,193,900,000 |
|
|
$ |
3,823,863 |
|
|
$ |
3,607,936 |
|
|
$ |
215,927 |
|
| |
|
| Puts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 1Y IRS |
|
BoA Securities LLC |
|
|
2.750 |
|
|
|
03/04/19 |
|
|
|
64,800,000 |
|
|
|
64,800,000 |
|
|
|
681,003 |
|
|
|
1,051,200 |
|
|
|
(370,197 |
) |
| 1Y IRS |
|
Citibank NA |
|
|
2.500 |
|
|
|
01/22/19 |
|
|
|
70,000,000 |
|
|
|
70,000,000 |
|
|
|
292,670 |
|
|
|
793,333 |
|
|
|
(500,663 |
) |
| 1Y IRS |
|
Citibank NA |
|
|
2.450 |
|
|
|
01/23/19 |
|
|
|
126,200,000 |
|
|
|
126,200,000 |
|
|
|
453,387 |
|
|
|
1,416,245 |
|
|
|
(962,858 |
) |
| 1Y IRS |
|
Citibank NA |
|
|
2.400 |
|
|
|
01/25/19 |
|
|
|
126,500,000 |
|
|
|
126,500,000 |
|
|
|
396,362 |
|
|
|
1,293,111 |
|
|
|
(896,749 |
) |
| 1Y IRS |
|
Citibank NA |
|
|
2.750 |
|
|
|
02/12/19 |
|
|
|
63,800,000 |
|
|
|
63,800,000 |
|
|
|
628,660 |
|
|
|
1,084,600 |
|
|
|
(455,940 |
) |
| 1Y IRS |
|
Citibank NA |
|
|
2.750 |
|
|
|
02/13/19 |
|
|
|
121,500,000 |
|
|
|
121,500,000 |
|
|
|
1,203,773 |
|
|
|
2,126,250 |
|
|
|
(922,477 |
) |
| 2Y IRS |
|
Citibank NA |
|
|
2.450 |
|
|
|
03/23/20 |
|
|
|
132,400,000 |
|
|
|
132,400,000 |
|
|
|
447,353 |
|
|
|
501,956 |
|
|
|
(54,603 |
) |
| 2Y IRS |
|
Citibank NA |
|
|
2.450 |
|
|
|
03/26/20 |
|
|
|
113,300,000 |
|
|
|
113,300,000 |
|
|
|
386,194 |
|
|
|
454,445 |
|
|
|
(68,251 |
) |
| 1Y IRS |
|
JPMorgan Securities, Inc. |
|
|
2.750 |
|
|
|
03/06/19 |
|
|
|
54,900,000 |
|
|
|
54,900,000 |
|
|
|
582,654 |
|
|
|
915,000 |
|
|
|
(332,346 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
873,400,000 |
|
|
$ |
873,400,000 |
|
|
$ |
5,072,056 |
|
|
$ |
9,636,140 |
|
|
$ |
(4,564,084 |
) |
| |
|
| Total Purchased option contracts |
|
|
|
2,067,300,000 |
|
|
$ |
2,067,300,000 |
|
|
$ |
8,895,919 |
|
|
$ |
13,244,076 |
|
|
$ |
(4,348,157 |
) |
| |
|
| Written option contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Calls |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2Y IRS |
|
BoA Securities LLC |
|
|
2.453% |
|
|
|
03/30/20 |
|
|
|
(22,500,000 |
) |
|
$ |
(22,500,000 |
) |
|
$ |
(309,512 |
) |
|
$ |
(427,500 |
) |
|
$ |
117,988 |
|
| 2Y IRS |
|
Citibank NA |
|
|
2.338 |
|
|
|
03/30/20 |
|
|
|
(26,800,000 |
) |
|
|
(26,800,000 |
) |
|
|
(306,458 |
) |
|
|
(422,100 |
) |
|
|
115,642 |
|
| 2Y IRS |
|
Citibank NA |
|
|
2.338 |
|
|
|
04/06/20 |
|
|
|
(29,500,000 |
) |
|
|
(29,500,000 |
) |
|
|
(341,604 |
) |
|
|
(449,875 |
) |
|
|
108,271 |
|
| 2Y IRS |
|
Citibank NA |
|
|
2.318 |
|
|
|
04/14/20 |
|
|
|
(24,200,000 |
) |
|
|
(24,200,000 |
) |
|
|
(274,777 |
) |
|
|
(314,600 |
) |
|
|
39,823 |
|
| 2Y IRS |
|
Citibank NA |
|
|
2.377 |
|
|
|
05/05/20 |
|
|
|
(47,300,000 |
) |
|
|
(47,300,000 |
) |
|
|
(610,894 |
) |
|
|
(526,213 |
) |
|
|
(84,681 |
) |
| 2Y IRS |
|
MS & Co. Int. PLC |
|
|
2.505 |
|
|
|
04/27/20 |
|
|
|
(27,300,000 |
) |
|
|
(27,300,000 |
) |
|
|
(424,802 |
) |
|
|
(354,900 |
) |
|
|
(69,902 |
) |
| 2Y IRS |
|
MS & Co. Int. PLC |
|
|
2.483 |
|
|
|
04/30/20 |
|
|
|
(28,400,000 |
) |
|
|
(28,400,000 |
) |
|
|
(428,871 |
) |
|
|
(369,200 |
) |
|
|
(59,671 |
) |
| 2Y IRS |
|
MS & Co. Int. PLC |
|
|
2.493 |
|
|
|
05/01/20 |
|
|
|
(31,200,000 |
) |
|
|
(31,200,000 |
) |
|
|
(479,291 |
) |
|
|
(416,000 |
) |
|
|
(63,291 |
) |
| 2Y IRS |
|
MS & Co. Int. PLC |
|
|
2.495 |
|
|
|
04/27/20 |
|
|
|
(25,200,000 |
) |
|
|
(25,200,000 |
) |
|
|
(386,165 |
) |
|
|
(327,600 |
) |
|
|
(58,565 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(262,400,000 |
) |
|
$ |
(262,400,000 |
) |
|
$ |
(3,562,374 |
) |
|
$ |
(3,607,988 |
) |
|
$ |
45,614 |
|
| |
|
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
OVER-THE-COUNTER INTEREST RATE SWAPTIONS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Counterparty |
|
Exercise
Price |
|
|
Expiration
Date |
|
|
Number of
Contracts |
|
|
Notional
Amount |
|
|
Market
Value |
|
|
Premiums Paid
(Received)
by Portfolio |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Puts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 1Y IRS |
|
BoA Securities LLC |
|
|
2.795% |
|
|
|
03/04/19 |
|
|
|
(28,800,000 |
) |
|
$ |
(28,800,000 |
) |
|
$ |
(794,131 |
) |
|
$ |
(1,051,200 |
) |
|
$ |
257,069 |
|
| 1Y IRS |
|
Citibank NA |
|
|
2.545 |
|
|
|
01/22/19 |
|
|
|
(31,100,000 |
) |
|
|
(31,100,000 |
) |
|
|
(334,353 |
) |
|
|
(793,050 |
) |
|
|
458,697 |
|
| 1Y IRS |
|
Citibank NA |
|
|
2.503 |
|
|
|
01/23/19 |
|
|
|
(56,100,000 |
) |
|
|
(56,100,000 |
) |
|
|
(527,503 |
) |
|
|
(1,416,525 |
) |
|
|
889,022 |
|
| 1Y IRS |
|
Citibank NA |
|
|
2.449 |
|
|
|
01/25/19 |
|
|
|
(56,200,000 |
) |
|
|
(56,200,000 |
) |
|
|
(451,578 |
) |
|
|
(1,292,600 |
) |
|
|
841,022 |
|
| 1Y IRS |
|
Citibank NA |
|
|
2.790 |
|
|
|
02/12/19 |
|
|
|
(28,400,000 |
) |
|
|
(28,400,000 |
) |
|
|
(727,810 |
) |
|
|
(1,086,300 |
) |
|
|
358,490 |
|
| 1Y IRS |
|
Citibank NA |
|
|
2.799 |
|
|
|
02/13/19 |
|
|
|
(54,000,000 |
) |
|
|
(54,000,000 |
) |
|
|
(1,426,766 |
) |
|
|
(2,126,250 |
) |
|
|
699,484 |
|
| 2Y IRS |
|
Citibank NA |
|
|
2.528 |
|
|
|
03/23/20 |
|
|
|
(29,100,000 |
) |
|
|
(29,100,000 |
) |
|
|
(445,626 |
) |
|
|
(501,975 |
) |
|
|
56,349 |
|
| 2Y IRS |
|
Citibank NA |
|
|
2.530 |
|
|
|
03/26/20 |
|
|
|
(24,900,000 |
) |
|
|
(24,900,000 |
) |
|
|
(384,894 |
) |
|
|
(454,425 |
) |
|
|
69,531 |
|
| 1Y IRS |
|
JPMorgan Securities, Inc. |
|
|
2.793 |
|
|
|
03/06/19 |
|
|
|
(24,400,000 |
) |
|
|
(24,400,000 |
) |
|
|
(674,028 |
) |
|
|
(915,000 |
) |
|
|
240,972 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(333,000,000 |
) |
|
$ |
(333,000,000 |
) |
|
$ |
(5,766,689 |
) |
|
$ |
(9,637,325 |
) |
|
$ |
3,870,636 |
|
| |
|
| Total Written option contracts |
|
|
|
(595,400,000 |
) |
|
$ |
(595,400,000 |
) |
|
$ |
(9,329,063 |
) |
|
$ |
(13,245,313 |
) |
|
$ |
3,916,250 |
|
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
1,471,900,000 |
|
|
$ |
1,471,900,000 |
|
|
$ |
(433,144 |
) |
|
$ |
(1,237 |
) |
|
$ |
(431,907 |
) |
| |
|
Additional information regarding the Fund is available in the Fund’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).
|
|
|
| |
| Abbreviations: |
| 1Y IRS |
|
— 1 Year Interest Rate Swaptions |
| 2Y IRS |
|
— 2 Year Interest Rate Swaptions |
| BoA Securities LLC |
|
— Bank of America Securities LLC |
| CDX.EM Index 29 |
|
— CDX Emerging Markets Index 29 |
| CDX.NA.HY Index 30 |
|
— CDX North America High Yield Index 30 |
| CDX.NA.IG Index 30 |
|
— CDX North America Investment Grade
Index 30 |
| CS International (London) |
|
— Credit Suisse International (London) |
| MS & Co. Int. PLC |
|
— Morgan Stanley & Co. International PLC |
| |
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS
Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
Investments and Fair Value Measurements — U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to
sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that
prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to
unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical,
unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments
for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining
fair value measurement).
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In
accordance with the Funds’ policy, transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the beginning of the reporting period.
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held
by the Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing
and maintaining internal controls and procedures related to the valuation of the Funds’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues
challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and
Level 2 are as follows:
Debt Securities — Debt securities for which market quotations are readily available are valued daily
on the basis of quotations supplied by dealers or an independent pricing service approved by the Trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are
considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. With the exception of treasury securities of G8 countries, which are generally
classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.
Bank
Loans — Bank loans (“Loans”) are interests in amounts owed by corporate, governmental, or other borrowers to lenders or lending syndicates. Loans are arranged through private negotiations between the borrower and one or more
financial institutions (“Lenders”). A Fund’s investments in Loans are in the form of either participations in Loans (“Participations”) or assignments of all or a portion of Loans from third parties (“Assignments”).
With respect to Participations, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participations and only upon receipt by the Lender of the payments from the borrower. A
Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement with respect to Participations. Conversely, assignments result in a Fund having a direct contractual relationship with the borrower, and the Fund
may be permitted to enforce compliance by the borrower with the terms of the loan agreement.
Commercial Paper —
Commercial paper normally represents short-term unsecured promissory notes issued in bearer form by banks or bank holding companies, corporations, finance companies and other issuers. Commercial paper consists of direct U.S. dollar-denominated
obligations of domestic or foreign issuers. Asset-backed commercial paper is issued by a special purpose entity that is organized to issue the commercial paper and to purchase trade receivables or other financial assets.
Inverse Floaters — The interest rate on inverse floating rate securities (“inverse floaters”) resets in the
opposite direction from the market rate of interest to which the inverse floaters are indexed. An inverse floater may be considered to be leveraged to the extent that its interest rate varies by a magnitude that exceeds the magnitude of the change
in the index rate of interest. The higher the degree of leverage of an inverse floater, the greater the volatility of its market value
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
Mortgage-Backed and 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 estate property. Asset-backed securities include securities whose principal and interest payments are collateralized by pools of other assets or
receivables. 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.
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.
Stripped mortgage-backed securities are usually structured with two
different classes: one that receives substantially all interest payments (interest-only, or “IO” and/or high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all principal
payments (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, periodic adjustments are recorded to reduce the cost of the security until maturity. These
adjustments are included in interest income.
Mortgage Dollar Rolls —Mortgage dollar rolls are transactions
whereby a Fund sells mortgage-backed-securities and simultaneously contracts with the same counterparty to repurchase similar securities on a specified future date. During the settlement period, a Fund will not be entitled to accrue interest and
receive principal payments on the securities sold. The Funds account for mortgage dollar roll transactions as purchases and sales and realize gains and losses on these transactions
Structured Notes —The values of structured notes are based on the price movements of a reference security or index. Upon
termination, a Fund will receive a payment from the issuer based on the value of the referenced instrument (notional amount multiplied by price of the referenced instrument) and record a realized gain or loss.
Treasury Inflation Protected Securities —TIPS are treasury securities 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 repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.
When-Issued Securities and Forward Commitments — When-issued securities, including TBA (“To Be Announced”)
securities, are securities that are authorized but not yet issued in the market and purchased in order to secure what is considered to be an advantageous price or yield to the Fund. A forward commitment involves entering into a contract to purchase
or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines
before the settlement date. Conversely, the sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Although the Fund will generally purchase securities on a
when-issued or forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of when-issued securities or forward commitments prior to settlement, which may result in a realized gain or loss.
Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or
those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official
closing price or such price is believed by GSAM to not represent fair value, equity securities are valued at the last bid price for long positions and at the last ask price for short positions. To the extent these investments are actively traded,
they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2.
Unlisted equity securities 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, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Valuation
Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary
receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
Private Investments — Private investments may include, but are not limited to, investments in private equity or debt instruments. The
investment manager estimates the fair value of private investments based upon various factors, including, but not limited to, transactions in similar instruments, completed or pending third-party transactions in underlying investments or comparable
entities, subsequent rounds of financing, recapitalizations, and other transactions across the capital structure, offerings in equity or debt capital markets, and changes in current and projected financial ratios or cash flows.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
Money Market Funds — Investments in the Goldman Sachs Financial Square Government Fund (“Underlying Fund”) are valued at the NAV of
the Institutional Share class on the day of valuation. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding an Underlying Fund’s accounting policies and investment holdings, please
see the Underlying Fund’s shareholder report.
Derivative Contracts — A derivative is an instrument whose value is derived
from underlying assets, indices, reference rates or a combination of these factors. A Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return,
or to gain access to certain markets or attain exposure to other underliers.
Exchange-traded derivatives, including futures
and options contracts, are valued at the last sale or settlement price and typically fall within Level 1 of the fair value hierarchy. Over-the-counter
(“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other
alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability
of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and
correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives
are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on
a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the
change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.
A forward foreign currency contract is a forward contract in which a Fund agrees to receive or deliver a fixed quantity of one currency for another, at a
pre-determined price at a future date. All forward foreign currency exchange contracts are marked-to-market daily at the
applicable forward rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or
security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for
short positions, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the
initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. For
financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received, if any, is reported separately on the Statement of Assets and Liabilities as receivables/payables for collateral on
certain derivatives contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments.
Options — When a Fund writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on interest rate swap contracts.
Upon the purchase of a call option or a put option by a Fund, the premium paid is recorded as an investment and
subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums
for these options are based upon implied volatility parameters at specified terms.
Swap Contracts — Bilateral
swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and
payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”),
acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a
swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a
receivable or payable for variation margin.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified
intervals, based upon or calculated by reference to changes in interest rates on a specified notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
A credit default swap is an agreement that involves one party (the buyer of protection) making a stream of payments
to another party (the seller of protection) in exchange for the right to receive protection on a reference security or obligation, including a group of assets or exposure to the performance of an index. A Fund’s investment in credit default
swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. If a Fund buys protection
through a credit default swap and no credit event occurs, its payments are limited to the periodic payments previously made to the counterparty. Upon the occurrence of a specified credit event, a Fund, as a buyer of credit protection, is entitled to
receive an amount equal to the notional amount of the swap and deliver to the seller the defaulted reference obligation in a physically settled trade. A Fund may also receive a net settlement amount in the form of cash or securities equal to the
notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade.
As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there
is no credit event. In addition, if a Fund sells protection through a credit default swap, a Fund could suffer a loss because the value of the referenced obligation and the premium payments received may be less than the notional amount of the swap
paid to the buyer of protection. Upon the occurrence of a specified credit event, a Fund, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional
amount of the swap in a physically settled trade. A Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in 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, a Fund is entitled to a
return of any assets, which have been pledged as collateral to the counterparty upon settlement.
The maximum
potential amount of future payments (undiscounted) that a Fund as seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. These potential amounts would be partially
offset by any recovery values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where a Fund bought credit protection.
A total return swap is an agreement that gives a Fund the right to receive the appreciation in the value of a
specified security, index or other instrument in return for a fee paid to the counterparty, which will typically be an agreed upon interest rate. If the underlying asset declines in value over the term of the swap, a Fund may also be required to pay
the dollar value of that decline to the counterparty.
Secured Borrowings — Secured borrowings are valued at their contractual
amounts, which approximate fair value, and are generally classified as Level 2 of the fair value hierarchy.
i.
Reverse Repurchase Agreements — Reverse repurchase agreements involve the sale of securities held by a Fund subject to the Fund’s agreement to repurchase the securities at a mutually agreed upon date and price (including interest),
under the terms of an MRA. The gross value of reverse repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.
When a Fund enters into a reverse repurchase agreement, it is required to deliver securities as collateral to the
counterparty that exceed the value of the reverse repurchase agreement. During the term of a reverse repurchase agreement, the value of the underlying securities pledged as collateral on behalf of a Fund, including accrued interest, is required to
exceed the value of the reverse repurchase agreement, including accrued interest. If the value of those securities pledged as collateral, including accrued interest, becomes less than the value of the reverse repurchase agreement, including accrued
interest, a Fund will be obligated to deliver additional collateral to the buyer. If the buyer defaults on its commitment to sell back the securities, a Fund could suffer a loss to the extent that the amount borrowed is less than the replacement
cost of similar securities and the Fund’s costs associated with delay and enforcement of the reverse repurchase agreement. In addition, in the event of default or insolvency of the buyer, a court could determine that a Fund’s interest in
the amount borrowed is not enforceable, resulting in additional losses to a Fund.
Level 3 Fair Value Investments — To the
extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of
the Funds’ investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic
or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. Significant events which could affect a large number of securities in a particular
market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are
not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies. To the extent investments are valued using single source broker quotations obtained
directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
GSAM did not develop the unobservable inputs (examples include but are not limited to single source broker quotations, third party pricing, etc.) for the valuation of Level 3 Assets and Liabilities.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of
June 30, 2018:
|
|
|
|
|
|
|
|
|
|
|
|
|
| BOND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Obligations |
|
$ |
— |
|
|
$ |
151,534,239 |
|
|
$ |
— |
|
| Mortgage-Backed Obligations |
|
|
— |
|
|
|
167,426,686 |
|
|
|
1,035,592 |
|
| U.S. Treasury Obligations and/or Other U.S. Government Agencies |
|
|
126,807,287 |
|
|
|
14,690,320 |
|
|
|
— |
|
| Asset-Backed Securities |
|
|
— |
|
|
|
85,605,032 |
|
|
|
— |
|
| Foreign Debt Obligations |
|
|
— |
|
|
|
5,527,472 |
|
|
|
— |
|
| Structured Notes |
|
|
— |
|
|
|
2,825,125 |
|
|
|
— |
|
| Municipal Debt Obligations |
|
|
— |
|
|
|
6,895,958 |
|
|
|
— |
|
| Investment Company |
|
|
1,507,330 |
|
|
|
— |
|
|
|
— |
|
| Short-term Investments |
|
|
— |
|
|
|
58,688,190 |
|
|
|
— |
|
| Total |
|
$ |
128,314,617 |
|
|
$ |
493,193,022 |
|
|
$ |
1,035,592 |
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
| Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
| Mortgage-Backed Obligations — Forward Sales Contracts |
|
$ |
— |
|
|
$ |
(12,296,250 |
) |
|
$ |
— |
|
|
|
|
|
| Derivative Type |
|
|
|
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange
Contracts(b) |
|
$ |
— |
|
|
$ |
2,250,415 |
|
|
$ |
— |
|
| Futures Contracts(b) |
|
|
813,231 |
|
|
|
— |
|
|
|
— |
|
| Interest Rate Swap Contracts(b) |
|
|
— |
|
|
|
4,436,768 |
|
|
|
— |
|
| Credit Default Swap Contracts(b) |
|
|
— |
|
|
|
28,526 |
|
|
|
— |
|
| Total Return Swap Contracts(b) |
|
|
— |
|
|
|
13,519 |
|
|
|
— |
|
| Options Purchased |
|
|
— |
|
|
|
347,463 |
|
|
|
— |
|
| Total |
|
$ |
813,231 |
|
|
$ |
7,076,691 |
|
|
$ |
— |
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange
Contracts(b) |
|
$ |
— |
|
|
$ |
(4,949,486 |
) |
|
$ |
— |
|
| Futures Contracts(b) |
|
|
(242,637 |
) |
|
|
— |
|
|
|
— |
|
| Interest Rate Swap Contracts(b) |
|
|
— |
|
|
|
(2,384,477 |
) |
|
|
— |
|
| Credit Default Swap Contracts(b) |
|
|
— |
|
|
|
(302,401 |
) |
|
|
— |
|
| Options Written |
|
|
— |
|
|
|
(360,962 |
) |
|
|
— |
|
| Total |
|
$ |
(242,637 |
) |
|
$ |
(7,997,326 |
) |
|
$ |
— |
|
|
|
|
|
| CORE FIXED INCOME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Obligations |
|
$ |
— |
|
|
$ |
342,342,184 |
|
|
$ |
— |
|
| Mortgage-Backed Obligations |
|
|
— |
|
|
|
314,580,795 |
|
|
|
— |
|
| U.S. Treasury Obligations and/or Other U.S. Government Agencies |
|
|
305,815,694 |
|
|
|
58,185,115 |
|
|
|
— |
|
| Asset-Backed Securities |
|
|
— |
|
|
|
124,216,402 |
|
|
|
— |
|
| Foreign Debt Obligations |
|
|
— |
|
|
|
14,387,605 |
|
|
|
— |
|
| Municipal Debt Obligations |
|
|
— |
|
|
|
14,290,744 |
|
|
|
— |
|
| Investment Company |
|
|
84,487,863 |
|
|
|
— |
|
|
|
— |
|
| Short-term Investments |
|
|
— |
|
|
|
78,043,062 |
|
|
|
— |
|
| Total |
|
$ |
390,303,557 |
|
|
$ |
946,045,907 |
|
|
$ |
— |
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
| Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
| Mortgage-Backed Obligations — Forward Sales Contracts |
|
$ |
— |
|
|
$ |
(31,540,938 |
) |
|
$ |
— |
|
|
|
|
|
| Derivative Type |
|
|
|
|
|
|
|
|
|
| Assets(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange Contracts |
|
$ |
— |
|
|
$ |
1,266,646 |
|
|
$ |
— |
|
| Futures Contracts |
|
|
1,314,226 |
|
|
|
— |
|
|
|
— |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
2,765,033 |
|
|
|
— |
|
| Total |
|
$ |
1,314,226 |
|
|
$ |
4,031,679 |
|
|
$ |
— |
|
| Liabilities(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange Contracts |
|
$ |
— |
|
|
$ |
(2,398,213 |
) |
|
$ |
— |
|
| Futures Contracts |
|
|
(132,648 |
) |
|
|
— |
|
|
|
— |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
(1,766,553 |
) |
|
|
— |
|
| Credit Default Swap Contracts |
|
|
— |
|
|
|
(49,693 |
) |
|
|
— |
|
| Total |
|
$ |
(132,648 |
) |
|
$ |
(4,214,459 |
) |
|
$ |
— |
|
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| GLOBAL INCOME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
| Foreign Sovereign Debt Obligations |
|
$ |
151,919,582 |
|
|
$ |
66,233,977 |
|
|
$ |
— |
|
| Corporate Obligations |
|
|
— |
|
|
|
181,516,031 |
|
|
|
— |
|
| Asset-Backed Securities |
|
|
— |
|
|
|
134,597,027 |
|
|
|
— |
|
| Mortgage-Backed Obligations |
|
|
— |
|
|
|
135,468,201 |
|
|
|
— |
|
| U.S. Government Agencies |
|
|
— |
|
|
|
6,425,169 |
|
|
|
— |
|
| Municipal Debt Obligation |
|
|
— |
|
|
|
2,918,939 |
|
|
|
— |
|
| Investment Company |
|
|
28,090,008 |
|
|
|
— |
|
|
|
— |
|
| Short-term Investments |
|
|
— |
|
|
|
999,840 |
|
|
|
— |
|
| Total |
|
$ |
180,009,590 |
|
|
$ |
528,159,184 |
|
|
$ |
— |
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
| Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
| Mortgage-Backed Obligations — Forward Sales Contracts |
|
$ |
— |
|
|
$ |
(35,864,063 |
) |
|
$ |
— |
|
|
|
|
|
| Derivative Type |
|
|
|
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange
Contracts(b) |
|
$ |
— |
|
|
$ |
5,737,750 |
|
|
$ |
— |
|
| Futures Contracts(b) |
|
|
741,440 |
|
|
|
— |
|
|
|
— |
|
| Interest Rate Swap Contracts(b) |
|
|
— |
|
|
|
4,670,783 |
|
|
|
— |
|
| Credit Default Swap Contracts(b) |
|
|
— |
|
|
|
57,769 |
|
|
|
— |
|
| Options Purchased |
|
|
— |
|
|
|
307,298 |
|
|
|
— |
|
| Total |
|
$ |
741,440 |
|
|
$ |
10,773,600 |
|
|
$ |
— |
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange
Contracts(b) |
|
$ |
— |
|
|
$ |
(4,880,162 |
) |
|
$ |
— |
|
| Futures Contracts(b) |
|
|
(92,243 |
) |
|
|
— |
|
|
|
— |
|
| Interest Rate Swap Contracts(b) |
|
|
— |
|
|
|
(2,027,345 |
) |
|
|
— |
|
| Credit Default Swap Contracts(b) |
|
|
— |
|
|
|
(309,377 |
) |
|
|
— |
|
| Options Written |
|
|
— |
|
|
|
(322,940 |
) |
|
|
— |
|
| Total |
|
$ |
(92,243 |
) |
|
$ |
(7,539,824 |
) |
|
$ |
— |
|
|
|
|
|
| STRATEGIC INCOME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
| Bank Loans |
|
$ |
— |
|
|
$ |
56,681,581 |
|
|
$ |
13,473,731 |
|
| Corporate Obligations |
|
|
— |
|
|
|
469,048,259 |
|
|
|
— |
|
| Mortgage-Backed Obligations |
|
|
— |
|
|
|
588,946,921 |
|
|
|
15,922,229 |
|
| U.S. Treasury Obligations and/or Other U.S. Government Agencies |
|
|
22,185,871 |
|
|
|
13,258,296 |
|
|
|
— |
|
| Asset-Backed Securities |
|
|
— |
|
|
|
1,591,202,415 |
|
|
|
— |
|
| Foreign Debt Obligations |
|
|
155,299,306 |
|
|
|
301,998,093 |
|
|
|
— |
|
| Structured Notes |
|
|
— |
|
|
|
44,816,515 |
|
|
|
— |
|
| Municipal Debt Obligations |
|
|
— |
|
|
|
72,861,752 |
|
|
|
— |
|
| Common Stock and/or Other Equity
Investments(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| North America |
|
|
46,005,588 |
|
|
|
— |
|
|
|
— |
|
| Investment Company |
|
|
68,177 |
|
|
|
— |
|
|
|
— |
|
| Short-term Investments |
|
|
— |
|
|
|
470,270,454 |
|
|
|
— |
|
| Total |
|
$ |
223,558,942 |
|
|
$ |
3,609,084,286 |
|
|
$ |
29,395,960 |
|
|
|
|
|
| Derivative Type |
|
|
|
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange
Contracts(b) |
|
$ |
— |
|
|
$ |
43,671,916 |
|
|
$ |
— |
|
| Futures Contracts(b) |
|
|
8,771,344 |
|
|
|
— |
|
|
|
— |
|
| Interest Rate Swap Contracts(b) |
|
|
— |
|
|
|
111,973,353 |
|
|
|
— |
|
| Credit Default Swap Contracts(b) |
|
|
— |
|
|
|
6,791,475 |
|
|
|
— |
|
| Options Purchased |
|
|
— |
|
|
|
8,895,919 |
|
|
|
— |
|
| Total |
|
$ |
8,771,344 |
|
|
$ |
171,332,663 |
|
|
$ |
— |
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange
Contracts(b) |
|
$ |
— |
|
|
$ |
(73,654,624 |
) |
|
$ |
— |
|
| Futures Contracts(b) |
|
|
(4,291,236 |
) |
|
|
— |
|
|
|
— |
|
| Interest Rate Swap Contracts(b) |
|
|
— |
|
|
|
(58,844,814 |
) |
|
|
— |
|
| Credit Default Swap Contracts(b) |
|
|
— |
|
|
|
(15,875,358 |
) |
|
|
— |
|
| Total Return Swap Contracts(b) |
|
|
— |
|
|
|
(117,999 |
) |
|
|
— |
|
| Options Written |
|
|
— |
|
|
|
(9,329,063 |
) |
|
|
— |
|
| Total |
|
$ |
(4,291,236 |
) |
|
$ |
(157,821,858 |
) |
|
$ |
— |
|
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
The following is a reconciliation of Level 3 investments for the period ended June 30, 2018:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Bank Loans |
|
|
Collateralized
Mortgage
Obligations |
|
|
Corporate
Bonds |
|
|
Other Asset
Backed |
|
| Beginning Balance as of March 31, 2018 |
|
$ |
— |
|
|
$ |
16,814,927 |
|
|
$ |
— |
|
|
$ |
— |
|
| Realized gain (loss) |
|
|
— |
|
|
|
6,899 |
|
|
|
— |
|
|
|
— |
|
| Net change in unrealized gain (loss) relating to instruments still held at reporting date |
|
|
278,808 |
|
|
|
(831,051 |
) |
|
|
44,396 |
|
|
|
— |
|
| Sales |
|
|
— |
|
|
|
(68,546 |
) |
|
|
— |
|
|
|
— |
|
| Amortization |
|
|
7,106 |
|
|
|
— |
|
|
|
(44,396 |
) |
|
|
— |
|
| Transfers in of Level 3 |
|
|
13,187,817 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Ending Balance as of June 30, 2018 |
|
$ |
13,473,731 |
|
|
$ |
15,922,229 |
|
|
$ |
— |
|
|
$ |
— |
|
| (a) |
|
Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security
valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value model prices provided by an independent fair value service for international equities,
resulting in a Level 2 classification. |
| (b) |
|
Amount shown represents unrealized gain (loss) at period end. |
Transfers of the above instruments into or out of Level 3 can be attributable to changes in the availability of valid pricing sources or in the observability of significant inputs used to measure the
fair value of those instruments.
For further information regarding security characteristics, see the Schedules of
Investments.
The Funds’ risks include, but are not limited to, the following:
Derivatives Risk — The Funds’ use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly
in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Funds. Derivatives
are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks
different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if
any) being hedged.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and
considerations not typically associated with investing in the United States. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social
stability in the countries in which the Funds invest. The imposition of exchange controls(including repatriation restrictions), confiscations, trade restrictions (including tariffs) and other government restrictions by the United States or other
governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such
foreign currency (or other instruments through which the Funds have exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Fund also invests in
securities of issuers located in emerging markets, these risks may be more pronounced.
Foreign Custody Risk — If a Fund invests
in foreign securities, the Fund may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently
organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place
limitations on a Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy.
Geographic Risk — If a Fund
focuses its investments in securities of issuers located in a particular country or geographic region, the Fund may be subjected, to a greater extent than if its investments were less focused, to the risks of volatile economic cycles and/or
conditions and developments that may be particular to that country or region, such as: adverse securities markets; adverse exchange rates; adverse social, political, regulatory, economic, business, environmental or other developments; or natural
disasters.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Funds will generally decline in value.
Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with changing interest rates may have unpredictable effects
on the markets and the Funds’ investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Funds.
Investments in Other Investment Companies Risk — As a shareholder of another investment company, including an exchange-traded fund (“ETF”), a Fund will indirectly bear its
proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds,
including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds,
institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a
Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions may cause a Fund to sell portfolio securities at times when it would not
otherwise do so, which may negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction
costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a
Fund’s performance to the extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.
Leverage Risk — Leverage creates exposure to potential gains and losses in excess of the initial amount invested. Borrowing and the use of derivatives may result in leverage and may make a
Fund more volatile. When a Fund uses leverage, the sum of that Fund’s investment exposure may significantly exceed the amount of assets invested in the Fund, although these exposures may vary over time. Relatively small market movements may
result in large changes in the value of a leveraged investment. A Fund will identify liquid assets on its books or otherwise cover transactions that may give rise to such risk, to the extent required by applicable law. The use of leverage may cause
a Fund to liquidate portfolio positions to satisfy its obligations or to meet segregation requirements when it may not be advantageous to do so. The use of leverage by a Fund can substantially increase the adverse impact to which the Fund’s
investment portfolio may be subject.
Liquidity Risk — A Fund may make investments that are illiquid or that may become less
liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable
time period because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions.
Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be
magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity.
Loan-Related Investments Risk — In addition to risks generally associated with debt investments, loan-related investments such as loan
participations and assignments are subject to other risks. Although a loan obligation may be fully collateralized at the time of acquisition, the collateral may decline in value, be relatively illiquid, or lose all or substantially all of its value
subsequent to investment. Many loan investments are subject to legal or contractual restrictions on resale and may be relatively illiquid and difficult to value. There is less readily available, reliable information about most loan investments than
is the case for many other types of securities. Substantial increases in interest rates may cause an increase in loan obligation defaults. With respect to loan participations, the Fund may not always have direct recourse against a borrower if the
borrower fails to pay scheduled principal and/or interest; may be subject to greater delays, expenses and risks than if the Fund had purchased a direct obligation of the borrower; and may be regarded as the creditor of the agent lender (rather than
the borrower), subjecting the Fund to the creditworthiness of that lender as well. Investors in loans, such as the Fund, may not be entitled to rely on the anti-fraud protections of the federal securities laws, although they may be entitled to
certain contractual remedies. The market for loan obligations may be subject to irregular trading activity, wide bid/ask spreads and extended trade settlement periods. Because transactions in many loans are subject to extended trade settlement
periods, the Fund may not receive the proceeds from the sale of a loan for a period after the sale. As a result, sale proceeds related to the sale of loans may not be available to make additional investments or to meet the Fund’s redemption
obligations for a period after the sale of the loans, and, as a result, the Fund may have to sell other investments or engage in borrowing transactions, such as borrowing from its credit facility, if necessary to raise cash to meet its obligations.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
Senior Loans hold the most senior position in the capital structure of a business entity, and are typically secured with specific collateral, but are
nevertheless usually rated below investment grade. Because Second Lien Loans are subordinated or unsecured and thus lower in priority of payment to Senior Loans, they are subject to the additional risk that the cash flow of the borrower and property
securing the loan or debt, if any, may be insufficient to meet scheduled payments after giving effect to the senior secured obligations of the borrower. Second Lien Loans generally have greater price volatility than Senior Loans and may be less
liquid.
Market and Credit Risks — In the normal course of business, the Funds trade financial instruments and enter into
financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Funds may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or
entity with which the Funds has unsettled or open transactions defaults.
Non-Diversification
Risk — The Global Income Fund is non-diversified, meaning that it is permitted to invest a larger percentage of its assets in fewer issuers than diversified mutual funds. Thus, a Fund may be more
susceptible to adverse developments affecting any single issuer held in its portfolio, and may be more susceptible to greater losses because of these developments.
Sector Risk — To the extent a Fund focuses its investments in securities of issuers in one or more sectors (such as the financial services or telecommunications sectors), the Fund may be
subjected, to a greater extent than if its investments were diversified across different sectors, to the risks of volatile economic cycles and/or conditions and developments that may be particular to that sector, such as: adverse economic, business,
political, environmental or other developments.
Short Position Risk — A Fund may enter into a short position through a futures
contract, an option or swap agreement or through short sales of any instrument that a Fund may purchase for investment. Taking short positions involves leverage of a Fund’s assets and presents various risks, including counterparty risk. If the
value of the underlying instrument or market in which a Fund has taken a short position increases, then the Fund will incur a loss equal to the increase in value from the time that the short position was entered into plus any related interest
payments or other fees. Taking short positions involves the risk that losses may be disproportionate, may exceed the amount invested, and may be unlimited. To the extent that the Fund uses the proceeds it receives from a short position to take
additional long positions, the risks associated with the short position, including leverage risks, may be heightened, because doing so increases the exposure of the Fund to the markets and therefore could magnify changes to the Fund’s NAV.
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – 96.4% |
| Alabama – 2.1% |
| Alabama State Port Authority RB for Docks Facilities Series 2010 (A-/NR)(a) |
| $ |
|
|
2,500,000 |
|
|
|
5.750 |
% |
|
10/01/2020 |
|
$ 2,714,450 |
| Black Belt Energy Gas District RB Series 2016 A (NR/A1)(b)(c) |
|
|
|
5,000,000 |
|
|
|
4.000 |
|
|
06/01/2021 |
|
5,230,750 |
| Health Care Authority RB for Baptist Health Series 2006 D (BBB+/A3) |
|
|
|
100,000 |
|
|
|
5.000 |
|
|
11/15/2021 |
|
100,303 |
| Houston County Health Care Authority RB for Southeast Alabama Medical Center Series 2016 A
(BBB/NR) |
|
|
|
150,000 |
|
|
|
5.000 |
|
|
10/01/2024 |
|
167,776 |
|
|
|
150,000 |
|
|
|
5.000 |
|
|
10/01/2025 |
|
166,713 |
|
|
|
725,000 |
|
|
|
5.000 |
|
|
10/01/2030 |
|
788,938 |
| Jefferson County Senior Lien Sewer RB Warrants Series 2013 A (AGM) (AA/A2) |
|
|
|
700,000 |
|
|
|
5.000 |
|
|
10/01/2044 |
|
766,500 |
| Jefferson County Subordinate Lien Sewer RB Warrants Series 2013 D (BBB-/NR) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
10/01/2021 |
|
1,072,880 |
|
|
|
13,500,000 |
|
|
|
6.000 |
|
|
10/01/2042 |
|
15,552,270 |
|
|
|
6,900,000 |
|
|
|
6.500 |
|
|
10/01/2053 |
|
8,112,123 |
| The Southeast Alabama Gas Supply District RB for Project No. 2 Series 2018 A (A/A3) |
|
|
|
3,820,000 |
|
|
|
4.000 |
|
|
06/01/2024 |
|
4,099,815 |
| The Southeast Alabama Gas Supply District RB for Project No. 2 Series 2018 B (A/A3)(b) |
| (1 Mo. LIBOR + 0.85%, 12.00% Cap), |
|
|
|
10,000,000 |
|
|
|
2.246 |
|
|
06/01/2024 |
|
9,994,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
48,767,118 |
| |
| Alaska – 0.2% |
| Northern Tobacco Securitization Corp. RB Refunding Capital Appreciation Asset-Backed Bonds 1st Subordinate Series
2006 B (NR/NR)(d) |
|
|
|
37,350,000 |
|
|
|
0.000 |
|
|
06/01/2046 |
|
4,171,621 |
| |
| Arizona – 2.0% |
| Arizona Health Facilities Authority Hospital RB for Banner Health Series 2007 B (AA-/NR)(e) |
| (3 Mo. LIBOR + 0.81%), |
|
|
|
14,575,000 |
|
|
|
2.359 |
|
|
01/01/2037 |
|
13,776,727 |
| Arizona State University System RB Refunding Series 2015 B (AA/Aa2) |
|
|
|
3,000,000 |
|
|
|
5.000 |
|
|
07/01/2019 |
|
3,102,360 |
| City of Phoenix Civic Improvement Corporation Water System RB Refunding Junior Lien Series 2016
(AAA/Aa2) |
|
|
|
7,000,000 |
|
|
|
5.000 |
|
|
07/01/2030 |
|
8,167,110 |
| Entertainment Center Community Facilities District RB Series 2017 (AA+/NR) |
|
|
|
9,288,000 |
|
|
|
4.000 |
|
|
07/01/2037 |
|
9,350,880 |
| Maricopa County Arizona Pollution Control Corp. PCRB Refunding for El Paso Electric Co. Project Series 2009 A
(BBB/Baa1) |
|
|
|
2,200,000 |
|
|
|
7.250 |
|
|
02/01/2040 |
|
2,265,846 |
| Maricopa County IDA RB for Banner Health Series 2017 A (AA-/NR) |
|
|
|
4,360,000 |
|
|
|
4.000 |
|
|
01/01/2041 |
|
4,509,853 |
| Yavapai County IDA Solid Waste Disposal RB for Waste Management, Inc. Project Series 2002 (AMT) (A-/NR)(b)(c) |
|
|
|
4,000,000 |
|
|
|
2.800 |
|
|
06/01/2021 |
|
4,018,880 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
45,191,656 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Arkansas – 0.8% |
| Arkansas State Development Finance Authority Hospital RB Refunding for Washington Regional Medical Center Series
2015 B (NR/A3) |
| $ |
|
|
1,845,000 |
|
|
|
3.000 |
% |
|
02/01/2019 |
|
$ 1,858,081 |
| Arkansas State Development Finance Authority RB for Single Family Mortgage-Backed Securities Series 2008 B (AMT)
(GNMA) (FNMA) (AA+/NR) |
|
|
|
305,000 |
|
|
|
5.500 |
|
|
07/01/2023 |
|
305,695 |
| City of Little Rock Sewer RB Refunding Series 2015 (NR/Aa3) |
|
|
|
1,000,000 |
|
|
|
4.000 |
|
|
04/01/2021 |
|
1,051,480 |
| Pulaski County Little Rock School District Construction GO Bonds Series 2017 (ST AID WITHHLDG)
(NR/Aa2) |
|
|
|
5,395,000 |
|
|
|
3.000 |
|
|
02/01/2023 |
|
5,549,621 |
|
|
|
5,185,000 |
|
|
|
3.000 |
|
|
02/01/2024 |
|
5,313,225 |
| Pulaski County Little Rock School District GO Refunding Bonds Series 2015 (ST AID WITHHLDG)
(NR/Aa2) |
|
|
|
3,335,000 |
|
|
|
3.000 |
|
|
02/01/2023 |
|
3,388,860 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,466,962 |
| |
| California – 13.3% |
| Adelanto Public Utility Authority RB Refunding for Utility System Project Series 2009 A (NR/NR)(a) |
|
|
|
7,725,000 |
|
|
|
6.750 |
|
|
07/01/2019 |
|
8,126,159 |
| Alameda County Oakland Unified School District GO Refunding Bonds Series 2015 (AA-/NR) |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
08/01/2019 |
|
1,557,540 |
| Alhambra California Unified School District Election of 2008 GO Bonds Capital Appreciation for Elementary Schools
Improvement District Series 2011 B (AGM) (AA/Aa2)(d) |
|
|
|
1,000,000 |
|
|
|
0.000 |
|
|
08/01/2037 |
|
495,940 |
| Anaheim Community Facilities District No. 08-1 Special Tax Refunding Bonds for Platinum Triangle Series 2016
(NR/NR) |
|
|
|
875,000 |
|
|
|
4.000 |
|
|
09/01/2024 |
|
936,573 |
|
|
|
745,000 |
|
|
|
4.000 |
|
|
09/01/2025 |
|
796,137 |
|
|
|
535,000 |
|
|
|
4.000 |
|
|
09/01/2026 |
|
573,456 |
|
|
|
590,000 |
|
|
|
4.000 |
|
|
09/01/2027 |
|
627,571 |
|
|
|
575,000 |
|
|
|
4.000 |
|
|
09/01/2028 |
|
607,367 |
|
|
|
465,000 |
|
|
|
4.000 |
|
|
09/01/2029 |
|
488,106 |
| Atwater Wastewater RB Refunding Series 2017 A (AGM) (AA/NR) |
|
|
|
785,000 |
|
|
|
5.000 |
|
|
05/01/2040 |
|
888,369 |
| California County Tobacco Securitization Agency Tobacco Settlement RB Capital Appreciation Subordinate Series
2006 C (BB+/NR)(d) |
|
|
|
31,220,000 |
|
|
|
0.000 |
|
|
06/01/2055 |
|
2,550,362 |
| California Educational Facilities Authority RB for California Institute of Technology Series 2009 (AA-/Aa2)(a) |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
11/01/2019 |
|
5,234,500 |
| California Educational Facilities Authority RB for Stanford University Series 2007 T-1
(AAA/Aaa) |
|
|
|
5,750,000 |
|
|
|
5.000 |
|
|
03/15/2039 |
|
7,338,035 |
| California Educational Facilities Authority RB for Stanford University Series 2010 U-1
(AAA/Aaa) |
|
|
|
5,000,000 |
|
|
|
5.250 |
|
|
04/01/2040 |
|
6,615,500 |
| California Health Facilities Financing Authority RB for El Camino Hospital Series 2017
(AA/A1) |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
02/01/2042 |
|
567,435 |
| California Health Facilities Financing Authority RB for Lucile Salter Packard Children’s Hospital Series
2017 A (A+/A1) |
|
|
|
375,000 |
|
|
|
5.000 |
|
|
11/15/2028 |
|
446,291 |
|
|
|
350,000 |
|
|
|
5.000 |
|
|
11/15/2029 |
|
414,309 |
|
|
|
565,000 |
|
|
|
5.000 |
|
|
11/15/2030 |
|
666,774 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
11/15/2042 |
|
1,152,520 |
|
|
|
12,000,000 |
|
|
|
5.000 |
|
|
11/15/2056 |
|
13,652,520 |
| California Health Facilities Financing Authority RB for Providence Health & Services Series 2008 C (AA-/Aa3)(a) |
|
|
|
1,000,000 |
|
|
|
6.500 |
|
|
10/01/2018 |
|
1,012,690 |
| |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| California – (continued) |
| California Municipal Finance Authority RB for Community Medical Centers Series 2017 A
(A-/Baa1) |
| $ |
|
|
1,300,000 |
|
|
|
5.000 |
% |
|
02/01/2034 |
|
$ 1,461,837 |
|
|
|
1,150,000 |
|
|
|
5.000 |
|
|
02/01/2035 |
|
1,287,689 |
|
|
|
450,000 |
|
|
|
5.000 |
|
|
02/01/2042 |
|
497,174 |
|
|
|
1,450,000 |
|
|
|
5.000 |
|
|
02/01/2047 |
|
1,596,377 |
| California Municipal Finance Authority RB for LAX Integrated Express Solutions LLC Senior Lien Series 2018 A
(AMT) (BBB+/NR) |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
06/30/2028 |
|
2,328,100 |
|
|
|
1,600,000 |
|
|
|
5.000 |
|
|
12/31/2028 |
|
1,858,000 |
| California Municipal Finance Authority Student Housing RB for Bowles Hall Foundation Series 2015 A
(NR/Baa3) |
|
|
|
400,000 |
|
|
|
5.000 |
|
|
06/01/2035 |
|
435,256 |
| California Pollution Control Financing Authority RB Refunding for Waste Management, Inc. Series 2015 B-1 (AMT)
(A-/NR) |
|
|
|
4,100,000 |
|
|
|
3.000 |
|
|
11/01/2025 |
|
4,126,773 |
| California State Various Purpose GO Bonds Series 2009 (AA-/Aa3) |
|
|
|
5,000,000 |
|
|
|
5.250 |
|
|
10/01/2025 |
|
5,230,200 |
| California State Various Purpose GO Bonds Series 2010 (AA-/Aa3) |
|
|
|
1,250,000 |
|
|
|
6.000 |
|
|
03/01/2033 |
|
1,340,412 |
|
|
|
1,500,000 |
|
|
|
5.500 |
|
|
03/01/2040 |
|
1,592,670 |
| California State Various Purpose GO Bonds Series 2017 (AA-/Aa3) |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
08/01/2046 |
|
1,727,700 |
| California Statewide Communities Development Authority Community Facilities District No. 2007-01 Special Tax
Refunding for Orinda Wilder Project Series 2015 (NR/NR) |
|
|
|
345,000 |
|
|
|
5.000 |
|
|
09/01/2030 |
|
381,656 |
|
|
|
375,000 |
|
|
|
5.000 |
|
|
09/01/2037 |
|
409,099 |
| California Statewide Communities Development Authority RB for Enloe Medical Center Series 2008 (CAL MTG INS)
(AA-/NR)(a) |
|
|
|
1,435,000 |
|
|
|
5.750 |
|
|
08/15/2018 |
|
1,442,462 |
| California Statewide Communities Development Authority RB for Marin General Hospital Obligated Group Series 2018
A (A-/NR) |
|
|
|
250,000 |
|
|
|
5.000 |
|
|
08/01/2028 |
|
296,150 |
|
|
|
300,000 |
|
|
|
5.000 |
|
|
08/01/2029 |
|
353,172 |
|
|
|
315,000 |
|
|
|
5.000 |
|
|
08/01/2030 |
|
369,678 |
| California Statewide Communities Development Authority RB for Sutter Health Series 2011 A (AA-/Aa3)(a) |
|
|
|
2,000,000 |
|
|
|
6.000 |
|
|
08/15/2020 |
|
2,185,020 |
| California Statewide Communities Development Authority RB Refunding for Front Porch Communities & Services
Series 2017 A (A-/NR) |
|
|
|
150,000 |
|
|
|
5.000 |
|
|
04/01/2030 |
|
172,668 |
|
|
|
70,000 |
|
|
|
5.000 |
|
|
04/01/2031 |
|
80,405 |
|
|
|
385,000 |
|
|
|
4.000 |
|
|
04/01/2032 |
|
399,672 |
|
|
|
455,000 |
|
|
|
4.000 |
|
|
04/01/2034 |
|
467,840 |
| California Statewide Communities Development Authority RB Refunding for Loma Linda University Medical Center
Series 2016 A (BB/NR)(f) |
|
|
|
1,725,000 |
|
|
|
5.000 |
|
|
12/01/2031 |
|
1,868,917 |
| California Statewide Communities Development Authority Student Housing RB for University of California Irvine
East Campus Apartments, Phase IV-A CHF-Irvine, LLC Series 2017 (NR/Baa1) |
|
|
|
975,000 |
|
|
|
5.000 |
|
|
05/15/2042 |
|
1,098,289 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
05/15/2047 |
|
1,123,180 |
|
|
|
800,000 |
|
|
|
5.000 |
|
|
05/15/2050 |
|
895,296 |
| California Statewide Community Development Authority Water & Wastewater RB Balance Series 2004 (AGM)
(AA/A2) |
|
|
|
10,000 |
|
|
|
5.250 |
|
|
10/01/2019 |
|
10,027 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| California – (continued) |
| California Statewide Financing Authority Tobacco Settlement RB Capital Appreciation for Turbo Pooled Program
Series 2006 B (CCC/NR)(d) |
| $ |
|
|
22,000,000 |
|
|
|
0.000 |
% |
|
06/01/2046 |
|
$ 3,215,520 |
| Citrus Community College District GO Bonds Capital Appreciation for Election of 2004 Series 2009 C (AA-/Aa2)(d) |
|
|
|
3,500,000 |
|
|
|
0.000 |
|
|
06/01/2034 |
|
1,990,100 |
| City of Sacramento Natomas Meadows Community Facilities District No. 2007-01 Special Tax Bonds for Improvement
Area No. 1 Series 2017 (NR/NR)(f) |
|
|
|
625,000 |
|
|
|
4.000 |
|
|
09/01/2028 |
|
632,144 |
| Commerce Community Development Commission Successor Agency Tax Allocation Refunding Series 2016 A (AGM)
(AA/NR) |
|
|
|
275,000 |
|
|
|
3.125 |
|
|
08/01/2035 |
|
265,606 |
| County of Sacramento RB Refunding for Airport System Series 2018 C (AMT) (A+/A2) |
|
|
|
1,225,000 |
|
|
|
5.000 |
|
|
07/01/2039 |
|
1,408,946 |
| Foothill/Eastern Transportation Corridor Agency Toll Road RB Refunding RMKT 08/24/17 Series 2013 B Subseries B-1
(BBB-/Baa3) |
|
|
|
1,300,000 |
|
|
|
3.950 |
|
|
01/15/2053 |
|
1,302,925 |
| Foothill/Eastern Transportation Corridor Agency Toll Road RB Refunding Subseries B-3 (BBB-/Baa3)(b)(c) |
|
|
|
675,000 |
|
|
|
5.500 |
|
|
01/15/2023 |
|
755,804 |
| Fullerton Community Facilities District No. 1 Special Tax Refunding Bonds for Amerige Heights Series 2012
(A-/NR) |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
09/01/2032 |
|
545,370 |
| Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Asset-Backed Bonds for Capital
Appreciation Subseries 2007 B (CCC+/NR)(d) |
|
|
|
18,000,000 |
|
|
|
0.000 |
|
|
06/01/2047 |
|
3,124,080 |
| Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Asset-Backed Bonds for Capital
Appreciation Subseries 2007 C
(CCC/NR)(d) |
|
|
|
19,500,000 |
|
|
|
0.000 |
|
|
06/01/2047 |
|
3,034,005 |
| Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Asset-Backed Bonds Series 2015 A (ST
APPROP) (A+/A1) |
|
|
|
10,000,000 |
|
|
|
5.000 |
|
|
06/01/2045 |
|
11,193,400 |
| Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Asset-Backed Bonds Series 2018 A-1
(NR/NR) |
|
|
|
2,440,000 |
|
|
|
5.000 |
|
|
06/01/2047 |
|
2,505,221 |
|
|
|
10,080,000 |
|
|
|
5.250 |
|
|
06/01/2047 |
|
10,487,232 |
| Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Senior Asset-Backed Bonds Series 2007
A-2 (B+/B3) |
|
|
|
3,915,000 |
|
|
|
5.300 |
|
|
06/01/2037 |
|
4,093,759 |
| Irvine Unified School District No. 09-1 Special Tax for Community Facilities Series 2017 A
(NR/NR) |
|
|
|
650,000 |
|
|
|
5.000 |
|
|
09/01/2025 |
|
748,098 |
|
|
|
650,000 |
|
|
|
5.000 |
|
|
09/01/2026 |
|
754,689 |
| Irvine Unified School District No. 09-1 Special Tax for Community Facilities Series 2017 B
(NR/NR) |
|
|
|
480,000 |
|
|
|
5.000 |
|
|
09/01/2025 |
|
552,442 |
| Irvine Unified School District No. 09-1 Special Tax for Community Facilities Series 2017 C
(NR/NR) |
|
|
|
430,000 |
|
|
|
5.000 |
|
|
09/01/2026 |
|
499,256 |
| Irvine Unified School District No. 09-1 Special Tax for Community Facilities Series 2017 D
(NR/NR) |
|
|
|
180,000 |
|
|
|
4.000 |
|
|
09/01/2025 |
|
193,923 |
|
|
|
175,000 |
|
|
|
4.000 |
|
|
09/01/2026 |
|
188,500 |
| Lammersville Joint Unified School District No. 2002 Special Tax Refunding for Community Facilities Series 2017
(AGM) (AA/NR) |
|
|
|
3,000,000 |
|
|
|
3.500 |
|
|
09/01/2035 |
|
2,984,550 |
| |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| California – (continued) |
| Los Angeles Community College District GO Bonds for 2008 Election Series 2010 C (AA+/Aa1)(a) |
| $ |
|
|
5,000,000 |
|
|
|
5.250 |
% |
|
08/01/2020 |
|
$ 5,383,150 |
| Los Angeles Department of Airports Subordinated RB Series 2018 A (AMT) (AA-/A1) |
|
|
|
7,000,000 |
|
|
|
5.250 |
|
|
05/15/2048 |
|
8,192,730 |
| Menifee Union School District Riverside County GO Bonds Capital Appreciation for Election of 2008 Series 2009 C
(ASSURED GTY) (AA/Aa3)(d) |
|
|
|
2,000,000 |
|
|
|
0.000 |
|
|
08/01/2037 |
|
977,140 |
|
|
|
4,500,000 |
|
|
|
0.000 |
|
|
08/01/2038 |
|
2,105,055 |
|
|
|
4,500,000 |
|
|
|
0.000 |
|
|
08/01/2039 |
|
2,010,195 |
| Merced City School District GO Bonds Capital Appreciation for Election of 2003 Series 2005 (NATL-RE) (AA-/NR)(d) |
|
|
|
1,205,000 |
|
|
|
0.000 |
|
|
08/01/2026 |
|
954,191 |
| M-S-R Energy Authority Gas RB Series 2009 A (BBB+/NR) |
|
|
|
1,750,000 |
|
|
|
6.500 |
|
|
11/01/2039 |
|
2,494,380 |
| M-S-R Energy Authority Gas RB Series 2009 C (BBB+/NR) |
|
|
|
3,500,000 |
|
|
|
6.125 |
|
|
11/01/2029 |
|
4,345,495 |
|
|
|
2,000,000 |
|
|
|
6.500 |
|
|
11/01/2039 |
|
2,850,720 |
| Mt. Diablo Unified School District GO Bonds Capital Appreciation for Election of 2010 Series 2010 A (AGM)
(AA/Aa2)(g) |
|
|
|
5,000,000 |
|
|
|
0.000 |
|
|
08/01/2035 |
|
4,742,900 |
| Palomar Health RB Refunding for Palomar Health Series 2017 (AGM) (AA/A2) |
|
|
|
11,335,000 |
|
|
|
5.000 |
|
|
11/01/2047 |
|
12,802,769 |
| Palomar Pomerado Health COPS Series 2009 (NR/WR)(a) |
|
|
|
2,500,000 |
|
|
|
6.750 |
|
|
11/01/2019 |
|
2,672,875 |
| Palomar Pomerado Health GO Bonds Capital Appreciation for Election of 2004 Series 2009 A (ASSURED GTY) (AA/A2)(d) |
|
|
|
2,150,000 |
|
|
|
0.000 |
|
|
08/01/2031 |
|
1,351,791 |
|
|
|
4,150,000 |
|
|
|
0.000 |
|
|
08/01/2032 |
|
2,497,470 |
|
|
|
3,500,000 |
|
|
|
0.000 |
|
|
08/01/2033 |
|
2,007,775 |
| Palomar Pomerado Health GO Bonds Capital Appreciation for Election of 2004 Series 2009 A (ASSURED GTY) (AA/A2)(g) |
|
|
|
6,450,000 |
|
|
|
0.000 |
|
|
08/01/2038 |
|
7,986,390 |
| Port of Oakland RB Refunding Senior Lien Series 2012 P (AMT) (A+/A1) |
|
|
|
4,000,000 |
|
|
|
5.000 |
|
|
05/01/2031 |
|
4,352,040 |
| Rancho Cordova Community Facilities District No. 2003-1 Special Tax Refunding for Sunridge Anatolia Series 2016
(NR/NR) |
|
|
|
590,000 |
|
|
|
4.000 |
|
|
09/01/2023 |
|
635,253 |
|
|
|
320,000 |
|
|
|
4.000 |
|
|
09/01/2024 |
|
345,914 |
|
|
|
400,000 |
|
|
|
4.000 |
|
|
09/01/2025 |
|
431,208 |
|
|
|
490,000 |
|
|
|
4.000 |
|
|
09/01/2026 |
|
525,221 |
|
|
|
305,000 |
|
|
|
4.000 |
|
|
09/01/2027 |
|
324,422 |
|
|
|
500,000 |
|
|
|
4.000 |
|
|
09/01/2028 |
|
527,410 |
| River Islands Public Financing Authority Community Facilities District No. 2003-1 Special Tax Refunding Bonds
Series 2015 A-1 (NR/NR) |
|
|
|
4,980,000 |
|
|
|
5.000 |
|
|
09/01/2027 |
|
5,220,335 |
|
|
|
1,000,000 |
|
|
|
5.375 |
|
|
09/01/2031 |
|
1,071,530 |
|
|
|
485,000 |
|
|
|
5.250 |
|
|
09/01/2034 |
|
515,841 |
| Roseville California Community Facilities District No. 1 Special Tax Refunding for Fiddyment Ranch Project Series
2017 (NR/NR) |
|
|
|
750,000 |
|
|
|
5.000 |
|
|
09/01/2025 |
|
858,968 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
09/01/2027 |
|
1,157,390 |
| Roseville California Community Facilities District No. 1 Special Tax Refunding for Fiddyment Ranch Series 2017
(NR/NR) |
|
|
|
1,075,000 |
|
|
|
5.000 |
|
|
09/01/2026 |
|
1,240,507 |
| Sacramento County Sanitation District Financing Authority RB Refunding for Sacramento County Regional Series 2007
B (NATL-RE) (AA/Aa3)(e) |
| (3 Mo. LIBOR + 0.53%), |
|
|
|
13,150,000 |
|
|
|
2.071 |
|
|
12/01/2035 |
|
12,724,729 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| California – (continued) |
| San Diego Unified School District GO Bonds for Election of 2008 Series 2010 C (AA-/Aa2)(d) |
| $ |
|
|
5,000,000 |
|
|
|
0.000 |
% |
|
07/01/2039 |
|
$ 2,277,900 |
| San Diego Unified School District GO Bonds for Election of 2012 Series 2013 C (AA-/Aa2) |
|
|
|
3,500,000 |
|
|
|
4.000 |
|
|
07/01/2042 |
|
3,631,565 |
| San Francisco City & County Airport Commission RB Refunding for San Francisco International Airport Second
Series 2011 C (AMT) (A+/A1) |
|
|
|
3,800,000 |
|
|
|
5.000 |
|
|
05/01/2021 |
|
4,126,002 |
| San Francisco City & County Airport Commission RB Refunding for San Francisco International Airport Second
Series 2013 A (AMT) (A+/A1) |
|
|
|
2,000,000 |
|
|
|
5.500 |
|
|
05/01/2028 |
|
2,276,080 |
| San Francisco City & County Airport Commission RB Refunding for San Francisco International Airport Second
Series 2018 A (AMT) (A+/A1) |
|
|
|
10,000,000 |
|
|
|
5.000 |
|
|
05/01/2023 |
|
11,304,900 |
| San Francisco City & County Airport Commission RB Refunding for San Francisco International Airport Second
Series 2018 D (AMT) (A+/A1) |
|
|
|
20,000,000 |
|
|
|
5.000 |
|
|
05/01/2048 |
|
22,815,000 |
| San Francisco City & County Redevelopment Financing Authority Tax Allocation for Mission Bay South
Redevelopment Series 2016 C (A-/NR) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
08/01/2033 |
|
1,152,570 |
| San Joaquin Hills Transportation Corridor Agency RB Refunding for Capital Appreciation Series 1997 A (NATL-RE)
(BBB/Baa2)(d) |
|
|
|
1,605,000 |
|
|
|
0.000 |
|
|
01/15/2026 |
|
1,248,706 |
| San Joaquin Hills Transportation Corridor Agency RB Refunding for Toll Road Senior Lien Series 2014 A
(BBB/NR) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
01/15/2029 |
|
1,116,590 |
| State of California Various Purpose GO Bonds Series 2009 (AA-/Aa3) |
|
|
|
2,285,000 |
|
|
|
6.500 |
|
|
04/01/2033 |
|
2,368,859 |
|
|
|
1,775,000 |
|
|
|
6.000 |
|
|
04/01/2038 |
|
1,832,244 |
| State of California Various Purpose GO Bonds Series 2009 (AA+/Aaa)(a) |
|
|
|
975,000 |
|
|
|
6.000 |
|
|
04/01/2019 |
|
1,008,745 |
|
|
|
2,715,000 |
|
|
|
6.500 |
|
|
04/01/2019 |
|
2,818,984 |
| Stockton Unified School District GO Refunding Bonds Series 2016 (A+/A2) |
|
|
|
2,735,000 |
|
|
|
5.000 |
|
|
08/01/2025 |
|
3,210,835 |
| Tobacco Securitization Authority Northern California Tobacco Settlement RB Asset-Backed Bonds Series 2005 A-1
(B-/B3) |
|
|
|
1,650,000 |
|
|
|
5.375 |
|
|
06/01/2038 |
|
1,652,772 |
| University of California Regents Medical Center Pooled RB Refunding Series 2007 C-2 (NATL-RE) (AA-/Aa3)(e) |
| (3 Mo. LIBOR + 0.74%), |
|
|
|
5,000,000 |
|
|
|
2.309 |
|
|
05/15/2043 |
|
4,420,850 |
| Vernon California Redevelopment Agency Tax Allocation for Industrial Redevelopment Project Series 2005 (NATL-RE)
(NR/Baa2) |
|
|
|
725,000 |
|
|
|
5.250 |
|
|
09/01/2019 |
|
725,522 |
| West Contra Costa Unified School District GO Bonds Capital Appreciation for Election of 2002 Series 2004 C
(NATL-RE) (AA-/Baa2)(d) |
|
|
|
1,175,000 |
|
|
|
0.000 |
|
|
08/01/2025 |
|
967,789 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
302,521,150 |
| |
| Colorado – 3.1% |
| Adams County School District No. 1 GO Bonds for Mapleton Public Schools Series 2017 (ST AID WITHHLDG)
(NR/Aa2) |
|
|
|
7,235,000 |
|
|
|
5.250 |
|
|
12/01/2040 |
|
8,431,163 |
| |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Colorado – (continued) |
| Belleview Station Metropolitan District No. 2 GO Refunding & Improvement Bonds Series 2017
(NR/NR) |
| $ |
|
|
1,295,000 |
|
|
|
4.500 |
% |
|
12/01/2029 |
|
$ 1,308,610 |
| Brighton Crossing Metropolitan District No. 4 Limited Tax GO Bonds Series 2017 A (NR/NR) |
|
|
|
525,000 |
|
|
|
5.000 |
|
|
12/01/2037 |
|
540,367 |
| Centerra Metropolitan District No. 1 Special RB Refunding & Improvement Bonds Series 2017 (NR/NR)(f) |
|
|
|
4,000,000 |
|
|
|
5.000 |
|
|
12/01/2029 |
|
4,291,360 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
12/01/2047 |
|
509,895 |
| Cherry Creek Colorado School District No. 5 GO Bonds Series 2017 C (ST AID WITHHLDG)
(AA+/Aa1) |
|
|
|
2,455,000 |
|
|
|
6.000 |
|
|
12/15/2029 |
|
3,150,330 |
|
|
|
7,565,000 |
|
|
|
6.000 |
|
|
12/15/2030 |
|
9,685,772 |
| Colorado Health Facilities Authority RB Refunding for Christian Living Neighborhoods Project Series 2016
(NR/NR) |
|
|
|
200,000 |
|
|
|
4.000 |
|
|
01/01/2019 |
|
201,840 |
| Colorado Health Facilities Authority RB Refunding for Covenant Retirement Communities, Inc. Series 2015 A
(BBB+/NR) |
|
|
|
625,000 |
|
|
|
4.000 |
|
|
12/01/2019 |
|
641,062 |
| Colorado Health Facilities Authority RB Refunding for Evangelical Lutheran Good Samaritan Society Project Series
2017 (BBB/NR) |
|
|
|
1,150,000 |
|
|
|
5.000 |
|
|
06/01/2047 |
|
1,260,745 |
| Cornerstar Metropolitan District GO Refunding Bonds Series 2017 A (NR/NR) |
|
|
|
500,000 |
|
|
|
3.500 |
|
|
12/01/2021 |
|
507,550 |
|
|
|
500,000 |
|
|
|
4.500 |
|
|
12/01/2027 |
|
517,830 |
| Denver City & County Airport RB Series 2013 A (AMT) (A/A2) |
|
|
|
5,000,000 |
|
|
|
5.500 |
|
|
11/15/2029 |
|
5,721,800 |
| Denver City & County COPS Series 2008 A-1 (AA+/Aa1)(b)(c) |
|
|
|
2,545,000 |
|
|
|
1.550 |
|
|
07/04/2018 |
|
2,545,000 |
| Denver Colorado City & County Special Facilities Airport RB Refunding for United Air Lines, Inc. Project
Series 2017 (AMT) (BB/NR) |
|
|
|
1,750,000 |
|
|
|
5.000 |
|
|
10/01/2032 |
|
1,881,635 |
| Denver Colorado Health and Hospital Authority Healthcare RB Refunding Series 2017 A (BBB/NR)(f) |
|
|
|
4,995,000 |
|
|
|
5.000 |
|
|
12/01/2025 |
|
5,580,414 |
|
|
|
2,490,000 |
|
|
|
5.000 |
|
|
12/01/2026 |
|
2,783,098 |
| Denver Colorado Health and Hospital Authority Healthcare RB Series 2007 B (BBB/NR)(e) |
| (3 Mo. LIBOR + 1.10%), |
|
|
|
5,000,000 |
|
|
|
2.641 |
|
|
12/01/2033 |
|
4,673,450 |
| E-470 Public Highway Authority RB Series 2010 A (A/A3)(d) |
|
|
|
6,000,000 |
|
|
|
0.000 |
|
|
09/01/2040 |
|
2,549,220 |
| E-470 Public Highway Authority Senior RB Series 2017 B (A/A3)(b) |
| (1 Mo. LIBOR + 1.05%), |
|
|
|
2,000,000 |
|
|
|
2.458 |
|
|
09/01/2021 |
|
2,019,980 |
| North Holly Metropolitan District Limited Tax GO Bonds Series 2018 A (NR/NR)(h) |
|
|
|
500,000 |
|
|
|
5.500 |
|
|
12/01/2048 |
|
499,830 |
| Palisade Metropolitan District No. 2 GO Refunding Limited Tax Bonds Series 2016 (NR/NR) |
|
|
|
500,000 |
|
|
|
4.375 |
|
|
12/01/2031 |
|
488,325 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
12/01/2046 |
|
504,890 |
| Public Authority Colorado Energy RB for Natural Gas Purchase Series 2008 (A-/A3) |
|
|
|
2,000,000 |
|
|
|
6.250 |
|
|
11/15/2028 |
|
2,488,440 |
| Serenity Ridge Metropolitan District No. 2 GO Refunding & Improvement Bonds Series 2018 A
(NR/NR) |
|
|
|
565,000 |
|
|
|
4.500 |
|
|
12/01/2028 |
|
569,848 |
| Southlands Metropolitan District No. 1 GO Refunding Bonds Series 2017 A-1 (NR/Ba1) |
|
|
|
275,000 |
|
|
|
3.000 |
|
|
12/01/2022 |
|
274,656 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
12/01/2037 |
|
1,072,880 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Colorado – (continued) |
| Southlands Metropolitan District No. 1 GO Refunding Bonds Series 2017 A-2 (NR/Ba1) |
| $ |
|
|
115,000 |
|
|
|
3.000 |
% |
|
12/01/2022 |
|
$ 114,856 |
|
|
|
100,000 |
|
|
|
3.500 |
|
|
12/01/2027 |
|
99,205 |
|
|
|
115,000 |
|
|
|
5.000 |
|
|
12/01/2037 |
|
123,755 |
|
|
|
325,000 |
|
|
|
5.000 |
|
|
12/01/2047 |
|
346,590 |
| St. Vrain Lakes Metropolitan District No. 2 Limited Tax GO Bonds Series 2017 A (NR/NR) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
12/01/2037 |
|
997,490 |
| Sterling Hills West Metropolitan District GO Refunding Bonds Series 2017 (NR/Baa2) |
|
|
|
350,000 |
|
|
|
5.000 |
|
|
12/01/2032 |
|
391,181 |
| Sterling Ranch Community Authority Board Limited Tax Special Senior RB Series 2017 A (MUN GOVT GTD)
(NR/NR) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
12/01/2030 |
|
1,030,350 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
12/01/2047 |
|
506,540 |
| Wildwing Metropolitan District No. 5 GO Refunding & Improvement Bond Series 2018 A
(NR/NR) |
|
|
|
1,250,000 |
|
|
|
5.375 |
|
|
12/01/2048 |
|
1,252,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
69,562,832 |
| |
| Connecticut – 2.2% |
| Connecticut State GO Bonds Series 2016 D (A/A1) |
|
|
|
2,490,000 |
|
|
|
5.000 |
|
|
08/15/2020 |
|
2,635,491 |
| Connecticut State GO Bonds Series 2018 C (A/A1) |
|
|
|
680,000 |
|
|
|
5.000 |
|
|
06/15/2028 |
|
775,499 |
| Connecticut State GO Refunding Bonds Series 2017 B (A/A1) |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
04/15/2028 |
|
5,696,550 |
| Connecticut State Health & Educational Facilities Authority RB Refunding for Yale University Series 2017 C-1
(AAA/Aaa)(b)(c) |
|
|
|
3,575,000 |
|
|
|
5.000 |
|
|
02/01/2028 |
|
4,304,979 |
| Connecticut State Health & Educational Facilities Authority RB Refunding for Yale University Series 2017 C-2
(AAA/Aaa)(b)(c) |
|
|
|
18,260,000 |
|
|
|
5.000 |
|
|
02/01/2023 |
|
20,550,900 |
| Hartford County Metropolitan District GO Bonds Series 2016 C (AGM) (AA/Aa3) |
|
|
|
5,540,000 |
|
|
|
5.000 |
|
|
11/01/2026 |
|
6,502,464 |
| Mohegan Tribal Finance Authority Tribal RB Economic Development Bonds Series 2015 (B-/NR)(f) |
|
|
|
3,760,000 |
|
|
|
7.000 |
|
|
02/01/2045 |
|
3,865,994 |
| State of Connecticut GO Bonds Series 2018 (A/A1) |
|
|
|
1,770,000 |
|
|
|
5.000 |
|
|
06/15/2027 |
|
2,004,437 |
|
|
|
755,000 |
|
|
|
5.000 |
|
|
06/15/2029 |
|
855,558 |
|
|
|
165,000 |
|
|
|
5.000 |
|
|
06/15/2032 |
|
185,346 |
| West Haven GO Bonds Series 2017 A (BBB/Baa3) |
|
|
|
325,000 |
|
|
|
5.000 |
|
|
11/01/2025 |
|
347,578 |
|
|
|
325,000 |
|
|
|
5.000 |
|
|
11/01/2026 |
|
348,046 |
|
|
|
325,000 |
|
|
|
5.000 |
|
|
11/01/2027 |
|
348,767 |
| West Haven GO Bonds Series 2017 B (BBB/Baa3) |
|
|
|
645,000 |
|
|
|
5.000 |
|
|
11/01/2024 |
|
688,512 |
|
|
|
240,000 |
|
|
|
5.000 |
|
|
11/01/2026 |
|
257,018 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
49,367,139 |
| |
| Delaware – 0.3% |
| New Castle County Delaware GO Bonds Series 2015 (AAA/Aaa) |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
10/01/2026 |
|
5,855,950 |
| University of Delaware RB Series 2015 (AA+/Aa1) |
|
|
|
1,805,000 |
|
|
|
5.000 |
|
|
11/01/2033 |
|
2,061,003 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,916,953 |
| |
| District of Columbia – 1.4% |
| District of Columbia GO Bonds Series 2007 A (NATL-RE) (AA/Aa1) |
|
|
|
10,080,000 |
|
|
|
3.000 |
|
|
06/01/2030 |
|
9,901,080 |
| |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| District of Columbia – (continued) |
| District of Columbia GO Refunding Bonds Series 2017 A (AA/Aa1) |
| $ |
|
|
10,000,000 |
|
|
|
5.000 |
% |
|
06/01/2035 |
|
$ 11,621,400 |
|
|
|
1,300,000 |
|
|
|
4.000 |
|
|
06/01/2037 |
|
1,363,583 |
| District of Columbia RB Series 2011 G (AAA/Aa1) |
|
|
|
2,240,000 |
|
|
|
5.000 |
|
|
12/01/2028 |
|
2,447,312 |
| District of Columbia Tobacco Settlement Financing Corp. RB Asset-Backed Bonds Series 2001
(A-/Baa1) |
|
|
|
750,000 |
|
|
|
6.500 |
|
|
05/15/2033 |
|
849,195 |
| District of Columbia Water & Sewer Authority RB Public Utility Senior Lien Series 2009 A (AAA/Aa1)(a) |
|
|
|
5,000,000 |
|
|
|
6.000 |
|
|
10/01/2018 |
|
5,056,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,238,970 |
| |
| Florida – 9.4% |
| Anthem Park Community Development District Special Assessment RB Refunding Senior Series 2016 A-1
(BBB/NR) |
|
|
|
360,000 |
|
|
|
2.500 |
|
|
05/01/2024 |
|
351,378 |
|
|
|
370,000 |
|
|
|
3.000 |
|
|
05/01/2025 |
|
366,381 |
|
|
|
380,000 |
|
|
|
3.000 |
|
|
05/01/2026 |
|
371,412 |
|
|
|
395,000 |
|
|
|
3.125 |
|
|
05/01/2027 |
|
385,880 |
| Anthem Park Community Development District Special Assessment RB Refunding Subordinate Series 2016 A-2
(NR/NR) |
|
|
|
365,000 |
|
|
|
4.250 |
|
|
05/01/2027 |
|
349,152 |
|
|
|
410,000 |
|
|
|
4.750 |
|
|
05/01/2036 |
|
384,170 |
| Arbor Greene Community Development District Special Assessment Refunding Series 2006 (A/NR) |
|
|
|
225,000 |
|
|
|
5.000 |
|
|
05/01/2019 |
|
230,715 |
| Arborwood Community Development District RB Capital Improvement Refunding Subordinate Lien Series 2018 A-2
(NR/NR) |
|
|
|
1,000,000 |
|
|
|
4.125 |
|
|
05/01/2023 |
|
1,000,100 |
| Avalon Groves Community Development District Special Assessment for Assessment Area One Project Series 2017
(NR/NR) |
|
|
|
210,000 |
|
|
|
5.000 |
|
|
05/01/2028 |
|
210,708 |
| Avalon Groves Community Development District Special Assessment for Assessment Area Two Project Series 2017 A-1
(NR/NR) |
|
|
|
605,000 |
|
|
|
5.375 |
|
|
05/01/2028 |
|
599,718 |
| Avelar Creek Community Development District Special Assessment Refunding Series 2016
(BBB+/NR) |
|
|
|
175,000 |
|
|
|
2.250 |
|
|
05/01/2022 |
|
174,743 |
|
|
|
175,000 |
|
|
|
2.500 |
|
|
05/01/2023 |
|
174,996 |
|
|
|
180,000 |
|
|
|
2.500 |
|
|
05/01/2024 |
|
177,206 |
|
|
|
185,000 |
|
|
|
3.000 |
|
|
05/01/2025 |
|
184,428 |
|
|
|
195,000 |
|
|
|
3.000 |
|
|
05/01/2026 |
|
192,446 |
| Bannon Lakes Community Development District Special Assessment RB Series 2016 (NR/NR) |
|
|
|
100,000 |
|
|
|
4.500 |
|
|
11/01/2025 |
|
103,756 |
|
|
|
185,000 |
|
|
|
5.000 |
|
|
11/01/2036 |
|
197,928 |
|
|
|
320,000 |
|
|
|
5.000 |
|
|
11/01/2048 |
|
339,408 |
| Bartram Park Community Development District Special Assessment RB Refunding for City of Jacksonville Florida
Senior Lien Series 2015 A-1 (BBB+/NR) |
|
|
|
495,000 |
|
|
|
4.250 |
|
|
05/01/2029 |
|
521,661 |
|
|
|
490,000 |
|
|
|
4.500 |
|
|
05/01/2035 |
|
509,237 |
| Bay Laurel Center Community Development District Special Assessment RB Refunding Series 2016 Candler
(BBB+/NR) |
|
|
|
135,000 |
|
|
|
2.500 |
|
|
05/01/2023 |
|
134,997 |
|
|
|
140,000 |
|
|
|
2.750 |
|
|
05/01/2024 |
|
139,698 |
|
|
|
90,000 |
|
|
|
3.000 |
|
|
05/01/2025 |
|
89,722 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Florida – (continued) |
| Baywinds Community Development District Senior Special Assessment Refunding Bonds Series 2017 A-1
(BBB-/NR) |
| $ |
|
|
315,000 |
|
|
|
3.500 |
% |
|
05/01/2023 |
|
$ 328,066 |
|
|
|
325,000 |
|
|
|
3.500 |
|
|
05/01/2024 |
|
337,678 |
|
|
|
340,000 |
|
|
|
3.500 |
|
|
05/01/2025 |
|
350,839 |
|
|
|
350,000 |
|
|
|
3.500 |
|
|
05/01/2026 |
|
357,942 |
|
|
|
365,000 |
|
|
|
3.500 |
|
|
05/01/2027 |
|
369,701 |
| Bellagio Community Development District Special Assessment Bond Series 2016 (BBB-/NR) |
|
|
|
160,000 |
|
|
|
2.500 |
|
|
11/01/2022 |
|
158,440 |
|
|
|
160,000 |
|
|
|
2.750 |
|
|
11/01/2023 |
|
158,195 |
|
|
|
170,000 |
|
|
|
3.000 |
|
|
11/01/2025 |
|
166,483 |
| Century Gardens at Tamiami Community Development District Special Assessment Refunding Series 2016
(BBB/NR) |
|
|
|
235,000 |
|
|
|
2.500 |
|
|
05/01/2023 |
|
232,777 |
|
|
|
245,000 |
|
|
|
2.500 |
|
|
05/01/2024 |
|
238,490 |
|
|
|
250,000 |
|
|
|
3.000 |
|
|
05/01/2025 |
|
246,043 |
|
|
|
255,000 |
|
|
|
3.000 |
|
|
05/01/2026 |
|
248,033 |
|
|
|
535,000 |
|
|
|
4.250 |
|
|
05/01/2037 |
|
550,777 |
| Charlotte County Industrial Development Authority Utility System RB for Town & Country Utilities Project
Series 2015 (AMT) (NR/NR)(f) |
|
|
|
1,250,000 |
|
|
|
5.500 |
|
|
10/01/2036 |
|
1,220,362 |
| City of Cape Coral Water & Sewer RB Refunding Series 2015 (A+/A1) |
|
|
|
1,000,000 |
|
|
|
4.000 |
|
|
10/01/2034 |
|
1,034,300 |
| City of West Palm Beach Utility System RB Series 2017 A (AA+/Aa2) |
|
|
|
15,000,000 |
|
|
|
5.000 |
|
|
10/01/2042 |
|
17,235,900 |
| Coconut Cay Community Development District Special Assessment Series 2006 (NR/NR) |
|
|
|
770,000 |
|
|
|
5.375 |
|
|
05/01/2036 |
|
770,162 |
| Concord Station Community Development District Capital Improvement RB Refunding Senior Lien Series 2016 A-1
(BBB/NR) |
|
|
|
880,000 |
|
|
|
2.375 |
|
|
05/01/2023 |
|
861,643 |
|
|
|
900,000 |
|
|
|
2.500 |
|
|
05/01/2024 |
|
876,555 |
|
|
|
925,000 |
|
|
|
2.750 |
|
|
05/01/2025 |
|
901,292 |
|
|
|
915,000 |
|
|
|
3.000 |
|
|
05/01/2026 |
|
895,556 |
|
|
|
980,000 |
|
|
|
3.200 |
|
|
05/01/2027 |
|
964,399 |
|
|
|
1,015,000 |
|
|
|
3.250 |
|
|
05/01/2028 |
|
991,543 |
|
|
|
1,500,000 |
|
|
|
3.750 |
|
|
05/01/2046 |
|
1,449,570 |
| Corkscrew Farms Community Development District Special Assessment for Assessment Area Two Project Series 2017
(NR/NR)(f) |
|
|
|
400,000 |
|
|
|
3.750 |
|
|
11/01/2023 |
|
399,600 |
|
|
|
700,000 |
|
|
|
4.500 |
|
|
11/01/2028 |
|
696,528 |
| Coronado Community Development District Special Assessment Refunding & Improvement Bonds Series 2017
(BBB/NR) |
|
|
|
129,000 |
|
|
|
3.000 |
|
|
05/01/2023 |
|
130,679 |
|
|
|
133,000 |
|
|
|
3.250 |
|
|
05/01/2024 |
|
134,762 |
|
|
|
138,000 |
|
|
|
3.500 |
|
|
05/01/2025 |
|
140,008 |
|
|
|
143,000 |
|
|
|
3.625 |
|
|
05/01/2026 |
|
145,191 |
| Country Walk Community Development District Special Assessment RB Refunding Senior Lien Series 2015 A-1
(A-/NR) |
|
|
|
190,000 |
|
|
|
2.875 |
|
|
05/01/2021 |
|
194,176 |
|
|
|
200,000 |
|
|
|
3.000 |
|
|
05/01/2022 |
|
204,580 |
|
|
|
205,000 |
|
|
|
3.250 |
|
|
05/01/2023 |
|
211,099 |
|
|
|
210,000 |
|
|
|
3.375 |
|
|
05/01/2024 |
|
215,535 |
|
|
|
220,000 |
|
|
|
3.500 |
|
|
05/01/2025 |
|
226,191 |
|
|
|
215,000 |
|
|
|
4.125 |
|
|
05/01/2035 |
|
222,693 |
| County of Broward Airport System RB Series 2017 (AMT) (A+/A1) |
|
|
|
1,550,000 |
|
|
|
5.000 |
|
|
10/01/2047 |
|
1,741,316 |
| |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Florida – (continued) |
| County of Escambia PCRB for Gulf Power Co. Project Series 2003 (A-/A2) |
| $ |
|
|
5,550,000 |
|
|
|
2.600 |
% |
|
06/01/2023 |
|
$ 5,547,391 |
| Crossings at Fleming Island Community Development District Special Assessment RB Refunding Senior Lien Series
2014 A-1 (BBB/NR) |
|
|
|
2,000,000 |
|
|
|
4.000 |
|
|
05/01/2024 |
|
2,086,020 |
| Davenport Road South Community Development District Special Assessment Bonds Series 2018 (NR/NR)(f) |
|
|
|
300,000 |
|
|
|
3.750 |
|
|
11/01/2023 |
|
300,183 |
|
|
|
730,000 |
|
|
|
4.500 |
|
|
11/01/2028 |
|
730,482 |
| Durbin Crossing Community Development District Special Assessment Refunding Senior Series 2017 A-1 (AGM)
(AA/NR) |
|
|
|
700,000 |
|
|
|
3.750 |
|
|
05/01/2034 |
|
695,016 |
|
|
|
965,000 |
|
|
|
4.000 |
|
|
05/01/2037 |
|
974,988 |
| East Central Regional Wastewater Treatment Facilities Operation Board RB Refunding for Wastewater Treatment
Facilities Series 2017 (AA+/NR) |
|
|
|
3,535,000 |
|
|
|
5.000 |
|
|
10/01/2044 |
|
4,071,118 |
| Florida Development Finance Corp. Surface Transportation Facility RB for Brightline Passenger Rail Project Series
2017 (AMT) (BB-/NR)(b)(c)(f) |
|
|
|
2,800,000 |
|
|
|
5.625 |
|
|
01/01/2028 |
|
2,881,816 |
| Florida Higher Educational Facilities Financial Authority RB for Jacksonville University Project Series 2018 A-1
(NR/NR)(f) |
|
|
|
2,000,000 |
|
|
|
4.500 |
|
|
06/01/2033 |
|
2,051,440 |
|
|
|
250,000 |
|
|
|
4.750 |
|
|
06/01/2038 |
|
258,380 |
|
|
|
4,500,000 |
|
|
|
5.000 |
|
|
06/01/2048 |
|
4,722,165 |
| Florida State Municipal Power Agency RB Refunding for St. Lucie Project Series 2002-1 (AMBAC) (A/A2)(b)(c) |
|
|
|
3,925,000 |
|
|
|
2.770 |
|
|
10/01/2021 |
|
3,925,000 |
| Florida State Municipal Power Agency RB Refunding for St. Lucie Project Series 2002-2 (AMBAC) (A/A2)(c) |
|
|
|
15,475,000 |
|
|
|
2.702 |
|
|
10/01/2021 |
|
15,475,000 |
| Florida State Municipal Power Agency RB Series 2009 A (A+/A2)(a) |
|
|
|
1,000,000 |
|
|
|
6.250 |
|
|
10/01/2019 |
|
1,057,550 |
| Flow Way Community Development District Special Assessment Bonds for Phase 6 Project Series 2017
(NR/NR) |
|
|
|
200,000 |
|
|
|
4.000 |
|
|
11/01/2028 |
|
198,154 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
11/01/2038 |
|
528,485 |
| Grand Bay at Doral Community Development District Special Assessment for South Parcel Assessment Area Project
Series 2016 (NR/NR) |
|
|
|
840,000 |
|
|
|
4.250 |
|
|
05/01/2026 |
|
854,482 |
| Greater Orlando Aviation Authority Airport Facilities RB Refunding for Jetblue Airways Corp. Project Series 2013
(AMT) (NR/NR) |
|
|
|
920,000 |
|
|
|
5.000 |
|
|
11/15/2036 |
|
970,683 |
| Greater Orlando Aviation Authority RB Refunding Series 2012 A (AMT) (AA-/Aa3) |
|
|
|
2,150,000 |
|
|
|
5.000 |
|
|
10/01/2021 |
|
2,343,091 |
| Hacienda Lakes Community Development District Special Assessment Refunding Series 2016
(NR/NR) |
|
|
|
280,000 |
|
|
|
3.375 |
|
|
05/01/2021 |
|
278,463 |
|
|
|
550,000 |
|
|
|
3.875 |
|
|
05/01/2026 |
|
543,004 |
| Hawks Point Community Development District Special Assessment Refunding Senior Series 2017 A-1 (BBB+/NR)(f) |
|
|
|
265,000 |
|
|
|
4.000 |
|
|
05/01/2024 |
|
282,130 |
|
|
|
265,000 |
|
|
|
4.000 |
|
|
05/01/2025 |
|
280,402 |
|
|
|
140,000 |
|
|
|
4.000 |
|
|
05/01/2026 |
|
147,795 |
| Heritage Isle at Viera Community Development District Special Assessment Refunding Series 2017 (AGM)
(AA/NR) |
|
|
|
215,000 |
|
|
|
4.000 |
|
|
05/01/2024 |
|
224,071 |
|
|
|
225,000 |
|
|
|
4.000 |
|
|
05/01/2025 |
|
233,991 |
|
|
|
235,000 |
|
|
|
4.000 |
|
|
05/01/2026 |
|
243,791 |
|
|
|
240,000 |
|
|
|
4.000 |
|
|
05/01/2027 |
|
249,406 |
|
|
|
250,000 |
|
|
|
4.000 |
|
|
05/01/2028 |
|
259,220 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Florida – (continued) |
| Heritage Landing Community Development District Special Assessment Refunding Bonds Series 2015
(BBB/NR) |
| $ |
|
|
585,000 |
|
|
|
3.375 |
% |
|
05/01/2023 |
|
$ 605,159 |
|
|
|
605,000 |
|
|
|
3.500 |
|
|
05/01/2024 |
|
624,318 |
|
|
|
630,000 |
|
|
|
3.625 |
|
|
05/01/2025 |
|
647,848 |
|
|
|
650,000 |
|
|
|
3.750 |
|
|
05/01/2026 |
|
664,930 |
|
|
|
1,000,000 |
|
|
|
4.200 |
|
|
05/01/2031 |
|
1,049,590 |
| Highlands Community Development District Special Assessment Refunding Series 2016 (BBB-/NR) |
|
|
|
1,225,000 |
|
|
|
4.250 |
|
|
05/01/2031 |
|
1,294,261 |
| Highlands Meadows II Community Development District Special Assessment Bonds for Assessment Area Five Project
Series 2017 (NR/NR) |
|
|
|
260,000 |
|
|
|
4.250 |
|
|
11/01/2022 |
|
262,540 |
|
|
|
420,000 |
|
|
|
4.875 |
|
|
11/01/2027 |
|
432,764 |
|
|
|
960,000 |
|
|
|
5.375 |
|
|
11/01/2037 |
|
1,001,049 |
|
|
|
870,000 |
|
|
|
5.500 |
|
|
11/01/2047 |
|
906,001 |
| Highlands Meadows II Community Development District Special Assessment Bonds for Assessment Area Six Project
Series 2017 (NR/NR) |
|
|
|
85,000 |
|
|
|
4.875 |
|
|
11/01/2027 |
|
87,583 |
|
|
|
365,000 |
|
|
|
5.500 |
|
|
11/01/2047 |
|
380,104 |
| Hillcrest Community Development District Special Assessment Bonds for Capital Improvement Program Series 2018
(NR/NR) |
|
|
|
790,000 |
|
|
|
4.000 |
|
|
11/01/2028 |
|
782,708 |
|
|
|
700,000 |
|
|
|
4.500 |
|
|
11/01/2038 |
|
691,691 |
| K-Bar Ranch II Community Development District Special Assessment Bonds Series 2017 A (NR/NR)(f) |
|
|
|
1,175,000 |
|
|
|
4.500 |
|
|
05/01/2038 |
|
1,165,800 |
|
|
|
1,855,000 |
|
|
|
4.625 |
|
|
05/01/2048 |
|
1,838,564 |
| Lakewood Ranch Stewardship District Special Assessment RB for Del Webb Project Series 2017 (NR/NR)(f) |
|
|
|
510,000 |
|
|
|
3.650 |
|
|
05/01/2022 |
|
512,065 |
|
|
|
520,000 |
|
|
|
4.300 |
|
|
05/01/2027 |
|
522,148 |
| Lakewood Ranch Stewardship District Special Assessment RB for Lakewood Centre North Project Series 2015
(NR/NR) |
|
|
|
1,630,000 |
|
|
|
4.250 |
|
|
05/01/2025 |
|
1,650,929 |
|
|
|
1,675,000 |
|
|
|
4.875 |
|
|
05/01/2035 |
|
1,705,552 |
|
|
|
970,000 |
|
|
|
4.875 |
|
|
05/01/2045 |
|
976,373 |
| Lakewood Ranch Stewardship District Special Assessment RB for Lakewood National & Polo Run Projects Series
2017 (NR/NR) |
|
|
|
425,000 |
|
|
|
4.000 |
|
|
05/01/2022 |
|
427,575 |
|
|
|
940,000 |
|
|
|
4.625 |
|
|
05/01/2027 |
|
970,024 |
|
|
|
1,000,000 |
|
|
|
5.250 |
|
|
05/01/2037 |
|
1,061,560 |
| Lakewood Ranch Stewardship District Special Assessment RB for Villages of Lakewood Ranch South Project Series
2016 (NR/NR) |
|
|
|
325,000 |
|
|
|
4.000 |
|
|
05/01/2021 |
|
329,053 |
|
|
|
230,000 |
|
|
|
4.250 |
|
|
05/01/2026 |
|
233,843 |
|
|
|
5,100,000 |
|
|
|
5.000 |
|
|
05/01/2036 |
|
5,314,200 |
|
|
|
5,060,000 |
|
|
|
5.125 |
|
|
05/01/2046 |
|
5,252,887 |
| Landings at Miami Community Development District Special Assessment Bonds Series 2018 (NR/NR)(f) |
|
|
|
250,000 |
|
|
|
3.625 |
|
|
11/01/2023 |
|
249,152 |
|
|
|
560,000 |
|
|
|
4.125 |
|
|
11/01/2028 |
|
554,865 |
| Lee County Moody River Estates Community Development District Special Assessment Refunding Senior Series 2017 A-1
(BBB+/NR) |
|
|
|
330,000 |
|
|
|
3.500 |
|
|
05/01/2025 |
|
340,729 |
|
|
|
340,000 |
|
|
|
3.500 |
|
|
05/01/2026 |
|
347,949 |
| Longleaf Community Development District Special Assessment Refunding Series 2006 (NR/NR) |
|
|
|
880,000 |
|
|
|
5.375 |
|
|
05/01/2030 |
|
880,783 |
| Meadow Pines Community Development District Special Assessment Refunding Bonds Senior Lien Series 2014 1
(A-/NR) |
|
|
|
750,000 |
|
|
|
4.450 |
|
|
05/01/2030 |
|
794,948 |
| |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Florida – (continued) |
| Mediterranea Community Development District Special Assessment Refunding & Improvement Bonds for Area Two
Project Series 2017 (NR/NR) |
| $ |
|
|
250,000 |
|
|
|
3.500 |
% |
|
05/01/2023 |
|
$ 249,440 |
| Miami Special Obligation Non-Ad Valorem RB Refunding Series 2011 A (AGM) (AA/Aa3)(a) |
|
|
|
2,700,000 |
|
|
|
6.000 |
|
|
02/01/2021 |
|
2,981,475 |
| Miami Special Obligation RB Refunding for Port of Miami Tunnel Project Series 2012 (A+/Aa3)(f) |
|
|
|
9,500,000 |
|
|
|
5.000 |
|
|
03/01/2030 |
|
10,485,625 |
| Miami World Center Community Development District Special Assessment Bonds Series 2017
(NR/NR) |
|
|
|
250,000 |
|
|
|
4.000 |
|
|
11/01/2023 |
|
255,262 |
|
|
|
250,000 |
|
|
|
4.750 |
|
|
11/01/2027 |
|
260,258 |
|
|
|
850,000 |
|
|
|
5.125 |
|
|
11/01/2039 |
|
890,715 |
|
|
|
2,350,000 |
|
|
|
5.250 |
|
|
11/01/2049 |
|
2,488,744 |
| Miami-Dade County IDA Solid Waste Disposal RB for Waste Management Inc. Project Series 2008 (A-/NR)(b)(c) |
|
|
|
4,000,000 |
|
|
|
1.450 |
|
|
08/01/2018 |
|
3,999,080 |
| Miromar Lakes Community Development District Capital Improvement RB Refunding Series 2015
(NR/NR) |
|
|
|
385,000 |
|
|
|
3.500 |
|
|
05/01/2020 |
|
386,844 |
| North Sumter County Utility Dependent District RB Series 2010 (AGM) (AA/A2) |
|
|
|
1,250,000 |
|
|
|
5.375 |
|
|
10/01/2040 |
|
1,337,825 |
| Osceola County Rolling Oaks Community Development District Special Assessment Bonds Series 2016
(NR/NR) |
|
|
|
3,285,000 |
|
|
|
5.875 |
|
|
11/01/2037 |
|
3,547,767 |
|
|
|
3,500,000 |
|
|
|
6.000 |
|
|
11/01/2047 |
|
3,712,555 |
| Palm Glades Community Development District Senior Special Assessment Bonds Series 2018 A-1 (BBB/NR)(f) |
|
|
|
215,000 |
|
|
|
3.500 |
|
|
11/01/2025 |
|
220,451 |
|
|
|
225,000 |
|
|
|
3.500 |
|
|
11/01/2026 |
|
228,575 |
|
|
|
230,000 |
|
|
|
3.500 |
|
|
11/01/2027 |
|
232,185 |
|
|
|
240,000 |
|
|
|
3.500 |
|
|
11/01/2028 |
|
240,406 |
|
|
|
585,000 |
|
|
|
4.000 |
|
|
11/01/2033 |
|
599,420 |
| Palm Glades Community Development District Special Assessment Refunding Bonds Series 2016
(BBB/NR) |
|
|
|
520,000 |
|
|
|
2.500 |
|
|
05/01/2022 |
|
519,615 |
|
|
|
530,000 |
|
|
|
2.750 |
|
|
05/01/2023 |
|
530,944 |
|
|
|
350,000 |
|
|
|
3.750 |
|
|
05/01/2031 |
|
351,638 |
|
|
|
1,045,000 |
|
|
|
4.000 |
|
|
05/01/2036 |
|
1,052,649 |
| Palm Glades Community Development District Special Assessment Refunding Bonds Series 2017
(BBB-/NR) |
|
|
|
410,000 |
|
|
|
3.500 |
|
|
05/01/2021 |
|
410,804 |
|
|
|
300,000 |
|
|
|
4.000 |
|
|
05/01/2027 |
|
300,345 |
| Pentathlon Community Development District Special Assessment Revenue Refunding Series 2012
(A-/NR) |
|
|
|
1,330,000 |
|
|
|
4.500 |
|
|
11/01/2033 |
|
1,349,538 |
| Randal Park Community Development District Special Assessment RB Series 2015 (NR/NR) |
|
|
|
715,000 |
|
|
|
4.250 |
|
|
11/01/2025 |
|
719,748 |
| River Bend Community Development District Special Assessment RB Refunding Senior Series 2016 A-1
(BBB+/NR) |
|
|
|
890,000 |
|
|
|
4.000 |
|
|
05/01/2035 |
|
893,524 |
| South Fork East Community Development District Capital Improvement RB Refunding Series 2017
(BBB/NR) |
|
|
|
425,000 |
|
|
|
3.000 |
|
|
05/01/2023 |
|
426,891 |
|
|
|
435,000 |
|
|
|
3.250 |
|
|
05/01/2024 |
|
439,603 |
|
|
|
450,000 |
|
|
|
3.450 |
|
|
05/01/2025 |
|
455,184 |
|
|
|
465,000 |
|
|
|
3.625 |
|
|
05/01/2026 |
|
469,887 |
|
|
|
1,000,000 |
|
|
|
4.125 |
|
|
05/01/2036 |
|
1,006,210 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Florida – (continued) |
| South Fork III Community Development District Special Assessment RB Refunding Series 2018
(NR/NR) |
| $ |
|
|
475,000 |
|
|
|
4.000 |
% |
|
05/01/2024 |
|
$ 475,670 |
|
|
|
590,000 |
|
|
|
4.625 |
|
|
05/01/2029 |
|
580,837 |
| South Kendall Community Development District Special Assessment Refunding Series 2016
(BBB-/NR) |
|
|
|
350,000 |
|
|
|
2.500 |
|
|
11/01/2023 |
|
345,342 |
|
|
|
355,000 |
|
|
|
2.750 |
|
|
11/01/2024 |
|
350,516 |
|
|
|
370,000 |
|
|
|
3.000 |
|
|
11/01/2025 |
|
365,667 |
|
|
|
585,000 |
|
|
|
4.250 |
|
|
11/01/2037 |
|
601,509 |
| St. Petersburg Health Facilities Authority RB Refunding for All Children’s Hospital Series 2009 A (NR/Aa3)(a) |
|
|
|
2,000,000 |
|
|
|
6.500 |
|
|
11/15/2019 |
|
2,129,660 |
| Stonebrier Community Development District Special Assessment Refunding Series 2016 (A-/NR) |
|
|
|
265,000 |
|
|
|
2.500 |
|
|
05/01/2023 |
|
260,468 |
|
|
|
270,000 |
|
|
|
2.500 |
|
|
05/01/2024 |
|
262,146 |
|
|
|
280,000 |
|
|
|
3.000 |
|
|
05/01/2025 |
|
279,821 |
|
|
|
290,000 |
|
|
|
3.000 |
|
|
05/01/2026 |
|
287,790 |
| Talis Park Community Development District Capital Improvement RB Refunding Senior Series 2016 A-1
(BBB+/NR) |
|
|
|
190,000 |
|
|
|
2.500 |
|
|
05/01/2023 |
|
189,996 |
|
|
|
190,000 |
|
|
|
2.500 |
|
|
05/01/2024 |
|
187,051 |
|
|
|
200,000 |
|
|
|
3.000 |
|
|
05/01/2025 |
|
199,382 |
|
|
|
205,000 |
|
|
|
3.000 |
|
|
05/01/2026 |
|
202,315 |
|
|
|
1,135,000 |
|
|
|
3.500 |
|
|
05/01/2031 |
|
1,143,478 |
|
|
|
1,370,000 |
|
|
|
4.000 |
|
|
05/01/2036 |
|
1,407,045 |
| Tapestry Community Development District Special Assessment RB Series 2016 (NR/NR) |
|
|
|
120,000 |
|
|
|
3.625 |
|
|
05/01/2021 |
|
121,751 |
| Tison’s Landing Community Development District Special Assessment RB Refunding & Improvement Bonds
Senior Series 2016 A-1 (BBB+/NR) |
|
|
|
205,000 |
|
|
|
3.000 |
|
|
05/01/2027 |
|
199,397 |
|
|
|
215,000 |
|
|
|
3.125 |
|
|
05/01/2028 |
|
210,090 |
| Tolomato Community Development District Special Assessment GO Refunding Bonds Senior Lien Series 2018 A-1 (AGM)
(AA/NR) |
|
|
|
350,000 |
|
|
|
3.500 |
|
|
05/01/2032 |
|
345,076 |
| Tolomato Community Development District Special Assessment GO Refunding Bonds Subordinate Lien Series 2018 A-2
(NR/NR)(f) |
|
|
|
585,000 |
|
|
|
5.200 |
|
|
05/01/2028 |
|
584,953 |
| Tolomato Community Development District Special Assessment GO Refunding Bonds Subordinate Lien Series 2018 B-2
(NR/NR) |
|
|
|
300,000 |
|
|
|
4.625 |
|
|
05/01/2028 |
|
301,851 |
| Touchstone Community Development District Special Assessment Bonds Series 2018 (NR/NR)(f) |
|
|
|
505,000 |
|
|
|
4.250 |
|
|
06/15/2028 |
|
505,677 |
| TSR Community Development District Special Assessment RB for Village 1 Project Series 2015
(NR/NR) |
|
|
|
265,000 |
|
|
|
3.625 |
|
|
11/01/2020 |
|
265,424 |
|
|
|
530,000 |
|
|
|
4.375 |
|
|
11/01/2025 |
|
530,869 |
| Turnbull Creek Community Development District Senior Special Assessment Refunding Bonds Series 2015 A-1
(BBB/NR) |
|
|
|
1,000,000 |
|
|
|
4.250 |
|
|
05/01/2031 |
|
1,047,640 |
| Two Creeks Community Development District RB Refunding for Capital Improvement Senior Lien Series 2016 A-1
(BBB/NR) |
|
|
|
355,000 |
|
|
|
2.125 |
|
|
05/01/2022 |
|
349,526 |
|
|
|
365,000 |
|
|
|
2.250 |
|
|
05/01/2023 |
|
357,769 |
|
|
|
370,000 |
|
|
|
2.500 |
|
|
05/01/2024 |
|
363,477 |
|
|
|
380,000 |
|
|
|
2.625 |
|
|
05/01/2025 |
|
371,484 |
|
|
|
395,000 |
|
|
|
3.000 |
|
|
05/01/2026 |
|
391,449 |
|
|
|
405,000 |
|
|
|
3.125 |
|
|
05/01/2027 |
|
402,979 |
|
|
|
420,000 |
|
|
|
3.250 |
|
|
05/01/2028 |
|
418,236 |
| |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Florida – (continued) |
| Ventana Community Development District Special Assessment RB Series 2018 (NR/NR)(f) |
| $ |
|
|
500,000 |
|
|
|
4.000 |
% |
|
05/01/2024 |
|
$ 502,865 |
|
|
|
1,000,000 |
|
|
|
4.625 |
|
|
05/01/2029 |
|
1,001,050 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
05/01/2038 |
|
1,004,690 |
| Verandah East Community Development District Special Assessment Refunding & Improvement RB Series 2016
(NR/NR) |
|
|
|
1,565,000 |
|
|
|
3.750 |
|
|
05/01/2026 |
|
1,534,733 |
| Verano #1 Community Development District Senior Special Assessment Refunding for Community Infrastructure Project
Series 2017 A-1 (BBB/NR)(f) |
|
|
|
345,000 |
|
|
|
3.250 |
|
|
05/01/2024 |
|
349,571 |
|
|
|
360,000 |
|
|
|
3.500 |
|
|
05/01/2025 |
|
365,238 |
|
|
|
370,000 |
|
|
|
3.625 |
|
|
05/01/2026 |
|
375,669 |
| Verano #1 Community Development District Special Assessment Bonds for District #1 Project Series 2015
(NR/NR) |
|
|
|
680,000 |
|
|
|
4.750 |
|
|
11/01/2025 |
|
692,519 |
| Verona Walk Community Development District Special Assessment Senior Lien RB Refunding for Capital Improvement
Series 2013 A-1 (A+/NR) |
|
|
|
500,000 |
|
|
|
4.250 |
|
|
05/01/2030 |
|
525,350 |
| Village Community Development District No. 12 Special Assessment RB Series 2018 (NR/NR)(f) |
|
|
|
1,000,000 |
|
|
|
3.250 |
|
|
05/01/2023 |
|
1,006,460 |
|
|
|
1,000,000 |
|
|
|
3.800 |
|
|
05/01/2028 |
|
1,012,250 |
|
|
|
2,000,000 |
|
|
|
4.000 |
|
|
05/01/2033 |
|
2,025,900 |
| Village Community Development District No. 6 Special Assessment RB Refunding Series 2017
(A-/NR) |
|
|
|
355,000 |
|
|
|
4.000 |
|
|
05/01/2026 |
|
371,756 |
|
|
|
350,000 |
|
|
|
4.000 |
|
|
05/01/2027 |
|
364,528 |
|
|
|
360,000 |
|
|
|
4.000 |
|
|
05/01/2028 |
|
372,172 |
|
|
|
375,000 |
|
|
|
4.000 |
|
|
05/01/2029 |
|
385,673 |
| Village Community Development District No. 6 Special Assessment RB Refunding Series 2017 (BAM)
(AA/NR) |
|
|
|
1,965,000 |
|
|
|
3.500 |
|
|
05/01/2032 |
|
1,939,455 |
|
|
|
2,345,000 |
|
|
|
4.000 |
|
|
05/01/2037 |
|
2,367,512 |
| Vizcaya In Kendall Community Development District Special Assessment Bonds Series 2016
(BBB-/NR) |
|
|
|
220,000 |
|
|
|
2.750 |
|
|
11/01/2024 |
|
215,974 |
|
|
|
225,000 |
|
|
|
3.000 |
|
|
11/01/2025 |
|
220,921 |
|
|
|
230,000 |
|
|
|
3.200 |
|
|
11/01/2026 |
|
226,189 |
| Waterford Landing Community Development District Capital Improvement RB Series 2014 (NR/NR) |
|
|
|
780,000 |
|
|
|
5.500 |
|
|
05/01/2034 |
|
832,720 |
|
|
|
925,000 |
|
|
|
5.750 |
|
|
05/01/2044 |
|
993,432 |
| Waters Edge Community Development District Capital Improvement RB Refunding Senior Lien Series 2015 A-1
(BBB+/NR) |
|
|
|
2,150,000 |
|
|
|
4.000 |
|
|
05/01/2031 |
|
2,201,557 |
| Waterset Central Community Development District Special Assessment Bond Series 2018 (NR/NR)(f) |
|
|
|
500,000 |
|
|
|
5.125 |
|
|
11/01/2038 |
|
504,355 |
| Waterset North Community Development District Special Assessment RB Series 2014 (NR/NR) |
|
|
|
2,420,000 |
|
|
|
5.500 |
|
|
11/01/2045 |
|
2,561,352 |
| Wiregrass Community Development District Capital Improvement RB Series 2016 (NR/NR) |
|
|
|
135,000 |
|
|
|
4.875 |
|
|
05/01/2036 |
|
138,480 |
|
|
|
250,000 |
|
|
|
5.000 |
|
|
05/01/2047 |
|
256,630 |
| Wynnfield Lakes Community Development District Special Assessment Refunding Bonds Series 2014
(BBB+/NR) |
|
|
|
1,465,000 |
|
|
|
4.500 |
|
|
05/01/2036 |
|
1,508,042 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
212,706,797 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Georgia – 1.1% |
| Atlanta Airport RB Refunding Series 2012 C (AMT) (AA-/Aa3) |
| $ |
|
|
1,250,000 |
|
|
|
5.000 |
% |
|
01/01/2027 |
|
$ 1,358,312 |
| Burke County Development Authority Pollution Control RB for Georgia Power Company Plant Vogtle Project First
Series 2008 (A-/A3)(b)(c) |
|
|
|
3,500,000 |
|
|
|
1.650 |
|
|
06/18/2021 |
|
3,409,805 |
| Burke County Development Authority Pollution Control RB for Oglethorpe Power Corporation Vogtle Series 2017 F
(A-/Baa1)(b)(c) |
|
|
|
9,475,000 |
|
|
|
3.000 |
|
|
02/01/2023 |
|
9,438,711 |
| Gainesville & Hall County Development Authority RB Refunding for Riverside Military Academy Series 2017
(BBB-/NR) |
|
|
|
700,000 |
|
|
|
5.000 |
|
|
03/01/2027 |
|
767,417 |
| Metropolitan Atlanta Rapid Transit Authority Sales Tax RB Series 2009 A (AA+/Aa2)(a) |
|
|
|
4,075,000 |
|
|
|
5.250 |
|
|
07/01/2019 |
|
4,224,023 |
| Milledgeville & Baldwin County Development Authority Student Housing RB Refunding for Georgia College &
State University Foundation Property V, LLC Project Series 2007 (AMBAC) (A+/WR)(e) |
| (3 Mo. LIBOR + 0.65%), |
|
|
|
5,200,000 |
|
|
|
2.199 |
|
|
10/01/2033 |
|
4,805,684 |
| Rockdale County Development Authority RB Refunding for Pratt Paper LLC Project Series 2018 (AMT) (NR/NR)(f) |
|
|
|
875,000 |
|
|
|
4.000 |
|
|
01/01/2038 |
|
884,660 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,888,612 |
| |
| Guam – 1.2% |
| Guam Government Business Privilege Tax RB Refunding Series 2015 D (A/NR) |
|
|
|
3,000,000 |
|
|
|
5.000 |
|
|
11/15/2022 |
|
3,319,200 |
| Guam Government Business Privilege Tax RB Series 2012 B-1 (A/NR) |
|
|
|
2,980,000 |
|
|
|
5.000 |
|
|
01/01/2029 |
|
3,147,923 |
| Guam Government Limited Obligation RB Section 30 Series 2009 A (BBB+/NR)(a) |
|
|
|
850,000 |
|
|
|
5.625 |
|
|
12/01/2019 |
|
896,673 |
|
|
|
750,000 |
|
|
|
5.750 |
|
|
12/01/2019 |
|
792,488 |
| Guam Government Limited Obligation RB Section 30 Series 2016 A (BBB+/NR) |
|
|
|
2,755,000 |
|
|
|
5.000 |
|
|
12/01/2025 |
|
3,098,108 |
|
|
|
2,255,000 |
|
|
|
5.000 |
|
|
12/01/2026 |
|
2,546,549 |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
12/01/2027 |
|
2,241,320 |
| Guam Power Authority RB Refunding Series 2012 A (AGM) (AA/A2) |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
10/01/2024 |
|
1,636,185 |
| Guam Power Authority RB Series 2014 A (AGM) (AA/A2) |
|
|
|
325,000 |
|
|
|
5.000 |
|
|
10/01/2039 |
|
354,276 |
|
|
|
250,000 |
|
|
|
5.000 |
|
|
10/01/2044 |
|
272,137 |
| Guam Waterworks Authority RB for Water & Wastewater System Series 2016 (A-/Baa2) |
|
|
|
1,030,000 |
|
|
|
5.000 |
|
|
01/01/2046 |
|
1,120,104 |
| Guam Waterworks Authority RB Refunding for Water & Wastewater System Series 2017
(A-/Baa2) |
|
|
|
350,000 |
|
|
|
5.000 |
|
|
07/01/2025 |
|
394,881 |
|
|
|
525,000 |
|
|
|
5.000 |
|
|
07/01/2026 |
|
595,833 |
|
|
|
350,000 |
|
|
|
5.000 |
|
|
07/01/2027 |
|
399,203 |
|
|
|
370,000 |
|
|
|
5.000 |
|
|
07/01/2028 |
|
420,150 |
|
|
|
725,000 |
|
|
|
5.000 |
|
|
07/01/2029 |
|
819,634 |
|
|
|
700,000 |
|
|
|
5.000 |
|
|
07/01/2030 |
|
789,047 |
|
|
|
700,000 |
|
|
|
5.000 |
|
|
07/01/2031 |
|
786,730 |
|
|
|
700,000 |
|
|
|
5.000 |
|
|
07/01/2032 |
|
784,413 |
| |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Guam – (continued) |
| Port Authority of Guam Private Activity RB Series 2018 B (AMT)
(A/Baa2)(h) |
| $ |
|
|
400,000 |
|
|
|
5.000 |
% |
|
07/01/2029 |
|
$ 449,780 |
|
|
|
600,000 |
|
|
|
5.000 |
|
|
07/01/2031 |
|
665,076 |
|
|
|
250,000 |
|
|
|
5.000 |
|
|
07/01/2033 |
|
274,052 |
|
|
|
225,000 |
|
|
|
5.000 |
|
|
07/01/2034 |
|
245,869 |
|
|
|
425,000 |
|
|
|
5.000 |
|
|
07/01/2036 |
|
462,213 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,511,844 |
| |
| Hawaii – 0.4% |
| City & County Honolulu RB for Wastewater System Series 2018 A (AA/Aa2) |
|
|
|
3,000,000 |
|
|
|
4.000 |
|
|
07/01/2042 |
|
3,120,270 |
| Hawaii State Department of Budget & Finance RB Refunding for Hawaiian Electric Co., Inc. Series 2017 B (AMT)
(A-/Baa2) |
|
|
|
5,025,000 |
|
|
|
4.000 |
|
|
03/01/2037 |
|
5,083,541 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,203,811 |
| |
| Idaho – 0.1% |
| Idaho Health Facilities Authority RB for St. Luke’s Health System Project Series 2008
(A-/A3) |
|
|
|
1,000,000 |
|
|
|
6.750 |
|
|
11/01/2037 |
|
1,016,600 |
| Nez Perce County PCRB Refunding for Potlatch Corp. Project Series 2016 (BB+/Baa3) |
|
|
|
2,000,000 |
|
|
|
2.750 |
|
|
10/01/2024 |
|
1,973,920 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,990,520 |
| |
| Illinois – 10.6% |
| Chicago Illinois Board of Education Dedicated Capital Improvement Series 2016 (A/NR) |
|
|
|
3,550,000 |
|
|
|
6.000 |
|
|
04/01/2046 |
|
4,153,571 |
| Chicago Illinois Board of Education Dedicated Capital Improvement Series 2017 (A/NR) |
|
|
|
760,000 |
|
|
|
5.000 |
|
|
04/01/2034 |
|
828,453 |
|
|
|
575,000 |
|
|
|
5.000 |
|
|
04/01/2035 |
|
624,559 |
|
|
|
525,000 |
|
|
|
5.000 |
|
|
04/01/2036 |
|
569,436 |
|
|
|
490,000 |
|
|
|
5.000 |
|
|
04/01/2037 |
|
530,337 |
| Chicago Illinois Board of Education GO Bonds Capital Appreciation for School Reform Series 1998 B-1 (NATL-RE)
(B/Baa2)(d) |
|
|
|
1,895,000 |
|
|
|
0.000 |
|
|
12/01/2026 |
|
1,313,008 |
|
|
|
2,880,000 |
|
|
|
0.000 |
|
|
12/01/2029 |
|
1,715,904 |
| Chicago Illinois Board of Education GO Bonds Capital Appreciation Series 2009 C (BBB+/Ba1)(d) |
|
|
|
510,000 |
|
|
|
0.000 |
|
|
01/01/2031 |
|
278,542 |
| Chicago Illinois Board of Education GO Bonds Series 2015 C (B/NR) |
|
|
|
2,500,000 |
|
|
|
6.000 |
|
|
12/01/2035 |
|
2,699,500 |
| Chicago Illinois Board of Education GO Refunding Bonds Series 1999 A (NATL-RE) (B/Baa2)(d) |
|
|
|
3,395,000 |
|
|
|
0.000 |
|
|
12/01/2023 |
|
2,727,068 |
| Chicago Illinois Board of Education Unlimited Tax GO Bonds for Dedicated Revenues Series 2012 A
(B/B3) |
|
|
|
4,235,000 |
|
|
|
5.000 |
|
|
12/01/2042 |
|
4,234,831 |
| Chicago Illinois Board of Education Unlimited Tax GO Refunding Bonds for Dedicated Revenues Series 2009 E
(B/B3) |
|
|
|
2,300,000 |
|
|
|
6.038 |
|
|
12/01/2029 |
|
2,249,193 |
|
|
|
2,500,000 |
|
|
|
6.138 |
|
|
12/01/2039 |
|
2,402,550 |
| Chicago Illinois Board of Education Unlimited Tax GO Refunding Bonds for Dedicated Revenues Series 2016 A
(B/NR) |
|
|
|
5,160,000 |
|
|
|
7.000 |
|
|
12/01/2044 |
|
6,007,427 |
| Chicago Illinois Board of Education Unlimited Tax GO Refunding Bonds for Dedicated Revenues Series 2016 B
(B/NR) |
|
|
|
7,125,000 |
|
|
|
6.500 |
|
|
12/01/2046 |
|
8,156,273 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Illinois – (continued) |
| Chicago Illinois Board of Education Unlimited Tax GO Refunding Bonds for Dedicated Revenues Series 2018 A (AGM)
(AA/NR) |
| $ |
|
|
1,825,000 |
|
|
|
5.000 |
% |
|
12/01/2025 |
|
$ 2,026,188 |
|
|
|
2,190,000 |
|
|
|
5.000 |
|
|
12/01/2026 |
|
2,446,099 |
|
|
|
2,375,000 |
|
|
|
5.000 |
|
|
12/01/2027 |
|
2,668,621 |
|
|
|
7,445,000 |
|
|
|
5.000 |
|
|
12/01/2028 |
|
8,419,104 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
12/01/2031 |
|
1,117,870 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
12/01/2032 |
|
1,116,030 |
|
|
|
1,250,000 |
|
|
|
5.000 |
|
|
12/01/2033 |
|
1,389,312 |
| Chicago Illinois Capital Appreciation Refunding & Project Series 2009 C (BBB+/Ba1)(d) |
|
|
|
750,000 |
|
|
|
0.000 |
|
|
01/01/2032 |
|
387,698 |
| Chicago Illinois GO Bonds Project and Refunding RMKT 06/08/15 Series 2005 D (BBB+/Ba1) |
|
|
|
300,000 |
|
|
|
5.500 |
|
|
01/01/2037 |
|
319,161 |
|
|
|
2,720,000 |
|
|
|
5.500 |
|
|
01/01/2040 |
|
2,885,838 |
| Chicago Illinois GO Bonds Project Refunding Series 2014 A (BBB+/Ba1) |
|
|
|
1,500,000 |
|
|
|
5.250 |
|
|
01/01/2033 |
|
1,577,310 |
|
|
|
630,000 |
|
|
|
5.000 |
|
|
01/01/2034 |
|
652,938 |
|
|
|
490,000 |
|
|
|
5.000 |
|
|
01/01/2036 |
|
506,141 |
| Chicago Illinois GO Bonds Project Refunding Series 2017 A (BBB+/NR) |
|
|
|
3,375,000 |
|
|
|
6.000 |
|
|
01/01/2038 |
|
3,800,115 |
| Chicago Illinois GO Bonds Project Series 2011 A (BBB+/Ba1) |
|
|
|
650,000 |
|
|
|
5.000 |
|
|
01/01/2040 |
|
659,575 |
| Chicago Illinois GO Bonds Project Series 2012 A (BBB+/Ba1) |
|
|
|
150,000 |
|
|
|
5.000 |
|
|
01/01/2034 |
|
152,691 |
| Chicago Illinois GO Bonds Series 2010 B (BBB+/Ba1) |
|
|
|
1,120,000 |
|
|
|
7.517 |
|
|
01/01/2040 |
|
1,260,078 |
| Chicago Illinois GO Bonds Series 2015 A (BBB+/NR) |
|
|
|
1,320,000 |
|
|
|
5.500 |
|
|
01/01/2039 |
|
1,401,246 |
| Chicago Illinois GO Bonds Series 2015 B (BBB+/NR) |
|
|
|
1,883,000 |
|
|
|
7.375 |
|
|
01/01/2033 |
|
2,093,651 |
| Chicago Illinois GO Refunding Bonds Capital Appreciation Series 2007 C (NATL-RE)
(BBB+/Baa2) |
|
|
|
4,405,000 |
|
|
|
5.000 |
|
|
01/01/2030 |
|
4,415,968 |
| Chicago Illinois GO Refunding Bonds for Taxable Project Series 2014 B (BBB+/Ba1) |
|
|
|
5,650,000 |
|
|
|
6.314 |
|
|
01/01/2044 |
|
5,763,961 |
| Chicago Illinois GO Refunding Bonds Series 2009 C (BBB+/Ba1) |
|
|
|
805,000 |
|
|
|
5.000 |
|
|
01/01/2040 |
|
807,528 |
| Chicago Illinois GO Refunding Bonds Series 2012 B (BBB+/Ba1) |
|
|
|
2,650,000 |
|
|
|
5.432 |
|
|
01/01/2042 |
|
2,464,050 |
| Chicago Illinois GO Refunding Bonds Series 2015 C (BBB+/NR) |
|
|
|
2,545,000 |
|
|
|
5.000 |
|
|
01/01/2024 |
|
2,715,948 |
|
|
|
4,435,000 |
|
|
|
5.000 |
|
|
01/01/2025 |
|
4,743,986 |
|
|
|
1,200,000 |
|
|
|
5.000 |
|
|
01/01/2038 |
|
1,239,348 |
| Chicago Illinois Midway Airport RB Refunding Second Lien Series 2013 A (AMT) (A/A3) |
|
|
|
2,500,000 |
|
|
|
5.500 |
|
|
01/01/2029 |
|
2,784,325 |
| Chicago Illinois O’Hare International Airport RB Refunding General Airport Senior Lien Series 2012 A (AMT)
(A/A2) |
|
|
|
4,550,000 |
|
|
|
5.000 |
|
|
01/01/2020 |
|
4,752,066 |
| Chicago Illinois O’Hare International Airport RB Refunding General Airport Senior Lien Series 2015 A (AMT)
(A/NR) |
|
|
|
1,270,000 |
|
|
|
5.000 |
|
|
01/01/2023 |
|
1,409,319 |
| Chicago Illinois O’Hare International Airport RB Refunding General Airport Senior Lien Series 2016 C
(A/NR) |
|
|
|
9,105,000 |
|
|
|
5.000 |
|
|
01/01/2037 |
|
10,125,306 |
| Chicago Illinois O’Hare International Airport RB Refunding General Airport Senior Lien Series 2016 D
(A/NR) |
|
|
|
3,000,000 |
|
|
|
5.250 |
|
|
01/01/2035 |
|
3,473,610 |
| |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Illinois – (continued) |
| Chicago Illinois Sales Tax Refunding Series 2002 (ETM) (BBB-/NR)(a) |
| $ |
|
|
1,000,000 |
|
|
|
5.000 |
% |
|
01/01/2025 |
|
$ 1,156,790 |
| Chicago Illinois Tax Increment Allocation RB Refunding for Pilsen Redevelopment Project Series 2014 A
(A/NR) |
|
|
|
1,135,000 |
|
|
|
5.000 |
|
|
06/01/2020 |
|
1,197,641 |
| Chicago Illinois Wastewater Transmission RB Second Lien Series 2017 A (AGM) (AA/NR) |
|
|
|
475,000 |
|
|
|
5.250 |
|
|
01/01/2042 |
|
536,370 |
|
|
|
1,330,000 |
|
|
|
4.000 |
|
|
01/01/2052 |
|
1,341,451 |
| Chicago Illinois Water RB Refunding Second Lien Project RMKT 05/23/16 Series 2000 (A/Baa2) |
|
|
|
600,000 |
|
|
|
5.000 |
|
|
11/01/2029 |
|
670,476 |
| Chicago Illinois Water RB Refunding Second Lien Project RMKT 05/23/16 Series 2004 (A/NR) |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
11/01/2026 |
|
1,707,705 |
| Cook County School District No. 95 GO Refunding Bonds for Brookfield-Lagrange Park Project Series 2017 A
(NR/Aa2) |
|
|
|
840,000 |
|
|
|
4.000 |
|
|
12/01/2023 |
|
898,111 |
| Illinois Finance Authority RB Refunding for Franciscan Communities Project Series 2017 A
(BBB-/NR) |
|
|
|
1,425,000 |
|
|
|
4.000 |
|
|
05/15/2027 |
|
1,472,823 |
| Illinois Finance Authority RB Refunding for University of Chicago Series 2018 A (AA-/Aa2) |
|
|
|
2,100,000 |
|
|
|
5.000 |
|
|
10/01/2041 |
|
2,398,515 |
| Illinois Sports Facilities Authority Refunding Bonds Series 2014 (AGM) (AA/NR) |
|
|
|
4,160,000 |
|
|
|
5.000 |
|
|
06/15/2027 |
|
4,532,112 |
| Illinois State GO Bonds for Build America Bonds Series 2010-5 (BBB-/Baa3) |
|
|
|
1,780,000 |
|
|
|
7.350 |
|
|
07/01/2035 |
|
1,987,566 |
| Illinois State GO Bonds Pension Funding Series 2003 (BBB-/Baa3) |
|
|
|
4,165,000 |
|
|
|
5.100 |
|
|
06/01/2033 |
|
3,941,589 |
| Illinois State GO Bonds Series 2012 (BBB-/Baa3) |
|
|
|
1,505,000 |
|
|
|
5.000 |
|
|
03/01/2021 |
|
1,567,262 |
| Illinois State GO Bonds Series 2013 (BBB-/Baa3) |
|
|
|
5,000,000 |
|
|
|
5.500 |
|
|
07/01/2024 |
|
5,381,000 |
|
|
|
5,500,000 |
|
|
|
5.250 |
|
|
07/01/2028 |
|
5,777,970 |
|
|
|
5,120,000 |
|
|
|
5.500 |
|
|
07/01/2038 |
|
5,377,075 |
| Illinois State GO Bonds Series 2017 A (BBB-/Baa3) |
|
|
|
375,000 |
|
|
|
4.500 |
|
|
12/01/2041 |
|
369,116 |
| Illinois State GO Bonds Series 2017 B (BBB-/Baa3) |
|
|
|
10,000,000 |
|
|
|
5.000 |
|
|
11/01/2019 |
|
10,313,500 |
| Illinois State GO Bonds Series 2017 C (BBB-/Baa3) |
|
|
|
12,830,000 |
|
|
|
5.000 |
|
|
11/01/2029 |
|
13,574,012 |
| Illinois State GO Bonds Series 2017 D (BBB-/Baa3) |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
11/01/2025 |
|
2,128,460 |
|
|
|
2,995,000 |
|
|
|
5.000 |
|
|
11/01/2027 |
|
3,192,460 |
| Illinois State GO Bonds Series 2018 A (BBB-/Baa3) |
|
|
|
16,375,000 |
|
|
|
5.000 |
|
|
05/01/2031 |
|
17,298,386 |
|
|
|
1,760,000 |
|
|
|
5.000 |
|
|
05/01/2042 |
|
1,836,278 |
|
|
|
1,760,000 |
|
|
|
5.000 |
|
|
05/01/2043 |
|
1,834,853 |
| Illinois State GO Refunding Bonds Series 2016 (AGM) (AA/A2) |
|
|
|
3,950,000 |
|
|
|
4.000 |
|
|
02/01/2030 |
|
4,098,125 |
|
|
|
1,185,000 |
|
|
|
4.000 |
|
|
02/01/2031 |
|
1,226,771 |
| Metropolitan Pier & Exposition Authority RB Refunding Capital Appreciation for McCormick Place Expansion
Project Series 2002 A (NATL-RE) (BB+/Baa2)(d) |
|
|
|
2,685,000 |
|
|
|
0.000 |
|
|
12/15/2031 |
|
1,483,489 |
| Metropolitan Pier & Exposition Authority RB Refunding Capital Appreciation for McCormick Place Expansion
Project Series 2002 A (NATL-RE) (BB+/NR) |
|
|
|
1,555,000 |
|
|
|
5.700 |
|
|
06/15/2024 |
|
1,729,627 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Illinois – (continued) |
| Metropolitan Pier & Exposition Authority RB Refunding Capital Appreciation for McCormick Place Expansion
Project Series 2002 A (NATL-RE) (NR/NR)(a) |
| $ |
|
|
460,000 |
|
|
|
5.700 |
% |
|
06/15/2022 |
|
$ 527,822 |
| Metropolitan Pier & Exposition Authority RB Refunding for McCormick Place Expansion Project Series 2012 B (ST
APPROP) (BB+/NR) |
|
|
|
4,340,000 |
|
|
|
5.000 |
|
|
12/15/2028 |
|
4,560,168 |
| Metropolitan Pier & Exposition Authority RB Refunding for McCormick Place Expansion Project Series 2017 B
(BB+/NR) |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
12/15/2028 |
|
2,195,680 |
|
|
|
300,000 |
|
|
|
5.000 |
|
|
12/15/2032 |
|
325,128 |
|
|
|
600,000 |
|
|
|
5.000 |
|
|
12/15/2033 |
|
647,796 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
12/15/2034 |
|
536,980 |
|
|
|
1,260,000 |
|
|
|
0.000 |
(g) |
|
12/15/2037 |
|
696,440 |
|
|
|
3,500,000 |
|
|
|
0.000 |
(g) |
|
12/15/2042 |
|
1,895,705 |
|
|
|
3,850,000 |
|
|
|
0.000 |
(g) |
|
12/15/2047 |
|
2,059,057 |
| Railsplitter Tobacco Settlement Authority Tobacco Settlement RB Series 2010 (BBB+/NR)(a) |
|
|
|
1,125,000 |
|
|
|
6.000 |
|
|
06/01/2021 |
|
1,255,680 |
| Southwestern Illinois Development Authority RB Capital Appreciation for Local Government Program Series 2007
(AGM) (AA/NR)(d) |
|
|
|
6,000,000 |
|
|
|
0.000 |
|
|
12/01/2025 |
|
4,549,260 |
| Springfield Illinois Senior Lien Electric RB Refunding Series 2015 (AGM) (AA/A2) |
|
|
|
4,000,000 |
|
|
|
3.500 |
|
|
03/01/2030 |
|
4,016,400 |
| State of Illinois GO Bonds Series 2010-1 (BBB-/Baa3) |
|
|
|
635,000 |
|
|
|
6.630 |
|
|
02/01/2035 |
|
672,852 |
| State of Illinois GO Bonds Series 2014 (BBB-/Baa3) |
|
|
|
570,000 |
|
|
|
5.000 |
|
|
02/01/2024 |
|
604,952 |
| Village of Romeoville RB Refunding for Lewis University Series 2018 B (BBB+/NR)(h) |
|
|
|
210,000 |
|
|
|
4.125 |
|
|
10/01/2041 |
|
207,976 |
|
|
|
420,000 |
|
|
|
4.125 |
|
|
10/01/2046 |
|
412,070 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
242,259,232 |
| |
| Indiana – 0.2% |
| Jasper County PCRB Refunding for Northern Indiana Public Service Co. Project RMKT 08/25/08 Series 1994 C
(NATL-RE) (BBB+/Baa1) |
|
|
|
650,000 |
|
|
|
5.850 |
|
|
04/01/2019 |
|
668,317 |
| Whiting City Environmental Facilities RB for BP Products North America Inc. Project Series 2015 (AMT) (A-/A1)(b)(c) |
|
|
|
3,000,000 |
|
|
|
5.000 |
|
|
11/01/2022 |
|
3,331,770 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,000,087 |
| |
| Iowa – 0.2% |
| Board of Regents Academic Building RB Refunding for Iowa State University of Science & Technology Series 2017
A (AA/Aa2) |
|
|
|
1,480,000 |
|
|
|
3.000 |
|
|
07/01/2028 |
|
1,489,309 |
|
|
|
1,500,000 |
|
|
|
3.000 |
|
|
07/01/2029 |
|
1,488,885 |
| Coralville Iowa COPS Series 2016 E (BBB/NR) |
|
|
|
300,000 |
|
|
|
4.000 |
|
|
06/01/2019 |
|
306,483 |
|
|
|
460,000 |
|
|
|
4.000 |
|
|
06/01/2020 |
|
478,304 |
|
|
|
500,000 |
|
|
|
4.000 |
|
|
06/01/2021 |
|
525,670 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,288,651 |
| |
| Kentucky – 1.8% |
| Kentucky Asset Liability Commission General Fund RB Refunding for Floating Rate Project Notes Series 2007 A
(NATL-RE) (A-/A1)(e) |
| (3 Mo. LIBOR + 0.53%, 15.00% Cap), |
|
|
|
6,440,000 |
|
|
|
2.110 |
|
|
11/01/2027 |
|
6,288,982 |
| |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Kentucky – (continued) |
| Kentucky Economic Development Finance Authority Hospital RB Refunding for Owensboro Medical Health System, Inc.
Series 2017 A (AGM) (AA/A2) |
| $ |
|
|
1,200,000 |
|
|
|
4.000 |
% |
|
06/01/2037 |
|
$ 1,214,340 |
|
|
|
400,000 |
|
|
|
4.000 |
|
|
06/01/2045 |
|
400,584 |
| Kentucky Public Energy Authority Gas Supply RB Series 2018 A
(NR/A3)(b)(c) |
|
|
|
8,500,000 |
|
|
|
4.000 |
|
|
04/01/2024 |
|
9,060,745 |
| Louisville & Jefferson County Metropolitan Government Health System RB for Norton Healthcare, Inc. Series
2016 A (A-/NR) |
|
|
|
3,175,000 |
|
|
|
4.000 |
|
|
10/01/2034 |
|
3,223,927 |
|
|
|
4,600,000 |
|
|
|
4.000 |
|
|
10/01/2036 |
|
4,635,190 |
| Louisville & Jefferson County Metropolitan Government PCRB for Louisville Gas & Electric Company Project
Series 2001 B (AMT) (NR/A1)(b)(c) |
|
|
|
3,080,000 |
|
|
|
2.550 |
|
|
05/03/2021 |
|
3,079,938 |
| Louisville & Jefferson County Metropolitan Sewer District RB Refunding for Kentucky Sewer & Drainage
System Series 2018 A (AA/Aa3) |
|
|
|
10,000,000 |
|
|
|
4.000 |
|
|
05/15/2038 |
|
10,533,400 |
| University of Kentucky General Receipts Refunding Bonds Series 2015 A (AA/Aa2) |
|
|
|
3,260,000 |
|
|
|
4.000 |
|
|
04/01/2026 |
|
3,546,880 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
41,983,986 |
| |
| Louisiana – 1.7% |
| East Baton Rouge Parish Louisiana Sales Tax RB for Road and Street Improvement Series 2009 A (ASSURED GTY)
(AA/A2)(a) |
|
|
|
1,230,000 |
|
|
|
5.250 |
|
|
08/01/2019 |
|
1,278,031 |
| Louisiana Local Government Environmental Facilities & Community Development Authority RB Refunding for
Westlake Chemical Corp. Projects Series 2017 (BBB/Baa3) |
|
|
|
9,515,000 |
|
|
|
3.500 |
|
|
11/01/2032 |
|
9,374,178 |
| Louisiana Local Government Environmental Facilities & Community Development Authority Subordinate Lien RB for
East Baton Rouge Sewerage Commission Projects Series 2014 A (A+/A1) |
|
|
|
6,250,000 |
|
|
|
4.375 |
|
|
02/01/2039 |
|
6,547,375 |
| Louisiana Local Government Environmental Facilities and Community Development Authority RB for Southeastern
Louisiana Student Series 2004 B (NATL-RE) (NR/A3)(c) |
|
|
|
2,925,000 |
|
|
|
2.643 |
|
|
08/01/2034 |
|
2,740,549 |
| Louisiana Local Government Environmental Facilities and Community Development Authority RB Refunding for
Ragin’ Cajun Facilities, Inc. - Student Housing & Parking Project Series 2017 (AGM) (AA/NR) |
|
|
|
900,000 |
|
|
|
2.750 |
|
|
10/01/2023 |
|
918,090 |
|
|
|
670,000 |
|
|
|
5.000 |
|
|
10/01/2023 |
|
759,224 |
| Louisiana Public Facilities Authority RB Refunding for Energy LLC Project Series 2016 A
(A/A2) |
|
|
|
2,125,000 |
|
|
|
3.375 |
|
|
09/01/2028 |
|
2,139,748 |
| Louisiana Public Facilities Authority RB Refunding for Energy LLC Project Series 2016 B
(A/A2) |
|
|
|
1,625,000 |
|
|
|
3.500 |
|
|
06/01/2030 |
|
1,637,058 |
| Louisiana Public Facilities Authority RB Refunding for Ochsner Clinic Foundation Project Series 2017
(A-/A3) |
|
|
|
3,695,000 |
|
|
|
4.000 |
|
|
05/15/2042 |
|
3,714,066 |
|
|
|
3,000,000 |
|
|
|
5.000 |
|
|
05/15/2046 |
|
3,311,490 |
| New Orleans Aviation Board GARBs Series 2015 B (AMT) (A-/A3) |
|
|
|
3,750,000 |
|
|
|
5.000 |
|
|
01/01/2034 |
|
4,113,038 |
| New Orleans Aviation Board General Airport RB for North Terminal Project Series 2017 B (AMT)
(A-/A3) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
01/01/2048 |
|
1,103,990 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Louisiana – (continued) |
| New Orleans Louisiana Aviation Board RB Refunding for Restructuring GARBs Series 2009 A-1 (ASSURED GTY) (AA/A3)(a) |
| $ |
|
|
1,350,000 |
|
|
|
6.000 |
% |
|
01/01/2019 |
|
$ 1,380,294 |
| Port of New Orleans Board of Commissioners RB Refunding Series 2013 B (AMT) (A-/A3) |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
04/01/2030 |
|
540,215 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
39,557,346 |
| |
| Maine – 0.1% |
| Maine Turnpike Authority RB Refunding Series 2015 (AA-/Aa3) |
|
|
|
1,565,000 |
|
|
|
5.000 |
|
|
07/01/2026 |
|
1,808,123 |
| |
| Maryland – 0.8% |
| Baltimore Maryland RB Refunding for Convention Center Hotel Project Series 2017 (BBB-/NR) |
|
|
|
2,300,000 |
|
|
|
5.000 |
|
|
09/01/2046 |
|
2,526,665 |
| Baltimore Maryland Special Obligation Refunding for Baltimore Research Park Project Series 2017 A
(NR/NR) |
|
|
|
425,000 |
|
|
|
4.000 |
|
|
09/01/2027 |
|
439,335 |
|
|
|
650,000 |
|
|
|
4.500 |
|
|
09/01/2033 |
|
675,708 |
| City of Annapolis GO Refunding Bonds for Public Improvements Series 2015 B (AA+/Aa2) |
|
|
|
1,725,000 |
|
|
|
4.000 |
|
|
08/01/2027 |
|
1,922,081 |
| Frederick County Maryland Special Tax for Lake Linganore Village Community Development Series 2001 A (ASSURED
GTY) (AA/NR) |
|
|
|
120,000 |
|
|
|
5.600 |
|
|
07/01/2020 |
|
120,360 |
|
|
|
555,000 |
|
|
|
5.700 |
|
|
07/01/2029 |
|
556,704 |
| Maryland State GO Bonds for State & Local Facilities Loan Series 2013 B (AAA/Aaa) |
|
|
|
10,000,000 |
|
|
|
5.000 |
|
|
03/15/2025 |
|
11,694,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,935,253 |
| |
| Massachusetts – 2.5% |
| Commonwealth of Massachusetts GO Bonds Consolidated Loan of 2018 Series 2018 A (AA/Aa1) |
|
|
|
10,000,000 |
|
|
|
5.000 |
|
|
01/01/2048 |
|
11,499,100 |
| Massachusetts Bay Transportation Authority Sales Tax RB Refunding for Capital Appreciation Senior Series 2016 A
(AA/Aa2)(d) |
|
|
|
2,000,000 |
|
|
|
0.000 |
|
|
07/01/2021 |
|
1,883,180 |
| Massachusetts Development Finance Agency RB for Harvard University Series 2010 B-2 (AAA/Aaa)(a) |
|
|
|
5,000,000 |
|
|
|
5.250 |
|
|
02/01/2021 |
|
5,433,850 |
| Massachusetts Development Finance Agency RB for Harvard University Series 2016 A (AAA/Aaa) |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
07/15/2036 |
|
6,320,700 |
|
|
|
16,500,000 |
|
|
|
5.000 |
|
|
07/15/2040 |
|
21,323,115 |
| Massachusetts State GO Bonds Consolidated Loan Series 2012 A (BHAC-CR) (AA+/Aa1)(e) |
| (3 Mo. LIBOR + 0.57%), |
|
|
|
5,000,000 |
|
|
|
2.150 |
|
|
05/01/2037 |
|
4,815,950 |
| Massachusetts State Health & Educational Facilities Authority RB for Boston Medical Center Project Series
2008 B (BBB/Baa2)(a) |
|
|
|
2,575,000 |
|
|
|
5.750 |
|
|
07/01/2018 |
|
2,575,000 |
| Massachusetts State Health & Educational Facilities Authority RB for Boston Medical Center Project Series
2008 B (NR/NR)(a) |
|
|
|
315,000 |
|
|
|
5.750 |
|
|
07/01/2018 |
|
315,000 |
| Massachusetts State Health & Educational Facilities Authority RB for Tufts University Issue Project Series
2012 G (AA-/Aa2)(b)(c) |
|
|
|
1,700,000 |
|
|
|
1.480 |
|
|
07/04/2018 |
|
1,700,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
55,865,895 |
| |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Michigan – 1.6% |
| Allendale Public School GO Refunding Bonds Series 2016 (Q-SBLF) (AA-/NR) |
| $ |
|
|
2,700,000 |
|
|
|
5.000 |
% |
|
05/01/2023 |
|
$ 3,041,739 |
| City of Detroit Financial Recovery Series 2014 B-1 (NR/NR)(c) |
|
|
|
12,203,183 |
|
|
|
4.000 |
|
|
04/01/2034 |
|
10,065,063 |
| City of Detroit Financial Recovery Series 2014 B-2 (NR/NR)(c) |
|
|
|
331,114 |
|
|
|
4.000 |
|
|
04/01/2034 |
|
273,100 |
| Michigan Finance Authority Local Government Loan Program RB for Detroit Financial Recovery Income Tax Revenue and
Refunding Local Project Bonds Series 2014 F (A/NR) |
|
|
|
1,000,000 |
|
|
|
3.875 |
|
|
10/01/2023 |
|
1,032,800 |
| Michigan Finance Authority Local Government Loan Program RB for Detroit Water and Sewerage Department Sewage
Disposal System Local Project Senior Lien Series 2014 D-4 (A-/A3) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
07/01/2034 |
|
1,096,330 |
| Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewer Series 2014 D-1
(NATL-RE) (BBB+/Baa1) |
|
|
|
650,000 |
|
|
|
5.000 |
|
|
07/01/2036 |
|
708,175 |
| Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewerage Department
Sewage Disposal System Local Project Senior Lien Series 2014 C-1 (A-/A3) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
07/01/2044 |
|
1,084,560 |
| Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewerage Department
Sewage Disposal System Local Project Senior Lien Series 2014 C-3 (AGM) (AA/A2) |
|
|
|
325,000 |
|
|
|
5.000 |
|
|
07/01/2032 |
|
362,684 |
|
|
|
250,000 |
|
|
|
5.000 |
|
|
07/01/2033 |
|
278,260 |
| Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewerage Department
Sewage disposal System Second Lien Series 2015 C (BBB+/Baa1) |
|
|
|
1,945,000 |
|
|
|
5.000 |
|
|
07/01/2033 |
|
2,143,643 |
| Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewerage Department
Water Supply System Local Project Senior Lien Series 2014 D-1 (AGM) (AA/A2) |
|
|
|
400,000 |
|
|
|
5.000 |
|
|
07/01/2035 |
|
443,128 |
| Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewerage Department
Water Supply System Series 2015 D-1 (A-/A3) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
07/01/2029 |
|
1,119,320 |
| Michigan Strategic Fund RB Refunding for The Detroit Edison Company Pollution Control Bonds Project Series 1995
CC (A/Aa3)(b)(c) |
|
|
|
1,115,000 |
|
|
|
1.450 |
|
|
09/01/2021 |
|
1,072,697 |
| Michigan Tobacco Settlement Finance Authority RB for Capital Appreciation Series 2007 C (CCC/NR)(d) |
|
|
|
9,500,000 |
|
|
|
0.000 |
|
|
06/01/2052 |
|
585,200 |
| Roseville Community School District GO Refunding Bonds Series 2014 (Q-SBLF) (AA-/NR) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
05/01/2020 |
|
1,054,660 |
| Warren Consolidated School District Unlimited Tax GO Refunding Bonds for School Building and Site Bonds Series
2016 (Q-SBLF) (AA-/NR) |
|
|
|
1,145,000 |
|
|
|
5.000 |
|
|
05/01/2025 |
|
1,312,777 |
|
|
|
1,215,000 |
|
|
|
5.000 |
|
|
05/01/2026 |
|
1,404,455 |
|
|
|
3,705,000 |
|
|
|
5.000 |
|
|
05/01/2027 |
|
4,243,410 |
| Washtenaw County Ypsilanti Community Schools Unlimited Tax GO Refunding Bonds Series 2015 B (Q-SBLF)
(AA-/NR) |
|
|
|
1,860,000 |
|
|
|
5.000 |
|
|
05/01/2022 |
|
2,040,792 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Michigan – (continued) |
| Wayne County Airport Authority RB for Detroit Metropolitan Wayne County Airport Series 2017 B (AMT)
(A/A2) |
| $ |
|
|
400,000 |
|
|
|
5.000 |
% |
|
12/01/2033 |
|
$ 453,232 |
|
|
|
1,065,000 |
|
|
|
5.000 |
|
|
12/01/2034 |
|
1,200,308 |
|
|
|
650,000 |
|
|
|
5.000 |
|
|
12/01/2035 |
|
730,912 |
|
|
|
800,000 |
|
|
|
5.000 |
|
|
12/01/2036 |
|
897,536 |
|
|
|
880,000 |
|
|
|
5.000 |
|
|
12/01/2037 |
|
985,785 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
37,630,566 |
| |
| Minnesota – 0.2% |
| Minneapolis Minnesota Health Care System RB for Fairview Health Services Series 2008 A (A+/A2)(a) |
|
|
|
1,500,000 |
|
|
|
6.750 |
|
|
11/15/2018 |
|
1,529,325 |
| Minnesota Higher Education Facilities Authority RB Refunding for Bethel University Project Series 2017
(BBB-/NR) |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
05/01/2047 |
|
543,055 |
| Minnesota State Trunk Highway GO Refunding Bonds Series 2017 E (AA+/Aa1) |
|
|
|
1,680,000 |
|
|
|
3.000 |
|
|
10/01/2029 |
|
1,693,490 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,765,870 |
| |
| Mississippi – 0.3% |
| Jackson County PCRB Refunding for Chevron U.S.A., Inc. Project Series 1993 (AA-/Aa2)(b)(c) |
|
|
|
2,500,000 |
|
|
|
1.650 |
|
|
07/04/2018 |
|
2,500,000 |
| Mississippi Business Finance Corp. Gulf Opportunity Zone RB for Chevron U.S.A, Inc. Project Series 2010 G
(AA-/Aa2)(b)(c) |
|
|
|
2,500,000 |
|
|
|
1.530 |
|
|
07/04/2018 |
|
2,500,000 |
| Mississippi Development Bank Special Obligation RB for Hinds Community College District Capital Improvement
Project Series 2009 (ASSURED GTY) (AA/A1)(a) |
|
|
|
1,095,000 |
|
|
|
5.375 |
|
|
10/01/2019 |
|
1,146,257 |
| Mississippi State GO Bonds Series 2015 F (AA/Aa2) |
|
|
|
1,000,000 |
|
|
|
4.000 |
|
|
11/01/2035 |
|
1,047,190 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,193,447 |
| |
| Missouri – 0.6% |
| Branson IDA Tax Increment RB Refunding for Branson Shoppes Redevelopment Project Series 2017 A
(NR/NR) |
|
|
|
250,000 |
|
|
|
3.000 |
|
|
11/01/2018 |
|
250,905 |
|
|
|
400,000 |
|
|
|
3.000 |
|
|
11/01/2019 |
|
403,424 |
|
|
|
400,000 |
|
|
|
3.000 |
|
|
11/01/2020 |
|
403,764 |
|
|
|
350,000 |
|
|
|
3.000 |
|
|
11/01/2021 |
|
351,536 |
|
|
|
350,000 |
|
|
|
4.000 |
|
|
11/01/2022 |
|
362,943 |
| Missouri Health & Educational Facilities Authority RB Series 1996 D (AA+/Aa1)(b)(c) |
|
|
|
2,300,000 |
|
|
|
1.440 |
|
|
07/04/2018 |
|
2,300,000 |
| Missouri Health & Educational Facilities Authority RB Series 2000 B (AA+/Aa1)(b)(c) |
|
|
|
2,500,000 |
|
|
|
1.510 |
|
|
07/04/2018 |
|
2,500,000 |
| Missouri Health & Educational Facilities Authority RB Series 2000 C (AA+/Aa1)(b)(c) |
|
|
|
2,500,000 |
|
|
|
1.440 |
|
|
07/04/2018 |
|
2,500,000 |
| Missouri Health & Educational Facilities Authority RB Series 2003 B (AA+/Aa1)(b)(c) |
|
|
|
2,500,000 |
|
|
|
1.600 |
|
|
07/04/2018 |
|
2,500,000 |
| St. Louis IDA Financing RB Refunding for Ballpark Village Development Project Series 2017 A
(NR/NR) |
|
|
|
1,405,000 |
|
|
|
4.375 |
|
|
11/15/2035 |
|
1,443,104 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,015,676 |
| |
| Montana – 0.0% |
| City of Billings RB for Sewer System Series 2017 (AA+/Aa3) |
|
|
|
575,000 |
|
|
|
5.000 |
|
|
07/01/2029 |
|
675,970 |
| |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Nevada – 0.4% |
| City of Las Vegas Special Improvement District No. 813 for Summerlin Village 26 Local Improvement Bonds Series
2017 (NR/NR) |
| $ |
|
|
50,000 |
|
|
|
3.000 |
% |
|
06/01/2019 |
|
$ 50,462 |
|
|
|
100,000 |
|
|
|
3.000 |
|
|
06/01/2020 |
|
101,488 |
|
|
|
135,000 |
|
|
|
3.000 |
|
|
06/01/2021 |
|
136,997 |
|
|
|
245,000 |
|
|
|
3.000 |
|
|
06/01/2022 |
|
247,888 |
| Henderson Nevada Local Improvement District No. T-18 (Inspirada) Special Assessment Refunding Limited Obligation
Series 2016 (NR/NR) |
|
|
|
1,285,000 |
|
|
|
4.000 |
|
|
09/01/2025 |
|
1,340,242 |
| State of Nevada GO Refunding Bonds for Capital Improvements & Cultural Affairs Series 2015 B
(AA/Aa2) |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
11/01/2026 |
|
5,790,150 |
| Washoe County Sierra Pacific Power Company Project RB Refunding for Nevada Gas & Water Facilities Series 2016
B (A+/A2)(b)(c) |
|
|
|
1,800,000 |
|
|
|
3.000 |
|
|
06/01/2022 |
|
1,838,034 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,505,261 |
| |
| New Hampshire – 0.6% |
| New Hampshire Business Finance Authority RB for Pollution Control Project Series 2001 A (AMT) (NATL-RE) (AA-/A1)(c) |
|
|
|
11,150,000 |
|
|
|
3.064 |
|
|
05/01/2021 |
|
11,150,000 |
| New Hampshire Health & Education Facilities Authority RB Refunding for Dartmouth College Issue Series 2017
(AA+/Aa1) |
|
|
|
2,170,000 |
|
|
|
5.000 |
|
|
06/01/2028 |
|
2,639,328 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,789,328 |
| |
| New Jersey – 5.6% |
| Atlantic City New Jersey Tax Appeal Refunding Bonds Series 2017 A (BAM) (ST AID WITHHLDG)
(AA/Baa1) |
|
|
|
300,000 |
|
|
|
5.000 |
|
|
03/01/2024 |
|
333,489 |
|
|
|
250,000 |
|
|
|
5.000 |
|
|
03/01/2026 |
|
282,707 |
| New Jersey Economic Development Authority RB for Provident Group - Kean Properties L.L.C. - Kean University
Student Housing Project Series 2017 A (BBB-/NR) |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
07/01/2032 |
|
549,305 |
| New Jersey Economic Development Authority RB for School Facilities Construction Series 2009 (ASSURED GTY)
(AA+/A3)(a) |
|
|
|
1,000,000 |
|
|
|
6.000 |
|
|
12/15/2018 |
|
1,020,233 |
| New Jersey Economic Development Authority RB for School Facilities Construction Series 2009 AA
(BBB+/Baa1) |
|
|
|
1,315,000 |
|
|
|
5.500 |
|
|
12/15/2029 |
|
1,351,794 |
| New Jersey Economic Development Authority RB for School Facilities Construction Series 2009 BB (BBB+/Baa1)(a) |
|
|
|
360,000 |
|
|
|
5.000 |
|
|
09/01/2019 |
|
373,806 |
| New Jersey Economic Development Authority RB for School Facilities Construction Series 2016 AAA
(BBB+/Baa1) |
|
|
|
4,000,000 |
|
|
|
5.500 |
|
|
06/15/2033 |
|
4,509,040 |
| New Jersey Economic Development Authority RB Refunding for Port Newark Container Terminal LLC Project Series 2017
(AMT) (NR/Ba1) |
|
|
|
4,325,000 |
|
|
|
5.000 |
|
|
10/01/2047 |
|
4,663,172 |
| New Jersey Economic Development Authority RB Refunding for Provident Group - Montclair Properties L.L.C. -
Montclair University Student Housing Project Series 2017 (AGM) (AA/A2) |
|
|
|
1,300,000 |
|
|
|
5.000 |
|
|
06/01/2042 |
|
1,441,830 |
| New Jersey Economic Development Authority RB Refunding for School Facilities Construction Bonds Series 2009 AA
(NR/Baa1)(a) |
|
|
|
2,685,000 |
|
|
|
5.500 |
|
|
06/15/2019 |
|
2,783,835 |
| New Jersey Economic Development Authority RB Refunding for The Seeing Eye, Inc.-2017 Project Series 2017
(A/NR) |
|
|
|
785,000 |
|
|
|
3.000 |
|
|
06/01/2032 |
|
736,424 |
|
|
|
1,545,000 |
|
|
|
5.000 |
|
|
06/01/2032 |
|
1,792,555 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| New Jersey – (continued) |
| New Jersey Economic Development Authority State Lease RB for Juvenile Justice Commission Facilities Project
Series 2018 C (BBB+/Baa1) |
| $ |
|
|
5,380,000 |
|
|
|
5.000 |
% |
|
06/15/2037 |
|
$ 5,804,213 |
| New Jersey Educational Facilities Authority RB Refunding for Princeton University Series 2017 I
(AAA/Aaa) |
|
|
|
2,675,000 |
|
|
|
5.000 |
|
|
07/01/2033 |
|
3,172,791 |
| New Jersey Educational Facilities Authority RB Refunding for The College of New Jersey Series 2016 F
(A/A2) |
|
|
|
1,250,000 |
|
|
|
3.000 |
|
|
07/01/2040 |
|
1,109,500 |
| New Jersey Health Care Facilities Financing Authority RB for St. Joseph’s Healthcare System Series 2008
(NR/Baa3)(a) |
|
|
|
2,500,000 |
|
|
|
6.625 |
|
|
07/01/2018 |
|
2,500,000 |
| New Jersey State Turnpike Authority RB Refunding Series 2017 C-5
(A+/A2)(b) |
| (1 Mo. LIBOR + 0.46%, 8.00% Cap), |
|
|
|
5,000,000 |
|
|
|
1.848 |
|
|
01/01/2021 |
|
5,020,400 |
| New Jersey Transportation Trust Fund Authority RB Capital Appreciation for Transportation System Bonds Series
2006 C (AMBAC) (BBB+/Baa1)(d) |
|
|
|
24,175,000 |
|
|
|
0.000 |
|
|
12/15/2035 |
|
11,215,508 |
| New Jersey Transportation Trust Fund Authority RB Capital Appreciation for Transportation System Bonds Series
2008 A (BBB+/Baa1)(d) |
|
|
|
5,900,000 |
|
|
|
0.000 |
|
|
12/15/2038 |
|
2,309,201 |
| New Jersey Transportation Trust Fund Authority RB Capital Appreciation for Transportation System Bonds Series
2010 A (BBB+/Baa1)(d) |
|
|
|
9,735,000 |
|
|
|
0.000 |
|
|
12/15/2026 |
|
6,908,735 |
|
|
|
3,085,000 |
|
|
|
0.000 |
|
|
12/15/2029 |
|
1,895,393 |
|
|
|
1,155,000 |
|
|
|
0.000 |
|
|
12/15/2031 |
|
645,760 |
|
|
|
1,475,000 |
|
|
|
0.000 |
|
|
12/15/2037 |
|
606,712 |
| New Jersey Transportation Trust Fund Authority RB for Federal Highway Reimbursement Notes Subseries 2016 A-2
(A+/Baa1) |
|
|
|
10,000,000 |
|
|
|
5.000 |
|
|
06/15/2029 |
|
10,022,100 |
| New Jersey Transportation Trust Fund Authority RB for Transportation Program Bonds Series 2015 AA
(BBB+/Baa1) |
|
|
|
755,000 |
|
|
|
5.000 |
|
|
06/15/2046 |
|
796,185 |
| New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2006 C (NATL-RE)
(BBB+/Baa1)(d) |
|
|
|
4,675,000 |
|
|
|
0.000 |
|
|
12/15/2027 |
|
3,224,394 |
|
|
|
5,000,000 |
|
|
|
0.000 |
|
|
12/15/2031 |
|
2,866,300 |
| New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2011 B (AMBAC)
(BBB+/Baa1) |
|
|
|
1,325,000 |
|
|
|
5.250 |
|
|
12/15/2022 |
|
1,466,351 |
| New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2013 A
(BBB+/Baa1) |
|
|
|
2,535,000 |
|
|
|
5.000 |
|
|
06/15/2020 |
|
2,660,787 |
| New Jersey Transportation Trust Fund Authority RB for Transportation System Series 2008 A (BBB+/Baa1)(d) |
|
|
|
25,925,000 |
|
|
|
0.000 |
|
|
12/15/2036 |
|
11,222,414 |
|
|
|
12,000,000 |
|
|
|
0.000 |
|
|
12/15/2037 |
|
4,935,960 |
| New Jersey Transportation Trust Fund Authority RB for Transportation System Series 2009 A (BBB+/Baa1)(d) |
|
|
|
15,000,000 |
|
|
|
0.000 |
|
|
12/15/2038 |
|
5,882,700 |
| New Jersey Transportation Trust Fund Authority RB for Transportation System Series 2011 A (ST APPROP)
(BBB+/Baa1) |
|
|
|
6,515,000 |
|
|
|
5.500 |
|
|
06/15/2041 |
|
6,804,527 |
| New Jersey Transportation Trust Fund Authority RB for Transportation System Series 2011 B
(BBB+/Baa1) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
06/15/2042 |
|
1,029,510 |
| |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| New Jersey – (continued) |
| New Jersey Transportation Trust Fund Authority RB Subseries 2016 A-1 & Subseries A-2
(A+/Baa1) |
| $ |
|
|
6,650,000 |
|
|
|
5.000 |
% |
|
06/15/2031 |
|
$ 6,664,630 |
| South Jersey Port Corp. RB Refunding for Marine Terminal Series 2012 R (AMT) (BBB-/Baa1) |
|
|
|
1,670,000 |
|
|
|
4.000 |
|
|
01/01/2023 |
|
1,731,189 |
|
|
|
730,000 |
|
|
|
4.000 |
|
|
01/01/2024 |
|
751,798 |
| Tobacco Settlement Financing Corp. RB Series 2018 B (BBB/NR) |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
06/01/2046 |
|
2,148,700 |
| Tobacco Settlement Financing Corp. RB Series 2018 B (BBB+/NR) |
|
|
|
2,575,000 |
|
|
|
3.200 |
|
|
06/01/2027 |
|
2,600,879 |
| Township of Rockaway GO Bonds Series 2017 (ST AID WITHHLDG) (NR/Aa1) |
|
|
|
1,535,000 |
|
|
|
2.000 |
|
|
07/15/2022 |
|
1,533,818 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
127,368,645 |
| |
| New Mexico – 0.2% |
| Farmington City PCRB Refunding for Public Service Co. of New Mexico San Juan Project Series 2010 A
(BBB+/Baa2)(b)(c) |
|
|
|
1,200,000 |
|
|
|
5.200 |
|
|
06/01/2020 |
|
1,264,908 |
| Farmington New Mexico PCRB Refunding for Public Service Co. of New Mexico San Juan Project Series 2010 D
(BBB+/Baa2) |
|
|
|
2,500,000 |
|
|
|
5.900 |
|
|
06/01/2040 |
|
2,662,925 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,927,833 |
| |
| New York – 5.6% |
| Brooklyn Arena Local Development Corp. Pilot RB Refunding for Barclays Center Series 2016 A
(BBB-/Baa3) |
|
|
|
1,075,000 |
|
|
|
5.000 |
|
|
07/15/2042 |
|
1,178,103 |
| Chautauqua County Industrial Development Agency Exempt Facility RB for Dunkirk NRG Power Project Series 2009
(BB+/Baa3) |
|
|
|
200,000 |
|
|
|
5.875 |
|
|
04/01/2042 |
|
207,472 |
| City of New Rochelle Corp. for Local Development RB for Iona College Project Series 2015 A
(BBB/Baa2) |
|
|
|
325,000 |
|
|
|
5.000 |
|
|
07/01/2025 |
|
362,479 |
|
|
|
335,000 |
|
|
|
5.000 |
|
|
07/01/2026 |
|
372,523 |
|
|
|
425,000 |
|
|
|
5.000 |
|
|
07/01/2027 |
|
471,478 |
| Freddie Mac Multifamily ML Certificates RB Pass Through Series 2017 (AAA/Aaa)(e)(f) |
| (1 Mo. LIBOR + 0.50%), |
|
|
|
7,327,983 |
|
|
|
2.591 |
|
|
01/25/2033 |
|
7,468,839 |
| Metropolitan Transportation Authority RB Refunding RMKT 11/01/16 Subseries 2012 G-3 (A+/A1)(b) |
| (1 Mo. LIBOR + 0.70%, 9.00% Cap), |
|
|
|
5,000,000 |
|
|
|
2.028 |
|
|
02/01/2020 |
|
5,032,150 |
| Metropolitan Transportation Authority RB Refunding Series 2016 C-2B (A+/A1)(b)(c) |
|
|
|
3,250,000 |
|
|
|
5.000 |
|
|
02/15/2020 |
|
3,415,458 |
| Metropolitan Transportation Authority RB Refunding Subseries 2012 G-4 (A+/A1)(b) |
| (1 Mo. LIBOR + 0.55%, 9.00% Cap), |
|
|
|
7,635,000 |
|
|
|
1.878 |
|
|
11/01/2022 |
|
7,619,959 |
| Metropolitan Transportation Authority RB Series 2011 B (A+/A1)(b) |
| (1 Mo. LIBOR + 0.55%, 9.00% Cap), |
|
|
|
7,510,000 |
|
|
|
1.878 |
|
|
11/01/2022 |
|
7,495,205 |
| New York City GO Bonds Fiscal 2006 Series H Subseries H1 (AA/Aa2)(b)(c) |
|
|
|
2,500,000 |
|
|
|
1.530 |
|
|
07/04/2018 |
|
2,500,000 |
| New York City GO Bonds Fiscal 2006 Series H Subseries H2 (AA/Aa2)(b)(c) |
|
|
|
2,500,000 |
|
|
|
1.530 |
|
|
07/04/2018 |
|
2,500,000 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| New York – (continued) |
| New York City GO Bonds Fiscal 2014 Series I Subseries I-2 (AA/Aa2)(b)(c) |
| $ |
|
|
2,525,000 |
|
|
|
1.530 |
% |
|
07/04/2018 |
|
$ 2,525,000 |
| New York City GO Bonds Fiscal 2015 Series F Subseries F6 (AA/Aa2)(b)(c) |
|
|
|
2,500,000 |
|
|
|
1.530 |
|
|
07/04/2018 |
|
2,500,000 |
| New York City Housing Development Corp. Multi-Family Housing RB For Sustainable Neighborhood RMKT 06/29/16 Series
2016 C-2
(AA+/Aa2)(b)(c) |
|
|
|
2,000,000 |
|
|
|
1.450 |
|
|
04/29/2020 |
|
1,979,680 |
| New York City Municipal Water Finance Authority RB for Water & Sewer System Second General Resolution Fiscal
2011 Subseries DD-2 (AA+/Aa1)(b)(c) |
|
|
|
2,155,000 |
|
|
|
1.530 |
|
|
07/04/2018 |
|
2,155,000 |
| New York City Transitional Finance Authority RB Future Tax Subordinate Fiscal 2013 Subseries C-4 (AAA/Aa1)(b)(c) |
|
|
|
2,430,000 |
|
|
|
1.530 |
|
|
07/04/2018 |
|
2,430,000 |
| New York City Transitional Finance Authority RB Future Tax Subordinate Fiscal 2015 Subseries E-3 (AAA/Aa1)(b)(c) |
|
|
|
2,425,000 |
|
|
|
1.530 |
|
|
07/04/2018 |
|
2,425,000 |
| New York City Transitional Finance Authority RB Future Tax Subordinate Fiscal 2016 Subseries E-4 (AAA/Aa1)(b)(c) |
|
|
|
2,500,000 |
|
|
|
1.530 |
|
|
07/04/2018 |
|
2,500,000 |
| New York Housing Development Corp. Multi-Family Mortgage RB for 8 Spruce Street Series 2014 Class E
(BBB-/NR) |
|
|
|
4,840,000 |
|
|
|
3.500 |
|
|
02/15/2048 |
|
4,843,049 |
| New York Liberty Development Corporation RB for 3 World Trade Center Project Series 2014 (NR/NR)(f) |
|
|
|
515,000 |
|
|
|
5.150 |
|
|
11/15/2034 |
|
566,320 |
|
|
|
2,825,000 |
|
|
|
5.000 |
|
|
11/15/2044 |
|
2,995,291 |
| New York State Dormitory Authority General Purpose Personal Income Tax RB Series 2016 A
(AAA/Aa1) |
|
|
|
1,400,000 |
|
|
|
5.000 |
|
|
02/15/2027 |
|
1,655,640 |
| New York State Dormitory Authority General Purpose Personal Income Tax RB Series 2016 D
(AAA/Aa1) |
|
|
|
6,190,000 |
|
|
|
5.000 |
|
|
02/15/2027 |
|
7,320,294 |
| New York State Energy Research & Development Authority PCRB for Mohawk Power Corp. RMKT 05/01/03 Series 1985
B (AMBAC)
(A/Aa3)(c) |
|
|
|
1,190,000 |
|
|
|
5.255 |
|
|
12/01/2025 |
|
1,190,000 |
| New York State Energy Research & Development Authority PCRB for Mohawk Power Corp. RMKT 05/01/03 Series 1987
B (AMBAC)
(A/Aa3)(c) |
|
|
|
1,300,000 |
|
|
|
5.183 |
|
|
07/01/2027 |
|
1,300,000 |
| New York State Energy Research & Development Authority PCRB for Mohawk Power Corp. RMKT 05/01/03 Series 1987
B-2 (AMBAC) (A/Aa3)(c) |
|
|
|
1,630,000 |
|
|
|
5.234 |
|
|
07/01/2027 |
|
1,630,000 |
| New York State Energy Research & Development Authority PCRB RMKT 05/01/03 Series 1986 A (AMT) (AMBAC)
(NR/Aa3)(c) |
|
|
|
2,890,000 |
|
|
|
5.180 |
|
|
12/01/2026 |
|
2,890,000 |
| New York State Energy Research & Development Authority PCRB RMKT 05/01/03 Series 1987 A (AMBAC) (A/Aa3)(c) |
|
|
|
1,370,000 |
|
|
|
5.244 |
|
|
03/01/2027 |
|
1,370,000 |
| New York State Energy Research & Development Authority RB Refunding for Central Hudson Gas & Electric
Corp. Projects Series 1999 B (AMT) (AMBAC) (A-/A2)(c) |
|
|
|
5,400,000 |
|
|
|
2.562 |
|
|
07/01/2034 |
|
5,293,026 |
| New York State Thruway Authority Junior Indebtedness RB Series 2013 A (A-/A3) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
05/01/2019 |
|
1,028,580 |
| New York State Urban Development Corp. General Purpose Personal Income Tax RB Series 2014 A
(AAA/Aa1) |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
03/15/2031 |
|
5,677,100 |
| |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| New York – (continued) |
| New York Transportation Development Corp. RB for Delta Air Lines, Inc. Series 2018 (AMT)
(BBB-/Baa3) |
| $ |
|
|
1,700,000 |
|
|
|
5.000 |
% |
|
01/01/2033 |
|
$ 1,911,786 |
|
|
|
1,200,000 |
|
|
|
5.000 |
|
|
01/01/2034 |
|
1,344,336 |
|
|
|
4,560,000 |
|
|
|
4.000 |
|
|
01/01/2036 |
|
4,632,094 |
|
|
|
2,450,000 |
|
|
|
5.000 |
|
|
01/01/2036 |
|
2,734,200 |
| New York Transportation Development Corp. RB for Laguardia Gateway Partners LLC Series 2016 A (AMT) (AGM)
(AA/A2) |
|
|
|
5,500,000 |
|
|
|
4.000 |
|
|
07/01/2046 |
|
5,549,665 |
| New York Transportation Development Corp. Special Facility RB for Laguardia Airport Terminal B Redevelopment
Project Series 2016 A (AMT) (NR/Baa3) |
|
|
|
700,000 |
|
|
|
5.000 |
|
|
07/01/2041 |
|
756,728 |
|
|
|
3,250,000 |
|
|
|
5.250 |
|
|
01/01/2050 |
|
3,536,813 |
| New York Transportation Development Corp. Special Facility RB Refunding for American Airlines, Inc. John F.
Kennedy International Airport Project Series 2016 (AMT) (BB-/NR) |
|
|
|
3,265,000 |
|
|
|
5.000 |
|
|
08/01/2021 |
|
3,507,296 |
|
|
|
2,250,000 |
|
|
|
5.000 |
|
|
08/01/2031 |
|
2,360,340 |
| New York Transportation Development Corp. Special Facility RB Refunding for Laguardia Airport Terminal B
Redevelopment Project Series 2016 A (AMT) (NR/Baa3) |
|
|
|
700,000 |
|
|
|
5.000 |
|
|
07/01/2046 |
|
754,761 |
| Suffolk County New York GO Bonds for Public Improvement Series 2016 A (AGM) (AA/NR) |
|
|
|
4,080,000 |
|
|
|
2.000 |
|
|
06/15/2019 |
|
4,096,850 |
| Westchester County Local Development Corporation RB for Westchester Medical Center Obligated Group Project Series
2016 (BBB/Baa2) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
11/01/2023 |
|
1,118,650 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
11/01/2024 |
|
1,130,440 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
126,331,605 |
| |
| North Carolina – 0.2% |
| Charlotte North Carolina Water and Sewer System RB Series 2009 B (AAA/Aaa) |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
07/01/2038 |
|
2,122,400 |
| North Carolina Eastern Municipal Power Agency Power System RB Series 2008 C (ETM) (ASSURED GTY) (AA/WR)(a) |
|
|
|
100,000 |
|
|
|
6.000 |
|
|
01/01/2019 |
|
102,218 |
| North Carolina Medical Care Commission Health Care Facilities RB Refunding First Mortgage for Pennybyrn at
Maryfield Series 2015 (NR/NR) |
|
|
|
885,000 |
|
|
|
5.000 |
|
|
10/01/2018 |
|
890,965 |
| North Carolina Medical Care Commission Retirement Facilities RB Refunding First Mortgage for United Church Homes
and Services Series 2015 A (NR/NR) |
|
|
|
620,000 |
|
|
|
4.000 |
|
|
09/01/2025 |
|
632,127 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,747,710 |
| |
| Ohio – 3.0% |
| Buckeye Ohio Tobacco Settlement Financing Authority RB Asset-Backed Bonds for Capital Appreciation 1st
Subordinate Series 2007 B (BBB+/NR)(d) |
|
|
|
53,450,000 |
|
|
|
0.000 |
|
|
06/01/2047 |
|
4,367,399 |
| Buckeye Ohio Tobacco Settlement Financing Authority RB Asset-Backed Bonds for Capital Appreciation 2nd
Subordinate Series 2007 C
(NR/NR)(d) |
|
|
|
132,000,000 |
|
|
|
0.000 |
|
|
06/01/2052 |
|
5,417,280 |
| Buckeye Ohio Tobacco Settlement Financing Authority RB Senior Turbo Asset-Backed Bonds Series 2007 A-2
(B-/B3) |
|
|
|
1,000,000 |
|
|
|
6.500 |
|
|
06/01/2047 |
|
1,025,610 |
|
|
|
2,400,000 |
|
|
|
5.875 |
|
|
06/01/2047 |
|
2,410,248 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Ohio – (continued) |
| Buckeye Ohio Tobacco Settlement Financing Authority RB Senior Turbo Asset-Backed Bonds Series 2007 A-2
(B-/Caa1) |
| $ |
|
|
22,650,000 |
|
|
|
5.125 |
% |
|
06/01/2024 |
|
$ 22,596,546 |
|
|
|
1,650,000 |
|
|
|
5.875 |
|
|
06/01/2030 |
|
1,658,233 |
| Buckeye Ohio Tobacco Settlement Financing Authority RB Senior Turbo Asset-Backed Bonds Series 2007 A-3
(B-/Caa1) |
|
|
|
1,700,000 |
|
|
|
6.250 |
|
|
06/01/2037 |
|
1,775,004 |
| Centerville Ohio Health Care RB Refunding and Improvement for Graceworks Lutheran Services Series 2017
(NR/NR) |
|
|
|
275,000 |
|
|
|
5.000 |
|
|
11/01/2020 |
|
288,849 |
|
|
|
285,000 |
|
|
|
5.000 |
|
|
11/01/2021 |
|
302,633 |
|
|
|
400,000 |
|
|
|
5.000 |
|
|
11/01/2022 |
|
428,864 |
|
|
|
420,000 |
|
|
|
5.000 |
|
|
11/01/2023 |
|
453,327 |
| City of Columbus Various Purpose Unlimited Tax Bonds Series 2017 A (AAA/Aaa) |
|
|
|
11,470,000 |
|
|
|
4.000 |
|
|
04/01/2033 |
|
12,355,255 |
| Cuyahoga County Ohio Hospital RB Refunding for Metrohealth System Series 2009 B (BBB-/Baa3) |
|
|
|
10,000,000 |
|
|
|
8.223 |
|
|
02/15/2040 |
|
12,347,400 |
| Cuyahoga County Ohio Hospital RB Refunding for Metrohealth System Series 2017 (BBB-/Baa3) |
|
|
|
2,865,000 |
|
|
|
5.500 |
|
|
02/15/2057 |
|
3,120,988 |
| Ohio Air Quality Development Authority Exempt Facilities RB for Pratt Paper LLC Project Series 2017 (AMT) (NR/NR)(f) |
|
|
|
700,000 |
|
|
|
4.500 |
|
|
01/15/2048 |
|
725,256 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
69,272,892 |
| |
| Oklahoma – 0.5% |
| Oklahoma Development Finance Authority Health System RB for OU Medicine Project Series 2018 B (AGM)
(AA/A2) |
|
|
|
3,670,000 |
|
|
|
4.000 |
|
|
08/15/2048 |
|
3,727,949 |
| Oklahoma Development Finance Authority Health System RB for OU Medicine Project Series 2018 B
(BB+/Baa3) |
|
|
|
5,000,000 |
|
|
|
5.250 |
|
|
08/15/2048 |
|
5,617,450 |
| Oklahoma Turnpike Authority RB Second Senior Series 2017 C (AA-/Aa3) |
|
|
|
1,400,000 |
|
|
|
4.000 |
|
|
01/01/2042 |
|
1,456,280 |
| Tulsa Municipal Airport Trust RB Refunding for American Airlines, Inc. Series 2015 (AMT) (BB-/NR)(b)(c) |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
06/01/2025 |
|
1,614,120 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,415,799 |
| |
| Oregon – 1.0% |
| Deschutes County Oregon Hospital Facilities Authority RB Refunding for Cascade Healthcare Series 2008 (NR/A2)(a) |
|
|
|
1,500,000 |
|
|
|
8.250 |
|
|
01/01/2019 |
|
1,549,230 |
| Forest Grove Oregon Student Housing RB Refunding for Oak Tree Foundation Project Series 2017
(BBB-/NR) |
|
|
|
1,385,000 |
|
|
|
3.500 |
|
|
03/01/2029 |
|
1,364,336 |
|
|
|
1,540,000 |
|
|
|
3.750 |
|
|
03/01/2032 |
|
1,528,542 |
| Oregon State Department of Transportation Highway User Tax RB Refunding Series 2015 A
(AAA/Aa1) |
|
|
|
3,140,000 |
|
|
|
5.000 |
|
|
11/15/2025 |
|
3,653,516 |
| Portland Oregon Community College District GO Bonds Series 2013 (AA+/Aa1) |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
06/15/2026 |
|
2,259,260 |
| Portland Oregon Water System RB Refunding First Lien Series 2016 A (NR/Aaa) |
|
|
|
7,090,000 |
|
|
|
4.000 |
|
|
04/01/2029 |
|
7,719,663 |
| Washington County School District No. 1 GO Bonds Series 2017 (SCH BD GTY) (NR/Aa1) |
|
|
|
4,155,000 |
|
|
|
5.000 |
|
|
06/15/2029 |
|
4,917,484 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,992,031 |
| |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Pennsylvania – 4.2% |
| Allentown Neighborhood Improvement Zone Development Authority Tax RB for City Center Refunding Project Series
2017 (NR/Ba1)(f) |
| $ |
|
|
2,420,000 |
|
|
|
5.000 |
% |
|
05/01/2027 |
|
$ 2,687,700 |
|
|
|
1,600,000 |
|
|
|
5.000 |
|
|
05/01/2032 |
|
1,745,280 |
| Allentown Neighborhood Improvement Zone Development Authority Tax RB for City Center Refunding Project Series
2018 (NR/Ba1)(f) |
|
|
|
750,000 |
|
|
|
5.000 |
|
|
05/01/2023 |
|
806,092 |
|
|
|
750,000 |
|
|
|
5.000 |
|
|
05/01/2028 |
|
838,868 |
| Coatesville School District GO Refunding Bonds Series 2017 (AGM) (ST AID WITHHLDG) (AA/A2) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
08/01/2025 |
|
1,143,100 |
| Commonwealth Financing Authority Tobacco Master Settlement Payment RB Series 2018 (AGM)
(AA/A1) |
|
|
|
19,755,000 |
|
|
|
4.000 |
|
|
06/01/2039 |
|
20,110,985 |
| Commonwealth of Pennsylvania COP Series 2018 A (A/A2) |
|
|
|
1,250,000 |
|
|
|
4.000 |
|
|
07/01/2046 |
|
1,256,900 |
| Commonwealth of Pennsylvania GO Bonds Series 2015 (A+/Aa3) |
|
|
|
3,925,000 |
|
|
|
5.000 |
|
|
08/15/2025 |
|
4,489,454 |
| Lancaster County Hospital Authority RB for Brethren Village Project Series 2017
(BB+/NR) |
|
|
|
855,000 |
|
|
|
3.000 |
|
|
07/01/2019 |
|
862,113 |
|
|
|
1,155,000 |
|
|
|
5.000 |
|
|
07/01/2020 |
|
1,214,760 |
|
|
|
900,000 |
|
|
|
5.000 |
|
|
07/01/2022 |
|
976,815 |
| Pennsylvania Economic Development Financing Authority PCRB Refunding for PPL Electric Utilities Corp. Project
RMKT 10/01/10 Series 2008 (A/A1) |
|
|
|
2,500,000 |
|
|
|
4.000 |
|
|
10/01/2023 |
|
2,604,650 |
| Pennsylvania Economic Development Financing Authority RB for The Pennsylvania Rapid Bridge Replacement Project
Series 2015 (AMT) (BBB/NR) |
|
|
|
750,000 |
|
|
|
5.000 |
|
|
06/30/2042 |
|
817,463 |
| Pennsylvania Economic Development Financing Authority Solid Waste Disposal RB for Waste Management, Inc. Project
Series 2011 (AMT) (A-/NR)(b)(c) |
|
|
|
5,000,000 |
|
|
|
2.250 |
|
|
07/01/2019 |
|
4,991,200 |
| Pennsylvania Higher Educational Facilities Authority RB for Foundation for Indiana University of Pennsylvania
Series 2007 A (XLCA) (BBB/WR)(e) |
| (3 Mo. LIBOR + 0.60%), |
|
|
|
1,685,000 |
|
|
|
2.149 |
|
|
07/01/2027 |
|
1,627,997 |
| Pennsylvania State Commonwealth GO Refunding Bonds First Series 2016 (A+/Aa3) |
|
|
|
4,000,000 |
|
|
|
5.000 |
|
|
09/15/2019 |
|
4,156,040 |
| Pennsylvania State Commonwealth GO Refunding Bonds First Series 2016 (AGM) (AA/Aa3) |
|
|
|
4,000,000 |
|
|
|
5.000 |
|
|
09/15/2025 |
|
4,592,520 |
| Pennsylvania State GO Bonds Consolidated Loan of 2018 Series 2018 A (A+/Aa3) |
|
|
|
6,675,000 |
|
|
|
5.000 |
|
|
08/15/2023 |
|
7,485,278 |
| Pennsylvania Turnpike Commission RB Series 2013 C (A+/A1)(a) |
|
|
|
1,720,000 |
|
|
|
5.500 |
|
|
12/01/2023 |
|
2,019,538 |
| Pennsylvania Turnpike Commission RB Series 2018 A (AA/Aa3) |
|
|
|
10,000,000 |
|
|
|
5.250 |
|
|
12/01/2044 |
|
11,841,700 |
| Pennsylvania Turnpike Commission RB Subordinate Series 2017 A (A-/A3) |
|
|
|
3,500,000 |
|
|
|
5.500 |
|
|
12/01/2042 |
|
4,022,620 |
| Pennsylvania Turnpike Commission RB Subordinate Series 2017 B-1 (A-/A3) |
|
|
|
5,000,000 |
|
|
|
5.250 |
|
|
06/01/2047 |
|
5,636,150 |
| Philadelphia Hospitals and Higher Education Facilities Authority RB Refunding for Temple University Health System
Obligation Group Series 2017 (BBB-/Ba1) |
|
|
|
4,500,000 |
|
|
|
5.000 |
|
|
07/01/2028 |
|
5,013,315 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Pennsylvania – (continued) |
| Pittsburgh Water & Sewer Authority First Lien RB Refunding Series 2017 C (AGM) (AA/A2)(b) |
| (1 Mo. LIBOR + 0.64%, 12.00% Cap), |
| $ |
|
|
2,500,000 |
|
|
|
2.028 |
% |
|
12/01/2020 |
|
$ 2,504,175 |
| Scranton Redevelopment Authority RB Refunding for Guaranteed Lease Series 2016 A (MUN GOVT GTD)
(BB+/NR) |
|
|
|
300,000 |
|
|
|
5.000 |
|
|
11/15/2021 |
|
309,156 |
|
|
|
450,000 |
|
|
|
5.000 |
|
|
11/15/2028 |
|
456,138 |
| Susquehanna Area Regional Airport Authority RB Refunding for Airport System Series 2017 (AMT)
(NR/Baa3) |
|
|
|
1,100,000 |
|
|
|
5.000 |
|
|
01/01/2035 |
|
1,218,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
95,428,257 |
| |
| Puerto Rico – 2.7% |
| Puerto Rico Commonwealth Aqueduct & Sewer Authority RB Senior Lien Series 2008 A (CC/Ca) |
|
|
|
3,275,000 |
|
|
|
6.125 |
|
|
07/01/2024 |
|
2,751,000 |
|
|
|
2,000,000 |
|
|
|
6.000 |
|
|
07/01/2038 |
|
1,675,000 |
|
|
|
2,500,000 |
|
|
|
6.000 |
|
|
07/01/2044 |
|
2,093,750 |
| Puerto Rico Commonwealth Aqueduct & Sewer Authority RB Senior Lien Series 2012 A (CC/Ca) |
|
|
|
1,060,000 |
|
|
|
5.750 |
|
|
07/01/2037 |
|
887,750 |
| Puerto Rico Commonwealth GO Bonds Series 2014 A (NR/Ca)(i) |
|
|
|
5,175,000 |
|
|
|
8.000 |
|
|
07/01/2035 |
|
2,095,875 |
| Puerto Rico Commonwealth GO Refunding Bonds for Public Improvement Series 2009 B (D/Ca)(i) |
|
|
|
3,000,000 |
|
|
|
6.500 |
|
|
07/01/2037 |
|
1,275,000 |
| Puerto Rico Commonwealth GO Refunding Bonds for Public Improvement Series 2012 A (D/Ca)(i) |
|
|
|
3,955,000 |
|
|
|
5.000 |
|
|
07/01/2041 |
|
1,601,775 |
| Puerto Rico Commonwealth GO Refunding Bonds Subseries 2003 C-7 (NATL-RE) (NR/Baa2) |
|
|
|
2,000,000 |
|
|
|
6.000 |
|
|
07/01/2027 |
|
2,045,300 |
| Puerto Rico Commonwealth Highway & Transportation Authority RB Refunding Series 2005 L (AGC-ICC)
(AA/A3) |
|
|
|
215,000 |
|
|
|
5.250 |
|
|
07/01/2041 |
|
239,461 |
| Puerto Rico Commonwealth Highway & Transportation Authority RB Refunding Series 2005 L (AMBAC)
(NR/C) |
|
|
|
1,650,000 |
|
|
|
5.250 |
|
|
07/01/2038 |
|
1,737,697 |
| Puerto Rico Commonwealth Highway & Transportation Authority RB Refunding Series 2007 CC (AGM)
(AA/A2) |
|
|
|
2,050,000 |
|
|
|
5.250 |
|
|
07/01/2033 |
|
2,285,258 |
| Puerto Rico Commonwealth Highway & Transportation Authority RB Series 1998 A (AMBAC) (NR/C)(d) |
|
|
|
265,000 |
|
|
|
0.000 |
|
|
07/01/2018 |
|
265,000 |
| Puerto Rico Electric Power Authority RB Refunding Series 2007 UU (AGM) (AA/A2)(e) |
| (3 Mo. LIBOR + 0.52%), |
|
|
|
17,625,000 |
|
|
|
2.069 |
|
|
07/01/2029 |
|
15,421,875 |
| Puerto Rico Electric Power Authority RB Series 2007 VV (NATL-RE) (D/Baa2) |
|
|
|
2,065,000 |
|
|
|
5.250 |
|
|
07/01/2034 |
|
2,094,055 |
| Puerto Rico Electric Power Authority RB Series 2013 A (D/Ca)(i) |
|
|
|
3,000,000 |
|
|
|
6.750 |
|
|
07/01/2036 |
|
1,342,500 |
| Puerto Rico Electric Power Authority RB Series 2016 E-1 (NR/NR)(i) |
|
|
|
590,915 |
|
|
|
10.000 |
|
|
01/01/2021 |
|
264,434 |
| Puerto Rico Electric Power Authority RB Series 2016 E-2 (NR/NR)(i) |
|
|
|
590,915 |
|
|
|
10.000 |
|
|
07/01/2021 |
|
264,434 |
| Puerto Rico Electric Power Authority RB Series 2016 E-3 (NR/NR)(i) |
|
|
|
196,972 |
|
|
|
10.000 |
|
|
01/01/2022 |
|
88,145 |
| Puerto Rico Electric Power Authority RB Series 2016 E-4 (NR/NR)(i) |
|
|
|
196,972 |
|
|
|
10.000 |
|
|
07/01/2022 |
|
88,145 |
| |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Puerto Rico – (continued) |
| Puerto Rico Highway & Transportation Authority RB Refunding Series 2007 N (AGC) (FGIC)
(AA/A3) |
| $ |
|
|
180,000 |
|
|
|
5.250 |
% |
|
07/01/2039 |
|
$ 200,151 |
| Puerto Rico Highway & Transportation Authority RB Refunding Series 2007 N (AGM) (AGC)
(AA/A2) |
|
|
|
120,000 |
|
|
|
5.250 |
|
|
07/01/2034 |
|
133,675 |
| Puerto Rico Highway & Transportation Authority RB Refunding Series 2007 N (AMBAC) (NR/C) |
|
|
|
625,000 |
|
|
|
5.250 |
|
|
07/01/2030 |
|
665,687 |
|
|
|
915,000 |
|
|
|
5.250 |
|
|
07/01/2031 |
|
974,530 |
| Puerto Rico Highway & Transportation Authority RB Refunding Series 2007 N (ASSURED GTY)
(AA/A3) |
|
|
|
165,000 |
|
|
|
5.250 |
|
|
07/01/2034 |
|
183,804 |
|
|
|
165,000 |
|
|
|
5.250 |
|
|
07/01/2036 |
|
183,262 |
| Puerto Rico Highway & Transportation Authority RB Series 1998 A (NATL-RE-IBC) (NR/Baa2) |
|
|
|
1,500,000 |
|
|
|
4.750 |
|
|
07/01/2038 |
|
1,428,915 |
| Puerto Rico Public Buildings Authority RB Refunding for Government Facilities Series 2007 M-2 (AMBAC) (COMWLTH
GTD) (NR/Ca)(c) |
|
|
|
3,240,000 |
|
|
|
10.000 |
|
|
07/01/2035 |
|
3,430,512 |
| Puerto Rico Public Buildings Authority RB Series 2003 H (AMBAC) (COMWLTH GTD) (NR/Ca) |
|
|
|
110,000 |
|
|
|
5.500 |
|
|
07/01/2019 |
|
112,620 |
| Puerto Rico Sales Tax Financing Corp. RB First Subseries 2009 A (D/Ca)(i) |
|
|
|
2,660,000 |
|
|
|
6.000 |
|
|
08/01/2042 |
|
1,190,350 |
| Puerto Rico Sales Tax Financing Corp. RB First Subseries 2010 A (D/Ca)(i) |
|
|
|
195,000 |
|
|
|
5.375 |
|
|
08/01/2039 |
|
87,262 |
|
|
|
1,255,000 |
|
|
|
5.500 |
|
|
08/01/2042 |
|
561,613 |
| Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation First Subseries 2009 A (D/Ca)(i) |
|
|
|
13,000,000 |
|
|
|
6.750 |
|
|
08/01/2032 |
|
5,817,500 |
| Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation Series 2010 A (D/Ca)(d)(i) |
|
|
|
7,000,000 |
|
|
|
0.000 |
|
|
08/01/2035 |
|
884,380 |
| Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation Subseries 2009 A (D/Ca)(d)(i) |
|
|
|
6,500,000 |
|
|
|
0.000 |
|
|
08/01/2034 |
|
826,345 |
| Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation Subseries 2010 C (D/Ca)(d)(i) |
|
|
|
1,400,000 |
|
|
|
0.000 |
|
|
08/01/2037 |
|
159,096 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB First Subseries 2009 A (D/Ca)(i) |
|
|
|
5,960,000 |
|
|
|
5.000 |
|
|
08/01/2024 |
|
2,667,100 |
|
|
|
3,950,000 |
|
|
|
6.500 |
|
|
08/01/2044 |
|
1,767,625 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Refunding Subseries A (D/Ca)(i) |
|
|
|
1,755,000 |
|
|
|
5.750 |
|
|
08/01/2037 |
|
785,363 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2010 A (D/Ca)(i) |
|
|
|
400,000 |
|
|
|
4.500 |
|
|
08/01/2021 |
|
179,000 |
|
|
|
225,000 |
|
|
|
5.625 |
|
|
08/01/2030 |
|
100,688 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2010 C (D/Ca)(i) |
|
|
|
3,500,000 |
|
|
|
6.500 |
|
|
08/01/2035 |
|
1,566,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
62,422,182 |
| |
| Rhode Island – 0.0% |
| Rhode Island Health and Educational Building Corp. RB for Woonsocket Public School Financing Program Series 2017
A (AGM) (MUN GOVT GTD) (AA/Aa3) |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
05/15/2024 |
|
561,415 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| South Carolina – 0.4% |
| Clemson University Athletic Facilities RB Series 2015 (NR/Aa3) |
| $ |
|
|
1,385,000 |
|
|
|
4.000 |
% |
|
05/01/2025 |
|
$ 1,521,007 |
|
|
|
1,570,000 |
|
|
|
4.000 |
|
|
05/01/2026 |
|
1,695,427 |
| Lexington County School District No. 2 GO Bonds Series 2017 C (SCSDE) (AA/Aa1) |
|
|
|
4,520,000 |
|
|
|
5.000 |
|
|
03/01/2031 |
|
5,314,119 |
|
|
|
1,590,000 |
|
|
|
4.000 |
|
|
03/01/2032 |
|
1,701,666 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,232,219 |
| |
| South Dakota – 0.2% |
| Rapid City Area School District No. 51-4 Limited Tax Capital Outlay GO Refunding Bonds Series 2017 B (ST AID
WITHHLDG) (AA+/NR) |
|
|
|
630,000 |
|
|
|
5.000 |
|
|
01/01/2024 |
|
714,540 |
|
|
|
1,075,000 |
|
|
|
5.000 |
|
|
01/01/2025 |
|
1,235,186 |
|
|
|
730,000 |
|
|
|
5.000 |
|
|
01/01/2026 |
|
845,376 |
| South Dakota Health & Educational Facilities Authority RB for Avera Health Series 2008 B (AA-/A1)(a) |
|
|
|
300,000 |
|
|
|
5.250 |
|
|
07/01/2018 |
|
300,000 |
|
|
|
500,000 |
|
|
|
5.500 |
|
|
07/01/2018 |
|
500,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,595,102 |
| |
| Tennessee – 0.2% |
| Bristol Industrial Development Board RB for The Pinnacle Project Series 2016 A (NR/NR)(f) |
|
|
|
1,250,000 |
|
|
|
5.000 |
|
|
12/01/2035 |
|
1,217,350 |
| Greeneville Health & Educational Facilities Board RB for Ballad Health Obligated Group Series 2018 A
(A-/Baa1) |
|
|
|
1,800,000 |
|
|
|
4.000 |
|
|
07/01/2040 |
|
1,814,778 |
| Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board RB for Charter
Village Apartments Series 2007 (AMT) (FNMA) (NR/NR)(b)(c) |
|
|
|
970,000 |
|
|
|
4.850 |
|
|
06/01/2025 |
|
981,077 |
| Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board RB for
Vanderbilt University Medical Center Series 2016 A (NR/A3) |
|
|
|
400,000 |
|
|
|
5.000 |
|
|
07/01/2040 |
|
444,472 |
|
|
|
700,000 |
|
|
|
5.000 |
|
|
07/01/2046 |
|
774,725 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,232,402 |
| |
| Texas – 7.0% |
| Central Texas Regional Mobility Authority RB Refunding Senior Lien Series 2016
(BBB+/Baa2) |
|
|
|
250,000 |
|
|
|
5.000 |
|
|
01/01/2040 |
|
274,360 |
|
|
|
435,000 |
|
|
|
5.000 |
|
|
01/01/2046 |
|
475,585 |
| City of Celina Texas Municipal Corp. Special Assessment RB for Glen Crossing Public Improvement District Phase#1
Project Series 2016 (NR/NR) |
|
|
|
250,000 |
|
|
|
4.200 |
|
|
09/01/2027 |
|
240,767 |
|
|
|
575,000 |
|
|
|
4.800 |
|
|
09/01/2037 |
|
553,346 |
|
|
|
650,000 |
|
|
|
5.250 |
|
|
09/01/2046 |
|
622,336 |
| City of Fort Worth Water & Sewer System RB Refunding & Improvement Series 2015 A
(AA+/Aa1) |
|
|
|
8,245,000 |
|
|
|
5.000 |
|
|
02/15/2024 |
|
9,439,536 |
| City of Hackberry Special Assessment RB for Riverdale Lake Public Improvement District No. 2 Phases 4-6 Project
Series 2017 (NR/NR) |
|
|
|
425,000 |
|
|
|
4.125 |
|
|
09/01/2027 |
|
420,032 |
| City of Hackberry Special Assessment RB Refunding for Hackberry Public Improvement District No. 3 Phases #13-16
Project Series 2017 (NR/NR) |
|
|
|
200,000 |
|
|
|
3.250 |
|
|
09/01/2022 |
|
199,378 |
|
|
|
570,000 |
|
|
|
4.500 |
|
|
09/01/2027 |
|
581,075 |
| |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Texas – (continued) |
| City of Hackberry Special Assessment RB Refunding for Hidden Cove Public Improvement District No. 2 Project
Series 2017 (BBB/NR) |
| $ |
|
|
425,000 |
|
|
|
4.000 |
% |
|
09/01/2024 |
|
$ 451,188 |
|
|
|
440,000 |
|
|
|
4.000 |
|
|
09/01/2025 |
|
464,086 |
|
|
|
460,000 |
|
|
|
4.000 |
|
|
09/01/2026 |
|
480,511 |
|
|
|
480,000 |
|
|
|
4.000 |
|
|
09/01/2027 |
|
500,952 |
| City of Lewisville Texas Combination Contract & Special Assessment RB Refunding for Lewisville Castle Hills
Public Improvement District No. 3 Project Series 2015 (AGM) (AA/NR) |
|
|
|
1,415,000 |
|
|
|
4.000 |
|
|
09/01/2025 |
|
1,484,915 |
| City of Round Rock Utility Revenue System RB Refunding Series 2017 (AAA/NR) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
08/01/2024 |
|
1,151,090 |
| Clifton Higher Education Finance Corp. RB Refunding for IDEA Public Schools Series 2017 (PSF-GTD)
(AAA/NR) |
|
|
|
4,370,000 |
|
|
|
4.000 |
|
|
08/15/2036 |
|
4,546,067 |
|
|
|
3,875,000 |
|
|
|
4.000 |
|
|
08/15/2037 |
|
4,021,940 |
| Dallas-Fort Worth International Airport Joint RB Refunding Series 2014 A (AMT) (A+/NR) |
|
|
|
2,500,000 |
|
|
|
5.250 |
|
|
11/01/2030 |
|
2,778,850 |
| Fort Worth Special Assessment RB for Fort Worth Public Improvement District No. 17 Major Improvement Project
Series 2017 (NR/NR)(f) |
|
|
|
395,000 |
|
|
|
5.000 |
|
|
09/01/2027 |
|
409,370 |
|
|
|
225,000 |
|
|
|
5.000 |
|
|
09/01/2032 |
|
228,123 |
|
|
|
330,000 |
|
|
|
5.125 |
|
|
09/01/2037 |
|
331,775 |
| Grand Parkway Transportation Corp. System Toll Convertible RB Series 2013 B (AA+/NR)(g) |
|
|
|
2,500,000 |
|
|
|
0.000 |
|
|
10/01/2046 |
|
2,319,800 |
|
|
|
3,450,000 |
|
|
|
0.000 |
|
|
10/01/2047 |
|
3,204,877 |
| Gulf Coast IDA RB for Exxon Mobil Project Series 2012 (AA+/Aaa)(b)(c) |
|
|
|
1,500,000 |
|
|
|
1.450 |
|
|
07/04/2018 |
|
1,500,000 |
| Harris County Cultural Education Facilities Finance Corp. RB Refunding for Memorial Hermann Health System Series
2013 B (A+/A1)(e) |
| (SIFMA Municipal Swap Index Yield + 0.95%, 18.00% Cap), |
|
|
|
6,770,000 |
|
|
|
2.460 |
|
|
06/01/2023 |
|
6,898,088 |
| Harris County Toll Road RB Refunding Senior Lien Series 2007 B (AMBAC) (AA-/Aa2)(e) |
| (3 Mo. LIBOR + 0.67%), |
|
|
|
8,120,000 |
|
|
|
2.240 |
|
|
08/15/2035 |
|
7,565,891 |
| Hickory Creek Texas Special Assessment RB for Public Improvement District No. 1 Series 2017
(BBB-/NR) |
|
|
|
95,000 |
|
|
|
3.000 |
|
|
09/01/2024 |
|
95,905 |
|
|
|
100,000 |
|
|
|
3.500 |
|
|
09/01/2025 |
|
102,743 |
|
|
|
100,000 |
|
|
|
3.500 |
|
|
09/01/2026 |
|
101,418 |
|
|
|
105,000 |
|
|
|
3.500 |
|
|
09/01/2027 |
|
105,242 |
| Houston Airport System RB for United Airlines, Inc. Airport Improvement Projects Series 2018 C (AMT)
(BB/NR) |
|
|
|
2,495,000 |
|
|
|
5.000 |
|
|
07/15/2028 |
|
2,786,940 |
| Houston Airport System RB Refunding for United Airlines, Inc. Series 2015 B-2 (AMT) (BB/NR) |
|
|
|
2,500,000 |
|
|
|
5.000 |
|
|
07/15/2020 |
|
2,632,300 |
| Houston Airport System RB Refunding Senior Lien Series 2009 A (AA-/Aa3) |
|
|
|
10,000,000 |
|
|
|
5.500 |
|
|
07/01/2034 |
|
10,029,500 |
| Houston Airport System RB Refunding Subordinate Lien Series 2018 B (A/A1) |
|
|
|
350,000 |
|
|
|
5.000 |
|
|
07/01/2031 |
|
410,721 |
|
|
|
325,000 |
|
|
|
5.000 |
|
|
07/01/2032 |
|
379,854 |
| Houston Airport System RB Tranche II Series 2000 P-2 (AMT) (AGM) (AA/A1)(c) |
|
|
|
900,000 |
|
|
|
3.801 |
|
|
07/01/2030 |
|
900,000 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Texas – (continued) |
| Houston Independent School District Limited Tax GO Refunding Bonds Series 2017 (PSF-GTD)
(AAA/Aaa) |
| $ |
|
|
3,425,000 |
|
|
|
4.000 |
% |
|
02/15/2042 |
|
$ 3,582,481 |
| Joint Guadalupe County RB Refunding and Improvement Bonds for City of Seguin Hospital Mortgage Series 2015
(BB/NR) |
|
|
|
1,550,000 |
|
|
|
5.000 |
|
|
12/01/2018 |
|
1,561,361 |
|
|
|
1,545,000 |
|
|
|
5.000 |
|
|
12/01/2019 |
|
1,582,173 |
| Justin Special Assessment RB for Timberbrook Public Improvement District No. 1 Major Improvement Area Project
Series 2018 (NR/NR)(f) |
|
|
|
1,315,000 |
|
|
|
5.000 |
|
|
09/01/2038 |
|
1,319,077 |
| Kaufman County Fresh Water Supply District No. 1 Refunding for Road Series 2016 C (AGM)
(AA/NR) |
|
|
|
455,000 |
|
|
|
3.000 |
|
|
09/01/2023 |
|
460,210 |
|
|
|
280,000 |
|
|
|
3.000 |
|
|
09/01/2024 |
|
281,563 |
|
|
|
505,000 |
|
|
|
3.000 |
|
|
09/01/2025 |
|
499,844 |
|
|
|
530,000 |
|
|
|
4.000 |
|
|
09/01/2026 |
|
558,662 |
|
|
|
560,000 |
|
|
|
4.000 |
|
|
09/01/2027 |
|
587,009 |
|
|
|
490,000 |
|
|
|
4.000 |
|
|
09/01/2028 |
|
511,491 |
| Lamar Consolidated Independent School District Unlimited Tax Schoolhouse Bonds RMKT 08/15/16 Series 2014 A
(PSF-GTD) (AAA/Aaa)(b)(c) |
|
|
|
1,500,000 |
|
|
|
1.050 |
|
|
08/15/2018 |
|
1,499,025 |
| Lower Neches Valley Authority Industrial Development Corp RB for Exxon Capital Ventures, Inc. Project Series 2012
(AA+/Aaa)(b)(c) |
|
|
|
2,500,000 |
|
|
|
1.530 |
|
|
07/04/2018 |
|
2,500,000 |
| Matagorda County Texas Navigation District No. 1 PCRB Refunding for Central Power & Light Co. Project RMKT
07/01/09 Series 2001 A (A-/Baa1) |
|
|
|
1,300,000 |
|
|
|
6.300 |
|
|
11/01/2029 |
|
1,380,262 |
| Mission Economic Development Corp. RB for Waste Management, Inc. Series 2008 (A-/NR) |
|
|
|
2,500,000 |
|
|
|
2.500 |
|
|
08/01/2020 |
|
2,507,125 |
| Montgomery County Toll Road Authority Senior Lien RB Series 2018 (BBB-/NR) |
|
|
|
1,370,000 |
|
|
|
5.000 |
|
|
09/15/2032 |
|
1,507,041 |
|
|
|
710,000 |
|
|
|
5.000 |
|
|
09/15/2033 |
|
778,650 |
|
|
|
750,000 |
|
|
|
5.000 |
|
|
09/15/2034 |
|
819,517 |
|
|
|
790,000 |
|
|
|
5.000 |
|
|
09/15/2035 |
|
861,132 |
| New Hope Cultural Education Facilities Finance Corp. Student Housing RB for Collegiate Housing Island Campus
Project Series 2017 A (BBB-/Baa3) |
|
|
|
765,000 |
|
|
|
5.000 |
|
|
04/01/2027 |
|
867,403 |
| New Hope Cultural Education Facilities Finance Corp. Student Housing RB for Station I, LLC - Texas A&M
University Collegiate Housing Corpus Christi Project Series 2014 A (BBB-/NR) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
04/01/2039 |
|
1,034,720 |
| New Hope Cultural Education Facilities Finance Corp. Student Housing RB for Station II, LLC - Texas A&M
University Collegiate Housing Corpus Christi Project Series 2016 A (BBB-/Ba2) |
|
|
|
645,000 |
|
|
|
4.000 |
|
|
04/01/2022 |
|
670,445 |
|
|
|
320,000 |
|
|
|
4.000 |
|
|
04/01/2023 |
|
333,610 |
|
|
|
275,000 |
|
|
|
4.000 |
|
|
04/01/2024 |
|
287,774 |
|
|
|
365,000 |
|
|
|
4.000 |
|
|
04/01/2025 |
|
382,348 |
|
|
|
375,000 |
|
|
|
4.000 |
|
|
04/01/2026 |
|
391,493 |
| New Hope Cultural Education Facilities Finance Corp. Student Housing RB for Tarleton State University Collegiate
Housing Project Series 2015 A (BBB-/Baa3) |
|
|
|
250,000 |
|
|
|
5.000 |
|
|
04/01/2030 |
|
274,230 |
| North Texas Tollway Authority RB Convertible Capital Appreciation Special Project System Series 2011 (AA/NR)(a)(g) |
|
|
|
1,000,000 |
|
|
|
0.000 |
|
|
09/01/2031 |
|
1,093,610 |
| North Texas Tollway Authority RB First Tier Series 2009 A (A/A1) |
|
|
|
205,000 |
|
|
|
6.250 |
|
|
01/01/2039 |
|
209,399 |
| |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Texas – (continued) |
| North Texas Tollway Authority RB First Tier Series 2009 A (A/NR) |
| $ |
|
|
470,000 |
|
|
|
6.250 |
% |
|
01/01/2024 |
|
$ 480,345 |
| North Texas Tollway Authority RB First Tier Series 2009 A (NR/NR)(a) |
|
|
|
2,925,000 |
|
|
|
6.250 |
|
|
01/01/2019 |
|
2,994,206 |
| North Texas Tollway Authority RB Refunding for First Tier Series 2017 A (A/A1) |
|
|
|
1,750,000 |
|
|
|
5.000 |
|
|
01/01/2038 |
|
2,007,705 |
| North Texas Tollway Authority RB Refunding for Second Tier Series 2017 B (A-/A2) |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
01/01/2032 |
|
2,285,080 |
| North Texas Tollway Authority RB Special Project System Series 2011 A (AA/NR)(a) |
|
|
|
1,000,000 |
|
|
|
5.500 |
|
|
09/01/2021 |
|
1,106,670 |
|
|
|
1,000,000 |
|
|
|
6.000 |
|
|
09/01/2021 |
|
1,121,910 |
| North Texas Tollway Authority System RB Refunding First Tier Series 2016 A (A/A1) |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
01/01/2022 |
|
1,649,025 |
| North Texas Tollway Authority System RB Refunding for Capital Appreciation First Tier Series 2008 I
(A/A1) |
|
|
|
6,000,000 |
|
|
|
6.500 |
|
|
01/01/2043 |
|
7,234,800 |
| Port of Houston Authority Harris County Unlimited Tax GO Refunding Bonds Series 2008 A (AMT)
(AAA/Aaa) |
|
|
|
3,000,000 |
|
|
|
6.125 |
|
|
10/01/2033 |
|
3,033,240 |
| Round Rock Texas Independent School District Unlimited Tax GO Bonds for School Building Series 2009
(AA/Aaa) |
|
|
|
2,730,000 |
|
|
|
5.250 |
|
|
08/01/2034 |
|
2,739,091 |
| Tarrant County Cultural Education Facilities Finance Corp. RB Refunding for Air Force Village Obligated Group
Series 2016 (BB+/NR) |
|
|
|
2,375,000 |
|
|
|
4.000 |
|
|
05/15/2019 |
|
2,404,284 |
|
|
|
2,475,000 |
|
|
|
5.000 |
|
|
05/15/2020 |
|
2,574,198 |
|
|
|
2,100,000 |
|
|
|
5.000 |
|
|
05/15/2021 |
|
2,214,471 |
|
|
|
2,730,000 |
|
|
|
5.000 |
|
|
05/15/2022 |
|
2,911,381 |
| Texas Municipal Gas Acquisition & Supply Corp. I RB Senior Lien Series 2008 D (A-/A3) |
|
|
|
4,950,000 |
|
|
|
6.250 |
|
|
12/15/2026 |
|
5,761,850 |
| Texas Municipal Gas Acquisition & Supply Corp. II RB Series 2007 B (A-/A3)(e) |
| (SIFMA Municipal Swap Index Yield + 0.55%), |
|
|
|
3,495,000 |
|
|
|
2.060 |
|
|
09/15/2027 |
|
3,455,297 |
| Texas Private Activity Bond Surface Transportation Corp. RB Senior Lien for Mobility Partners LLC Series 2009
(BBB-/Baa2) |
|
|
|
8,505,000 |
|
|
|
6.875 |
|
|
12/31/2039 |
|
9,043,622 |
| Texas Transportation Commission Central Turnpike System RB Refunding Second Tier Series 2015 C
(BBB+/Baa1) |
|
|
|
1,380,000 |
|
|
|
5.000 |
|
|
08/15/2042 |
|
1,490,676 |
| Town of Little Special Assessment RB for Lakeside Estates Public Improvement District No. 2 Project Series 2017
(NR/NR)(f) |
|
|
|
425,000 |
|
|
|
4.500 |
|
|
09/01/2027 |
|
418,396 |
| University Houston Consolidated RB Refunding Series 2017 C (AA/Aa2) |
|
|
|
8,500,000 |
|
|
|
3.250 |
|
|
02/15/2041 |
|
7,867,855 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
159,824,318 |
| |
| Utah – 0.5% |
| Salt Lake City RB for International Airport Series 2017 A (AMT) (A+/A2) |
|
|
|
4,500,000 |
|
|
|
5.000 |
|
|
07/01/2033 |
|
5,136,300 |
|
|
|
2,650,000 |
|
|
|
5.000 |
|
|
07/01/2047 |
|
2,976,189 |
| Utah Transit Authority Sales Tax RB Refunding Subordinate Series 2015 A (AAA/Aa2) |
|
|
|
3,065,000 |
|
|
|
4.000 |
|
|
06/15/2034 |
|
3,228,395 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,340,884 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Vermont – 0.1% |
| Vermont Economic Development Authority RB Refunding for Wake Robin Corp. Series 2017 A
(NR/NR) |
| $ |
|
|
745,000 |
|
|
|
5.000 |
% |
|
05/01/2025 |
|
$ 810,426 |
|
|
|
585,000 |
|
|
|
5.000 |
|
|
05/01/2026 |
|
636,246 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,446,672 |
| |
| Virgin Islands – 0.4% |
| Virgin Islands Public Finance Authority RB Matching Fund Loan Note Senior Lien Series 2010 A
(NR/Caa2) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
10/01/2020 |
|
980,000 |
|
|
|
1,410,000 |
|
|
|
5.000 |
|
|
10/01/2029 |
|
1,286,625 |
| Virgin Islands Public Finance Authority RB Matching Fund Loan Note Series 2012 A (NR/Caa2) |
|
|
|
700,000 |
|
|
|
5.000 |
|
|
10/01/2032 |
|
635,250 |
| Virgin Islands Public Finance Authority RB Refunding for Virgin Islands Gross Receipts Taxes Loan Note Series
2014 C (B/NR) |
|
|
|
1,450,000 |
|
|
|
5.000 |
|
|
10/01/2039 |
|
1,179,937 |
| Virgin Islands Public Finance Authority RB Series 2014 A (AGM) (AA/A2)(f) |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
10/01/2034 |
|
5,269,550 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,351,362 |
| |
| Virginia – 1.4% |
| Amelia County IDA Solid Waste Disposal RB Refunding for Waste Management, Inc. Project Series 2002 (AMT) (A-/NR)(b)(c) |
|
|
|
2,500,000 |
|
|
|
2.125 |
|
|
04/01/2020 |
|
2,508,725 |
| Fairfax County Economic Development Authority Residential Care Facilities Mortgage RB Refunding for Goodwin House
Incorporated Series 2016 A (BBB/NR) |
|
|
|
1,250,000 |
|
|
|
4.000 |
|
|
10/01/2042 |
|
1,264,837 |
| Newport News Economic Development Authority Residential Care Facilities RB Refunding For Lifespire of Virginia
Series 2016 (NR/NR) |
|
|
|
450,000 |
|
|
|
2.000 |
|
|
12/01/2018 |
|
449,883 |
| Tobacco Settlement Financing Corp. RB for Capital Appreciation Subseries 2007 C (CCC+/NR)(d) |
|
|
|
122,865,000 |
|
|
|
0.000 |
|
|
06/01/2047 |
|
13,923,062 |
| Virginia Port Authority Port Facilities RB Refunding Series 2015 A (AMT) (A/WR)(a) |
|
|
|
2,750,000 |
|
|
|
5.000 |
|
|
07/01/2025 |
|
3,181,035 |
| Virginia Small Business Financing Authority Private Activity Tax Exempt Senior Lien RB for Transform 66 P3
Project Series 2017 (AMT) (NR/Baa3) |
|
|
|
2,580,000 |
|
|
|
5.000 |
|
|
12/31/2047 |
|
2,826,287 |
| Virginia Small Business Financing Authority Senior Lien RB for 95 Express Lanes LLC Project Series 2017 (AMT)
(BBB/NR) |
|
|
|
950,000 |
|
|
|
5.000 |
|
|
07/01/2034 |
|
1,009,014 |
|
|
|
3,325,000 |
|
|
|
5.000 |
|
|
01/01/2040 |
|
3,514,625 |
| Virginia Small Business Financing Authority Senior Lien RB for Elizabeth River Crossings Opco, LLC Project Series
2012 (AMT) (BBB/NR) |
|
|
|
750,000 |
|
|
|
5.500 |
|
|
01/01/2042 |
|
810,690 |
| Virginia Small Business Financing Authority Solid Waste Disposal Facilities RB for Covanta Holding Corp. Project
Series 2018 (AMT) (B/NR)(b)(c)(f) |
|
|
|
300,000 |
|
|
|
5.000 |
|
|
07/01/2038 |
|
305,166 |
| Washington County IDA RB for Mountain States Health Alliance Series 2009 C (A-/Baa1)(a) |
|
|
|
1,000,000 |
|
|
|
7.750 |
|
|
01/01/2019 |
|
1,030,770 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30,824,094 |
| |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Washington – 3.1% |
| City of Seattle RB for Municipal Light & Power Improvement Series 2018 A (AA/Aa2) |
| $ |
|
|
3,340,000 |
|
|
|
4.000 |
% |
|
01/01/2033 |
|
$ 3,591,302 |
|
|
|
6,715,000 |
|
|
|
4.000 |
|
|
01/01/2034 |
|
7,157,518 |
| Seattle City RB Refunding for Municipal Light & Power Improvement Series 2017 C
(AA/Aa2) |
|
|
|
8,465,000 |
|
|
|
4.000 |
|
|
09/01/2037 |
|
8,957,324 |
| University of Washington RB Refunding Series 2012 A (AA+/Aaa) |
|
|
|
2,500,000 |
|
|
|
5.000 |
|
|
07/01/2029 |
|
2,772,350 |
| Washington Health Care Facilities Authority RB for MultiCare Health System RMKT 02/26/09 Series 2008 A (ASSURED
GTY) (AA/Aa3)(a) |
|
|
|
250,000 |
|
|
|
6.000 |
|
|
08/15/2019 |
|
262,178 |
| Washington Health Care Facilities Authority RB for MultiCare Health System RMKT 02/26/09 Series 2008 B (ASSURED
GTY) (AA/Aa3)(a) |
|
|
|
250,000 |
|
|
|
6.000 |
|
|
08/15/2019 |
|
262,035 |
| Washington State Motor Vehicle Fuel Tax GO Refunding Bonds Series 2015 C (AMBAC) (AA+/Aa1)(d) |
|
|
|
6,855,000 |
|
|
|
0.000 |
|
|
06/01/2028 |
|
5,123,084 |
| Washington State Various Purpose GO Bonds Series 2018 C (AA+/Aa1) |
|
|
|
32,785,000 |
|
|
|
5.000 |
|
|
02/01/2043 |
|
37,941,425 |
| Washington State Various Purpose GO Refunding Bonds Series R-2010B (AA+/Aa1) |
|
|
|
2,475,000 |
|
|
|
5.000 |
|
|
01/01/2023 |
|
2,589,766 |
|
|
|
2,595,000 |
|
|
|
5.000 |
|
|
01/01/2024 |
|
2,714,941 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
71,371,923 |
| |
| West Virginia – 0.5% |
| State of West Virginia GO Bonds Series 2018 B (AA-/Aa2) |
|
|
|
8,490,000 |
|
|
|
5.000 |
|
|
06/01/2035 |
|
9,968,109 |
| West Virginia Hospital Finance Authority Hospital RB Refunding and Improvement for West Virginia United Health
System Obligated Group Series 2009 C (A/WR)(a) |
|
|
|
1,000,000 |
|
|
|
5.500 |
|
|
06/01/2019 |
|
1,034,840 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,002,949 |
| |
| Wisconsin – 0.4% |
| Public Finance Authority Exempt Facilities RB Refunding for Celanese Project Series 2016 C (AMT)
(BBB-/Baa3) |
|
|
|
1,000,000 |
|
|
|
4.300 |
|
|
11/01/2030 |
|
1,037,650 |
| Public Finance Authority RB for Denver International Airport Great Hall Project Series 2017 (AMT)
(BBB-/NR) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
09/30/2037 |
|
1,109,180 |
| Public Finance Authority RB for Prime Healthcare Foundation, Inc. Series 2018 A (BBB-/NR) |
|
|
|
500,000 |
|
|
|
5.200 |
|
|
12/01/2037 |
|
529,345 |
| Public Finance Authority Senior Airport Facilities RB Refunding for Transportation Infrastructure Properties LLC
Obligated Group Series 2012 B (AMT) (BBB/NR) |
|
|
|
2,000,000 |
|
|
|
5.250 |
|
|
07/01/2028 |
|
2,156,480 |
| Public Finance Authority Senior Living RB Refunding for Mary’s Woods at Marylhurst Project Series 2017 B-3
(BB/NR)(f) |
|
|
|
1,900,000 |
|
|
|
3.000 |
|
|
11/15/2022 |
|
1,904,142 |
| Wisconsin State Health & Educational Facilities Authority RB for Saint John’s Communities, Inc.
Project Series 2018 A (BBB-/NR) |
|
|
|
275,000 |
|
|
|
4.000 |
|
|
09/15/2021 |
|
284,256 |
|
|
|
225,000 |
|
|
|
4.000 |
|
|
09/15/2022 |
|
233,539 |
|
|
|
250,000 |
|
|
|
4.000 |
|
|
09/15/2023 |
|
259,868 |
|
|
|
365,000 |
|
|
|
4.000 |
|
|
09/15/2024 |
|
376,220 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Wisconsin – (continued) |
| Wisconsin State Health & Educational Facilities Authority RB Refunding for Fort Healthcare, Inc. Series
2014 (BBB+/NR) |
| $ |
|
|
285,000 |
|
|
|
4.000 |
% |
|
05/01/2019 |
|
$ 289,084 |
|
|
|
410,000 |
|
|
|
5.000 |
|
|
05/01/2020 |
|
428,938 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,608,702 |
| |
| TOTAL MUNICIPAL BONDS
(Cost $2,163,826,116) |
|
$2,192,079,672 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds – 0.3% |
| Commercial & Professional Services – 0.0% |
| Catholic Health Initiatives |
| $ |
|
|
470,000 |
|
|
|
4.350 |
% |
|
11/01/2042 |
|
$ 444,752 |
| |
| Health Care Equipment & Services – 0.3% |
| Prime Healthcare Foundation, Inc. Series B |
|
|
|
4,975,000 |
|
|
|
7.000 |
|
|
12/01/2027 |
|
5,412,805 |
| |
| TOTAL CORPORATE BONDS
(Cost $5,311,371) |
|
$ 5,857,557 |
| |
| TOTAL INVESTMENTS – 96.7% (Cost $2,169,137,487) |
|
$2,197,937,229 |
| |
OTHER ASSETS IN EXCESS OF
LIABILITIES – 3.3% |
|
75,749,235 |
| |
| NET ASSETS – 100.0% |
|
$2,273,686,464 |
| |
|
|
|
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
|
|
| (a) |
|
Pre-refunded security. Maturity date disclosed is pre-refunding date. |
|
|
| (b) |
|
Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect on June
30, 2018. |
|
|
| (c) |
|
Variable Rate Demand Instruments – rate shown is that which is in effect on June 30, 2018. Certain variable rate securities are not based on a published reference rate and
spread but are determined by the issuer or agent and are based on current market conditions. |
|
|
| (d) |
|
Issued with a zero coupon. Income is recognized through the accretion of discount. |
|
|
| (e) |
|
Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed
is that which is in effect on June 30, 2018. |
|
|
| (f) |
|
Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed 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 $89,712,294, which represents approximately 3.9% of net assets as
of June 30, 2018. The liquidity determination is unaudited. |
|
|
| (g) |
|
Zero coupon bond until next reset date. |
|
|
| (h) |
|
When-issued security. |
|
|
| (i) |
|
Security is currently in default. |
|
| Security ratings disclosed, if any, are issued by either Standard & Poor’s, Moody’s Investor Service or Fitch and are unaudited. A brief description of the
ratings is available in the Fund’s Statement of Additional Information. |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
| |
| Investment Abbreviations: |
| AGC-ICC |
|
— Agency Insured Custody Certificate |
| AGM |
|
— Insured by Assured Guaranty Municipal Corp. |
| AMBAC |
|
— Insured by American Municipal Bond Assurance Corp. |
| AMT |
|
— Alternative Minimum Tax |
| ASSURED GTY |
|
— Insured by Assured Guaranty |
| BAM |
|
— Build America Mutual Assurance Co. |
| BHAC-CR |
|
— Insured by Berkshire Hathaway Assurance Corp. - Insured Custodial Receipts |
| CAL MTG INS |
|
— Insured by California Mortgage Insurance |
| COMWLTH GTD |
|
— Commonwealth Guaranteed |
| COPS |
|
— Certificates of Participation |
| ETM |
|
— Escrowed to Maturity |
| FNMA |
|
— Federal National Mortgage Association |
| GARB |
|
— General Airport Revenue Bond |
| GNMA |
|
— Government National Mortgage Association |
| GO |
|
— General Obligation |
| IDA |
|
— Industrial Development Authority |
| LIBOR |
|
— London Interbank Offered Rate |
| Mo. |
|
— Month |
| MUN GOVT GTD |
|
— Municipal Government Guaranteed |
| NATL-RE |
|
— Insured by National Public Finance Guarantee Corp. |
| NATL-RE-IBC |
|
— Insured by National Public Finance Guarantee Corp. - Insured Bond Certificates |
| NR |
|
— Not Rated |
| PCRB |
|
— Pollution Control Revenue Bond |
| PILOT |
|
— Payment in Lieu of Taxes |
| PSF-GTD |
|
— Guaranteed by Permanent School Fund |
| Q-SBLF |
|
— Qualified School Board Loan Fund |
| RB |
|
— Revenue Bond |
| RMKT |
|
— Remarketed |
| SCH BD GTY |
|
— School Bond Guaranty |
| SCSDE |
|
— South Carolina State Department of Education |
| SIFMA |
|
— The Securities Industry and Financial Markets Association |
| ST AID WITHHLDG |
|
— State Aid Withholding |
| ST APPROP |
|
— State Appropriation |
| USD |
|
— United States Dollar |
| WR |
|
— Withdrawn Rating |
| XLCA |
|
— Insured by XL Capital Assurance, Inc. |
| |
GOLDMAN SACHS DYNAMIC MUNICIPAL INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION
FUTURES CONTRACTS — At June 30, 2018, the Fund had the following futures contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Number of Contracts |
|
Expiration Date |
|
Notional
Amount |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Short position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Ultra Bond |
|
(49) |
|
09/19/2018 |
|
$ |
(7,818,563 |
) |
|
$ |
(150,108 |
) |
| |
|
SWAP CONTRACTS — At June 30, 2018, the Fund had the following swap contracts:
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference
Obligation/Index(a) |
|
Financing Rate
Received (Paid) by
the Fund |
|
|
Credit Spread at June 30,
2018(b) |
|
|
Counterparty |
|
|
Termination
Date |
|
|
Notional
Amount
(000’s) |
|
|
Value |
|
|
Upfront
Premium
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Protection Sold: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| California State Various Purpose GO Bonds, Series 2003, 5.000%, 11/01/2023 |
|
|
1.000% |
|
|
|
0.261% |
|
|
|
Bank of
America NA |
|
|
|
03/20/2023 |
|
|
USD |
1,000 |
|
|
$ |
32,713 |
|
|
$ |
(23,422 |
) |
|
$ |
56,135 |
|
| California State Various Purpose GO Bonds, Series 2003, 5.250%, 02/01/2018 |
|
|
1.000 |
|
|
|
0.261 |
|
|
|
JPMorgan
Chase Bank NA |
|
|
|
03/20/2023 |
|
|
|
1,000 |
|
|
|
32,713 |
|
|
|
(23,423 |
) |
|
|
56,136 |
|
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
65,426 |
|
|
$ |
(46,845 |
) |
|
$ |
112,271 |
|
| |
|
| (a) |
|
Payments received quarterly. |
| (b) |
|
Credit spread on the referenced obligation, together with the period of expiration, are indicators of payment/performance risk. The likelihood of a credit event
occurring which would require a fund or its counterparty to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and term of the swap contract increase. |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Payments Made
by the Fund(a) |
|
Payments Received by the Fund |
|
Termination
Date |
|
|
Notional
Amount
(000’s) |
|
|
Value |
|
|
Upfront
Premium
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| 2.500% |
|
3 Month LIBOR |
|
|
09/19/2028 |
|
|
USD |
23,960 |
(b) |
|
$ |
934,088 |
|
|
$ |
1,101,599 |
|
|
$ |
(167,511 |
) |
| 2.250 |
|
3 Month LIBOR |
|
|
12/21/2041 |
|
|
|
19,600 |
|
|
|
2,439,124 |
|
|
|
(1,215,761 |
) |
|
|
3,654,885 |
|
| 2.500 |
|
3 Month LIBOR |
|
|
09/19/2048 |
|
|
|
212,560 |
(b) |
|
|
19,416,401 |
|
|
|
23,431,965 |
|
|
|
(4,015,564 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
$ |
22,789,613 |
|
|
$ |
23,317,803 |
|
|
$ |
(528,190 |
) |
| |
|
| (a) |
|
Payments made semi-annually. |
| (b) |
|
Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2018.
|
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – 97.2% |
| Alabama – 2.4% |
| Houston County Health Care Authority RB for Southeast Alabama Medical Center Series 2016 A
(BBB/NR) |
| $ |
|
|
850,000 |
|
|
|
5.000 |
% |
|
10/01/2024 |
|
$ 950,733 |
|
|
|
850,000 |
|
|
|
5.000 |
|
|
10/01/2025 |
|
944,707 |
|
|
|
4,125,000 |
|
|
|
5.000 |
|
|
10/01/2030 |
|
4,488,784 |
| Jefferson County Senior Lien Sewer RB Warrants Series 2013 C (AGM) (AA/A2)(a) |
|
|
|
5,750,000 |
|
|
|
0.000 |
|
|
10/01/2038 |
|
5,048,615 |
|
|
|
6,000,000 |
|
|
|
0.000 |
|
|
10/01/2042 |
|
5,246,460 |
| Jefferson County Subordinate Lien Sewer RB Warrants Series 2013 D (BBB-/NR) |
|
|
|
8,300,000 |
|
|
|
6.000 |
|
|
10/01/2042 |
|
9,561,766 |
|
|
|
19,850,000 |
|
|
|
7.000 |
|
|
10/01/2051 |
|
23,967,486 |
|
|
|
78,270,000 |
|
|
|
6.500 |
|
|
10/01/2053 |
|
92,019,691 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
142,228,242 |
| |
| Alaska – 0.1% |
| Northern Tobacco Securitization Corp. RB Refunding Asset-Backed Bonds Series 2006 A (NR/B3) |
|
|
|
4,865,000 |
|
|
|
5.000 |
|
|
06/01/2046 |
|
4,864,952 |
| Northern Tobacco Securitization Corp. RB Refunding Capital Appreciation Asset-Backed Bonds 1st Subordinate Series
2006 B (NR/NR)(b) |
|
|
|
6,780,000 |
|
|
|
0.000 |
|
|
06/01/2046 |
|
757,258 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,622,210 |
| |
| Arizona – 1.9% |
| Apache County IDA PCRB for Tucson Electric Power Company Series 2012 A (A-/A3) |
|
|
|
4,500,000 |
|
|
|
4.500 |
|
|
03/01/2030 |
|
4,809,600 |
| Arizona Health Facilities Authority Hospital RB for Banner Health Series 2007 B (AA-/NR)(c) |
| (3 Mo. LIBOR + 0.81%), |
|
|
|
59,530,000 |
|
|
|
2.359 |
|
|
01/01/2037 |
|
56,269,542 |
| City of Tempe IDA RB Refunding for Friendship Village Series 2012 A (NR/NR) |
|
|
|
1,250,000 |
|
|
|
6.250 |
|
|
12/01/2042 |
|
1,341,687 |
|
|
|
1,325,000 |
|
|
|
6.250 |
|
|
12/01/2046 |
|
1,420,440 |
| Maricopa County Arizona Pollution Control Corp. PCRB Refunding for El Paso Electric Co. Project Series 2009 A
(BBB/Baa1) |
|
|
|
8,800,000 |
|
|
|
7.250 |
|
|
02/01/2040 |
|
9,063,384 |
| Maricopa County Arizona Pollution Control Corp. PCRB Refunding for Public Service Co. of New Mexico Palo Verde
Project Series 2003 A (BBB+/Baa2) |
|
|
|
5,000,000 |
|
|
|
6.250 |
|
|
01/01/2038 |
|
5,338,350 |
| Maricopa County IDA RB for Banner Health Series 2017 A (AA-/NR) |
|
|
|
16,075,000 |
|
|
|
4.000 |
|
|
01/01/2041 |
|
16,627,498 |
| Pima County IDA RB Refunding for Tucson Electric Power Co. Project Series 2012 A (A-/A3) |
|
|
|
5,350,000 |
|
|
|
4.500 |
|
|
06/01/2030 |
|
5,742,101 |
| Pima County IDA RB Refunding for Tucson Electric Power Co. Project Series 2013 A (A-/A3) |
|
|
|
3,390,000 |
|
|
|
4.000 |
|
|
09/01/2029 |
|
3,552,890 |
| The Industrial Development Authority of the City of Phoenix RB for Downtown Phoenix Student Housing LLC Series
2018 (NR/Baa3) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
07/01/2042 |
|
1,101,640 |
| The Industrial Development Authority of the City of Phoenix RB Refunding for Downtown Phoenix Student Housing LLC
Series 2018 (NR/Baa3) |
|
|
|
850,000 |
|
|
|
5.000 |
|
|
07/01/2037 |
|
941,622 |
| University Medical Center Corp. RB Series 2009 (NR/WR)(d) |
|
|
|
500,000 |
|
|
|
6.250 |
|
|
07/01/2019 |
|
522,695 |
|
|
|
1,360,000 |
|
|
|
6.500 |
|
|
07/01/2019 |
|
1,425,062 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Arizona – (continued) |
| University Medical Center Corp. RB Series 2011 (NR/WR)(d) |
| $ |
|
|
3,500,000 |
|
|
|
6.000 |
% |
|
07/01/2021 |
|
$ 3,907,120 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
112,063,631 |
| |
| California – 13.7% |
| ABC Unified School District GO Bonds Series 2001 C (NATL-RE)
(A+/Aa3)(b) |
|
|
|
1,600,000 |
|
|
|
0.000 |
|
|
08/01/2026 |
|
1,262,944 |
| Alameda Corridor Transportation Authority RB for Capital Appreciation Refunding Subordinate Lien Series 2016 B
(BBB+/Baa2) |
|
|
|
5,825,000 |
|
|
|
5.000 |
|
|
10/01/2036 |
|
6,476,584 |
|
|
|
4,850,000 |
|
|
|
5.000 |
|
|
10/01/2037 |
|
5,392,521 |
| Alameda County Oakland Unified School District GO Bonds Election of 2012 Series 2015 A
(AA-/Aa3) |
|
|
|
3,000,000 |
|
|
|
5.000 |
|
|
08/01/2040 |
|
3,408,660 |
| Alhambra California Unified School District Election of 2008 GO Bonds Capital Appreciation for Elementary Schools
Improvement District Series 2011 B (AGM) (AA/Aa2)(b) |
|
|
|
4,995,000 |
|
|
|
0.000 |
|
|
08/01/2037 |
|
2,477,220 |
| Alvord Unified School District GO Bonds Capital Appreciation for 2007 Election Series 2007 B (AGM) (AA/A2)(b) |
|
|
|
1,210,000 |
|
|
|
0.000 |
|
|
08/01/2036 |
|
580,631 |
| Atascadero Unified School District GO Bonds for 2014 Election Series 2014 B (NATL-RE)
(NR/Aa3) |
|
|
|
3,000,000 |
|
|
|
4.000 |
|
|
08/01/2042 |
|
3,120,480 |
| Atwater Wastewater RB Refunding Series 2017 A (AGM) (AA/NR) |
|
|
|
465,000 |
|
|
|
5.000 |
|
|
05/01/2040 |
|
526,231 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
05/01/2043 |
|
1,129,230 |
| Calaveras Unified School District GO Bonds for Capital Appreciation Series 2000 (AGM) (AA/A2)(b) |
|
|
|
1,055,000 |
|
|
|
0.000 |
|
|
08/01/2025 |
|
868,339 |
| California County Tobacco Securitization Agency Tobacco Settlement RB Capital Appreciation Subordinate Series
2006 C (BB+/NR)(b) |
|
|
|
130,120,000 |
|
|
|
0.000 |
|
|
06/01/2055 |
|
10,629,503 |
| California Health Facilities Financing Authority RB for El Camino Hospital Series 2017
(AA/A1) |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
02/01/2042 |
|
1,702,305 |
|
|
|
4,000,000 |
|
|
|
5.000 |
|
|
02/01/2047 |
|
4,523,440 |
| California Municipal Finance Authority RB for Community Medical Centers Series 2017 A
(A-/Baa1) |
|
|
|
1,800,000 |
|
|
|
5.000 |
|
|
02/01/2042 |
|
1,988,694 |
|
|
|
17,675,000 |
|
|
|
5.000 |
|
|
02/01/2047 |
|
19,459,291 |
| California Municipal Finance Authority RB for LAX Integrated Express Solutions LLC Senior Lien Series 2018 A
(AMT) (BBB+/NR) |
|
|
|
3,790,000 |
|
|
|
5.000 |
|
|
12/31/2047 |
|
4,248,855 |
| California Municipal Finance Authority RB for LAX Integrated Express Solutions LLC Senior Lien Series 2018 B
(AMT) (BBB+/NR) |
|
|
|
1,895,000 |
|
|
|
5.000 |
|
|
06/01/2048 |
|
2,117,795 |
| California Statewide Communities Development Authority Community Facilities District No. 2007-01 Special Tax
Refunding for Orinda Wilder Project Series 2015 (NR/NR) |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
09/01/2030 |
|
2,212,500 |
|
|
|
2,125,000 |
|
|
|
5.000 |
|
|
09/01/2037 |
|
2,318,226 |
| California Statewide Communities Development Authority RB for Lancer Plaza Project Series 2013
(NR/NR) |
|
|
|
1,875,000 |
|
|
|
5.875 |
|
|
11/01/2043 |
|
2,080,969 |
| California Statewide Communities Development Authority RB for Marin General Hospital Obligated Group Series 2018
A (A-/NR) |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
08/01/2038 |
|
575,060 |
|
|
|
3,000,000 |
|
|
|
4.000 |
|
|
08/01/2045 |
|
3,059,370 |
| |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| California – (continued) |
| California Statewide Communities Development Authority RB Refunding for California Baptist University Series 2017
A (NR/NR)(e) |
| $ |
|
|
2,000,000 |
|
|
|
3.000 |
% |
|
11/01/2022 |
|
$ 2,004,180 |
|
|
|
935,000 |
|
|
|
5.000 |
|
|
11/01/2032 |
|
1,026,228 |
|
|
|
1,875,000 |
|
|
|
5.000 |
|
|
11/01/2041 |
|
2,018,156 |
| California Statewide Communities Development Authority RB Refunding for Enloe Medical Center Series 2015 (CAL MTG
INS) (AA-/NR) |
|
|
|
2,850,000 |
|
|
|
5.000 |
|
|
08/15/2038 |
|
3,247,945 |
| California Statewide Communities Development Authority RB Refunding for Front Porch Communities & Services
Series 2017 A (A-/NR) |
|
|
|
1,200,000 |
|
|
|
5.000 |
|
|
04/01/2047 |
|
1,339,308 |
| California Statewide Communities Development Authority RB Refunding for Loma Linda University Medical Center
Series 2014 A (BB/NR) |
|
|
|
6,235,000 |
|
|
|
5.500 |
|
|
12/01/2054 |
|
6,766,409 |
| California Statewide Communities Development Authority Student Housing RB for University of California Irvine
East Campus Apartments, Phase IV-A CHF-Irvine, LLC Series 2017 (NR/Baa1) |
|
|
|
3,750,000 |
|
|
|
5.000 |
|
|
05/15/2042 |
|
4,224,187 |
|
|
|
3,850,000 |
|
|
|
5.000 |
|
|
05/15/2047 |
|
4,324,243 |
|
|
|
3,075,000 |
|
|
|
5.000 |
|
|
05/15/2050 |
|
3,441,294 |
| California Statewide Financing Authority Tobacco Settlement RB Capital Appreciation for Turbo Pooled Program
Series 2006 B (CCC/NR)(b) |
|
|
|
35,000,000 |
|
|
|
0.000 |
|
|
06/01/2046 |
|
5,115,600 |
| Capistrano Unified School District Special Tax for Capital Appreciation Series 2005 (NATL-RE) (NR/Baa2)(b) |
|
|
|
7,000,000 |
|
|
|
0.000 |
|
|
09/01/2033 |
|
3,874,290 |
| City of Davis Redevelopment Agency Tax Allocation for Davis Redevelopment Project Series 2011 A
(A+/NR) |
|
|
|
750,000 |
|
|
|
6.500 |
|
|
12/01/2026 |
|
857,797 |
|
|
|
2,830,000 |
|
|
|
7.000 |
|
|
12/01/2036 |
|
3,288,149 |
| City of Fremont Community Facilities District No. 1 Special Tax for Pacific Commons Series 2015
(NR/NR) |
|
|
|
3,000,000 |
|
|
|
5.000 |
|
|
09/01/2045 |
|
3,274,770 |
| City of Goleta Redevelopment Agency Tax Allocation for Goleta Old Town Redevelopment Project Series 2011
(NR/NR) |
|
|
|
670,000 |
|
|
|
7.750 |
|
|
12/01/2031 |
|
672,553 |
|
|
|
5,000,000 |
|
|
|
8.000 |
|
|
06/01/2044 |
|
5,020,250 |
| City of Palo Alto Limited Obligation Refunding Improvement Bonds for University Avenue Area Off-Street Parking
Assessment District Series 2012 (A-/NR) |
|
|
|
600,000 |
|
|
|
5.000 |
|
|
09/02/2030 |
|
649,554 |
| City of Sacramento Natomas Meadows Community Facilities District No. 2007-01 Special Tax Bonds for Improvement
Area No. 1 Series 2017 (NR/NR)(e) |
|
|
|
280,000 |
|
|
|
5.000 |
|
|
09/01/2032 |
|
299,289 |
|
|
|
700,000 |
|
|
|
5.000 |
|
|
09/01/2037 |
|
739,998 |
|
|
|
1,745,000 |
|
|
|
5.000 |
|
|
09/01/2047 |
|
1,837,939 |
| Coachella Valley Unified School District GO Bonds Capital Appreciation Series 2012 D (AGM) (AA/WR)(b) |
|
|
|
2,500,000 |
|
|
|
0.000 |
|
|
08/01/2043 |
|
912,400 |
| Coronado Community Development Agency Tax Allocation for Coronado Community Development Project Series 2005
(AMBAC) (A+/NR) |
|
|
|
175,000 |
|
|
|
5.000 |
|
|
09/01/2020 |
|
175,490 |
| Denair California Unified School District GO Bonds Capital Appreciation Election 2001 Series 2003 B (NATL-RE)
(A-/Baa2)(b) |
|
|
|
1,305,000 |
|
|
|
0.000 |
|
|
08/01/2027 |
|
948,161 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| California – (continued) |
| Dublin Community Facilities District No. 2015-1 Improvement Area No. 1 Special Tax Series 2017
(NR/NR) |
| $ |
|
|
640,000 |
|
|
|
5.000 |
% |
|
09/01/2027 |
|
$ 708,576 |
|
|
|
2,285,000 |
|
|
|
5.000 |
|
|
09/01/2037 |
|
2,542,085 |
|
|
|
6,680,000 |
|
|
|
5.000 |
|
|
09/01/2047 |
|
7,338,314 |
| El Rancho California Unified School District GO Bonds Capital Appreciation Election 2003 Series 2007 (NATL-RE)
(A-/Baa2)(b) |
|
|
|
5,400,000 |
|
|
|
0.000 |
|
|
08/01/2032 |
|
3,214,026 |
| Fairfield COPS Capital Appreciation for Water Financing Series 2007 A (XLCA) (AA-/WR)(b) |
|
|
|
4,180,000 |
|
|
|
0.000 |
|
|
04/01/2029 |
|
2,990,832 |
| Folsom Cordova Unified School District No. 4 GO for School Facilities Improvement Capital Appreciation for
Election of 2006 Series 2007 A (NATL-RE) (AA-/Aa3)(b) |
|
|
|
3,360,000 |
|
|
|
0.000 |
|
|
10/01/2032 |
|
2,046,845 |
| Foothill/Eastern Transportation Corridor Agency Toll Road RB Refunding Capital Appreciation Senior Lien Series
2015 A (AGM) (AA/A2)(b) |
|
|
|
12,000,000 |
|
|
|
0.000 |
|
|
01/15/2035 |
|
6,204,240 |
| Foothill/Eastern Transportation Corridor Agency Toll Road RB Refunding RMKT 08/24/17 Series 2013 B Subseries B-1
(BBB-/Baa3) |
|
|
|
16,080,000 |
|
|
|
3.950 |
|
|
01/15/2053 |
|
16,116,180 |
| Foothill/Eastern Transportation Corridor Agency Toll Road RB Refunding Series 2013 A
(BBB-/Baa3) |
|
|
|
13,535,000 |
|
|
|
6.000 |
|
|
01/15/2053 |
|
15,673,124 |
| Foothill/Eastern Transportation Corridor Agency Toll Road RB Refunding Subseries B-3 (BBB-/Baa3)(f)(g) |
|
|
|
4,425,000 |
|
|
|
5.500 |
|
|
01/15/2023 |
|
4,954,717 |
| Fullerton Public Financing Authority Tax Allocation Series 2005 (AMBAC) (A/WR) |
|
|
|
200,000 |
|
|
|
5.000 |
|
|
09/01/2027 |
|
201,114 |
| Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Asset-Backed Bonds for Capital
Appreciation Subseries 2007 B (CCC+/NR)(b) |
|
|
|
77,260,000 |
|
|
|
0.000 |
|
|
06/01/2047 |
|
13,409,246 |
| Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Asset-Backed Bonds for Capital
Appreciation Subseries 2007 C
(CCC/NR)(b) |
|
|
|
307,000,000 |
|
|
|
0.000 |
|
|
06/01/2047 |
|
47,766,130 |
| Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Asset-Backed Bonds Series 2015 A (ST
APPROP) (A+/A1) |
|
|
|
7,975,000 |
|
|
|
5.000 |
|
|
06/01/2040 |
|
8,942,527 |
|
|
|
28,010,000 |
|
|
|
5.000 |
|
|
06/01/2045 |
|
31,352,713 |
| Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Asset-Backed Bonds Series 2018 A-1
(NR/NR) |
|
|
|
6,370,000 |
|
|
|
5.000 |
|
|
06/01/2047 |
|
6,540,270 |
|
|
|
4,775,000 |
|
|
|
5.250 |
|
|
06/01/2047 |
|
4,967,910 |
| Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Senior Asset-Backed Bonds Series 2007
A-2 (B+/B3) |
|
|
|
27,780,000 |
|
|
|
5.300 |
|
|
06/01/2037 |
|
29,048,435 |
| Inland Empire Tobacco Securitization Authority RB Turbo Asset-Backed Bonds for Capital Appreciation Series 2007
C-1 (CCC/NR)(b) |
|
|
|
101,195,000 |
|
|
|
0.000 |
|
|
06/01/2036 |
|
31,491,884 |
| Inland Empire Tobacco Securitization Authority RB Turbo Asset-Backed Bonds for Capital Appreciation Series 2007
C-2 (CCC/NR)(b) |
|
|
|
71,235,000 |
|
|
|
0.000 |
|
|
06/01/2047 |
|
10,451,599 |
| Inland Empire Tobacco Securitization Authority RB Turbo Asset-Backed Bonds for Capital Appreciation Series 2007 D
(CCC/NR)(b) |
|
|
|
260,660,000 |
|
|
|
0.000 |
|
|
06/01/2057 |
|
16,004,524 |
| |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| California – (continued) |
| Irvine Unified School District No. 09-1 Special Tax for Community Facilities Series 2017 A
(NR/NR) |
| $ |
|
|
1,655,000 |
|
|
|
5.000 |
% |
|
09/01/2047 |
|
$ 1,849,429 |
|
|
|
1,925,000 |
|
|
|
5.000 |
|
|
03/01/2057 |
|
2,141,582 |
| Lammersville Joint Unified School District Special Tax Bonds for Community Facilities District No. 2007-1 Series
2013 (NR/NR) |
|
|
|
2,750,000 |
|
|
|
6.000 |
|
|
09/01/2043 |
|
3,164,287 |
| Lemoore Redevelopment Agency Tax Allocation for Lemoore Redevelopment Project Series 2011
(A-/NR) |
|
|
|
215,000 |
|
|
|
6.625 |
|
|
08/01/2024 |
|
215,608 |
| Los Angeles County GO Bonds for Westside Union School District Election Series 2008 B (AA-/Aa3)(b) |
|
|
|
49,925,000 |
|
|
|
0.000 |
|
|
08/01/2050 |
|
12,984,993 |
| Lynwood Redevelopment Agency Tax Allocation for Housing Projects Series 2011 A (A-/NR) |
|
|
|
1,625,000 |
|
|
|
6.750 |
|
|
09/01/2026 |
|
1,854,872 |
|
|
|
1,500,000 |
|
|
|
7.000 |
|
|
09/01/2031 |
|
1,725,600 |
|
|
|
875,000 |
|
|
|
7.250 |
|
|
09/01/2038 |
|
1,013,259 |
| Merced-Union High School District Election of 2008 GO Bonds Series 2011 C (NR/Aa3)(b) |
|
|
|
3,750,000 |
|
|
|
0.000 |
|
|
08/01/2035 |
|
2,018,512 |
| M-S-R Energy Authority Gas RB Series 2009 A (BBB+/NR) |
|
|
|
8,250,000 |
|
|
|
6.500 |
|
|
11/01/2039 |
|
11,759,220 |
| M-S-R Energy Authority Gas RB Series 2009 B (BBB+/NR) |
|
|
|
2,000,000 |
|
|
|
6.500 |
|
|
11/01/2039 |
|
2,850,720 |
| M-S-R Energy Authority Gas RB Series 2009 C (BBB+/NR) |
|
|
|
10,000,000 |
|
|
|
6.125 |
|
|
11/01/2029 |
|
12,415,700 |
|
|
|
21,765,000 |
|
|
|
6.500 |
|
|
11/01/2039 |
|
31,022,960 |
| Mt. Diablo Unified School District GO Bonds Capital Appreciation for Election of 2010 Series 2010 A (AGM)
(AA/Aa2)(a) |
|
|
|
7,000,000 |
|
|
|
0.000 |
|
|
08/01/2030 |
|
6,632,080 |
| Natomas Unified School District GO Bonds Election of 2014 Series 2013 (BAM) (AA/A1) |
|
|
|
14,535,000 |
|
|
|
4.000 |
|
|
08/01/2042 |
|
15,198,523 |
| New Haven Unified School District GO Refunding Bonds for Capital Appreciation Series 2009 (ASSURED GTY) (AA/Aa3)(b) |
|
|
|
860,000 |
|
|
|
0.000 |
|
|
08/01/2025 |
|
711,315 |
|
|
|
1,105,000 |
|
|
|
0.000 |
|
|
08/01/2026 |
|
877,801 |
|
|
|
5,550,000 |
|
|
|
0.000 |
|
|
08/01/2030 |
|
3,711,174 |
|
|
|
7,830,000 |
|
|
|
0.000 |
|
|
08/01/2032 |
|
4,790,942 |
|
|
|
7,000,000 |
|
|
|
0.000 |
|
|
08/01/2034 |
|
3,882,480 |
| Orange County California Community Facilities District No. 2015-1 Village of Esencia Special Tax Bonds Series
2015 A (NR/NR) |
|
|
|
3,000,000 |
|
|
|
5.250 |
|
|
08/15/2045 |
|
3,320,130 |
| Orange County California Community Facilities District No. 2017-1 Village of Esencia Special Tax Bonds Series
2018 A (NR/NR) |
|
|
|
250,000 |
|
|
|
5.000 |
|
|
08/15/2027 |
|
287,463 |
|
|
|
200,000 |
|
|
|
5.000 |
|
|
08/15/2028 |
|
231,084 |
|
|
|
2,900,000 |
|
|
|
5.000 |
|
|
08/15/2047 |
|
3,225,989 |
| Palomar Health RB Refunding for Palomar Health Series 2017 (AGM) (AA/A2) |
|
|
|
11,500,000 |
|
|
|
5.000 |
|
|
11/01/2047 |
|
12,989,135 |
| Palomar Pomerado Health COPS Series 2009 (NR/WR)(d) |
|
|
|
16,000,000 |
|
|
|
6.750 |
|
|
11/01/2019 |
|
17,106,400 |
| Palomar Pomerado Health COPS Series 2010 (BBB-/Ba1)(d) |
|
|
|
6,500,000 |
|
|
|
6.000 |
|
|
11/01/2020 |
|
7,160,205 |
| Palomar Pomerado Health GO Bonds Capital Appreciation for Election of 2004 Series 2009 A (ASSURED GTY) (AA/A2)(a) |
|
|
|
10,750,000 |
|
|
|
0.000 |
|
|
08/01/2038 |
|
13,310,650 |
| Placer Union High School District GO Bonds for Capital Appreciation Series 2000 A (NATL-RE) (AA/Aa2)(b) |
|
|
|
1,805,000 |
|
|
|
0.000 |
|
|
08/01/2025 |
|
1,503,385 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| California – (continued) |
| Rancho Cordova Community Facilities District No. 2003-1 Special Tax Refunding for Sunridge Anatolia Series 2016
(NR/NR) |
| $ |
|
|
500,000 |
|
|
|
4.000 |
% |
|
09/01/2029 |
|
$ 524,480 |
|
|
|
500,000 |
|
|
|
4.000 |
|
|
09/01/2030 |
|
520,845 |
|
|
|
650,000 |
|
|
|
4.000 |
|
|
09/01/2031 |
|
674,277 |
|
|
|
900,000 |
|
|
|
3.000 |
|
|
09/01/2032 |
|
833,841 |
|
|
|
820,000 |
|
|
|
3.000 |
|
|
09/01/2033 |
|
751,136 |
|
|
|
750,000 |
|
|
|
3.000 |
|
|
09/01/2034 |
|
680,558 |
| Rialto Unified School District GO Election of 2010 Series 2011 A (AGM) (AA/A1)(b) |
|
|
|
6,170,000 |
|
|
|
0.000 |
|
|
08/01/2036 |
|
2,953,949 |
| River Islands Public Financing Authority Community Facilities District No. 2003-1 Special Tax Refunding Bonds
Series 2015 A-1 (NR/NR) |
|
|
|
4,835,000 |
|
|
|
5.375 |
|
|
09/01/2031 |
|
5,180,848 |
|
|
|
880,000 |
|
|
|
5.250 |
|
|
09/01/2034 |
|
935,959 |
|
|
|
6,815,000 |
|
|
|
5.500 |
|
|
09/01/2045 |
|
7,307,588 |
| River Islands Public Financing Authority Special Tax for Community Facilities District No. 2003-1 Series 2015 B
(NR/NR) |
|
|
|
22,500,000 |
|
|
|
5.500 |
|
|
09/01/2045 |
|
24,126,300 |
| Riverside County Public Financing Authority Tax Allocation RB Refunding Series 2017 A (BAM)
(AA/NR) |
|
|
|
4,245,000 |
|
|
|
4.000 |
|
|
10/01/2040 |
|
4,377,317 |
| Riverside County Redevelopment Agency Tax Allocation for Capital Appreciation Jurupa Valley Redevelopment Project
Area Series 2011 B (A/NR)(b) |
|
|
|
2,220,000 |
|
|
|
0.000 |
|
|
10/01/2033 |
|
1,237,606 |
|
|
|
2,220,000 |
|
|
|
0.000 |
|
|
10/01/2035 |
|
1,121,344 |
|
|
|
1,840,000 |
|
|
|
0.000 |
|
|
10/01/2037 |
|
848,976 |
|
|
|
5,100,000 |
|
|
|
0.000 |
|
|
10/01/2038 |
|
2,251,446 |
|
|
|
8,425,000 |
|
|
|
0.000 |
|
|
10/01/2039 |
|
3,549,874 |
|
|
|
13,395,000 |
|
|
|
0.000 |
|
|
10/01/2040 |
|
5,407,160 |
|
|
|
7,275,000 |
|
|
|
0.000 |
|
|
10/01/2041 |
|
2,812,951 |
|
|
|
6,360,000 |
|
|
|
0.000 |
|
|
10/01/2042 |
|
2,355,044 |
| Riverside County Redevelopment Agency Tax Allocation for Jurupa Valley Redevelopment Project Area Series 2011 B
(A/NR) |
|
|
|
1,225,000 |
|
|
|
6.500 |
|
|
10/01/2025 |
|
1,393,144 |
|
|
|
1,950,000 |
|
|
|
6.750 |
|
|
10/01/2030 |
|
2,235,519 |
| Riverside County Redevelopment Successor Agency Tax Allocation Refunding for Mid-County Redevelopment Project
Area Series 2017 C (BAM) (AA/NR) |
|
|
|
3,355,000 |
|
|
|
4.000 |
|
|
10/01/2040 |
|
3,480,980 |
| Riverside County Redevelopment Successor Agency Tax Allocation Refunding Series 2017 A (BAM)
(AA/NR) |
|
|
|
8,585,000 |
|
|
|
4.000 |
|
|
10/01/2039 |
|
8,955,700 |
| Riverside County Transportation Commission Toll Revenue Senior Lien Bonds Series 2013 A
(BBB-/NR) |
|
|
|
2,000,000 |
|
|
|
5.750 |
|
|
06/01/2048 |
|
2,210,860 |
| Roseville California Community Facilities District No. 1 Special Tax Refunding for Fiddyment Ranch Project Series
2017 (NR/NR) |
|
|
|
770,000 |
|
|
|
5.000 |
|
|
09/01/2029 |
|
876,645 |
|
|
|
1,865,000 |
|
|
|
5.000 |
|
|
09/01/2033 |
|
2,077,908 |
| Sacramento County Sanitation District Financing Authority RB Refunding for Sacramento County Regional Series 2007
B (NATL-RE) (AA/Aa3)(c) |
| (3 Mo. LIBOR + 0.53%), |
|
|
|
6,375,000 |
|
|
|
2.071 |
|
|
12/01/2035 |
|
6,168,833 |
| Sacramento County Water Financing Authority RB for Water Agency Zones 40 & 41 2007 Water System Project
Series 2007 B (NATL-RE)
(A+/Aa3)(c) |
| (3 Mo. LIBOR + 0.55%), |
|
|
|
3,920,000 |
|
|
|
2.091 |
|
|
06/01/2034 |
|
3,763,239 |
| |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| California – (continued) |
| San Bernardino City Unified School District GO Bonds Capital Appreciation for Election of 1999 Series 2003 C
(NATL-RE) (A+/A2)(b) |
| $ |
|
|
1,420,000 |
|
|
|
0.000 |
% |
|
08/01/2025 |
|
$ 1,147,758 |
| San Diego Unified School District GO Bonds for Election of 2012 Series 2013 C (AA-/Aa2) |
|
|
|
10,000,000 |
|
|
|
4.27000 |
|
|
07/01/2042 |
|
10,375,900 |
| San Diego Unified School District GO Refunding Bonds Series 2012 R-1 (AA-/Aa2)(b) |
|
|
|
10,000,000 |
|
|
|
0.000 |
|
|
07/01/2030 |
|
6,793,000 |
|
|
|
3,000,000 |
|
|
|
0.000 |
|
|
07/01/2031 |
|
1,945,710 |
| San Francisco City & County Airport Commission RB Refunding for San Francisco International Airport Second
Series 2018 D (AMT) (A+/A1) |
|
|
|
17,250,000 |
|
|
|
5.000 |
|
|
05/01/2048 |
|
19,677,938 |
| San Francisco City & County Redevelopment Financing Authority Tax Allocation for Mission Bay North
Redevelopment Series 2011 C
(A-/NR)(d) |
|
|
|
500,000 |
|
|
|
6.750 |
|
|
02/01/2021 |
|
565,170 |
| San Francisco City & County Redevelopment Financing Authority Tax Allocation for Mission Bay South
Redevelopment Series 2009 D (BBB+/NR)(d) |
|
|
|
750,000 |
|
|
|
6.250 |
|
|
08/01/2019 |
|
789,015 |
|
|
|
555,000 |
|
|
|
6.375 |
|
|
08/01/2019 |
|
584,609 |
|
|
|
305,000 |
|
|
|
6.500 |
|
|
08/01/2019 |
|
321,678 |
|
|
|
1,000,000 |
|
|
|
6.625 |
|
|
08/01/2019 |
|
1,056,020 |
| San Francisco City & County Redevelopment Financing Authority Tax Allocation for Mission Bay South
Redevelopment Series 2011 D (BBB+/NR)(d) |
|
|
|
435,000 |
|
|
|
6.625 |
|
|
02/01/2021 |
|
490,332 |
|
|
|
2,500,000 |
|
|
|
7.000 |
|
|
02/01/2021 |
|
2,841,600 |
| San Joaquin Hills Transportation Corridor Agency RB Refunding for Toll Road Senior Lien Series 2014 A
(BBB/NR) |
|
|
|
3,000,000 |
|
|
|
5.000 |
|
|
01/15/2029 |
|
3,349,770 |
| San Juan Unified School District GO Bonds for Capital Appreciation Series 2000 (NATL-RE) (A+/Aa2)(b) |
|
|
|
1,580,000 |
|
|
|
0.000 |
|
|
08/01/2024 |
|
1,365,104 |
|
|
|
1,595,000 |
|
|
|
0.000 |
|
|
08/01/2025 |
|
1,332,208 |
| San Mateo Special Tax Bonds for Community Facilities District No. 2008-1 Bay Meadows Series 2013
(NR/NR) |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
09/01/2042 |
|
2,127,100 |
| San Mateo Special Tax Bonds for Community Facilities District No. 2008-1 Bay Meadows Series 2014
(NR/NR) |
|
|
|
2,000,000 |
|
|
|
5.500 |
|
|
09/01/2044 |
|
2,175,360 |
| Santa Monica Redevelopment Agency Tax Allocation for Earthquake Recovery Redevelopment Project Series 2011
(AA/NR) |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
07/01/2032 |
|
2,167,480 |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
07/01/2042 |
|
2,159,620 |
| Santee Community Development Commission Tax Allocation for Santee Community Redevelopment Project Series 2011 A
(A/NR)(d) |
|
|
|
3,000,000 |
|
|
|
7.000 |
|
|
02/01/2021 |
|
3,405,810 |
| Silicon Valley Tobacco Securitization Authority Tobacco Settlement Asset Backed RB Series 2007 C (NR/NR)(b) |
|
|
|
88,700,000 |
|
|
|
0.000 |
|
|
06/01/2056 |
|
6,776,680 |
| Stockton Public Financing Authority Water RB for Delta Water Supply Project Series 2010 A
(A/A3) |
|
|
|
2,000,000 |
|
|
|
6.250 |
|
|
10/01/2040 |
|
2,362,080 |
| Tejon Ranch Public Facilities Financing Authority Special Tax for Community Facilities District No. 2008-1
Industrial Complex Public Improvements Series 2012 B (NR/NR) |
|
|
|
4,000,000 |
|
|
|
5.250 |
|
|
09/01/2042 |
|
4,193,160 |
| Temecula Redevelopment Agency Tax Allocation for Housing Redevelopment Project No. 1 Series 2011 A (BBB+/NR)(d) |
|
|
|
1,000,000 |
|
|
|
6.750 |
|
|
08/01/2021 |
|
1,150,140 |
|
|
|
2,100,000 |
|
|
|
7.000 |
|
|
08/01/2021 |
|
2,430,960 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| California – (continued) |
| Tobacco Securitization Authority Southern California Tobacco Settlement RB Senior Asset-Backed Bonds for San
Diego County Tobacco Asset Securitization Corp. Series 2006 A-1 (BB+/B2) |
| $ |
|
|
2,235,000 |
|
|
|
5.000 |
% |
|
06/01/2037 |
|
$ 2,240,588 |
| Tustin California Community Facilities District No. 2014-1 Tustin Legacy/Standard Pacific Special Tax Bonds
Series 2015 A (NR/NR) |
|
|
|
750,000 |
|
|
|
5.000 |
|
|
09/01/2040 |
|
824,168 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
09/01/2045 |
|
1,095,570 |
| Union City Community Redevelopment Agency Tax Allocation for Community Redevelopment Project Sub Lien Series 2011
(A+/NR)(d) |
|
|
|
1,500,000 |
|
|
|
6.875 |
|
|
12/01/2021 |
|
1,756,170 |
| University of California Regents Medical Center Pooled RB Refunding Series 2007 C-2 (NATL-RE) (AA-/Aa3)(c) |
| (3 Mo. LIBOR + 0.74%), |
|
|
|
12,000,000 |
|
|
|
2.309 |
|
|
05/15/2043 |
|
10,610,040 |
| West Hollywood Community Development Commission Tax Allocation for East Side Redevelopment Project Series 2011 A
(A-/NR) |
|
|
|
1,000,000 |
|
|
|
7.250 |
|
|
09/01/2031 |
|
1,165,360 |
|
|
|
5,000,000 |
|
|
|
7.500 |
|
|
09/01/2042 |
|
5,848,200 |
| William S. Hart Union High School District GO Bonds Capital Appreciation 2008 Election Series B (AGM) (AA/Aa2)(b) |
|
|
|
8,360,000 |
|
|
|
0.000 |
|
|
08/01/2034 |
|
4,666,134 |
| Yosemite Community College District GO Bonds Election of 2004 Series 2010 D (AA-/Aa2)(a) |
|
|
|
19,135,000 |
|
|
|
0.000 |
|
|
08/01/2042 |
|
13,498,786 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
801,041,372 |
| |
| Colorado – 4.1% |
| Amber Creek Metropolitan District GO Refunding & Improvement Bonds Series 2017 A (NR/NR) |
|
|
|
750,000 |
|
|
|
5.000 |
|
|
12/01/2037 |
|
749,970 |
|
|
|
1,065,000 |
|
|
|
5.125 |
|
|
12/01/2047 |
|
1,064,148 |
| Belleview Station Metropolitan District No. 2 GO Refunding & Improvement Bonds Series 2017
(NR/NR) |
|
|
|
2,375,000 |
|
|
|
5.125 |
|
|
12/01/2046 |
|
2,421,004 |
| Brighton Crossing Metropolitan District No. 4 Limited Tax GO Bonds Subordinate Series 2017 B
(NR/NR) |
|
|
|
670,000 |
|
|
|
7.000 |
|
|
12/15/2047 |
|
661,417 |
| Bromley Park Metropolitan District No. 2 GO Bonds Subordinate Series 2018 B (NR/NR) |
|
|
|
1,000,000 |
|
|
|
6.375 |
|
|
12/15/2047 |
|
1,001,750 |
| Canyons Metropolitan District No. 5 GO Refunding & Improvement Bonds Senior Series 2017 A
(NR/NR) |
|
|
|
1,750,000 |
|
|
|
6.000 |
|
|
12/01/2037 |
|
1,769,687 |
|
|
|
4,000,000 |
|
|
|
6.125 |
|
|
12/01/2047 |
|
4,045,960 |
| Canyons Metropolitan District No. 5 GO Refunding & Improvement Bonds Series 2017 A
(NR/NR) |
|
|
|
2,000,000 |
|
|
|
6.125 |
|
|
12/01/2047 |
|
2,001,640 |
| Centerra Metropolitan District No. 1 Special RB Refunding & Improvement Bonds Series 2017 (NR/NR)(e) |
|
|
|
6,500,000 |
|
|
|
5.000 |
|
|
12/01/2047 |
|
6,628,635 |
| Clear Creek Station Metropolitan District No. 2 GO Bonds Subordinate Series 2017 B (NR/NR) |
|
|
|
500,000 |
|
|
|
7.375 |
|
|
12/15/2047 |
|
503,465 |
| Clear Creek Station Metropolitan District No. 2 GO Refunding & Improvement Bonds Series 2017 A
(NR/NR) |
|
|
|
790,000 |
|
|
|
4.375 |
|
|
12/01/2032 |
|
798,698 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
12/01/2047 |
|
1,014,800 |
| Colorado Crossing Metropolitan District No. 2 Limited Property Tax Supported RB Series 2017
(NR/NR) |
|
|
|
7,390,000 |
|
|
|
7.500 |
|
|
12/01/2047 |
|
7,411,283 |
| |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Colorado – (continued) |
| Colorado Health Facilities Authority RB for Covenant Retirement Communities, Inc. Series 2012 A
(BBB+/NR) |
| $ |
|
|
3,500,000 |
|
|
|
4.500 |
% |
|
12/01/2033 |
|
$ 3,543,820 |
|
|
|
3,500,000 |
|
|
|
5.000 |
|
|
12/01/2033 |
|
3,745,280 |
| Colorado Health Facilities Authority RB for Covenant Retirement Communities, Inc. Series 2013 A
(BBB+/NR) |
|
|
|
3,000,000 |
|
|
|
5.750 |
|
|
12/01/2036 |
|
3,413,970 |
| Colorado Health Facilities Authority RB for The Evangelical Lutheran Good Samaritan Society Project Series 2013
(BBB/Baa2) |
|
|
|
3,000,000 |
|
|
|
5.625 |
|
|
06/01/2043 |
|
3,309,450 |
| Colorado Health Facilities Authority RB Refunding for Evangelical Lutheran Good Samaritan Society Project Series
2017 (BBB/NR) |
|
|
|
4,410,000 |
|
|
|
5.000 |
|
|
06/01/2047 |
|
4,834,683 |
| Colorado High Performance Transportation Enterprise C-470 Express Lanes RB Series 2017
(BBB/NR) |
|
|
|
965,000 |
|
|
|
5.000 |
|
|
12/31/2047 |
|
1,046,108 |
|
|
|
965,000 |
|
|
|
5.000 |
|
|
12/31/2051 |
|
1,043,194 |
|
|
|
1,925,000 |
|
|
|
5.000 |
|
|
12/31/2056 |
|
2,077,518 |
| Colorado Regional Transportation District Tax-Exempt Private Activity RB for Denver Transit Partners Eagle P3
Project Series 2010 (BBB+/Baa3) |
|
|
|
12,860,000 |
|
|
|
6.000 |
|
|
01/15/2041 |
|
13,488,082 |
| Colorado Springs Urban Renewal Authority RB for Canyon Creek Project Series 2018 A (NR/NR) |
|
|
|
3,000,000 |
|
|
|
5.750 |
|
|
12/01/2047 |
|
3,003,780 |
| Copperleaf Metropolitan District No. 2 Limited Tax Convertible to Unlimited Tax GO Refunding Series 2015
(NR/NR) |
|
|
|
500,000 |
|
|
|
5.250 |
|
|
12/01/2030 |
|
524,910 |
|
|
|
2,000,000 |
|
|
|
5.750 |
|
|
12/01/2045 |
|
2,099,220 |
| Copperleaf Metropolitan District No. 3 GO Bonds Series 2017 A (NR/NR) |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
12/01/2037 |
|
494,470 |
|
|
|
700,000 |
|
|
|
5.125 |
|
|
12/01/2047 |
|
691,061 |
| Copperleaf Metropolitan District No. 3 GO Bonds Subordinate Series 2017 B (NR/NR) |
|
|
|
506,000 |
|
|
|
7.625 |
|
|
12/15/2047 |
|
500,115 |
| Cornerstar Metropolitan District GO Refunding Bonds Series 2017 A (NR/NR) |
|
|
|
1,000,000 |
|
|
|
5.125 |
|
|
12/01/2037 |
|
1,037,060 |
|
|
|
2,100,000 |
|
|
|
5.250 |
|
|
12/01/2047 |
|
2,174,151 |
| Cross Creek Metropolitan District No. 2 GO Refunding Bonds Limited Tax Series 2006 (NR/NR)(g) |
|
|
|
4,500,000 |
|
|
|
6.125 |
|
|
12/01/2037 |
|
4,461,885 |
| Denver Colorado City & County Special Facilities Airport RB Refunding for United Air Lines, Inc. Project
Series 2017 (AMT) (BB/NR) |
|
|
|
11,310,000 |
|
|
|
5.000 |
|
|
10/01/2032 |
|
12,160,738 |
| Denver Colorado Health and Hospital Authority Healthcare RB Refunding Series 2017 A (BBB/NR)(e) |
|
|
|
2,655,000 |
|
|
|
5.000 |
|
|
12/01/2026 |
|
2,967,520 |
|
|
|
5,285,000 |
|
|
|
5.000 |
|
|
12/01/2027 |
|
5,929,347 |
|
|
|
5,555,000 |
|
|
|
5.000 |
|
|
12/01/2028 |
|
6,246,487 |
|
|
|
7,200,000 |
|
|
|
5.000 |
|
|
12/01/2034 |
|
7,943,976 |
|
|
|
4,800,000 |
|
|
|
4.000 |
|
|
12/01/2035 |
|
4,630,320 |
|
|
|
4,800,000 |
|
|
|
4.000 |
|
|
12/01/2036 |
|
4,594,368 |
| Denver Colorado Health and Hospital Authority Healthcare RB Series 2007 B (BBB/NR)(c) |
| (3 Mo. LIBOR + 1.10%), |
|
|
|
16,520,000 |
|
|
|
2.641 |
|
|
12/01/2033 |
|
15,441,079 |
| Denver Connection West Metropolitan District GO Bonds Series 2017 A (NR/NR) |
|
|
|
2,470,000 |
|
|
|
5.375 |
|
|
08/01/2047 |
|
2,478,102 |
| Denver Connection West Metropolitan District GO Bonds Subordinate Series 2017 B (NR/NR) |
|
|
|
1,269,000 |
|
|
|
8.000 |
|
|
08/01/2047 |
|
1,268,036 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Colorado – (continued) |
| Denver Gateway Center Metropolitan District Limited Tax GO Bonds Series 2018 A (NR/NR)(h) |
| $ |
|
|
1,360,000 |
|
|
|
5.500 |
% |
|
12/01/2038 |
|
$ 1,355,131 |
|
|
|
2,130,000 |
|
|
|
5.625 |
|
|
12/01/2048 |
|
2,120,948 |
| E-470 Public Highway Authority RB Refunding Capital Appreciation Series 2006 B (NATL-RE) (A/A3)(b) |
|
|
|
3,000,000 |
|
|
|
0.000 |
|
|
09/01/2039 |
|
1,154,940 |
| E-470 Public Highway Authority RB Series 2004 A (NATL-RE) (A/A3)(b) |
|
|
|
15,000,000 |
|
|
|
0.000 |
|
|
09/01/2028 |
|
10,638,450 |
|
|
|
4,100,000 |
|
|
|
0.000 |
|
|
09/01/2034 |
|
2,242,044 |
| E-470 Public Highway Authority RB Series 2004 B (NATL-RE) (A/A3)(b) |
|
|
|
1,715,000 |
|
|
|
0.000 |
|
|
09/01/2028 |
|
1,037,112 |
| E-470 Public Highway Authority RB Series 2010 A (A/A3)(b) |
|
|
|
20,000,000 |
|
|
|
0.000 |
|
|
09/01/2040 |
|
8,497,400 |
| High Plains Metropolitan District GO Refunding Bonds Series 2017 (NATL-RE) (NR/Baa2) |
|
|
|
2,400,000 |
|
|
|
4.000 |
|
|
12/01/2047 |
|
2,413,032 |
| Lakes at Centerra Metropolitan District No. 2 GO Refunding & Improvement Bonds Series 2018 A
(NR/NR) |
|
|
|
1,695,000 |
|
|
|
5.125 |
|
|
12/01/2037 |
|
1,715,137 |
|
|
|
3,445,000 |
|
|
|
5.250 |
|
|
12/01/2047 |
|
3,482,171 |
| Leyden Rock Metropolitan District No. 10 Limited Tax GO Refunding & Improvement Bonds Series 2016 A
(NR/NR) |
|
|
|
1,250,000 |
|
|
|
5.000 |
|
|
12/01/2045 |
|
1,273,962 |
| North Holly Metropolitan District Limited Tax GO Bonds Series 2018 A (NR/NR)(h) |
|
|
|
1,260,000 |
|
|
|
5.500 |
|
|
12/01/2048 |
|
1,259,572 |
| North Range Metropolitan District No. 2 GO Refunding Bonds Series 2017 A (NR/NR) |
|
|
|
3,270,000 |
|
|
|
5.625 |
|
|
12/01/2037 |
|
3,298,384 |
|
|
|
5,380,000 |
|
|
|
5.750 |
|
|
12/01/2047 |
|
5,428,097 |
| Palisade Metropolitan District No. 2 GO Refunding Limited Tax Bonds Series 2016 (NR/NR) |
|
|
|
2,135,000 |
|
|
|
4.375 |
|
|
12/01/2031 |
|
2,085,148 |
|
|
|
1,825,000 |
|
|
|
5.000 |
|
|
12/01/2046 |
|
1,842,848 |
| Plaza Metropolitan District No. 1 RB Refunding Series 2013 (NR/NR)(e) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
12/01/2040 |
|
1,033,090 |
| Prairie Center Metropolitan District No. 3 Limited Property Tax Supported RB Refunding Series 2017 A (NR/NR)(e) |
|
|
|
3,000,000 |
|
|
|
5.000 |
|
|
12/15/2041 |
|
3,074,700 |
| Public Authority Colorado Energy RB for Natural Gas Purchase Series 2008 (A-/A3) |
|
|
|
4,000,000 |
|
|
|
6.500 |
|
|
11/15/2038 |
|
5,563,760 |
| Serenity Ridge Metropolitan District No. 2 GO Refunding & Improvement Bonds Series 2018 A
(NR/NR) |
|
|
|
550,000 |
|
|
|
5.125 |
|
|
12/01/2037 |
|
566,451 |
|
|
|
1,000,000 |
|
|
|
5.125 |
|
|
12/01/2043 |
|
1,023,620 |
| Serenity Ridge Metropolitan District No. 2 Subordinated GO Limited Tax Bonds Series 2018 B
(NR/NR) |
|
|
|
635,000 |
|
|
|
7.250 |
|
|
12/15/2035 |
|
636,562 |
| Sierra Ridge Metropolitan District No. 2 Douglas County GO Bonds Series 2016 A (NR/NR) |
|
|
|
750,000 |
|
|
|
4.500 |
|
|
12/01/2031 |
|
737,370 |
|
|
|
1,500,000 |
|
|
|
5.500 |
|
|
12/01/2046 |
|
1,537,335 |
| St. Vrain Lakes Metropolitan District No. 2 Limited Tax GO Bonds Series 2017 A (NR/NR) |
|
|
|
2,550,000 |
|
|
|
5.125 |
|
|
12/01/2047 |
|
2,561,577 |
| Sterling Hills West Metropolitan District GO Refunding Bonds Series 2017 (NR/Baa2) |
|
|
|
650,000 |
|
|
|
5.000 |
|
|
12/01/2039 |
|
707,453 |
| |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Colorado – (continued) |
| Sterling Ranch Community Authority Board Limited Tax Special Senior RB Series 2017 A (MUN GOVT GTD)
(NR/NR) |
| $ |
|
|
3,250,000 |
|
|
|
5.000 |
% |
|
12/01/2038 |
|
$ 3,312,270 |
|
|
|
5,750,000 |
|
|
|
5.000 |
|
|
12/01/2047 |
|
5,825,210 |
| Stone Creek Metropolitan District Limited Tax GO Bonds Series 2018 A (NR/NR) |
|
|
|
2,000,000 |
|
|
|
5.625 |
|
|
12/01/2047 |
|
2,011,200 |
| Timnath Ranch Metropolitan District No. 4 Limited Tax GO Refunding Improvement Bonds Series 2018 A
(NR/NR) |
|
|
|
880,000 |
|
|
|
5.250 |
|
|
12/01/2037 |
|
884,118 |
|
|
|
2,400,000 |
|
|
|
5.375 |
|
|
12/01/2047 |
|
2,411,976 |
| Vista Ridge Metropolitan District GO Refunding Bonds Limited Tax Subseries 2006 B (NR/NR)(d)(g) |
|
|
|
1,725,000 |
|
|
|
9.500 |
|
|
12/01/2021 |
|
2,177,123 |
| Westown Metropolitan District GO Bonds Series 2017 A (NR/NR) |
|
|
|
880,000 |
|
|
|
5.000 |
|
|
12/01/2047 |
|
871,922 |
| Whispering Pines Metropolitan District No. 1 GO Bonds Subordinated Series 2017 B (NR/NR) |
|
|
|
1,490,000 |
|
|
|
7.375 |
|
|
12/15/2047 |
|
1,486,379 |
| Whispering Pines Metropolitan District No. 1 GO Refunding & Improvement Bonds Series 2017 A
(NR/NR) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
12/01/2037 |
|
1,012,930 |
|
|
|
2,500,000 |
|
|
|
5.000 |
|
|
12/01/2047 |
|
2,516,825 |
| Wildwing Metropolitan District No. 5 GO Refunding & Improvement Bond Series 2018 A
(NR/NR) |
|
|
|
3,470,000 |
|
|
|
5.375 |
|
|
12/01/2048 |
|
3,477,981 |
| Windshire Park Metropolitan District No. 2 GO Refunding & Improvement Bonds Senior Series 2017 A
(NR/NR) |
|
|
|
1,500,000 |
|
|
|
6.500 |
|
|
12/01/2047 |
|
1,630,725 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
240,126,140 |
| |
| Connecticut – 0.5% |
| Connecticut State GO Bonds Series 2018 C (A/A1) |
|
|
|
1,850,000 |
|
|
|
5.000 |
|
|
06/15/2028 |
|
2,109,814 |
| Mohegan Tribal Finance Authority Tribal RB Economic Development Bonds Series 2015 (B-/NR)(e) |
|
|
|
20,265,000 |
|
|
|
7.000 |
|
|
02/01/2045 |
|
20,836,270 |
| State of Connecticut GO Bonds Series 2018 (A/A1) |
|
|
|
4,860,000 |
|
|
|
5.000 |
|
|
06/15/2027 |
|
5,503,707 |
|
|
|
2,100,000 |
|
|
|
5.000 |
|
|
06/15/2029 |
|
2,379,699 |
|
|
|
450,000 |
|
|
|
5.000 |
|
|
06/15/2032 |
|
505,490 |
| Town of Hamden Refunding GO Series 2013 (AGM) (AA/A2) |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
08/15/2023 |
|
554,095 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,889,075 |
| |
| Delaware – 0.4% |
| Bridgeville Delaware Special Obligation Special Tax for Heritage Shores Special Development District Series 2005
A (NR/NR) |
|
|
|
5,112,000 |
|
|
|
5.450 |
|
|
07/01/2035 |
|
5,111,591 |
| Delaware Economic Development Authority Gas Facilities RB Refunding for Delmarva Power & Light Co. Project
Series 2010 (BBB+/Baa1) |
|
|
|
3,000,000 |
|
|
|
5.400 |
|
|
02/01/2031 |
|
3,183,180 |
| Delaware Economic Development Authority RB for ACTS Retirement-Life Communities, Inc. Obligated Group Series 2018
B (A-/NR) |
|
|
|
3,785,000 |
|
|
|
5.000 |
|
|
11/15/2048 |
|
4,217,588 |
| Delaware Economic Development Authority RB for Indian River Power LLC Project Series 2010
(NR/Baa3) |
|
|
|
2,050,000 |
|
|
|
5.375 |
|
|
10/01/2045 |
|
2,124,292 |
| Delaware Health Facilities Authority RB Refunding for Bayhealth Medical Center Obligated Group Series 2017 A
(AA-/NR) |
|
|
|
6,130,000 |
|
|
|
4.000 |
|
|
07/01/2043 |
|
6,232,003 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,868,654 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| District of Columbia – 1.3% |
| Metropolitan Washington DC Airports Authority Dulles Toll Road RB Second Senior Lien Capital Appreciation for
Dulles Metrorail and Capital Improvement Project Series 2010 B (BBB+/Baa1)(a) |
| $ |
|
|
37,100,000 |
|
|
|
0.000 |
% |
|
10/01/2044 |
|
$ 46,839,492 |
| Metropolitan Washington DC Airports Authority Dulles Toll Road RB Third Senior Lien Capital Appreciation for
Dulles Metrorail and Capital Improvement Project Series 2009 C (ASSURED GTY) (AA/A3) |
|
|
|
25,000,000 |
|
|
|
6.500 |
|
|
10/01/2041 |
|
31,640,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
78,479,492 |
| |
| Florida – 11.3% |
| Amelia National Community Development District Special Assessment for Capital Improvement Series 2004 A
(NR/NR) |
|
|
|
3,530,000 |
|
|
|
6.300 |
|
|
05/01/2035 |
|
3,532,647 |
| Anthem Park Community Development District Special Assessment RB Refunding Senior Series 2016 A-1
(BBB/NR) |
|
|
|
1,725,000 |
|
|
|
3.500 |
|
|
05/01/2031 |
|
1,696,882 |
| Arborwood Community Development District RB Capital Improvement Refunding Senior Lien Series 2018 A-1 (AGM)
(AA/NR) |
|
|
|
4,000,000 |
|
|
|
3.500 |
|
|
05/01/2032 |
|
3,909,640 |
|
|
|
6,755,000 |
|
|
|
3.700 |
|
|
05/01/2036 |
|
6,599,297 |
| Arborwood Community Development District RB Capital Improvement Refunding Subordinate Lien Series 2018 A-2
(NR/NR) |
|
|
|
755,000 |
|
|
|
4.625 |
|
|
05/01/2028 |
|
754,660 |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
05/01/2036 |
|
2,002,940 |
| Arborwood Community Development District Special Assessment Capital Improvement Refunding Series 2014 B
(NR/NR) |
|
|
|
7,785,000 |
|
|
|
6.900 |
|
|
05/01/2025 |
|
8,808,727 |
| Arborwood Community Development District Special Assessment Capital Improvement Refunding Series 2014 B A-1
(NR/NR) |
|
|
|
3,860,000 |
|
|
|
6.900 |
|
|
05/01/2036 |
|
4,302,742 |
| Arborwood Community Development District Special Assessment Capital Improvement Refunding Series 2014 B A-2
(NR/NR) |
|
|
|
990,000 |
|
|
|
6.900 |
|
|
05/01/2036 |
|
1,091,871 |
| Avalon Groves Community Development District Special Assessment for Assessment Area One Project Series 2017
(NR/NR) |
|
|
|
750,000 |
|
|
|
5.750 |
|
|
05/01/2048 |
|
764,947 |
| Avalon Groves Community Development District Special Assessment for Assessment Area Two Project Series 2017 A-1
(NR/NR) |
|
|
|
1,850,000 |
|
|
|
6.000 |
|
|
05/01/2048 |
|
1,861,340 |
| Avalon Groves Community Development District Special Assessment for Assessment Area Two Project Series 2017 A-2
(NR/NR) |
|
|
|
1,435,000 |
|
|
|
6.000 |
|
|
05/01/2029 |
|
1,429,217 |
| Avelar Creek Community Development District Special Assessment Refunding Series 2016
(BBB+/NR) |
|
|
|
1,070,000 |
|
|
|
3.625 |
|
|
05/01/2031 |
|
1,087,120 |
| Babcock Ranch Community Independent Special District Special Assessment RB Series 2015
(NR/NR) |
|
|
|
2,375,000 |
|
|
|
5.250 |
|
|
11/01/2046 |
|
2,407,965 |
| Bannon Lakes Community Development District Special Assessment RB Series 2016 (NR/NR) |
|
|
|
375,000 |
|
|
|
4.500 |
|
|
11/01/2025 |
|
389,085 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
11/01/2036 |
|
1,069,880 |
|
|
|
1,100,000 |
|
|
|
5.000 |
|
|
11/01/2048 |
|
1,166,715 |
| Bartram Park Community Development District Special Assessment RB Refunding for City of Jacksonville Florida
Senior Lien Series 2015 A-1 (BBB+/NR) |
|
|
|
1,970,000 |
|
|
|
4.250 |
|
|
05/01/2029 |
|
2,076,104 |
| Bartram Park Community Development District Special Assessment RB Refunding for City of Jacksonville Subordinate
Lien Series 2015 A-2 (NR/NR) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
05/01/2035 |
|
1,043,000 |
| |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Florida – (continued) |
| Bay Laurel Center Community Development District Special Assessment RB Refunding Series 2016 Candler
(BBB+/NR) |
| $ |
|
|
985,000 |
|
|
|
3.750 |
% |
|
05/01/2031 |
|
$ 1,013,338 |
|
|
|
1,130,000 |
|
|
|
4.000 |
|
|
05/01/2037 |
|
1,131,616 |
| Baywinds Community Development District Senior Special Assessment Refunding Bonds Series 2017 A-1
(BBB-/NR) |
|
|
|
1,610,000 |
|
|
|
4.250 |
|
|
05/01/2031 |
|
1,676,106 |
|
|
|
2,810,000 |
|
|
|
4.250 |
|
|
05/01/2037 |
|
2,901,831 |
| Bellagio Community Development District Special Assessment Bonds Series 2013 (BBB-/NR) |
|
|
|
710,000 |
|
|
|
6.000 |
|
|
11/01/2027 |
|
789,492 |
|
|
|
490,000 |
|
|
|
3.750 |
|
|
11/01/2031 |
|
485,414 |
|
|
|
3,000,000 |
|
|
|
6.500 |
|
|
11/01/2043 |
|
3,598,260 |
|
|
|
1,500,000 |
|
|
|
4.125 |
|
|
11/01/2046 |
|
1,488,765 |
| Belmont Community Development District Capital Improvement Phase 1 Project Series 2013 A
(NR/NR) |
|
|
|
775,000 |
|
|
|
6.125 |
|
|
11/01/2033 |
|
885,538 |
|
|
|
1,000,000 |
|
|
|
6.500 |
|
|
11/01/2043 |
|
1,149,880 |
| Bexley Community Development District Special Assessment Bonds Series 2016 (NR/NR) |
|
|
|
315,000 |
|
|
|
3.500 |
|
|
05/01/2021 |
|
315,907 |
|
|
|
500,000 |
|
|
|
4.100 |
|
|
05/01/2026 |
|
504,185 |
|
|
|
1,755,000 |
|
|
|
4.700 |
|
|
05/01/2036 |
|
1,788,608 |
|
|
|
3,200,000 |
|
|
|
4.875 |
|
|
05/01/2047 |
|
3,265,568 |
| Brevard County Health Facilities Authority RB for Health First, Inc. Project Series 2009 (A/A2)(d) |
|
|
|
4,750,000 |
|
|
|
7.000 |
|
|
04/01/2019 |
|
4,940,000 |
| Bridgewater Community Development District Special Assessment Refunding Bonds for Assessment Area Two Series 2015
(NR/NR) |
|
|
|
7,575,000 |
|
|
|
5.750 |
|
|
05/01/2035 |
|
8,151,457 |
| Brookstone Community Development District Special Assessment RB Series 2018 (NR/NR)(e) |
|
|
|
600,000 |
|
|
|
3.875 |
|
|
11/01/2023 |
|
600,648 |
|
|
|
755,000 |
|
|
|
4.625 |
|
|
11/01/2028 |
|
758,896 |
|
|
|
1,500,000 |
|
|
|
5.125 |
|
|
11/01/2038 |
|
1,520,460 |
|
|
|
2,600,000 |
|
|
|
5.250 |
|
|
11/01/2048 |
|
2,637,960 |
| Carlton Lakes Community Development District Special Assessment RB Series 2018 (NR/NR) |
|
|
|
355,000 |
|
|
|
4.000 |
|
|
05/01/2024 |
|
354,986 |
|
|
|
440,000 |
|
|
|
4.750 |
|
|
05/01/2029 |
|
439,234 |
|
|
|
500,000 |
|
|
|
5.125 |
|
|
05/01/2038 |
|
501,110 |
|
|
|
1,000,000 |
|
|
|
5.250 |
|
|
05/01/2049 |
|
1,002,970 |
| Centre Lake Community Development District Special Assessment Series 2016 (NR/NR) |
|
|
|
375,000 |
|
|
|
4.125 |
|
|
12/15/2027 |
|
369,941 |
|
|
|
500,000 |
|
|
|
4.500 |
|
|
12/15/2032 |
|
506,145 |
|
|
|
975,000 |
|
|
|
4.700 |
|
|
12/15/2037 |
|
989,762 |
| Century Parc Community Development District Special Assessment Refunding Series 2012 (A-/NR) |
|
|
|
200,000 |
|
|
|
3.500 |
|
|
11/01/2020 |
|
208,040 |
|
|
|
210,000 |
|
|
|
3.750 |
|
|
11/01/2021 |
|
221,352 |
|
|
|
215,000 |
|
|
|
3.875 |
|
|
11/01/2022 |
|
226,365 |
|
|
|
25,000 |
|
|
|
4.000 |
|
|
11/01/2023 |
|
26,426 |
|
|
|
1,705,000 |
|
|
|
4.500 |
|
|
11/01/2031 |
|
1,798,673 |
| Charlotte County Industrial Development Authority Utility System RB for Town & Country Utilities Project
Series 2015 (AMT) (NR/NR)(e) |
|
|
|
500,000 |
|
|
|
5.500 |
|
|
10/01/2036 |
|
488,145 |
| City of Cape Coral Water & Sewer RB Refunding Series 2015 (A+/A1) |
|
|
|
1,750,000 |
|
|
|
4.000 |
|
|
10/01/2034 |
|
1,810,025 |
| City of Jacksonville RB for Jacksonville University Project Series 2018 B (NR/NR)(e) |
|
|
|
3,000,000 |
|
|
|
5.000 |
|
|
06/01/2053 |
|
3,126,060 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Florida – (continued) |
| CityPlace Community Development District Special Assessment RB Refunding Series 2012 (A/NR) |
| $ |
|
|
2,250,000 |
|
|
|
5.000 |
% |
|
05/01/2026 |
|
$ 2,502,967 |
| Concord Station Community Development District Capital Improvement RB Refunding Senior Lien Series 2016 A-1
(BBB/NR) |
|
|
|
2,990,000 |
|
|
|
3.500 |
|
|
05/01/2032 |
|
2,922,456 |
|
|
|
1,500,000 |
|
|
|
3.625 |
|
|
05/01/2035 |
|
1,463,880 |
|
|
|
1,750,000 |
|
|
|
3.750 |
|
|
05/01/2046 |
|
1,691,165 |
| Concorde Estates Community Development District Capital Improvement Series 2017 B (NR/NR) |
|
|
|
2,943,614 |
|
|
|
5.000 |
|
|
11/01/2027 |
|
2,620,023 |
| Concorde Estates Community Development District Special Assessment for Capital Improvement Series 2004 A (NR/NR)(i) |
|
|
|
3,305,000 |
|
|
|
5.850 |
|
|
05/01/2035 |
|
33 |
| Concorde Estates Community Development District Special Assessment for Capital Improvement Series 2004 B (NR/NR)(i) |
|
|
|
3,980,000 |
|
|
|
5.000 |
|
|
05/01/2011 |
|
40 |
| Concorde Estates Community Development District Special Assessment for Capital Improvement Series 2011 A-1
(NR/NR) |
|
|
|
3,450,000 |
|
|
|
5.850 |
|
|
05/01/2035 |
|
3,454,657 |
| Concorde Estates Community Development District Special Assessment for Capital Improvement Series 2011 A-2
(NR/NR) |
|
|
|
2,215,000 |
|
|
|
5.850 |
|
|
05/01/2035 |
|
1,974,207 |
| Concorde Estates Community Development District Special Assessment for Capital Improvement Series 2011 B (NR/NR)(b)(i) |
|
|
|
2,939,931 |
|
|
|
0.000 |
|
|
05/01/2017 |
|
1,558,163 |
| Corkscrew Farms Community Development District Special Assessment for Assessment Area Two Project Series 2017
(NR/NR)(e) |
|
|
|
1,900,000 |
|
|
|
5.000 |
|
|
11/01/2038 |
|
1,897,150 |
|
|
|
4,300,000 |
|
|
|
5.125 |
|
|
11/01/2050 |
|
4,301,849 |
| Coronado Community Development District Special Assessment Refunding & Improvement Bonds Series 2017
(BBB/NR) |
|
|
|
782,000 |
|
|
|
4.000 |
|
|
05/01/2031 |
|
802,465 |
|
|
|
1,407,000 |
|
|
|
4.250 |
|
|
05/01/2038 |
|
1,449,787 |
| Country Walk Community Development District Special Assessment RB Refunding Senior Lien Series 2015 A-1
(A-/NR) |
|
|
|
960,000 |
|
|
|
3.750 |
|
|
05/01/2029 |
|
967,450 |
| County of Broward Airport System RB Series 2017 (AMT) (A+/A1) |
|
|
|
4,250,000 |
|
|
|
5.000 |
|
|
10/01/2047 |
|
4,774,577 |
| Davenport Road South Community Development District Special Assessment Bonds Series 2018 (NR/NR)(e) |
|
|
|
1,980,000 |
|
|
|
5.000 |
|
|
11/01/2038 |
|
1,969,863 |
|
|
|
3,170,000 |
|
|
|
5.125 |
|
|
11/01/2048 |
|
3,167,337 |
| Durbin Crossing Community Development District Special Assessment Refunding Senior Series 2017 A-1 (AGM)
(AA/NR) |
|
|
|
3,110,000 |
|
|
|
3.750 |
|
|
05/01/2034 |
|
3,087,857 |
|
|
|
4,300,000 |
|
|
|
4.000 |
|
|
05/01/2037 |
|
4,344,505 |
| Escambia County Health Facilities Authority Health Care Facilities RB for Baptist Hospital, Inc. Project Series
2010 A (A-/A3) |
|
|
|
27,000,000 |
|
|
|
6.000 |
|
|
08/15/2036 |
|
29,016,630 |
| Estancia at Wiregrass Community Development District Capital Improvement RB Series 2013
(NR/NR) |
|
|
|
1,095,000 |
|
|
|
6.375 |
|
|
11/01/2026 |
|
1,223,126 |
|
|
|
3,245,000 |
|
|
|
7.000 |
|
|
11/01/2045 |
|
3,890,625 |
| Estancia at Wiregrass Community Development District Capital Improvement RB Series 2015
(NR/NR) |
|
|
|
1,000,000 |
|
|
|
5.250 |
|
|
11/01/2035 |
|
1,043,040 |
|
|
|
1,500,000 |
|
|
|
5.375 |
|
|
11/01/2046 |
|
1,567,260 |
| Fishhawk Community Development District II Special Assessment RB Refunding Series 2013 A
(A-/NR) |
|
|
|
1,480,000 |
|
|
|
4.375 |
|
|
05/01/2034 |
|
1,515,831 |
| |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Florida – (continued) |
| Florida Development Finance Corp. Solid Waste Disposal RB for Waste Pro USA, Inc. Project Series 2017 (AMT)
(NR/NR)(e)(f)(g) |
| $ |
|
|
1,850,000 |
|
|
|
5.000 |
% |
|
08/01/2022 |
|
$ 1,921,743 |
| Florida Development Finance Corp. Surface Transportation Facility RB for Brightline Passenger Rail Project Series
2017 (AMT) (BB-/NR)(e)(f)(g) |
|
|
|
18,800,000 |
|
|
|
5.625 |
|
|
01/01/2028 |
|
19,349,336 |
| Florida Higher Educational Facilities Financial Authority RB for Jacksonville University Project Series 2018 A-1
(NR/NR)(e) |
|
|
|
1,750,000 |
|
|
|
4.750 |
|
|
06/01/2038 |
|
1,808,660 |
|
|
|
3,000,000 |
|
|
|
5.000 |
|
|
06/01/2048 |
|
3,148,110 |
| Florida Higher Educational Facilities Financing Authority RB Refunding for Nova Southeastern University Project
Series 2012 A (A-/NR) |
|
|
|
600,000 |
|
|
|
5.000 |
|
|
04/01/2032 |
|
649,698 |
|
|
|
5,820,000 |
|
|
|
5.250 |
|
|
04/01/2042 |
|
6,351,424 |
| Flow Way Community Development District Special Assessment Bonds for Phase 6 Project Series 2017
(NR/NR) |
|
|
|
725,000 |
|
|
|
5.000 |
|
|
11/01/2047 |
|
763,831 |
| Fontainbleau Lakes Community Development District Special Assessment RB Refunding Series 2016
(BBB+/NR) |
|
|
|
700,000 |
|
|
|
4.000 |
|
|
05/01/2031 |
|
717,003 |
|
|
|
1,000,000 |
|
|
|
4.125 |
|
|
05/01/2038 |
|
1,010,970 |
| Greater Orlando Aviation Authority Airport Facilities RB Refunding for Jetblue Airways Corp. Project Series 2013
(AMT) (NR/NR) |
|
|
|
3,165,000 |
|
|
|
5.000 |
|
|
11/15/2026 |
|
3,390,253 |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
11/15/2036 |
|
5,275,450 |
| Hacienda Lakes Community Development District Special Assessment Refunding Series 2016
(NR/NR) |
|
|
|
1,525,000 |
|
|
|
4.500 |
|
|
05/01/2036 |
|
1,527,547 |
|
|
|
2,305,000 |
|
|
|
4.625 |
|
|
05/01/2046 |
|
2,311,869 |
| Hawks Point Community Development District Special Assessment Refunding Senior Series 2017 A-1 (BBB+/NR)(e) |
|
|
|
1,725,000 |
|
|
|
4.000 |
|
|
05/01/2031 |
|
1,794,345 |
|
|
|
1,335,000 |
|
|
|
4.250 |
|
|
05/01/2035 |
|
1,385,370 |
|
|
|
1,810,000 |
|
|
|
4.250 |
|
|
05/01/2039 |
|
1,868,336 |
| Heritage Harbour North Community Development District Special Assessment Series 2014 (NR/NR) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
05/01/2034 |
|
1,077,510 |
|
|
|
2,170,000 |
|
|
|
5.125 |
|
|
05/01/2045 |
|
2,388,801 |
| Heritage Harbour South Community Development District RB Refunding for Senior Lien Capital Improvement Series
2013 A-1 (A/NR) |
|
|
|
500,000 |
|
|
|
5.050 |
|
|
05/01/2031 |
|
540,125 |
|
|
|
500,000 |
|
|
|
5.150 |
|
|
05/01/2034 |
|
538,630 |
| Heritage Isle at Viera Community Development District Special Assessment Refunding Series 2017 (AGM)
(AA/NR) |
|
|
|
1,540,000 |
|
|
|
3.400 |
|
|
05/01/2037 |
|
1,449,710 |
| Heritage Lake Park Community Development District Special Assessment Series 2005 (NR/NR) |
|
|
|
2,050,000 |
|
|
|
5.700 |
|
|
05/01/2036 |
|
2,061,357 |
| Heritage Landing Community Development District Special Assessment Refunding Bonds Series 2015
(BBB/NR) |
|
|
|
2,205,000 |
|
|
|
4.200 |
|
|
05/01/2031 |
|
2,314,346 |
|
|
|
2,000,000 |
|
|
|
4.350 |
|
|
05/01/2036 |
|
2,066,740 |
| Highlands Community Development District Special Assessment Refunding Series 2016 (BBB-/NR) |
|
|
|
1,000,000 |
|
|
|
4.250 |
|
|
05/01/2031 |
|
1,056,540 |
|
|
|
2,150,000 |
|
|
|
4.250 |
|
|
05/01/2036 |
|
2,219,294 |
| Hillcrest Community Development District Special Assessment Bonds for Capital Improvement Program Series 2018
(NR/NR) |
|
|
|
2,295,000 |
|
|
|
5.000 |
|
|
11/01/2048 |
|
2,390,357 |
| Islands at Doral III Community Development District Special Assessment Refunding Series 2013
(A-/NR) |
|
|
|
2,500,000 |
|
|
|
4.125 |
|
|
05/01/2035 |
|
2,540,950 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Florida – (continued) |
| Isles Bartram Park Community Development District Special Assessment Bonds Series 2017
(NR/NR) |
| $ |
|
|
1,000,000 |
|
|
|
5.000 |
% |
|
11/01/2047 |
|
$ 1,023,140 |
| Lakewood Ranch Stewardship District Special Assessment RB for Country Club East Project Series 2013 A
(NR/NR) |
|
|
|
2,120,000 |
|
|
|
6.700 |
|
|
05/01/2033 |
|
2,308,701 |
|
|
|
4,765,000 |
|
|
|
7.000 |
|
|
05/01/2043 |
|
5,254,842 |
| Lakewood Ranch Stewardship District Special Assessment RB for Country Club East Project Series 2014
(NR/NR) |
|
|
|
6,320,000 |
|
|
|
5.600 |
|
|
05/01/2044 |
|
6,886,714 |
| Lakewood Ranch Stewardship District Special Assessment RB for Del Webb Project Series 2017 (NR/NR)(e) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
05/01/2037 |
|
1,044,930 |
|
|
|
2,375,000 |
|
|
|
5.125 |
|
|
05/01/2047 |
|
2,483,775 |
| Lakewood Ranch Stewardship District Special Assessment RB for Lakewood Centre & NW Sector Project Series 2011
(NR/NR) |
|
|
|
19,370,000 |
|
|
|
8.000 |
|
|
05/01/2040 |
|
22,231,336 |
| Lakewood Ranch Stewardship District Special Assessment RB for Lakewood National & Polo Run Projects Series
2017 (NR/NR) |
|
|
|
675,000 |
|
|
|
4.000 |
|
|
05/01/2022 |
|
679,090 |
|
|
|
1,125,000 |
|
|
|
4.625 |
|
|
05/01/2027 |
|
1,160,933 |
|
|
|
2,500,000 |
|
|
|
5.250 |
|
|
05/01/2037 |
|
2,653,900 |
|
|
|
5,820,000 |
|
|
|
5.375 |
|
|
05/01/2047 |
|
6,169,840 |
| Lakewood Ranch Stewardship District Special Assessment RB for Villages of Lakewood Ranch South Project Series
2016 (NR/NR) |
|
|
|
1,665,000 |
|
|
|
4.000 |
|
|
05/01/2021 |
|
1,685,763 |
|
|
|
1,335,000 |
|
|
|
4.250 |
|
|
05/01/2026 |
|
1,357,308 |
|
|
|
3,715,000 |
|
|
|
5.000 |
|
|
05/01/2036 |
|
3,871,030 |
|
|
|
14,585,000 |
|
|
|
5.125 |
|
|
05/01/2046 |
|
15,140,980 |
| Lee County IDA Health Care Facilities RB Refunding for Shell Point Project Series 2011 B
(BBB+/NR) |
|
|
|
2,600,000 |
|
|
|
6.500 |
|
|
11/15/2031 |
|
2,928,328 |
| Lee County Moody River Estates Community Development District Special Assessment Refunding Senior Series 2017 A-1
(BBB+/NR) |
|
|
|
1,435,000 |
|
|
|
4.000 |
|
|
05/01/2031 |
|
1,473,645 |
|
|
|
1,860,000 |
|
|
|
4.000 |
|
|
05/01/2036 |
|
1,894,596 |
| Longleaf Community Development District Special Assessment Refunding Series 2005 (NR/NR) |
|
|
|
4,000,000 |
|
|
|
5.400 |
|
|
05/01/2030 |
|
3,580,960 |
| Longleaf Community Development District Special Assessment Refunding Series 2006 (NR/NR) |
|
|
|
1,960,000 |
|
|
|
5.375 |
|
|
05/01/2030 |
|
1,961,744 |
| Marshall Creek Community Development District Special Assessment Refunding Series 2015 A
(NR/NR) |
|
|
|
1,940,000 |
|
|
|
5.000 |
|
|
05/01/2032 |
|
1,971,273 |
| Meadow Pointe IV Community Development District RB for Capital Improvement Series 2005 (NR/NR)(i) |
|
|
|
880,000 |
|
|
|
5.250 |
|
|
05/01/2015 |
|
44,000 |
| Meadow Pointe IV Community Development District RB for Capital Improvement Series 2007 B (NR/NR)(i) |
|
|
|
1,380,000 |
|
|
|
6.150 |
|
|
11/01/2014 |
|
69,000 |
| Meadow Pointe IV Community Development District RB for Capital Improvement Series 2012 A-1
(NR/NR) |
|
|
|
400,000 |
|
|
|
6.000 |
|
|
05/01/2036 |
|
392,580 |
| Meadow Pointe IV Community Development District RB for Capital Improvement Series 2012 A-2
(NR/NR) |
|
|
|
775,000 |
|
|
|
6.250 |
|
|
05/01/2038 |
|
808,371 |
| Meadow Pointe IV Community Development District RB for Capital Improvement Series 2012 B
(NR/NR) |
|
|
|
335,000 |
|
|
|
6.810 |
|
|
05/01/2020 |
|
336,095 |
| Meadow Pointe IV Community Development District RB for Capital Improvement Series 2014 A
(NR/NR) |
|
|
|
610,000 |
|
|
|
7.250 |
|
|
05/01/2035 |
|
671,476 |
| |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Florida – (continued) |
| Meadow Pointe IV Community Development District RB for Capital Improvement Series 2014 B
(NR/NR) |
| $ |
|
|
325,000 |
|
|
|
7.250 |
% |
|
05/01/2022 |
|
$ 350,392 |
| Meadow Pointe IV Community Development District Special Assessment for Capital Improvement Series 2005 (NR/NR)(i) |
|
|
|
1,075,000 |
|
|
|
5.250 |
|
|
05/01/2015 |
|
53,750 |
| Mediterranea Community Development District Special Assessment Refunding & Improvement Bonds for Area Two
Project Series 2017 (NR/NR) |
|
|
|
1,000,000 |
|
|
|
4.750 |
|
|
05/01/2037 |
|
1,011,900 |
|
|
|
1,700,000 |
|
|
|
5.000 |
|
|
05/01/2048 |
|
1,721,573 |
| Miami Beach Health Facilities Authority Hospital RB Refunding for Mount Sinai Medical Center of Florida Series
2014 (A-/Baa1) |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
11/15/2039 |
|
1,595,640 |
| Miami Special Obligation RB Refunding for Port of Miami Tunnel Project Series 2012 (A+/Aa3)(e) |
|
|
|
11,760,000 |
|
|
|
5.000 |
|
|
03/01/2030 |
|
12,980,100 |
| Miami World Center Community Development District Special Assessment Bonds Series 2017
(NR/NR) |
|
|
|
600,000 |
|
|
|
4.000 |
|
|
11/01/2023 |
|
612,630 |
|
|
|
600,000 |
|
|
|
4.750 |
|
|
11/01/2027 |
|
624,618 |
|
|
|
4,000,000 |
|
|
|
5.125 |
|
|
11/01/2039 |
|
4,191,600 |
|
|
|
4,135,000 |
|
|
|
5.250 |
|
|
11/01/2049 |
|
4,379,130 |
| Miami-Dade County Educational Facilities Authority RB for University of Miami Series 2018 A
(A-/A3) |
|
|
|
10,085,000 |
|
|
|
4.000 |
|
|
04/01/2053 |
|
10,231,031 |
| Midtown Miami Community Development District Special Assessment RB Refunding for Parking Garage Project Series
2014 A (NR/NR) |
|
|
|
3,450,000 |
|
|
|
5.000 |
|
|
05/01/2029 |
|
3,649,582 |
|
|
|
3,265,000 |
|
|
|
5.000 |
|
|
05/01/2037 |
|
3,440,592 |
| Miromar Lakes Community Development District RB Refunding for Capital Improvement Series 2015
(NR/NR) |
|
|
|
2,975,000 |
|
|
|
5.000 |
|
|
05/01/2028 |
|
3,136,959 |
|
|
|
1,800,000 |
|
|
|
5.000 |
|
|
05/01/2035 |
|
1,873,224 |
| Monterra Community Development District Special Assessment Refunding Bonds Series 2015 (AGM)
(AA/NR) |
|
|
|
1,820,000 |
|
|
|
3.500 |
|
|
05/01/2036 |
|
1,772,735 |
| Naples Reserve Community Development District Special Assessment Bonds Series 2014 (NR/NR) |
|
|
|
745,000 |
|
|
|
5.250 |
|
|
11/01/2035 |
|
783,784 |
|
|
|
1,245,000 |
|
|
|
5.625 |
|
|
11/01/2045 |
|
1,323,485 |
| Naples Reserve Community Development District Special Assessment Bonds Series 2018 (NR/NR)(e) |
|
|
|
710,000 |
|
|
|
5.000 |
|
|
11/01/2038 |
|
709,049 |
|
|
|
1,185,000 |
|
|
|
5.125 |
|
|
11/01/2048 |
|
1,186,327 |
| New River Community Development District Special Assessment RB for Capital Improvement Series 2010 A-1
(NR/NR) |
|
|
|
1,855,000 |
|
|
|
5.750 |
|
|
05/01/2038 |
|
1,855,983 |
| New River Community Development District Special Assessment RB for Capital Improvement Series 2010 B-1
(NR/NR) |
|
|
|
25,000 |
|
|
|
5.000 |
|
|
05/01/2019 |
|
25,026 |
| New River Community Development District Special Assessment Series 2006 B (NR/NR)(i) |
|
|
|
3,260,000 |
|
|
|
5.000 |
|
|
05/01/2013 |
|
33 |
| Orlando Florida Community Redevelopment Agency Tax Increment RB Refunding for Conroy Road District Series 2012
(A-/NR) |
|
|
|
1,680,000 |
|
|
|
5.000 |
|
|
04/01/2024 |
|
1,824,161 |
|
|
|
1,765,000 |
|
|
|
5.000 |
|
|
04/01/2025 |
|
1,907,276 |
|
|
|
1,005,000 |
|
|
|
5.000 |
|
|
04/01/2026 |
|
1,081,179 |
| Overoaks Community Development District Special Assessment for Capital Improvement Series 2004 A (NR/NR)(i) |
|
|
|
210,000 |
|
|
|
6.125 |
|
|
05/01/2035 |
|
17,850 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Florida – (continued) |
| Overoaks Community Development District Special Assessment for Capital Improvement Series 2004 B (NR/NR)(i) |
| $ |
|
|
1,200,000 |
|
|
|
5.125 |
% |
|
05/01/2009 |
|
$ 102,000 |
| Overoaks Community Development District Special Assessment for Capital Improvement Series 2010 A-1
(NR/NR) |
|
|
|
915,000 |
|
|
|
6.125 |
|
|
05/01/2035 |
|
916,199 |
| Overoaks Community Development District Special Assessment for Capital Improvement Series 2010 A-2
(NR/NR) |
|
|
|
1,270,000 |
|
|
|
6.125 |
|
|
05/01/2035 |
|
1,271,664 |
| Palm Glades Community Development District Senior Special Assessment Bonds Series 2018 A-1 (BBB/NR)(e) |
|
|
|
400,000 |
|
|
|
4.000 |
|
|
11/01/2038 |
|
397,776 |
|
|
|
1,850,000 |
|
|
|
4.200 |
|
|
11/01/2048 |
|
1,863,801 |
| Palm Glades Community Development District Special Assessment Refunding Bonds Series 2016
(BBB/NR) |
|
|
|
3,155,000 |
|
|
|
3.750 |
|
|
05/01/2031 |
|
3,169,765 |
|
|
|
2,040,000 |
|
|
|
4.000 |
|
|
05/01/2036 |
|
2,054,933 |
| Palm Glades Community Development District Special Assessment Refunding Bonds Series 2017
(BBB-/NR) |
|
|
|
700,000 |
|
|
|
4.000 |
|
|
05/01/2027 |
|
700,805 |
|
|
|
2,380,000 |
|
|
|
5.000 |
|
|
05/01/2039 |
|
2,444,760 |
| Panther Trace II Community Development District Special Assessment RB Refunding Series 2014 (AGM)
(AA/NR) |
|
|
|
530,000 |
|
|
|
4.125 |
|
|
05/01/2035 |
|
542,174 |
| Paseo Community Development District Capital Improvement Revenue Bonds Capital Appreciation Series 2011 A-2
(NR/NR)(b) |
|
|
|
14,740,000 |
|
|
|
0.000 |
|
|
05/01/2036 |
|
4,965,464 |
| Paseo Community Development District Capital Improvement Revenue Bonds Special Assessment Series 2011 A-1
(NR/NR) |
|
|
|
1,870,000 |
|
|
|
5.400 |
|
|
05/01/2036 |
|
1,873,871 |
| Paseo Community Development District RB for Capital Improvement Series 2005 A (NR/NR)(i) |
|
|
|
6,355,000 |
|
|
|
5.400 |
|
|
05/01/2036 |
|
64 |
| Paseo Community Development District RB for Capital Improvement Series 2005 B (NR/NR)(i) |
|
|
|
3,670,000 |
|
|
|
4.875 |
|
|
05/01/2010 |
|
37 |
| Paseo Community Development District RB for Capital Improvement Series 2006 (NR/NR)(i) |
|
|
|
2,600,000 |
|
|
|
5.000 |
|
|
02/01/2011 |
|
26 |
| Portofino Isles Community Development District Special Assessment RB Refunding Series 2013
(BBB-/NR) |
|
|
|
2,805,000 |
|
|
|
4.750 |
|
|
05/01/2033 |
|
2,916,358 |
| Reunion East Community Development District Special Assessment Refunding Bonds Series 2015 1
(NR/NR) |
|
|
|
3,015,000 |
|
|
|
6.600 |
|
|
05/01/2033 |
|
3,075,933 |
| Reunion East Community Development District Special Assessment Refunding Bonds Series 2015 2
(NR/NR) |
|
|
|
835,000 |
|
|
|
6.600 |
|
|
05/01/2036 |
|
851,875 |
| Reunion East Community Development District Special Assessment Refunding Bonds Series 2015 3
(NR/NR) |
|
|
|
2,465,000 |
|
|
|
6.600 |
|
|
05/01/2033 |
|
2,514,818 |
| Reunion East Community Development District Special Assessment Refunding Bonds Series 2015 A
(NR/NR) |
|
|
|
3,070,000 |
|
|
|
5.000 |
|
|
05/01/2025 |
|
3,232,649 |
|
|
|
6,830,000 |
|
|
|
5.000 |
|
|
05/01/2033 |
|
7,122,187 |
| Reunion East Community Development District Special Assessment Series 2002 A-2 (NR/NR)(i) |
|
|
|
2,170,000 |
|
|
|
7.200 |
|
|
05/01/2022 |
|
22 |
| River Bend Community Development District Special Assessment RB Refunding Senior Series 2016 A-1
(BBB+/NR) |
|
|
|
2,395,000 |
|
|
|
4.000 |
|
|
05/01/2031 |
|
2,453,175 |
| River Hall Community Development District Special Assessment for Capital Improvement Series 2011 A
(NR/NR) |
|
|
|
4,630,000 |
|
|
|
5.450 |
|
|
05/01/2036 |
|
4,630,185 |
| |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Florida – (continued) |
| Sandy Creek Community Development District Special Assessment Refunding Series 2007 B
(NR/NR) |
| $ |
|
|
1,215,000 |
|
|
|
5.500 |
% |
|
05/01/2020 |
|
$ 1,212,813 |
| Sarasota County Public Hospital District RB for Sarasota Memorial Hospital Project Series 2009 A
(AA-/A1) |
|
|
|
1,500,000 |
|
|
|
5.625 |
|
|
07/01/2039 |
|
1,555,695 |
| South Fork III Community Development District Special Assessment RB Refunding Series 2018
(NR/NR) |
|
|
|
1,310,000 |
|
|
|
5.000 |
|
|
05/01/2038 |
|
1,300,948 |
|
|
|
2,505,000 |
|
|
|
5.375 |
|
|
05/01/2049 |
|
2,520,005 |
| South Kendall Community Development District Special Assessment Refunding Series 2016
(BBB-/NR) |
|
|
|
1,345,000 |
|
|
|
4.250 |
|
|
11/01/2037 |
|
1,382,956 |
|
|
|
330,000 |
|
|
|
4.125 |
|
|
11/01/2040 |
|
331,023 |
| South Village Community Development District Capital Improvement and Special Assessment Refunding Senior Lien
Series 2016 A-1 (BBB/NR) |
|
|
|
805,000 |
|
|
|
3.500 |
|
|
05/01/2032 |
|
798,866 |
|
|
|
505,000 |
|
|
|
3.625 |
|
|
05/01/2035 |
|
499,021 |
|
|
|
1,715,000 |
|
|
|
3.750 |
|
|
05/01/2038 |
|
1,703,063 |
| South Village Community Development District Capital Improvement and Special Assessment Refunding Subordinate
Lien Series 2016 A-2 (NR/NR) |
|
|
|
560,000 |
|
|
|
4.350 |
|
|
05/01/2026 |
|
564,558 |
|
|
|
490,000 |
|
|
|
4.875 |
|
|
05/01/2035 |
|
496,169 |
|
|
|
95,000 |
|
|
|
5.000 |
|
|
05/01/2038 |
|
96,407 |
| South-Dade Venture Community Development District Special Assessment RB Refunding Series 2013
(NR/NR) |
|
|
|
2,010,000 |
|
|
|
5.250 |
|
|
05/01/2034 |
|
2,183,765 |
| Southern Hills Plantation I Community Development District Special Assessment for Capital Improvement Series 2011
A-1 (NR/NR) |
|
|
|
3,855,000 |
|
|
|
5.800 |
|
|
05/01/2035 |
|
3,854,769 |
| Southern Hills Plantation I Community Development District Special Assessment for Capital Improvement Series 2011
A-2 (NR/NR) |
|
|
|
2,880,000 |
|
|
|
5.800 |
|
|
05/01/2035 |
|
2,639,462 |
| Spring Lake Community Development District Special Assessment for Assessment Area Two Project Series 2017 (NR/NR)(e) |
|
|
|
1,250,000 |
|
|
|
5.125 |
|
|
11/01/2037 |
|
1,300,562 |
|
|
|
1,790,000 |
|
|
|
5.250 |
|
|
11/01/2047 |
|
1,880,825 |
| Spring Ridge Community Development District Special Assessment RB Series A-1 (NR/NR) |
|
|
|
1,245,000 |
|
|
|
4.800 |
|
|
05/01/2035 |
|
1,216,813 |
| Sterling Hill Community Development District RB for Capital Improvement Series 2003 B (NR/NR)(i) |
|
|
|
418,112 |
|
|
|
5.500 |
|
|
11/01/2010 |
|
267,592 |
| Stonegate Community Development District Special Assessment Refunding Bonds Series 2013
(NR/NR) |
|
|
|
2,160,000 |
|
|
|
5.000 |
|
|
05/01/2034 |
|
2,304,655 |
| Stoneybrook South Community Development District Special Assessment Bonds Refunding for Assessment Area Two-A
Project Series 2014 (NR/NR) |
|
|
|
1,500,000 |
|
|
|
5.125 |
|
|
11/01/2034 |
|
1,619,745 |
|
|
|
3,500,000 |
|
|
|
5.500 |
|
|
11/01/2044 |
|
4,012,085 |
| Stoneybrook South Community Development District Special Assessment RB Refunding for Assessment Area One Project
Series 2013 (NR/NR) |
|
|
|
2,440,000 |
|
|
|
6.500 |
|
|
05/01/2039 |
|
2,746,244 |
| Talis Park Community Development District Capital Improvement RB Refunding Subordinate Series 2016 A-2
(NR/NR) |
|
|
|
505,000 |
|
|
|
3.250 |
|
|
05/01/2021 |
|
501,344 |
|
|
|
965,000 |
|
|
|
3.750 |
|
|
05/01/2026 |
|
948,884 |
|
|
|
1,600,000 |
|
|
|
4.000 |
|
|
05/01/2033 |
|
1,566,608 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Florida – (continued) |
| Talis Park Community Development District Capital Improvement RB Series 2013 (NR/NR) |
| $ |
|
|
1,370,000 |
|
|
|
5.250 |
% |
|
11/01/2034 |
|
$ 1,403,757 |
|
|
|
2,360,000 |
|
|
|
6.000 |
|
|
11/01/2044 |
|
2,544,410 |
| Tapestry Community Development District Special Assessment RB Series 2016 (NR/NR) |
|
|
|
390,000 |
|
|
|
4.250 |
|
|
05/01/2026 |
|
400,589 |
|
|
|
1,110,000 |
|
|
|
4.800 |
|
|
05/01/2036 |
|
1,152,091 |
|
|
|
1,715,000 |
|
|
|
5.000 |
|
|
05/01/2046 |
|
1,789,345 |
| Tison’s Landing Community Development District Special Assessment RB Refunding & Improvement Bonds
Senior Series 2016 A-1 (BBB+/NR) |
|
|
|
700,000 |
|
|
|
3.375 |
|
|
05/01/2032 |
|
676,263 |
|
|
|
1,345,000 |
|
|
|
3.600 |
|
|
05/01/2037 |
|
1,314,321 |
| Tolomato Community Development District Special Assessment GO Refunding Bonds Senior Lien Series 2018 A-1 (AGM)
(AA/NR) |
|
|
|
1,650,000 |
|
|
|
3.500 |
|
|
05/01/2032 |
|
1,626,785 |
|
|
|
1,800,000 |
|
|
|
3.750 |
|
|
05/01/2040 |
|
1,770,894 |
| Tolomato Community Development District Special Assessment GO Refunding Bonds Subordinate Lien Series 2018 A-2
(NR/NR)(e) |
|
|
|
410,000 |
|
|
|
5.625 |
|
|
05/01/2040 |
|
410,730 |
| Tolomato Community Development District Special Assessment GO Refunding Bonds Subordinate Lien Series 2018 B-2
(NR/NR) |
|
|
|
300,000 |
|
|
|
5.125 |
|
|
05/01/2039 |
|
304,260 |
| Toscana Isles Community Development District Special Assessment RB Series 2014 (NR/NR) |
|
|
|
415,000 |
|
|
|
5.750 |
|
|
11/01/2027 |
|
453,831 |
|
|
|
1,965,000 |
|
|
|
6.250 |
|
|
11/01/2044 |
|
2,241,908 |
| Touchstone Community Development District Special Assessment Bonds Series 2018 (NR/NR)(e) |
|
|
|
1,560,000 |
|
|
|
4.625 |
|
|
06/15/2038 |
|
1,561,810 |
|
|
|
2,445,000 |
|
|
|
4.750 |
|
|
06/15/2048 |
|
2,450,721 |
| Triple Creek Community Development District Special Assessment Series 2017 A (NR/NR) |
|
|
|
1,680,000 |
|
|
|
5.250 |
|
|
11/01/2027 |
|
1,739,741 |
|
|
|
2,745,000 |
|
|
|
6.125 |
|
|
11/01/2046 |
|
2,927,323 |
| TSR Community Development District Special Assessment RB for 2016 Project Series 2016
(NR/NR) |
|
|
|
745,000 |
|
|
|
3.500 |
|
|
11/01/2021 |
|
746,818 |
|
|
|
1,340,000 |
|
|
|
4.000 |
|
|
11/01/2027 |
|
1,337,762 |
|
|
|
3,160,000 |
|
|
|
4.625 |
|
|
11/01/2037 |
|
3,167,394 |
|
|
|
2,790,000 |
|
|
|
4.750 |
|
|
11/01/2047 |
|
2,798,426 |
| TSR Community Development District Special Assessment RB for Village 4 Project Series 2015 A
(NR/NR) |
|
|
|
325,000 |
|
|
|
4.250 |
|
|
11/01/2021 |
|
329,381 |
|
|
|
2,430,000 |
|
|
|
5.625 |
|
|
11/01/2045 |
|
2,597,694 |
| Turnbull Creek Community Development District Senior Special Assessment Refunding Series 2015 A-1
(BBB/NR) |
|
|
|
2,270,000 |
|
|
|
4.375 |
|
|
05/01/2035 |
|
2,374,148 |
| Two Creeks Community Development District RB Refunding for Capital Improvement Senior Lien Series 2016 A-1
(BBB/NR) |
|
|
|
1,725,000 |
|
|
|
3.500 |
|
|
05/01/2032 |
|
1,730,813 |
|
|
|
2,580,000 |
|
|
|
3.625 |
|
|
05/01/2037 |
|
2,591,275 |
| Two Creeks Community Development District RB Refunding for Capital Improvement Subordinate Lien Series 2016 A-2
(NR/NR) |
|
|
|
625,000 |
|
|
|
4.750 |
|
|
05/01/2037 |
|
626,456 |
| Two Lakes Community Development District Special Assessment Series 2017 (NR/NR)(e) |
|
|
|
1,880,000 |
|
|
|
3.250 |
|
|
12/15/2022 |
|
1,873,025 |
|
|
|
2,000,000 |
|
|
|
4.000 |
|
|
12/15/2028 |
|
1,993,200 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
12/15/2032 |
|
1,053,870 |
|
|
|
1,705,000 |
|
|
|
5.000 |
|
|
12/15/2037 |
|
1,776,372 |
|
|
|
3,800,000 |
|
|
|
5.000 |
|
|
12/15/2047 |
|
3,922,550 |
| |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Florida – (continued) |
| Union Park East Community Development District Capital Improvement RB for Assessment Area One Series 2017 A-1
(NR/NR)(e) |
| $ |
|
|
2,425,000 |
|
|
|
5.500 |
% |
|
11/01/2047 |
|
$ 2,519,721 |
| Venetian Community Development District Capital Improvement RB Refunding Series 2012 A-1
(NR/NR) |
|
|
|
500,000 |
|
|
|
5.500 |
|
|
05/01/2034 |
|
516,305 |
|
|
|
750,000 |
|
|
|
6.125 |
|
|
05/01/2042 |
|
782,453 |
| Venetian Parc Community Development District Special Assessment Area One Project Series 2013
(NR/NR) |
|
|
|
545,000 |
|
|
|
6.000 |
|
|
11/01/2027 |
|
613,109 |
|
|
|
2,050,000 |
|
|
|
6.500 |
|
|
11/01/2043 |
|
2,674,553 |
| Venetian Parc Community Development District Special Assessment Area Two Project Series 2013
(NR/NR) |
|
|
|
780,000 |
|
|
|
6.375 |
|
|
11/01/2027 |
|
843,110 |
|
|
|
2,300,000 |
|
|
|
7.125 |
|
|
11/01/2044 |
|
2,692,541 |
| Ventana Community Development District Special Assessment RB Series 2018 (NR/NR)(e) |
|
|
|
335,000 |
|
|
|
4.000 |
|
|
05/01/2024 |
|
336,920 |
|
|
|
725,000 |
|
|
|
4.625 |
|
|
05/01/2029 |
|
725,761 |
|
|
|
5,340,000 |
|
|
|
5.125 |
|
|
05/01/2049 |
|
5,372,093 |
| Verandah East Community Development District Special Assessment Refunding & Improvement RB Series 2016
(NR/NR) |
|
|
|
1,080,000 |
|
|
|
3.375 |
|
|
05/01/2021 |
|
1,079,244 |
|
|
|
2,455,000 |
|
|
|
3.750 |
|
|
05/01/2026 |
|
2,407,520 |
|
|
|
4,360,000 |
|
|
|
4.000 |
|
|
05/01/2031 |
|
4,257,061 |
|
|
|
1,750,000 |
|
|
|
4.125 |
|
|
05/01/2034 |
|
1,711,080 |
|
|
|
1,000,000 |
|
|
|
4.250 |
|
|
05/01/2037 |
|
979,630 |
| Verano #1 Community Development District Senior Special Assessment Refunding for Community Infrastructure Project
Series 2017 A-1 (BBB/NR)(e) |
|
|
|
1,985,000 |
|
|
|
4.000 |
|
|
05/01/2031 |
|
2,036,947 |
|
|
|
2,940,000 |
|
|
|
4.000 |
|
|
05/01/2037 |
|
2,959,463 |
| Verano #1 Community Development District Special Assessment Bonds for District #1 Project Series 2015
(NR/NR) |
|
|
|
750,000 |
|
|
|
5.125 |
|
|
11/01/2035 |
|
790,103 |
|
|
|
1,000,000 |
|
|
|
5.250 |
|
|
11/01/2046 |
|
1,065,830 |
| Village Community Development District No. 09 Special Assessment RB Series 2011 (NR/NR) |
|
|
|
4,565,000 |
|
|
|
7.000 |
|
|
05/01/2041 |
|
5,196,066 |
| Village Community Development District No. 10 Special Assessment RB Series 2012 (NR/NR) |
|
|
|
2,600,000 |
|
|
|
5.000 |
|
|
05/01/2032 |
|
2,851,732 |
|
|
|
6,105,000 |
|
|
|
5.125 |
|
|
05/01/2043 |
|
6,735,647 |
| Village Community Development District No. 10 Special Assessment RB Series 2014 (NR/NR) |
|
|
|
4,700,000 |
|
|
|
6.000 |
|
|
05/01/2044 |
|
5,434,281 |
| Village Community Development District No. 12 Special Assessment RB Series 2018 (NR/NR)(e) |
|
|
|
1,000,000 |
|
|
|
4.250 |
|
|
05/01/2043 |
|
1,014,820 |
|
|
|
13,800,000 |
|
|
|
4.375 |
|
|
05/01/2050 |
|
14,008,794 |
| Village Community Development District No. 5 Special Assessment RB Refunding Phase I Series 2013
(A/NR) |
|
|
|
1,590,000 |
|
|
|
4.000 |
|
|
05/01/2033 |
|
1,618,636 |
| Village Community Development District No. 5 Special Assessment RB Refunding Phase II Series 2013
(A/NR) |
|
|
|
1,245,000 |
|
|
|
4.000 |
|
|
05/01/2034 |
|
1,267,983 |
| Village Community Development District No. 8 Special Assessment Refunding Phase II Series 2010
(NR/NR) |
|
|
|
7,595,000 |
|
|
|
6.125 |
|
|
05/01/2039 |
|
8,111,764 |
| Village Community Development District No. 9 Special Assessment Refunding Series 2012
(NR/NR) |
|
|
|
1,890,000 |
|
|
|
5.500 |
|
|
05/01/2042 |
|
2,037,571 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Florida – (continued) |
| Vizcaya In Kendall Community Development District Special Assessment Bonds Series 2016
(BBB-/NR) |
| $ |
|
|
1,000,000 |
|
|
|
3.750 |
% |
|
11/01/2031 |
|
$ 1,002,800 |
|
|
|
1,000,000 |
|
|
|
4.000 |
|
|
11/01/2036 |
|
998,670 |
|
|
|
1,300,000 |
|
|
|
4.125 |
|
|
11/01/2046 |
|
1,285,999 |
| Waterford Landing Community Development District Capital Improvement RB Series 2014 (NR/NR) |
|
|
|
3,080,000 |
|
|
|
5.500 |
|
|
05/01/2034 |
|
3,288,177 |
|
|
|
3,825,000 |
|
|
|
5.750 |
|
|
05/01/2044 |
|
4,107,974 |
| Waters Edge Community Development District Capital Improvement RB Refunding Series 2012 A-1
(NR/NR) |
|
|
|
14,000 |
|
|
|
5.350 |
|
|
05/01/2039 |
|
13,740 |
| Waters Edge Community Development District Capital Improvement RB Refunding Series 2012 A-2
(NR/NR) |
|
|
|
385,000 |
|
|
|
6.600 |
|
|
05/01/2039 |
|
385,597 |
| Waters Edge Community Development District Pasco County Capital Improvement RB Refunding Senior Lien Series 2015
A-1 (BBB+/NR) |
|
|
|
3,235,000 |
|
|
|
4.200 |
|
|
05/01/2036 |
|
3,313,999 |
| Waterset Central Community Development District Special Assessment Bond Series 2018 (NR/NR)(e) |
|
|
|
440,000 |
|
|
|
4.000 |
|
|
11/01/2024 |
|
441,399 |
|
|
|
1,640,000 |
|
|
|
5.125 |
|
|
11/01/2038 |
|
1,654,285 |
|
|
|
2,800,000 |
|
|
|
5.250 |
|
|
11/01/2049 |
|
2,826,460 |
| Waterset North Community Development District Special Assessment RB Series 2014 (NR/NR) |
|
|
|
1,240,000 |
|
|
|
5.125 |
|
|
11/01/2035 |
|
1,301,678 |
|
|
|
2,000,000 |
|
|
|
5.500 |
|
|
11/01/2045 |
|
2,116,820 |
| Westside Community Development District Special Assessment RB for Solara Phase 1 Assessment Area Series 2018
(NR/NR)(e) |
|
|
|
550,000 |
|
|
|
5.000 |
|
|
05/01/2038 |
|
549,346 |
|
|
|
600,000 |
|
|
|
5.200 |
|
|
05/01/2048 |
|
603,624 |
| Winding Cypress Community Development District Special Assessment Phase 1 and Phase 2 Assessment Area Series 2015
(NR/NR) |
|
|
|
205,000 |
|
|
|
4.000 |
|
|
11/01/2020 |
|
206,499 |
|
|
|
400,000 |
|
|
|
4.375 |
|
|
11/01/2025 |
|
410,964 |
|
|
|
1,770,000 |
|
|
|
5.000 |
|
|
11/01/2045 |
|
1,825,560 |
| Wiregrass Community Development District Capital Improvement RB Series 2014 (NR/NR) |
|
|
|
455,000 |
|
|
|
5.375 |
|
|
05/01/2035 |
|
480,339 |
|
|
|
3,050,000 |
|
|
|
5.625 |
|
|
05/01/2045 |
|
3,243,614 |
| Wiregrass Community Development District Capital Improvement RB Series 2016 (NR/NR) |
|
|
|
780,000 |
|
|
|
4.875 |
|
|
05/01/2036 |
|
800,109 |
|
|
|
1,445,000 |
|
|
|
5.000 |
|
|
05/01/2047 |
|
1,483,321 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
662,492,242 |
| |
| Georgia – 1.3% |
| Atlanta Development Authority RB for New Downtown Atlanta Stadium Project Senior Lien Series 2015 A-1
(A+/Aa3) |
|
|
|
1,500,000 |
|
|
|
5.250 |
|
|
07/01/2040 |
|
1,716,600 |
|
|
|
5,500,000 |
|
|
|
5.250 |
|
|
07/01/2044 |
|
6,279,295 |
| Atlanta Development Authority RB for New Downtown Atlanta Stadium Project Senior Lien Series 2015 B
(A/A1) |
|
|
|
1,000,000 |
|
|
|
4.000 |
|
|
07/01/2040 |
|
1,020,190 |
| Clayton County Development Authority Special Facilities RB for Delta Airlines, Inc. Series 2009 A
(BB+/Baa3) |
|
|
|
11,700,000 |
|
|
|
8.750 |
|
|
06/01/2029 |
|
13,016,367 |
| Fulton County Development Authority RB for Tuff Caub LLC Project Series 2007 A (NR/NR) |
|
|
|
1,800,000 |
|
|
|
5.250 |
|
|
11/01/2028 |
|
1,740,006 |
| |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Georgia – (continued) |
| Gainesville & Hall County Development Authority RB Refunding for Riverside Military Academy Series 2017
(BBB-/NR) |
| $ |
|
|
900,000 |
|
|
|
5.000 |
% |
|
03/01/2047 |
|
$ 941,787 |
|
|
|
900,000 |
|
|
|
5.125 |
|
|
03/01/2052 |
|
946,485 |
| Milledgeville & Baldwin County Development Authority Student Housing RB Refunding for Georgia College &
State University Foundation Property V, LLC Project Series 2007 (AMBAC) (A+/WR)(c) |
| (3 Mo. LIBOR + 0.65%), |
|
|
|
49,820,000 |
|
|
|
2.199 |
|
|
10/01/2033 |
|
46,042,149 |
| Rockdale County Development Authority RB Refunding for Pratt Paper LLC Project Series 2018 (AMT) (NR/NR)(e) |
|
|
|
3,000,000 |
|
|
|
4.000 |
|
|
01/01/2038 |
|
3,033,120 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
74,735,999 |
| |
| Guam – 1.3% |
| A.B. Won Pat International Airport Authority RB Refunding General Series 2013 B (AGM)
(AA/A2) |
|
|
|
1,500,000 |
|
|
|
5.750 |
|
|
10/01/2043 |
|
1,700,430 |
| Guam Government Department of Education COPS for John F. Kennedy High School Project Series 2010 A
(B+/NR) |
|
|
|
2,500,000 |
|
|
|
6.625 |
|
|
12/01/2030 |
|
2,579,600 |
|
|
|
3,355,000 |
|
|
|
6.875 |
|
|
12/01/2040 |
|
3,473,700 |
| Guam Government Limited Obligation RB Section 30 Series 2016 A (BBB+/NR) |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
12/01/2031 |
|
552,590 |
|
|
|
3,410,000 |
|
|
|
5.000 |
|
|
12/01/2046 |
|
3,696,167 |
| Guam International Airport Authority RB Refunding for Series 2013 C (AMT) (AGM) (AA/A2) |
|
|
|
7,300,000 |
|
|
|
6.125 |
|
|
10/01/2043 |
|
8,354,047 |
| Guam International Airport Authority RB Refunding for Series 2013 C (AMT) (BBB/Baa2) |
|
|
|
2,000,000 |
|
|
|
6.375 |
|
|
10/01/2043 |
|
2,266,140 |
| Guam Power Authority RB Series 2010 A (BBB/Baa2)(d) |
|
|
|
10,000,000 |
|
|
|
5.500 |
|
|
10/01/2020 |
|
10,798,500 |
| Guam Waterworks Authority RB for Water & Wastewater System Series 2010 (A-/Baa2)(d) |
|
|
|
10,365,000 |
|
|
|
5.625 |
|
|
07/01/2020 |
|
11,148,905 |
| Guam Waterworks Authority RB for Water & Wastewater System Series 2013 (A-/Baa2) |
|
|
|
13,705,000 |
|
|
|
5.500 |
|
|
07/01/2043 |
|
14,877,463 |
| Guam Waterworks Authority RB for Water & Wastewater System Series 2016 (A-/Baa2) |
|
|
|
4,880,000 |
|
|
|
5.000 |
|
|
01/01/2046 |
|
5,306,903 |
| Guam Waterworks Authority RB Refunding for Water & Wastewater System Series 2017
(A-/Baa2) |
|
|
|
1,150,000 |
|
|
|
5.000 |
|
|
07/01/2033 |
|
1,283,952 |
|
|
|
960,000 |
|
|
|
5.000 |
|
|
07/01/2035 |
|
1,066,329 |
|
|
|
1,920,000 |
|
|
|
5.000 |
|
|
07/01/2036 |
|
2,127,955 |
|
|
|
1,440,000 |
|
|
|
5.000 |
|
|
07/01/2037 |
|
1,593,634 |
|
|
|
4,800,000 |
|
|
|
5.000 |
|
|
07/01/2040 |
|
5,288,784 |
| Port Authority of Guam RB Series 2018 A (A/Baa2)(h) |
|
|
|
2,500,000 |
|
|
|
5.000 |
|
|
07/01/2048 |
|
2,770,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
78,885,299 |
| |
| Idaho – 0.0% |
| Idaho Health Facilities Authority RB Refunding for Madison Memorial Hospital Project Series 2016
(BB+/NR) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
09/01/2037 |
|
1,066,840 |
| |
| Illinois – 15.0% |
| Chicago Illinois Board of Education Dedicated Capital Improvement Series 2016 (A/NR) |
|
|
|
16,000,000 |
|
|
|
6.000 |
|
|
04/01/2046 |
|
18,720,320 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Illinois – (continued) |
| Chicago Illinois Board of Education Dedicated Capital Improvement Series 2017 (A/NR) |
| $ |
|
|
1,700,000 |
|
|
|
5.000 |
% |
|
04/01/2042 |
|
$ 1,830,798 |
|
|
|
1,625,000 |
|
|
|
5.000 |
|
|
04/01/2046 |
|
1,745,055 |
| Chicago Illinois Board of Education GO Bonds Capital Appreciation for School Reform Series 1998 B-1 (NATL-RE)
(B/Baa2)(b) |
|
|
|
3,525,000 |
|
|
|
0.000 |
|
|
12/01/2027 |
|
2,321,001 |
|
|
|
350,000 |
|
|
|
0.000 |
|
|
12/01/2028 |
|
219,324 |
|
|
|
8,925,000 |
|
|
|
0.000 |
|
|
12/01/2029 |
|
5,317,515 |
|
|
|
405,000 |
|
|
|
0.000 |
|
|
12/01/2030 |
|
229,477 |
| Chicago Illinois Board of Education GO Bonds Capital Appreciation for School Reform Series 1999 A (NATL-RE)
(B/Baa2)(b) |
|
|
|
125,000 |
|
|
|
0.000 |
|
|
12/01/2029 |
|
74,475 |
|
|
|
150,000 |
|
|
|
0.000 |
|
|
12/01/2030 |
|
84,991 |
| Chicago Illinois Board of Education GO Bonds Capital Appreciation Refunding for School Reform Series 1999 A
(NATL-RE) (B/Baa2)(b) |
|
|
|
15,550,000 |
|
|
|
0.000 |
|
|
12/01/2031 |
|
8,350,661 |
| Chicago Illinois Board of Education GO Bonds Series 2017 A (B/NR)(e) |
|
|
|
5,500,000 |
|
|
|
7.000 |
|
|
12/01/2046 |
|
6,582,565 |
| Chicago Illinois Board of Education GO Refunding Bonds for School Reform Series 1999 A (NATL-RE)
(B/Baa2) |
|
|
|
9,685,000 |
|
|
|
5.500 |
|
|
12/01/2026 |
|
10,579,894 |
| Chicago Illinois Board of Education GO Refunding Bonds Series 2005 A (AMBAC) (B/B3) |
|
|
|
8,965,000 |
|
|
|
5.500 |
|
|
12/01/2029 |
|
9,935,372 |
| Chicago Illinois Board of Education GO Refunding Bonds Series 2010 F (B/B3) |
|
|
|
1,060,000 |
|
|
|
5.000 |
|
|
12/01/2031 |
|
1,066,402 |
| Chicago Illinois Board of Education Unlimited Tax GO Bonds for Dedicated Alternate Revenues Series 2015 C
(B/NR) |
|
|
|
19,705,000 |
|
|
|
5.250 |
|
|
12/01/2035 |
|
20,090,430 |
|
|
|
10,235,000 |
|
|
|
5.250 |
|
|
12/01/2039 |
|
10,384,635 |
| Chicago Illinois Board of Education Unlimited Tax GO Bonds for Dedicated Revenues Series 2011 A
(B/B3) |
|
|
|
315,000 |
|
|
|
5.500 |
|
|
12/01/2039 |
|
321,152 |
|
|
|
765,000 |
|
|
|
5.000 |
|
|
12/01/2041 |
|
767,578 |
| Chicago Illinois Board of Education Unlimited Tax GO Refunding Bonds for Dedicated Revenues Series 2005 A (AMBAC)
(B/B3) |
|
|
|
2,300,000 |
|
|
|
5.500 |
|
|
12/01/2030 |
|
2,544,513 |
| Chicago Illinois Board of Education Unlimited Tax GO Refunding Bonds for Dedicated Revenues Series 2009 E
(B/B3) |
|
|
|
9,750,000 |
|
|
|
6.038 |
|
|
12/01/2029 |
|
9,534,622 |
| Chicago Illinois Board of Education Unlimited Tax GO Refunding Bonds for Dedicated Revenues Series 2016 A
(B/NR) |
|
|
|
54,475,000 |
|
|
|
7.000 |
|
|
12/01/2044 |
|
63,421,429 |
| Chicago Illinois Board of Education Unlimited Tax GO Refunding Bonds for Dedicated Revenues Series 2016 B
(B/NR) |
|
|
|
61,135,000 |
|
|
|
6.500 |
|
|
12/01/2046 |
|
69,983,680 |
| Chicago Illinois Board of Education Unlimited Tax GO Refunding Bonds for Dedicated Revenues Series 2018 A (AGM)
(AA/NR) |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
12/01/2029 |
|
1,685,100 |
|
|
|
1,250,000 |
|
|
|
5.000 |
|
|
12/01/2030 |
|
1,400,787 |
|
|
|
1,025,000 |
|
|
|
5.000 |
|
|
12/01/2031 |
|
1,145,817 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
12/01/2032 |
|
1,116,030 |
|
|
|
1,250,000 |
|
|
|
5.000 |
|
|
12/01/2034 |
|
1,382,475 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
12/01/2035 |
|
1,103,260 |
| Chicago Illinois Capital Appreciation Refunding & Project Series 2009 C (BBB+/Ba1)(b) |
|
|
|
11,415,000 |
|
|
|
0.000 |
|
|
01/01/2032 |
|
5,900,756 |
| Chicago Illinois GO Bonds Project and Refunding RMKT 06/08/15 Series 2005 D (BBB+/Ba1) |
|
|
|
1,700,000 |
|
|
|
5.500 |
|
|
01/01/2037 |
|
1,808,579 |
| |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Illinois – (continued) |
| Chicago Illinois GO Bonds Project Refunding Series 2014 A (BBB+/Ba1) |
| $ |
|
|
8,375,000 |
|
|
|
5.250 |
% |
|
01/01/2033 |
|
$ 8,806,647 |
|
|
|
6,295,000 |
|
|
|
5.000 |
|
|
01/01/2034 |
|
6,524,201 |
|
|
|
10,500,000 |
|
|
|
5.000 |
|
|
01/01/2036 |
|
10,845,870 |
| Chicago Illinois GO Bonds Project Refunding Series 2017 A (BBB+/NR) |
|
|
|
6,100,000 |
|
|
|
6.000 |
|
|
01/01/2038 |
|
6,868,356 |
| Chicago Illinois GO Bonds Project Series 2011 A (BBB+/Ba1) |
|
|
|
6,170,000 |
|
|
|
5.250 |
|
|
01/01/2035 |
|
6,310,182 |
|
|
|
3,000,000 |
|
|
|
5.000 |
|
|
01/01/2040 |
|
3,044,190 |
| Chicago Illinois GO Bonds Project Series 2012 A (BBB+/Ba1) |
|
|
|
18,325,000 |
|
|
|
5.000 |
|
|
01/01/2033 |
|
18,689,484 |
|
|
|
3,850,000 |
|
|
|
5.000 |
|
|
01/01/2034 |
|
3,919,069 |
| Chicago Illinois GO Bonds Series 2010 B (BBB+/Ba1) |
|
|
|
3,145,000 |
|
|
|
7.517 |
|
|
01/01/2040 |
|
3,538,345 |
| Chicago Illinois GO Bonds Series 2015 A (BBB+/NR) |
|
|
|
4,180,000 |
|
|
|
5.500 |
|
|
01/01/2039 |
|
4,437,279 |
| Chicago Illinois GO Bonds Series 2015 B (BBB+/NR) |
|
|
|
5,243,000 |
|
|
|
7.375 |
|
|
01/01/2033 |
|
5,829,534 |
| Chicago Illinois GO Refunding & Project Bonds Series 2009 C (BBB+/Ba1) |
|
|
|
1,170,000 |
|
|
|
5.000 |
|
|
01/01/2034 |
|
1,174,528 |
| Chicago Illinois GO Refunding Bonds for Taxable Project Series 2014 B (BBB+/Ba1) |
|
|
|
7,350,000 |
|
|
|
6.314 |
|
|
01/01/2044 |
|
7,498,250 |
| Chicago Illinois GO Refunding Bonds RMKT 06/08/15 Series 2007 E (BBB+/Ba1) |
|
|
|
3,775,000 |
|
|
|
5.500 |
|
|
01/01/2042 |
|
3,998,631 |
| Chicago Illinois GO Refunding Bonds RMKT 06/08/15 Series 2007 F (BBB+/Ba1) |
|
|
|
2,500,000 |
|
|
|
5.500 |
|
|
01/01/2042 |
|
2,648,100 |
| Chicago Illinois GO Refunding Bonds Series 2009 C (BBB+/Ba1) |
|
|
|
3,825,000 |
|
|
|
5.000 |
|
|
01/01/2040 |
|
3,837,010 |
| Chicago Illinois GO Refunding Bonds Series 2012 B (BBB+/Ba1) |
|
|
|
7,350,000 |
|
|
|
5.432 |
|
|
01/01/2042 |
|
6,834,250 |
| Chicago Illinois GO Refunding Bonds Series 2014 A (BBB+/Ba1) |
|
|
|
4,230,000 |
|
|
|
5.000 |
|
|
01/01/2035 |
|
4,375,597 |
| Chicago Illinois GO Refunding Bonds Series 2015 C (BBB+/NR) |
|
|
|
13,300,000 |
|
|
|
5.000 |
|
|
01/01/2038 |
|
13,736,107 |
| Chicago Illinois Second Lien RB Refunding for Wastewater Transmission RMKT 10/19/15 Series 2008 C
(A/NR) |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
01/01/2039 |
|
1,607,190 |
| Chicago Illinois Wastewater Transmission RB Second Lien Series 2017 A (AGM) (AA/NR) |
|
|
|
1,950,000 |
|
|
|
5.250 |
|
|
01/01/2042 |
|
2,201,940 |
|
|
|
5,460,000 |
|
|
|
4.000 |
|
|
01/01/2052 |
|
5,507,011 |
| Chicago Illinois Water RB Refunding Second Lien Project RMKT 05/23/16 Series 2000 (A/Baa2) |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
11/01/2028 |
|
1,683,135 |
|
|
|
1,050,000 |
|
|
|
5.000 |
|
|
11/01/2029 |
|
1,173,333 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
11/01/2030 |
|
1,115,150 |
| Cortland Illinois Special Service Area No. 9 Special Tax Bonds for Richland Trails Project Series 2007-1
(NR/NR) |
|
|
|
2,033,000 |
|
|
|
5.800 |
|
|
03/01/2037 |
|
2,033,244 |
| Du Page County Special Service Area No. 31 Special Tax for Monarch Landing Project Series 2006
(NR/NR) |
|
|
|
1,349,000 |
|
|
|
5.625 |
|
|
03/01/2036 |
|
1,349,971 |
| Illinois Finance Authority Multifamily Housing RB for Better Housing Foundation Ernst Portfolio Project Series
2018 A (A-/NR) |
|
|
|
1,500,000 |
|
|
|
5.100 |
|
|
12/01/2043 |
|
1,557,660 |
|
|
|
2,150,000 |
|
|
|
5.250 |
|
|
12/01/2053 |
|
2,240,988 |
| Illinois Finance Authority RB for Blue Island LLC Series 2018 A-1 (BBB+/NR) |
|
|
|
1,400,000 |
|
|
|
5.000 |
|
|
12/01/2053 |
|
1,390,732 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Illinois – (continued) |
| Illinois Finance Authority RB for Christian Homes, Inc. Series 2007 A (BBB-/NR) |
| $ |
|
|
2,780,000 |
|
|
|
5.750 |
% |
|
05/15/2031 |
|
$ 2,787,033 |
| Illinois Finance Authority RB for Christian Homes, Inc. Series 2010 (BBB-/NR) |
|
|
|
805,000 |
|
|
|
6.125 |
|
|
05/15/2027 |
|
849,098 |
| Illinois Finance Authority RB for Christian Homes, Inc. Series 2010
(NR/NR)(d) |
|
|
|
445,000 |
|
|
|
6.125 |
|
|
05/15/2020 |
|
479,563 |
| Illinois Finance Authority RB for Midwest Regional Medical Center Series 2006 A (NR/NR)(e) |
|
|
|
32,960,000 |
|
|
|
6.750 |
|
|
10/01/2046 |
|
32,963,955 |
| Illinois Finance Authority RB Refunding for Franciscan Communities Project Series 2017 A
(BBB-/NR) |
|
|
|
1,645,000 |
|
|
|
4.000 |
|
|
05/15/2027 |
|
1,700,206 |
|
|
|
2,825,000 |
|
|
|
5.000 |
|
|
05/15/2037 |
|
3,041,932 |
|
|
|
1,055,000 |
|
|
|
5.000 |
|
|
05/15/2047 |
|
1,123,069 |
| Illinois Finance Authority RB Refunding for Franciscan Communities, Inc. Series 2013 A
(BBB-/NR) |
|
|
|
4,500,000 |
|
|
|
5.250 |
|
|
05/15/2047 |
|
4,742,235 |
| Illinois Finance Authority RB Refunding for Illinois Wesleyan University Series 2016
(A-/Baa1) |
|
|
|
490,000 |
|
|
|
5.000 |
|
|
09/01/2036 |
|
529,474 |
|
|
|
3,470,000 |
|
|
|
5.000 |
|
|
09/01/2046 |
|
3,726,919 |
| Illinois Finance Authority RB Refunding for OSF Healthcare System Series 2010 A (A/A2) |
|
|
|
3,395,000 |
|
|
|
6.000 |
|
|
05/15/2039 |
|
3,597,376 |
| Illinois Finance Authority Recovery Zone Facility RB for Navistar International Corp. Project Series 2010
(B+/B2)(g) |
|
|
|
15,650,000 |
|
|
|
6.750 |
|
|
10/15/2040 |
|
16,592,913 |
| Illinois State GO Bonds Series 2012 (BBB-/Baa3) |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
03/01/2031 |
|
512,735 |
|
|
|
750,000 |
|
|
|
5.000 |
|
|
03/01/2037 |
|
764,513 |
| Illinois State GO Bonds Series 2013 (BBB-/Baa3) |
|
|
|
5,050,000 |
|
|
|
5.500 |
|
|
07/01/2038 |
|
5,303,561 |
| Illinois State GO Bonds Series 2014 (AGM) (AA/A2) |
|
|
|
20,000,000 |
|
|
|
5.000 |
|
|
02/01/2039 |
|
21,465,800 |
| Illinois State GO Bonds Series 2014 (BBB-/Baa3) |
|
|
|
2,500,000 |
|
|
|
5.000 |
|
|
05/01/2029 |
|
2,600,975 |
|
|
|
10,000,000 |
|
|
|
5.000 |
|
|
05/01/2030 |
|
10,383,000 |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
04/01/2031 |
|
2,073,560 |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
05/01/2031 |
|
5,183,650 |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
05/01/2039 |
|
5,142,100 |
| Illinois State GO Bonds Series 2016 (BBB-/Baa3) |
|
|
|
4,415,000 |
|
|
|
5.000 |
|
|
11/01/2021 |
|
4,632,439 |
| Illinois State GO Bonds Series 2017 A (BBB-/Baa3) |
|
|
|
9,500,000 |
|
|
|
5.000 |
|
|
12/01/2035 |
|
9,957,425 |
|
|
|
1,770,000 |
|
|
|
4.500 |
|
|
12/01/2041 |
|
1,742,229 |
|
|
|
4,730,000 |
|
|
|
5.000 |
|
|
12/01/2042 |
|
4,928,092 |
| Illinois State GO Bonds Series 2017 C (BBB-/Baa3) |
|
|
|
44,000,000 |
|
|
|
5.000 |
|
|
11/01/2029 |
|
46,551,560 |
| Illinois State GO Bonds Series 2017 D (BBB-/Baa3) |
|
|
|
5,845,000 |
|
|
|
5.000 |
|
|
11/01/2025 |
|
6,220,425 |
|
|
|
59,810,000 |
|
|
|
5.000 |
|
|
11/01/2027 |
|
63,753,273 |
|
|
|
9,440,000 |
|
|
|
5.000 |
|
|
11/01/2028 |
|
10,024,808 |
| Illinois State GO Bonds Series 2018 A (BBB-/Baa3) |
|
|
|
5,280,000 |
|
|
|
5.000 |
|
|
05/01/2042 |
|
5,508,835 |
|
|
|
5,280,000 |
|
|
|
5.000 |
|
|
05/01/2043 |
|
5,504,559 |
| Illinois State GO Refunding Bonds Series 2012 (BBB-/Baa3) |
|
|
|
7,300,000 |
|
|
|
5.000 |
|
|
08/01/2021 |
|
7,638,355 |
| Illinois State GO Refunding Bonds Series 2016 (AGM) (AA/A2) |
|
|
|
20,175,000 |
|
|
|
4.000 |
|
|
02/01/2030 |
|
20,931,563 |
| Lincolnshire Special Service Area No. 1 Special Tax for Sedgebrook Project Series 2004 A
(NR/NR) |
|
|
|
2,013,000 |
|
|
|
6.250 |
|
|
03/01/2034 |
|
2,016,744 |
| |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Illinois – (continued) |
| Metropolitan Pier & Exposition Authority RB Refunding Capital Appreciation for McCormick Place Expansion
Project Series 2002 A (ETM) (NATL-RE) (NR/NR)(b)(d) |
| $ |
|
|
530,000 |
|
|
|
0.000 |
% |
|
06/15/2030 |
|
$ 375,267 |
| Metropolitan Pier & Exposition Authority RB Refunding Capital Appreciation for McCormick Place Expansion
Project Series 2002 A (NATL-RE) (BB+/NR)(b) |
|
|
|
9,370,000 |
|
|
|
0.000 |
|
|
06/15/2030 |
|
5,563,625 |
| Metropolitan Pier & Exposition Authority RB Refunding Capital Appreciation for McCormick Place Expansion
Project Series 2010 B1 (AGM) (AA/A2)(b) |
|
|
|
3,200,000 |
|
|
|
0.000 |
|
|
06/15/2044 |
|
983,104 |
| Metropolitan Pier & Exposition Authority RB Refunding for Mccormick Place Expansion Dedicated Sales Tax
Project Series 2010 B2 (ST APPROP) (BB+/Ba1) |
|
|
|
50,000,000 |
|
|
|
5.000 |
|
|
06/15/2050 |
|
50,871,500 |
| Metropolitan Pier & Exposition Authority RB Refunding for McCormick Place Expansion Project Series 2017 A
(BB+/NR)(b) |
|
|
|
66,700,000 |
|
|
|
0.000 |
|
|
12/15/2056 |
|
9,393,361 |
| Metropolitan Pier & Exposition Authority RB Refunding for McCormick Place Expansion Project Series 2017 B
(AGM) (AA/A2)(b) |
|
|
|
18,400,000 |
|
|
|
0.000 |
|
|
12/15/2056 |
|
3,037,656 |
| Metropolitan Pier & Exposition Authority RB Refunding for McCormick Place Expansion Project Series 2017 B
(BB+/NR)(b) |
|
|
|
64,400,000 |
|
|
|
0.000 |
|
|
12/15/2054 |
|
10,115,308 |
| Plano Special Service Area No. 5 Special Tax for Lakewood Springs Club Unit 6 Series 2006 (NR/NR)(i) |
|
|
|
4,555,000 |
|
|
|
6.000 |
|
|
03/01/2036 |
|
2,915,200 |
| Quad Cities Regional Economic Development Authority RB for Augustana College Series 2012
(NR/Baa1) |
|
|
|
840,000 |
|
|
|
4.750 |
|
|
10/01/2029 |
|
894,004 |
|
|
|
1,010,000 |
|
|
|
4.750 |
|
|
10/01/2032 |
|
1,056,096 |
| Regional Transportation Authority Illinois GO Bonds Series 2016 A (AA/A2) |
|
|
|
7,730,000 |
|
|
|
4.000 |
|
|
06/01/2046 |
|
7,903,539 |
| Southwestern Illinois Development Authority Health Facility RB for Memorial Group, Inc. Series 2013 (NR/NR)(d) |
|
|
|
19,200,000 |
|
|
|
7.125 |
|
|
11/01/2023 |
|
23,950,464 |
|
|
|
5,000,000 |
|
|
|
7.625 |
|
|
11/01/2023 |
|
6,362,200 |
| Southwestern Illinois Development Authority RB Capital Appreciation for United States Steel Corporation Project
Series 2012 (AMT) (B/B2) |
|
|
|
12,505,000 |
|
|
|
5.750 |
|
|
08/01/2042 |
|
12,635,302 |
| Springfield Illinois Senior Lien Electric RB Refunding Series 2015 (AGM) (AA/A2) |
|
|
|
13,625,000 |
|
|
|
4.000 |
|
|
03/01/2040 |
|
13,863,846 |
| State of Illinois GO Bonds Series 2010 (BBB-/Baa3) |
|
|
|
7,500,000 |
|
|
|
5.250 |
|
|
02/01/2028 |
|
7,554,900 |
| State of Illinois GO Bonds Series 2010 A (BBB-/Baa3) |
|
|
|
3,500,000 |
|
|
|
4.000 |
|
|
01/01/2021 |
|
3,554,845 |
| Village of Romeoville RB Refunding for Lewis University Series 2018 B (BBB+/NR)(h) |
|
|
|
540,000 |
|
|
|
4.125 |
|
|
10/01/2041 |
|
534,794 |
|
|
|
1,080,000 |
|
|
|
4.125 |
|
|
10/01/2046 |
|
1,059,610 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
882,023,272 |
| |
| Indiana – 0.5% |
| Gary/Chicago International Airport Authority Airport Development Zone RB Series 2014 (AMT)
(BBB+/NR) |
|
|
|
1,300,000 |
|
|
|
5.000 |
|
|
02/01/2029 |
|
1,437,514 |
|
|
|
1,250,000 |
|
|
|
5.250 |
|
|
02/01/2034 |
|
1,386,662 |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
02/01/2039 |
|
1,627,320 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Indiana – (continued) |
| Indiana Finance Authority Environmental Improvement RB for United States Steel Corp. Project Series 2012 (AMT)
(B/B2) |
| $ |
|
|
795,000 |
|
|
|
5.750 |
% |
|
08/01/2042 |
|
$ 803,284 |
| Indiana Finance Authority Hospital RB for Indiana University Health Obligated Group Series 2011 N (AA/Aa2)(d) |
|
|
|
2,000,000 |
|
|
|
5.125 |
|
|
03/01/2021 |
|
2,168,720 |
| Indiana Finance Authority Midwestern Disaster Relief RB for Ohio Valley Electric Co. Project Series 2012 A
(BBB-/Ba1) |
|
|
|
6,825,000 |
|
|
|
5.000 |
|
|
06/01/2039 |
|
6,853,460 |
| Indiana Finance Authority RB for Private Activity for Ohio River Bridges East End Crossing Project Series 2013 A
(BBB+/NR) |
|
|
|
6,250,000 |
|
|
|
5.000 |
|
|
07/01/2048 |
|
6,649,625 |
| Indiana Municipal Power Agency Power Supply System RB Refunding Series 2016 A (A+/A1) |
|
|
|
7,750,000 |
|
|
|
5.000 |
|
|
01/01/2042 |
|
8,767,963 |
| Indianapolis Airport Authority Special Facilities RB for United Air Lines, Inc. Project Series 1995 A (AMT)
(NR/WR)(i) |
|
|
|
7,520,823 |
|
|
|
6.500 |
|
|
11/15/2031 |
|
75 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,694,623 |
| |
| Iowa – 0.0% |
| Pottawattamie County RB Refunding for Christian Homes, Inc. Series 2007 E (BBB-/NR) |
|
|
|
1,355,000 |
|
|
|
5.750 |
|
|
05/15/2031 |
|
1,358,428 |
| |
| Kentucky – 1.1% |
| Kentucky Economic Development Finance Authority Hospital RB for Owensboro Medical Health System, Inc. Series 2010
A (BB+/Baa3)(d) |
|
|
|
8,000,000 |
|
|
|
6.375 |
|
|
06/01/2020 |
|
8,679,680 |
|
|
|
8,250,000 |
|
|
|
6.500 |
|
|
06/01/2020 |
|
8,970,142 |
| Kentucky Economic Development Finance Authority Hospital RB Refunding for Louisville Arena Authority, Inc. Series
2017 A (AGM) (AA/A2) |
|
|
|
900,000 |
|
|
|
4.000 |
|
|
12/01/2041 |
|
921,987 |
| Kentucky Economic Development Finance Authority Hospital RB Refunding for Owensboro Medical Health System, Inc.
Series 2017 A (AGM) (AA/A2) |
|
|
|
3,300,000 |
|
|
|
4.000 |
|
|
06/01/2037 |
|
3,339,435 |
|
|
|
3,000,000 |
|
|
|
4.000 |
|
|
06/01/2045 |
|
3,004,380 |
| Kentucky Economic Development Finance Authority Hospital RB Refunding for Owensboro Medical Health System, Inc.
Series 2017 B (AGM) (AA/A2) |
|
|
|
1,000,000 |
|
|
|
4.000 |
|
|
06/01/2037 |
|
1,011,950 |
| Louisville & Jefferson County Metropolitan Government Health System RB for Norton Healthcare, Inc. Series
2013 A (A-/NR) |
|
|
|
5,000,000 |
|
|
|
5.750 |
|
|
10/01/2042 |
|
5,654,600 |
| Louisville & Jefferson County Metropolitan Government Health System RB for Norton Healthcare, Inc. Series
2016 A (A-/NR) |
|
|
|
17,575,000 |
|
|
|
4.000 |
|
|
10/01/2034 |
|
17,845,831 |
|
|
|
15,205,000 |
|
|
|
4.000 |
|
|
10/01/2036 |
|
15,321,318 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
64,749,323 |
| |
| Louisiana – 2.6% |
| Louisiana Local Government Environmental Facilities and Community Development Authority RB for Westlake Chemical
Corp. Projects Series 2010 A-2 (BBB/Baa3) |
|
|
|
5,000,000 |
|
|
|
6.500 |
|
|
11/01/2035 |
|
5,483,900 |
| Louisiana Local Government Environmental Facilities and Community Development Authority RB for Women’s
Hospital Foundation Project Series 2010 A (A/A2)(d) |
|
|
|
19,265,000 |
|
|
|
6.000 |
|
|
10/01/2020 |
|
21,022,931 |
| |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Louisiana – (continued) |
| Louisiana Local Government Environmental Facilities and Community Development Authority RB Refunding for
Ragin’ Cajun Facilities, Inc. - Student Housing & Parking Project Series 2017 (AGM) (AA/NR) |
| $ |
|
|
2,600,000 |
|
|
|
5.000 |
% |
|
10/01/2039 |
|
$ 2,925,312 |
|
|
|
4,850,000 |
|
|
|
4.000 |
|
|
10/01/2041 |
|
5,008,886 |
| Louisiana Public Facilities Authority RB Refunding for Energy LLC Project Series 2016 A
(A/A2) |
|
|
|
14,475,000 |
|
|
|
3.375 |
|
|
09/01/2028 |
|
14,575,456 |
| Louisiana Public Facilities Authority RB Refunding for Energy LLC Project Series 2016 B
(A/A2) |
|
|
|
13,950,000 |
|
|
|
3.500 |
|
|
06/01/2030 |
|
14,053,509 |
| Louisiana Public Facilities Authority RB Refunding for Ochsner Clinic Foundation Project Series 2017
(A-/A3) |
|
|
|
12,725,000 |
|
|
|
4.000 |
|
|
05/15/2042 |
|
12,790,661 |
|
|
|
4,825,000 |
|
|
|
5.000 |
|
|
05/15/2042 |
|
5,341,420 |
|
|
|
21,250,000 |
|
|
|
5.000 |
|
|
05/15/2046 |
|
23,456,387 |
| New Orleans Aviation Board General Airport RB for North Terminal Project Series 2015 B (AMT)
(A-/A3) |
|
|
|
32,395,000 |
|
|
|
5.000 |
|
|
01/01/2045 |
|
35,117,800 |
| New Orleans Aviation Board General Airport RB for North Terminal Project Series 2017 B (AMT)
(A-/A3) |
|
|
|
4,850,000 |
|
|
|
5.000 |
|
|
01/01/2048 |
|
5,354,352 |
| New Orleans Aviation Board Gulf Opportunity Zone RB for Consolidated Rental Car Project Series 2009 A
(A-/Baa1) |
|
|
|
7,470,000 |
|
|
|
6.500 |
|
|
01/01/2040 |
|
7,623,359 |
| Port of New Orleans Board of Commissioners RB Series 2018 A (AGM) (AA/A2) |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
04/01/2048 |
|
2,259,900 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
155,013,873 |
| |
| Maryland – 1.0% |
| Baltimore Maryland RB Refunding for Convention Center Hotel Project Series 2017 (BBB-/NR) |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
09/01/2039 |
|
2,213,480 |
|
|
|
1,725,000 |
|
|
|
5.000 |
|
|
09/01/2042 |
|
1,900,639 |
|
|
|
11,880,000 |
|
|
|
5.000 |
|
|
09/01/2046 |
|
13,050,774 |
| Baltimore Maryland Special Obligation Refunding for Baltimore Research Park Project Series 2017 A
(NR/NR) |
|
|
|
2,950,000 |
|
|
|
4.500 |
|
|
09/01/2033 |
|
3,066,673 |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
09/01/2038 |
|
1,606,890 |
| Frederick County Maryland Special Tax Limited Obligations Bonds for Jefferson Technology Park Series 2013 A
(NR/NR) |
|
|
|
2,980,000 |
|
|
|
7.250 |
|
|
07/01/2043 |
|
3,126,944 |
| Frederick County Maryland Tax Incremental & Special Tax Limited Obligations Bonds for Jefferson Technology
Park Series 2013 B (NR/NR)(e) |
|
|
|
8,850,000 |
|
|
|
7.125 |
|
|
07/01/2043 |
|
9,542,601 |
| Maryland Stadium Authority RB for Baltimore City Public Schools Construction & Revitalization Program Series
2016 (AA-/Aa3) |
|
|
|
10,000,000 |
|
|
|
5.000 |
|
|
05/01/2046 |
|
11,237,200 |
| Maryland State Health & Higher Educational Facilities Authority RB for Doctors Community Hospital Series 2010
(NR/Baa3)(d) |
|
|
|
9,500,000 |
|
|
|
5.750 |
|
|
07/01/2020 |
|
10,235,775 |
| Maryland State Health & Higher Educational Facilities Authority RB for Mercy Medical Center Series 2012
(BBB/Baa2) |
|
|
|
2,100,000 |
|
|
|
5.000 |
|
|
07/01/2031 |
|
2,235,807 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
58,216,783 |
| |
| Massachusetts – 0.5% |
| Massachusetts Development Finance Agency RB for Simmons College Issue Series 2015 K-1
(BBB+/Baa1) |
|
|
|
1,950,000 |
|
|
|
5.000 |
|
|
10/01/2036 |
|
2,129,127 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Massachusetts – (continued) |
| Massachusetts Development Finance Agency RB for Suffolk University Issue Series 2009 A
(BBB/Baa2) |
| $ |
|
|
4,215,000 |
|
|
|
5.750 |
% |
|
07/01/2039 |
|
$ 4,341,576 |
| Massachusetts Development Finance Agency RB for Suffolk University Issue Series 2009 A (NR/NR)(d) |
|
|
|
8,285,000 |
|
|
|
5.750 |
|
|
07/01/2019 |
|
8,628,745 |
| Massachusetts Development Finance Agency RB Series 2013 A (NR/NR)(d)(e) |
|
|
|
2,250,000 |
|
|
|
6.500 |
|
|
11/15/2023 |
|
2,739,690 |
| Massachusetts State GO Bonds Consolidated Loan Series 2007 A (NATL-RE) (AA/Aa1)(c) |
| (3 Mo. LIBOR + 0.57%), |
|
|
|
4,810,000 |
|
|
|
2.150 |
|
|
05/01/2037 |
|
4,632,944 |
| Massachusetts State GO Bonds Consolidated Loan Series 2012 A (BHAC-CR) (AA+/Aa1)(c) |
| (3 Mo. LIBOR + 0.57%), |
|
|
|
3,000,000 |
|
|
|
2.150 |
|
|
05/01/2037 |
|
2,889,570 |
| Massachusetts State Health & Educational Facilities Authority RB for Tufts University Issue Project Series
2008 N-2 (AA-/Aa2)(f)(g) |
|
|
|
1,500,000 |
|
|
|
1.480 |
|
|
07/04/2018 |
|
1,500,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,861,652 |
| |
| Michigan – 1.4% |
| City of Detroit Financial Recovery Series 2014 B-1 (NR/NR)(g) |
|
|
|
32,780,536 |
|
|
|
4.000 |
|
|
04/01/2034 |
|
27,037,058 |
| City of Detroit Financial Recovery Series 2014 B-2 (NR/NR)(g) |
|
|
|
971,333 |
|
|
|
4.000 |
|
|
04/01/2034 |
|
801,146 |
| Detroit Michigan School District GO Bonds for School Building and Site Improvement Series 2002 A (FGIC-Q-SBLF)
(AA-/Aa1) |
|
|
|
3,500,000 |
|
|
|
6.000 |
|
|
05/01/2020 |
|
3,753,190 |
|
|
|
3,000,000 |
|
|
|
6.000 |
|
|
05/01/2021 |
|
3,290,850 |
| Detroit Michigan Sewage Disposal System RB Refunding Series 2006 D (AGM) (AA/A2)(c) |
| (3 Mo. LIBOR + 0.60%, 15.00% Cap), |
|
|
|
4,675,000 |
|
|
|
2.149 |
|
|
07/01/2032 |
|
4,463,503 |
| Detroit Michigan Water & Sewerage Department Sewage Disposal System RB Refunding Senior Lien Series 2012 A
(A-/A3) |
|
|
|
2,000,000 |
|
|
|
5.250 |
|
|
07/01/2039 |
|
2,149,480 |
| Karegnondi Water Authority Water Supply System RB Refunding for Karegnondi Water Pipeline Series 2018
(A/NR) |
|
|
|
1,425,000 |
|
|
|
5.000 |
|
|
11/01/2045 |
|
1,575,865 |
| Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewerage Department
Sewage Disposal System Local Project Senior Lien Series 2014 C-3 (AGM) (AA/A2) |
|
|
|
2,175,000 |
|
|
|
5.000 |
|
|
07/01/2032 |
|
2,427,191 |
|
|
|
1,750,000 |
|
|
|
5.000 |
|
|
07/01/2033 |
|
1,947,820 |
| Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewerage Department
Sewage Disposal System Second Lien Series 2015 C (BBB+/Baa1) |
|
|
|
355,000 |
|
|
|
5.000 |
|
|
07/01/2033 |
|
391,256 |
| Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewerage Department
Water Supply System Local Project Senior Lien Series 2014 D-1 (AGM) (AA/A2) |
|
|
|
2,600,000 |
|
|
|
5.000 |
|
|
07/01/2035 |
|
2,880,332 |
| Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewerage Department
Water Supply System Local Project Senior Lien Series 2015 D-1 (A-/A3) |
|
|
|
1,250,000 |
|
|
|
5.000 |
|
|
07/01/2034 |
|
1,381,763 |
| |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Michigan – (continued) |
| Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewerage Department
Water Supply System Local Project Senior Lien Series 2015 D-2 (BBB+/Baa1) |
| $ |
|
|
2,100,000 |
|
|
|
5.000 |
% |
|
07/01/2034 |
|
$ 2,298,030 |
| Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewerage Department
Water Supply System Series 2015 D-1 (A-/A3) |
|
|
|
750,000 |
|
|
|
5.000 |
|
|
07/01/2035 |
|
827,580 |
| Michigan Tobacco Settlement Finance Authority RB for Capital Appreciation Series 2007 B (CCC+/NR)(b) |
|
|
|
238,600,000 |
|
|
|
0.000 |
|
|
06/01/2052 |
|
16,525,436 |
| Michigan Tobacco Settlement Finance Authority RB for Capital Appreciation Series 2007 C (CCC/NR)(b) |
|
|
|
180,100,000 |
|
|
|
0.000 |
|
|
06/01/2052 |
|
11,094,160 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
82,844,660 |
| |
| Minnesota – 0.2% |
| Duluth Economic Development Authority Health Care Facilities RB for St. Luke’s Hospital Series 2012
(NR/NR) |
|
|
|
2,500,000 |
|
|
|
5.750 |
|
|
06/15/2032 |
|
2,724,075 |
|
|
|
3,750,000 |
|
|
|
6.000 |
|
|
06/15/2039 |
|
4,138,087 |
| Minnesota Higher Education Facilities Authority RB Refunding for Bethel University Project Series 2017
(BBB-/NR) |
|
|
|
2,400,000 |
|
|
|
5.000 |
|
|
05/01/2047 |
|
2,606,664 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,468,826 |
| |
| Mississippi – 0.3% |
| Jackson County PCRB Refunding for Chevron U.S.A., Inc. Project Series 1993 (AA-/Aa2)(f)(g) |
|
|
|
5,000,000 |
|
|
|
1.650 |
|
|
07/04/2018 |
|
5,000,000 |
| Mississippi Business Finance Corp. Gulf Opportunity Zone RB for Chevron U.S.A, Inc. Project Series 2010 G
(AA-/Aa2)(f)(g) |
|
|
|
7,500,000 |
|
|
|
1.530 |
|
|
07/04/2018 |
|
7,500,000 |
| Mississippi Business Finance Corp. Solid Waste Disposal RB for Waste Pro USA, Inc. Project Series 2017 (AMT)
(NR/NR)(e)(f)(g) |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
08/01/2022 |
|
2,077,560 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,577,560 |
| |
| Missouri – 0.2% |
| Branson Regional Airport Transportation Development District Taxable RB for Branson Airport Project Series 2018 A
(NR/NR)(e)(g) |
|
|
|
438,396 |
|
|
|
5.000 |
|
|
04/01/2023 |
|
91,866 |
| Branson Regional Airport Transportation Development District Taxable RB for Branson Airport Project Series 2018 B
(NR/NR)(e)(g) |
|
|
|
2,213,400 |
|
|
|
5.000 |
|
|
04/01/2023 |
|
463,818 |
| Cape Girardeau County IDA Health Facilities RB Refunding for South Eastern Health Series 2017 A
(BBB-/Baa3) |
|
|
|
1,925,000 |
|
|
|
5.000 |
|
|
03/01/2036 |
|
2,071,935 |
| Kansas City Missouri Industrial Development Authority Senior Sales Tax RB Refunding and Improvement Bonds for
Ward Parkway Center Community Improvement District Series 2016 A (NR/NR)(e) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
04/01/2036 |
|
1,033,640 |
|
|
|
1,150,000 |
|
|
|
5.000 |
|
|
04/01/2046 |
|
1,170,608 |
| Missouri Health & Educational Facilities Authority RB Series 2003 B (AA+/Aa1)(f)(g) |
|
|
|
5,675,000 |
|
|
|
1.600 |
|
|
07/04/2018 |
|
5,675,000 |
| St. Louis IDA Financing RB Refunding for Ballpark Village Development Project Series 2017 A
(NR/NR) |
|
|
|
1,900,000 |
|
|
|
4.750 |
|
|
11/15/2047 |
|
1,956,772 |
| Stone Canyon Community Improvement District RB for Public Infrastructure Improvement Project Series 2007 (NR/NR)(i) |
|
|
|
1,250,000 |
|
|
|
5.750 |
|
|
04/01/2027 |
|
306,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,769,889 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Nevada – 0.2% |
| City of Las Vegas Special Improvement District No. 607 for Local Improvement Refunding Series 2013
(NR/NR) |
| $ |
|
|
665,000 |
|
|
|
4.000 |
% |
|
06/01/2019 |
|
$ 671,996 |
|
|
|
565,000 |
|
|
|
4.000 |
|
|
06/01/2020 |
|
577,097 |
|
|
|
725,000 |
|
|
|
4.000 |
|
|
06/01/2021 |
|
745,257 |
|
|
|
395,000 |
|
|
|
5.000 |
|
|
06/01/2022 |
|
421,982 |
|
|
|
345,000 |
|
|
|
5.000 |
|
|
06/01/2023 |
|
370,571 |
|
|
|
200,000 |
|
|
|
4.250 |
|
|
06/01/2024 |
|
205,572 |
|
|
|
225,000 |
|
|
|
5.000 |
|
|
06/01/2024 |
|
240,766 |
| City of Las Vegas Special Improvement District No. 813 for Summerlin Village 26 Local Improvement Bonds Series
2017 (NR/NR) |
|
|
|
325,000 |
|
|
|
4.250 |
|
|
06/01/2037 |
|
319,595 |
|
|
|
475,000 |
|
|
|
4.375 |
|
|
06/01/2042 |
|
469,770 |
|
|
|
550,000 |
|
|
|
4.500 |
|
|
06/01/2047 |
|
549,978 |
| Henderson Local Improvement District No. T-16 Special Assessment Limited Obligation Series 2005
(NR/NR) |
|
|
|
1,860,000 |
|
|
|
5.000 |
|
|
03/01/2020 |
|
1,842,535 |
|
|
|
1,860,000 |
|
|
|
5.100 |
|
|
03/01/2021 |
|
1,833,774 |
|
|
|
970,000 |
|
|
|
5.100 |
|
|
03/01/2022 |
|
947,971 |
|
|
|
2,615,000 |
|
|
|
5.125 |
|
|
03/01/2025 |
|
2,506,870 |
| Henderson Local Improvement District No. T-18 Limited Obligation Series 2016 (NR/NR) |
|
|
|
2,200,000 |
|
|
|
4.000 |
|
|
09/01/2035 |
|
2,149,114 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,852,848 |
| |
| New Jersey – 6.7% |
| Atlantic City Tax Appeal Refunding Bonds Series 2017 A (BAM) (ST AID WITHHLDG) (AA/Baa1) |
|
|
|
725,000 |
|
|
|
5.000 |
|
|
03/01/2032 |
|
815,415 |
|
|
|
965,000 |
|
|
|
5.000 |
|
|
03/01/2037 |
|
1,071,546 |
|
|
|
1,205,000 |
|
|
|
5.000 |
|
|
03/01/2042 |
|
1,331,404 |
| New Jersey Economic Development Authority Cigarette Tax RB Refunding Series 2012
(BBB+/Baa1) |
|
|
|
2,500,000 |
|
|
|
5.000 |
|
|
06/15/2026 |
|
2,666,650 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
06/15/2028 |
|
1,062,080 |
| New Jersey Economic Development Authority Energy Facilities RB for UMM Energy Partners, LLC Project Series 2012 A
(AMT) (NR/Baa3) |
|
|
|
1,000,000 |
|
|
|
4.750 |
|
|
06/15/2032 |
|
1,034,150 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
06/15/2037 |
|
1,035,810 |
|
|
|
1,000,000 |
|
|
|
5.125 |
|
|
06/15/2043 |
|
1,037,380 |
| New Jersey Economic Development Authority Motor Vehicle Surcharges RB Refunding Subordinate Series 2017 A
(BBB+/Baa2) |
|
|
|
6,000,000 |
|
|
|
4.000 |
|
|
07/01/2032 |
|
5,980,860 |
| New Jersey Economic Development Authority Private Activity RB for Goethals Bridge Replacement Project Series 2013
(AMT) (BBB-/NR) |
|
|
|
1,000,000 |
|
|
|
5.375 |
|
|
01/01/2043 |
|
1,090,370 |
| New Jersey Economic Development Authority RB for Provident Group - Kean Properties L.L.C. - Kean University
Student Housing Project Series 2017 A (BBB-/NR) |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
07/01/2037 |
|
541,700 |
|
|
|
1,150,000 |
|
|
|
5.000 |
|
|
07/01/2047 |
|
1,237,273 |
| New Jersey Economic Development Authority RB for School Facilities Construction Series 2009 BB (BBB+/Baa1)(d) |
|
|
|
1,640,000 |
|
|
|
5.000 |
|
|
09/01/2019 |
|
1,702,894 |
| New Jersey Economic Development Authority RB for School Facilities Construction Series 2016 AAA
(BBB+/Baa1) |
|
|
|
4,500,000 |
|
|
|
5.000 |
|
|
06/15/2041 |
|
4,806,585 |
| New Jersey Economic Development Authority Special Facilities RB for Continental Airlines, Inc. Project Series
1998 (AMT) (BB/Ba3) |
|
|
|
7,500,000 |
|
|
|
5.500 |
|
|
04/01/2028 |
|
7,512,300 |
| |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| New Jersey – (continued) |
| New Jersey Economic Development Authority Special Facilities RB for Continental Airlines, Inc. Project Series
1999 (BB/Ba3) |
| $ |
|
|
8,500,000 |
|
|
|
5.250 |
% |
|
09/15/2029 |
|
$ 9,229,640 |
| New Jersey Economic Development Authority Special Facilities RB for Continental Airlines, Inc. Project Series
2000 A (AMT) (BB/Ba3) |
|
|
|
5,000,000 |
|
|
|
5.625 |
|
|
11/15/2030 |
|
5,640,950 |
| New Jersey Economic Development Authority Special Facilities RB for Continental Airlines, Inc. Project Series
2000 B (AMT) (BB/Ba3) |
|
|
|
5,000,000 |
|
|
|
5.625 |
|
|
11/15/2030 |
|
5,640,950 |
| New Jersey Health Care Facilities Financing Authority RB Refunding for Trinitas Regional Medical Center Series
2017 A (BBB/Baa2) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
07/01/2028 |
|
1,123,080 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
07/01/2029 |
|
1,117,110 |
|
|
|
900,000 |
|
|
|
5.000 |
|
|
07/01/2030 |
|
1,001,394 |
| New Jersey Health Care Facilities Financing Authority RB Refunding for University Hospital Series 2015 A (AGM)
(AA/A2) |
|
|
|
9,700,000 |
|
|
|
4.125 |
|
|
07/01/2038 |
|
10,018,451 |
|
|
|
5,600,000 |
|
|
|
5.000 |
|
|
07/01/2046 |
|
6,164,592 |
| New Jersey Transportation Trust Fund Authority RB Capital Appreciation for Transportation System Bonds Series
2006 C (AMBAC) (BBB+/Baa1)(b) |
|
|
|
134,115,000 |
|
|
|
0.000 |
|
|
12/15/2035 |
|
62,219,972 |
|
|
|
63,370,000 |
|
|
|
0.000 |
|
|
12/15/2036 |
|
27,931,595 |
| New Jersey Transportation Trust Fund Authority RB Capital Appreciation for Transportation System Bonds Series
2008 A (BBB+/Baa1)(b) |
|
|
|
41,545,000 |
|
|
|
0.000 |
|
|
12/15/2035 |
|
18,947,844 |
| New Jersey Transportation Trust Fund Authority RB Capital Appreciation for Transportation System Bonds Series
2010 A (BBB+/Baa1)(b) |
|
|
|
12,000,000 |
|
|
|
0.000 |
|
|
12/15/2026 |
|
8,516,160 |
|
|
|
9,180,000 |
|
|
|
0.000 |
|
|
12/15/2029 |
|
5,640,100 |
|
|
|
1,900,000 |
|
|
|
0.000 |
|
|
12/15/2034 |
|
912,285 |
|
|
|
4,875,000 |
|
|
|
0.000 |
|
|
12/15/2036 |
|
2,110,290 |
| New Jersey Transportation Trust Fund Authority RB for Federal Highway Reimbursement Notes Subseries 2016 A-1
(A+/Baa1) |
|
|
|
3,335,000 |
|
|
|
5.000 |
|
|
06/15/2030 |
|
3,638,385 |
| New Jersey Transportation Trust Fund Authority RB for Transportation Program Bonds Series 2014 AA
(BBB+/Baa1) |
|
|
|
26,070,000 |
|
|
|
5.000 |
|
|
06/15/2038 |
|
27,451,710 |
| New Jersey Transportation Trust Fund Authority RB for Transportation Program Bonds Series 2015 AA
(BBB+/Baa1) |
|
|
|
2,500,000 |
|
|
|
5.250 |
|
|
06/15/2041 |
|
2,681,650 |
|
|
|
5,075,000 |
|
|
|
5.000 |
|
|
06/15/2045 |
|
5,354,988 |
|
|
|
1,750,000 |
|
|
|
5.000 |
|
|
06/15/2046 |
|
1,845,462 |
| New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2006 C (AGM) (AA/A2)(b) |
|
|
|
11,150,000 |
|
|
|
0.000 |
|
|
12/15/2033 |
|
6,001,264 |
|
|
|
25,400,000 |
|
|
|
0.000 |
|
|
12/15/2034 |
|
12,986,258 |
| New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2006 C (NATL-RE)
(BBB+/Baa1)(b) |
|
|
|
25,900,000 |
|
|
|
0.000 |
|
|
12/15/2027 |
|
17,863,489 |
|
|
|
10,055,000 |
|
|
|
0.000 |
|
|
12/15/2030 |
|
6,044,362 |
| New Jersey Transportation Trust Fund Authority RB for Transportation System Series 2008 A (BBB+/Baa1)(b) |
|
|
|
52,985,000 |
|
|
|
0.000 |
|
|
12/15/2036 |
|
22,936,147 |
|
|
|
48,000,000 |
|
|
|
0.000 |
|
|
12/15/2037 |
|
19,743,840 |
| New Jersey Transportation Trust Fund Authority RB for Transportation System Series 2009 A (BBB+/Baa1)(b) |
|
|
|
2,550,000 |
|
|
|
0.000 |
|
|
12/15/2033 |
|
1,291,881 |
|
|
|
25,000,000 |
|
|
|
0.000 |
|
|
12/15/2038 |
|
9,804,500 |
|
|
|
740,000 |
|
|
|
0.000 |
|
|
12/15/2039 |
|
274,333 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| New Jersey – (continued) |
| New Jersey Transportation Trust Fund Authority RB for Transportation System Series 2011 A (ST APPROP)
(BBB+/Baa1) |
| $ |
|
|
4,350,000 |
|
|
|
5.500 |
% |
|
06/15/2041 |
|
$ 4,543,314 |
| New Jersey Transportation Trust Fund Authority RB for Transportation System Series 2011 B
(BBB+/Baa1) |
|
|
|
12,875,000 |
|
|
|
5.000 |
|
|
06/15/2042 |
|
13,254,941 |
| Newark New Jersey Housing Authority RB for South Ward Police Facility Series 2009 A (ASSURED GTY) (NR/A3)(d) |
|
|
|
2,000,000 |
|
|
|
6.750 |
|
|
12/01/2019 |
|
2,143,120 |
| South Jersey Port Corp. Subordinated Marine Terminal RB Series 2017 B (AMT) (NR/Baa1) |
|
|
|
18,025,000 |
|
|
|
5.000 |
|
|
01/01/2048 |
|
19,585,785 |
| Tobacco Settlement Financing Corp. RB Series 2018 B (BBB/NR) |
|
|
|
15,250,000 |
|
|
|
5.000 |
|
|
06/01/2046 |
|
16,383,838 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
392,970,097 |
| |
| New Mexico – 0.3% |
| Farmington New Mexico PCRB Refunding for Public Service Co. of New Mexico San Juan Project Series 2010 D
(BBB+/Baa2) |
|
|
|
14,000,000 |
|
|
|
5.900 |
|
|
06/01/2040 |
|
14,912,380 |
| Farmington New Mexico PCRB Refunding for Public Service Co. of New Mexico San Juan Project Series 2010 F (AMT)
(BBB+/Baa2) |
|
|
|
1,500,000 |
|
|
|
6.250 |
|
|
06/01/2040 |
|
1,609,245 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,521,625 |
| |
| New York – 3.4% |
| Brooklyn Arena Local Development Corp. Pilot RB Refunding for Barclays Center Series 2016 A (AGM)
(AA/A2) |
|
|
|
1,240,000 |
|
|
|
3.000 |
|
|
07/15/2043 |
|
1,103,898 |
| Brooklyn Arena Local Development Corp. Pilot RB Refunding for Barclays Center Series 2016 A
(BBB-/Baa3) |
|
|
|
7,725,000 |
|
|
|
5.000 |
|
|
07/15/2042 |
|
8,465,905 |
| Chautauqua County Industrial Development Agency Exempt Facility RB for Dunkirk NRG Power Project Series 2009
(BB+/Baa3) |
|
|
|
2,650,000 |
|
|
|
5.875 |
|
|
04/01/2042 |
|
2,749,004 |
| Hempstead Town Local Development Corp. RB Refunding for Molloy College Project Series 2017
(BBB/NR) |
|
|
|
645,000 |
|
|
|
5.000 |
|
|
07/01/2030 |
|
723,335 |
|
|
|
865,000 |
|
|
|
5.000 |
|
|
07/01/2033 |
|
962,261 |
|
|
|
815,000 |
|
|
|
5.000 |
|
|
07/01/2035 |
|
903,330 |
|
|
|
640,000 |
|
|
|
5.000 |
|
|
07/01/2036 |
|
708,320 |
|
|
|
455,000 |
|
|
|
5.000 |
|
|
07/01/2038 |
|
501,733 |
| New York City GO Bonds Fiscal 2014 Series I Subseries I-2 (AA/Aa2)(f)(g) |
|
|
|
7,000,000 |
|
|
|
1.530 |
|
|
07/04/2018 |
|
7,000,000 |
| New York City GO Bonds Fiscal 2015 Series F Subseries F6 (AA/Aa2)(f)(g) |
|
|
|
5,450,000 |
|
|
|
1.530 |
|
|
07/04/2018 |
|
5,450,000 |
| New York City Housing Development Corp. Multi-Family Mortgage RB for 8 Spruce Street Series 2014 F
(NR/NR) |
|
|
|
2,000,000 |
|
|
|
4.500 |
|
|
02/15/2048 |
|
2,075,660 |
| New York City Industrial Development Agency PILOT RB for Queens Baseball Stadium Project Series 2009 (ASSURED
GTY) (AA/A3) |
|
|
|
1,000,000 |
|
|
|
6.125 |
|
|
01/01/2029 |
|
1,022,750 |
|
|
|
3,000,000 |
|
|
|
6.375 |
|
|
01/01/2039 |
|
3,067,560 |
|
|
|
5,000,000 |
|
|
|
6.500 |
|
|
01/01/2046 |
|
5,117,150 |
| New York City Municipal Water Finance Authority RB for Water & Sewer System Second General Resolution Fiscal
2011 Subseries DD-2 (AA+/Aa1)(f)(g) |
|
|
|
1,700,000 |
|
|
|
1.530 |
|
|
07/04/2018 |
|
1,700,000 |
| New York City Municipal Water Finance Authority RB for Water & Sewer System Second General Resolution Fiscal
2014 Series AA Subseries AA1 (AA+/Aa1)(f)(g) |
|
|
|
7,800,000 |
|
|
|
1.530 |
|
|
07/04/2018 |
|
7,800,000 |
| |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| New York – (continued) |
| New York City Resource Corp. RB Refunding for YMCA of Greater New York Project Series 2015
(A-/Baa1) |
| $ |
|
|
1,000,000 |
|
|
|
5.000 |
% |
|
08/01/2040 |
|
$ 1,087,410 |
| New York City Transitional Finance Authority RB Future Tax Subordinate Fiscal 2013 Subseries C-4 (AAA/Aa1)(f)(g) |
|
|
|
3,175,000 |
|
|
|
1.530 |
|
|
07/04/2018 |
|
3,175,000 |
| New York State Energy Research & Development Authority PCRB for Mohawk Power Corp. RMKT 05/01/03 Series 1987
B (AMBAC) (A/Aa3)(g) |
|
|
|
14,480,000 |
|
|
|
5.183 |
|
|
07/01/2027 |
|
14,480,000 |
| New York State Energy Research & Development Authority PCRB RMKT 05/01/03 Series 1986 A (AMT) (AMBAC)
(NR/Aa3)(g) |
|
|
|
10,330,000 |
|
|
|
5.180 |
|
|
12/01/2026 |
|
10,330,000 |
| New York Transportation Development Corp. RB for Delta Air Lines, Inc. Series 2018 (AMT)
(BBB-/Baa3) |
|
|
|
5,025,000 |
|
|
|
5.000 |
|
|
01/01/2033 |
|
5,651,014 |
|
|
|
3,600,000 |
|
|
|
5.000 |
|
|
01/01/2034 |
|
4,033,008 |
|
|
|
12,475,000 |
|
|
|
4.000 |
|
|
01/01/2036 |
|
12,672,230 |
|
|
|
7,175,000 |
|
|
|
5.000 |
|
|
01/01/2036 |
|
8,007,300 |
| New York Transportation Development Corp. Special Facility RB for Laguardia Airport Terminal B Redevelopment
Project Series 2016 A (AMT) (AGM) (AA/A2) |
|
|
|
5,000,000 |
|
|
|
4.000 |
|
|
07/01/2035 |
|
5,096,150 |
|
|
|
12,600,000 |
|
|
|
4.000 |
|
|
01/01/2051 |
|
12,680,136 |
| New York Transportation Development Corp. Special Facility RB for Laguardia Airport Terminal B Redevelopment
Project Series 2016 A (AMT) (BBB/Baa3) |
|
|
|
9,480,000 |
|
|
|
4.000 |
|
|
07/01/2033 |
|
9,662,300 |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
07/01/2034 |
|
5,444,700 |
| New York Transportation Development Corp. Special Facility RB for Laguardia Airport Terminal B Redevelopment
Project Series 2016 A (AMT) (NR/Baa3) |
|
|
|
4,540,000 |
|
|
|
5.000 |
|
|
07/01/2041 |
|
4,907,922 |
|
|
|
33,450,000 |
|
|
|
5.250 |
|
|
01/01/2050 |
|
36,401,962 |
| Newburgh New York GO Serial Bonds Series 2012 A (NR/Baa2) |
|
|
|
1,565,000 |
|
|
|
5.750 |
|
|
06/15/2035 |
|
1,705,881 |
| Onondaga Civic Development Corp. RB for St. Joseph’s Hospital Health Center Project Series 2014 A (NR/WR)(d) |
|
|
|
1,750,000 |
|
|
|
5.125 |
|
|
07/01/2019 |
|
1,812,037 |
| Troy City Capital Resource Corp. RB for Rensselaer Polytechnic Institute Project Series 2010 A
(BBB+/A3) |
|
|
|
5,000,000 |
|
|
|
5.125 |
|
|
09/01/2040 |
|
5,254,850 |
| Westchester County Local Development Corporation RB for Westchester Medical Center Obligated Group Project Series
2016 (BBB/Baa2) |
|
|
|
4,375,000 |
|
|
|
5.000 |
|
|
11/01/2046 |
|
4,699,144 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
196,451,950 |
| |
| North Carolina – 0.2% |
| Columbus County Industrial Facilities and Pollution Control Financing Authority Recovery Zone Facility RB Series
2010 A (BBB/Baa2) |
|
|
|
1,000,000 |
|
|
|
5.700 |
|
|
05/01/2034 |
|
1,067,360 |
| North Carolina Medical Care Commission Health Care Facilities RB Refunding First Mortgage for Lutheran Services
for the Aging Series 2012 A (NR/NR) |
|
|
|
3,800,000 |
|
|
|
4.750 |
|
|
03/01/2032 |
|
3,961,728 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
03/01/2037 |
|
1,051,080 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
03/01/2042 |
|
1,047,570 |
| North Carolina Medical Care Commission Retirement Facilities RB Refunding First Mortgage for United Church Homes
and Services Series 2015 A (NR/NR) |
|
|
|
1,000,000 |
|
|
|
4.500 |
|
|
09/01/2030 |
|
1,028,210 |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
09/01/2037 |
|
2,122,740 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,278,688 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Ohio – 5.1% |
| Bowling Green City Student Housing RB for CFP I LLC - Bowling Green State University Project Series 2010 (NR/NR)(d) |
| $ |
|
|
7,000,000 |
|
|
|
6.000 |
% |
|
06/01/2020 |
|
$ 7,559,370 |
| Buckeye Ohio Tobacco Settlement Financing Authority RB Asset-Backed Bonds for Capital Appreciation 1st
Subordinate Series 2007 B
(BBB+/NR)(b) |
|
|
|
216,100,000 |
|
|
|
0.000 |
|
|
06/01/2047 |
|
17,657,531 |
| Buckeye Ohio Tobacco Settlement Financing Authority RB Asset-Backed Bonds for Capital Appreciation 2nd
Subordinate Series 2007 C (NR/NR)(b) |
|
|
|
685,130,000 |
|
|
|
0.000 |
|
|
06/01/2052 |
|
28,117,735 |
| Buckeye Ohio Tobacco Settlement Financing Authority RB Senior Turbo Asset-Backed Bonds Series 2007 A-2
(B-/Caa1) |
|
|
|
62,445,000 |
|
|
|
5.125 |
|
|
06/01/2024 |
|
62,297,630 |
|
|
|
31,815,000 |
|
|
|
5.875 |
|
|
06/01/2030 |
|
31,973,757 |
|
|
|
5,800,000 |
|
|
|
5.750 |
|
|
06/01/2034 |
|
5,807,192 |
| Buckeye Ohio Tobacco Settlement Financing Authority RB Senior Turbo Asset-Backed Bonds Series 2007 A-3
(B-/Caa1) |
|
|
|
23,905,000 |
|
|
|
6.250 |
|
|
06/01/2037 |
|
24,959,689 |
| Centerville Ohio Health Care RB Refunding and Improvement for Graceworks Lutheran Services Series 2017
(NR/NR) |
|
|
|
2,400,000 |
|
|
|
5.250 |
|
|
11/01/2037 |
|
2,565,912 |
|
|
|
2,700,000 |
|
|
|
5.250 |
|
|
11/01/2047 |
|
2,850,579 |
|
|
|
2,320,000 |
|
|
|
5.250 |
|
|
11/01/2050 |
|
2,440,362 |
| Cleveland Airport Special RB for Continental Airlines, Inc. Project Series 1998 (BB/Ba3) |
|
|
|
22,320,000 |
|
|
|
5.375 |
|
|
09/15/2027 |
|
22,386,067 |
| Cuyahoga County Ohio Hospital RB Refunding for Metrohealth System Series 2009 B (BBB-/Baa3) |
|
|
|
29,500,000 |
|
|
|
8.223 |
|
|
02/15/2040 |
|
36,424,830 |
| Cuyahoga County Ohio Hospital RB Refunding for Metrohealth System Series 2017 (BBB-/Baa3) |
|
|
|
6,250,000 |
|
|
|
5.000 |
|
|
02/15/2037 |
|
6,682,687 |
|
|
|
7,500,000 |
|
|
|
5.000 |
|
|
02/15/2042 |
|
7,968,750 |
|
|
|
7,500,000 |
|
|
|
4.750 |
|
|
02/15/2047 |
|
7,680,825 |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
02/15/2057 |
|
1,568,280 |
|
|
|
1,000,000 |
|
|
|
5.500 |
|
|
02/15/2057 |
|
1,089,350 |
| Hamilton County Health Care RB Refunding for Life Enriching Community Project Series 2012
(BBB-/NR) |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
01/01/2042 |
|
2,110,980 |
|
|
|
1,610,000 |
|
|
|
5.000 |
|
|
01/01/2046 |
|
1,696,618 |
| Muskingum County Hospital Facilities RB Refunding for Genesis Healthcare System Project Series 2013
(BB+/Ba2) |
|
|
|
8,000,000 |
|
|
|
5.000 |
|
|
02/15/2048 |
|
8,350,960 |
| Ohio Air Quality Development Authority Exempt Facilities RB for Pratt Paper LLC Project Series 2017 (AMT) (NR/NR)(e) |
|
|
|
2,400,000 |
|
|
|
3.750 |
|
|
01/15/2028 |
|
2,434,632 |
|
|
|
2,880,000 |
|
|
|
4.250 |
|
|
01/15/2038 |
|
2,948,054 |
|
|
|
10,310,000 |
|
|
|
4.500 |
|
|
01/15/2048 |
|
10,681,985 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
298,253,775 |
| |
| Oklahoma – 1.4% |
| Oklahoma Development Finance Authority Health System RB for OU Medicine Project Series 2018 B (AGM)
(AA/A2) |
|
|
|
3,900,000 |
|
|
|
4.000 |
|
|
08/15/2052 |
|
3,932,214 |
|
|
|
2,500,000 |
|
|
|
4.125 |
|
|
08/15/2057 |
|
2,540,275 |
| Oklahoma Development Finance Authority Health System RB for OU Medicine Project Series 2018 B
(BB+/Baa3) |
|
|
|
10,000,000 |
|
|
|
5.500 |
|
|
08/15/2052 |
|
11,425,400 |
|
|
|
9,500,000 |
|
|
|
5.500 |
|
|
08/15/2057 |
|
10,811,285 |
| |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Oklahoma – (continued) |
| Oklahoma Development Finance Authority RB Provident Oklahoma Education Resources Inc., Cross Village Student
Housing Project Series 2017 A (BB/NR) |
| $ |
|
|
6,220,000 |
|
|
|
5.000 |
% |
|
08/01/2047 |
|
$ 6,033,400 |
|
|
|
14,075,000 |
|
|
|
5.000 |
|
|
08/01/2052 |
|
13,652,750 |
|
|
|
3,875,000 |
|
|
|
5.250 |
|
|
08/01/2057 |
|
3,758,750 |
| Tulsa Municipal Airport Trust RB Refunding for American Airlines, Inc. Series 2001 A (AMT)
(NR/NR) |
|
|
|
2,680,000 |
|
|
|
5.500 |
|
|
12/01/2035 |
|
2,876,069 |
| Tulsa Municipal Airport Trust RB Refunding for American Airlines, Inc. Series 2001 B (AMT)
(NR/NR) |
|
|
|
24,300,000 |
|
|
|
5.500 |
|
|
12/01/2035 |
|
26,077,788 |
| Tulsa Municipal Airport Trust RB Refunding for American Airlines, Inc. Series 2015 (AMT) (BB-/NR)(f)(g) |
|
|
|
3,500,000 |
|
|
|
5.000 |
|
|
06/01/2025 |
|
3,766,280 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
84,874,211 |
| |
| Oregon – 0.1% |
| University of Oregon RB Series 2015 A (AA-/Aa2) |
|
|
|
7,345,000 |
|
|
|
5.000 |
|
|
04/01/2045 |
|
8,288,171 |
| |
| Pennsylvania – 3.0% |
| Allegheny County Higher Education Building Authority RB for Chatham University Series 2012 A
(BBB-/NR) |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
09/01/2030 |
|
1,579,230 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
09/01/2035 |
|
1,044,170 |
| Allentown Neighborhood Improvement Zone Development Authority Tax RB for City Center Refunding Project Series
2017 (NR/Ba1)(e) |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
05/01/2027 |
|
2,221,240 |
|
|
|
1,400,000 |
|
|
|
5.000 |
|
|
05/01/2032 |
|
1,527,120 |
|
|
|
6,950,000 |
|
|
|
5.000 |
|
|
05/01/2042 |
|
7,499,814 |
| Allentown Neighborhood Improvement Zone Development Authority Tax RB for City Center Refunding Project Series
2018 (NR/Ba1)(e) |
|
|
|
250,000 |
|
|
|
5.000 |
|
|
05/01/2028 |
|
279,622 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
05/01/2033 |
|
1,097,600 |
|
|
|
2,750,000 |
|
|
|
5.000 |
|
|
05/01/2042 |
|
2,990,158 |
| Allentown Neighborhood Improvement Zone Development Authority Tax RB Series 2012 A (NR/Baa3) |
|
|
|
18,000,000 |
|
|
|
5.000 |
|
|
05/01/2042 |
|
18,677,340 |
| Chester County IDA Student Housing RB for University Student Housing, LLC Project West Chester University Series
2013 A (NR/Baa3) |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
08/01/2035 |
|
531,490 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
08/01/2045 |
|
1,047,380 |
| City of Philadelphia GO Bonds Series 2011 (A/A2)(d) |
|
|
|
4,000,000 |
|
|
|
6.000 |
|
|
08/01/2020 |
|
4,350,480 |
| Clairton Municipal Authority Sewer RB Series 2012 B (BBB+/NR) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
12/01/2042 |
|
1,064,580 |
| Commonwealth Financing Authority Tobacco Master Settlement Payment RB Series 2018 (A/A1) |
|
|
|
1,900,000 |
|
|
|
5.000 |
|
|
06/01/2034 |
|
2,141,984 |
|
|
|
1,900,000 |
|
|
|
5.000 |
|
|
06/01/2035 |
|
2,136,892 |
| Commonwealth Financing Authority Tobacco Master Settlement Payment RB Series 2018 (AGM)
(AA/A1) |
|
|
|
6,000,000 |
|
|
|
4.000 |
|
|
06/01/2039 |
|
6,108,120 |
| County of Allegheny GO Notes Refunding Series 2007 C-59B (AGM) (AA/Aa3)(c) |
| (3 Mo. LIBOR + 0.55%), |
|
|
|
915,000 |
|
|
|
2.130 |
|
|
11/01/2026 |
|
901,861 |
| Cumberland County Municipal Authority RB for Diakon Lutheran Social Ministries Project Series 2015
(BBB+/NR) |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
01/01/2038 |
|
1,622,460 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Pennsylvania – (continued) |
| Geisinger Authority Health System RB for Geisinger Health System Series 2007 (AA/Aa2)(c) |
| (3 Mo. LIBOR + 0.77%), |
| $ |
|
|
49,750,000 |
|
|
|
2.350 |
% |
|
05/01/2037 |
|
$ 45,516,773 |
| Lancaster County Hospital Authority Health Facilities RB for St. Anne’s Retirement Community, Inc. Project
Series 2012 (BB+/NR) |
|
|
|
1,400,000 |
|
|
|
5.000 |
|
|
04/01/2027 |
|
1,451,604 |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
04/01/2033 |
|
1,537,425 |
| Pennsylvania Economic Development Financing Authority RB for The Pennsylvania Rapid Bridge Replacement Project
Series 2015 (AMT) (BBB/NR) |
|
|
|
8,500,000 |
|
|
|
5.000 |
|
|
06/30/2042 |
|
9,264,575 |
| Pennsylvania Economic Development Financing Authority Sewage Sludge Disposal RB for Philadelphia Biosolids
Facility Project Series 2009 (BBB+/Baa3) |
|
|
|
7,400,000 |
|
|
|
6.250 |
|
|
01/01/2032 |
|
7,754,460 |
| Pennsylvania Economic Development Financing Authority Special Facilities RB for US Airways Group, Inc. Project
Series 2010 B (BB-/B1) |
|
|
|
2,460,000 |
|
|
|
8.000 |
|
|
05/01/2029 |
|
2,677,021 |
| Pennsylvania Higher Educational Facilities Authority RB for Foundation for Indiana University of Pennsylvania
Series 2007 A (XLCA) (BBB/WR)(c) |
| (3 Mo. LIBOR + 0.60%), |
|
|
|
13,095,000 |
|
|
|
2.149 |
|
|
07/01/2027 |
|
12,651,996 |
| (3 Mo. LIBOR + 0.65%), |
|
|
|
10,750,000 |
|
|
|
2.199 |
|
|
07/01/2039 |
|
9,195,228 |
| Pennsylvania Higher Educational Facilities Authority RB for La Salle University Series 2012
(BBB-/NR) |
|
|
|
4,000,000 |
|
|
|
5.000 |
|
|
05/01/2042 |
|
4,160,520 |
| Pennsylvania Higher Educational Facilities Authority Student Housing RB Refunding for University Properties, Inc.
Student Housing Project Series 2016 A (NR/Baa3) |
|
|
|
400,000 |
|
|
|
5.000 |
|
|
07/01/2035 |
|
427,420 |
| Pennsylvania Turnpike Commission RB Subordinate Series 2017 B-1 (A-/A3) |
|
|
|
3,875,000 |
|
|
|
5.250 |
|
|
06/01/2047 |
|
4,368,016 |
| Philadelphia Hospitals and Higher Education Facilities Authority RB Refunding for Temple University Health System
Obligation Group Series 2017 (BBB-/Ba1) |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
07/01/2028 |
|
557,035 |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
07/01/2029 |
|
2,218,380 |
|
|
|
3,000,000 |
|
|
|
5.000 |
|
|
07/01/2030 |
|
3,317,850 |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
07/01/2031 |
|
1,655,280 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
07/01/2032 |
|
1,101,100 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
07/01/2033 |
|
548,545 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
07/01/2034 |
|
546,145 |
| Scranton Redevelopment Authority RB Refunding for Guaranteed Lease Series 2016 A (MUN GOVT GTD)
(BB+/NR) |
|
|
|
1,700,000 |
|
|
|
5.000 |
|
|
11/15/2021 |
|
1,751,884 |
|
|
|
2,450,000 |
|
|
|
5.000 |
|
|
11/15/2028 |
|
2,483,418 |
| State Public School Building Authority RB Refunding for Philadelphia School District Project Series 2016 A (AGM)
(ST AID WITHHLDG) (AA/A2) |
|
|
|
2,400,000 |
|
|
|
5.000 |
|
|
06/01/2031 |
|
2,706,864 |
| Susquehanna Area Regional Airport Authority RB Refunding for Airport System Series 2017 (AMT)
(NR/Baa3) |
|
|
|
1,100,000 |
|
|
|
5.000 |
|
|
01/01/2035 |
|
1,218,250 |
|
|
|
2,325,000 |
|
|
|
5.000 |
|
|
01/01/2038 |
|
2,561,220 |
| Washington County Redevelopment Authority RB Refunding for Victory Center Tax Increment Financing Project Series
2018 (BB/NR) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
07/01/2028 |
|
1,042,810 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
07/01/2035 |
|
1,025,840 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
178,561,200 |
| |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Puerto Rico – 5.1% |
| Puerto Rico Commonwealth Aqueduct & Sewer Authority RB Senior Lien Series 2008 A (CC/Ca) |
| $ |
|
|
56,440,000 |
|
|
|
6.000 |
% |
|
07/01/2038 |
|
$ 47,268,500 |
|
|
|
25,995,000 |
|
|
|
6.000 |
|
|
07/01/2044 |
|
21,770,813 |
| Puerto Rico Commonwealth Aqueduct & Sewer Authority RB Senior Lien Series 2012 A (CC/Ca) |
|
|
|
115,000 |
|
|
|
4.500 |
|
|
07/01/2027 |
|
96,313 |
|
|
|
370,000 |
|
|
|
5.000 |
|
|
07/01/2030 |
|
309,875 |
| Puerto Rico Commonwealth GO Bonds for Public Improvement Series 2006 A (NR/Ca)(i) |
|
|
|
115,000 |
|
|
|
5.250 |
|
|
07/01/2030 |
|
48,875 |
| Puerto Rico Commonwealth GO Bonds Series 2014 A (NR/Ca)(i) |
|
|
|
27,960,000 |
|
|
|
8.000 |
|
|
07/01/2035 |
|
11,323,800 |
| Puerto Rico Commonwealth GO Refunding Bonds for Public Improvement Series 2012 A (D/Ca)(i) |
|
|
|
5,185,000 |
|
|
|
5.500 |
|
|
07/01/2039 |
|
2,177,700 |
| Puerto Rico Commonwealth Highway & Transportation Authority RB Refunding Series 2005 L (AGC-ICC)
(AA/A3) |
|
|
|
360,000 |
|
|
|
5.250 |
|
|
07/01/2041 |
|
400,957 |
| Puerto Rico Commonwealth Highway & Transportation Authority RB Refunding Series 2005 L (AMBAC)
(NR/C) |
|
|
|
27,545,000 |
|
|
|
5.250 |
|
|
07/01/2038 |
|
29,009,017 |
| Puerto Rico Commonwealth Highway & Transportation Authority RB Refunding Series 2007 CC (AGM)
(AA/A2) |
|
|
|
300,000 |
|
|
|
5.250 |
|
|
07/01/2033 |
|
334,428 |
|
|
|
680,000 |
|
|
|
5.250 |
|
|
07/01/2034 |
|
757,493 |
|
|
|
1,025,000 |
|
|
|
5.250 |
|
|
07/01/2036 |
|
1,138,570 |
| Puerto Rico Commonwealth Highway & Transportation Authority RB Series 2003 (NR/C)(i) |
|
|
|
215,000 |
|
|
|
5.000 |
|
|
07/01/2028 |
|
9,514 |
| Puerto Rico Commonwealth Infrastructure Financing Authority Special Tax RB Series 2005 C (AMBAC)
(NR/C) |
|
|
|
1,500,000 |
|
|
|
5.500 |
|
|
07/01/2023 |
|
1,596,720 |
|
|
|
1,000,000 |
|
|
|
5.500 |
|
|
07/01/2027 |
|
1,079,440 |
| Puerto Rico Commonwealth Public Improvement GO Bonds Series 2007 A (D/Ca)(i) |
|
|
|
4,000,000 |
|
|
|
5.250 |
|
|
07/01/2032 |
|
1,700,000 |
|
|
|
4,000,000 |
|
|
|
5.250 |
|
|
07/01/2037 |
|
1,700,000 |
| Puerto Rico Commonwealth Public Improvement GO Refunding Bonds Series 2009 B (D/Ca)(i) |
|
|
|
645,000 |
|
|
|
5.875 |
|
|
07/01/2036 |
|
274,125 |
| Puerto Rico Commonwealth Public Improvement GO Refunding Bonds Series 2011 A (D/Ca)(i) |
|
|
|
1,260,000 |
|
|
|
5.750 |
|
|
07/01/2041 |
|
529,200 |
| Puerto Rico Commonwealth Public Improvement GO Refunding Bonds Series 2011 C (D/Ca)(i) |
|
|
|
155,000 |
|
|
|
6.000 |
|
|
07/01/2035 |
|
65,100 |
|
|
|
205,000 |
|
|
|
6.500 |
|
|
07/01/2040 |
|
86,100 |
| Puerto Rico Electric Power Authority RB Refunding Series 2007 UU (AGM) (AA/A2)(c) |
| (3 Mo. LIBOR + 0.52%), |
|
|
|
52,372,000 |
|
|
|
2.069 |
|
|
07/01/2029 |
|
45,825,500 |
| Puerto Rico Electric Power Authority RB Refunding Series 2010 DDD (D/Ca)(i) |
|
|
|
215,000 |
|
|
|
3.300 |
|
|
07/01/2019 |
|
96,212 |
|
|
|
80,000 |
|
|
|
3.500 |
|
|
07/01/2020 |
|
35,800 |
|
|
|
155,000 |
|
|
|
3.625 |
|
|
07/01/2021 |
|
69,363 |
|
|
|
60,000 |
|
|
|
3.750 |
|
|
07/01/2022 |
|
26,850 |
|
|
|
390,000 |
|
|
|
3.875 |
|
|
07/01/2023 |
|
174,525 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Puerto Rico – (continued) |
| Puerto Rico Electric Power Authority RB Refunding Series 2010 ZZ (D/Ca)(i) |
| $ |
|
|
145,000 |
|
|
|
4.250 |
% |
|
07/01/2018 |
|
$ 64,887 |
|
|
|
3,130,000 |
|
|
|
5.000 |
|
|
07/01/2019 |
|
1,400,675 |
|
|
|
1,650,000 |
|
|
|
5.250 |
|
|
07/01/2019 |
|
738,375 |
|
|
|
245,000 |
|
|
|
4.250 |
|
|
07/01/2020 |
|
109,637 |
|
|
|
25,000 |
|
|
|
5.250 |
|
|
07/01/2020 |
|
11,188 |
|
|
|
80,000 |
|
|
|
4.375 |
|
|
07/01/2021 |
|
35,800 |
|
|
|
100,000 |
|
|
|
4.375 |
|
|
07/01/2022 |
|
44,750 |
|
|
|
65,000 |
|
|
|
5.000 |
|
|
07/01/2022 |
|
29,088 |
|
|
|
190,000 |
|
|
|
4.500 |
|
|
07/01/2023 |
|
85,025 |
|
|
|
126,000 |
|
|
|
5.000 |
|
|
07/01/2024 |
|
56,385 |
|
|
|
90,000 |
|
|
|
4.625 |
|
|
07/01/2025 |
|
40,275 |
|
|
|
9,700,000 |
|
|
|
5.250 |
|
|
07/01/2026 |
|
4,340,750 |
| Puerto Rico Electric Power Authority RB Refunding Series 2010 ZZ (D/WR)(i) |
|
|
|
65,000 |
|
|
|
3.700 |
|
|
07/01/2017 |
|
29,087 |
|
|
|
1,230,000 |
|
|
|
5.000 |
|
|
07/01/2017 |
|
550,425 |
| Puerto Rico Electric Power Authority RB Refunding Series 2012 A (D/Ca)(i) |
|
|
|
19,720,000 |
|
|
|
5.000 |
|
|
07/01/2042 |
|
8,824,700 |
| Puerto Rico Electric Power Authority RB Series 2005 SS (D/Ca)(i) |
|
|
|
130,000 |
|
|
|
4.625 |
|
|
07/01/2030 |
|
58,175 |
| Puerto Rico Electric Power Authority RB Series 2007 TT (D/Ca)(i) |
|
|
|
275,000 |
|
|
|
4.200 |
|
|
07/01/2019 |
|
123,062 |
|
|
|
1,295,000 |
|
|
|
5.000 |
|
|
07/01/2032 |
|
579,512 |
|
|
|
1,385,000 |
|
|
|
5.000 |
|
|
07/01/2037 |
|
619,788 |
| Puerto Rico Electric Power Authority RB Series 2008 WW (D/Ca)(i) |
|
|
|
2,000,000 |
|
|
|
5.500 |
|
|
07/01/2020 |
|
895,000 |
|
|
|
3,275,000 |
|
|
|
5.000 |
|
|
07/01/2028 |
|
1,465,562 |
|
|
|
3,765,000 |
|
|
|
5.250 |
|
|
07/01/2033 |
|
1,684,838 |
| Puerto Rico Electric Power Authority RB Series 2010 AAA (D/Ca)(i) |
|
|
|
130,000 |
|
|
|
5.250 |
|
|
07/01/2023 |
|
58,175 |
|
|
|
1,489,000 |
|
|
|
5.250 |
|
|
07/01/2027 |
|
666,327 |
|
|
|
2,119,000 |
|
|
|
5.250 |
|
|
07/01/2028 |
|
948,253 |
| Puerto Rico Electric Power Authority RB Series 2010 BBB (D/Ca)(i) |
|
|
|
90,000 |
|
|
|
5.400 |
|
|
07/01/2028 |
|
37,350 |
| Puerto Rico Electric Power Authority RB Series 2010 CCC (D/Ca)(i) |
|
|
|
80,000 |
|
|
|
5.000 |
|
|
07/01/2022 |
|
35,800 |
|
|
|
90,000 |
|
|
|
4.250 |
|
|
07/01/2023 |
|
40,275 |
|
|
|
60,000 |
|
|
|
4.500 |
|
|
07/01/2023 |
|
26,850 |
|
|
|
50,000 |
|
|
|
4.600 |
|
|
07/01/2024 |
|
22,375 |
|
|
|
195,000 |
|
|
|
4.625 |
|
|
07/01/2025 |
|
87,262 |
|
|
|
900,000 |
|
|
|
5.000 |
|
|
07/01/2025 |
|
402,750 |
|
|
|
25,000 |
|
|
|
5.000 |
|
|
07/01/2026 |
|
11,188 |
|
|
|
40,000 |
|
|
|
4.800 |
|
|
07/01/2027 |
|
17,900 |
| Puerto Rico Electric Power Authority RB Series 2010 EEE (D/Ca)(i) |
|
|
|
1,175,000 |
|
|
|
5.950 |
|
|
07/01/2030 |
|
487,625 |
|
|
|
4,620,000 |
|
|
|
6.050 |
|
|
07/01/2032 |
|
1,917,300 |
|
|
|
115,000 |
|
|
|
6.250 |
|
|
07/01/2040 |
|
47,725 |
| Puerto Rico Electric Power Authority RB Series 2010 XX (D/Ca)(i) |
|
|
|
10,000 |
|
|
|
4.875 |
|
|
07/01/2027 |
|
4,475 |
|
|
|
7,590,000 |
|
|
|
5.250 |
|
|
07/01/2040 |
|
3,396,525 |
| Puerto Rico Electric Power Authority RB Series 2010 YY (D/Ca)(i) |
|
|
|
3,945,000 |
|
|
|
6.125 |
|
|
07/01/2040 |
|
1,637,175 |
| Puerto Rico Electric Power Authority RB Series 2012 A (D/Ca)(i) |
|
|
|
1,905,000 |
|
|
|
4.800 |
|
|
07/01/2029 |
|
852,487 |
| Puerto Rico Electric Power Authority RB Series 2013 A (D/Ca)(i) |
|
|
|
435,000 |
|
|
|
7.250 |
|
|
07/01/2030 |
|
194,663 |
|
|
|
5,210,000 |
|
|
|
7.000 |
|
|
07/01/2033 |
|
2,331,475 |
|
|
|
5,205,000 |
|
|
|
6.750 |
|
|
07/01/2036 |
|
2,329,237 |
|
|
|
5,440,000 |
|
|
|
7.000 |
|
|
07/01/2040 |
|
2,434,400 |
| Puerto Rico Electric Power Authority RB Series 2016 A-4 (NR/NR)(i) |
|
|
|
747,236 |
|
|
|
10.000 |
|
|
07/01/2019 |
|
334,388 |
| |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Puerto Rico – (continued) |
| Puerto Rico Electric Power Authority RB Series 2016 B-4 (NR/NR)(i) |
| $ |
|
|
747,235 |
|
|
|
10.000 |
% |
|
07/01/2019 |
|
$ 334,388 |
| Puerto Rico Electric Power Authority RB Series 2016 E-1 (NR/NR)(i) |
|
|
|
5,036,850 |
|
|
|
10.000 |
|
|
01/01/2021 |
|
2,253,990 |
| Puerto Rico Electric Power Authority RB Series 2016 E-2 (NR/NR)(i) |
|
|
|
5,036,850 |
|
|
|
10.000 |
|
|
07/01/2021 |
|
2,253,990 |
| Puerto Rico Electric Power Authority RB Series 2016 E-3 (NR/NR)(i) |
|
|
|
1,678,950 |
|
|
|
10.000 |
|
|
01/01/2022 |
|
751,330 |
| Puerto Rico Electric Power Authority RB Series 2016 E-4 (NR/NR)(i) |
|
|
|
1,678,950 |
|
|
|
10.000 |
|
|
07/01/2022 |
|
751,330 |
| Puerto Rico Highway & Transportation Authority RB Refunding Series 2007 N (AMBAC) (NR/C) |
|
|
|
3,395,000 |
|
|
|
5.250 |
|
|
07/01/2031 |
|
3,615,879 |
| Puerto Rico Highway & Transportation Authority RB Refunding Series 2007 N (ASSURED GTY)
(AA/A3) |
|
|
|
265,000 |
|
|
|
5.250 |
|
|
07/01/2034 |
|
295,199 |
|
|
|
960,000 |
|
|
|
5.250 |
|
|
07/01/2036 |
|
1,066,253 |
| Puerto Rico Infrastructure Financing Authority Special Tax RB Series 2005 A (AMBAC) (NR/C)(b) |
|
|
|
4,785,000 |
|
|
|
0.000 |
|
|
07/01/2034 |
|
1,932,518 |
|
|
|
3,750,000 |
|
|
|
0.000 |
|
|
07/01/2035 |
|
1,431,112 |
| Puerto Rico Public Buildings Authority RB Refunding for Government Facilities Series 2009 P (COMWLTH GTD) (NR/Ca)(i) |
|
|
|
1,000,000 |
|
|
|
6.125 |
|
|
07/01/2023 |
|
435,000 |
| Puerto Rico Sales Tax Financing Corp Sales Tax RB Series 2009 A (D/Ca)(i) |
|
|
|
25,000 |
|
|
|
4.625 |
|
|
08/01/2019 |
|
11,187 |
| Puerto Rico Sales Tax Financing Corp Sales Tax RB Series 2009 B (D/Ca)(i) |
|
|
|
130,000 |
|
|
|
6.050 |
|
|
08/01/2029 |
|
56,875 |
| Puerto Rico Sales Tax Financing Corp Sales Tax RB Series 2011 B (D/Ca)(i) |
|
|
|
50,000 |
|
|
|
5.150 |
|
|
08/01/2036 |
|
21,875 |
| Puerto Rico Sales Tax Financing Corp. RB First Subseries 2009 A (D/Ca)(i) |
|
|
|
13,730,000 |
|
|
|
6.000 |
|
|
08/01/2042 |
|
6,144,175 |
| Puerto Rico Sales Tax Financing Corp. RB First Subseries 2010 A (D/Ca)(i) |
|
|
|
550,000 |
|
|
|
5.000 |
|
|
08/01/2026 |
|
246,125 |
|
|
|
1,000,000 |
|
|
|
5.375 |
|
|
08/01/2039 |
|
447,500 |
|
|
|
8,600,000 |
|
|
|
5.500 |
|
|
08/01/2042 |
|
3,848,500 |
| Puerto Rico Sales Tax Financing Corp. RB First Subseries 2010 C (D/Ca)(b)(i) |
|
|
|
25,000,000 |
|
|
|
0.000 |
|
|
08/01/2039 |
|
2,493,750 |
| Puerto Rico Sales Tax Financing Corp. RB First Subseries 2010 C (D/Ca)(i) |
|
|
|
23,135,000 |
|
|
|
5.250 |
|
|
08/01/2041 |
|
10,352,913 |
| Puerto Rico Sales Tax Financing Corp. RB First Subseries 2011 A-1 (D/Ca)(i) |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
08/01/2043 |
|
671,250 |
| Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation First Subseries 2009 A (D/Ca)(i) |
|
|
|
23,300,000 |
|
|
|
6.750 |
|
|
08/01/2032 |
|
10,426,750 |
| Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation Series 2010 A (D/Ca)(a)(i) |
|
|
|
10,130,000 |
|
|
|
0.000 |
|
|
08/01/2033 |
|
3,662,805 |
| Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation Series 2010 A (D/Ca)(b)(i) |
|
|
|
10,000,000 |
|
|
|
0.000 |
|
|
08/01/2033 |
|
1,450,700 |
|
|
|
35,085,000 |
|
|
|
0.000 |
|
|
08/01/2035 |
|
4,432,639 |
| Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation Subseries 2009 A (D/Ca)(b)(i) |
|
|
|
35,100,000 |
|
|
|
0.000 |
|
|
08/01/2034 |
|
4,462,263 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Puerto Rico – (continued) |
| Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation Subseries 2010 C (D/Ca)(b)(i) |
| $ |
|
|
8,400,000 |
|
|
|
0.000 |
% |
|
08/01/2037 |
|
$ 954,576 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB First Subseries 2009 A (D/Ca)(i) |
|
|
|
400,000 |
|
|
|
5.000 |
|
|
08/01/2024 |
|
179,000 |
|
|
|
32,290,000 |
|
|
|
6.500 |
|
|
08/01/2044 |
|
14,449,775 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Refunding First Subseries 2010 C (D/Ca)(i) |
|
|
|
9,580,000 |
|
|
|
5.500 |
|
|
08/01/2040 |
|
4,287,050 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Refunding Series 2011 A-1 (D/Ca)(i) |
|
|
|
510,000 |
|
|
|
5.250 |
|
|
08/01/2043 |
|
228,225 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Refunding Series 2011 C (D/Ca)(i) |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
08/01/2040 |
|
430,000 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Refunding Subseries A (D/Ca)(i) |
|
|
|
2,600,000 |
|
|
|
5.750 |
|
|
08/01/2037 |
|
1,163,500 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2010 A (D/Ca)(i) |
|
|
|
375,000 |
|
|
|
4.375 |
|
|
08/01/2020 |
|
167,813 |
|
|
|
150,000 |
|
|
|
5.250 |
|
|
08/01/2030 |
|
67,125 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2010 C (D/Ca)(i) |
|
|
|
5,000,000 |
|
|
|
6.500 |
|
|
08/01/2035 |
|
2,237,500 |
|
|
|
235,000 |
|
|
|
5.000 |
|
|
08/01/2035 |
|
105,163 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
296,133,777 |
| |
| Rhode Island – 0.3% |
| Rhode Island Health and Educational Building Corp. RB Refunding for Care New England Series 2013 A (BB-/NR)(d) |
|
|
|
2,500,000 |
|
|
|
6.000 |
|
|
09/01/2023 |
|
2,969,075 |
| Tobacco Settlement Financing Corp. RB Asset-Backed Bonds Series 2007 B (CCC/NR)(b) |
|
|
|
124,220,000 |
|
|
|
0.000 |
|
|
06/01/2052 |
|
13,076,639 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,045,714 |
| |
| South Carolina – 0.3% |
| Lancaster County Assessment RB for Edgewater Improvement District Series 2003 A (NR/NR) |
|
|
|
3,375,000 |
|
|
|
6.875 |
|
|
11/01/2035 |
|
3,385,091 |
| South Carolina Jobs - Economic Development Authority Hospital RB Refunding for Palmetto Health Series 2011 A
(AGM) (AA/WR)(d) |
|
|
|
4,000,000 |
|
|
|
6.500 |
|
|
08/01/2021 |
|
4,542,320 |
| South Carolina Jobs-Economic Development Authority RB for ACTS Retirement-Life Communities, Inc. Obligated Group
Series 2018 C (A-/NR) |
|
|
|
2,365,000 |
|
|
|
5.000 |
|
|
11/15/2047 |
|
2,628,769 |
| South Carolina Public Service Authority RB Tax-Exempt Series 2015 E (A+/A1) |
|
|
|
7,750,000 |
|
|
|
5.250 |
|
|
12/01/2055 |
|
8,422,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,978,880 |
| |
| Tennessee – 0.5% |
| Bristol Industrial Development Board RB for The Pinnacle Project Series 2016 A (NR/NR)(e) |
|
|
|
7,150,000 |
|
|
|
5.000 |
|
|
12/01/2035 |
|
6,963,242 |
| Greeneville Health & Educational Facilities Board RB for Ballad Health Obligated Group Series 2018 A
(A-/Baa1) |
|
|
|
5,230,000 |
|
|
|
4.000 |
|
|
07/01/2040 |
|
5,272,938 |
| Johnson City Health & Educational Board Retirement Facilities RB for Mountain States Health Alliance Series
2012 A (A-/Baa1) |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
08/15/2042 |
|
1,583,160 |
| |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Tennessee – (continued) |
| Johnson City Health & Educational Facilities Board RB for Mountain States Health Alliance Series 2010 A
(A-/Baa1)(d) |
| $ |
|
|
5,500,000 |
|
|
|
6.500 |
% |
|
07/01/2020 |
|
$ 6,012,160 |
| Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board RB for
Vanderbilt University Medical Center Series 2016 A (NR/A3) |
|
|
|
2,500,000 |
|
|
|
5.000 |
|
|
07/01/2040 |
|
2,777,950 |
|
|
|
4,200,000 |
|
|
|
5.000 |
|
|
07/01/2046 |
|
4,648,350 |
| Shelby County Health Educational & Housing Facilities Board RB Refunding for The Village at Germantown
Residential Care Facility Mortgage Series 2012 (NR/NR) |
|
|
|
2,000,000 |
|
|
|
5.375 |
|
|
12/01/2047 |
|
2,074,080 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,331,880 |
| |
| Texas – 5.7% |
| Argyle Special Assessment RB for Waterbrook of Argyle Public Improvement District Project Series 2018 (NR/NR)(e) |
|
|
|
850,000 |
|
|
|
4.250 |
|
|
09/01/2023 |
|
848,402 |
|
|
|
550,000 |
|
|
|
4.625 |
|
|
09/01/2028 |
|
546,447 |
|
|
|
2,285,000 |
|
|
|
5.125 |
|
|
09/01/2038 |
|
2,276,294 |
|
|
|
2,680,000 |
|
|
|
5.250 |
|
|
09/01/2047 |
|
2,671,853 |
| Bexar County Texas Health Facilities Development Corp. RB for Army Retirement Residence Foundation Project Series
2010 (BBB/NR)(d) |
|
|
|
3,250,000 |
|
|
|
6.200 |
|
|
07/01/2020 |
|
3,523,585 |
| Board of Managers, Joint Guadalupe County - City of Seguin Hospital Mortgage Improvement RB Refunding Bonds
Series 2015 (BB/NR) |
|
|
|
1,950,000 |
|
|
|
5.250 |
|
|
12/01/2035 |
|
2,076,614 |
|
|
|
2,435,000 |
|
|
|
5.000 |
|
|
12/01/2040 |
|
2,487,815 |
| Brazos River Authority Bonds Series 2003 (NR/NR)(i)(j) |
|
|
|
9,275,000 |
|
|
|
6.750 |
|
|
10/01/2038 |
|
— |
| Brazos River Authority Bonds Series 2006 (NR/NR)(i)(j) |
|
|
|
4,740,000 |
|
|
|
5.000 |
|
|
03/01/2041 |
|
— |
| Central Texas Regional Mobility Authority RB Refunding Senior Lien Series 2015 A
(BBB+/Baa2) |
|
|
|
3,900,000 |
|
|
|
5.000 |
|
|
01/01/2045 |
|
4,255,095 |
| Central Texas Regional Mobility Authority RB Refunding Senior Lien Series 2016
(BBB+/Baa2) |
|
|
|
1,600,000 |
|
|
|
5.000 |
|
|
01/01/2040 |
|
1,755,904 |
|
|
|
2,465,000 |
|
|
|
5.000 |
|
|
01/01/2046 |
|
2,694,984 |
| Central Texas Regional Mobility Authority RB Refunding Subordinate Lien Series 2016
(BBB/Baa3) |
|
|
|
6,750,000 |
|
|
|
4.000 |
|
|
01/01/2041 |
|
6,700,455 |
| City of Celina Texas Municipal Corp. Special Assessment RB for Wells South Public Improvement District Major
Improvement Area Project Series 2015 (NR/NR) |
|
|
|
3,920,000 |
|
|
|
7.500 |
|
|
09/01/2045 |
|
4,252,220 |
| City of Celina Texas Municipal Corp. Special Assessment RB for Wells South Public Improvement District
Neighorhood Improvement Area #1 Project Series 2015 (NR/NR) |
|
|
|
1,845,000 |
|
|
|
6.250 |
|
|
09/01/2045 |
|
1,907,564 |
| City of Hackberry Special Assessment RB for Riverdale Lake Public Improvement District No. 2 Phases 4-6 Project
Series 2017 (NR/NR) |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
09/01/2047 |
|
2,041,140 |
| City of Hackberry Special Assessment RB Refunding for Hackberry Public Improvement District No. 3 Phases #13-16
Project Series 2017 (NR/NR) |
|
|
|
1,390,000 |
|
|
|
4.500 |
|
|
09/01/2037 |
|
1,375,836 |
|
|
|
1,175,000 |
|
|
|
5.000 |
|
|
09/01/2044 |
|
1,201,802 |
| City of Hackberry Special Assessment RB Refunding for Hidden Cove Public Improvement District No. 2 Project
Series 2017 (BBB/NR) |
|
|
|
2,235,000 |
|
|
|
4.500 |
|
|
09/01/2032 |
|
2,359,251 |
|
|
|
4,715,000 |
|
|
|
4.500 |
|
|
09/01/2038 |
|
4,906,611 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Texas – (continued) |
| City of Princeton Special Assessment RB for Arcadia Farms Public Improvement District Series 2018 (NR/NR)(e) |
| $ |
|
|
2,465,000 |
|
|
|
4.875 |
% |
|
09/01/2048 |
|
$ 2,482,526 |
| City of Shenandoah Special Assessment RB for Metropark Public Improvement District Series 2018
(NR/NR) |
|
|
|
500,000 |
|
|
|
4.500 |
|
|
09/01/2023 |
|
499,060 |
|
|
|
780,000 |
|
|
|
5.000 |
|
|
09/01/2028 |
|
775,039 |
|
|
|
1,935,000 |
|
|
|
5.600 |
|
|
09/01/2038 |
|
1,927,899 |
|
|
|
2,550,000 |
|
|
|
5.700 |
|
|
09/01/2047 |
|
2,542,579 |
| Dallas County Flood Control District No. 1 Unlimited Tax GO Refunding Bonds Series 2015 (NR/NR)(e) |
|
|
|
3,250,000 |
|
|
|
5.000 |
|
|
04/01/2032 |
|
3,359,167 |
| Fort Bend County Industrial Development Corp. RB for NRG Energy, Inc. Project Series 2012 A
(NR/Baa3) |
|
|
|
1,545,000 |
|
|
|
4.750 |
|
|
05/01/2038 |
|
1,583,749 |
| Fort Bend County Industrial Development Corp. RB for NRG Energy, Inc. Project Series 2012 B
(NR/Baa3) |
|
|
|
5,685,000 |
|
|
|
4.750 |
|
|
11/01/2042 |
|
5,811,775 |
| Fort Worth Special Assessment RB for Fort Worth Public Improvement District No. 17 Major Improvement Project
Series 2017 (NR/NR)(e) |
|
|
|
1,575,000 |
|
|
|
5.000 |
|
|
09/01/2027 |
|
1,632,298 |
|
|
|
895,000 |
|
|
|
5.000 |
|
|
09/01/2032 |
|
907,423 |
|
|
|
1,315,000 |
|
|
|
5.125 |
|
|
09/01/2037 |
|
1,322,075 |
| Grand Parkway Transportation Corp. System Toll Convertible RB Series 2013 B (AA+/NR)(a) |
|
|
|
10,370,000 |
|
|
|
0.000 |
|
|
10/01/2046 |
|
9,622,530 |
|
|
|
11,100,000 |
|
|
|
0.000 |
|
|
10/01/2047 |
|
10,311,345 |
| Grand Parkway Transportation Corp. System Toll RB First Tier Series 2013 A (BBB/NR) |
|
|
|
11,850,000 |
|
|
|
5.500 |
|
|
04/01/2053 |
|
13,258,846 |
| Gulf Coast IDA RB for Exxon Mobil Project Series 2012 (AA+/Aaa)(f)(g) |
|
|
|
4,000,000 |
|
|
|
1.450 |
|
|
07/04/2018 |
|
4,000,000 |
| Harris County Cultural Education Facilities Finance Corp. RB First Mortgage for Brazos Presbyterian Homes, Inc.
Project Series 2013 B (BB+/NR)(d) |
|
|
|
3,030,000 |
|
|
|
7.000 |
|
|
01/01/2023 |
|
3,657,816 |
| Harris County Toll Road RB Refunding Senior Lien Series 2007 B (AMBAC) (AA-/Aa2)(c) |
| (3 Mo. LIBOR + 0.67%), |
|
|
|
23,855,000 |
|
|
|
2.240 |
|
|
08/15/2035 |
|
22,227,135 |
| Hickory Creek Texas Special Assessment RB for Public Improvement District No. 1 Series 2017
(BBB-/NR) |
|
|
|
595,000 |
|
|
|
3.750 |
|
|
09/01/2032 |
|
595,434 |
|
|
|
510,000 |
|
|
|
3.875 |
|
|
09/01/2037 |
|
510,954 |
|
|
|
955,000 |
|
|
|
4.000 |
|
|
09/01/2047 |
|
958,600 |
| Houston Airport System RB for United Airlines, Inc. Airport Improvement Projects Series 2018 C (AMT)
(BB/NR) |
|
|
|
15,935,000 |
|
|
|
5.000 |
|
|
07/15/2028 |
|
17,799,554 |
| Houston Airport System Special Facilities RB for Continental Airlines, Inc. Terminal Improvement Projects Series
2011 A (AMT) (BB/Ba3) |
|
|
|
9,000,000 |
|
|
|
6.625 |
|
|
07/15/2038 |
|
9,875,970 |
| Houston Airport System Special Facilities RB Refunding for United Airlines, Inc. Terminal E Project Series 2014 A
(AMT) (BB/Ba3) |
|
|
|
9,250,000 |
|
|
|
5.000 |
|
|
07/01/2029 |
|
10,009,980 |
| Houston Airport System Special Facilities RB Refunding for United Airlines, Inc. Terminal Improvement Projects
Series 2015 B-1 (AMT) (BB/NR) |
|
|
|
7,500,000 |
|
|
|
5.000 |
|
|
07/15/2035 |
|
8,070,000 |
| Joint Guadalupe County RB Refunding and Improvement Bonds for City of Seguin Hospital Mortgage Series 2015
(BB/NR) |
|
|
|
1,950,000 |
|
|
|
5.000 |
|
|
12/01/2045 |
|
1,983,735 |
| |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Texas – (continued) |
| Justin Special Assessment RB for Timberbrook Public Improvement District No. 1 Major Improvement Area Project
Series 2018 (NR/NR)(e) |
| $ |
|
|
510,000 |
|
|
|
4.500 |
% |
|
09/01/2023 |
|
$ 509,969 |
|
|
|
785,000 |
|
|
|
5.000 |
|
|
09/01/2028 |
|
784,325 |
|
|
|
1,170,000 |
|
|
|
5.375 |
|
|
09/01/2038 |
|
1,173,545 |
|
|
|
1,930,000 |
|
|
|
5.125 |
|
|
09/01/2047 |
|
1,937,450 |
|
|
|
1,500,000 |
|
|
|
5.500 |
|
|
09/01/2047 |
|
1,505,670 |
| Kaufman County Fresh Water Supply District No. 1 Refunding for Road Series 2016 C (AGM)
(AA/NR) |
|
|
|
525,000 |
|
|
|
4.000 |
|
|
09/01/2029 |
|
544,609 |
|
|
|
1,100,000 |
|
|
|
3.000 |
|
|
09/01/2032 |
|
1,007,688 |
|
|
|
1,400,000 |
|
|
|
4.000 |
|
|
09/01/2035 |
|
1,417,472 |
| Lower Neches Valley Authority Industrial Development Corp RB for Exxon Capital Ventures, Inc. Project Series 2012
(AA+/Aaa)(f)(g) |
|
|
|
6,565,000 |
|
|
|
1.530 |
|
|
07/04/2018 |
|
6,565,000 |
| Matagorda County Texas Navigation District No. 1 PCRB Refunding for Central Power & Light Co. Project RMKT
07/01/09 Series 2001 A (A-/Baa1) |
|
|
|
5,200,000 |
|
|
|
6.300 |
|
|
11/01/2029 |
|
5,521,048 |
| Mission Economic Development Corp. RB for Natgasoline Project Senior Lien Series 2016 A (AMT) (BB-/NR)(e) |
|
|
|
14,000,000 |
|
|
|
5.750 |
|
|
10/01/2031 |
|
14,488,180 |
| Mission Economic Development Corp. RB for Natgasoline Project Senior Lien Series 2016 B (AMT) (BB-/NR)(e) |
|
|
|
9,500,000 |
|
|
|
5.750 |
|
|
10/01/2031 |
|
9,831,265 |
| Montgomery County Toll Road Authority Senior Lien RB Series 2018 (BBB-/NR) |
|
|
|
1,850,000 |
|
|
|
5.000 |
|
|
09/15/2043 |
|
2,006,788 |
|
|
|
2,800,000 |
|
|
|
5.000 |
|
|
09/15/2048 |
|
3,028,088 |
| New Hope Cultural Education Facilities Finance Corp. Student Housing RB for Collegiate Housing Island Campus
Project Series 2017 A (BBB-/Baa3) |
|
|
|
1,150,000 |
|
|
|
5.000 |
|
|
04/01/2037 |
|
1,261,654 |
|
|
|
1,900,000 |
|
|
|
5.000 |
|
|
04/01/2042 |
|
2,072,615 |
| New Hope Cultural Education Facilities Finance Corp. Student Housing RB for Station II, LLC - Texas A&M
University Collegiate Housing Corpus Christi Project Series 2016 A (BBB-/Ba2) |
|
|
|
335,000 |
|
|
|
5.000 |
|
|
04/01/2031 |
|
350,511 |
|
|
|
300,000 |
|
|
|
5.000 |
|
|
04/01/2036 |
|
310,092 |
|
|
|
1,250,000 |
|
|
|
5.000 |
|
|
04/01/2048 |
|
1,275,650 |
| New Hope Cultural Education Facilities Finance Corp. Student Housing RB for Tarleton State University Collegiate
Housing Project Series 2015 A (BBB-/Baa3) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
04/01/2047 |
|
1,072,590 |
| New Hope Cultural Education Facilities Finance Corp. Student Housing RB for Texas A&M University at Galveston
Collegiate Housing Project Series 2014 A (NR/Baa3) |
|
|
|
1,385,000 |
|
|
|
4.750 |
|
|
04/01/2046 |
|
1,431,301 |
| North Texas Tollway Authority RB First Tier Series 2009 A (A/A1) |
|
|
|
4,790,000 |
|
|
|
6.250 |
|
|
01/01/2039 |
|
4,892,793 |
| North Texas Tollway Authority RB Refunding for Second Tier Series 2017 B (A-/A2) |
|
|
|
8,500,000 |
|
|
|
5.000 |
|
|
01/01/2048 |
|
9,496,115 |
| North Texas Tollway Authority System RB Refunding First Tier Series 2016 A (A/A1) |
|
|
|
3,000,000 |
|
|
|
5.000 |
|
|
01/01/2039 |
|
3,361,530 |
| Rowlett Special Assessment RB for Bayside Public Improvement District North Improvement Area Project Series 2016
(NR/NR) |
|
|
|
175,000 |
|
|
|
5.750 |
|
|
09/15/2036 |
|
169,801 |
|
|
|
460,000 |
|
|
|
6.000 |
|
|
09/15/2046 |
|
444,792 |
| Sabine River Authority Tax Bonds Series 2005 (NR/NR)(i)(j) |
|
|
|
5,950,000 |
|
|
|
5.200 |
|
|
05/01/2028 |
|
— |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Texas – (continued) |
| Tarrant County Cultural Education Facilities Finance Corp. RB Refunding for Air Force Village Obligated Group
Series 2016 (BB+/NR) |
| $ |
|
|
7,300,000 |
|
|
|
5.000 |
% |
|
05/15/2045 |
|
$ 7,617,842 |
| Texas Municipal Gas Acquisition & Supply Corp. I RB Senior Lien Series 2006 B (A-/A3)(c) |
| (3 Mo. LIBOR + 0.70%), |
|
|
|
7,825,000 |
|
|
|
2.268 |
|
|
12/15/2026 |
|
7,753,323 |
| Texas Municipal Gas Acquisition & Supply Corp. I RB Senior Lien Series 2008 D (A-/A3) |
|
|
|
18,785,000 |
|
|
|
6.250 |
|
|
12/15/2026 |
|
21,865,928 |
| Texas Private Activity Bond Surface Transportation Corp. RB Senior Lien for Blueridge Transportation Group, LLC
SH 288 Toll Lanes Project Series 2016 (AMT) (NR/Baa3) |
|
|
|
3,900,000 |
|
|
|
5.000 |
|
|
12/31/2050 |
|
4,202,718 |
|
|
|
3,900,000 |
|
|
|
5.000 |
|
|
12/31/2055 |
|
4,194,840 |
| Texas Private Activity Bond Surface Transportation Corp. RB Senior Lien for Mobility Partners LLC Series 2009
(BBB-/Baa2) |
|
|
|
7,500,000 |
|
|
|
6.875 |
|
|
12/31/2039 |
|
7,974,975 |
| Texas Private Activity Bond Surface Transportation Corp. RB Senior Lien for Mobility Partners LLC Series 2013
(AMT) (BBB-/Baa3) |
|
|
|
5,000,000 |
|
|
|
6.750 |
|
|
06/30/2043 |
|
5,843,200 |
| Texas Transportation Commission Central Turnpike System RB Refunding Second Tier Series 2015 C
(BBB+/Baa1) |
|
|
|
7,850,000 |
|
|
|
5.000 |
|
|
08/15/2042 |
|
8,479,570 |
| Town of Little Special Assessment RB for Lakeside Estates Public Improvement District No. 2 Project Series 2017
(NR/NR)(e) |
|
|
|
1,400,000 |
|
|
|
5.000 |
|
|
09/01/2047 |
|
1,380,862 |
| Viridian Municipal Management District Tarrant County Special Assessment RB Series 2015
(NR/NR) |
|
|
|
245,000 |
|
|
|
4.000 |
|
|
12/01/2021 |
|
252,722 |
|
|
|
500,000 |
|
|
|
4.000 |
|
|
12/01/2027 |
|
491,515 |
|
|
|
1,547,000 |
|
|
|
4.750 |
|
|
12/01/2035 |
|
1,557,984 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
331,683,381 |
| |
| Utah – 0.5% |
| Carbon County Solid Waste Disposal RB Refunding for Sunnyside Cogeneration Series 1999 A (AMT)
(NR/NR) |
|
|
|
15,515,000 |
|
|
|
7.100 |
|
|
08/15/2023 |
|
16,777,456 |
| Salt Lake City RB for International Airport Series 2017 A (AMT) (A+/A2) |
|
|
|
11,000,000 |
|
|
|
5.000 |
|
|
07/01/2047 |
|
12,353,990 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,131,446 |
| |
| Vermont – 0.1% |
| Vermont Economic Development Authority RB Refunding for Wake Robin Corp. Series 2017 A
(NR/NR) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
05/01/2047 |
|
1,049,410 |
| Vermont Educational & Health Buildings Financing Agency RB for St. Michael’s College Project Series 2012
(BBB/Baa1) |
|
|
|
2,250,000 |
|
|
|
5.000 |
|
|
10/01/2042 |
|
2,343,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,392,560 |
| |
| Virgin Islands – 0.6% |
| Virgin Islands Public Finance Authority RB Matching Fund Loan Note Senior Lien Series 2010 A
(NR/Caa2) |
|
|
|
10,775,000 |
|
|
|
5.000 |
|
|
10/01/2025 |
|
10,020,750 |
|
|
|
7,910,000 |
|
|
|
5.000 |
|
|
10/01/2029 |
|
7,217,875 |
| Virgin Islands Public Finance Authority RB Matching Fund Loan Note Series 2012 A (NR/Caa2) |
|
|
|
6,080,000 |
|
|
|
5.000 |
|
|
10/01/2032 |
|
5,517,600 |
| Virgin Islands Public Finance Authority RB Refunding for Virgin Islands Gross Receipts Taxes Loan Note Series
2014 C (B/NR) |
|
|
|
8,350,000 |
|
|
|
5.000 |
|
|
10/01/2039 |
|
6,794,813 |
| |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Virgin Islands – (continued) |
| Virgin Islands Public Finance Authority RB Refunding Series 2014 C (AGM) (AA/A2) |
| $ |
|
|
3,515,000 |
|
|
|
5.000 |
% |
|
10/01/2039 |
|
$ 3,740,909 |
| Virgin Islands Public Finance Authority RB Senior Lien Matching Fund Loan Notes Refunding for Cruzan Project
Series 2009 A (NR/Caa3) |
|
|
|
2,000,000 |
|
|
|
6.000 |
|
|
10/01/2039 |
|
1,650,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
34,941,947 |
| |
| Virginia – 1.3% |
| Alexandria City IDA for Residential Care Facilities Mortgage RB for Goodwin House, Inc. Series 2015
(BBB/NR) |
|
|
|
2,700,000 |
|
|
|
5.000 |
|
|
10/01/2045 |
|
2,964,276 |
| Mosaic District Community Development Authority RB Series 2011 A (NR/NR) |
|
|
|
2,535,000 |
|
|
|
6.250 |
|
|
03/01/2021 |
|
2,733,288 |
|
|
|
2,000,000 |
|
|
|
6.625 |
|
|
03/01/2026 |
|
2,162,660 |
|
|
|
7,000,000 |
|
|
|
6.875 |
|
|
03/01/2036 |
|
7,602,350 |
| Tobacco Settlement Financing Corp. RB for Capital Appreciation Subseries 2007 C (CCC+/NR)(b) |
|
|
|
236,845,000 |
|
|
|
0.000 |
|
|
06/01/2047 |
|
26,839,275 |
| Virginia Small Business Financing Authority Private Activity Tax Exempt Senior Lien RB for Transform 66 P3
Project Series 2017 (AMT) (NR/Baa3) |
|
|
|
9,600,000 |
|
|
|
5.000 |
|
|
12/31/2056 |
|
10,462,848 |
| Virginia Small Business Financing Authority Senior Lien RB for 95 Express Lanes LLC Project Series 2017 (AMT)
(BBB/NR) |
|
|
|
3,900,000 |
|
|
|
5.000 |
|
|
07/01/2034 |
|
4,142,268 |
|
|
|
13,650,000 |
|
|
|
5.000 |
|
|
01/01/2040 |
|
14,428,460 |
| Virginia Small Business Financing Authority Solid Waste Disposal Facilities RB for Covanta Holding Corp. Project
Series 2018 (AMT) (B/NR)(e)(f)(g) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
07/01/2038 |
|
1,017,220 |
| Washington County IDA RB for Mountain States Health Alliance Series 2009 C (A-/Baa1)(d) |
|
|
|
4,000,000 |
|
|
|
7.750 |
|
|
01/01/2019 |
|
4,123,080 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
76,475,725 |
| |
| Washington – 0.9% |
| Central Puget Sound Regional Transit Authority Sales Tax & Motor Vehicle Excise Tax RB Series 2016 S-1
(AAA/Aa1) |
|
|
|
10,000,000 |
|
|
|
5.000 |
|
|
11/01/2046 |
|
13,045,200 |
| Skagit County Public Hospital District No. 1 RB for Skagit Valley Hospital Series 2010
(NR/Baa2) |
|
|
|
4,000,000 |
|
|
|
5.750 |
|
|
12/01/2035 |
|
4,219,520 |
| Washington Health Care Facilities Authority RB for Kadlec Regional Medical Center Series 2012 (NR/WR)(d) |
|
|
|
3,000,000 |
|
|
|
5.000 |
|
|
12/01/2021 |
|
3,298,410 |
| Washington Health Care Facilities Authority RB for MultiCare Health System RMKT 02/26/09 Series 2008 A (ASSURED
GTY) (AA/Aa3)(d) |
|
|
|
750,000 |
|
|
|
6.000 |
|
|
08/15/2019 |
|
786,532 |
| Washington Health Care Facilities Authority RB for MultiCare Health System RMKT 02/26/09 Series 2008 B (ASSURED
GTY) (AA/Aa3)(d) |
|
|
|
1,750,000 |
|
|
|
6.000 |
|
|
08/15/2019 |
|
1,834,245 |
| Washington State Various Purpose GO Refunding Bonds Series R-2010B (AA+/Aa1) |
|
|
|
14,015,000 |
|
|
|
5.000 |
|
|
01/01/2023 |
|
14,664,876 |
|
|
|
14,700,000 |
|
|
|
5.000 |
|
|
01/01/2024 |
|
15,379,434 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
53,228,217 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| West Virginia – 0.1% |
| Monongalia County Commission Special District Excise Tax RB Refunding and Improvement for University Town Center
Economic Opportunity Development District Series 2017 A (NR/NR)(e) |
| $ |
|
|
900,000 |
|
|
|
5.750 |
% |
|
06/01/2043 |
|
$ 939,456 |
| West Virginia Economic Development Authority Solid Waste Disposal Facilities RB Refunding for Appalachian Power
Co. - Amos Project Series 2010 A (A-/Baa1) |
|
|
|
4,000,000 |
|
|
|
5.375 |
|
|
12/01/2038 |
|
4,278,040 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,217,496 |
| |
| Wisconsin – 0.3% |
| Public Finance Authority Exempt Facilities RB Refunding for Celanese Project Series 2016 C (AMT)
(BBB-/Baa3) |
|
|
|
5,900,000 |
|
|
|
4.300 |
|
|
11/01/2030 |
|
6,122,135 |
| Public Finance Authority RB for Denver International Airport Great Hall Project Series 2017 (AMT)
(BBB-/NR) |
|
|
|
4,000,000 |
|
|
|
5.000 |
|
|
09/30/2037 |
|
4,436,720 |
| Public Finance Authority RB for Prime Healthcare Foundation, Inc. Series 2018 A (BBB-/NR) |
|
|
|
1,600,000 |
|
|
|
5.200 |
|
|
12/01/2037 |
|
1,693,904 |
|
|
|
1,525,000 |
|
|
|
5.350 |
|
|
12/01/2045 |
|
1,628,319 |
| Public Finance Authority Student Housing RB for CHF-Cullowhee, LLC-Western Carolina University Project Series
2015 A (BBB-/NR) |
|
|
|
3,250,000 |
|
|
|
5.250 |
|
|
07/01/2047 |
|
3,448,900 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,329,978 |
| |
| TOTAL MUNICIPAL BONDS
(Cost $5,452,139,048) |
|
$5,699,021,651 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds – 0.3% |
| Commercial & Professional Services – 0.0% |
| Catholic Health Initiatives |
| $ |
|
|
1,293,000 |
|
|
|
4.350 |
% |
|
11/01/2042 |
|
$ 1,223,542 |
| |
| Health Care Equipment & Services – 0.3% |
| Prime Healthcare Foundation, Inc. Series B |
|
|
|
16,525,000 |
|
|
|
7.000 |
|
|
12/01/2027 |
|
17,979,217 |
| |
| TOTAL CORPORATE BONDS
(Cost $17,376,014) |
|
$ 19,202,759 |
| |
| TOTAL INVESTMENTS – 97.5% (Cost $5,469,515,062) |
|
$5,718,224,410 |
| |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 2.5% |
|
147,851,103 |
| |
| NET ASSETS – 100.0% |
|
$5,866,075,513 |
| |
|
|
|
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
| (a) |
|
Zero coupon bond until next reset date. |
|
|
| (b) |
|
Issued with a zero coupon. Income is recognized through the accretion of discount. |
|
|
| (c) |
|
Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed
is that which is in effect on June 30, 2018. |
|
|
| (d) |
|
Pre-refunded security. Maturity date disclosed is pre-refunding date. |
|
|
| (e) |
|
Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed 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 $345,451,144, which represents approximately 5.9% of net assets as
of June 30, 2018. The liquidity determination is unaudited. |
|
|
| (f) |
|
Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect on June
30, 2018. |
|
|
| (g) |
|
Variable Rate Demand Instruments – rate shown is that which is in effect on June 30, 2018. Certain variable rate securities are not based on a published reference rate and
spread but are determined by the issuer or agent and are based on current market conditions. |
|
|
| (h) |
|
When-issued security. |
|
|
| (i) |
|
Security is currently in default. |
|
|
| (j) |
|
Significant unobservable inputs were used in the valuation of this portfolio security; i.e. Level 3. |
|
| Security ratings disclosed, if any, are issued by either Standard & Poor’s, Moody’s Investor Service or Fitch and are unaudited. A brief description of the ratings is
available in the Fund’s Statement of Additional Information. |
|
|
|
| |
| Investment Abbreviations: |
| AGC-ICC |
|
— Agency Insured Custody Certificate |
| AGM |
|
— Insured by Assured Guaranty Municipal Corp. |
| AMBAC |
|
— Insured by American Municipal Bond Assurance Corp. |
| AMT |
|
— Alternative Minimum Tax |
| ASSURED GTY |
|
— Insured by Assured Guaranty |
| BAM |
|
— Build America Mutual Assurance Co. |
| BHAC-CR |
|
— Insured by Berkshire Hathaway Assurance Corp. - Insured Custodial Receipts |
| CAL MTG INS |
|
— Insured by California Mortgage Insurance |
| COMWLTH GTD |
|
— Commonwealth Guaranteed |
| COPS |
|
— Certificates of Participation |
| ETM |
|
— Escrowed to Maturity |
| GO |
|
— General Obligation |
| IDA |
|
— Industrial Development Authority |
| LIBOR |
|
— London Interbank Offered Rate |
| Mo. |
|
— Month |
| MUN GOVT GTD |
|
— Municipal Government Guaranteed |
| NATL-RE |
|
— Insured by National Public Finance Guarantee Corp. |
| NR |
|
— Not Rated |
| PCRB |
|
— Pollution Control Revenue Bond |
| PILOT |
|
— Payment in Lieu of Taxes |
| Q-SBLF |
|
— Qualified School Board Loan Fund |
| RB |
|
— Revenue Bond |
| RMKT |
|
— Remarketed |
| ST AID WITHHLDG |
|
— State Aid Withholding |
| ST APPROP |
|
— State Appropriation |
| USD |
|
— United States Dollar |
| WR |
|
— Withdrawn Rating |
| XLCA |
|
— Insured by XL Capital Assurance, Inc. |
| |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION
SWAP CONTRACTS — At June 30, 2018, the Fund had the following swap contracts:
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference
Obligation/Index(a) |
|
Financing Rate
Received (Paid) by
the Fund |
|
|
Credit Spread at June 30,
2018(b) |
|
|
Counterparty |
|
|
Termination
Date |
|
|
Notional
Amount
(000’s) |
|
|
Value |
|
|
Upfront
Premium
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Protection Sold: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| California State Various Purpose GO Bonds, Series 2003, 5.000%, 11/01/2023 |
|
|
1.000% |
|
|
|
0.261% |
|
|
|
Bank of
America NA |
|
|
|
03/20/2023 |
|
|
|
USD 4,000 |
|
|
$ |
130,853 |
|
|
$ |
(93,689 |
) |
|
$ |
224,542 |
|
| California State Various Purpose GO Bonds, Series 2003, 5.250%, 02/01/2018 |
|
|
1.700 |
|
|
|
0.182 |
|
|
|
JPMorgan
Chase Bank NA |
|
|
|
06/20/2021 |
|
|
|
10,000 |
|
|
|
439,262 |
|
|
|
— |
|
|
|
439,262 |
|
| California State Various Purpose GO Bonds, Series 2003, 5.250%, 02/01/2018 |
|
|
1.000 |
|
|
|
0.261 |
|
|
|
|
|
|
|
03/20/2023 |
|
|
|
9,000 |
|
|
|
294,418 |
|
|
|
(210,801 |
) |
|
|
505,219 |
|
| California State Various Purpose GO Bonds, Series 2003, 5.250%, 02/01/2018 |
|
|
1.000 |
|
|
|
0.285 |
|
|
|
|
|
|
|
09/20/2023 |
|
|
|
15,000 |
|
|
|
519,525 |
|
|
|
(364,788 |
) |
|
|
884,313 |
|
| Illinois State GO Bonds, Series A, 5.000%, 06/01/2029 |
|
|
1.830 |
|
|
|
1.435 |
|
|
|
|
|
|
|
06/20/2021 |
|
|
|
10,000 |
|
|
|
114,346 |
|
|
|
— |
|
|
|
114,346 |
|
| California State Various Purpose GO Bonds, Series 2003, 5.250%, 02/01/2018 |
|
|
1.000 |
|
|
|
0.299 |
|
|
|
Morgan Stanley
Co., Inc. |
|
|
|
12/20/2023 |
|
|
|
10,000 |
|
|
|
354,020 |
|
|
|
(155,117 |
) |
|
|
509,137 |
|
| Illinois State GO Bonds, Series A, 5.000%, 06/01/2029 |
|
|
1.000 |
|
|
|
2.030 |
|
|
|
|
|
|
|
12/20/2023 |
|
|
|
10,000 |
|
|
|
(471,805 |
) |
|
|
(419,871 |
) |
|
|
(51,934 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,380,619 |
|
|
$ |
(1,244,266 |
) |
|
$ |
2,624,885 |
|
| |
|
| (a) |
|
Payments received quarterly. |
| (b) |
|
Credit spread on the referenced obligation, together with the period of expiration, are indicators of payment/performance risk. The likelihood of a credit event
occurring which would require a fund or its counterparty to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and term of the swap contract increase. |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Payments Made by
the Fund(a) |
|
Payments Received by the Fund |
|
Termination
Date |
|
|
Notional
Amount
(000’s) |
|
|
Value |
|
|
Upfront
Premium
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| 2.250% |
|
3 Month LIBOR |
|
|
12/21/2041 |
|
|
USD |
169,400 |
|
|
$ |
21,081,003 |
|
|
$ |
(10,517,939 |
) |
|
$ |
31,598,942 |
|
| 2.500 |
|
3 Month LIBOR |
|
|
09/19/2048 |
|
|
|
263,860 |
(b) |
|
|
24,102,426 |
|
|
|
29,087,069 |
|
|
|
(4,984,643 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
$ |
45,183,429 |
|
|
$ |
18,569,130 |
|
|
$ |
26,614,299 |
|
| |
|
| (a) |
|
Payments made semi-annually. |
| (b) |
|
Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2018.
|
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – 98.1% |
| Alabama – 2.0% |
| Auburn University General Fee RB Series 2011 A (AA-/Aa2)(a) |
| $ |
|
|
35,345,000 |
|
|
|
5.000 |
% |
|
06/01/2021 |
|
$ 38,506,610 |
| Black Belt Energy Gas District RB Series 2016 A (NR/A1)(b)(c) |
|
|
|
20,000,000 |
|
|
|
4.000 |
|
|
06/01/2021 |
|
20,923,000 |
| Houston County Health Care Authority RB for Southeast Alabama Medical Center Series 2016 A
(BBB/NR) |
|
|
|
210,000 |
|
|
|
3.000 |
|
|
10/01/2018 |
|
210,426 |
|
|
|
160,000 |
|
|
|
3.000 |
|
|
10/01/2019 |
|
161,207 |
|
|
|
75,000 |
|
|
|
4.000 |
|
|
10/01/2020 |
|
77,571 |
|
|
|
85,000 |
|
|
|
4.000 |
|
|
10/01/2021 |
|
88,866 |
|
|
|
85,000 |
|
|
|
4.000 |
|
|
10/01/2022 |
|
89,645 |
| Industrial Development Board PCRB for Alabama Power Company Barry Plant Project RMKT 03/20/17 Series 2007 A
(A-/A1)(b)(c) |
|
|
|
6,000,000 |
|
|
|
1.850 |
|
|
03/24/2020 |
|
5,955,540 |
| Jefferson County RB Refunding Warrants Series 2017 (AA/NR) |
|
|
|
1,275,000 |
|
|
|
5.000 |
|
|
09/15/2019 |
|
1,326,918 |
|
|
|
3,000,000 |
|
|
|
5.000 |
|
|
09/15/2021 |
|
3,271,680 |
|
|
|
1,200,000 |
|
|
|
5.000 |
|
|
09/15/2022 |
|
1,333,032 |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
09/15/2023 |
|
2,254,800 |
| Jefferson County Subordinate Lien Sewer RB Warrants Series 2013 D (BBB-/NR) |
|
|
|
1,875,000 |
|
|
|
5.000 |
|
|
10/01/2018 |
|
1,887,825 |
|
|
|
1,300,000 |
|
|
|
5.000 |
|
|
10/01/2021 |
|
1,394,744 |
|
|
|
1,745,000 |
|
|
|
5.000 |
|
|
10/01/2022 |
|
1,894,634 |
| The Southeast Alabama Gas Supply District RB for Project No. 2 Series 2018 B (A/A3)(b) |
| (1 Mo. LIBOR + 0.85%, 12.00% Cap), |
|
|
|
25,000,000 |
|
|
|
2.246 |
|
|
06/01/2024 |
|
24,986,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
104,362,998 |
| |
| Alaska – 0.0% |
| Northern Tobacco Securitization Corp. RB Asset-Backed Bonds Series 2006 A (NR/Ba2) |
|
|
|
890,000 |
|
|
|
4.625 |
|
|
06/01/2023 |
|
911,761 |
| |
| Arizona – 2.9% |
| Arizona Health Facilities Authority Hospital RB for Banner Health Series 2007 B (AA-/NR)(d) |
| (3 Mo. LIBOR + 0.81%), |
|
|
|
59,270,000 |
|
|
|
2.359 |
|
|
01/01/2037 |
|
56,023,782 |
| Arizona Health Facilities Authority Hospital RB Refunding for Phoenix Children’s Hospital Series 2013 A
(A-/NR)(b) |
| (SIFMA Municipal Swap Index Yield + 1.85%, 12.00% Cap), |
|
|
|
5,000,000 |
|
|
|
3.360 |
|
|
02/05/2020 |
|
5,074,650 |
| Arizona School Facilities Board COPS Refunding Series 2015 A (AA-/Aa3) |
|
|
|
8,000,000 |
|
|
|
5.000 |
|
|
09/01/2020 |
|
8,543,600 |
| Arizona Transportation Board Excise Tax RB Refunding for Regional Area Road Series 2016
(AA+/Aa1) |
|
|
|
5,820,000 |
|
|
|
5.000 |
|
|
07/01/2021 |
|
6,348,107 |
| City of Phoenix Civic Improvement Corporation RB Refunding Junior Lien Series 2010 A (A+/A1)(a) |
|
|
|
20,145,000 |
|
|
|
5.000 |
|
|
07/01/2020 |
|
21,451,403 |
| Glendale City GO Refunding Bonds Series 2015 (AGM) (AA/A1) |
|
|
|
365,000 |
|
|
|
4.000 |
|
|
07/01/2018 |
|
365,000 |
|
|
|
1,600,000 |
|
|
|
4.000 |
|
|
07/01/2019 |
|
1,638,048 |
|
|
|
3,000,000 |
|
|
|
4.000 |
|
|
07/01/2020 |
|
3,128,130 |
|
|
|
3,400,000 |
|
|
|
4.000 |
|
|
07/01/2021 |
|
3,599,750 |
|
|
|
1,665,000 |
|
|
|
5.000 |
|
|
07/01/2022 |
|
1,851,780 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Arizona – (continued) |
| Maricopa County Arizona COPS Series 2015 (AA+/Aa1) |
| $ |
|
|
9,000,000 |
|
|
|
3.000 |
% |
|
07/01/2018 |
|
$ 9,000,000 |
| Maricopa County Arizona School Improvement Refunding for Peoria Unified School District No. 11 Series 2015 (AGM)
(AA/A2) |
|
|
|
3,000,000 |
|
|
|
4.000 |
|
|
07/01/2019 |
|
3,071,340 |
| Maricopa County Community College District GO Bonds Series 2013 (AAA/Aaa) |
|
|
|
10,010,000 |
|
|
|
3.000 |
|
|
07/01/2019 |
|
10,156,646 |
| Maricopa County Community College District GO Refunding Bonds Series 2016 (AAA/Aaa) |
|
|
|
16,400,000 |
|
|
|
5.000 |
|
|
07/01/2023 |
|
18,719,124 |
| Maricopa County Phoenix High School District No. 210 School Improvement GO Refunding Bonds Series 2014
(AA/Aa2) |
|
|
|
1,000,000 |
|
|
|
3.000 |
|
|
07/01/2019 |
|
1,014,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
149,985,610 |
| |
| Arkansas – 0.6% |
| Arkansas State GO Bonds for Four-Lane Highway Construction & Improvement Series 2013
(AA/Aa1) |
|
|
|
17,775,000 |
|
|
|
3.250 |
|
|
06/15/2022 |
|
18,434,274 |
| Little Rock Arkansas Sewer RB Refunding Series 2015 (NR/Aa3) |
|
|
|
1,240,000 |
|
|
|
3.000 |
|
|
04/01/2020 |
|
1,265,854 |
|
|
|
1,075,000 |
|
|
|
3.000 |
|
|
10/01/2020 |
|
1,099,650 |
| Pulaski County Little Rock School District GO Refunding Bonds Series 2015 (ST AID WITHHLDG)
(NR/Aa2) |
|
|
|
6,000,000 |
|
|
|
3.000 |
|
|
02/01/2021 |
|
6,139,320 |
| Springdale Arkansas Sales and Use Tax RB Series 2012 (AA-/NR) |
|
|
|
1,465,000 |
|
|
|
2.000 |
|
|
11/01/2018 |
|
1,467,564 |
|
|
|
720,000 |
|
|
|
2.000 |
|
|
11/01/2019 |
|
723,384 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,130,046 |
| |
| California – 7.6% |
| Alameda Corridor Transportation Authority RB for Capital Appreciation Refunding Subordinate Lien Series 2004 A
(AMBAC) (BBB+/Baa2)(e) |
|
|
|
745,000 |
|
|
|
0.000 |
|
|
10/01/2019 |
|
720,989 |
|
|
|
255,000 |
|
|
|
0.000 |
|
|
10/01/2020 |
|
239,730 |
| Alameda Corridor Transportation Authority RB for Capital Appreciation Refunding Subordinate Lien Series 2004 A
(ETM) (AMBAC)
(AAA/Aaa)(a)(e) |
|
|
|
9,420,000 |
|
|
|
0.000 |
|
|
10/01/2019 |
|
9,246,389 |
|
|
|
12,300,000 |
|
|
|
0.000 |
|
|
10/01/2020 |
|
11,859,906 |
| Atwater Wastewater RB Refunding Series 2017 A (AGM) (AA/NR) |
|
|
|
220,000 |
|
|
|
5.000 |
|
|
05/01/2020 |
|
233,046 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
05/01/2021 |
|
545,065 |
|
|
|
325,000 |
|
|
|
5.000 |
|
|
05/01/2022 |
|
360,873 |
|
|
|
300,000 |
|
|
|
5.000 |
|
|
05/01/2023 |
|
339,147 |
|
|
|
265,000 |
|
|
|
5.000 |
|
|
05/01/2024 |
|
302,874 |
| Bay Area Toll Authority Toll Bridge Authority RB for San Francisco Bay Area RMKT 05/01/13 Series 2006 C-1
(AA/Aa3)(b) |
| (SIFMA Municipal Swap Index Yield + 0.90%), |
|
|
|
10,000,000 |
|
|
|
2.410 |
|
|
05/01/2023 |
|
10,180,600 |
| Bay Area Toll Authority Toll Bridge Authority RB for San Francisco Bay Area RMKT 06/03/13 Series 2006 C-1
(AA/Aa3)(b) |
| (SIFMA Municipal Swap Index Yield + 0.90%), |
|
|
|
7,000,000 |
|
|
|
2.410 |
|
|
05/01/2023 |
|
7,126,420 |
| |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Municipal Bonds – (continued) |
| California – (continued) |
| Bay Area Toll Authority Toll Bridge Authority RB for San Francisco Bay Area RMKT 12/20/12 Series 2007 E-3
(AA/Aa3)(b) |
| (SIFMA Municipal Swap Index Yield + 0.70%, 12.00% Cap), |
| $ |
|
|
1,225,000 |
|
|
|
2.210 |
% |
|
10/01/2019 |
|
$ 1,229,557 |
| Bay Area Toll Authority Toll Bridge Authority RB for San Francisco Bay Area Series 2001 A (AA/NR)(b) |
| (SIFMA Municipal Swap Index Yield + 1.25%, 12.00% Cap), |
|
|
|
15,000,000 |
|
|
|
2.760 |
|
|
04/01/2027 |
|
15,787,050 |
| Bay Area Toll Authority Toll Bridge Authority RB for San Francisco Bay Area Series 2017 E (AA/Aa3)(b)(c) |
|
|
|
14,430,000 |
|
|
|
1.375 |
|
|
04/01/2020 |
|
14,342,266 |
| Benicia Unified School District GO Refunding Bonds Series 1997 A (NATL-RE) (A+/Aa3)(e) |
|
|
|
1,510,000 |
|
|
|
0.000 |
|
|
08/01/2018 |
|
1,508,309 |
| California Municipal Finance Authority RB for Anaheim Electric System Distribution Facilities 2nd Lien Qualified
Obligations Series 2015 (A+/NR)(b) |
| (SIFMA Municipal Swap Index Yield + 0.35%), |
|
|
|
10,000,000 |
|
|
|
1.860 |
|
|
12/01/2020 |
|
10,007,600 |
| California Municipal Finance Authority RB for Community Medical Centers Series 2017 A
(A-/Baa1) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
02/01/2019 |
|
1,017,360 |
|
|
|
1,100,000 |
|
|
|
5.000 |
|
|
02/01/2020 |
|
1,151,161 |
| California Municipal Finance Authority RB Refunding for NorthBay Healthcare Group Series 2016 A
(BBB-/NR) |
|
|
|
750,000 |
|
|
|
2.000 |
|
|
11/01/2018 |
|
749,760 |
| California Municipal Finance Authority Student Housing RB for Bowles Hall Foundation Series 2015 A
(NR/Baa3) |
|
|
|
150,000 |
|
|
|
3.000 |
|
|
06/01/2020 |
|
151,810 |
|
|
|
100,000 |
|
|
|
4.000 |
|
|
06/01/2022 |
|
105,363 |
| California State Various Purpose GO Bonds RMKT 11/15/17 Series 2013 B (AA-/Aa3)(b) |
| (SIFMA Municipal Swap Index Yield + 0.38%, 8.00% Cap), |
|
|
|
15,000,000 |
|
|
|
1.890 |
|
|
12/01/2022 |
|
15,038,400 |
| California State Various Purpose GO Bonds Series 2011 (AA-/Aa3) |
|
|
|
5,070,000 |
|
|
|
5.000 |
|
|
10/01/2019 |
|
5,291,711 |
| California State Various Purpose GO Bonds Series 2016 (AA-/Aa3)(b)(c) |
|
|
|
52,000,000 |
|
|
|
4.000 |
|
|
12/01/2021 |
|
55,367,000 |
| California State Various Purpose GO Refunding Bonds Series 2012 (AA-/Aa3) |
|
|
|
2,055,000 |
|
|
|
5.000 |
|
|
09/01/2019 |
|
2,139,132 |
| California Statewide Communities Development Authority RB Refunding for Irvine East Campus Apartments, CHF-Irvine
LLC Series 2016 (NR/Baa1) |
|
|
|
1,150,000 |
|
|
|
5.000 |
|
|
05/15/2020 |
|
1,215,918 |
| California Statewide Communities Development Authority Student Housing RB for University of California Irvine
East Campus Apartments, Phase IV-A CHF-Irvine, LLC Series 2017 (NR/Baa1) |
|
|
|
1,750,000 |
|
|
|
5.000 |
|
|
05/15/2022 |
|
1,930,635 |
| City of Los Angeles RB for Wastewater System Series 2009 A (NR/NR)(a) |
|
|
|
8,135,000 |
|
|
|
5.750 |
|
|
06/01/2019 |
|
8,448,848 |
| City of Los Angeles RB Series 2018 (SP-1+/MIG1)(f) |
|
|
|
40,000,000 |
|
|
|
4.000 |
|
|
06/27/2019 |
|
40,933,600 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Municipal Bonds – (continued) |
| California – (continued) |
| City of Upland COPS for San Antonio Regional Hospital Project Series 2017 (BBB+/Baa2) |
| $ |
|
|
425,000 |
|
|
|
5.000 |
% |
|
01/01/2022 |
|
$ 459,748 |
|
|
|
450,000 |
|
|
|
5.000 |
|
|
01/01/2023 |
|
492,732 |
| Corona-Norco Unified School District Public Financing Authority Special Tax Refunding Senior Lien Series 2013 A
(A-/NR) |
|
|
|
275,000 |
|
|
|
4.000 |
|
|
09/01/2018 |
|
276,141 |
| Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Asset-Backed Bonds Series 2017 A-1
(A/NR) |
|
|
|
6,000,000 |
|
|
|
5.000 |
|
|
06/01/2020 |
|
6,354,360 |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
06/01/2021 |
|
5,405,850 |
|
|
|
6,000,000 |
|
|
|
5.000 |
|
|
06/01/2022 |
|
6,614,340 |
|
|
|
6,000,000 |
|
|
|
5.000 |
|
|
06/01/2023 |
|
6,721,500 |
| Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Asset-Backed Bonds Series 2018 A-1
(BBB/NR) |
|
|
|
7,500,000 |
|
|
|
3.500 |
|
|
06/01/2036 |
|
7,558,050 |
| Irvine City Limited Obligation Improvement Bond Reassessment District No. 12-1 Series 2012 Act 1915
(A+/NR) |
|
|
|
1,250,000 |
|
|
|
4.000 |
|
|
09/02/2018 |
|
1,255,425 |
|
|
|
1,895,000 |
|
|
|
4.000 |
|
|
09/02/2019 |
|
1,948,761 |
| Irvine City Limited Obligation Improvement Bond Reassessment District No. 15-2 Series 2015
(NR/NR) |
|
|
|
500,000 |
|
|
|
4.000 |
|
|
09/02/2018 |
|
501,910 |
|
|
|
1,000,000 |
|
|
|
4.000 |
|
|
09/02/2019 |
|
1,024,270 |
|
|
|
725,000 |
|
|
|
4.000 |
|
|
09/02/2020 |
|
755,696 |
|
|
|
775,000 |
|
|
|
5.000 |
|
|
09/02/2021 |
|
843,425 |
| Irvine Unified School District No. 09-1 Special Tax for Community Facilities Series 2017 A
(NR/NR) |
|
|
|
1,765,000 |
|
|
|
5.000 |
|
|
09/01/2022 |
|
1,955,249 |
|
|
|
1,135,000 |
|
|
|
5.000 |
|
|
09/01/2023 |
|
1,277,409 |
| Irvine Unified School District No. 09-1 Special Tax for Community Facilities Series 2017 B
(NR/NR) |
|
|
|
600,000 |
|
|
|
4.000 |
|
|
09/01/2023 |
|
646,020 |
| Irvine Unified School District No. 09-1 Special Tax for Community Facilities Series 2017 C
(NR/NR) |
|
|
|
520,000 |
|
|
|
4.000 |
|
|
09/01/2023 |
|
558,054 |
| Irvine Unified School District No. 09-1 Special Tax for Community Facilities Series 2017 D
(NR/NR) |
|
|
|
255,000 |
|
|
|
3.000 |
|
|
09/01/2022 |
|
262,040 |
|
|
|
415,000 |
|
|
|
4.000 |
|
|
09/01/2023 |
|
445,789 |
| Lake Elsinore Public Financing Authority Local Agency RB Refunding for Community Facilities District No. 88-3
Series 2015 B (AGM) (AA/NR) |
|
|
|
1,235,000 |
|
|
|
5.000 |
|
|
09/01/2020 |
|
1,318,918 |
| Lake Elsinore Public Financing Authority Local Agency RB Refunding Series 2015 (NR/NR) |
|
|
|
1,495,000 |
|
|
|
4.000 |
|
|
09/01/2018 |
|
1,500,098 |
|
|
|
1,000,000 |
|
|
|
4.000 |
|
|
09/01/2019 |
|
1,022,590 |
|
|
|
840,000 |
|
|
|
5.000 |
|
|
09/01/2021 |
|
909,544 |
| Los Angeles County Public Works Financing Authority Lease RB for Multiple Capital Projects II Series 2012
(AA/Aa2) |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
08/01/2018 |
|
1,504,425 |
| Miramar Ranch North California Special Tax Refunding for Community Facilities District No.1 Series 2012
(A/NR) |
|
|
|
3,075,000 |
|
|
|
4.000 |
|
|
09/01/2019 |
|
3,160,239 |
| Mountain View California Shoreline Regional Park Community Tax Allocation Series 2011 A
(A/NR) |
|
|
|
350,000 |
|
|
|
5.000 |
|
|
08/01/2018 |
|
350,976 |
| Murrieta Public Financing Authority Special Tax RB Refunding Series 2012 (A/NR) |
|
|
|
1,965,000 |
|
|
|
5.000 |
|
|
09/01/2018 |
|
1,976,495 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
09/01/2019 |
|
1,036,820 |
| |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| California – (continued) |
| Natomas Unified School District GO Refunding Bonds Series 2013 (BAM) (AA/A1) |
| $ |
|
|
410,000 |
|
|
|
3.000 |
% |
|
09/01/2018 |
|
$ 411,144 |
|
|
|
730,000 |
|
|
|
4.000 |
|
|
09/01/2020 |
|
766,741 |
|
|
|
650,000 |
|
|
|
4.000 |
|
|
09/01/2021 |
|
693,946 |
| Orange County Sanitation District COPS RB Refunding Certificate Anticipation Notes Series 2016 B
(AAA/NR) |
|
|
|
21,065,000 |
|
|
|
2.000 |
|
|
12/15/2018 |
|
21,126,931 |
| Palo Alto Limited Obligation Refunding & Improvement for University Avenue Area Off-Street Parking Assessment
District Series 2012 (A-/NR) |
|
|
|
385,000 |
|
|
|
3.000 |
|
|
09/02/2018 |
|
385,978 |
| Rancho Cordova Community Facilities District No. 2003-1 Special Tax Refunding for Sunridge Anatolia Series 2016
(NR/NR) |
|
|
|
450,000 |
|
|
|
3.000 |
|
|
09/01/2018 |
|
450,904 |
|
|
|
650,000 |
|
|
|
4.000 |
|
|
09/01/2020 |
|
677,489 |
|
|
|
380,000 |
|
|
|
4.000 |
|
|
09/01/2022 |
|
405,798 |
| Roseville California Community Facilities District No. 1 Special Tax Refunding for Fiddyment Ranch Project Series
2017 (NR/NR) |
|
|
|
175,000 |
|
|
|
2.000 |
|
|
09/01/2018 |
|
175,135 |
|
|
|
725,000 |
|
|
|
3.000 |
|
|
09/01/2019 |
|
733,852 |
|
|
|
1,000,000 |
|
|
|
4.000 |
|
|
09/01/2020 |
|
1,039,920 |
|
|
|
675,000 |
|
|
|
5.000 |
|
|
09/01/2021 |
|
732,389 |
|
|
|
800,000 |
|
|
|
5.000 |
|
|
09/01/2022 |
|
883,880 |
|
|
|
1,835,000 |
|
|
|
5.000 |
|
|
09/01/2023 |
|
2,058,613 |
| Sacramento County Regional Transit District Farebox RB Series 2012 (ETM) (A-/A3)(a) |
|
|
|
730,000 |
|
|
|
5.000 |
|
|
03/01/2019 |
|
747,513 |
| Sacramento County Sanitation District Financing Authority RB Refunding for Sacramento County Regional Series 2007
B (NATL-RE) (AA/Aa3)(d) |
| (3 Mo. LIBOR + 0.53%), |
|
|
|
47,675,000 |
|
|
|
2.071 |
|
|
12/01/2035 |
|
46,133,191 |
| Salida Area Public Facilities Financing Agency Community Facilities District No. 1988-1 Special Tax Bonds Series
2011 (AGM) (AA/NR) |
|
|
|
1,310,000 |
|
|
|
3.000 |
|
|
09/01/2018 |
|
1,313,760 |
| San Bernardino City Unified School District GO Refunding Bonds Series 2013 A (A+/A2) |
|
|
|
800,000 |
|
|
|
5.000 |
|
|
08/01/2018 |
|
802,312 |
| San Bernardino City Unified School District GO Refunding Bonds Series 2013 A (AGM) (AA/A2) |
|
|
|
150,000 |
|
|
|
5.000 |
|
|
08/01/2019 |
|
155,673 |
| San Diego Public Facilities Financing Authority Sewer RB Series 2009 B (AA+/Aa2)(a) |
|
|
|
11,195,000 |
|
|
|
5.000 |
|
|
05/15/2019 |
|
11,542,717 |
| San Francisco City & County GO Bonds for Clean & Safe Neighborhood Parks Series 2012 B
(AA+/Aaa) |
|
|
|
2,750,000 |
|
|
|
4.000 |
|
|
06/15/2019 |
|
2,820,125 |
| San Juan Unified School District Election of 2012 GO Bonds Series 2014 B (NR/Aa2) |
|
|
|
2,000,000 |
|
|
|
3.000 |
|
|
08/01/2019 |
|
2,034,100 |
| San Marcos Public Financing Authority Special Tax RB Refunding Series 2012 (A-/NR) |
|
|
|
1,000,000 |
|
|
|
4.000 |
|
|
09/01/2019 |
|
1,027,130 |
| San Ramon Valley Unified School District GO Bonds Series 1998 A (NATL-RE) (AA/Aa1)(e) |
|
|
|
2,000,000 |
|
|
|
0.000 |
|
|
07/01/2018 |
|
2,000,000 |
| Simi Valley Community Development Agency Tax Allocation Refunding for Tapo Canyon and West End Project Series
2003 (NATL-RE) (AA-/Baa2) |
|
|
|
600,000 |
|
|
|
5.250 |
|
|
09/01/2018 |
|
601,770 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| California – (continued) |
| Stockton Public Financing Authority RB Refunding Series 2016 A (A-/NR) |
| $ |
|
|
710,000 |
|
|
|
2.000 |
% |
|
09/02/2018 |
|
$ 710,653 |
|
|
|
410,000 |
|
|
|
2.000 |
|
|
09/02/2019 |
|
411,739 |
| Stockton Unified School District GO Refunding Bonds Series 2012 (AGM) (AA/A2) |
|
|
|
1,090,000 |
|
|
|
5.000 |
|
|
07/01/2019 |
|
1,128,281 |
| Tobacco Securitization Authority Northern California Tobacco Settlement RB Asset-Backed Bonds Series 2005 A-1
(BB+/Baa3) |
|
|
|
970,000 |
|
|
|
4.750 |
|
|
06/01/2023 |
|
970,204 |
| University of California Regents Medical Center Pooled RB Refunding Series 2007 C-2 (NATL-RE) (AA-/Aa3)(d) |
| (3 Mo. LIBOR + 0.61%), |
|
|
|
3,500,000 |
|
|
|
2.179 |
|
|
05/15/2030 |
|
3,384,535 |
| (3 Mo. LIBOR + 0.74%), |
|
|
|
15,000,000 |
|
|
|
2.309 |
|
|
05/15/2043 |
|
13,262,550 |
| Ventura County Capital Appreciation GO Bonds for Conejo Valley Unified School District for Election of 2014
Series A (AGM) (AA/Aa3)(e) |
|
|
|
1,775,000 |
|
|
|
0.000 |
|
|
08/01/2020 |
|
1,713,301 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
397,009,667 |
| |
| Colorado – 1.8% |
| City of Boulder Water & Sewer RB Refunding Series 2012 (AAA/Aa1) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
12/01/2020 |
|
1,077,620 |
| Colorado E-470 Public Highway Authority Senior RB Refunding Series 2015 A (A/A3) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
09/01/2020 |
|
1,062,900 |
| Colorado Health Facilities Authority RB Refunding for Covenant Retirement Communities, Inc. Series 2015 A
(BBB+/NR) |
|
|
|
500,000 |
|
|
|
4.000 |
|
|
12/01/2018 |
|
504,375 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
12/01/2020 |
|
1,062,470 |
| Colorado Health Facilities Authority RB Refunding for Evangelical Lutheran Good Samaritan Society Project Series
2017 (BBB/NR) |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
06/01/2019 |
|
512,870 |
|
|
|
400,000 |
|
|
|
5.000 |
|
|
06/01/2020 |
|
421,844 |
|
|
|
700,000 |
|
|
|
5.000 |
|
|
06/01/2021 |
|
753,116 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
06/01/2022 |
|
547,655 |
| Denver City & County School District No. 1 GO Refunding Bonds Series 2012 A (ST AID WITHHLDG) (AA+/Aa2)(a) |
|
|
|
4,045,000 |
|
|
|
5.000 |
|
|
12/01/2021 |
|
4,461,433 |
| Denver Colorado Health and Hospital Authority Healthcare RB Refunding Series 2017 A (BBB/NR)(g) |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
12/01/2018 |
|
2,024,900 |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
12/01/2019 |
|
2,079,060 |
|
|
|
2,415,000 |
|
|
|
5.000 |
|
|
12/01/2020 |
|
2,568,787 |
|
|
|
4,110,000 |
|
|
|
5.000 |
|
|
12/01/2021 |
|
4,445,294 |
|
|
|
4,315,000 |
|
|
|
5.000 |
|
|
12/01/2022 |
|
4,734,418 |
|
|
|
4,530,000 |
|
|
|
5.000 |
|
|
12/01/2023 |
|
5,010,316 |
|
|
|
4,760,000 |
|
|
|
5.000 |
|
|
12/01/2024 |
|
5,293,739 |
| Denver Colorado Health and Hospital Authority Healthcare RB Series 2007 B (BBB/NR)(d) |
| (3 Mo. LIBOR + 1.10%), |
|
|
|
16,355,000 |
|
|
|
2.641 |
|
|
12/01/2033 |
|
15,286,855 |
| E-470 Public Highway Authority Senior RB Series 2017 A (A/A3)(b) |
| (1 Mo. LIBOR + 0.90%), |
|
|
|
5,250,000 |
|
|
|
2.303 |
|
|
09/01/2019 |
|
5,267,955 |
| |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Colorado – (continued) |
| Jefferson County School District R-1 GO Bonds Series 2012 (ST AID WITHHLDG) (AA/Aa2)(a) |
| $ |
|
|
5,925,000 |
|
|
|
4.000 |
% |
|
12/15/2022 |
|
$ 6,434,965 |
|
|
|
12,000,000 |
|
|
|
5.000 |
|
|
12/15/2022 |
|
13,541,760 |
| University of Colorado Hospital Authority RB Series 2017 C-1
(AA-/Aa3)(b)(c) |
|
|
|
6,360,000 |
|
|
|
4.000 |
|
|
03/01/2020 |
|
6,516,265 |
| University of Colorado Hospital Authority RB Series 2017 C-2
(AA-/Aa3)(b)(c) |
|
|
|
7,215,000 |
|
|
|
5.000 |
|
|
03/01/2022 |
|
7,828,419 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
91,437,016 |
| |
| Connecticut – 3.2% |
| Connecticut State GO Bonds Series 2013 A (A/A1) |
|
|
|
5,195,000 |
|
|
|
5.000 |
|
|
10/15/2023 |
|
5,792,997 |
| Connecticut State GO Bonds Series 2013 C (A/A1) |
|
|
|
7,555,000 |
|
|
|
5.000 |
|
|
07/15/2019 |
|
7,797,440 |
| Connecticut State GO Bonds Series 2015 C
(A/A1)(d) |
| (SIFMA Municipal Swap Index Yield + 0.80%, 10.00% Cap), |
|
|
|
10,000,000 |
|
|
|
2.310 |
|
|
06/15/2020 |
|
10,058,900 |
| Connecticut State GO Bonds Series 2015 F (A/A1) |
|
|
|
6,500,000 |
|
|
|
5.000 |
|
|
11/15/2021 |
|
7,045,480 |
|
|
|
5,685,000 |
|
|
|
5.000 |
|
|
11/15/2022 |
|
6,264,358 |
|
|
|
4,435,000 |
|
|
|
5.000 |
|
|
11/15/2023 |
|
4,950,702 |
| Connecticut State GO Bonds Series 2017 A (A/A1) |
|
|
|
1,705,000 |
|
|
|
5.000 |
|
|
04/15/2022 |
|
1,859,183 |
| Connecticut State GO Refunding Bonds Series 2017 B (A/A1) |
|
|
|
18,110,000 |
|
|
|
3.000 |
|
|
04/15/2022 |
|
18,421,492 |
| Connecticut State Health & Educational Facilities Authority RB for Sacred Heart University Series 2012 H
(ETM) (AGM) (AA/A2)(a) |
|
|
|
1,260,000 |
|
|
|
4.000 |
|
|
07/01/2018 |
|
1,260,000 |
| Connecticut State Health & Educational Facilities Authority RB for Yale University Series 2010 A-3 (AAA/Aaa)(b)(c) |
|
|
|
11,250,000 |
|
|
|
1.800 |
|
|
02/09/2021 |
|
11,210,175 |
| Connecticut State Health & Educational Facilities Authority RB Refunding for Yale University Series 2017 B-1
(AAA/Aaa)(b)(c) |
|
|
|
4,925,000 |
|
|
|
5.000 |
|
|
07/01/2020 |
|
5,244,386 |
| Connecticut State Health & Educational Facilities Authority RB Refunding for Yale University Series 2017 C-2
(AAA/Aaa)(b)(c) |
|
|
|
50,000,000 |
|
|
|
5.000 |
|
|
02/01/2023 |
|
56,273,000 |
| Hartford County Metropolitan District GO Refunding Bonds Series 2017 B (SP-1+/NR) |
|
|
|
12,000,000 |
|
|
|
3.000 |
|
|
08/01/2018 |
|
12,008,760 |
| New Haven GO Refunding Bonds Series 2015 B (BAM) (AA/Baa1) |
|
|
|
6,115,000 |
|
|
|
5.000 |
|
|
08/15/2021 |
|
6,624,013 |
| Town of Hamden GO Refunding Bonds Series 2013 (A/Baa2) |
|
|
|
1,685,000 |
|
|
|
5.000 |
|
|
08/15/2018 |
|
1,691,251 |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
08/15/2019 |
|
2,066,560 |
| University of Connecticut RB Refunding Series 2010 A (AA-/A1) |
|
|
|
2,775,000 |
|
|
|
5.000 |
|
|
02/15/2021 |
|
2,909,005 |
| West Haven GO Bonds Series 2017 A (BBB/Baa3) |
|
|
|
220,000 |
|
|
|
3.000 |
|
|
11/01/2018 |
|
220,240 |
|
|
|
300,000 |
|
|
|
3.000 |
|
|
11/01/2019 |
|
300,381 |
|
|
|
400,000 |
|
|
|
4.000 |
|
|
11/01/2020 |
|
407,648 |
|
|
|
400,000 |
|
|
|
4.000 |
|
|
11/01/2021 |
|
407,604 |
|
|
|
415,000 |
|
|
|
5.000 |
|
|
11/01/2022 |
|
439,609 |
|
|
|
400,000 |
|
|
|
5.000 |
|
|
11/01/2023 |
|
426,112 |
| West Haven GO Bonds Series 2017 B (BBB/Baa3) |
|
|
|
200,000 |
|
|
|
3.000 |
|
|
11/01/2019 |
|
200,254 |
|
|
|
390,000 |
|
|
|
4.000 |
|
|
11/01/2020 |
|
397,457 |
|
|
|
790,000 |
|
|
|
5.000 |
|
|
11/01/2022 |
|
836,847 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Connecticut – (continued) |
| West Haven GO Refunding Bonds Series 2012 (AGM) (AA/A2) |
| $ |
|
|
2,100,000 |
|
|
|
4.000 |
% |
|
08/01/2018 |
|
$ 2,103,444 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
167,217,298 |
| |
| Delaware – 0.5% |
| Delaware State GO Bonds Series 2014
(AAA/Aaa)(a) |
|
|
|
15,000,000 |
|
|
|
5.000 |
|
|
03/01/2022 |
|
16,631,100 |
| Delaware State GO Bonds Series 2018 A (AAA/Aaa) |
|
|
|
3,250,000 |
|
|
|
5.000 |
|
|
02/01/2021 |
|
3,513,347 |
|
|
|
3,500,000 |
|
|
|
5.000 |
|
|
02/01/2022 |
|
3,876,075 |
|
|
|
1,750,000 |
|
|
|
5.000 |
|
|
02/01/2023 |
|
1,980,178 |
| Delaware Transportation Authority Transportation System Senior RB Refunding Series 2010 A
(AA+/Aa2) |
|
|
|
1,900,000 |
|
|
|
5.000 |
|
|
07/01/2019 |
|
1,965,588 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
27,966,288 |
| |
| District of Columbia – 0.1% |
| District of Columbia RB for National Public Radio, Inc. Series 2010 A (A+/A2)(a) |
|
|
|
3,200,000 |
|
|
|
5.000 |
|
|
04/01/2020 |
|
3,374,432 |
| |
| Florida – 4.4% |
| Anthem Park Community Development District Special Assessment RB Refunding Senior Series 2016 A-1
(BBB/NR) |
|
|
|
320,000 |
|
|
|
2.000 |
|
|
05/01/2019 |
|
319,632 |
|
|
|
325,000 |
|
|
|
2.000 |
|
|
05/01/2020 |
|
322,914 |
|
|
|
335,000 |
|
|
|
2.250 |
|
|
05/01/2021 |
|
333,174 |
|
|
|
340,000 |
|
|
|
2.250 |
|
|
05/01/2022 |
|
335,073 |
|
|
|
350,000 |
|
|
|
2.500 |
|
|
05/01/2023 |
|
345,905 |
| Arborwood Community Development District RB Capital Improvement Refunding Senior Lien Series 2018 A-1 (AGM)
(AA/NR) |
|
|
|
1,065,000 |
|
|
|
2.000 |
|
|
05/01/2019 |
|
1,065,075 |
|
|
|
1,085,000 |
|
|
|
2.000 |
|
|
05/01/2020 |
|
1,082,277 |
|
|
|
1,110,000 |
|
|
|
2.125 |
|
|
05/01/2021 |
|
1,100,188 |
|
|
|
1,135,000 |
|
|
|
2.250 |
|
|
05/01/2022 |
|
1,121,005 |
|
|
|
1,160,000 |
|
|
|
2.500 |
|
|
05/01/2023 |
|
1,149,548 |
| Atlantic Beach Health Care Facilities RB Refunding for Fleet Landing Project Series 2013 A
(BBB/NR) |
|
|
|
970,000 |
|
|
|
4.000 |
|
|
11/15/2018 |
|
977,634 |
| Avelar Creek Community Development District Special Assessment Refunding Series 2016
(BBB+/NR) |
|
|
|
165,000 |
|
|
|
2.000 |
|
|
05/01/2019 |
|
165,309 |
|
|
|
170,000 |
|
|
|
2.000 |
|
|
05/01/2020 |
|
170,029 |
|
|
|
170,000 |
|
|
|
2.000 |
|
|
05/01/2021 |
|
169,580 |
| Bartram Park Community Development District Special Assessment RB Refunding for City of Jacksonville Florida
Senior Lien Series 2015 A-1 (BBB+/NR) |
|
|
|
580,000 |
|
|
|
2.300 |
|
|
05/01/2019 |
|
582,505 |
|
|
|
600,000 |
|
|
|
2.600 |
|
|
05/01/2020 |
|
606,528 |
|
|
|
615,000 |
|
|
|
3.000 |
|
|
05/01/2021 |
|
630,277 |
|
|
|
500,000 |
|
|
|
3.125 |
|
|
05/01/2022 |
|
515,205 |
|
|
|
500,000 |
|
|
|
3.250 |
|
|
05/01/2023 |
|
516,945 |
| Bay Laurel Center Community Development District Special Assessment RB Refunding Series 2016 Candler
(BBB+/NR) |
|
|
|
105,000 |
|
|
|
2.000 |
|
|
05/01/2019 |
|
105,196 |
|
|
|
130,000 |
|
|
|
2.250 |
|
|
05/01/2020 |
|
130,602 |
|
|
|
130,000 |
|
|
|
2.250 |
|
|
05/01/2021 |
|
130,567 |
|
|
|
135,000 |
|
|
|
2.250 |
|
|
05/01/2022 |
|
134,802 |
| |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Florida – (continued) |
| Baywinds Community Development District Senior Special Assessment Refunding Bonds Series 2017 A-1
(BBB-/NR) |
| $ |
|
|
275,000 |
|
|
|
3.500 |
% |
|
05/01/2019 |
|
$ 278,228 |
|
|
|
285,000 |
|
|
|
3.500 |
|
|
05/01/2020 |
|
291,700 |
|
|
|
295,000 |
|
|
|
3.500 |
|
|
05/01/2021 |
|
304,877 |
|
|
|
305,000 |
|
|
|
3.500 |
|
|
05/01/2022 |
|
316,401 |
| Bonterra Community Development District Special Assessment Bonds Senior Series 2017 A-1
(BBB-/NR) |
|
|
|
175,000 |
|
|
|
2.000 |
|
|
05/01/2019 |
|
174,984 |
|
|
|
180,000 |
|
|
|
2.000 |
|
|
05/01/2020 |
|
179,646 |
|
|
|
185,000 |
|
|
|
2.100 |
|
|
05/01/2021 |
|
184,493 |
|
|
|
185,000 |
|
|
|
2.375 |
|
|
05/01/2022 |
|
184,023 |
|
|
|
190,000 |
|
|
|
2.500 |
|
|
05/01/2023 |
|
188,117 |
| Broward County School Board COPS Series 2017 C (A+/Aa3) |
|
|
|
2,015,000 |
|
|
|
5.000 |
|
|
07/01/2023 |
|
2,279,449 |
| Cape Coral Florida Water & Sewer Revenue Special Assessment Refunding Various Areas Series 2017 (AGM)
(AA/A2) |
|
|
|
990,000 |
|
|
|
1.900 |
|
|
09/01/2020 |
|
981,773 |
|
|
|
1,240,000 |
|
|
|
2.125 |
|
|
09/01/2022 |
|
1,209,769 |
|
|
|
1,095,000 |
|
|
|
2.250 |
|
|
09/01/2023 |
|
1,071,392 |
| Century Gardens at Tamiami Community Development District Special Assessment Refunding Series 2016
(BBB/NR) |
|
|
|
215,000 |
|
|
|
2.000 |
|
|
05/01/2019 |
|
215,015 |
|
|
|
220,000 |
|
|
|
2.000 |
|
|
05/01/2020 |
|
219,175 |
|
|
|
225,000 |
|
|
|
2.250 |
|
|
05/01/2021 |
|
224,690 |
| Century Parc Community Development District Special Assessment Refunding Series 2012 (A-/NR) |
|
|
|
190,000 |
|
|
|
3.000 |
|
|
11/01/2018 |
|
190,969 |
|
|
|
195,000 |
|
|
|
3.250 |
|
|
11/01/2019 |
|
199,052 |
| CityPlace Community Development District Special Assessment RB Refunding Series 2012 (A/NR) |
|
|
|
1,890,000 |
|
|
|
5.000 |
|
|
05/01/2019 |
|
1,940,841 |
| Concord Station Community Development District Capital Improvement RB Refunding Senior Lien Series 2016 A-1
(BBB/NR) |
|
|
|
810,000 |
|
|
|
2.000 |
|
|
05/01/2019 |
|
808,995 |
|
|
|
830,000 |
|
|
|
2.000 |
|
|
05/01/2020 |
|
825,120 |
|
|
|
840,000 |
|
|
|
2.000 |
|
|
05/01/2021 |
|
829,265 |
|
|
|
860,000 |
|
|
|
2.125 |
|
|
05/01/2022 |
|
842,422 |
| Coronado Community Development District Special Assessment Refunding & Improvement Bonds Series 2017
(BBB/NR) |
|
|
|
117,000 |
|
|
|
2.125 |
|
|
05/01/2019 |
|
117,128 |
|
|
|
119,000 |
|
|
|
2.375 |
|
|
05/01/2020 |
|
119,349 |
|
|
|
122,000 |
|
|
|
2.625 |
|
|
05/01/2021 |
|
123,077 |
|
|
|
126,000 |
|
|
|
2.750 |
|
|
05/01/2022 |
|
127,140 |
| Country Walk Community Development District Special Assessment Senior Lien RB Refunding Series 2015 A-1
(A-/NR) |
|
|
|
180,000 |
|
|
|
2.500 |
|
|
05/01/2019 |
|
181,236 |
|
|
|
185,000 |
|
|
|
2.750 |
|
|
05/01/2020 |
|
187,877 |
| County of Escambia Solid Waste Disposal System RB for Gulf Power Company First Series 2009 (A/A2)(b)(c) |
|
|
|
14,400,000 |
|
|
|
1.800 |
|
|
11/19/2020 |
|
14,188,176 |
| County of Miami-Dade RB for Water & Sewer System Series 2010
(A+/Aa3)(a) |
|
|
|
17,800,000 |
|
|
|
5.000 |
|
|
10/01/2020 |
|
19,075,548 |
| Double Branch Community Development District Special Assessment Refunding Senior Lien Series 2013 A-1
(A-/NR) |
|
|
|
250,000 |
|
|
|
2.700 |
|
|
05/01/2019 |
|
252,125 |
|
|
|
250,000 |
|
|
|
3.000 |
|
|
05/01/2020 |
|
255,005 |
| Durbin Crossing Community Development District Special Assessment Refunding Senior Series 2017 A-1 (AGM)
(AA/NR) |
|
|
|
1,445,000 |
|
|
|
2.000 |
|
|
05/01/2019 |
|
1,447,355 |
|
|
|
1,475,000 |
|
|
|
2.000 |
|
|
05/01/2020 |
|
1,466,814 |
|
|
|
1,505,000 |
|
|
|
2.125 |
|
|
05/01/2021 |
|
1,492,915 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Florida – (continued) |
| Florida Higher Educational Facilities Financing Authority RB for Nova Southeastern University Project Series 2012
A (A-/Baa1) |
| $ |
|
|
500,000 |
|
|
|
5.000 |
% |
|
04/01/2019 |
|
$ 511,200 |
| Florida State Full Faith and Credit State Board of Education Public Education Capital Outlay Tax-Exempt Bonds
Series 2008 C (AAA/Aaa) |
|
|
|
2,990,000 |
|
|
|
5.000 |
|
|
06/01/2020 |
|
3,083,467 |
| Florida State Full Faith and Credit State Board of Education Public Education Capital Outlay Tax-Exempt Bonds
Series 2011 A (AAA/Aaa) |
|
|
|
5,810,000 |
|
|
|
5.000 |
|
|
06/01/2021 |
|
6,158,774 |
| Florida State Municipal Power Agency RB Refunding for St. Lucie Project Series 2002-1 (AMBAC) (A/A2)(b)(c) |
|
|
|
12,550,000 |
|
|
|
2.770 |
|
|
10/01/2021 |
|
12,550,000 |
| Florida State Municipal Power Agency RB Refunding for St. Lucie Project Series 2002-2 (AMBAC) (A/A2)(c) |
|
|
|
5,550,000 |
|
|
|
2.702 |
|
|
10/01/2021 |
|
5,550,000 |
| Florida State Municipal Power Agency RB Refunding for St. Lucie Project Series 2002-3 (AMBAC) (A/A2)(c) |
|
|
|
54,175,000 |
|
|
|
2.770 |
|
|
10/01/2021 |
|
54,175,000 |
| Fontainbleau Lakes Community Development District Special Assessment RB Refunding Series 2016
(BBB+/NR) |
|
|
|
220,000 |
|
|
|
2.000 |
|
|
05/01/2019 |
|
220,411 |
|
|
|
225,000 |
|
|
|
2.000 |
|
|
05/01/2020 |
|
225,038 |
|
|
|
230,000 |
|
|
|
2.000 |
|
|
05/01/2021 |
|
229,432 |
|
|
|
235,000 |
|
|
|
2.500 |
|
|
05/01/2022 |
|
236,795 |
|
|
|
245,000 |
|
|
|
2.500 |
|
|
05/01/2023 |
|
244,995 |
|
|
|
245,000 |
|
|
|
2.500 |
|
|
05/01/2024 |
|
241,198 |
|
|
|
255,000 |
|
|
|
2.750 |
|
|
05/01/2025 |
|
250,311 |
|
|
|
260,000 |
|
|
|
3.000 |
|
|
05/01/2026 |
|
256,594 |
| Hawks Point Community Development District Special Assessment Refunding Senior Series 2017 A-1 (BBB+/NR)(g) |
|
|
|
215,000 |
|
|
|
3.500 |
|
|
05/01/2019 |
|
218,094 |
|
|
|
225,000 |
|
|
|
3.500 |
|
|
05/01/2020 |
|
231,187 |
|
|
|
235,000 |
|
|
|
3.500 |
|
|
05/01/2021 |
|
244,047 |
|
|
|
245,000 |
|
|
|
3.500 |
|
|
05/01/2022 |
|
255,800 |
|
|
|
250,000 |
|
|
|
3.500 |
|
|
05/01/2023 |
|
261,298 |
| Heritage Isle at Viera Community Development District Special Assessment Refunding Series 2017 (AGM)
(AA/NR) |
|
|
|
175,000 |
|
|
|
4.000 |
|
|
05/01/2019 |
|
178,147 |
|
|
|
185,000 |
|
|
|
4.000 |
|
|
05/01/2020 |
|
190,123 |
|
|
|
190,000 |
|
|
|
4.000 |
|
|
05/01/2021 |
|
196,623 |
|
|
|
200,000 |
|
|
|
4.000 |
|
|
05/01/2022 |
|
208,132 |
|
|
|
205,000 |
|
|
|
4.000 |
|
|
05/01/2023 |
|
213,862 |
| Heritage Landing Community Development District Special Assessment Refunding Series 2015
(BBB/NR) |
|
|
|
425,000 |
|
|
|
2.250 |
|
|
05/01/2019 |
|
425,897 |
|
|
|
535,000 |
|
|
|
2.500 |
|
|
05/01/2020 |
|
538,140 |
| Highlands Community Development District Special Assessment Refunding Series 2016 (BBB-/NR) |
|
|
|
280,000 |
|
|
|
2.000 |
|
|
05/01/2019 |
|
279,678 |
|
|
|
285,000 |
|
|
|
2.250 |
|
|
05/01/2020 |
|
284,439 |
|
|
|
290,000 |
|
|
|
2.250 |
|
|
05/01/2021 |
|
288,419 |
|
|
|
295,000 |
|
|
|
2.250 |
|
|
05/01/2022 |
|
290,725 |
|
|
|
305,000 |
|
|
|
2.500 |
|
|
05/01/2023 |
|
301,432 |
|
|
|
315,000 |
|
|
|
2.750 |
|
|
05/01/2024 |
|
311,642 |
|
|
|
320,000 |
|
|
|
3.000 |
|
|
05/01/2025 |
|
316,870 |
| Hillsborough County School Board COPS Refunding for Florida Master Lease Program Series 2017 C
(AA-/Aa2) |
|
|
|
1,350,000 |
|
|
|
5.000 |
|
|
07/01/2019 |
|
1,396,197 |
| Lakeland Hospital RB for Lakeland Regional Health System Series 2011 (NR/A2) |
|
|
|
6,250,000 |
|
|
|
5.000 |
|
|
11/15/2018 |
|
6,327,937 |
| |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Florida – (continued) |
| Lee County Moody River Estates Community Development District Special Assessment Refunding Senior Series 2017 A-1
(BBB+/NR) |
| $ |
|
|
270,000 |
|
|
|
3.500 |
% |
|
05/01/2019 |
|
$ 273,191 |
|
|
|
275,000 |
|
|
|
3.500 |
|
|
05/01/2020 |
|
281,515 |
|
|
|
290,000 |
|
|
|
3.500 |
|
|
05/01/2021 |
|
299,790 |
|
|
|
300,000 |
|
|
|
3.500 |
|
|
05/01/2022 |
|
311,325 |
|
|
|
305,000 |
|
|
|
3.500 |
|
|
05/01/2023 |
|
317,795 |
|
|
|
320,000 |
|
|
|
3.500 |
|
|
05/01/2024 |
|
332,659 |
| Miami Beach Health Facilities Authority Hospital RB Refunding for Mount Sinai Medical Center Series 2012
(A-/Baa1) |
|
|
|
2,220,000 |
|
|
|
4.000 |
|
|
11/15/2018 |
|
2,235,829 |
| Miami Special Obligation Non-Ad Valorem RB for Port of Miami Tunnel Project Series 2012 (A+/Aa3)(g) |
|
|
|
2,390,000 |
|
|
|
5.000 |
|
|
03/01/2019 |
|
2,444,946 |
|
|
|
2,510,000 |
|
|
|
5.000 |
|
|
03/01/2020 |
|
2,646,318 |
|
|
|
2,635,000 |
|
|
|
5.000 |
|
|
03/01/2021 |
|
2,809,806 |
|
|
|
2,770,000 |
|
|
|
5.000 |
|
|
03/01/2022 |
|
3,007,721 |
| Miami-Dade County IDA Solid Waste Disposal RB for Waste Management Inc. Project Series 2006
(A-/NR) |
|
|
|
6,000,000 |
|
|
|
1.500 |
|
|
10/01/2018 |
|
5,994,480 |
| North Broward Hospital District RB Refunding for Broward Health Series 2017 B
(BBB+/Baa2) |
|
|
|
750,000 |
|
|
|
5.000 |
|
|
01/01/2019 |
|
760,867 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
01/01/2020 |
|
1,041,540 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
01/01/2021 |
|
1,064,340 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
01/01/2022 |
|
1,084,550 |
| Orlando Florida Community Redevelopment Agency Tax Increment RB Refunding for Conroy Road District Series 2012
(A-/NR) |
|
|
|
1,305,000 |
|
|
|
5.000 |
|
|
04/01/2019 |
|
1,336,399 |
|
|
|
1,375,000 |
|
|
|
5.000 |
|
|
04/01/2020 |
|
1,447,751 |
| Orlando Utilities Commission, Utility System RB Refunding Series 2017 A (AA/Aa2)(b)(c) |
|
|
|
7,340,000 |
|
|
|
3.000 |
|
|
10/01/2020 |
|
7,450,027 |
| Palm Beach County Health Facilities Authority Hospital RB Refunding for Jupiter Medical Center, Inc. Project
Series 2013 A (BBB+/Baa2) |
|
|
|
630,000 |
|
|
|
4.000 |
|
|
11/01/2018 |
|
634,095 |
| Palm Glades Community Development District Senior Special Assessment Bonds Series 2018 A-1 (BBB/NR)(g) |
|
|
|
185,000 |
|
|
|
3.000 |
|
|
11/01/2020 |
|
188,380 |
|
|
|
190,000 |
|
|
|
3.000 |
|
|
11/01/2021 |
|
193,439 |
|
|
|
195,000 |
|
|
|
3.000 |
|
|
11/01/2022 |
|
198,329 |
|
|
|
205,000 |
|
|
|
3.000 |
|
|
11/01/2023 |
|
207,316 |
|
|
|
210,000 |
|
|
|
3.000 |
|
|
11/01/2024 |
|
210,838 |
| Palm Glades Community Development District Special Assessment Refunding Bonds Series 2016
(BBB/NR) |
|
|
|
485,000 |
|
|
|
2.000 |
|
|
05/01/2019 |
|
484,597 |
| Parklands Lee Community Development District Special Assessment Refunding Senior Lien Series 2013 A-1
(A/NR) |
|
|
|
140,000 |
|
|
|
2.875 |
|
|
05/01/2019 |
|
141,449 |
| Portofino Isles Community Development District Special Assessment Refunding Series 2013
(BBB-/NR) |
|
|
|
230,000 |
|
|
|
3.000 |
|
|
05/01/2019 |
|
231,610 |
| Reunion East Community Development District Special Assessment Refunding Series 2015 A
(NR/NR) |
|
|
|
1,310,000 |
|
|
|
4.000 |
|
|
05/01/2020 |
|
1,335,506 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Florida – (continued) |
| River Bend Community Development District Special Assessment RB Refunding Senior Series 2016 A-1
(BBB+/NR) |
| $ |
|
|
360,000 |
|
|
|
2.000 |
% |
|
05/01/2019 |
|
$ 360,673 |
|
|
|
365,000 |
|
|
|
2.000 |
|
|
05/01/2020 |
|
365,062 |
|
|
|
375,000 |
|
|
|
2.000 |
|
|
05/01/2021 |
|
374,074 |
|
|
|
385,000 |
|
|
|
2.500 |
|
|
05/01/2022 |
|
387,942 |
|
|
|
395,000 |
|
|
|
2.500 |
|
|
05/01/2023 |
|
394,992 |
|
|
|
405,000 |
|
|
|
2.500 |
|
|
05/01/2024 |
|
398,714 |
|
|
|
415,000 |
|
|
|
2.750 |
|
|
05/01/2025 |
|
407,368 |
|
|
|
425,000 |
|
|
|
3.000 |
|
|
05/01/2026 |
|
419,433 |
| Sausalito Bay Community Development District Special Assessment Refunding Series 2013
(A-/NR) |
|
|
|
90,000 |
|
|
|
2.750 |
|
|
05/01/2019 |
|
90,802 |
|
|
|
100,000 |
|
|
|
3.000 |
|
|
05/01/2020 |
|
102,002 |
| South Fork East Community Development District Capital Improvement RB Refunding Series 2017
(BBB/NR) |
|
|
|
380,000 |
|
|
|
2.125 |
|
|
05/01/2019 |
|
379,886 |
|
|
|
390,000 |
|
|
|
2.250 |
|
|
05/01/2020 |
|
389,025 |
|
|
|
400,000 |
|
|
|
2.625 |
|
|
05/01/2021 |
|
401,568 |
|
|
|
405,000 |
|
|
|
2.875 |
|
|
05/01/2022 |
|
407,552 |
| South Kendall Community Development District Special Assessment Refunding Series 2016
(BBB-/NR) |
|
|
|
320,000 |
|
|
|
2.000 |
|
|
11/01/2018 |
|
320,086 |
|
|
|
325,000 |
|
|
|
2.000 |
|
|
11/01/2019 |
|
324,402 |
|
|
|
330,000 |
|
|
|
2.250 |
|
|
11/01/2020 |
|
330,294 |
|
|
|
330,000 |
|
|
|
2.250 |
|
|
11/01/2021 |
|
328,004 |
|
|
|
335,000 |
|
|
|
2.250 |
|
|
11/01/2022 |
|
329,955 |
| South Village Community Development District Capital Improvement and Special Assessment Refunding Senior Lien
Series 2016 A-1 (BBB/NR) |
|
|
|
300,000 |
|
|
|
2.000 |
|
|
05/01/2019 |
|
300,021 |
|
|
|
310,000 |
|
|
|
2.000 |
|
|
05/01/2020 |
|
308,838 |
|
|
|
100,000 |
|
|
|
2.000 |
|
|
05/01/2021 |
|
99,182 |
|
|
|
100,000 |
|
|
|
2.125 |
|
|
05/01/2022 |
|
98,638 |
|
|
|
100,000 |
|
|
|
2.375 |
|
|
05/01/2023 |
|
98,492 |
|
|
|
100,000 |
|
|
|
2.500 |
|
|
05/01/2024 |
|
97,710 |
|
|
|
100,000 |
|
|
|
2.750 |
|
|
05/01/2025 |
|
97,919 |
|
|
|
100,000 |
|
|
|
3.000 |
|
|
05/01/2026 |
|
98,418 |
| South-Dade Venture Community Development District Special Assessment RB Refunding Series 2012
(BBB-/NR) |
|
|
|
345,000 |
|
|
|
4.125 |
|
|
05/01/2019 |
|
350,582 |
|
|
|
375,000 |
|
|
|
4.375 |
|
|
05/01/2021 |
|
394,594 |
|
|
|
390,000 |
|
|
|
4.500 |
|
|
05/01/2022 |
|
416,087 |
| Spicewood Community Development District Special Assessment Refunding Series 2013
(BBB+/NR) |
|
|
|
115,000 |
|
|
|
2.875 |
|
|
05/01/2019 |
|
116,038 |
| Stonebrier Community Development District Special Assessment Refunding Series 2016 (A-/NR) |
|
|
|
245,000 |
|
|
|
2.000 |
|
|
05/01/2019 |
|
245,299 |
|
|
|
250,000 |
|
|
|
2.000 |
|
|
05/01/2020 |
|
250,220 |
|
|
|
255,000 |
|
|
|
2.250 |
|
|
05/01/2021 |
|
251,680 |
|
|
|
260,000 |
|
|
|
2.250 |
|
|
05/01/2022 |
|
254,176 |
| Talis Park Community Development District Capital Improvement RB Refunding Senior Series 2016 A-1
(BBB+/NR) |
|
|
|
175,000 |
|
|
|
2.000 |
|
|
05/01/2019 |
|
175,327 |
|
|
|
175,000 |
|
|
|
2.000 |
|
|
05/01/2020 |
|
175,030 |
|
|
|
180,000 |
|
|
|
2.250 |
|
|
05/01/2021 |
|
180,785 |
|
|
|
185,000 |
|
|
|
2.250 |
|
|
05/01/2022 |
|
184,728 |
| |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Florida – (continued) |
| Tolomato Community Development District Special Assessment GO Refunding Bonds Senior Lien Series 2018 A-1 (AGM)
(AA/NR) |
| $ |
|
|
960,000 |
|
|
|
2.000 |
% |
|
05/01/2019 |
|
$ 960,144 |
|
|
|
980,000 |
|
|
|
2.000 |
|
|
05/01/2020 |
|
977,540 |
|
|
|
1,000,000 |
|
|
|
2.125 |
|
|
05/01/2021 |
|
992,780 |
|
|
|
1,020,000 |
|
|
|
2.250 |
|
|
05/01/2022 |
|
1,009,627 |
|
|
|
1,045,000 |
|
|
|
2.500 |
|
|
05/01/2023 |
|
1,037,925 |
| Trails at Monterey Community Development District Special Assessment Refunding Series 2012
(A-/NR) |
|
|
|
110,000 |
|
|
|
3.250 |
|
|
05/01/2019 |
|
111,430 |
|
|
|
115,000 |
|
|
|
3.500 |
|
|
05/01/2020 |
|
118,329 |
|
|
|
115,000 |
|
|
|
3.750 |
|
|
05/01/2021 |
|
120,277 |
|
|
|
125,000 |
|
|
|
3.875 |
|
|
05/01/2022 |
|
131,843 |
|
|
|
125,000 |
|
|
|
4.000 |
|
|
05/01/2023 |
|
131,380 |
|
|
|
135,000 |
|
|
|
4.125 |
|
|
05/01/2024 |
|
142,754 |
|
|
|
140,000 |
|
|
|
4.150 |
|
|
05/01/2025 |
|
147,279 |
|
|
|
145,000 |
|
|
|
4.250 |
|
|
05/01/2026 |
|
152,630 |
| Turnbull Creek Community Development District Senior Special Assessment Refunding Series 2015 A-1
(BBB/NR) |
|
|
|
400,000 |
|
|
|
2.300 |
|
|
05/01/2019 |
|
401,008 |
|
|
|
125,000 |
|
|
|
2.600 |
|
|
05/01/2020 |
|
125,866 |
| Two Creeks Community Development District RB Refunding for Capital Improvement Senior Lien Series 2016 A-1
(BBB/NR) |
|
|
|
160,000 |
|
|
|
2.000 |
|
|
05/01/2019 |
|
160,142 |
|
|
|
160,000 |
|
|
|
2.000 |
|
|
05/01/2020 |
|
159,685 |
|
|
|
350,000 |
|
|
|
2.250 |
|
|
05/01/2021 |
|
349,517 |
| Venetian Isles Community Development District Special Assessment RB Refunding Series 2013
(A+/NR) |
|
|
|
235,000 |
|
|
|
2.875 |
|
|
05/01/2019 |
|
237,277 |
|
|
|
240,000 |
|
|
|
3.000 |
|
|
05/01/2020 |
|
244,935 |
| Verano #1 Community Development District Senior Special Assessment Refunding for Community Infrastructure Project
Series 2017 A-1 (BBB/NR)(g) |
|
|
|
300,000 |
|
|
|
2.250 |
|
|
05/01/2019 |
|
300,633 |
|
|
|
305,000 |
|
|
|
2.500 |
|
|
05/01/2020 |
|
306,571 |
|
|
|
315,000 |
|
|
|
2.750 |
|
|
05/01/2021 |
|
318,852 |
|
|
|
325,000 |
|
|
|
3.000 |
|
|
05/01/2022 |
|
330,889 |
|
|
|
335,000 |
|
|
|
3.100 |
|
|
05/01/2023 |
|
340,866 |
| Village Community Development District No. 10 Special Assessment RB Series 2012 (NR/NR) |
|
|
|
760,000 |
|
|
|
4.500 |
|
|
05/01/2023 |
|
807,698 |
| Village Community Development District No. 6 Special Assessment RB Refunding Series 2017
(A-/NR) |
|
|
|
250,000 |
|
|
|
4.000 |
|
|
05/01/2019 |
|
254,640 |
|
|
|
345,000 |
|
|
|
4.000 |
|
|
05/01/2020 |
|
358,010 |
|
|
|
355,000 |
|
|
|
4.000 |
|
|
05/01/2021 |
|
368,259 |
|
|
|
375,000 |
|
|
|
4.000 |
|
|
05/01/2022 |
|
392,048 |
|
|
|
395,000 |
|
|
|
4.000 |
|
|
05/01/2023 |
|
415,157 |
|
|
|
415,000 |
|
|
|
4.000 |
|
|
05/01/2024 |
|
436,115 |
|
|
|
320,000 |
|
|
|
4.000 |
|
|
05/01/2025 |
|
334,979 |
| Village Community Development District No. 7 Special Assessment RB Refunding Series 2015
(A/NR) |
|
|
|
1,410,000 |
|
|
|
3.000 |
|
|
05/01/2019 |
|
1,424,861 |
| Vizcaya In Kendall Community Development District Special Assessment Bonds Series 2016
(BBB-/NR) |
|
|
|
195,000 |
|
|
|
2.000 |
|
|
11/01/2018 |
|
194,988 |
|
|
|
195,000 |
|
|
|
2.000 |
|
|
11/01/2019 |
|
194,388 |
|
|
|
200,000 |
|
|
|
2.250 |
|
|
11/01/2020 |
|
199,726 |
|
|
|
205,000 |
|
|
|
2.250 |
|
|
11/01/2021 |
|
203,112 |
|
|
|
210,000 |
|
|
|
2.250 |
|
|
11/01/2022 |
|
205,993 |
|
|
|
215,000 |
|
|
|
2.500 |
|
|
11/01/2023 |
|
211,091 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Florida – (continued) |
| Waters Edge Community Development District Capital Improvement RB Refunding Senior Lien Series 2015 A-1
(BBB+/NR) |
| $ |
|
|
385,000 |
|
|
|
2.000 |
% |
|
05/01/2019 |
|
$ 385,720 |
|
|
|
390,000 |
|
|
|
2.375 |
|
|
05/01/2020 |
|
392,675 |
|
|
|
400,000 |
|
|
|
2.625 |
|
|
05/01/2021 |
|
405,840 |
| Wyndam Park Community Development District Special Assessment Refunding Series 2013 (A-/NR) |
|
|
|
95,000 |
|
|
|
2.875 |
|
|
05/01/2019 |
|
95,943 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
228,139,443 |
| |
| Georgia – 3.8% |
| Atlanta Water & Wastewater RB Refunding Series 2009 A (AA-/Aa2)(a) |
|
|
|
5,645,000 |
|
|
|
6.000 |
|
|
11/01/2019 |
|
5,971,394 |
| Burke County Development Authority Pollution Control RB for Georgia Power Company Plant Vogtle Project First
Series 2012 (A-/A3)(b)(c) |
|
|
|
6,500,000 |
|
|
|
1.850 |
|
|
08/22/2019 |
|
6,489,795 |
| Burke County Development Authority Pollution Control RB for Oglethorpe Power Corporation Vogtle Series 2017 F
(A-/Baa1)(b)(c) |
|
|
|
29,150,000 |
|
|
|
3.000 |
|
|
02/01/2023 |
|
29,038,356 |
| City of Atlanta Tax Allocation Refunding Bonds for Atlantic Station Project Series 2017
(BBB/A3) |
|
|
|
575,000 |
|
|
|
5.000 |
|
|
12/01/2021 |
|
625,841 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
12/01/2022 |
|
552,770 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
12/01/2023 |
|
562,080 |
| City of Augusta GO Bonds Series 2016 (NR/Aa2) |
|
|
|
12,810,000 |
|
|
|
5.000 |
|
|
10/01/2019 |
|
13,350,710 |
|
|
|
12,135,000 |
|
|
|
5.000 |
|
|
10/01/2020 |
|
12,990,639 |
| De Kalb County School District GO Sales Tax Bonds Series 2017 (ST AID WITHHLDG)
(AA+/Aa1) |
|
|
|
34,820,000 |
|
|
|
4.000 |
|
|
10/01/2020 |
|
36,551,947 |
|
|
|
31,115,000 |
|
|
|
4.000 |
|
|
10/01/2021 |
|
33,191,304 |
|
|
|
18,845,000 |
|
|
|
4.000 |
|
|
10/01/2022 |
|
20,395,001 |
| Georgia State GO Refunding Bonds Series 2011 E-2 (AAA/Aaa) |
|
|
|
9,265,000 |
|
|
|
5.000 |
|
|
09/01/2021 |
|
10,168,893 |
| Milledgeville & Baldwin County Development Authority Student Housing RB Refunding for Georgia College &
State University Foundation Property V, LLC Project Series 2007 (AMBAC) (A+/WR)(d) |
| (3 Mo. LIBOR + 0.60%), |
|
|
|
12,800,000 |
|
|
|
2.149 |
|
|
10/01/2024 |
|
12,790,656 |
| Public Gas Partners Inc., Gas Project RB for Gas Supply Pool No. 1 Series 2009 A
(A+/WR) |
|
|
|
5,950,000 |
|
|
|
5.000 |
|
|
10/01/2019 |
|
6,189,131 |
| Richmond County Development Authority RB Subordinate Series 1991 C (ETM) (NR/Aaa)(a)(e) |
|
|
|
10,130,000 |
|
|
|
0.000 |
|
|
12/01/2021 |
|
9,452,404 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
198,320,921 |
| |
| Guam – 0.4% |
| Guam Government Limited Obligation RB Section 30 Series 2016 A (BBB+/NR) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
12/01/2018 |
|
1,012,030 |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
12/01/2019 |
|
1,559,295 |
| Guam Government Privilege Special Tax Refunding Bonds Series 2015 D (A/NR) |
|
|
|
265,000 |
|
|
|
4.000 |
|
|
11/15/2018 |
|
267,027 |
|
|
|
3,775,000 |
|
|
|
5.000 |
|
|
11/15/2021 |
|
4,100,707 |
| Guam Power Authority RB Series 2010 A (BBB/Baa2)(a) |
|
|
|
7,495,000 |
|
|
|
5.500 |
|
|
10/01/2020 |
|
8,093,476 |
| |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Guam – (continued) |
| Guam Waterworks Authority RB for Water & Wastewater System Series 2016 (A-/Baa2) |
| $ |
|
|
310,000 |
|
|
|
5.000 |
% |
|
07/01/2021 |
|
$ 333,433 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
07/01/2022 |
|
548,035 |
| Guam Waterworks Authority RB Refunding for Water & Wastewater System Series 2017
(A-/Baa2) |
|
|
|
100,000 |
|
|
|
5.000 |
|
|
07/01/2019 |
|
102,899 |
|
|
|
400,000 |
|
|
|
5.000 |
|
|
07/01/2021 |
|
430,236 |
|
|
|
400,000 |
|
|
|
5.000 |
|
|
07/01/2022 |
|
438,428 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
07/01/2023 |
|
555,360 |
|
|
|
400,000 |
|
|
|
5.000 |
|
|
07/01/2024 |
|
448,660 |
| Port Authority of Guam Private Activity RB Series 2018 B (AMT)
(A/Baa2)(f) |
|
|
|
250,000 |
|
|
|
5.000 |
|
|
07/01/2019 |
|
257,110 |
|
|
|
800,000 |
|
|
|
5.000 |
|
|
07/01/2022 |
|
872,328 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
07/01/2023 |
|
551,945 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,570,969 |
| |
| Hawaii – 0.5% |
| Hawaii Pacific Health RB for Hawaii Pacific Health Obligated Group Series 2010 A (AA-/A1)(a) |
|
|
|
11,500,000 |
|
|
|
5.500 |
|
|
07/01/2020 |
|
12,358,130 |
| Hawaii State GO Refunding Bonds Series 2016 FH (AA+/Aa1) |
|
|
|
7,545,000 |
|
|
|
3.000 |
|
|
10/01/2021 |
|
7,816,846 |
| Honolulu City & County GO Bonds Series 2012 B (AA+/Aa1) |
|
|
|
3,000,000 |
|
|
|
5.000 |
|
|
11/01/2022 |
|
3,373,920 |
| Honolulu City & County GO Bonds Series 2017 A (AA+/Aa1) |
|
|
|
4,370,000 |
|
|
|
5.000 |
|
|
09/01/2021 |
|
4,787,860 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,336,756 |
| |
| Illinois – 8.7% |
| Chicago Illinois Board of Education GO Bonds Series 1999 A (NATL-RE-IBC FGIC) (B/Baa2) |
|
|
|
1,600,000 |
|
|
|
5.250 |
|
|
12/01/2020 |
|
1,687,680 |
| Chicago Illinois Board of Education GO Refunding Bonds Series 1999 A (NATL-RE) (B/Baa2)(e) |
|
|
|
6,595,000 |
|
|
|
0.000 |
|
|
12/01/2019 |
|
6,332,453 |
| Chicago Illinois Board of Education Unlimited Tax GO Refunding Bonds for Dedicated Revenues Series 2018 A (AGM)
(AA/NR) |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
12/01/2022 |
|
542,955 |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
12/01/2023 |
|
2,194,180 |
|
|
|
4,100,000 |
|
|
|
5.000 |
|
|
12/01/2024 |
|
4,532,099 |
| Chicago Illinois Capital Appreciation GO Refunding Bonds and Project Series C (BBB+/Ba1)(e) |
|
|
|
4,645,000 |
|
|
|
0.000 |
|
|
01/01/2023 |
|
3,848,382 |
| Chicago Illinois Emergency Telephone System GO Refunding Bonds Series 1999 (NATL-RE)
(BBB+/Baa2) |
|
|
|
10,020,000 |
|
|
|
5.500 |
|
|
01/01/2023 |
|
10,783,524 |
| Chicago Illinois GO Bonds Project and Refunding RMKT 05/29/15 Series 2003 B (BBB+/Ba1) |
|
|
|
4,980,000 |
|
|
|
5.000 |
|
|
01/01/2023 |
|
5,277,555 |
| Chicago Illinois GO Bonds Project and Refunding Series 2009 A (BBB+/Ba1) |
|
|
|
5,400,000 |
|
|
|
5.000 |
|
|
01/01/2022 |
|
5,535,972 |
| Chicago Illinois GO Bonds Project and Refunding Series 2014 A (BBB+/Ba1) |
|
|
|
2,125,000 |
|
|
|
5.000 |
|
|
01/01/2022 |
|
2,233,991 |
| Chicago Illinois GO Refunding Bonds Capital Appreciation Series 2007 C (NATL-RE)
(BBB+/Baa2) |
|
|
|
4,400,000 |
|
|
|
5.000 |
|
|
01/01/2030 |
|
4,410,956 |
| Chicago Illinois GO Refunding Bonds Series 2012 C (BBB+/Ba1) |
|
|
|
14,445,000 |
|
|
|
5.000 |
|
|
01/01/2022 |
|
15,185,884 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Illinois – (continued) |
| Chicago Illinois GO Refunding Bonds Series 2015 C (BBB+/NR) |
| $ |
|
|
1,495,000 |
|
|
|
5.000 |
% |
|
01/01/2020 |
|
$ 1,539,700 |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
01/01/2021 |
|
2,090,040 |
|
|
|
16,000,000 |
|
|
|
5.000 |
|
|
01/01/2022 |
|
16,820,640 |
|
|
|
13,405,000 |
|
|
|
5.000 |
|
|
01/01/2023 |
|
14,205,949 |
| Chicago Illinois Midway Airport Second Lien RB Refunding Series 2014 B (A/A3) |
|
|
|
400,000 |
|
|
|
5.000 |
|
|
01/01/2019 |
|
406,752 |
| Chicago Illinois Modern Schools Across Chicago Program GO Bonds Series 2010 A
(BBB+/Ba1) |
|
|
|
1,080,000 |
|
|
|
5.000 |
|
|
12/01/2019 |
|
1,110,197 |
| Chicago Illinois O’Hare International Airport RB Refunding General Airport Senior Lien Series 2015 B
(A/NR) |
|
|
|
4,000,000 |
|
|
|
5.000 |
|
|
01/01/2021 |
|
4,283,480 |
| Chicago Illinois Sales Tax Refunding RMKT 06/09/15 Series 2002 (ETM) (BBB-/NR)(a) |
|
|
|
1,250,000 |
|
|
|
5.000 |
|
|
01/01/2021 |
|
1,344,925 |
| Chicago Illinois Wastewater Transmission RB Refunding Second Lien Project Series 2008 C
(A/NR) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
01/01/2021 |
|
1,067,100 |
| Chicago Illinois Wastewater Transmission RB Refunding Second Lien Series 2017 B (A/NR) |
|
|
|
2,050,000 |
|
|
|
5.000 |
|
|
01/01/2021 |
|
2,187,555 |
|
|
|
1,450,000 |
|
|
|
5.000 |
|
|
01/01/2022 |
|
1,579,209 |
| Chicago Illinois Wastewater Transmission RB Second Lien Series 2017 A (A/NR) |
|
|
|
600,000 |
|
|
|
5.000 |
|
|
01/01/2021 |
|
640,260 |
|
|
|
1,660,000 |
|
|
|
5.000 |
|
|
01/01/2022 |
|
1,807,923 |
| Chicago Illinois Water RB Refunding Second Lien Project RMKT 05/23/16 Series 2004 (A/NR) |
|
|
|
2,500,000 |
|
|
|
5.000 |
|
|
11/01/2020 |
|
2,664,975 |
| Chicago Illinois Waterworks RB Refunding Second Lien Project Series 2017-2 (A/NR) |
|
|
|
2,500,000 |
|
|
|
5.000 |
|
|
11/01/2019 |
|
2,599,050 |
|
|
|
1,400,000 |
|
|
|
5.000 |
|
|
11/01/2020 |
|
1,492,386 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
11/01/2021 |
|
1,085,990 |
| Cook County Illinois GO Refunding Bonds Series 2012 C (AA-/A2) |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
11/15/2019 |
|
1,560,750 |
|
|
|
1,000,000 |
|
|
|
4.000 |
|
|
11/15/2020 |
|
1,043,620 |
| Cook County School District No. 95 GO Refunding Bonds for Brookfield-Lagrange Park Project Series 2017 A
(NR/Aa2) |
|
|
|
690,000 |
|
|
|
4.000 |
|
|
12/01/2019 |
|
710,562 |
|
|
|
675,000 |
|
|
|
4.000 |
|
|
12/01/2020 |
|
703,856 |
|
|
|
710,000 |
|
|
|
4.000 |
|
|
12/01/2021 |
|
749,128 |
|
|
|
800,000 |
|
|
|
4.000 |
|
|
12/01/2022 |
|
849,120 |
| Illinois Educational Facilities Authority RB for University of Chicago Series 2001 B-1 (AA-/Aa2)(b)(c) |
|
|
|
7,625,000 |
|
|
|
1.800 |
|
|
02/13/2020 |
|
7,605,709 |
| Illinois Educational Facilities Authority RB for University of Chicago Series 2001 B-2 (AA-/Aa2)(b)(c) |
|
|
|
6,000,000 |
|
|
|
1.550 |
|
|
02/13/2020 |
|
5,961,120 |
| Illinois Finance Authority Charter School RB Refunding & Improvement Bonds for Chicago International Charter
School Project Series 2017 A (BBB/NR) |
|
|
|
125,000 |
|
|
|
3.000 |
|
|
12/01/2018 |
|
125,584 |
|
|
|
200,000 |
|
|
|
3.000 |
|
|
12/01/2019 |
|
202,348 |
|
|
|
400,000 |
|
|
|
4.000 |
|
|
12/01/2020 |
|
414,900 |
|
|
|
425,000 |
|
|
|
4.000 |
|
|
12/01/2021 |
|
442,739 |
|
|
|
300,000 |
|
|
|
5.000 |
|
|
12/01/2022 |
|
324,351 |
|
|
|
450,000 |
|
|
|
5.000 |
|
|
12/01/2023 |
|
489,474 |
| Illinois Finance Authority RB for Prairie Power, Inc. Project RMKT 05/08/17 Series 2017 A (A/NR)(b)(c) |
|
|
|
6,825,000 |
|
|
|
1.750 |
|
|
05/06/2020 |
|
6,772,243 |
| |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Illinois – (continued) |
| Illinois Finance Authority RB for Trinity Health Credit Group Series 2011 L (AA-/Aa3)(a) |
| $ |
|
|
6,960,000 |
|
|
|
5.000 |
% |
|
12/01/2021 |
|
$ 7,640,201 |
| Illinois Finance Authority RB Refunding for Franciscan Communities Project Series 2017 A
(BBB-/NR) |
|
|
|
2,055,000 |
|
|
|
3.250 |
|
|
05/15/2022 |
|
2,088,168 |
| Illinois Finance Authority RB Refunding for Illinois Wesleyan University Series 2016
(A-/Baa1) |
|
|
|
255,000 |
|
|
|
4.000 |
|
|
09/01/2020 |
|
264,848 |
|
|
|
500,000 |
|
|
|
4.000 |
|
|
09/01/2021 |
|
523,890 |
| Illinois Finance Authority RB Refunding for Northwestern Memorial Healthcare Series 2017 B (AA+/Aa2)(b)(c) |
|
|
|
3,365,000 |
|
|
|
5.000 |
|
|
12/15/2022 |
|
3,763,820 |
| Illinois Sales Tax Securitization Corp. RB Refunding Series 2017 A (AA/NR) |
|
|
|
300,000 |
|
|
|
5.000 |
|
|
01/01/2020 |
|
313,323 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
01/01/2021 |
|
534,555 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
01/01/2022 |
|
1,090,510 |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
01/01/2023 |
|
1,662,525 |
| Illinois State GO Bonds Series 2012 (BBB-/Baa3) |
|
|
|
14,360,000 |
|
|
|
4.000 |
|
|
01/01/2019 |
|
14,474,305 |
|
|
|
2,475,000 |
|
|
|
5.000 |
|
|
03/01/2019 |
|
2,516,209 |
| Illinois State GO Bonds Series 2013 (BBB-/Baa3) |
|
|
|
3,645,000 |
|
|
|
5.000 |
|
|
07/01/2019 |
|
3,732,844 |
|
|
|
3,990,000 |
|
|
|
5.500 |
|
|
07/01/2024 |
|
4,294,038 |
| Illinois State GO Bonds Series 2014 (BBB-/Baa3) |
|
|
|
3,775,000 |
|
|
|
5.000 |
|
|
02/01/2019 |
|
3,831,361 |
| Illinois State GO Bonds Series 2017 A (BBB-/Baa3) |
|
|
|
8,600,000 |
|
|
|
5.000 |
|
|
12/01/2020 |
|
8,942,022 |
| Illinois State GO Bonds Series 2017 B (BBB-/Baa3) |
|
|
|
8,000,000 |
|
|
|
5.000 |
|
|
11/01/2019 |
|
8,250,800 |
|
|
|
4,750,000 |
|
|
|
5.000 |
|
|
12/01/2020 |
|
4,938,907 |
|
|
|
9,000,000 |
|
|
|
5.000 |
|
|
12/01/2021 |
|
9,453,870 |
| Illinois State GO Bonds Series 2017 D (BBB-/Baa3) |
|
|
|
10,630,000 |
|
|
|
5.000 |
|
|
11/01/2021 |
|
11,153,528 |
|
|
|
21,810,000 |
|
|
|
5.000 |
|
|
11/01/2022 |
|
23,058,404 |
|
|
|
15,000,000 |
|
|
|
5.000 |
|
|
11/01/2023 |
|
15,919,500 |
|
|
|
44,500,000 |
|
|
|
5.000 |
|
|
11/01/2024 |
|
47,347,555 |
| Illinois State GO Bonds Series 2018 A (BBB-/Baa3) |
|
|
|
12,500,000 |
|
|
|
5.000 |
|
|
05/01/2021 |
|
13,041,125 |
| Illinois State GO Bonds Series 2018 B (BBB-/Baa3) |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
05/01/2019 |
|
5,101,200 |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
05/01/2021 |
|
5,216,450 |
| Illinois State GO Refunding Bonds Series 2009 A (BBB-/Baa3) |
|
|
|
16,000,000 |
|
|
|
4.000 |
|
|
09/01/2020 |
|
16,018,400 |
| Illinois State GO Refunding Bonds Series 2010 (BBB-/Baa3) |
|
|
|
16,490,000 |
|
|
|
5.000 |
|
|
01/01/2020 |
|
16,939,188 |
| Illinois State GO Refunding Bonds Series 2012 (BBB-/Baa3) |
|
|
|
7,295,000 |
|
|
|
5.000 |
|
|
08/01/2019 |
|
7,483,649 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
08/01/2021 |
|
1,046,350 |
| Illinois State GO Refunding Bonds Series 2016 (BBB-/Baa3) |
|
|
|
20,000,000 |
|
|
|
5.000 |
|
|
02/01/2020 |
|
20,570,800 |
| Illinois State Sales Tax RB Junior Obligation Series 2016 A (AA-/NR) |
|
|
|
1,475,000 |
|
|
|
5.000 |
|
|
06/15/2022 |
|
1,609,948 |
| Illinois State Sales Tax RB Refunding Junior Obligation Series 2016 C (AA-/NR) |
|
|
|
675,000 |
|
|
|
4.000 |
|
|
06/15/2021 |
|
704,592 |
|
|
|
2,875,000 |
|
|
|
5.000 |
|
|
06/15/2022 |
|
3,138,034 |
| Illinois State Sales Tax RB Refunding Junior Obligation Series 2016 D (AA-/NR) |
|
|
|
3,185,000 |
|
|
|
4.000 |
|
|
06/15/2021 |
|
3,324,630 |
| Railsplitter Tobacco Settlement Authority Tobacco Settlement RB Series 2017 (A/NR) |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
06/01/2022 |
|
5,492,250 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Illinois – (continued) |
| Springfield Electric RB Refunding Senior Lien Series 2015 (A/A3) |
| $ |
|
|
2,000,000 |
|
|
|
5.000 |
% |
|
03/01/2021 |
|
$ 2,143,920 |
| State of Illinois GO Bonds Series 2014 (BBB-/Baa3) |
|
|
|
3,245,000 |
|
|
|
5.000 |
|
|
02/01/2023 |
|
3,426,655 |
| State of Illinois GO Refunding Bonds Series 2016 (BBB-/Baa3) |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
02/01/2019 |
|
2,029,860 |
|
|
|
2,360,000 |
|
|
|
5.000 |
|
|
02/01/2023 |
|
2,492,113 |
| University of Illinois Board Trustees COP RB Refunding Series 2016 A (A-/A1) |
|
|
|
5,250,000 |
|
|
|
5.000 |
|
|
08/15/2020 |
|
5,550,038 |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
08/15/2021 |
|
5,384,900 |
| Will & Kendall Counties Community Consolidated School District No. 202 GO Refunding Bonds Series 2017
(NR/Aa2) |
|
|
|
9,650,000 |
|
|
|
2.000 |
|
|
01/01/2019 |
|
9,668,914 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
453,625,465 |
| |
| Indiana – 0.8% |
| City of Whiting Environmental Facilities RB for BP Products North America, Inc. Project Series 2008 (A-/A1)(b)(c) |
|
|
|
15,000,000 |
|
|
|
1.850 |
|
|
10/01/2019 |
|
14,957,700 |
| Delaware County Indiana Hospital Authority RB Refunding for Ball Memorial Hospital, Inc. Obligated Group Series
2009 A (ETM) (NR/WR)(a) |
|
|
|
4,585,000 |
|
|
|
5.625 |
|
|
08/01/2018 |
|
4,599,764 |
| Indiana Finance Authority Hospital RB for Indiana University Health Obligated Group Series 2012 A
(A/A2) |
|
|
|
855,000 |
|
|
|
5.000 |
|
|
05/01/2020 |
|
902,846 |
| Indiana Finance Authority RB for Community Foundation of Northwest Indiana Obligated Group Series 2012
(A+/NR) |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
03/01/2019 |
|
511,160 |
|
|
|
650,000 |
|
|
|
5.000 |
|
|
03/01/2020 |
|
683,871 |
| Indiana Health Facility Financing Authority Ascension Health Subordinate Credit Group RB RMKT 08/01/17 Series
2005 A-5 (AA/Aa3)(b)(c) |
|
|
|
5,535,000 |
|
|
|
1.350 |
|
|
08/04/2020 |
|
5,454,023 |
| Indiana Health Facility Financing Authority Ascension Health Subordinate Credit Group RB Series 2005 A-9
(AA+/Aa3)(b)(c) |
|
|
|
4,505,000 |
|
|
|
1.375 |
|
|
05/01/2020 |
|
4,450,670 |
| Indiana Health Facility Financing Authority Ascension Health Subordinate Credit Group RB Series 2005 A-9 (NR/NR)(a)(b)(c) |
|
|
|
95,000 |
|
|
|
1.375 |
|
|
05/01/2020 |
|
93,686 |
| Kankakee Valley Middle School Building Corp. Ad Valorem Property Tax Refunding Bonds Series 2017
(AA+/NR) |
|
|
|
375,000 |
|
|
|
5.000 |
|
|
07/15/2020 |
|
398,385 |
|
|
|
465,000 |
|
|
|
3.000 |
|
|
01/15/2021 |
|
474,346 |
|
|
|
250,000 |
|
|
|
5.000 |
|
|
07/15/2021 |
|
270,200 |
|
|
|
405,000 |
|
|
|
3.000 |
|
|
01/15/2022 |
|
414,704 |
|
|
|
200,000 |
|
|
|
5.000 |
|
|
07/15/2022 |
|
220,522 |
|
|
|
300,000 |
|
|
|
5.000 |
|
|
01/15/2023 |
|
333,996 |
|
|
|
375,000 |
|
|
|
3.000 |
|
|
07/15/2023 |
|
384,173 |
| Rockport City PCRB Refunding for Indiana Michigan Power Co. Project Series 2009 B (A-/A3) |
|
|
|
10,000,000 |
|
|
|
3.050 |
|
|
06/01/2025 |
|
10,030,800 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
44,180,846 |
| |
| Iowa – 0.1% |
| Iowa Finance Authority State Revolving RB Series 2011 (AAA/Aaa)(a) |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
08/01/2021 |
|
5,462,750 |
| |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Kansas – 0.5% |
| Johnson County Public Building Commission RB Refunding for Kansas Lease Purchase Series 2015 B
(AAA/Aaa) |
| $ |
|
|
2,735,000 |
|
|
|
2.000 |
% |
|
09/01/2019 |
|
$ 2,749,714 |
|
|
|
3,810,000 |
|
|
|
2.000 |
|
|
09/01/2020 |
|
3,834,918 |
| Johnson County Unified School District No. 229 GO Bonds for Kansas Blue Valley Series 2015 B
(AA+/Aaa) |
|
|
|
4,725,000 |
|
|
|
5.000 |
|
|
10/01/2019 |
|
4,921,466 |
| Johnson County Unified School District No. 229 GO Bonds for Kansas Blue Valley Series 2017 A
(AA+/Aaa) |
|
|
|
5,955,000 |
|
|
|
5.000 |
|
|
10/01/2020 |
|
6,387,154 |
| Sedgwick County Kansas Unified School District No. 259 GO Refunding and Improvement Bonds Series 2015 A
(NR/Aa2) |
|
|
|
3,455,000 |
|
|
|
4.000 |
|
|
10/01/2020 |
|
3,623,742 |
|
|
|
3,000,000 |
|
|
|
4.000 |
|
|
10/01/2021 |
|
3,196,260 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,713,254 |
| |
| Kentucky – 0.8% |
| Kentucky Economic Development Finance Authority Hospital RB Refunding for Owensboro Medical Health System, Inc.
Series 2017 A (BB+/Baa3) |
|
|
|
350,000 |
|
|
|
5.000 |
|
|
06/01/2019 |
|
357,476 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
06/01/2020 |
|
520,605 |
|
|
|
1,100,000 |
|
|
|
5.000 |
|
|
06/01/2021 |
|
1,163,382 |
|
|
|
2,450,000 |
|
|
|
5.000 |
|
|
06/01/2022 |
|
2,628,556 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
06/01/2023 |
|
1,085,440 |
| Kentucky Public Energy Authority Gas Supply RB Series 2018 A (NR/A3) |
|
|
|
655,000 |
|
|
|
4.000 |
|
|
04/01/2019 |
|
665,840 |
|
|
|
785,000 |
|
|
|
4.000 |
|
|
04/01/2020 |
|
812,177 |
|
|
|
775,000 |
|
|
|
4.000 |
|
|
04/01/2021 |
|
812,572 |
|
|
|
1,210,000 |
|
|
|
4.000 |
|
|
04/01/2022 |
|
1,282,467 |
| Kentucky State Property and Buildings Commission for Project 117 RB Refunding Series 2017 D
(A+/A1) |
|
|
|
4,000,000 |
|
|
|
5.000 |
|
|
05/01/2021 |
|
4,306,440 |
| Kentucky State Property and Buildings Commission for Project 99 RB Refunding Series 2010 A
(A-/A1) |
|
|
|
4,480,000 |
|
|
|
5.000 |
|
|
11/01/2018 |
|
4,531,117 |
| Kentucky State Turnpike Authority Economic Development Road RB for Revitalization Projects Series 2012 A
(AA-/Aa3)(a) |
|
|
|
3,490,000 |
|
|
|
5.000 |
|
|
07/01/2022 |
|
3,891,454 |
| Kentucky State Turnpike Authority Economic Development Road RB Refunding for Revitalization Projects Series 2016
A (AA-/Aa3) |
|
|
|
950,000 |
|
|
|
2.000 |
|
|
07/01/2020 |
|
952,774 |
| Louisville & Jefferson County Metropolitan Government Environmental Facilities RB Refunding for Louisville
Gas & Electric Company Project RMKT 06/01/17 Series 2017 A (A/A1)(b)(c) |
|
|
|
4,000,000 |
|
|
|
1.250 |
|
|
06/03/2019 |
|
3,977,920 |
| Louisville & Jefferson County Metropolitan Sewer District RB for Sewer & Drainage System Series 2009 B
(AA/Aa3) |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
05/15/2019 |
|
2,060,900 |
| Louisville & Jefferson County PCRB for Louisville Gas & Electric Company Project RMKT 04/03/17 Series
2003 A (A/A1)(b)(c) |
|
|
|
6,000,000 |
|
|
|
1.500 |
|
|
04/01/2019 |
|
5,984,520 |
| University of Louisville General Receipts RB Refunding Series 2016 C (A+/A1) |
|
|
|
4,680,000 |
|
|
|
3.000 |
|
|
09/01/2021 |
|
4,813,895 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
39,847,535 |
| |
| Louisiana – 0.7% |
| City of Shreveport Louisiana Water and Sewer RB Refunding Series 2014 A (BAM) (AA/A3) |
|
|
|
3,000,000 |
|
|
|
5.000 |
|
|
12/01/2019 |
|
3,141,300 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Louisiana – (continued) |
| Ernest N. Morial New Orleans Exhibition Hall Authority Special Tax Refunding Bonds Series 2012
(AA+/A1) |
| $ |
|
|
680,000 |
|
|
|
2.000 |
% |
|
07/15/2018 |
|
$ 680,116 |
|
|
|
1,040,000 |
|
|
|
4.000 |
|
|
07/15/2018 |
|
1,040,863 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
07/15/2019 |
|
1,033,440 |
| Louisiana Local Government Environmental Facilities and Community Development Authority RB for Southeastern
Louisiana Student Series 2004 B (NATL-RE) (NR/A3)(c) |
|
|
|
10,675,000 |
|
|
|
2.643 |
|
|
08/01/2034 |
|
10,001,834 |
| Louisiana Local Government Environmental Facilities and Community Development Authority RB Refunding for
Ragin’ Cajun Facilities, Inc. - Student Housing & Parking Project Series 2017 (AGM) (AA/NR) |
|
|
|
735,000 |
|
|
|
2.250 |
|
|
10/01/2021 |
|
739,123 |
|
|
|
815,000 |
|
|
|
5.000 |
|
|
10/01/2021 |
|
889,532 |
|
|
|
800,000 |
|
|
|
2.500 |
|
|
10/01/2022 |
|
809,008 |
|
|
|
950,000 |
|
|
|
5.000 |
|
|
10/01/2022 |
|
1,056,381 |
| Louisiana State GO Bonds Series 2011 A (NR/Aa3) |
|
|
|
6,000,000 |
|
|
|
5.000 |
(a) |
|
09/01/2020 |
|
6,410,340 |
|
|
|
2,750,000 |
|
|
|
5.000 |
(a) |
|
08/01/2022 |
|
3,077,195 |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
08/01/2022 |
|
5,561,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
34,440,832 |
| |
| Maine – 0.1% |
| Maine Governmental Facilities Authority Lease Rental RB Series 2015 B (AA-/Aa3) |
|
|
|
685,000 |
|
|
|
5.000 |
|
|
10/01/2019 |
|
713,564 |
|
|
|
1,985,000 |
|
|
|
4.000 |
|
|
10/01/2020 |
|
2,080,141 |
|
|
|
1,345,000 |
|
|
|
4.000 |
|
|
10/01/2021 |
|
1,429,937 |
| Maine Turnpike Authority RB Refunding Series 2014 (AA-/Aa3) |
|
|
|
1,430,000 |
|
|
|
5.000 |
|
|
07/01/2020 |
|
1,521,277 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,744,919 |
| |
| Maryland – 2.9% |
| Baltimore Maryland RB Refunding for Convention Center Hotel Project Series 2017 (BBB-/NR) |
|
|
|
200,000 |
|
|
|
3.000 |
|
|
09/01/2018 |
|
200,438 |
|
|
|
350,000 |
|
|
|
4.000 |
|
|
09/01/2019 |
|
357,987 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
09/01/2020 |
|
529,375 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
09/01/2021 |
|
540,125 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
09/01/2022 |
|
548,885 |
| Carroll County Maryland Consolidated Public Improvement and Refunding Bonds Series 2011
(AAA/Aa1) |
|
|
|
3,055,000 |
|
|
|
4.000 |
|
|
11/01/2018 |
|
3,081,029 |
| City of Baltimore RB for Water Projects Series 2002 Subseries B (NATL-RE) (AA/Aa3)(c) |
|
|
|
11,350,000 |
|
|
|
2.912 |
|
|
07/01/2037 |
|
10,289,229 |
| City of Baltimore RB for Water Projects Series 2002 Subseries C (AA-/A1)(c) |
|
|
|
7,025,000 |
|
|
|
2.912 |
|
|
07/05/2018 |
|
6,298,896 |
| County of Anne Arundel GO Refunding Bonds for Consolidated General Improvements Series 2015
(AAA/Aa1) |
|
|
|
6,220,000 |
|
|
|
5.000 |
|
|
04/01/2019 |
|
6,382,777 |
| County of Baltimore GO Bonds for Consolidated Public Improvement Series 2012 (AAA/Aaa) |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
08/01/2022 |
|
2,237,960 |
| County of Baltimore GO Bonds for Consolidated Public Improvement Series 2017 (AAA/Aaa) |
|
|
|
2,825,000 |
|
|
|
5.000 |
|
|
03/01/2023 |
|
3,197,617 |
| County of Baltimore GO Bonds Series 2018 (SP-1+/MIG1) |
|
|
|
25,000,000 |
|
|
|
4.000 |
|
|
03/18/2019 |
|
25,447,250 |
| |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Maryland – (continued) |
| County of Montgomery GO Bonds for Consolidated Public Improvement Series 2013 A (AAA/Aaa)(a) |
| $ |
|
|
14,455,000 |
|
|
|
5.000 |
% |
|
11/01/2023 |
|
$ 16,588,558 |
| Howard County GO Bonds Consolidated Public Improvement Project & Refunding Series 2014 A
(AAA/Aaa) |
|
|
|
2,590,000 |
|
|
|
5.000 |
|
|
02/15/2022 |
|
2,867,389 |
| Maryland State Economic Development Corporation Student Housing RB Refunding for University of Maryland College
Park Projects Series 2016 (AGM) (AA/A2) |
|
|
|
600,000 |
|
|
|
4.000 |
|
|
06/01/2020 |
|
624,336 |
|
|
|
660,000 |
|
|
|
4.000 |
|
|
06/01/2021 |
|
696,755 |
| Maryland State GO Bonds for State & Local Facilities Loan First Series 2018 A (AAA/Aaa) |
|
|
|
10,470,000 |
|
|
|
5.000 |
|
|
03/15/2022 |
|
11,620,130 |
| Maryland State GO Bonds for State & Local Facilities Loan Second Series 2012 B (AAA/Aaa)(a) |
|
|
|
17,850,000 |
|
|
|
4.000 |
|
|
08/01/2020 |
|
18,688,236 |
| Maryland State GO Bonds for State & Local Facilities Loan Second Series 2014 B (AAA/Aaa)(a) |
|
|
|
19,845,000 |
|
|
|
5.000 |
|
|
08/01/2022 |
|
22,164,881 |
| Maryland State GO Bonds for State & Local Facilities Loan Series 2013 B (AAA/Aaa)(a) |
|
|
|
5,140,000 |
|
|
|
5.000 |
|
|
03/01/2021 |
|
5,550,069 |
| Montgomery County GO Consolidated Public Improvement Refunding Bonds Series 2017 D (AAA/Aaa) |
|
|
|
8,200,000 |
|
|
|
3.000 |
|
|
11/01/2022 |
|
8,548,582 |
| University Maryland System Auxiliary Facility & Tuition RB Series 2018 A (AA+/Aa1) |
|
|
|
1,560,000 |
|
|
|
5.000 |
|
|
04/01/2020 |
|
1,649,185 |
|
|
|
1,595,000 |
|
|
|
5.000 |
|
|
04/01/2022 |
|
1,770,402 |
|
|
|
1,075,000 |
|
|
|
5.000 |
|
|
04/01/2023 |
|
1,218,169 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
151,098,260 |
| |
| Massachusetts – 4.8% |
| City of Worcester Municipal Purpose Loan GO Bonds Series 2018 A (AA-/Aa3) |
|
|
|
4,105,000 |
|
|
|
5.000 |
|
|
01/15/2021 |
|
4,426,750 |
| Massachusetts Bay Transportation Authority RB Series 2017 (AA/Aa3) |
|
|
|
50,000,000 |
|
|
|
4.000 |
|
|
12/01/2021 |
|
53,468,500 |
| Massachusetts Bay Transportation Authority Sales Tax RB Refunding for Capital Appreciation Senior Series 2016 A
(AA/Aa2)(e) |
|
|
|
7,000,000 |
|
|
|
0.000 |
|
|
07/01/2021 |
|
6,591,130 |
| Massachusetts Commonwealth GO Refunding Bonds Series 2017 A (AA/Aa1)(d) |
| (SIFMA Municipal Swap Index Yield + 0.47%), |
|
|
|
40,000,000 |
|
|
|
1.980 |
|
|
02/01/2019 |
|
40,015,600 |
| Massachusetts Commonwealth Transportation Fund RB for Accelerated Bridge Program Series 2012 A (AAA/Aa1)(a) |
|
|
|
10,000,000 |
|
|
|
5.000 |
|
|
06/01/2021 |
|
10,894,500 |
| Massachusetts Commonwealth Transportation Fund RB for Rail Enhancement Program Series 2015 A
(AAA/Aa1) |
|
|
|
11,155,000 |
|
|
|
5.000 |
|
|
06/01/2021 |
|
12,156,161 |
| Massachusetts Development Finance Agency RB for Harvard University Series 2009 A (NR/NR)(a) |
|
|
|
28,790,000 |
|
|
|
5.500 |
|
|
11/15/2018 |
|
29,221,562 |
| Massachusetts State Development Finance Agency RB Refunding for Boston University Issue Series Z-1
(A+/Aa3) |
|
|
|
10,000,000 |
|
|
|
1.500 |
|
|
08/01/2019 |
|
9,993,600 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Massachusetts – (continued) |
| Massachusetts State GO Bonds Consolidated Loan Series 2007 A (NATL-RE) (AA/Aa1)(d) |
| (3 Mo. LIBOR + 0.57%), |
| $ |
|
|
14,660,000 |
|
|
|
2.150 |
% |
|
05/01/2037 |
|
$ 14,120,365 |
| Massachusetts State GO Bonds Consolidated Loan Series 2012 A (BHAC-CR) (AA+/Aa1)(d) |
| (3 Mo. LIBOR + 0.57%), |
|
|
|
33,240,000 |
|
|
|
2.150 |
|
|
05/01/2037 |
|
32,016,436 |
| Massachusetts State GO Refunding Bonds Series 2007 A (AA/Aa1)(d) |
| (3 Mo. LIBOR + 0.55%), |
|
|
|
38,000,000 |
|
|
|
2.130 |
|
|
11/01/2025 |
|
37,822,920 |
| Massachusetts State Health & Educational Facilities Authority RB for Foundation of Massachusetts Eye &
Ear Obligated Group Series 2010 C (NR/WR)(a) |
|
|
|
1,500,000 |
|
|
|
5.375 |
|
|
07/01/2020 |
|
1,605,210 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
252,332,734 |
| |
| Michigan – 2.5% |
| Allen Park Public School District GO Refunding Bonds Series 2016 (Q-SBLF) (AA-/NR) |
|
|
|
3,635,000 |
|
|
|
5.000 |
|
|
05/01/2021 |
|
3,936,378 |
| Allendale Public School GO Refunding Bonds Series 2016 (Q-SBLF) (AA-/NR) |
|
|
|
2,500,000 |
|
|
|
5.000 |
|
|
05/01/2022 |
|
2,767,200 |
|
|
|
1,275,000 |
|
|
|
5.000 |
|
|
11/01/2022 |
|
1,424,366 |
| Detroit Michigan Sewage Disposal System RB Refunding Senior Lien Series 2004 A (AGM) (AA/A2) |
|
|
|
3,015,000 |
|
|
|
5.250 |
|
|
07/01/2020 |
|
3,216,040 |
| Detroit Michigan Sewage Disposal System RB Senior Lien RMKT 06/17/09 Series 2003 B (AGM) (AA/NR)(a) |
|
|
|
1,800,000 |
|
|
|
7.500 |
|
|
07/01/2019 |
|
1,903,806 |
| Macomb County Michigan L’anse Creuse Public Schools Unlimited Tax GO Refunding Bonds Series 2015 (Q-SBLF)
(AA-/NR) |
|
|
|
1,250,000 |
|
|
|
5.000 |
|
|
05/01/2020 |
|
1,320,650 |
| Macomb County Michigan Roseville Community Schools Unlimited Tax GO Refunding Bonds Series 2014 (Q-SBLF)
(AA-/NR) |
|
|
|
900,000 |
|
|
|
5.000 |
|
|
05/01/2019 |
|
925,650 |
| Michigan Finance Authority Hospital Project RB Refunding Ascension Senior Credit Series 2016 E-1 (AA+/Aa2)(b)(c) |
|
|
|
3,000,000 |
|
|
|
1.100 |
|
|
08/15/2019 |
|
2,974,890 |
| Michigan Finance Authority Hospital RB Refunding for Beaumont Health Credit Group Series 2015 A
(A+/A1) |
|
|
|
2,300,000 |
|
|
|
4.000 |
|
|
08/01/2020 |
|
2,399,360 |
|
|
|
3,635,000 |
|
|
|
5.000 |
|
|
08/01/2021 |
|
3,955,462 |
| Michigan Finance Authority Hospital RB Refunding for Henry Ford Health System Series 2016
(A/A3) |
|
|
|
200,000 |
|
|
|
5.000 |
|
|
11/15/2020 |
|
213,558 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
11/15/2021 |
|
544,330 |
| Michigan Finance Authority Local Government Loan Program RB for City of Detroit Distributable State Aid Fourth
Lien Utgo Refunding Local Project Bonds Series 2016 C-3 (MUN GOVT GTD) (A+/Aa2) |
|
|
|
3,500,000 |
|
|
|
5.000 |
|
|
04/01/2020 |
|
3,661,175 |
|
|
|
1,510,000 |
|
|
|
5.000 |
|
|
04/01/2021 |
|
1,611,125 |
| Michigan Finance Authority Local Government Loan Program RB for Detroit Financial Recovery Income Tax Revenue and
Refunding Local Project Bonds Series 2014 F (A/NR) |
|
|
|
500,000 |
|
|
|
3.400 |
|
|
10/01/2020 |
|
508,105 |
|
|
|
500,000 |
|
|
|
3.600 |
|
|
10/01/2021 |
|
511,995 |
|
|
|
500,000 |
|
|
|
3.800 |
|
|
10/01/2022 |
|
515,410 |
| |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Michigan – (continued) |
| Michigan Finance Authority Local Government Loan Program RB for Detroit Water and Sewerage Department Sewage
Disposal System RB Refunding Local Project Bonds Senior Lien Series 2014 C-3 (AGM) (AA/A2) |
| $ |
|
|
5,125,000 |
|
|
|
5.000 |
% |
|
07/01/2021 |
|
$ 5,544,840 |
| Michigan Finance Authority Local Government Loan Program RB for Detroit Water and Sewerage Department Sewage
Disposal System RB Refunding Local Project Bonds Senior Lien Series 2014 C-5 (NATL-RE) (A-/A3) |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
07/01/2018 |
|
1,500,000 |
| Michigan Finance Authority Local Government Loan Program RB for Detroit Water and Sewerage Department Water
Supply System RB Refunding Local Project Bonds Senior Lien Series 2014 D-1 (AGM) (AA/A2) |
|
|
|
3,165,000 |
|
|
|
5.000 |
|
|
07/01/2020 |
|
3,349,108 |
|
|
|
10,000,000 |
|
|
|
5.000 |
|
|
07/01/2021 |
|
10,819,200 |
|
|
|
9,225,000 |
|
|
|
5.000 |
|
|
07/01/2022 |
|
10,188,920 |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
07/01/2023 |
|
5,628,500 |
| Michigan Finance Authority Local Government Loan Program RB for Detroit Water and Sewerage Department Water
Supply System RB Refunding Local Project Bonds Senior Lien Series 2014 D-3 (NATL-RE) (A-/A3) |
|
|
|
7,410,000 |
|
|
|
5.000 |
|
|
07/01/2018 |
|
7,410,000 |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
07/01/2019 |
|
5,159,500 |
|
|
|
1,390,000 |
|
|
|
5.000 |
|
|
07/01/2020 |
|
1,470,578 |
| Michigan Finance Authority Local Government Loan Program RB for Detroit Water and Sewerage Department Water
Supply System RB Refunding Local Project Bonds Series 2015 D-1 (A-/A3) |
|
|
|
700,000 |
|
|
|
5.000 |
|
|
07/01/2019 |
|
722,330 |
|
|
|
375,000 |
|
|
|
5.000 |
|
|
07/01/2020 |
|
396,739 |
|
|
|
750,000 |
|
|
|
5.000 |
|
|
07/01/2021 |
|
811,215 |
| Michigan Finance Authority Local Government Loan Program RB for Public Lighting Authority Local Project Bonds
Series 2014 B (A-/NR) |
|
|
|
1,400,000 |
|
|
|
4.000 |
|
|
07/01/2018 |
|
1,400,000 |
|
|
|
1,125,000 |
|
|
|
5.000 |
|
|
07/01/2019 |
|
1,162,136 |
|
|
|
1,200,000 |
|
|
|
5.000 |
|
|
07/01/2020 |
|
1,262,328 |
| Michigan Finance Authority Local Government Loan Program RB Refunding for Regional Convention Facility Local
Project Series 2014 H-1 (AA-/NR) |
|
|
|
1,135,000 |
|
|
|
5.000 |
|
|
10/01/2018 |
|
1,144,852 |
|
|
|
825,000 |
|
|
|
5.000 |
|
|
10/01/2019 |
|
857,736 |
|
|
|
1,140,000 |
|
|
|
5.000 |
|
|
10/01/2020 |
|
1,181,656 |
| Michigan Finance Authority RB Refunding for Unemployment Obligation Assessment Series 2012 B
(AAA/Aaa) |
|
|
|
4,085,000 |
|
|
|
5.000 |
|
|
01/01/2020 |
|
4,222,705 |
| Michigan Flushing Community Schools Unlimited Tax GO Refunding Bonds Series 2015 (Q-SBLF)
(NR/Aa1) |
|
|
|
1,040,000 |
|
|
|
4.000 |
|
|
05/01/2019 |
|
1,060,166 |
|
|
|
500,000 |
|
|
|
4.000 |
|
|
05/01/2020 |
|
519,315 |
| Michigan State Hospital Finance Authority RB Refunding for Ascension Health Senior Credit Group RMKT 03/01/17
Series 2010 F-2
(AA+/Aa2)(b)(c) |
|
|
|
2,600,000 |
|
|
|
1.900 |
|
|
04/01/2021 |
|
2,592,382 |
| Michigan State Hospital Finance Authority RB Refunding for Ascension Health Senior Credit Group RMKT 03/15/17
Series 2010 F-5
(AA+/Aa2)(b)(c) |
|
|
|
4,400,000 |
|
|
|
2.400 |
|
|
03/15/2023 |
|
4,425,300 |
| Michigan Strategic Fund RB Refunding for The Detroit Edison Company Pollution Control Bonds Project RMKT 09/01/16
Series 2008 ET-2 (A/Aa3)(b)(c) |
|
|
|
2,000,000 |
|
|
|
1.450 |
|
|
09/01/2021 |
|
1,924,120 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Michigan – (continued) |
| Michigan Strategic Fund RB Refunding for The Detroit Edison Company Pollution Control Bonds Project Series 1995
CC (A/Aa3)(b)(c) |
| $ |
|
|
4,000,000 |
|
|
|
1.450 |
% |
|
09/01/2021 |
|
$ 3,848,240 |
| Pinckney Community Schools Livingston and Washtenaw County GO Refunding Bonds Series 2014 (Q-SBLF)
(AA-/NR) |
|
|
|
2,475,000 |
|
|
|
5.000 |
|
|
05/01/2020 |
|
2,614,887 |
| Rochester Community School District GO Refunding Bonds Series 2012 (Q-SBLF) (AA-/NR) |
|
|
|
700,000 |
|
|
|
4.000 |
|
|
05/01/2019 |
|
714,448 |
| Royal Oak Hospital Finance Authority RB for William Beaumont Hospital Series 2014 D
(A+/A1) |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
09/01/2019 |
|
1,555,755 |
| St. Clair County Michigan East China School District 2015 School Bus GO Refunding Bonds Series I (Q-SBLF)
(AA-/NR) |
|
|
|
3,170,000 |
|
|
|
3.000 |
|
|
05/01/2019 |
|
3,205,536 |
| University of Michigan General RB RMKT 02/26/18 Series 2012 E (AAA/Aaa)(b) |
| (SIFMA Municipal Swap Index Yield + 0.27%, 12.00% Cap), |
|
|
|
3,980,000 |
|
|
|
1.330 |
|
|
04/01/2022 |
|
3,979,881 |
| Warren Consolidated School District Unlimited Tax GO Refunding Bonds Series 2016 B (BAM)
(AA/NR) |
|
|
|
1,790,000 |
|
|
|
5.000 |
|
|
05/01/2019 |
|
1,838,616 |
| Washtenaw County Ypsilanti Community Schools Unlimited Tax GO Refunding Bonds Series 2015 A (Q-SBLF)
(AA-/NR) |
|
|
|
1,420,000 |
|
|
|
4.000 |
|
|
05/01/2019 |
|
1,446,937 |
| Washtenaw County Ypsilanti Community Schools Unlimited Tax GO Refunding Bonds Series 2016 A (Q-SBLF)
(AA-/NR) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
05/01/2021 |
|
1,075,190 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
05/01/2022 |
|
1,097,200 |
| Wayne County Airport Authority RB Refunding for Detroit Metropolitan Wayne County Airport Series 2012 A
(A/A2) |
|
|
|
1,270,000 |
|
|
|
5.000 |
|
|
12/01/2018 |
|
1,287,971 |
|
|
|
1,385,000 |
|
|
|
5.000 |
|
|
12/01/2019 |
|
1,447,851 |
| Western Township Utilities Authority Sewage Disposal System Limited Tax RB for Series 2012 (MUN GOVT GTD)
(AA/NR) |
|
|
|
1,000,000 |
|
|
|
4.000 |
|
|
01/01/2019 |
|
1,011,670 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
132,267,308 |
| |
| Minnesota – 0.7% |
| Circle Pines Minnesota Independent School District No. 012 GO Bonds Series 2015 A (SD CRED PROG) (AA+/NR)(e) |
|
|
|
675,000 |
|
|
|
0.000 |
|
|
02/01/2021 |
|
636,768 |
| Maple Grove Minnesota Health Care Facilities RB Refunding for Maple Grove Hospital Corporation Series 2017
(NR/Baa1) |
|
|
|
500,000 |
|
|
|
4.000 |
|
|
05/01/2021 |
|
524,250 |
|
|
|
500,000 |
|
|
|
4.000 |
|
|
05/01/2022 |
|
530,020 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
05/01/2023 |
|
557,220 |
| Minneapolis Minnesota Various Purpose GO Improvement Bonds Series 2016 (AAA/Aa1) |
|
|
|
10,000,000 |
|
|
|
2.000 |
|
|
12/01/2020 |
|
10,051,600 |
| Minnesota State Trunk Highway GO Bonds Series 2017 B (AA+/Aa1) |
|
|
|
5,700,000 |
|
|
|
5.000 |
|
|
10/01/2022 |
|
6,409,650 |
| Minnesota State Various Purpose GO Refunding Bonds Series 2015 A (AA+/Aa1) |
|
|
|
9,800,000 |
|
|
|
5.000 |
|
|
08/01/2021 |
|
10,728,550 |
| Minnesota State Various Purpose GO Refunding Bonds Series 2016 D (AA+/Aa1) |
|
|
|
6,295,000 |
|
|
|
5.000 |
|
|
08/01/2021 |
|
6,891,451 |
| |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Minnesota – (continued) |
| University of Minnesota GO Bonds Series 2017 (AA/Aa1) |
| $ |
|
|
1,700,000 |
|
|
|
4.000 |
% |
|
09/01/2019 |
|
$ 1,748,314 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
38,077,823 |
| |
| Mississippi – 0.4% |
| Jackson County PCRB Refunding for Chevron U.S.A., Inc. Project Series 1993 (AA-/Aa2)(b)(c) |
|
|
|
7,000,000 |
|
|
|
1.650 |
|
|
07/04/2018 |
|
7,000,000 |
| Mississippi Business Finance Corp. Gulf Opportunity Zone RB for Chevron U.S.A, Inc. Project Series 2010 G
(AA-/Aa2)(b)(c) |
|
|
|
7,695,000 |
|
|
|
1.530 |
|
|
07/04/2018 |
|
7,695,000 |
| Mississippi State GO Refunding Bonds Series 2017 B (AA/Aa2)(b) |
| (1 Mo. LIBOR + 0.33%, 11.00% Cap), |
|
|
|
7,000,000 |
|
|
|
1.658 |
|
|
09/01/2020 |
|
7,013,790 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,708,790 |
| |
| Missouri – 0.6% |
| Cape Girardeau County IDA Health Facilities RB Refunding for South Eastern Health Series 2017 A
(BBB-/Baa3) |
|
|
|
300,000 |
|
|
|
5.000 |
|
|
03/01/2019 |
|
305,514 |
|
|
|
325,000 |
|
|
|
5.000 |
|
|
03/01/2020 |
|
338,887 |
|
|
|
400,000 |
|
|
|
5.000 |
|
|
03/01/2021 |
|
423,880 |
| Missouri State Development Finance Board Infrastructure Facilities Leasehold Improvement and RB Refunding for
City of Independence Electric System Projects Series 2012 F (A/NR) |
|
|
|
960,000 |
|
|
|
4.000 |
|
|
06/01/2019 |
|
979,862 |
|
|
|
1,000,000 |
|
|
|
4.000 |
|
|
06/01/2020 |
|
1,039,980 |
| Missouri State Highways and Transportation Commission Second Lien GO Refunding State Road Bonds Series 2014 B
(AAA/Aa1) |
|
|
|
24,275,000 |
|
|
|
5.000 |
|
|
05/01/2019 |
|
24,985,044 |
| St. Louis Airport RB Refunding for Lambert St. Louis International Airport Series 2013
(A-/A3) |
|
|
|
765,000 |
|
|
|
5.000 |
|
|
07/01/2018 |
|
765,000 |
| St. Louis County Rockwood School District GO Refunding Bonds Series 2017 (AAA/NR) |
|
|
|
3,995,000 |
|
|
|
5.000 |
|
|
02/01/2021 |
|
4,319,754 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33,157,921 |
| |
| Montana – 0.2% |
| City of Billings RB for Sewer System Series 2017 (AA+/Aa3) |
|
|
|
275,000 |
|
|
|
4.000 |
|
|
07/01/2019 |
|
281,622 |
|
|
|
240,000 |
|
|
|
4.000 |
|
|
07/01/2020 |
|
250,490 |
|
|
|
210,000 |
|
|
|
4.000 |
|
|
07/01/2021 |
|
222,338 |
|
|
|
310,000 |
|
|
|
5.000 |
|
|
07/01/2022 |
|
345,405 |
| Forsyth Montana Pollution Control RB Refunding for Northwestern Corp. Colstrip Project Series 2016
(A-/A3) |
|
|
|
8,750,000 |
|
|
|
2.000 |
|
|
08/01/2023 |
|
8,506,750 |
| Gallatin County High School District No. 7 GO Bonds for School Building Series 2017 A
(NR/Aa2) |
|
|
|
500,000 |
|
|
|
4.000 |
|
|
12/01/2020 |
|
525,835 |
|
|
|
510,000 |
|
|
|
4.000 |
|
|
12/01/2021 |
|
544,506 |
|
|
|
260,000 |
|
|
|
5.000 |
|
|
06/01/2022 |
|
289,198 |
|
|
|
445,000 |
|
|
|
5.000 |
|
|
12/01/2022 |
|
500,287 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,466,431 |
| |
| Nebraska – 0.5% |
| City of Lincoln Electric System RB Refunding Series 2012 (AA/NR) |
|
|
|
2,615,000 |
|
|
|
5.000 |
|
|
09/01/2021 |
|
2,863,347 |
| Gas Supply RB Refunding for Central Plains Energy Project Series 2014 (NR/A1)(b)(c) |
|
|
|
20,000,000 |
|
|
|
5.000 |
|
|
12/01/2019 |
|
20,870,400 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Nebraska – (continued) |
| Lincoln County Hospital Authority No. 1 RB Refunding for Great Plains Regional Medical Center Project Series 2012
(A-/NR) |
| $ |
|
|
750,000 |
|
|
|
4.000 |
% |
|
11/01/2019 |
|
$ 771,540 |
|
|
|
690,000 |
|
|
|
4.000 |
|
|
11/01/2020 |
|
717,379 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,222,666 |
| |
| Nevada – 0.9% |
| Clark County Pollution Control RB Refunding for Nevada Power Company Project Series 2017 (A+/A2)(b)(c) |
|
|
|
1,850,000 |
|
|
|
1.600 |
|
|
05/21/2020 |
|
1,833,331 |
| Clark County School District Limited Tax GO Refunding Bonds Series 2015 B (A+/A1) |
|
|
|
10,300,000 |
|
|
|
5.000 |
|
|
06/15/2019 |
|
10,626,819 |
| Clark County Water Reclamation District GO Refunding Bonds for Water Reclamation Series 2016
(AAA/Aa1) |
|
|
|
3,640,000 |
|
|
|
5.000 |
|
|
07/01/2022 |
|
4,060,202 |
| Las Vegas Valley Nevada Water District GO Refunding Bonds Series 2018 B (AA+/Aa1) |
|
|
|
9,010,000 |
|
|
|
5.000 |
|
|
06/01/2021 |
|
9,807,926 |
| Nevada State Limited Tax GO Refunding Bonds for Capital Improvement Series 2015 D (AA/Aa2) |
|
|
|
18,085,000 |
|
|
|
5.000 |
|
|
04/01/2021 |
|
19,592,023 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
45,920,301 |
| |
| New Hampshire – 1.0% |
| New Hampshire Business Finance Authority RB for Pollution Control Project Series 2001 A (AMT) (NATL-RE) (AA-/A1)(c) |
|
|
|
50,475,000 |
|
|
|
3.064 |
|
|
05/01/2021 |
|
50,475,000 |
| |
| New Jersey – 6.2% |
| Atlantic City New Jersey Tax Appeal Refunding Bonds Series 2017 A (BAM) (ST AID WITHHLDG)
(AA/Baa1) |
|
|
|
220,000 |
|
|
|
5.000 |
|
|
03/01/2020 |
|
229,988 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
03/01/2023 |
|
549,570 |
| Burlington County New Jersey GO Bonds Series 2015 A (AA/Aa2) |
|
|
|
1,275,000 |
|
|
|
2.000 |
|
|
05/01/2019 |
|
1,280,737 |
| East Brunswick Township Board of Education Refunding Bonds Series 2012 (SCH BD RES FD)
(NR/Aa2) |
|
|
|
1,130,000 |
|
|
|
4.000 |
|
|
11/01/2018 |
|
1,139,582 |
|
|
|
1,300,000 |
|
|
|
5.000 |
|
|
11/01/2019 |
|
1,357,460 |
| Hudson County New Jersey GO Refunding Bonds Series 2015 (AGM) (AA/Aa3) |
|
|
|
725,000 |
|
|
|
4.000 |
|
|
02/15/2020 |
|
750,527 |
|
|
|
1,025,000 |
|
|
|
4.000 |
|
|
02/15/2021 |
|
1,077,531 |
| Mercer County New Jersey GO Bonds Series 2016 (AA+/NR) |
|
|
|
2,000,000 |
|
|
|
1.500 |
|
|
07/15/2021 |
|
1,975,360 |
| New Jersey Economic Development Authority RB for Provident Group - Kean Properties L.L.C. - Kean University
Student Housing Project Series 2017 A (BBB-/NR) |
|
|
|
180,000 |
|
|
|
4.000 |
|
|
07/01/2021 |
|
186,531 |
|
|
|
220,000 |
|
|
|
4.000 |
|
|
01/01/2022 |
|
228,582 |
|
|
|
225,000 |
|
|
|
4.000 |
|
|
07/01/2022 |
|
234,531 |
|
|
|
270,000 |
|
|
|
4.000 |
|
|
01/01/2023 |
|
282,199 |
|
|
|
275,000 |
|
|
|
4.000 |
|
|
07/01/2023 |
|
288,057 |
|
|
|
320,000 |
|
|
|
4.000 |
|
|
01/01/2024 |
|
335,270 |
|
|
|
325,000 |
|
|
|
4.000 |
|
|
07/01/2024 |
|
340,889 |
| New Jersey Economic Development Authority RB for School Facilities Construction Bonds Series 2011 GG (ETM) (ST
APPROP) (NR/Baa1)(a) |
|
|
|
4,485,000 |
|
|
|
5.000 |
|
|
09/01/2019 |
|
4,659,646 |
| |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| New Jersey – (continued) |
| New Jersey Economic Development Authority RB for School Facilities Construction Series 2017 DDD
(BBB+/Baa1) |
| $ |
|
|
500,000 |
|
|
|
5.000 |
% |
|
06/15/2019 |
|
$ 513,945 |
|
|
|
600,000 |
|
|
|
5.000 |
|
|
06/15/2020 |
|
628,134 |
| New Jersey Economic Development Authority RB Refunding for Provident Group - Montclair Properties L.L.C. -
Montclair University Student Housing Project Series 2017 (AGM) (AA/A2) |
|
|
|
1,835,000 |
|
|
|
4.000 |
|
|
06/01/2021 |
|
1,925,502 |
|
|
|
1,000,000 |
|
|
|
4.000 |
|
|
06/01/2022 |
|
1,058,610 |
| New Jersey Economic Development Authority RB Refunding for School Facilities Construction Series 2013 I (ST
APPROP) (BBB+/Baa1)(d) |
| (SIFMA Municipal Swap Index Yield + 1.25%), |
|
|
|
13,315,000 |
|
|
|
2.760 |
|
|
09/01/2025 |
|
13,063,746 |
| New Jersey Educational Facilities Authority RB for Rider University Series 2012 A
(BBB-/Baa2) |
|
|
|
1,265,000 |
|
|
|
4.000 |
|
|
07/01/2018 |
|
1,265,000 |
| New Jersey Educational Facilities Authority RB Refunding for New Jersey City University Series 2016 D (AGM)
(AA/A2) |
|
|
|
2,150,000 |
|
|
|
3.000 |
|
|
07/01/2020 |
|
2,201,600 |
|
|
|
2,210,000 |
|
|
|
3.000 |
|
|
07/01/2021 |
|
2,268,079 |
| New Jersey Educational Facilities Authority RB Refunding for Stevens Institute of Technology Series 2017 A
(A-/NR) |
|
|
|
630,000 |
|
|
|
4.000 |
|
|
07/01/2018 |
|
630,000 |
|
|
|
315,000 |
|
|
|
5.000 |
|
|
07/01/2020 |
|
333,894 |
|
|
|
485,000 |
|
|
|
5.000 |
|
|
07/01/2021 |
|
525,318 |
|
|
|
440,000 |
|
|
|
5.000 |
|
|
07/01/2022 |
|
486,332 |
| New Jersey Health Care Facilities Financing Authority RB for Princeton Healthcare System Issue Series 2016 A
(AA/Aa3) |
|
|
|
750,000 |
|
|
|
5.000 |
|
|
07/01/2021 |
|
816,225 |
| New Jersey Health Care Facilities Financing Authority RB Refunding for Barnabas Health Series 2012 A
(A+/A1) |
|
|
|
400,000 |
|
|
|
5.000 |
|
|
07/01/2018 |
|
400,000 |
| New Jersey Health Care Facilities Financing Authority RB Refunding for Robert Wood Johnson University Hospital
Series 2010 (NR/WR)(a) |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
01/01/2020 |
|
5,240,950 |
| New Jersey Health Care Facilities Financing Authority RB Refunding for Trinitas Regional Medical Center Series
2017 A (BBB/Baa2) |
|
|
|
4,300,000 |
|
|
|
5.000 |
|
|
07/01/2018 |
|
4,300,000 |
|
|
|
1,530,000 |
|
|
|
5.000 |
|
|
07/01/2019 |
|
1,572,059 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
07/01/2020 |
|
1,053,540 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
07/01/2021 |
|
1,075,590 |
|
|
|
1,240,000 |
|
|
|
5.000 |
|
|
07/01/2022 |
|
1,360,119 |
| New Jersey State Transit Corp. Refunding Grant Anticipation Notes Series 2014 A (A/A3) |
|
|
|
7,500,000 |
|
|
|
5.000 |
|
|
09/15/2018 |
|
7,549,275 |
| New Jersey State Turnpike Authority RB Refunding Series 2014 C (A+/A2) |
|
|
|
22,000,000 |
|
|
|
5.000 |
|
|
01/01/2020 |
|
23,033,560 |
| New Jersey State Turnpike Authority RB Refunding Series 2017 C-1 (A+/A2)(d) |
| (1 Mo. LIBOR + 0.34%, 8.00% Cap), |
|
|
|
1,290,000 |
|
|
|
1.728 |
|
|
01/01/2021 |
|
1,290,942 |
| New Jersey State Turnpike Authority RB Refunding Series 2017 C-2 (A+/A2)(d) |
| (1 Mo. LIBOR + 0.48%, 8.00% Cap), |
|
|
|
5,000,000 |
|
|
|
1.868 |
|
|
01/01/2022 |
|
5,015,100 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| New Jersey – (continued) |
| New Jersey State Turnpike Authority RB Refunding Series 2017 C-3
(A+/A2)(d) |
| (1 Mo. LIBOR + 0.60%, 8.00% Cap), |
| $ |
|
|
15,565,000 |
|
|
|
1.988 |
% |
|
01/01/2023 |
|
$ 15,622,591 |
| New Jersey State Turnpike Authority RB Series 2012 B (A+/A2) |
|
|
|
10,000,000 |
|
|
|
5.000 |
|
|
01/01/2019 |
|
10,171,800 |
| New Jersey State Turnpike Authority RB Series 2013 A (NR/NR)(a) |
|
|
|
5,930,000 |
|
|
|
5.000 |
|
|
07/01/2022 |
|
6,624,225 |
| New Jersey Transportation Trust Fund Authority RB Capital Appreciation for Transportation System Bonds Series
2010 A (BBB+/Baa1)(e) |
|
|
|
24,355,000 |
|
|
|
0.000 |
|
|
12/15/2028 |
|
15,726,024 |
| New Jersey Transportation Trust Fund Authority RB for Federal Highway Reimbursement Notes Subseries 2016 A-2
(A+/Baa1) |
|
|
|
20,000,000 |
|
|
|
5.000 |
|
|
06/15/2029 |
|
20,044,200 |
| New Jersey Transportation Trust Fund Authority RB for Transportation Program Bonds Series 2012 AA (ST APPROP)
(BBB+/Baa1) |
|
|
|
2,945,000 |
|
|
|
5.000 |
|
|
06/15/2019 |
|
3,027,136 |
| New Jersey Transportation Trust Fund Authority RB for Transportation Program Bonds Series 2014 AA
(BBB+/Baa1) |
|
|
|
10,000,000 |
|
|
|
5.000 |
|
|
06/15/2021 |
|
10,639,100 |
| New Jersey Transportation Trust Fund Authority RB for Transportation Program Bonds Series 2015 AA
(BBB+/Baa1) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
06/15/2021 |
|
1,063,910 |
| New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2006 A
(BBB+/Baa1) |
|
|
|
15,550,000 |
|
|
|
5.250 |
|
|
12/15/2020 |
|
16,536,959 |
| New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2006 C (AMBAC)
(BBB+/Baa1)(e) |
|
|
|
10,000,000 |
|
|
|
0.000 |
|
|
12/15/2025 |
|
7,494,000 |
| New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2006 C (NATL-RE)
(BBB+/Baa1)(e) |
|
|
|
15,000,000 |
|
|
|
0.000 |
|
|
12/15/2027 |
|
10,345,650 |
|
|
|
14,390,000 |
|
|
|
0.000 |
|
|
12/15/2030 |
|
8,650,261 |
|
|
|
5,000,000 |
|
|
|
0.000 |
|
|
12/15/2031 |
|
2,866,300 |
| New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2010 D
(BBB+/Baa1) |
|
|
|
3,015,000 |
|
|
|
5.000 |
|
|
12/15/2023 |
|
3,295,425 |
| New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2013 A
(BBB+/Baa1) |
|
|
|
1,485,000 |
|
|
|
5.000 |
|
|
06/15/2020 |
|
1,558,686 |
| New Jersey Transportation Trust Fund Authority RB for Transportation System Series 2011 A (ST APPROP)
(BBB+/Baa1) |
|
|
|
5,115,000 |
|
|
|
5.000 |
|
|
06/15/2023 |
|
5,447,884 |
| New Jersey Transportation Trust Fund Authority RB for Transportation System Series 2013 A
(BBB+/Baa1) |
|
|
|
6,235,000 |
|
|
|
5.000 |
|
|
12/15/2019 |
|
6,492,755 |
| New Jersey Transportation Trust Fund Authority RB Refunding for Transportation Systems Series 2010 D
(BBB+/Baa1) |
|
|
|
26,545,000 |
|
|
|
5.250 |
|
|
12/15/2023 |
|
29,344,170 |
| New Jersey Transportation Trust Fund Authority RB Subseries 2016 A-1 & Subseries A-2
(A+/Baa1) |
|
|
|
11,250,000 |
|
|
|
5.000 |
|
|
06/15/2023 |
|
12,234,487 |
|
|
|
8,560,000 |
|
|
|
5.000 |
|
|
06/15/2030 |
|
8,578,832 |
|
|
|
23,985,000 |
|
|
|
5.000 |
|
|
06/15/2031 |
|
24,037,767 |
| Plainsboro Township GO General Improvement Bonds Series 2016 (AAA/NR) |
|
|
|
1,000,000 |
|
|
|
2.000 |
|
|
08/01/2022 |
|
1,000,380 |
| Tobacco Settlement Financing Corp. RB Series 2018 B (BBB+/NR) |
|
|
|
7,350,000 |
|
|
|
3.200 |
|
|
06/01/2027 |
|
7,423,868 |
| |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| New Jersey – (continued) |
| Township of Old Bridge GO Bonds Series 2017 (NR/Aa1) |
| $ |
|
|
2,600,000 |
|
|
|
2.000 |
% |
|
04/01/2019 |
|
$ 2,610,140 |
| Union County New Jersey GO Bonds Series B (AA+/Aaa) |
|
|
|
1,240,000 |
|
|
|
3.000 |
|
|
03/01/2019 |
|
1,252,673 |
| Union County New Jersey GO Refunding Bonds Series B (ETM) (NR/NR)(a) |
|
|
|
25,000 |
|
|
|
3.000 |
|
|
03/01/2019 |
|
25,237 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
324,638,440 |
| |
| New Mexico – 1.3% |
| City of Albuquerque General Purpose GO Bonds Series 2018 A (AAA/Aa2) |
|
|
|
6,480,000 |
|
|
|
5.000 |
|
|
07/01/2019 |
|
6,699,089 |
|
|
|
6,480,000 |
|
|
|
5.000 |
|
|
07/01/2020 |
|
6,894,979 |
|
|
|
6,480,000 |
|
|
|
5.000 |
|
|
07/01/2021 |
|
7,071,948 |
|
|
|
5,480,000 |
|
|
|
5.000 |
|
|
07/01/2022 |
|
6,119,297 |
| Farmington City PCRB Refunding for Public Service Co. of New Mexico San Juan & Four Corners Projects Series
2016 A
(BBB+/Baa2)(b)(c) |
|
|
|
4,000,000 |
|
|
|
1.875 |
|
|
10/01/2021 |
|
3,902,960 |
| Farmington City PCRB Refunding for Public Servicing Co. of New Mexico San Juan & Four Corners Projects Series
2016 B (BBB+/Baa2)(b)(c) |
|
|
|
11,000,000 |
|
|
|
1.875 |
|
|
10/01/2021 |
|
10,733,140 |
| Farmington New Mexico PCRB Refunding for Public Service Co. of New Mexico San Juan Project RMKT 06/01/17 Series
2017 B
(BBB+/Baa2)(b)(c) |
|
|
|
3,750,000 |
|
|
|
2.125 |
|
|
06/01/2022 |
|
3,670,425 |
| New Mexico Finance Authority RB Refunding for State Transportation Commission Series 2012
(AAA/Aa1) |
|
|
|
4,000,000 |
|
|
|
5.000 |
|
|
06/15/2022 |
|
4,453,520 |
| New Mexico Finance Authority Senior Lien Public Project Revolving Fund RB Series 2017 E
(AAA/Aa1) |
|
|
|
2,550,000 |
|
|
|
5.000 |
|
|
06/01/2020 |
|
2,707,539 |
|
|
|
2,885,000 |
|
|
|
5.000 |
|
|
06/01/2021 |
|
3,140,495 |
| New Mexico Severance Tax RB Series 2017 A (AA-/Aa2) |
|
|
|
1,830,000 |
|
|
|
5.000 |
|
|
07/01/2019 |
|
1,891,872 |
| New Mexico State GO Refunding Bonds Series 2017 B (AA/Aa2) |
|
|
|
9,485,000 |
|
|
|
5.000 |
|
|
03/01/2021 |
|
10,262,296 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
67,547,560 |
| |
| New York – 10.9% |
| Brooklyn Arena Local Development Corp. Pilot RB Refunding for Barclays Center Series 2016 A
(BBB-/Baa3) |
|
|
|
1,250,000 |
|
|
|
5.000 |
|
|
07/15/2021 |
|
1,354,062 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
07/15/2022 |
|
551,715 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
07/15/2023 |
|
559,525 |
| City of Yonkers New York School GO Refunding Bonds Series 2014 A (AGM) (AA/A2) |
|
|
|
3,135,000 |
|
|
|
5.000 |
|
|
09/01/2019 |
|
3,256,701 |
| Metropolitan Transportation Authority RB Refunding RMKT 11/01/16 Subseries 2012 G-3 (A+/A1)(b) |
| (1 Mo. LIBOR + 0.70%, 9.00% Cap), |
|
|
|
20,000,000 |
|
|
|
2.028 |
|
|
02/01/2020 |
|
20,128,600 |
| Metropolitan Transportation Authority RB Refunding Series 2008 B-4 (A+/A1)(b)(c) |
|
|
|
20,725,000 |
|
|
|
5.000 |
|
|
11/15/2019 |
|
21,659,076 |
| Metropolitan Transportation Authority RB Refunding Series 2016 C-2B (A+/A1)(b)(c) |
|
|
|
13,675,000 |
|
|
|
5.000 |
|
|
02/15/2020 |
|
14,371,194 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| New York – (continued) |
| Metropolitan Transportation Authority RB Refunding Subseries 2012 G-4 (A+/A1)(b) |
| (1 Mo. LIBOR + 0.55%, 9.00% Cap), |
| $ |
|
|
27,065,000 |
|
|
|
1.878 |
% |
|
11/01/2022 |
|
$ 27,011,682 |
| Metropolitan Transportation Authority RB Series 2011 B (A+/A1)(b) |
| (1 Mo. LIBOR + 0.55%, 9.00% Cap), |
|
|
|
26,625,000 |
|
|
|
1.878 |
|
|
11/01/2022 |
|
26,572,549 |
| Metropolitan Transportation Authority RB Series 2018 A-1 (SP-1+/MIG1) |
|
|
|
54,235,000 |
|
|
|
4.000 |
|
|
08/15/2019 |
|
55,641,856 |
| Metropolitan Transportation Authority RB Series 2018 B-1A (SP-1+/MIG1) |
|
|
|
10,000,000 |
|
|
|
5.000 |
|
|
05/15/2020 |
|
10,553,200 |
| Metropolitan Transportation Authority RB Subseries 2014 D-2 (A+/A1)(b) |
| (SIFMA Municipal Swap Index Yield + 0.45%, 9.00% Cap), |
|
|
|
15,000,000 |
|
|
|
1.960 |
|
|
11/15/2022 |
|
14,986,350 |
| New York City GO Bonds Fiscal 2006 Series H Subseries H1 (AA/Aa2)(b)(c) |
|
|
|
6,100,000 |
|
|
|
1.530 |
|
|
07/04/2018 |
|
6,100,000 |
| New York City GO Bonds Fiscal 2014 Series D Subseries D-3 (AA/Aa2)(b)(c) |
|
|
|
5,555,000 |
|
|
|
1.530 |
|
|
07/04/2018 |
|
5,555,000 |
| New York City GO Bonds Fiscal 2014 Series I Subseries I-2 (AA/Aa2)(b)(c) |
|
|
|
6,350,000 |
|
|
|
1.530 |
|
|
07/04/2018 |
|
6,350,000 |
| New York City GO Bonds Series 2014 J (AA/Aa2) |
|
|
|
19,795,000 |
|
|
|
5.000 |
|
|
08/01/2018 |
|
19,851,812 |
| New York City Municipal Water Finance Authority RB for Water & Sewer System Second General Resolution Fiscal
2014 Series AA Subseries AA1 (AA+/Aa1)(b)(c) |
|
|
|
6,605,000 |
|
|
|
1.530 |
|
|
07/04/2018 |
|
6,605,000 |
| New York Housing Development Corp. Multi-Family Mortgage RB for Sustainable Neighborhood Bonds Series 2017 Class
G-2 (AA+/Aa2)(b)(c) |
|
|
|
4,870,000 |
|
|
|
2.000 |
|
|
12/31/2021 |
|
4,865,081 |
| New York State Dormitory Authority General Purpose Personal Income Tax RB Refunding Series 2016 D
(AAA/Aa1) |
|
|
|
7,790,000 |
|
|
|
5.000 |
|
|
02/15/2022 |
|
8,632,956 |
| New York State Dormitory Authority General Purpose Personal Income Tax RB Series 2016 D
(AAA/Aa1) |
|
|
|
1,885,000 |
|
|
|
4.000 |
|
|
02/15/2021 |
|
1,992,483 |
| New York State Dormitory Authority Personal Income Tax RB Series 2017 A (NR/NR)(a) |
|
|
|
14,225,000 |
|
|
|
5.000 |
|
|
02/15/2019 |
|
14,535,389 |
| New York State Dormitory Authority RB Refunding for Long Island University Series 2012 A
(BBB/Baa2) |
|
|
|
3,665,000 |
|
|
|
5.000 |
|
|
09/01/2018 |
|
3,683,105 |
| New York State Dormitory Authority State Sales Tax RB Series 2015 B (AAA/Aa1) |
|
|
|
24,440,000 |
|
|
|
5.000 |
|
|
03/15/2021 |
|
26,518,378 |
| New York State Energy Research & Development Authority Facilities RB Refunding for Consolidated Edison Co.
Subseries 1999 A-2 (AMT) (AMBAC) (A-/A2)(c) |
|
|
|
70,250,000 |
|
|
|
2.696 |
|
|
05/01/2034 |
|
70,028,010 |
| New York State Energy Research & Development Authority PCRB for Mohawk Power Corp. RMKT 05/01/03 Series 1985
B (AMBAC)
(A/Aa3)(c) |
|
|
|
310,000 |
|
|
|
5.255 |
|
|
12/01/2025 |
|
310,000 |
| |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| New York – (continued) |
| New York State Energy Research & Development Authority PCRB for Mohawk Power Corp. RMKT 05/01/03 Series 2003
C (AMBAC) (A/Aa3)(c) |
| $ |
|
|
585,000 |
|
|
|
5.250 |
% |
|
12/01/2025 |
|
$ 585,000 |
| New York State Energy Research & Development Authority PCRB for Mohawk Power Corp. Series 2004 A (XLCA)
(A/Aa3)(c) |
|
|
|
20,000 |
|
|
|
5.230 |
|
|
07/01/2029 |
|
20,000 |
| New York State Energy Research & Development Authority PCRB for New York State Electric & Gas Corp.
Project Series 2004 C (A-/NR)(b)(c) |
|
|
|
17,000,000 |
|
|
|
2.625 |
|
|
07/03/2023 |
|
16,996,090 |
| New York State Energy Research & Development Authority PCRB RMKT 05/01/03 Series 1987 A (AMBAC) (A/Aa3)(c) |
|
|
|
4,430,000 |
|
|
|
5.244 |
|
|
03/01/2027 |
|
4,430,000 |
| New York State Energy Research & Development Authority RB Refunding for Central Hudson Gas & Electric
Corp. Projects Series 1999 B (AMT) (AMBAC) (A-/A2)(c) |
|
|
|
27,750,000 |
|
|
|
2.562 |
|
|
07/01/2034 |
|
27,200,272 |
| New York State Thruway Authority Junior Indebtedness RB Series 2013 A (A-/A3) |
|
|
|
29,525,000 |
|
|
|
5.000 |
|
|
05/01/2019 |
|
30,368,824 |
| New York State Urban Development Corp. General Purpose Personal Income Tax RB
Refunding Series 2015 A (AAA/Aa1) |
|
|
|
23,370,000 |
|
|
|
5.000 |
|
|
03/15/2021 |
|
25,351,075 |
| New York Transportation Development Corp. RB for Delta Air Lines, Inc. Series 2018 (AMT)
(BBB-/Baa3) |
|
|
|
11,150,000 |
|
|
|
5.000 |
|
|
01/01/2022 |
|
12,084,927 |
|
|
|
15,000,000 |
|
|
|
5.000 |
|
|
01/01/2023 |
|
16,484,250 |
| New York Transportation Development Corp. Special Facility RB Refunding for Terminal One Group Association L.P.
Project Series 2015 (AMT) (A-/Baa1) |
|
|
|
4,800,000 |
|
|
|
5.000 |
|
|
01/01/2020 |
|
5,020,416 |
|
|
|
2,310,000 |
|
|
|
5.000 |
|
|
01/01/2021 |
|
2,459,203 |
| Niagara Frontier Transportation Authority RB Refunding for Buffalo International Airport Series 2014 B
(BBB+/Baa1) |
|
|
|
300,000 |
|
|
|
5.000 |
|
|
04/01/2019 |
|
307,218 |
| Oyster Bay Public Improvement GO Refunding Bonds Series 2018 (NR/Baa3) |
|
|
|
9,385,000 |
|
|
|
4.000 |
|
|
02/15/2021 |
|
9,753,737 |
| Rockland County GO Bonds Series 2014 A (AGM) (AA/A2) |
|
|
|
2,250,000 |
|
|
|
5.000 |
|
|
03/01/2019 |
|
2,301,570 |
|
|
|
3,000,000 |
|
|
|
5.000 |
|
|
03/01/2020 |
|
3,159,870 |
| Rockland County New York GO Refunding Bonds Series 2014 (BAM)
(AA/A2) |
|
|
|
1,500,000 |
|
|
|
3.000 |
|
|
02/15/2019 |
|
1,513,830 |
|
|
|
635,000 |
|
|
|
3.000 |
|
|
02/15/2020 |
|
647,897 |
| Suffolk County New York GO Bonds for Public Improvement Series 2016 B (BAM) (AA/NR) |
|
|
|
5,105,000 |
|
|
|
2.000 |
|
|
10/15/2020 |
|
5,127,666 |
|
|
|
5,200,000 |
|
|
|
2.000 |
|
|
10/15/2021 |
|
5,195,008 |
| Suffolk County New York GO Bonds for Public Improvement Series 2018 A (AGM) (AA/NR) |
|
|
|
4,955,000 |
|
|
|
5.000 |
|
|
06/01/2021 |
|
5,379,148 |
|
|
|
5,005,000 |
|
|
|
5.000 |
|
|
06/01/2022 |
|
5,551,146 |
| Suffolk County New York GO Refunding Serial Bonds Series 2017 A (AGM) (AA/NR) |
|
|
|
7,035,000 |
|
|
|
4.000 |
|
|
02/01/2023 |
|
7,577,117 |
| Suffolk County New York GO Refunding Serial Bonds Series 2017 B (AGM) (AA/NR) |
|
|
|
6,360,000 |
|
|
|
4.000 |
|
|
10/15/2023 |
|
6,904,734 |
| Suffolk Tobacco Asset Securitization Corp. RB Tobacco Settlement Asset-Backed Bonds Series 2012 B
(A/NR) |
|
|
|
575,000 |
|
|
|
5.000 |
|
|
06/01/2019 |
|
593,825 |
|
|
|
620,000 |
|
|
|
5.000 |
|
|
06/01/2020 |
|
660,846 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| New York – (continued) |
| TSASC Inc., Tobacco Settlement RB Senior Series 2017 A (A/NR) |
| $ |
|
|
2,000,000 |
|
|
|
5.000 |
% |
|
06/01/2020 |
|
$ 2,108,440 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
06/01/2021 |
|
1,076,170 |
| TSASC Inc., Tobacco Settlement RB Subordinated Series 2017 B (BBB+/NR) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
06/01/2020 |
|
1,050,950 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
571,582,953 |
| |
| North Carolina – 0.6% |
| County of Mecklenburg GO Refunding Bonds Series 2011 C (AAA/Aaa) |
|
|
|
7,980,000 |
|
|
|
5.000 |
|
|
12/01/2019 |
|
8,366,152 |
| North Carolina Eastern Municipal Power Agency Power System RB Refunding Series 2012 B (ETM) (AAA/WR)(a) |
|
|
|
4,900,000 |
|
|
|
5.000 |
|
|
01/01/2019 |
|
4,984,672 |
| North Carolina Eastern Municipal Power Agency Power System RB Series 2012 A (ETM) (AAA/WR)(a) |
|
|
|
2,000,000 |
|
|
|
3.000 |
|
|
01/01/2019 |
|
2,014,920 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
01/01/2019 |
|
1,017,280 |
| North Carolina Medical Care Commission Health Care Facilities RB Refunding for Wake Forest Baptist Obligated
Group Series 2012 B (A/A2) |
|
|
|
1,375,000 |
|
|
|
5.000 |
|
|
12/01/2018 |
|
1,394,057 |
| North Carolina State Capital Improvement RB Series 2011 A (ST APPROP) (AA+/Aa1)(a) |
|
|
|
10,745,000 |
|
|
|
5.000 |
|
|
05/01/2020 |
|
11,386,262 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,163,343 |
| |
| Ohio – 1.2% |
| American Municipal Power, Inc., RB for Hydroelectric Projects Series 2009 C (A/A2)(a) |
|
|
|
4,000,000 |
|
|
|
5.000 |
|
|
02/15/2020 |
|
4,207,560 |
| Buckeye Ohio Tobacco Settlement Financing Authority RB Senior Turbo Asset-Backed Bonds Series 2007 A-2
(B-/Caa1) |
|
|
|
13,140,000 |
|
|
|
5.125 |
|
|
06/01/2024 |
|
13,108,990 |
|
|
|
3,265,000 |
|
|
|
5.375 |
|
|
06/01/2024 |
|
3,265,000 |
| Cleveland Airport Various Purpose GO Refunding Bonds Series 2015 (AA+/A1) |
|
|
|
1,455,000 |
|
|
|
5.000 |
|
|
12/01/2020 |
|
1,563,645 |
| County of Franklin Hospital Facilities RB Refunding Series 2011 B (AA+/Aa2)(b)(c) |
|
|
|
11,490,000 |
|
|
|
4.000 |
|
|
11/01/2018 |
|
11,575,715 |
| Cuyahoga County Ohio Hospital RB Refunding for Metrohealth System Series 2017 (BBB-/Baa3) |
|
|
|
1,750,000 |
|
|
|
5.000 |
|
|
02/15/2023 |
|
1,895,863 |
|
|
|
3,000,000 |
|
|
|
5.000 |
|
|
02/15/2024 |
|
3,277,110 |
|
|
|
1,500,000 |
|
|
|
5.000 |
|
|
02/15/2025 |
|
1,646,670 |
| Hamilton County Health Care RB Refunding for Life Enriching Community Project Series 2012
(BBB-/NR) |
|
|
|
415,000 |
|
|
|
4.000 |
|
|
01/01/2019 |
|
419,000 |
|
|
|
435,000 |
|
|
|
4.000 |
|
|
01/01/2020 |
|
445,997 |
| New Albany Community Authority RB Refunding Series 2012 C (NR/Aa3) |
|
|
|
800,000 |
|
|
|
4.000 |
|
|
10/01/2018 |
|
805,120 |
| Northmont City School District School Improvement GO Bonds Series 2012 A (SD
CRED PROG) (NR/Aa2)(a) |
|
|
|
3,500,000 |
|
|
|
5.000 |
|
|
11/01/2021 |
|
3,851,750 |
| Ohio State Highway Capital Improvement GO Bonds Series 2012 Q (AAA/Aa1)(a) |
|
|
|
1,685,000 |
|
|
|
5.000 |
|
|
05/01/2022 |
|
1,871,647 |
| Ohio State Third Frontier Research & Development GO Bonds Series 2013 A (AA+/Aa1)(a) |
|
|
|
7,400,000 |
|
|
|
4.000 |
|
|
05/01/2021 |
|
7,832,012 |
| |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Ohio – (continued) |
| University of Akron General Receipts Bonds Series 2015 A (A+/A1) |
| $ |
|
|
1,100,000 |
|
|
|
4.000 |
% |
|
01/01/2019 |
|
$ 1,113,112 |
| University of Cincinnati RB Series 2018 C (SP-1+/Aa3)(d) |
| (1 Mo. LIBOR + 0.34%), |
|
|
|
5,000,000 |
|
|
|
1.743 |
|
|
06/01/2020 |
|
4,999,950 |
| University of Toledo General Receipts RB Series 2011 B (A/A1)(a) |
|
|
|
355,000 |
|
|
|
5.000 |
|
|
06/01/2021 |
|
386,755 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
62,265,896 |
| |
| Oklahoma – 0.8% |
| Edmond Public Works Authority Sales Tax and Utility System RB Series 2017 (AA-/NR) |
|
|
|
2,000,000 |
|
|
|
3.000 |
|
|
07/01/2021 |
|
2,056,680 |
|
|
|
1,295,000 |
|
|
|
3.000 |
|
|
07/01/2022 |
|
1,338,421 |
| Oklahoma County Independent School District No. 1 Combined Purpose GO Bonds for Putnam City Board of Education
District Series 2016 (A+/NR) |
|
|
|
3,585,000 |
|
|
|
2.000 |
|
|
01/01/2019 |
|
3,591,847 |
|
|
|
2,900,000 |
|
|
|
2.000 |
|
|
01/01/2021 |
|
2,899,304 |
| Oklahoma County Independent School District No. 12 Combined Purpose GO Bonds for Edmond School District Series
2017 (AA+/NR) |
|
|
|
4,250,000 |
|
|
|
2.000 |
|
|
08/01/2019 |
|
4,269,423 |
|
|
|
4,800,000 |
|
|
|
2.000 |
|
|
08/01/2020 |
|
4,818,480 |
|
|
|
4,900,000 |
|
|
|
2.000 |
|
|
08/01/2022 |
|
4,884,712 |
| Oklahoma County Independent School District No. 89 GO Bonds Series 2015 (AA/Aa3) |
|
|
|
6,200,000 |
|
|
|
3.000 |
|
|
07/01/2019 |
|
6,285,932 |
| Oklahoma Development Finance Authority Health System RB for OU Medicine Project Series 2018 B
(BB+/Baa3) |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
08/15/2022 |
|
544,710 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
08/15/2023 |
|
551,330 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
08/15/2024 |
|
556,080 |
| Oklahoma Turnpike Authority RB Refunding Second Senior Series 2017 D (AA-/Aa3) |
|
|
|
2,745,000 |
|
|
|
4.000 |
|
|
01/01/2023 |
|
2,974,921 |
| Tulsa County Independent School District No. 3 GO Bonds Series 2017 (AA/NR) |
|
|
|
5,800,000 |
|
|
|
2.000 |
|
|
04/01/2020 |
|
5,826,738 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
40,598,578 |
| |
| Oregon – 1.4% |
| Forest Grove Oregon Student Housing RB Refunding for Oak Tree Foundation Project Series 2017
(BBB-/NR) |
|
|
|
300,000 |
|
|
|
4.000 |
|
|
03/01/2019 |
|
303,777 |
|
|
|
995,000 |
|
|
|
4.000 |
|
|
03/01/2021 |
|
1,032,651 |
|
|
|
385,000 |
|
|
|
5.000 |
|
|
03/01/2023 |
|
421,405 |
|
|
|
200,000 |
|
|
|
5.000 |
|
|
03/01/2024 |
|
221,004 |
|
|
|
200,000 |
|
|
|
5.000 |
|
|
03/01/2025 |
|
222,958 |
| Lane County Oregon Springfield School District No. 19 GO Refunding Bonds Series 2015 (SCH BD GTY) (AA+/Aa1)(e) |
|
|
|
3,740,000 |
|
|
|
0.000 |
|
|
06/15/2020 |
|
3,606,707 |
|
|
|
3,780,000 |
|
|
|
0.000 |
|
|
06/15/2021 |
|
3,562,385 |
| Oregon Coast Community College District GO Refunding Bonds Series 2012 (SCH BD GTY) (NR/Aa1) |
|
|
|
1,445,000 |
|
|
|
3.000 |
|
|
06/15/2019 |
|
1,465,230 |
| Portland Oregon Community College District GO Bonds Series 2018 (AA+/Aa1) |
|
|
|
3,500,000 |
|
|
|
4.000 |
|
|
06/15/2019 |
|
3,581,865 |
|
|
|
10,240,000 |
|
|
|
4.000 |
|
|
06/15/2020 |
|
10,693,836 |
|
|
|
12,520,000 |
|
|
|
4.000 |
|
|
06/15/2021 |
|
13,289,229 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Oregon – (continued) |
| Portland Oregon Community College District GO Refunding Bonds Series 2016 (AA+/Aa1) |
| $ |
|
|
1,500,000 |
|
|
|
5.000 |
% |
|
06/15/2020 |
|
$ 1,595,130 |
|
|
|
1,900,000 |
|
|
|
5.000 |
|
|
06/15/2021 |
|
2,071,038 |
|
|
|
2,300,000 |
|
|
|
5.000 |
|
|
06/15/2022 |
|
2,566,340 |
| Portland Oregon Sewer System RB Refunding Second Lien Series 2016 B (AA-/Aa2) |
|
|
|
6,960,000 |
|
|
|
5.000 |
|
|
06/15/2022 |
|
7,771,606 |
| Portland Oregon Water System RB Refunding First Lien Series 2016 A (NR/Aaa) |
|
|
|
10,845,000 |
|
|
|
5.000 |
|
|
04/01/2019 |
|
11,127,187 |
|
|
|
2,130,000 |
|
|
|
5.000 |
|
|
04/01/2022 |
|
2,368,326 |
| State of Oregon GO Bonds Series 2018 A (AA+/Aa1) |
|
|
|
5,480,000 |
|
|
|
4.000 |
|
|
05/01/2020 |
|
5,713,886 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
71,614,560 |
| |
| Pennsylvania – 4.3% |
| Abington School District GO Bonds Series 2017 (ST AID WITHHLDG) (AA/NR) |
|
|
|
1,375,000 |
|
|
|
5.000 |
|
|
10/01/2021 |
|
1,505,735 |
|
|
|
1,950,000 |
|
|
|
5.000 |
|
|
10/01/2022 |
|
2,180,958 |
| Allegheny County Higher Education Building Authority RB for Chatham University Series 2012 A
(BBB-/NR) |
|
|
|
750,000 |
|
|
|
5.000 |
|
|
09/01/2018 |
|
753,202 |
| Allentown School District GO Refunding Series 2016 (AGM) (ST AID WITHHLDG) (AA/NR) |
|
|
|
500,000 |
|
|
|
2.000 |
|
|
02/15/2019 |
|
500,670 |
| Bethlehem Area School District Authority School RB Refunding for Bethlehem Area School District Refunding Project
Series 2018 (ST AID WITHHLDG) (NR/A1)(b) |
| (1 Mo. LIBOR + 0.48%, 10.00% Cap), |
|
|
|
6,000,000 |
|
|
|
1.951 |
|
|
11/01/2021 |
|
6,008,460 |
| Butler County Hospital Authority RB for Health System Project Series 2015 A (A-/Baa1) |
|
|
|
1,265,000 |
|
|
|
3.000 |
|
|
07/01/2018 |
|
1,265,000 |
|
|
|
310,000 |
|
|
|
3.000 |
|
|
07/01/2019 |
|
312,579 |
|
|
|
265,000 |
|
|
|
4.000 |
|
|
07/01/2020 |
|
274,100 |
|
|
|
1,000,000 |
|
|
|
4.000 |
|
|
07/01/2021 |
|
1,046,260 |
| Chester County Downingtown Area School District GO Bonds Series 2010 (ST AID WITHHLDG) (NR/Aaa)(b) |
| (SIFMA Municipal Swap Index Yield + 0.70%, 12.00% Cap), |
|
|
|
5,000,000 |
|
|
|
2.210 |
|
|
05/01/2019 |
|
5,005,900 |
| Chester County IDA RB for University Student Housing, LLC Project at West Chester University Series 2013 A
(NR/Baa3) |
|
|
|
530,000 |
|
|
|
3.000 |
|
|
08/01/2018 |
|
530,148 |
| City of Philadelphia GO Bonds Series 2016 F (ST AID WITHHLDG) (A+/A2) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
09/01/2019 |
|
1,036,470 |
|
|
|
4,000,000 |
|
|
|
5.000 |
|
|
09/01/2020 |
|
4,253,360 |
|
|
|
4,000,000 |
|
|
|
5.000 |
|
|
09/01/2021 |
|
4,331,160 |
| City of Philadelphia GO Bonds Series 2017 (A/A2) |
|
|
|
4,500,000 |
|
|
|
5.000 |
|
|
08/01/2019 |
|
4,658,850 |
| Coatesville School District GO Refunding Bonds Series 2017 (AGM) (ST AID WITHHLDG) (AA/A2) |
|
|
|
325,000 |
|
|
|
4.000 |
|
|
08/01/2020 |
|
337,350 |
|
|
|
1,270,000 |
|
|
|
5.000 |
|
|
08/01/2021 |
|
1,372,489 |
|
|
|
1,125,000 |
|
|
|
5.000 |
|
|
08/01/2022 |
|
1,239,795 |
| |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Pennsylvania – (continued) |
| Commonwealth Financing Authority Tobacco Master Settlement Payment RB Series 2018 (A/A1) |
| $ |
|
|
950,000 |
|
|
|
5.000 |
% |
|
06/01/2020 |
|
$ 1,000,407 |
|
|
|
2,250,000 |
|
|
|
5.000 |
|
|
06/01/2023 |
|
2,501,798 |
| Cumberland County Municipal Authority RB Refunding for Diakon Lutheran Social Ministries Project Series 2015
(BBB+/NR) |
|
|
|
535,000 |
|
|
|
4.000 |
|
|
01/01/2019 |
|
540,425 |
|
|
|
1,000,000 |
|
|
|
4.000 |
|
|
01/01/2020 |
|
1,026,170 |
| Lehigh County Industrial Development Authority PCRB Refunding for PPL Electric Utilities Corp. Project RMKT
08/15/17 Series 2016 B
(A/A1)(b)(c) |
|
|
|
9,000,000 |
|
|
|
1.800 |
|
|
08/15/2022 |
|
8,838,090 |
| Montgomery County Higher Education and Health Authority RB Refunding for Holy Redeemer Health System Series 2014
A (BBB/Baa3) |
|
|
|
1,000,000 |
|
|
|
4.000 |
|
|
10/01/2018 |
|
1,004,670 |
|
|
|
1,000,000 |
|
|
|
4.000 |
|
|
10/01/2019 |
|
1,021,210 |
| Montgomery County IDA Pollution Control RB Refunding for PECO Energy Company Project Series 1999 B (BBB/Baa2)(b)(c) |
|
|
|
30,425,000 |
|
|
|
2.500 |
|
|
04/01/2020 |
|
30,419,219 |
| Pennsylvania Economic Development Financing Authority Unemployment Compensation RB Series 2012 B
(AA+/Aaa) |
|
|
|
16,335,000 |
|
|
|
5.000 |
|
|
07/01/2020 |
|
16,880,752 |
| Pennsylvania Higher Educational Facilities Authority RB for LA Salle University Series 2012
(BBB-/NR) |
|
|
|
360,000 |
|
|
|
5.000 |
|
|
05/01/2019 |
|
368,964 |
| Pennsylvania Higher Educational Facilities Authority RB for LA Salle University Series 2012 (ETM) (NR/NR)(a) |
|
|
|
640,000 |
|
|
|
5.000 |
|
|
05/01/2019 |
|
657,325 |
| Pennsylvania State Commonwealth GO Bonds Second Series 2015 (A+/Aa3) |
|
|
|
2,175,000 |
|
|
|
5.000 |
|
|
08/15/2020 |
|
2,310,916 |
| Pennsylvania State Commonwealth GO Refunding Bonds First Series 2015 (A+/Aa3) |
|
|
|
8,115,000 |
|
|
|
5.000 |
|
|
08/15/2020 |
|
8,622,106 |
| Pennsylvania State Commonwealth GO Refunding Bonds First Series 2016 (A+/Aa3) |
|
|
|
13,670,000 |
|
|
|
5.000 |
|
|
09/15/2020 |
|
14,554,039 |
| Pennsylvania State Commonwealth GO Refunding Bonds First Series 2017 (A+/Aa3) |
|
|
|
33,455,000 |
|
|
|
5.000 |
|
|
01/01/2023 |
|
37,125,014 |
| Pennsylvania State Commonwealth GO Refunding Bonds Second Series 2010 A (A+/Aa3)(a) |
|
|
|
7,520,000 |
|
|
|
5.000 |
|
|
05/01/2020 |
|
7,968,794 |
| Pennsylvania State Commonwealth GO Refunding Bonds Second Series 2016 (A+/Aa3) |
|
|
|
4,500,000 |
|
|
|
5.000 |
|
|
01/15/2022 |
|
4,911,615 |
| Pennsylvania State GO Bonds First Refunding Series 2015 (AGM) (AA/Aa3) |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
08/15/2022 |
|
5,531,400 |
| Pennsylvania Turnpike Commission RB Series 2009 D (A/A3)(a) |
|
|
|
5,000,000 |
|
|
|
5.300 |
|
|
12/01/2019 |
|
5,253,450 |
| Pennsylvania Turnpike Commission RB Series 2014 B-1 (A+/A1)(d) |
| (SIFMA Municipal Swap Index Yield + 0.88%, 12.00% Cap), |
|
|
|
7,000,000 |
|
|
|
2.390 |
|
|
12/01/2020 |
|
7,069,790 |
| Pennsylvania Turnpike Commission RB Subordinate Series 2009 B (A/A3)(a) |
|
|
|
10,000,000 |
|
|
|
5.750 |
|
|
06/01/2019 |
|
10,380,200 |
| Pennsylvania Turnpike Commission RB Subordinate Series 2015 B (A/A3)(a) |
|
|
|
1,400,000 |
|
|
|
5.000 |
|
|
12/01/2020 |
|
1,505,560 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Pennsylvania – (continued) |
| Philadelphia Hospitals and Higher Education Facilities Authority RB Refunding for Temple University Health System
Obligation Group Series 2017 (BBB-/Ba1) |
| $ |
|
|
500,000 |
|
|
|
5.000 |
% |
|
07/01/2019 |
|
$ 512,900 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
07/01/2020 |
|
1,047,550 |
|
|
|
1,250,000 |
|
|
|
5.000 |
|
|
07/01/2021 |
|
1,331,800 |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
07/01/2022 |
|
2,163,620 |
| Pittsburgh & Allegheny County Sports & Exhibition Authority RB for Parking System Series 2017
(A-/NR) |
|
|
|
530,000 |
|
|
|
4.000 |
|
|
12/15/2019 |
|
546,531 |
|
|
|
365,000 |
|
|
|
4.000 |
|
|
12/15/2020 |
|
382,188 |
|
|
|
600,000 |
|
|
|
4.000 |
|
|
12/15/2021 |
|
635,484 |
|
|
|
280,000 |
|
|
|
5.000 |
|
|
12/15/2022 |
|
311,175 |
| Pittsburgh Water & Sewer Authority First Lien RB Refunding Series 2017 C (AGM) (AA/A2)(b) |
| (1 Mo. LIBOR + 0.64%, 12.00% Cap), |
|
|
|
10,000,000 |
|
|
|
2.028 |
|
|
12/01/2020 |
|
10,016,700 |
| Scranton School District GO Refunding Bonds Series 2017 A (ST AID WITHHLDG) (A+/A2) |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
06/01/2019 |
|
512,320 |
|
|
|
645,000 |
|
|
|
5.000 |
|
|
06/01/2020 |
|
676,005 |
|
|
|
680,000 |
|
|
|
5.000 |
|
|
06/01/2021 |
|
721,915 |
| Westmoreland County Municipal Authority RB Series 2013 (A+/A1)(a) |
|
|
|
1,965,000 |
|
|
|
5.000 |
|
|
08/15/2023 |
|
2,240,041 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
227,202,629 |
| |
| Puerto Rico – 1.4% |
| Puerto Rico Commonwealth Aqueduct & Sewer Authority RB Senior Lien Series 2012 A (CC/Ca) |
|
|
|
7,285,000 |
|
|
|
5.000 |
|
|
07/01/2019 |
|
6,101,188 |
| Puerto Rico Commonwealth Public Improvement GO Refunding Bonds Series 2002 A (FGIC) (D/WR)(h) |
|
|
|
772,500 |
|
|
|
5.500 |
|
|
07/01/2017 |
|
631,519 |
| Puerto Rico Electric Power Authority RB Refunding Series 2007 UU (AGM) (AA/A2)(d) |
| (3 Mo. LIBOR + 0.52%), |
|
|
|
46,695,000 |
|
|
|
2.069 |
|
|
07/01/2029 |
|
40,858,125 |
| Puerto Rico Electric Power Authority RB Refunding Series 2007 UU
(D/Ca)(d)(h) |
| (3 Mo. LIBOR + 0.70%), |
|
|
|
25,850,000 |
|
|
|
2.249 |
|
|
07/01/2031 |
|
11,277,062 |
| Puerto Rico Public Buildings Authority RB Refunding for Government Facilities Series 2002 C (COMWLTH GTD)
(CC/WR) |
|
|
|
654,385 |
|
|
|
5.500 |
|
|
07/01/2016 |
|
283,840 |
| Puerto Rico Public Buildings Authority RB Refunding for Government Facilities Series 2007 M-2 (AMBAC) (COMWLTH
GTD) (NR/Ca)(c) |
|
|
|
1,000,000 |
|
|
|
10.000 |
|
|
07/01/2035 |
|
1,058,800 |
| Puerto Rico Public Buildings Authority RB Refunding for Government Facilities Series 2007 M-2 (COMWLTH GTD)
(NR/Ca)(b)(h) |
|
|
|
10,835,000 |
|
|
|
10.000 |
|
|
07/01/2034 |
|
4,713,225 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB First Subseries 2009 A (D/Ca)(h) |
|
|
|
19,315,000 |
|
|
|
5.500 |
|
|
08/01/2023 |
|
8,643,462 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
73,567,221 |
| |
| Rhode Island – 0.3% |
| Providence GO Bonds Series 2013 A (A-/Baa1) |
|
|
|
1,545,000 |
|
|
|
5.000 |
|
|
01/15/2019 |
|
1,570,786 |
| |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Rhode Island – (continued) |
| Providence Public Building Authority RB for Capital Improvement Program Project Series 2017 A
(BBB-/Baa2) |
| $ |
|
|
150,000 |
|
|
|
3.000 |
% |
|
09/15/2018 |
|
$ 150,303 |
|
|
|
250,000 |
|
|
|
4.000 |
|
|
09/15/2019 |
|
255,385 |
|
|
|
200,000 |
|
|
|
5.000 |
|
|
09/15/2020 |
|
212,488 |
|
|
|
1,210,000 |
|
|
|
5.000 |
|
|
09/15/2021 |
|
1,310,188 |
| Rhode Island Health and Educational Building Corp. Higher Education Facility RB Refunding for Brown University
Issue Series 2012 (AA+/Aa1) |
|
|
|
4,770,000 |
|
|
|
5.000 |
|
|
09/01/2021 |
|
5,219,954 |
| Rhode Island Health and Educational Building Corp. Higher Education Facility RB Refunding for University of Rhode
Island Auxiliary Enterprise Series 2013 C (A+/A1) |
|
|
|
500,000 |
|
|
|
4.000 |
|
|
09/15/2018 |
|
502,495 |
| Rhode Island Health and Educational Building Corp. RB for Woonsocket Public School Financing Program Series 2017
A (MUN GOVT GTD) (NR/Aa3) |
|
|
|
815,000 |
|
|
|
4.000 |
|
|
05/15/2020 |
|
841,822 |
|
|
|
820,000 |
|
|
|
5.000 |
|
|
05/15/2021 |
|
877,523 |
|
|
|
1,415,000 |
|
|
|
5.000 |
|
|
05/15/2022 |
|
1,542,378 |
| Tobacco Settlement Financing Corp. RB Asset-Backed Bonds Series 2015 B (BBB+/NR) |
|
|
|
5,605,000 |
|
|
|
2.250 |
|
|
06/01/2041 |
|
5,605,112 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,088,434 |
| |
| South Carolina – 0.6% |
| City of Florence Waterworks & Sewerage System RB Refunding Series 2016 (AA-/Aa2) |
|
|
|
1,560,000 |
|
|
|
2.000 |
|
|
09/01/2020 |
|
1,561,295 |
|
|
|
1,000,000 |
|
|
|
2.000 |
|
|
09/01/2021 |
|
996,030 |
| Colleton County South Carolina GO Bonds for Capital Project Sales Series 2015 (AA-/Aa3) |
|
|
|
725,000 |
|
|
|
1.500 |
|
|
07/01/2018 |
|
725,000 |
|
|
|
2,985,000 |
|
|
|
2.000 |
|
|
07/01/2019 |
|
2,998,194 |
| County of Charleston GO Refunding Bonds for Transportation Sales Tax Series 2013 (AAA/Aaa) |
|
|
|
10,005,000 |
|
|
|
5.000 |
|
|
11/01/2021 |
|
11,020,708 |
| Richland County South Carolina School District No. 1 GO Refunding Bonds Series 2014 B (SCSDE)
(AA/Aa1) |
|
|
|
3,165,000 |
|
|
|
5.000 |
|
|
03/01/2020 |
|
3,337,429 |
| Richland County South Carolina School District No. 2 GO Bonds Series 2017 A (SCSDE) (AA/Aa1) |
|
|
|
1,765,000 |
|
|
|
5.000 |
|
|
03/01/2019 |
|
1,805,683 |
| South Carolina Public Service Authority RB Tax-Exempt Series 2010 C (A+/A1) |
|
|
|
9,645,000 |
|
|
|
5.000 |
|
|
12/01/2019 |
|
10,068,801 |
| South Carolina Public Service Authority RB Tax-Exempt Series 2014 A (A+/A1)(a)(c) |
|
|
|
1,000,000 |
|
|
|
2.500 |
|
|
06/01/2019 |
|
1,010,680 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33,523,820 |
| |
| South Dakota – 0.1% |
| Rapid City Area School District No. 51-4 Limited Tax Capital Outlay GO Refunding Bonds Series 2017 B (ST AID
WITHHLDG) (AA+/NR) |
|
|
|
1,000,000 |
|
|
|
4.000 |
|
|
01/01/2020 |
|
1,032,900 |
|
|
|
1,055,000 |
|
|
|
5.000 |
|
|
01/01/2021 |
|
1,130,042 |
|
|
|
570,000 |
|
|
|
5.000 |
|
|
01/01/2022 |
|
624,002 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,786,944 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Tennessee – 0.8% |
| City of Murfreesboro GO Bonds Series 2018 (AA/Aa1) |
| $ |
|
|
2,720,000 |
|
|
|
5.000 |
% |
|
06/01/2021 |
|
$ 2,962,515 |
|
|
|
2,400,000 |
|
|
|
5.000 |
|
|
06/01/2022 |
|
2,676,240 |
| County of Rutherford GO School Bonds Series 2017 (AA+/Aa1) |
|
|
|
2,420,000 |
|
|
|
5.000 |
|
|
04/01/2021 |
|
2,625,724 |
| County of Williamson District GO Public Improvement & School Bonds Series 2017 (NR/Aaa) |
|
|
|
1,700,000 |
|
|
|
5.000 |
|
|
04/01/2022 |
|
1,890,859 |
| County of Williamson District School GO Bonds Series 2017 (NR/Aaa) |
|
|
|
1,450,000 |
|
|
|
5.000 |
|
|
04/01/2022 |
|
1,612,791 |
| Greeneville Health & Educational Facilities Board RB for Ballad Health Obligated Group Series 2018 A
(A-/Baa1) |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
07/01/2019 |
|
2,063,000 |
|
|
|
2,500,000 |
|
|
|
5.000 |
|
|
07/01/2020 |
|
2,645,925 |
|
|
|
3,500,000 |
|
|
|
5.000 |
|
|
07/01/2021 |
|
3,784,620 |
| Hamilton County GO Bonds Series 2018 A (AAA/Aaa) |
|
|
|
6,185,000 |
|
|
|
5.000 |
|
|
04/01/2020 |
|
6,541,875 |
|
|
|
7,860,000 |
|
|
|
5.000 |
|
|
04/01/2022 |
|
8,742,442 |
| Knox County Health Educational & Housing Facilities Board RB for University Health System, Inc. Series 2017
(BBB/NR) |
|
|
|
335,000 |
|
|
|
4.000 |
|
|
04/01/2019 |
|
339,643 |
|
|
|
350,000 |
|
|
|
5.000 |
|
|
04/01/2020 |
|
365,873 |
|
|
|
750,000 |
|
|
|
4.000 |
|
|
04/01/2021 |
|
779,640 |
|
|
|
1,420,000 |
|
|
|
5.000 |
|
|
04/01/2022 |
|
1,540,785 |
| Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board RB for
Vanderbilt University Series 2009 B (AA+/Aa2)(a) |
|
|
|
4,000,000 |
|
|
|
5.500 |
|
|
10/01/2019 |
|
4,193,360 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
42,765,292 |
| |
| Texas – 9.6% |
| Alamo Community College District GO Refunding Bonds Series 2017 (AAA/Aaa) |
|
|
|
6,400,000 |
|
|
|
3.000 |
|
|
08/15/2022 |
|
6,649,024 |
| Austin Convention Enterprises, Inc. Convention Center Hotel Second Tier RB Refunding Series 2017 B
(BBB-/NR) |
|
|
|
600,000 |
|
|
|
5.000 |
|
|
01/01/2019 |
|
608,334 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
01/01/2020 |
|
523,035 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
01/01/2021 |
|
535,815 |
|
|
|
465,000 |
|
|
|
5.000 |
|
|
01/01/2022 |
|
508,236 |
|
|
|
750,000 |
|
|
|
5.000 |
|
|
01/01/2023 |
|
831,600 |
| Austin Texas Water and Wastewater System RB Refunding Series 2014 (AA/Aa2) |
|
|
|
1,675,000 |
|
|
|
5.000 |
|
|
11/15/2019 |
|
1,752,351 |
| Central Texas Regional Mobility Authority RB Refunding Senior Lien Series 2015 B (BBB+/Baa2)(b)(c) |
|
|
|
7,500,000 |
|
|
|
5.000 |
|
|
01/07/2021 |
|
7,903,050 |
| Central Texas Regional Mobility Authority RB Senior Lien Series 2011 (BBB+/Baa2)(a) |
|
|
|
5,455,000 |
|
|
|
6.000 |
|
|
01/01/2021 |
|
5,987,572 |
| City of Arlington for Permanent Improvement Bonds Series 2015 A (AAA/Aa1) |
|
|
|
1,075,000 |
|
|
|
2.500 |
|
|
08/15/2018 |
|
1,076,440 |
|
|
|
725,000 |
|
|
|
3.000 |
|
|
08/15/2019 |
|
736,745 |
| |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Texas – (continued) |
| City of Hackberry Special Assessment RB Refunding for Hackberry Public Improvement District No. 3 Phases No.
13-16 Project Series 2017 (NR/NR)(e) |
| $ |
|
|
80,000 |
|
|
|
0.000 |
% |
|
09/01/2018 |
|
$ 79,521 |
|
|
|
70,000 |
|
|
|
0.000 |
|
|
09/01/2019 |
|
67,022 |
|
|
|
70,000 |
|
|
|
0.000 |
|
|
09/01/2020 |
|
64,449 |
|
|
|
70,000 |
|
|
|
0.000 |
|
|
09/01/2021 |
|
61,801 |
|
|
|
70,000 |
|
|
|
0.000 |
|
|
09/01/2022 |
|
59,123 |
|
|
|
70,000 |
|
|
|
0.000 |
|
|
09/01/2023 |
|
56,456 |
| City of Hackberry Special Assessment RB Refunding for Hidden Cove Public Improvement District No. 2 Project
Series 2017 (BBB/NR) |
|
|
|
200,000 |
|
|
|
0.000 |
(e) |
|
09/01/2018 |
|
199,294 |
|
|
|
685,000 |
|
|
|
0.000 |
(e) |
|
09/01/2019 |
|
666,594 |
|
|
|
685,000 |
|
|
|
0.000 |
(e) |
|
09/01/2020 |
|
650,579 |
|
|
|
685,000 |
|
|
|
0.000 |
(e) |
|
09/01/2021 |
|
630,104 |
|
|
|
685,000 |
|
|
|
0.000 |
(e) |
|
09/01/2022 |
|
607,910 |
|
|
|
405,000 |
|
|
|
4.000 |
|
|
09/01/2023 |
|
429,592 |
| City of Lewisville Texas Combination Contract & Special Assessment RB Refunding for Lewisville Castle Hills
Public Improvement District No. 3 Project Series 2015 (AGM) (AA/NR) |
|
|
|
250,000 |
|
|
|
3.000 |
|
|
09/01/2018 |
|
250,535 |
|
|
|
375,000 |
|
|
|
3.000 |
|
|
09/01/2019 |
|
379,928 |
| City of San Antonio Water System Junior Lien RB Refunding Series 2014 B (AA/Aa2)(b)(c) |
|
|
|
6,475,000 |
|
|
|
2.000 |
|
|
11/01/2022 |
|
6,400,602 |
| Colorado River Municipal Water District RB Series 2011 (AA-/Aa3)(a) |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
01/01/2021 |
|
2,156,960 |
| Corpus Christi Independent School District GO Bonds for School Building Series 2017 A (PSF-GTD) (AAA/Aaa)(b)(c) |
|
|
|
5,500,000 |
|
|
|
2.000 |
|
|
08/15/2019 |
|
5,515,070 |
| Cypress-Fairbanks Independent School District GO Bonds for School Building Series 2017 A-3 (PSF-GTD) (AAA/Aaa)(b)(c) |
|
|
|
9,325,000 |
|
|
|
3.000 |
|
|
08/17/2020 |
|
9,521,571 |
| Dallas Area Rapid Transit Senior Lien RB Series 2009 A (AA+/Aa2)(a) |
|
|
|
7,660,000 |
|
|
|
5.000 |
|
|
06/01/2019 |
|
7,899,452 |
| Dallas County Community College District GO Refunding Bonds Series 2017 (AAA/Aaa) |
|
|
|
6,425,000 |
|
|
|
5.000 |
|
|
02/15/2019 |
|
6,565,193 |
| Dallas-Fort Worth International Airport Joint RB Refunding Series 2012 B (A+/A1) |
|
|
|
1,750,000 |
|
|
|
5.000 |
|
|
11/01/2018 |
|
1,770,247 |
| Fort Bend Independent School District GO Bonds for School Building RMKT 08/01/17 Series 2015 B (PSF-GTD) (AAA/NR)(b)(c) |
|
|
|
7,145,000 |
|
|
|
1.350 |
|
|
08/01/2019 |
|
7,114,562 |
| Fort Worth Texas GO Refunding and Improvement Bonds Series 2012 (AA+/Aa3) |
|
|
|
2,000,000 |
|
|
|
4.000 |
|
|
03/01/2019 |
|
2,031,940 |
| Garland Independent School District Unlimited Tax Refunding Bonds Series 2015 A (PSF-GTD)
(AAA/Aaa) |
|
|
|
4,710,000 |
|
|
|
3.000 |
|
|
02/15/2019 |
|
4,754,604 |
| Gulf Coast IDA RB for Exxon Mobil Project Series 2012 (AA+/Aaa)(b)(c) |
|
|
|
9,895,000 |
|
|
|
1.450 |
|
|
07/04/2018 |
|
9,895,000 |
| Harris County Cultural Education Facilities Finance Corp. RB Refunding for Memorial Hermann Health System Series
2013 B (A+/A1)(d) |
| (SIFMA Municipal Swap Index Yield + 1.05%, 18.00% Cap), |
|
|
|
5,685,000 |
|
|
|
2.560 |
|
|
06/01/2024 |
|
5,814,504 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Texas – (continued) |
| Harris County Toll Road RB Refunding Senior Lien Series 2007 B (AMBAC) (AA-/Aa2)(d) |
| (3 Mo. LIBOR + 0.67%), |
| $ |
|
|
21,945,000 |
|
|
|
2.240 |
% |
|
08/15/2035 |
|
$ 20,447,473 |
| Hickory Creek Texas Special Assessment RB for Public Improvement District No. 1 Series 2017
(BBB-/NR) |
|
|
|
80,000 |
|
|
|
3.000 |
|
|
09/01/2018 |
|
80,152 |
|
|
|
85,000 |
|
|
|
3.000 |
|
|
09/01/2019 |
|
85,960 |
|
|
|
85,000 |
|
|
|
3.000 |
|
|
09/01/2020 |
|
86,697 |
|
|
|
90,000 |
|
|
|
3.000 |
|
|
09/01/2021 |
|
91,881 |
|
|
|
90,000 |
|
|
|
3.000 |
|
|
09/01/2022 |
|
91,731 |
|
|
|
95,000 |
|
|
|
3.000 |
|
|
09/01/2023 |
|
96,362 |
| Houston Airport System RB Subordinate Lien Series 2002 C (AMT) (XLCA) (A+/A1)(c) |
|
|
|
14,550,000 |
|
|
|
4.180 |
|
|
07/01/2032 |
|
14,550,000 |
| Houston Independent School District Limited Tax GO Refunding Bonds RMKT 01/06/17 Series 2017 (PSF-GTD) (AAA/Aaa)(b)(c) |
|
|
|
10,420,000 |
|
|
|
1.450 |
|
|
06/01/2020 |
|
10,351,749 |
| Houston Independent School District Limited Tax GO Refunding Bonds Series 2017 (PSF-GTD)
(AAA/Aaa) |
|
|
|
16,990,000 |
|
|
|
3.000 |
|
|
02/15/2021 |
|
17,508,705 |
|
|
|
24,000,000 |
|
|
|
3.000 |
|
|
02/15/2022 |
|
24,892,560 |
| Houston Independent School District Limited Tax Schoolhouse GO Bonds RMKT 06/01/17 Series 2017 A-2 (PSF-GTD)
(AAA/Aaa)(b)(c) |
|
|
|
10,000,000 |
|
|
|
3.000 |
|
|
06/01/2019 |
|
10,112,400 |
| Houston Independent School District Limited Tax Schoolhouse GO Bonds RMKT 06/01/17 Series 2017 B (PSF-GTD)
(AAA/Aaa)(b)(c) |
|
|
|
15,000,000 |
|
|
|
1.450 |
|
|
06/01/2020 |
|
14,901,750 |
| Houston Independent School District Limited Tax Schoolhouse GO Bonds Series 2013 B (PSF-GTD) (AAA/Aaa)(b) |
|
|
|
4,935,000 |
|
|
|
2.400 |
|
|
06/01/2021 |
|
4,973,789 |
| Houston Independent School District Limited Tax Schoolhouse GO Bonds Series 2014 A-1B (PSF-GTD) (AAA/Aaa)(b) |
|
|
|
4,520,000 |
|
|
|
2.200 |
|
|
06/01/2020 |
|
4,543,594 |
| Kaufman County Fresh Water Supply District No. 1 Refunding for Road Series 2016 C (AGM)
(AA/NR) |
|
|
|
370,000 |
|
|
|
3.000 |
|
|
09/01/2019 |
|
374,862 |
|
|
|
390,000 |
|
|
|
3.000 |
|
|
09/01/2020 |
|
395,222 |
|
|
|
310,000 |
|
|
|
3.000 |
|
|
09/01/2021 |
|
314,014 |
|
|
|
330,000 |
|
|
|
3.000 |
|
|
09/01/2022 |
|
335,561 |
| Leander Independent School District Unlimited Tax GO Refunding Bonds Series 2015 A (PSF-GTD) (AAA/NR)(e) |
|
|
|
2,000,000 |
|
|
|
0.000 |
|
|
08/15/2019 |
|
1,963,860 |
|
|
|
1,500,000 |
|
|
|
0.000 |
|
|
08/15/2020 |
|
1,441,140 |
| Leander Independent School District Unlimited Tax GO Refunding Bonds Series 2016 (PSF-GTD) (AAA/NR)(e) |
|
|
|
2,500,000 |
|
|
|
0.000 |
|
|
08/16/2020 |
|
2,400,850 |
|
|
|
5,000,000 |
|
|
|
0.000 |
|
|
08/16/2021 |
|
4,677,550 |
| Lower Neches Valley Authority Industrial Development Corp. RB for Exxon Capital Ventures, Inc. Project Series
2012 (AA+/Aaa)(b)(c) |
|
|
|
6,700,000 |
|
|
|
1.530 |
|
|
07/04/2018 |
|
6,700,000 |
| Mansfield Independent School District GO Bonds Series 2012 (PSF-GTD) (NR/Aaa)(b)(c) |
|
|
|
8,250,000 |
|
|
|
2.500 |
|
|
08/01/2021 |
|
8,357,663 |
| Mission Economic Development Corp. Solid Waste Disposal RB for Waste Management, Inc. Project RMKT 06/01/15
Series 2006 (A-/NR) |
|
|
|
5,000,000 |
|
|
|
1.800 |
|
|
12/01/2018 |
|
4,997,100 |
| |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Texas – (continued) |
| New Hope Cultural Education Facilities Finance Corp. Student Housing RB for Collegiate Housing Island Campus
Project Series 2017 A (BBB-/Baa3) |
| $ |
|
|
500,000 |
|
|
|
4.000 |
% |
|
04/01/2019 |
|
$ 507,155 |
|
|
|
770,000 |
|
|
|
4.000 |
|
|
04/01/2020 |
|
792,900 |
|
|
|
810,000 |
|
|
|
4.000 |
|
|
04/01/2021 |
|
843,105 |
|
|
|
855,000 |
|
|
|
4.000 |
|
|
04/01/2022 |
|
897,416 |
| New Hope Cultural Education Facilities Finance Corp. Student Housing RB for Station I, LLC - Texas A&M
University Collegiate Housing Project Series 2014 A (AGM) (AA/A2) |
|
|
|
170,000 |
|
|
|
4.000 |
|
|
04/01/2020 |
|
174,939 |
|
|
|
400,000 |
|
|
|
4.000 |
|
|
04/01/2021 |
|
415,160 |
| New Hope Cultural Education Facilities Finance Corp. Student Housing RB for Station II, LLC - Texas A&M
University Collegiate Housing Corpus Christi Project Series 2016 A (BBB-/Ba2) |
|
|
|
145,000 |
|
|
|
4.000 |
|
|
04/01/2019 |
|
146,536 |
|
|
|
300,000 |
|
|
|
4.000 |
|
|
04/01/2020 |
|
306,696 |
|
|
|
620,000 |
|
|
|
4.000 |
|
|
04/01/2021 |
|
640,162 |
| North East Independent School District Unlimited Tax GO Refunding Bonds Series 2017 (PSF-GTD) (AAA/Aaa)(b)(c) |
|
|
|
5,000,000 |
|
|
|
2.375 |
|
|
08/01/2022 |
|
5,026,100 |
| North Texas Tollway Authority RB Refunding First Tier Series 2010
(A/A1)(a) |
|
|
|
5,000,000 |
|
|
|
6.000 |
|
|
01/01/2021 |
|
5,507,400 |
| North Texas Tollway Authority RB Refunding for First Tier Series 2012 C (A/A1)(b)(c) |
|
|
|
18,000,000 |
|
|
|
1.950 |
|
|
01/01/2019 |
|
17,995,680 |
| North Texas Tollway Authority RB Refunding for First Tier Series 2017 A (A/A1) |
|
|
|
3,250,000 |
|
|
|
5.000 |
|
|
01/01/2021 |
|
3,493,490 |
|
|
|
4,525,000 |
|
|
|
5.000 |
|
|
01/01/2022 |
|
4,974,559 |
| North Texas Tollway Authority RB Refunding for Second Tier Series 2017 B (A-/A2) |
|
|
|
3,630,000 |
|
|
|
5.000 |
|
|
01/01/2023 |
|
4,059,393 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
01/01/2024 |
|
1,114,210 |
| North Texas Tollway Authority RB Special Project System Series 2011 A (AA/NR)(a) |
|
|
|
16,800,000 |
|
|
|
5.500 |
|
|
09/01/2021 |
|
18,592,056 |
| North Texas Tollway Authority System RB Refunding First Tier Series 2011 B (A/A1) |
|
|
|
3,000,000 |
|
|
|
5.000 |
|
|
01/01/2019 |
|
3,052,140 |
| North Texas Tollway Authority System RB Refunding First Tier Series 2014 A (A/A1) |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
01/01/2020 |
|
2,097,580 |
| North Texas Tollway Authority System RB Refunding First Tier Series 2014 C (A/A1)(b) |
| (SIFMA Municipal Swap Index Yield + 0.67%, 9.00% Cap), |
|
|
|
5,000,000 |
|
|
|
2.180 |
|
|
01/01/2020 |
|
5,005,450 |
| North Texas Tollway Authority System RB Refunding for Second Tier Series 2015 A (A-/A2) |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
01/01/2019 |
|
1,017,380 |
| Northside Texas Independent School District GO Refunding Bonds Series 2018 (PSF-GTD)
(AAA/Aaa) |
|
|
|
10,820,000 |
|
|
|
5.000 |
|
|
08/15/2019 |
|
11,232,675 |
| Northside Texas Independent School District Unlimited Tax School Building GO Bonds Series 2017 (PSF-GTD)
(AAA/Aaa)(b)(c) |
|
|
|
15,000,000 |
|
|
|
1.450 |
|
|
06/01/2020 |
|
14,873,850 |
| Plano Independent School District Unlimited Tax Refunding Bonds Series 2016 B (PSF-GTD)
(AAA/Aaa) |
|
|
|
10,580,000 |
|
|
|
5.000 |
|
|
02/15/2020 |
|
11,141,163 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Texas – (continued) |
| Round Rock Independent School District Unlimited Tax GO Bonds for School Building RMKT 08/01/16 Series 2015
(PSF-GTD) (AAA/Aaa)(b)(c) |
| $ |
|
|
19,575,000 |
|
|
|
1.500 |
% |
|
08/01/2021 |
|
$ 19,197,986 |
| Round Rock Independent School District Unlimited Tax GO Refunding Bonds Series 2017
(AAA/Aaa) |
|
|
|
4,595,000 |
|
|
|
4.000 |
|
|
08/01/2019 |
|
4,712,310 |
|
|
|
1,900,000 |
|
|
|
5.000 |
|
|
08/01/2020 |
|
2,025,837 |
| Sam Rayburn Municipal Power Agency RB Refunding Series 2012 (BBB+/NR) |
|
|
|
2,315,000 |
|
|
|
5.000 |
|
|
10/01/2019 |
|
2,396,372 |
| San Antonio Electric and Gas Systems Junior Lien RB Refunding Series 2012 A (AA-/NR)(b)(c) |
|
|
|
5,000,000 |
|
|
|
2.000 |
|
|
12/01/2018 |
|
5,006,900 |
| San Antonio Electric and Gas Systems Junior Lien RB Refunding Series 2015 B (AA-/Aa2)(b)(c) |
|
|
|
8,000,000 |
|
|
|
2.000 |
|
|
12/01/2021 |
|
7,971,120 |
| Spring Branch Independent School District Schoolhouse GO Bonds RMKT 06/15/17 Series 2013 (PSF-GTD) (AAA/Aaa)(b)(c) |
|
|
|
22,095,000 |
|
|
|
3.000 |
|
|
06/18/2019 |
|
22,356,163 |
| Tarrant Regional Water District RB Refunding for Water Control & Improvement District Series 2015
(AAA/NR) |
|
|
|
6,000,000 |
|
|
|
5.000 |
|
|
03/01/2021 |
|
6,485,160 |
| Texas Municipal Gas Acquisition & Supply Corp. II RB Series 2007 B (A-/A3)(d) |
| (SIFMA Municipal Swap Index Yield + 0.55%), |
|
|
|
11,955,000 |
|
|
|
2.060 |
|
|
09/15/2027 |
|
11,819,191 |
| Texas Municipal Gas Acquisition & Supply Corp. III RB Series 2012 D (BBB/A3) |
|
|
|
4,500,000 |
|
|
|
5.000 |
|
|
12/15/2018 |
|
4,565,835 |
| Texas Private Activity Bond Surface Transportation Corp. RB Senior Lien for Mobility Partners LLC Series 2009
(BBB-/Baa2) |
|
|
|
7,800,000 |
|
|
|
6.875 |
|
|
12/31/2039 |
|
8,293,974 |
| Texas Transportation Commission Central Turnpike System RB Refunding Series 2015 A (A-/A3)(b)(c) |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
04/01/2020 |
|
5,250,450 |
| Texas Transportation Commission Highway Improvement GO Bonds Series 2014 (AAA/Aaa) |
|
|
|
2,500,000 |
|
|
|
5.000 |
|
|
04/01/2021 |
|
2,710,425 |
| Texas Transportation Commission Highway Improvement GO Bonds Series 2016 (AAA/Aaa) |
|
|
|
6,925,000 |
|
|
|
5.000 |
|
|
04/01/2022 |
|
7,681,279 |
| Texas University System Financing RB Refunding Series 2017 A (AA/Aa2) |
|
|
|
1,800,000 |
|
|
|
5.000 |
|
|
03/15/2020 |
|
1,901,574 |
|
|
|
1,800,000 |
|
|
|
5.000 |
|
|
03/15/2021 |
|
1,946,628 |
| Texas Water Development Board RB for Water Implementation Series 2018 A (AAA/NR) |
|
|
|
10,000,000 |
|
|
|
5.000 |
|
|
04/15/2019 |
|
10,273,700 |
| University Houston Consolidated RB Refunding Series 2017 C (AA/Aa2) |
|
|
|
6,355,000 |
|
|
|
5.000 |
|
|
02/15/2022 |
|
7,016,873 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
501,046,412 |
| |
| Utah – 0.8% |
| Board of Education of Alpine School District GO Refunding Bonds for Utah SCH BD GTY Program Series 2017 (SCH BD
GTY) (AAA/Aaa) |
|
|
|
7,800,000 |
|
|
|
5.000 |
|
|
03/15/2021 |
|
8,459,022 |
|
|
|
8,000,000 |
|
|
|
5.000 |
|
|
03/15/2022 |
|
8,887,920 |
| |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Utah – (continued) |
| State of Utah GO Refunding Bonds Series 2015 (AAA/Aaa) |
| $ |
|
|
19,000,000 |
|
|
|
5.000 |
% |
|
07/01/2019 |
|
$ 19,653,980 |
| Utah Associated Municipal Power Systems RB for Horse Butte Wind Project Series 2012 A (A/NR) |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
09/01/2018 |
|
502,770 |
|
|
|
500,000 |
|
|
|
5.000 |
|
|
09/01/2019 |
|
518,705 |
| Washington County School District GO Refunding Bonds for Utah School Bond Guaranty Program Series 2016 (SCH BD
GTY) (AAA/Aaa) |
|
|
|
3,470,000 |
|
|
|
5.000 |
|
|
03/01/2019 |
|
3,550,678 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
41,573,075 |
| |
| Vermont – 0.0% |
| Vermont Educational & Health Buildings Financing Agency RB Refunding for The University of Vermont Medical
Center Project Series 2016 A (A/A2) |
|
|
|
450,000 |
|
|
|
4.000 |
|
|
12/01/2019 |
|
463,981 |
|
|
|
400,000 |
|
|
|
4.000 |
|
|
12/01/2020 |
|
419,508 |
|
|
|
350,000 |
|
|
|
5.000 |
|
|
12/01/2021 |
|
383,478 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,266,967 |
| |
| Virgin Islands – 0.1% |
| Virgin Islands Public Finance Authority Grant Anticipation RB for Federal Highway Grant Anticipation Revenue Loan
Note Series 2015 (A/NR)(g) |
|
|
|
250,000 |
|
|
|
5.000 |
|
|
09/01/2018 |
|
250,990 |
|
|
|
645,000 |
|
|
|
5.000 |
|
|
09/01/2019 |
|
661,822 |
|
|
|
825,000 |
|
|
|
5.000 |
|
|
09/01/2020 |
|
861,184 |
|
|
|
2,015,000 |
|
|
|
5.000 |
|
|
09/01/2021 |
|
2,129,976 |
| Virgin Islands Public Finance Authority RB Refunding for Virgin Islands Gross Receipts Taxes Loan Note Series
2012 A (B/NR) |
|
|
|
2,085,000 |
|
|
|
4.000 |
|
|
10/01/2022 |
|
2,025,056 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,929,028 |
| |
| Virginia – 1.9% |
| City of Alexandria GO Refunding Bonds Series 2017 D (ST AID WITHHLDG) (AAA/Aaa) |
|
|
|
355,000 |
|
|
|
5.000 |
|
|
07/01/2022 |
|
397,430 |
| Fairfax County GO Bonds for Virginia Public Improvement Series 2018 A (ST AID WITHHLDG)
(AAA/Aaa) |
|
|
|
10,255,000 |
|
|
|
4.000 |
|
|
10/01/2021 |
|
10,959,313 |
| Fairfax County GO Refunding Bonds for Virginia Public Improvement Series 2016 A (ST AID WITHHLDG) (AAA/Aaa)(a) |
|
|
|
8,450,000 |
|
|
|
5.000 |
|
|
10/01/2021 |
|
9,267,368 |
| Louisa IDA Pollution Control RB Refunding for Virginia Electric & Power Company Project RMKT 12/01/16 Series
2008 C (BBB+/A2)(b)(c) |
|
|
|
8,000,000 |
|
|
|
1.850 |
|
|
05/16/2019 |
|
7,997,840 |
| Peninsula Ports Authority of Virginia Coal Terminal RB Refunding for Dominion Terminal Associates Project Series
2003 (BBB/NR)(b)(c) |
|
|
|
2,750,000 |
|
|
|
1.550 |
|
|
10/01/2019 |
|
2,742,905 |
| Virginia Commonwealth Transportation Board RB for Transportation Capital Project Series 2011 (ST APPROP)
(AA+/Aa1)(a) |
|
|
|
4,055,000 |
|
|
|
5.250 |
|
|
05/15/2021 |
|
4,441,685 |
| Virginia Commonwealth Transportation Board RB Refunding for Northern Virginia Transportation District Program
Series 2014 A (AA+/Aa1) |
|
|
|
8,375,000 |
|
|
|
5.000 |
|
|
05/15/2019 |
|
8,627,087 |
| Virginia Commonwealth Transportation Board RB Refunding for U.S. Route 58 Corridor Development Program Series
2014 B (AA+/Aa1) |
|
|
|
20,650,000 |
|
|
|
5.000 |
|
|
05/15/2019 |
|
21,271,565 |
|
|
|
11,680,000 |
|
|
|
5.000 |
|
|
05/15/2020 |
|
12,396,101 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Virginia – (continued) |
| Virginia Commonwealth Transportation Board RB Refunding for U.S. Route 58 Corridor Development Program Series
2016 C (AA+/Aa1) |
| $ |
|
|
2,285,000 |
|
|
|
5.000 |
% |
|
05/15/2023 |
|
$ 2,593,384 |
| Virginia Electric and Power Company Industrial Development Authority of Wise County RB for Solid Waste and Sewage
Disposal RMKT 08/13/15 Series 2009 A (BBB+/A2)(b)(c) |
|
|
|
6,000,000 |
|
|
|
2.150 |
|
|
09/01/2020 |
|
5,997,420 |
| Virginia Electric and Power Company Industrial Development Authority of Wise County RB for Solid Waste and Sewage
Disposal RMKT 11/02/15 Series 2010 A (BBB+/A2)(b)(c) |
|
|
|
4,500,000 |
|
|
|
1.875 |
|
|
06/01/2020 |
|
4,475,250 |
| Virginia State Public Building Authority RB for Public Facilities Series 2011 A (AA+/Aa1)(a) |
|
|
|
5,375,000 |
|
|
|
5.000 |
|
|
08/01/2021 |
|
5,880,895 |
| York County Economic Development Authority Electricity and Power RB Refunding Series 2009 A (BBB+/A2)(b)(c) |
|
|
|
2,000,000 |
|
|
|
1.875 |
|
|
05/16/2019 |
|
1,999,900 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
99,048,143 |
| |
| Washington – 0.6% |
| County of King GO Bonds Series 2017 B (AAA/Aaa) |
|
|
|
1,750,000 |
|
|
|
5.000 |
|
|
06/01/2019 |
|
1,805,353 |
| King County School District No. 405 GO Bonds Series 2011 (SCH BD GTY) (AA+/Aaa)(a) |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
06/01/2021 |
|
5,447,250 |
| Port of Seattle Intermediate Lien RB Series 2017 D (AMT) (A+/A1) |
|
|
|
2,000,000 |
|
|
|
5.000 |
|
|
05/01/2019 |
|
2,053,300 |
| State of Washington GO Bonds Various Purpose Series 2011 B (AA+/Aa1)(a) |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
02/01/2021 |
|
5,402,500 |
| Washington State COPS for State and Local Agency Real and Personal Property Series 2014 B
(NR/Aa2) |
|
|
|
3,020,000 |
|
|
|
5.000 |
|
|
07/01/2019 |
|
3,120,898 |
| Washington State COPS for State and Local Agency Real and Personal Property Series 2015 B
(NR/Aa2) |
|
|
|
5,745,000 |
|
|
|
5.000 |
|
|
01/01/2020 |
|
6,023,575 |
| Washington State COPS Refunding for State and Local Agency Real and Personal Property Series 2016 A
(NR/Aa2) |
|
|
|
6,420,000 |
|
|
|
5.000 |
|
|
07/01/2020 |
|
6,824,588 |
| Washington State Motor Vehicle Fuel Tax GO Refunding Bonds Series 2015 R-D (AA+/Aa1) |
|
|
|
1,700,000 |
|
|
|
5.000 |
|
|
07/01/2019 |
|
1,757,817 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,435,281 |
| |
| West Virginia – 0.2% |
| Mason County Pollution Control RB for Appalachian Power Co. Project Series 2003 L (A-/Baa1)(b)(c) |
|
|
|
3,000,000 |
|
|
|
1.625 |
|
|
10/01/2018 |
|
2,996,190 |
| Princeton West Virginia Hospitals RB Refunding Princeton Community Hospital Project Series 2012 A
(BBB+/NR) |
|
|
|
1,565,000 |
|
|
|
5.000 |
|
|
05/01/2019 |
|
1,600,181 |
| West Virginia Economic Development Authority RB for Appalachian Power Co. Project Series 2009 A (A-/NR)(b)(c) |
|
|
|
2,900,000 |
|
|
|
2.625 |
|
|
06/01/2022 |
|
2,901,044 |
| West Virginia Economic Development Authority Solid Waste Disposal Facilities RB Refunding for Appalachian Power
Co. - Amos Project Series 2011 A (AMT) (A-/Baa1)(b)(c) |
|
|
|
2,375,000 |
|
|
|
1.700 |
|
|
09/01/2020 |
|
2,343,128 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,840,543 |
| |
| Wisconsin – 1.0% |
| Wisconsin State GO Bonds Series 2014 B (AA/Aa1) |
|
|
|
2,575,000 |
|
|
|
5.000 |
|
|
05/01/2021 |
|
2,801,110 |
| |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Bonds – (continued) |
| Wisconsin – (continued) |
| Wisconsin State GO Bonds Series 2018 A (AA/Aa1) |
| $ |
|
|
16,090,000 |
|
|
|
5.000 |
% |
|
05/01/2021 |
|
$ 17,502,863 |
|
|
|
16,555,000 |
|
|
|
5.000 |
|
|
05/01/2022 |
|
18,447,071 |
|
|
|
9,495,000 |
|
|
|
5.000 |
|
|
05/01/2023 |
|
10,790,023 |
| Wisconsin State Health & Educational Facilities Authority RB for Saint John’s Communities, Inc.
Project Series 2009 A (AAA/NR)(a) |
|
|
|
3,425,000 |
|
|
|
7.625 |
|
|
09/15/2019 |
|
3,667,045 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
53,208,112 |
| |
| TOTAL INVESTMENTS – 98.1% (Cost $5,128,592,948) |
|
$5,125,199,271 |
| |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 1.9% |
|
100,999,798 |
| |
| NET ASSETS – 100.0% |
|
$5,226,199,069 |
| |
|
|
|
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
|
|
| (a) |
|
Pre-refunded security. Maturity date disclosed is pre-refunding date. |
|
|
| (b) |
|
Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect on June
30, 2018. |
|
|
| (c) |
|
Variable Rate Demand Instruments – rate shown is that which is in effect on June 30, 2018. Certain variable rate securities are not based on a published reference rate and
spread but are determined by the issuer or agent and are based on current market conditions. |
|
|
| (d) |
|
Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed
is that which is in effect on June 30, 2018. |
|
|
| (e) |
|
Issued with a zero coupon. Income is recognized through the accretion of discount. |
|
|
| (f) |
|
When-issued security. |
|
|
| (g) |
|
Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed 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 $44,775,816, which represents approximately 0.9% of net assets as
of June 30, 2018. The liquidity determination is unaudited. |
|
|
| (h) |
|
Security is currently in default. |
|
| Security ratings disclosed, if any, are issued by either Standard & Poor’s, Moody’s Investor Service or Fitch and are unaudited. A brief description of the
ratings is available in the Fund’s Statement of Additional Information. |
|
|
|
| |
| Investment Abbreviations: |
| AGM |
|
— Insured by Assured Guaranty Municipal
Corp. |
| AMBAC |
|
— Insured by American Municipal Bond
Assurance Corp. |
| AMT |
|
— Alternative Minimum Tax |
| BAM |
|
— Build America Mutual Assurance Co. |
| BHAC-CR |
|
— Insured by Berkshire Hathaway Assurance
Corp. - Insured Custodial Receipts |
| COMWLTH GTD |
|
— Commonwealth Guaranteed |
| COPS |
|
— Certificates of Participation |
| ETM |
|
— Escrowed to Maturity |
| FGIC |
|
— Insured by Financial Guaranty
Insurance Co. |
| GO |
|
— General Obligation |
| IDA |
|
— Industrial Development Authority |
| LIBOR |
|
— London Interbank Offered Rate |
| Mo. |
|
— Month |
| MUN GOVT GTD |
|
— Municipal Government Guaranteed |
| NATL-RE |
|
— Insured by National Public Finance
Guarantee Corp. |
| NATL-RE-IBC |
|
— Insured by National Public Finance
Guarantee Corp. - Insured Bond
Certificates |
| NR |
|
— Not Rated |
| PCRB |
|
— Pollution Control Revenue Bond |
| PILOT |
|
— Payment in Lieu of Taxes |
| PSF-GTD |
|
— Guaranteed by Permanent School Fund |
| Q-SBLF |
|
— Qualified School Board Loan Fund |
| RB |
|
— Revenue Bond |
| RMKT |
|
— Remarketed |
| SCH BD GTY |
|
— School Bond Guaranty |
| SCH BD RES FD |
|
— School Bond Reserve Fund |
| SCSDE |
|
— South Carolina State Department of
Education |
| SD CRED PROG |
|
— School District Credit Program |
| SIFMA |
|
— The Securities Industry and Financial
Markets Association |
| ST AID WITHHLDG |
|
— State Aid Withholding |
| ST APPROP |
|
— State Appropriation |
| U.S. |
|
— United States |
| USD |
|
— United States Dollar |
| WR |
|
— Withdrawn Rating |
| XLCA |
|
— Insured by XL Capital Assurance, Inc. |
| |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION
SWAP CONTRACTS — At June 30, 2018, the Fund has the following swap contracts:
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference
Obligation/Index(a) |
|
Financing Rate
Received (Paid) by the Fund |
|
|
Credit Spread at June 30,
2018(b) |
|
|
Counterparty |
|
|
Termination
Date |
|
|
Notional
Amount
(000’s) |
|
|
Value |
|
|
Upfront
Premium
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Protection Sold: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| California State Various Purpose GO Bonds, Series 2003, 5.000%, 11/01/2023 |
|
|
1.000% |
|
|
|
0.261% |
|
|
|
Bank of
America NA |
|
|
|
03/20/2023 |
|
|
USD |
5,000 |
|
|
$ |
163,566 |
|
|
$ |
(117,111 |
) |
|
$ |
280,677 |
|
| California State Various Purpose GO Bonds, Series 2003, 5.250%, 02/01/2018 |
|
|
1.000 |
|
|
|
0.261 |
|
|
|
JPMorgan
Chase Bank NA |
|
|
|
03/20/2023 |
|
|
|
10,000 |
|
|
|
327,132 |
|
|
|
(234,223 |
) |
|
|
561,355 |
|
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
490,698 |
|
|
$ |
(351,334 |
) |
|
$ |
842,032 |
|
| |
|
| (a) |
|
Payments received quarterly. |
| (b) |
|
Credit spread on the referenced obligation, together with the period of expiration, are indicators of payment/performance risk. The likelihood of a credit event
occurring which would require a fund or its counterparty to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and term of the swap contract increase. |
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS
Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
Investments and Fair Value Measurements — The accounting principles generally accepted in the United States of America (“GAAP”)
defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the
Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active
markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with
investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted
quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable
(including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including Goldman Sachs Asset Management, L.P. (“GSAM”)’s assumptions in determining fair value
measurement).
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance
with the Funds’ policy, transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the beginning of the reporting period.
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds,
including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’
investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences
are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation
techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Debt Securities — Debt securities for which market quotations are readily available are valued daily on the basis of quotations supplied by
dealers or an independent pricing service approved by the Trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such
as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. With the exception of treasury securities of G8 countries, which are generally classified as Level 1, these investments are
generally classified as Level 2 of the fair value hierarchy.
i. Inverse Floaters — The interest rate on inverse
floating rate securities (“inverse floaters”) resets in the opposite direction from the market rate of interest to which the inverse floaters are indexed. An inverse floater may be considered to be leveraged to the extent that its interest
rate varies by a magnitude that exceeds the magnitude of the change in the index rate of interest. The higher the degree of leverage of an inverse floater, the greater the volatility of its market value.
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
ii. When-Issued Securities and Forward Commitments — When-issued securities, including TBA (“To Be Announced”)
securities, are securities that are authorized but not yet issued in the market and purchased in order to secure what is considered to be an advantageous price or yield to a Fund. A forward commitment involves entering into a contract to purchase or
sell securities, typically on an extended settlement basis, for a fixed price at a future date. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines
before the settlement date. Conversely, the sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Although a Fund will generally purchase securities on a
when-issued or forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of when-issued securities or forward commitments prior to settlement, which may result in a realized gain or loss.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a
combination of these factors. A Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure
to other underliers.
Exchange-traded derivatives, including futures and options contracts, are valued at the last sale or
settlement price and typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to
models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the
contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit
curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model
selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or
security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for
short positions, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the
initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. For
financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received, if any, is reported separately on the Statement of Assets and Liabilities as receivables/payables for collateral on
certain derivative contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedule of Investments.
ii.
Swap Contracts — Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately
negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty
(“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and
the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases,
segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any,
is recorded as a receivable or payable for variation margin.
An interest rate swap is an agreement that
obligates two parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in interest rates on a specified notional principal amount. The payment flows are usually netted against each other,
with the difference being paid by one party to the other.
A credit default swap is an agreement that
involves one party (the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive protection on a reference security or obligation, including a group of assets or exposure to
the performance of an index. A Fund’s investment in credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to
pay, restructuring and obligation acceleration. If a Fund buys protection through a credit default swap and no credit event occurs, its payments are limited to the periodic payments previously made to the counterparty. Upon the occurrence of a
specified credit event, a Fund, as a buyer of credit protection, is entitled to receive an amount equal to the notional amount of the swap and deliver to the seller the defaulted reference obligation in a physically settled trade. A Fund may also
receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade.
As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there
is no credit event. In addition, if a Fund sells protection through a credit default swap, a Fund could suffer a loss because the value of the referenced obligation and the premium payments received may be less than the notional amount of the swap
paid to the buyer of protection. Upon the occurrence of a specified credit event, a Fund, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional
amount of the swap in a physically settled trade. A Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in 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, a Fund is entitled to a
return of any assets, which have been pledged as collateral to the counterparty upon settlement.
The maximum
potential amount of future payments (undiscounted) that a Fund as seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. These potential amounts would be partially
offset by any recovery values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where a Fund bought credit protection.
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are
unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of a Fund’s investments may be determined under Valuation Procedures approved by the
Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be
the fair value of the securities at the time of determining a Fund’s net asset value (“NAV”). Significant events which could affect a large number of securities in a particular market may include, but are not limited to: significant
fluctuations in United States (“U.S.”) or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate
actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.
C. Fair Value Hierarchy — The
following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of June 30, 2018:
|
|
|
|
|
|
|
|
|
|
|
|
|
| DYNAMIC MUNICIPAL INCOME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
| Municipal Debt Obligations |
|
$ |
— |
|
|
$ |
2,192,079,672 |
|
|
$ |
— |
|
| Corporate Bond |
|
|
— |
|
|
|
5,857,557 |
|
|
|
— |
|
| Total |
|
$ |
— |
|
|
$ |
2,197,937,229 |
|
|
$ |
— |
|
|
|
|
|
| Derivative Type |
|
|
|
|
|
|
|
|
|
| Assets(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Default Swap Contracts |
|
$ |
— |
|
|
$ |
112,271 |
|
|
$ |
— |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
3,654,885 |
|
|
|
— |
|
| Total |
|
$ |
— |
|
|
$ |
3,767,156 |
|
|
$ |
— |
|
| Liabilities(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
(150,108 |
) |
|
$ |
— |
|
|
$ |
— |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
(4,183,075 |
) |
|
|
— |
|
| Total |
|
$ |
(150,108 |
) |
|
$ |
(4,183,075 |
) |
|
$ |
— |
|
|
|
|
|
| HIGH YIELD MUNICIPAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
| Municipal Debt Obligations |
|
$ |
— |
|
|
$ |
5,699,021,651 |
|
|
$ |
— |
|
| Corporate Bonds |
|
|
— |
|
|
|
19,202,759 |
|
|
|
— |
|
| Total |
|
$ |
— |
|
|
$ |
5,718,224,410 |
|
|
$ |
— |
|
|
|
|
|
| Derivative Type |
|
|
|
|
|
|
|
|
|
| Assets(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Default Swap Contracts |
|
$ |
— |
|
|
$ |
2,676,819 |
|
|
$ |
— |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
31,598,942 |
|
|
|
— |
|
| Total |
|
$ |
— |
|
|
$ |
34,275,761 |
|
|
$ |
— |
|
| Liabilities(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Default Swap Contracts |
|
$ |
— |
|
|
$ |
(51,934 |
) |
|
$ |
— |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
(4,984,643 |
) |
|
|
— |
|
| Total |
|
$ |
— |
|
|
$ |
(5,036,577 |
) |
|
$ |
— |
|
|
|
|
|
| SHORT DURATION TAX-FREE |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Municipal Debt Obligations |
|
$ |
— |
|
|
$ |
5,125,199,271 |
|
|
$ |
— |
|
|
|
|
|
| Derivative Type |
|
|
|
|
|
|
|
|
|
| Assets(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Default Swap Contracts |
|
$ |
— |
|
|
$ |
842,032 |
|
|
$ |
— |
|
| (a) |
|
Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedules of Investments.
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
The Funds’ risks include, but are not limited to, the following:
Derivatives Risk — The Funds’ use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly
in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Funds. Derivatives
are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks
different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if
any) being hedged.
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by a Fund will
generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with changing interest rates may
have unpredictable effects on the markets and a Fund’s investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Funds.
Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds,
institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Fund in their investment model),
individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions may cause a Fund to sell portfolio securities at times when it would not otherwise do so, which may
negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large
redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the
extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.
Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse
investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period because of unusual market conditions, an
unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. Liquidity risk may be the result of, among other
things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other
circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity.
Market and Credit Risks — In the normal course of business, a Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the
market (market risk). Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
State/Territory Specific Risk — A Funds’ investments in municipal obligations of issuers located in a particular state or U.S. territory
may be adversely affected by political, economic and regulatory developments within that state or U.S. territory. Such developments may affect the financial condition of a state’s or territory’s political subdivisions, agencies,
instrumentalities and public authorities and heighten the risks associated with investing in bonds issued by such parties, which could, in turn, adversely affect a Fund’s income, NAV, liquidity, and/or ability to preserve or realize capital
appreciation.
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – 45.3% |
| Aerospace & Defense – 0.8% |
| General Dynamics Corp. |
| $ |
|
|
1,750,000 |
|
|
|
2.875 |
% |
|
05/11/20 |
|
$ 1,748,098 |
|
|
|
1,700,000 |
|
|
|
3.000 |
|
|
05/11/21 |
|
1,694,539 |
| Northrop Grumman Corp. |
|
|
|
1,188,000 |
|
|
|
3.500 |
|
|
03/15/21 |
|
1,200,314 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,642,951 |
| |
| Agriculture – 1.4% |
| BAT Capital
Corp.(a) |
|
|
|
7,625,000 |
|
|
|
2.297 |
|
|
08/14/20 |
|
7,451,347 |
| Philip Morris International, Inc. |
|
|
|
575,000 |
|
|
|
1.375 |
|
|
02/25/19 |
|
570,762 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,022,109 |
| |
| Automotive – 0.7% |
| BMW US Capital
LLC(a) |
|
|
|
1,050,000 |
|
|
|
1.500 |
|
|
04/11/19 |
|
1,041,846 |
| Daimler Finance North America
LLC(a) |
|
|
|
775,000 |
|
|
|
3.350 |
|
|
05/04/21 |
|
771,990 |
| (3M USD LIBOR + 0.390%) |
|
|
|
|
|
800,000 |
|
|
|
2.753 |
(b) |
|
05/04/20 |
|
799,719 |
| Ford Motor Credit Co. LLC |
|
|
|
1,350,000 |
|
|
|
2.425 |
|
|
06/12/20 |
|
1,323,297 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,936,852 |
| |
| Banks – 15.8% |
| ABN AMRO Bank
NV(a) |
|
|
|
2,100,000 |
|
|
|
2.650 |
|
|
01/19/21 |
|
2,062,282 |
| Bank of America Corp. |
|
|
|
1,150,000 |
|
|
|
2.625 |
|
|
10/19/20 |
|
1,135,855 |
|
|
|
3,050,000 |
|
|
|
2.151 |
(c) |
|
11/09/20 |
|
2,979,743 |
| (3M USD LIBOR + 0.630%) |
|
|
|
|
|
|
|
|
850,000 |
|
|
|
3.499 |
(b)(c) |
|
05/17/22 |
|
849,708 |
| (3M USD LIBOR + 0.660%) |
|
|
|
|
|
|
|
|
1,375,000 |
|
|
|
2.369 |
(b)(c) |
|
07/21/21 |
|
1,347,905 |
| Banque Federative du Credit Mutuel
SA(a) |
|
|
|
1,150,000 |
|
|
|
2.000 |
|
|
04/12/19 |
|
1,141,323 |
|
|
|
700,000 |
|
|
|
2.200 |
|
|
07/20/20 |
|
683,806 |
| BNP Paribas SA |
|
|
|
900,000 |
|
|
|
2.375 |
|
|
05/21/20 |
|
887,196 |
| BPCE SA |
|
|
|
1,725,000 |
|
|
|
2.650 |
|
|
02/03/21 |
|
1,689,727 |
| Capital One Financial
Corp.(c) |
|
|
|
1,600,000 |
|
|
|
3.450 |
|
|
04/30/21 |
|
1,596,309 |
| (3M USD LIBOR + 0.720%) |
|
|
|
|
|
|
|
|
1,300,000 |
|
|
|
3.079 |
(b) |
|
01/30/23 |
|
1,292,456 |
| Capital One NA(c) |
|
|
|
625,000 |
|
|
|
1.850 |
|
|
09/13/19 |
|
616,184 |
| Citibank NA(c) |
|
|
|
5,050,000 |
|
|
|
2.125 |
|
|
10/20/20 |
|
4,928,828 |
| Citigroup, Inc. |
|
|
|
875,000 |
|
|
|
2.400 |
|
|
02/18/20 |
|
863,845 |
| Citizens Bank NA/Providence
RI(b)(c)(3M USD LIBOR + 0.540%) |
|
|
|
1,175,000 |
|
|
|
2.861 |
|
|
03/02/20 |
|
1,177,414 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations
– (continued) |
| Banks – (continued) |
| Cooperatieve Rabobank UA |
| $ |
|
|
550,000 |
|
|
|
3.125 |
% |
|
04/26/21 |
|
$ 547,893 |
| (3M USD LIBOR + 0.430%) |
|
|
|
|
|
|
|
|
450,000 |
|
|
|
2.792 |
(b) |
|
04/26/21 |
|
450,333 |
| Deutsche Bank AG |
|
|
|
2,225,000 |
|
|
|
2.700 |
|
|
07/13/20 |
|
2,170,272 |
| Discover Bank(c) |
|
|
|
1,600,000 |
|
|
|
2.600 |
|
|
11/13/18 |
|
1,599,074 |
| HSBC Holdings PLC(b)(c)(3M USD LIBOR
+ 0.600%) |
|
|
|
1,600,000 |
|
|
|
2.926 |
|
|
05/18/21 |
|
1,602,331 |
| ING Bank NV(a) |
|
|
|
1,000,000 |
|
|
|
2.000 |
|
|
11/26/18 |
|
997,367 |
|
|
|
1,725,000 |
|
|
|
2.750 |
|
|
03/22/21 |
|
1,694,461 |
| (3M USD LIBOR + 1.130%) |
|
|
|
|
|
|
|
|
1,500,000 |
|
|
|
3.462 |
(b) |
|
03/22/19 |
|
1,510,179 |
| JPMorgan Chase & Co. |
|
|
|
1,275,000 |
|
|
|
2.200 |
|
|
10/22/19 |
|
1,262,947 |
|
|
|
1,775,000 |
|
|
|
2.750 |
(c) |
|
06/23/20 |
|
1,759,219 |
| (3M USD LIBOR + 0.610%) |
|
|
|
|
|
|
|
|
2,150,000 |
|
|
|
2.945 |
(b)(c) |
|
06/18/22 |
|
2,149,226 |
| (3M USD LIBOR + 0.610%) |
|
|
|
|
|
|
|
|
1,900,000 |
|
|
|
3.514 |
(b)(c) |
|
06/18/22 |
|
1,901,463 |
| Kreditanstalt fuer
Wiederaufbau(d) |
|
|
|
17,200,000 |
|
|
|
1.500 |
|
|
02/06/19 |
|
17,110,570 |
| Lloyds Bank PLC |
|
|
|
1,050,000 |
|
|
|
3.300 |
|
|
05/07/21 |
|
1,048,137 |
| (3M USD LIBOR + 0.490%) |
|
|
|
|
|
|
|
|
1,025,000 |
|
|
|
2.853 |
(b) |
|
05/07/21 |
|
1,026,449 |
| Macquarie Bank Ltd.(a)(b)(3M USD LIBOR
+ 0.350%) |
|
|
|
3,000,000 |
|
|
|
2.691 |
|
|
03/15/19 |
|
3,001,635 |
| Morgan Stanley, Inc. |
|
|
|
1,425,000 |
|
|
|
2.500 |
|
|
04/21/21 |
|
1,391,780 |
| (3M USD LIBOR + 1.180%) |
|
|
|
|
|
4,575,000 |
|
|
|
3.539 |
(b)(c) |
|
01/20/22 |
|
4,634,663 |
| MUFG Bank Ltd.(a) |
|
|
|
1,625,000 |
|
|
|
2.300 |
|
|
03/05/20 |
|
1,599,534 |
| MUFG Union Bank
NA(c) |
|
|
|
2,250,000 |
|
|
|
2.625 |
|
|
09/26/18 |
|
2,249,492 |
| Nordea Bank AB(a) |
|
|
|
1,900,000 |
|
|
|
2.500 |
|
|
09/17/20 |
|
1,868,568 |
| Santander UK PLC |
|
|
|
1,825,000 |
|
|
|
2.125 |
|
|
11/03/20 |
|
1,771,687 |
|
|
|
775,000 |
|
|
|
2.500 |
|
|
01/05/21 |
|
756,967 |
| Sumitomo Mitsui Trust Bank
Ltd.(a) |
|
|
|
1,175,000 |
|
|
|
2.050 |
|
|
03/06/19 |
|
1,168,666 |
| The Huntington National Bank(b)(3M USD
LIBOR + 0.510%) |
|
|
|
1,175,000 |
|
|
|
2.837 |
|
|
03/10/20 |
|
1,177,482 |
| The Toronto-Dominion Bank(b)(3M USD
LIBOR + 0.300%) |
|
|
|
3,000,000 |
|
|
|
2.700 |
|
|
05/01/20 |
|
2,987,634 |
| UBS AG(a) |
|
|
|
2,600,000 |
|
|
|
2.200 |
(c) |
|
06/08/20 |
|
2,546,417 |
| (3M USD LIBOR + 0.320%) |
|
|
|
|
|
3,000,000 |
|
|
|
2.639 |
(b) |
|
05/28/19 |
|
3,003,204 |
| US Bank NA(c) |
|
|
|
1,175,000 |
|
|
|
1.400 |
|
|
04/26/19 |
|
1,163,466 |
| |
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations
– (continued) |
| Banks – (continued) |
| Westpac Banking Corp. |
| $ |
|
|
2,425,000 |
|
|
|
2.300 |
% |
|
05/26/20 |
|
$ 2,385,775 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
91,789,472 |
| |
| Beverages – 1.6% |
| Anheuser-Busch InBev Finance,
Inc.(c) |
|
|
|
3,975,000 |
|
|
|
3.300 |
|
|
02/01/23 |
|
3,941,764 |
| Constellation Brands, Inc. |
|
|
|
1,550,000 |
|
|
|
2.250 |
|
|
11/06/20 |
|
1,512,658 |
| Diageo Capital PLC |
|
|
|
1,350,000 |
|
|
|
3.000 |
|
|
05/18/20 |
|
1,351,825 |
| Molson Coors Brewing Co. |
|
|
|
975,000 |
|
|
|
1.900 |
|
|
03/15/19 |
|
968,050 |
|
|
|
1,375,000 |
|
|
|
1.450 |
|
|
07/15/19 |
|
1,353,262 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,127,559 |
| |
| Chemicals – 1.0% |
| E.I. du Pont de Nemours &
Co.(b)(3M USD LIBOR + 0.530%) |
|
|
|
825,000 |
|
|
|
2.888 |
|
|
05/01/20 |
|
827,820 |
| Syngenta Finance
NV(a) |
|
|
|
1,210,000 |
|
|
|
3.698 |
|
|
04/24/20 |
|
1,205,607 |
|
|
|
1,485,000 |
|
|
|
3.933 |
|
|
04/23/21 |
|
1,481,235 |
| The Sherwin-Williams Co. |
|
|
|
1,175,000 |
|
|
|
2.250 |
|
|
05/15/20 |
|
1,155,480 |
|
|
|
1,300,000 |
|
|
|
2.750 |
(c) |
|
06/01/22 |
|
1,259,694 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,929,836 |
| |
| Computers – 1.0% |
| Dell International LLC/EMC
Corp.(a) |
|
|
|
2,600,000 |
|
|
|
3.480 |
|
|
06/01/19 |
|
2,606,546 |
| DXC Technology Co. |
|
|
|
550,000 |
|
|
|
2.875 |
|
|
03/27/20 |
|
546,060 |
| Hewlett Packard Enterprise
Co.(c) |
|
|
|
2,550,000 |
|
|
|
3.600 |
|
|
10/15/20 |
|
2,562,116 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,714,722 |
| |
| Diversified Financial Services – 3.1% |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
|
|
|
1,900,000 |
|
|
|
3.750 |
|
|
05/15/19 |
|
1,911,327 |
|
|
|
1,500,000 |
|
|
|
4.125 |
(c) |
|
07/03/23 |
|
1,491,939 |
| AIG Global
Funding(a) |
|
|
|
1,950,000 |
|
|
|
1.950 |
|
|
10/18/19 |
|
1,923,726 |
|
|
|
675,000 |
|
|
|
2.150 |
|
|
07/02/20 |
|
661,508 |
|
|
|
675,000 |
|
|
|
3.350 |
|
|
06/25/21 |
|
675,984 |
| (3M USD LIBOR + 0.460%) |
|
|
|
|
|
|
|
|
525,000 |
|
|
|
2.797 |
(b) |
|
06/25/21 |
|
525,299 |
| American Express
Co.(c) |
|
|
|
1,350,000 |
|
|
|
3.375 |
|
|
05/17/21 |
|
1,351,610 |
| American Express Credit
Corp.(c) |
|
|
|
3,675,000 |
|
|
|
2.375 |
|
|
05/26/20 |
|
3,621,664 |
| International Lease Finance Corp. |
|
|
|
600,000 |
|
|
|
6.250 |
|
|
05/15/19 |
|
615,163 |
| National Rural Utilities Cooperative Finance Corp. |
|
|
|
2,725,000 |
|
|
|
10.375 |
|
|
11/01/18 |
|
2,794,766 |
| The Charles Schwab
Corp.(c) |
|
|
|
1,125,000 |
|
|
|
3.250 |
|
|
05/21/21 |
|
1,129,496 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations
– (continued) |
| Diversified Financial Services – (continued) |
| (3M USD LIBOR + 0.320%) |
|
|
| $ |
|
|
1,100,000 |
|
|
|
2.649 |
%(b) |
|
05/21/21 |
|
$ 1,104,465 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,806,947 |
| |
| Electrical – 2.0% |
| American Electric Power Co., Inc. |
|
|
|
1,475,000 |
|
|
|
2.150 |
|
|
11/13/20 |
|
1,438,968 |
| Commonwealth Edison
Co.(c) |
|
|
|
525,000 |
|
|
|
2.150 |
|
|
01/15/19 |
|
523,741 |
| Dominion Energy, Inc. |
|
|
|
300,000 |
|
|
|
1.600 |
|
|
08/15/19 |
|
295,371 |
| Emera US Finance LP |
|
|
|
1,375,000 |
|
|
|
2.150 |
|
|
06/15/19 |
|
1,360,647 |
| Pinnacle West Capital Corp. |
|
|
|
575,000 |
|
|
|
2.250 |
|
|
11/30/20 |
|
560,933 |
| Public Service Enterprise Group, Inc. |
|
|
|
1,950,000 |
|
|
|
1.600 |
|
|
11/15/19 |
|
1,907,159 |
| Sempra Energy(b)(c)(3M USD LIBOR
+ 0.500%) |
|
|
|
1,700,000 |
|
|
|
2.848 |
|
|
01/15/21 |
|
1,700,855 |
| Southern Power
Co.(c) |
|
|
|
1,150,000 |
|
|
|
2.500 |
|
|
12/15/21 |
|
1,117,435 |
| The Southern Co. |
|
|
|
1,300,000 |
|
|
|
1.850 |
|
|
07/01/19 |
|
1,287,073 |
| WEC Energy Group, Inc. |
|
|
|
1,400,000 |
|
|
|
3.375 |
|
|
06/15/21 |
|
1,403,979 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,596,161 |
| |
| Electronics(c) –
0.2% |
| Honeywell International, Inc. |
|
|
|
1,400,000 |
|
|
|
1.850 |
|
|
11/01/21 |
|
1,341,710 |
| |
| Food & Drug Retailing – 0.4% |
| General Mills, Inc. |
|
|
|
475,000 |
|
|
|
3.200 |
|
|
04/16/21 |
|
472,536 |
| (3M USD LIBOR + 0.540%) |
|
|
|
|
|
|
|
|
1,350,000 |
|
|
|
2.893 |
(b) |
|
04/16/21 |
|
1,352,006 |
| Sysco Corp.(c) |
|
|
|
625,000 |
|
|
|
2.600 |
|
|
10/01/20 |
|
617,385 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,441,927 |
| |
| Gas(c) – 0.1% |
| NiSource Corp. |
|
|
|
525,000 |
|
|
|
2.650 |
|
|
11/17/22 |
|
507,462 |
| |
| Healthcare Providers & Services – 1.7% |
| Abbott
Laboratories(c) |
|
|
|
1,275,000 |
|
|
|
2.900 |
|
|
11/30/21 |
|
1,254,949 |
| Becton Dickinson & Co. |
|
|
|
1,250,000 |
|
|
|
2.133 |
|
|
06/06/19 |
|
1,243,895 |
|
|
|
675,000 |
|
|
|
2.404 |
|
|
06/05/20 |
|
662,886 |
| (3M USD LIBOR + 0.875%) |
|
|
|
|
|
|
|
|
2,700,000 |
|
|
|
3.209 |
(b)(c) |
|
12/29/20 |
|
2,704,411 |
| Danaher Corp. |
|
|
|
850,000 |
|
|
|
1.650 |
|
|
09/15/18 |
|
848,838 |
| Humana, Inc. |
|
|
|
1,550,000 |
|
|
|
2.500 |
|
|
12/15/20 |
|
1,521,348 |
| |
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations
– (continued) |
| Healthcare Providers & Services – (continued) |
| UnitedHealth Group, Inc. |
| $ |
|
|
1,500,000 |
|
|
|
1.950 |
% |
|
10/15/20 |
|
$ 1,463,422 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,699,749 |
| |
| Insurance – 2.2% |
|
|
|
|
|
| Chubb INA Holdings,
Inc.(c) |
|
|
|
875,000 |
|
|
|
2.300 |
|
|
11/03/20 |
|
859,429 |
| Jackson National Life Global
Funding(a)(b)(3M USD LIBOR + 0.300%) |
|
|
|
3,500,000 |
|
|
|
2.666 |
|
|
04/27/20 |
|
3,500,389 |
| MetLife, Inc. |
|
|
|
|
|
|
|
|
1,150,000 |
|
|
|
7.717 |
|
|
02/15/19 |
|
1,184,312 |
| Principal Life Global Funding
II(a)(b)(3M USD LIBOR + 0.300%) |
|
|
|
6,000,000 |
|
|
|
2.629 |
|
|
02/22/19 |
|
6,008,020 |
| Reliance Standard Life Global Funding
II(a) |
|
|
|
1,375,000 |
|
|
|
2.500 |
|
|
04/24/19 |
|
1,370,021 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,922,171 |
| |
| Internet – 0.3% |
|
|
|
|
|
| Amazon.com, Inc. |
|
|
|
|
|
|
|
|
1,825,000 |
|
|
|
1.900 |
|
|
08/21/20 |
|
1,787,130 |
| |
| Mining(a)(c) –
0.1% |
| Glencore Funding LLC |
|
|
|
575,000 |
|
|
|
3.000 |
|
|
10/27/22 |
|
551,086 |
| |
| Miscellaneous Manufacturing(a) –
0.4% |
|
|
| Siemens Financieringsmaatschappij NV |
|
|
|
2,750,000 |
|
|
|
1.300 |
|
|
09/13/19 |
|
2,701,440 |
| |
| Multi-National – 4.6% |
|
|
|
|
|
| African Development Bank |
|
|
|
|
|
|
|
|
7,250,000 |
|
|
|
2.625 |
|
|
03/22/21 |
|
7,219,478 |
| European Bank for Reconstruction & Development |
|
|
|
8,310,000 |
|
|
|
2.750 |
|
|
04/26/21 |
|
8,299,862 |
| European Investment Bank |
|
|
|
|
|
|
|
|
11,440,000 |
|
|
|
2.375 |
|
|
05/13/21 |
|
11,303,978 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,823,318 |
| |
| Oil Field Services – 0.6% |
|
|
|
|
|
| EOG Resources, Inc. |
|
|
|
|
|
|
|
|
1,125,000 |
|
|
|
5.625 |
|
|
06/01/19 |
|
1,151,674 |
| Phillips 66(a)(b)(c)(3M USD LIBOR
+ 0.750%) |
|
|
|
750,000 |
|
|
|
3.098 |
|
|
04/15/20 |
|
750,317 |
| Schlumberger Finance Canada
Ltd.(a) |
|
|
|
|
|
850,000 |
|
|
|
2.200 |
|
|
11/20/20 |
|
829,177 |
| Valero Energy Corp. |
|
|
|
|
|
|
|
|
868,000 |
|
|
|
6.125 |
|
|
02/01/20 |
|
906,660 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,637,828 |
| |
| Pharmaceuticals – 1.8% |
| Bayer US Finance II
LLC(a)(c) |
|
|
|
2,175,000 |
|
|
|
3.500 |
|
|
06/25/21 |
|
2,179,326 |
| (3M USD LIBOR + 0.630%) |
|
|
|
|
|
2,225,000 |
|
|
|
2.965 |
(b) |
|
06/25/21 |
|
2,228,126 |
| CVS Health Corp. |
|
|
|
275,000 |
|
|
|
1.900 |
|
|
07/20/18 |
|
274,942 |
|
|
|
925,000 |
|
|
|
3.125 |
|
|
03/09/20 |
|
923,805 |
|
|
|
1,325,000 |
|
|
|
2.800 |
(c) |
|
07/20/20 |
|
1,312,489 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations
– (continued) |
| Pharmaceuticals – (continued) |
| $ |
|
|
475,000 |
|
|
|
3.350 |
% |
|
03/09/21 |
|
$ 474,478 |
|
|
|
2,200,000 |
|
|
|
2.125 |
(c) |
|
06/01/21 |
|
2,114,842 |
| (3M USD LIBOR + 0.630%) |
|
|
|
525,000 |
|
|
|
2.957 |
(b) |
|
03/09/20 |
|
527,023 |
| (3M USD LIBOR + 0.720%) |
|
|
|
|
|
375,000 |
|
|
|
3.047 |
(b) |
|
03/09/21 |
|
376,890 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,411,921 |
| |
| Pipelines – 1.8% |
| Enbridge Energy Partners LP |
|
|
|
846,000 |
|
|
|
5.200 |
|
|
03/15/20 |
|
869,946 |
| Enterprise Products Operating LLC |
|
|
|
1,450,000 |
|
|
|
5.250 |
|
|
01/31/20 |
|
1,497,229 |
| Kinder Morgan Energy Partners LP |
|
|
|
2,325,000 |
|
|
|
6.850 |
|
|
02/15/20 |
|
2,448,155 |
| Kinder Morgan, Inc.(c) |
|
|
|
|
|
|
|
|
625,000 |
|
|
|
3.050 |
|
|
12/01/19 |
|
623,068 |
| Magellan Midstream Partners LP |
|
|
|
1,075,000 |
|
|
|
6.400 |
|
|
07/15/18 |
|
1,076,241 |
|
|
|
1,225,000 |
|
|
|
6.550 |
|
|
07/15/19 |
|
1,268,927 |
| Sabine Pass Liquefaction
LLC(c) |
|
|
|
2,300,000 |
|
|
|
6.250 |
|
|
03/15/22 |
|
2,474,255 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,257,821 |
| |
| Real Estate Investment Trust(c) –
0.4% |
| American Tower Corp. |
|
|
|
1,125,000 |
|
|
|
3.300 |
|
|
02/15/21 |
|
1,123,782 |
| Digital Realty Trust LP |
|
|
|
|
|
|
|
|
1,125,000 |
|
|
|
3.400 |
|
|
10/01/20 |
|
1,124,606 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,248,388 |
| |
| Retailing – 0.8% |
|
|
|
|
|
| Alimentation Couche-Tard,
Inc.(a) |
|
|
|
1,800,000 |
|
|
|
2.350 |
|
|
12/13/19 |
|
1,777,983 |
| Dollar Tree, Inc.(b)(c)(3M USD LIBOR
+ 0.700%) |
|
|
|
2,850,000 |
|
|
|
3.055 |
|
|
04/17/20 |
|
2,855,825 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,633,808 |
| |
| Software(c) – 0.2% |
|
|
|
|
|
| Fiserv, Inc. |
|
|
|
|
|
|
|
|
1,025,000 |
|
|
|
2.700 |
|
|
06/01/20 |
|
1,015,225 |
| |
| Telecommunication Services – 1.8% |
| AT&T, Inc. |
|
|
|
825,000 |
|
|
|
2.800 |
(c) |
|
02/17/21 |
|
811,864 |
|
|
|
425,000 |
|
|
|
3.875 |
|
|
08/15/21 |
|
429,425 |
|
|
|
1,625,000 |
|
|
|
3.000 |
|
|
02/15/22 |
|
1,586,625 |
| (3M USD LIBOR + 0.950%) |
|
|
|
2,745,000 |
|
|
|
3.298 |
(b) |
|
07/15/21 |
|
2,771,128 |
| Verizon Communications, Inc. |
|
|
|
676,000 |
|
|
|
2.625 |
|
|
02/21/20 |
|
673,774 |
|
|
|
4,050,000 |
|
|
|
1.750 |
|
|
08/15/21 |
|
3,870,940 |
|
|
|
425,000 |
|
|
|
3.000 |
(c) |
|
11/01/21 |
|
418,068 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,561,824 |
| |
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations
– (continued) |
| Transportation – 0.2% |
| Union Pacific Corp. |
| $ |
|
|
1,250,000 |
|
|
|
3.200 |
% |
|
06/08/21 |
|
$ 1,253,868 |
| |
| Trucking & Leasing(a) –
0.3% |
| Penske Truck Leasing Co. LP/PTL Finance Corp. |
|
|
|
1,625,000 |
|
|
|
2.875 |
|
|
07/17/18 |
|
1,625,209 |
| |
| TOTAL CORPORATE OBLIGATIONS
(Cost $265,631,728) |
|
$262,988,494 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Mortgage-Backed Obligations(a)(b) – 0.2% |
| Mortgages – 0.2% |
| Station Place Securitization Trust Series 2015-2, Class A(1M USD
LIBOR + 0.550%) |
| $ |
|
|
950,000 |
|
|
|
2.468 |
% |
|
07/15/19 |
|
$ 950,000 |
| (Cost $950,000) |
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities – 18.4% |
| Automotive – 5.1% |
| Ally Master Owner Trust Series 2015-2, Class A2 |
| $ |
|
|
4,000,000 |
|
|
|
1.830 |
% |
|
01/15/21 |
|
$ 3,982,966 |
| Ally Master Owner Trust Series 2017-3, Class A2 |
|
|
|
3,750,000 |
|
|
|
2.040 |
|
|
06/15/22 |
|
3,677,217 |
| Ally Master Owner Trust Series 2018-1, Class A2 |
|
|
|
5,900,000 |
|
|
|
2.700 |
|
|
01/17/23 |
|
5,843,494 |
| Chesapeake Funding II LLC Series 2016-2A, Class A1(a) |
|
|
|
1,861,542 |
|
|
|
1.880 |
|
|
06/15/28 |
|
1,848,403 |
| Ford Credit Auto Owner Trust Series 2016-2, Class A(a) |
|
|
|
500,000 |
|
|
|
2.030 |
|
|
12/15/27 |
|
483,901 |
| Ford Credit Floorplan Master Owner Trust Series 2017-2,
Class A1 |
|
|
|
5,200,000 |
|
|
|
2.160 |
|
|
09/15/22 |
|
5,100,546 |
| GMF Floorplan Owner Revolving Trust Series 2016-1, Class A1(a) |
|
|
|
1,550,000 |
|
|
|
1.960 |
|
|
05/17/21 |
|
1,539,546 |
| NextGear Floorplan Master Owner Trust Series 2018-1A, Class A1(a)(b)(1M USD LIBOR + 0.640%) |
|
|
|
1,750,000 |
|
|
|
2.713 |
|
|
02/15/23 |
|
1,752,694 |
| Nissan Master Owner Receivables Trust Series 2016-A,
Class A2 |
|
|
|
1,200,000 |
|
|
|
1.540 |
|
|
06/15/21 |
|
1,186,046 |
| Nissan Master Owner Trust Receivables Series 2017-C, Class A(b)(1M LIBOR + 0.320%) |
|
|
|
3,100,000 |
|
|
|
2.293 |
|
|
10/17/22 |
|
3,101,953 |
| Tesla Auto Lease Trust Series 2018-A, Class A(a) |
|
|
|
1,437,047 |
|
|
|
2.320 |
|
|
12/20/19 |
|
1,432,656 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,949,422 |
| |
| Credit Card – 5.0% |
| Bank of America Credit Card Trust Series 2014-A1, Class A(b)(1M LIBOR + 0.380%) |
|
|
|
7,000,000 |
|
|
|
2.453 |
|
|
06/15/21 |
|
7,010,970 |
| Barclays Dryrock Issuance Trust Series 2015-1,
Class A |
|
|
|
3,450,000 |
|
|
|
2.200 |
|
|
12/15/22 |
|
3,406,217 |
| Barclays Dryrock Issuance Trust Series 2016-1,
Class A |
|
|
|
1,600,000 |
|
|
|
1.520 |
|
|
05/16/22 |
|
1,579,583 |
| Capital One Multi-Asset Execution Trust Series 2016-A5,
Class A5 |
|
|
|
2,100,000 |
|
|
|
1.660 |
|
|
06/17/24 |
|
2,013,646 |
| CARDS II Trust Series 2016-1A, Class A(a)(b)(1M LIBOR + 0.700%) |
|
|
|
2,150,000 |
|
|
|
2.773 |
|
|
07/15/21 |
|
2,150,485 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Asset-Backed Securities
– (continued) |
| Credit Card – (continued) |
| Chase Issuance Trust Series 2016-A2, Class A |
| $ |
|
|
2,900,000 |
|
|
|
1.370 |
% |
|
06/15/21 |
|
$ 2,863,744 |
| Chase Issuance Trust Series 2016-A5, Class A5 |
|
|
|
3,950,000 |
|
|
|
1.270 |
|
|
07/15/21 |
|
3,892,191 |
| Golden Credit Card Trust Series 2016-5A, Class A(a) |
|
|
|
2,800,000 |
|
|
|
1.600 |
|
|
09/15/21 |
|
2,756,868 |
| Golden Credit Card Trust Series 2017-2A, Class A(a) |
|
|
|
800,000 |
|
|
|
1.980 |
|
|
04/15/22 |
|
785,255 |
| Master Credit Card Trust II Series 2017-1A, Class A(a) |
|
|
|
2,600,000 |
|
|
|
2.260 |
|
|
07/21/21 |
|
2,571,390 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,030,349 |
| |
| Home Equity(b) –
0.0% |
| Amresco Residential Securities Mortgage Loan Trust Series 1998-2,
Class M1F(3M USD LIBOR + 0.320%) |
|
|
|
341 |
|
|
|
6.745 |
|
|
06/25/28 |
|
618 |
| Centex Home Equity Series 2004-D, Class MV3(1M USD LIBOR +
1.000%) |
|
|
|
63,498 |
|
|
|
3.460 |
|
|
09/25/34 |
|
65,568 |
| Morgan Stanley ABS Capital I Series 2004-HE4, Class M3(1M USD LIBOR
+ 2.250%) |
|
|
|
25,367 |
|
|
|
4.210 |
|
|
05/25/34 |
|
25,650 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
91,836 |
| |
| Manufactured Housing – 0.0% |
| Lehman ABS Manufactured Housing Contract Series 2001-B,
Class A3 |
|
|
|
4,478 |
|
|
|
4.350 |
|
|
04/15/40 |
|
4,493 |
| |
| Student Loan(b) –
8.3% |
| Access Group, Inc. Series 2013-1, Class A(a)(1M USD LIBOR + 0.500%) |
|
|
|
1,455,503 |
|
|
|
2.460 |
|
|
02/25/36 |
|
1,439,654 |
| ECMC Group Student Loan Trust Series 2016-1A, Class A(a)(1M USD LIBOR + 1.350%) |
|
|
|
3,765,131 |
|
|
|
3.310 |
|
|
07/26/66 |
|
3,826,641 |
| ECMC Group Student Loan Trust Series 2017-1A, Class A(a)(1M USD LIBOR + 1.200%) |
|
|
|
3,205,393 |
|
|
|
3.160 |
|
|
12/27/66 |
|
3,258,850 |
| Education Loan Asset-Backed Trust I Series 2013-1, Class A1(a)(1M USD LIBOR + 0.800%) |
|
|
|
1,367,131 |
|
|
|
2.760 |
|
|
06/25/26 |
|
1,367,703 |
| Educational Services of America, Inc. Series 2010-1, Class A1(a)(3M USD LIBOR + 0.850%) |
|
|
|
767,843 |
|
|
|
2.595 |
|
|
07/25/23 |
|
769,140 |
| Educational Services of America, Inc. Series 2014-1, Class A(a)(1M USD LIBOR + 0.700%) |
|
|
|
1,741,961 |
|
|
|
2.660 |
|
|
02/25/39 |
|
1,741,959 |
| GCO Education Loan Funding Master Trust II Series 2007-1A, Class A6L(a)(3M LIBOR + 0.110%) |
|
|
|
1,901,725 |
|
|
|
2.440 |
|
|
11/25/26 |
|
1,891,185 |
| Illinois Student Assistance Commission Series 2010-1, Class A3(3M
USD LIBOR + 0.900%) |
|
|
|
1,450,000 |
|
|
|
2.645 |
|
|
07/25/45 |
|
1,465,296 |
| Missouri Higher Education Loan Authority Series 2011-1, Class A1(3M
USD LIBOR + 0.850%) |
|
|
|
2,945,668 |
|
|
|
3.136 |
|
|
06/25/36 |
|
2,960,289 |
| Navient Student Loan Trust Series 2016-5A, Class A(a)(1M USD LIBOR + 1.250%) |
|
|
|
4,270,318 |
|
|
|
3.210 |
|
|
06/25/65 |
|
4,382,058 |
| |
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Asset-Backed Securities
– (continued) |
| Student Loan(b) –
(continued) |
| Navient Student Loan Trust Series 2016-7A, Class A(a)(1M USD LIBOR + 1.150%) |
| $ |
|
|
2,142,051 |
|
|
|
3.110 |
% |
|
03/25/66 |
|
$ 2,182,191 |
| Navient Student Loan Trust Series 2017-2A, Class A(a)(1M USD LIBOR + 1.050%) |
|
|
|
3,432,652 |
|
|
|
3.010 |
|
|
12/27/66 |
|
3,484,530 |
| Nelnet Student Loan Trust Series 2006-2, Class A5(3M USD LIBOR
+ 0.100%) |
|
|
|
1,377,447 |
|
|
|
1.845 |
|
|
01/25/30 |
|
1,376,204 |
| Northstar Education Finance, Inc. Series 2012-1, Class A(a)(1M USD LIBOR + 0.700%) |
|
|
|
1,330,792 |
|
|
|
2.660 |
|
|
12/26/31 |
|
1,336,184 |
| PHEAA Student Loan Trust Series 2014-3A, Class A(a)(1M USD LIBOR + 0.590%) |
|
|
|
6,710,130 |
|
|
|
2.681 |
|
|
08/25/40 |
|
6,697,957 |
| SLC Student Loan Center Series 2011-1, Class A(a)(1M USD LIBOR + 1.220%) |
|
|
|
5,560,284 |
|
|
|
3.180 |
|
|
10/25/27 |
|
5,626,268 |
| SLM Student Loan Trust Series 2003-14, Class A5(3M USD LIBOR +
0.230%) |
|
|
|
64,393 |
|
|
|
1.975 |
|
|
01/25/23 |
|
64,394 |
| SLM Student Loan Trust Series 2004-1, Class A3(3M USD LIBOR +
0.210%) |
|
|
|
246,435 |
|
|
|
1.955 |
|
|
04/25/23 |
|
246,450 |
| SLM Student Loan Trust Series 2006-2, Class A5(3M USD LIBOR +
0.110%) |
|
|
|
309,039 |
|
|
|
1.855 |
|
|
07/25/25 |
|
309,039 |
| South Texas Higher Education Authority, Inc. Series 2012-1,
Class A2(3M USD LIBOR + 0.850%) |
|
|
|
686,745 |
|
|
|
2.545 |
|
|
10/01/24 |
|
689,891 |
| Utah State Board of Regents Series 2011-1, Class A3(3M USD LIBOR
+ 0.850%) |
|
|
|
1,100,000 |
|
|
|
2.623 |
|
|
05/01/35 |
|
1,105,731 |
| Utah State Board of Regents Series 2016-1, Class A(1M USD LIBOR
+ 0.750%) |
|
|
|
1,781,634 |
|
|
|
2.710 |
|
|
09/25/56 |
|
1,781,632 |
| Wachovia Student Loan Trust Series 2005-1, Class A5(3M USD LIBOR
+ 0.130%) |
|
|
|
108,840 |
|
|
|
1.875 |
|
|
01/26/26 |
|
108,772 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
48,112,018 |
| |
| TOTAL ASSET-BACKED SECURITIES
(Cost $107,428,150) |
|
$107,188,118 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Municipal Debt
Obligation(b)(c) – 0.1% |
| Utah – 0.1% |
| Utah State Board of Regents Student Loan RB (Taxable) Series 2011, Class A2 |
| $ |
|
|
668,546 |
|
|
|
3.208 |
% |
|
05/01/29 |
|
$ 670,438 |
| (Cost $669,747) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury
Obligation(e) – 0.4% |
| United States Treasury Note |
|
|
|
2,240,000 |
|
|
|
1.375 |
|
|
04/30/21 |
|
2,164,960 |
| (Cost $2,232,484) |
| |
|
|
|
|
|
|
|
|
|
|
|
| Shares |
|
|
Distribution Rate |
|
Value |
| Investment
Company(f) – 3.3% |
| U.S. Treasury Obligation(e) –
(continued) |
| Goldman Sachs Financial Square Government Fund - Institutional Shares |
|
|
|
19,343,921 |
|
|
1.869% |
|
$ 19,343,921 |
| (Cost $19,343,921) |
| |
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost $396,256,030) |
|
$393,305,931 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Short-term Investments – 31.6% |
| Certificates of Deposit – 12.6% |
| AT&T, Inc.(g) |
| $ |
|
|
4,500,000 |
|
|
|
0.000 |
% |
|
10/05/18 |
|
$ 4,467,782 |
|
|
|
1,250,000 |
|
|
|
0.000 |
|
|
10/09/18 |
|
1,240,685 |
| Chariot Funding
LLC(g) |
|
|
|
3,000,000 |
|
|
|
0.000 |
|
|
10/09/18 |
|
2,980,076 |
| Credit Agricole Corporate & Investment Bank(b) |
|
|
|
2,600,000 |
|
|
|
2.754 |
|
|
05/11/20 |
|
2,599,748 |
| Credit Suisse New
York(b) |
| (1M USD LIBOR + 0.320%) |
|
|
|
3,000,000 |
|
|
|
2.411 |
|
|
09/20/18 |
|
3,001,622 |
| (3M USD LIBOR + 0.340%) |
|
|
|
3,000,000 |
|
|
|
2.677 |
|
|
04/09/19 |
|
3,002,721 |
| Federation des Caisses Desjardins du
Quebec(a)(b)(g) |
|
|
|
5,000,000 |
|
|
|
0.000 |
|
|
03/26/19 |
|
4,998,922 |
| HSBC Bank
PLC(a)(b) |
|
|
|
3,000,000 |
|
|
|
2.565 |
|
|
04/18/19 |
|
3,000,460 |
| Mizuho Bank
Ltd.(b) |
| (3M USD LIBOR + 0.500%) |
|
|
|
1,500,000 |
|
|
|
2.835 |
|
|
09/24/18 |
|
1,500,544 |
| (1M USD LIBOR + 0.440%) |
|
|
|
5,000,000 |
|
|
|
2.445 |
|
|
10/05/18 |
|
5,003,014 |
| National Bank of
Canada(b) |
|
|
|
2,500,000 |
|
|
|
2.318 |
|
|
09/21/18 |
|
2,500,822 |
| Natixis NY(b) |
|
|
|
3,000,000 |
|
|
|
2.555 |
|
|
11/14/18 |
|
3,002,659 |
| Nordea Bank AB
NY(b) |
|
|
|
3,200,000 |
|
|
|
2.702 |
|
|
03/27/20 |
|
3,205,958 |
| Nutrien Ltd.(g) |
|
|
|
950,000 |
|
|
|
0.000 |
|
|
07/26/18 |
|
948,196 |
| Standard Chartered
Bank(b) |
|
|
|
3,000,000 |
|
|
|
2.542 |
|
|
10/31/18 |
|
3,002,255 |
| Svenska Handelsbanken
AB(b) |
| (3M USD LIBOR + 0.270%) |
|
|
|
4,250,000 |
|
|
|
2.629 |
|
|
10/21/19 |
|
4,253,780 |
| |
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Short-term Investments – (continued) |
| Certificates of Deposit – (continued) |
| (3M USD LIBOR + 0.400%) |
| $ |
|
|
4,000,000 |
|
|
|
2.721 |
% |
|
04/01/20 |
|
$ 4,003,406 |
| The Southern
Co.(g) |
|
|
|
1,162,000 |
|
|
|
0.000 |
|
|
08/30/18 |
|
1,157,083 |
| The Toronto Dominion Bank |
|
|
|
4,000,000 |
|
|
|
1.981 |
|
|
02/08/19 |
|
4,000,313 |
| Thunder Bay Funding
LLC(g) |
|
|
|
6,000,000 |
|
|
|
0.000 |
|
|
07/10/18 |
|
5,996,342 |
|
|
|
3,800,000 |
|
|
|
0.000 |
|
|
08/15/18 |
|
3,789,448 |
| Wells Fargo Bank
NA(b) |
|
|
|
5,500,000 |
|
|
|
2.581 |
|
|
04/05/19 |
|
5,504,923 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
73,160,759 |
| |
| Commercial Paper – 19.0% |
| Alpine Securitizaton
Ltd.(a) |
|
|
|
2,000,000 |
|
|
|
2.330 |
|
|
10/01/18 |
|
2,000,113 |
| Atlantic Asset Securitization
Corp.(g) |
|
|
|
5,000,000 |
|
|
|
0.000 |
|
|
09/13/18 |
|
4,976,134 |
| Bayerische
Landesbank(g) |
|
|
|
1,550,000 |
|
|
|
0.000 |
|
|
07/20/18 |
|
1,548,103 |
|
|
|
2,000,000 |
|
|
|
0.000 |
|
|
08/13/18 |
|
1,994,537 |
|
|
|
2,500,000 |
|
|
|
0.000 |
|
|
08/23/18 |
|
2,498,004 |
| BNZ International Funding
Ltd.(a)(b) |
|
|
|
5,672,000 |
|
|
|
2.575 |
|
|
04/05/19 |
|
5,676,654 |
| Cafco LLC(g) |
|
|
|
6,000,000 |
|
|
|
0.000 |
|
|
10/01/18 |
|
5,964,123 |
| Canadian Imperial Bank of
Commerce(b) |
|
|
|
2,500,000 |
|
|
|
2.800 |
|
|
05/02/20 |
|
2,502,375 |
| Ciesco LLC(g) |
|
|
|
5,500,000 |
|
|
|
0.000 |
|
|
07/12/18 |
|
5,496,012 |
| Collateralized Commercial Paper Co.
Ltd.(b) |
|
|
|
3,000,000 |
|
|
|
2.293 |
|
|
03/01/19 |
|
3,000,078 |
| CRC Funding
LLC(g) |
|
|
|
5,500,000 |
|
|
|
0.000 |
|
|
07/11/18 |
|
5,496,374 |
| Duke Energy
Corp.(g) |
|
|
|
2,904,000 |
|
|
|
0.000 |
|
|
08/27/18 |
|
2,892,354 |
| Ford Motor Credit Co.
LLC(g) |
|
|
|
3,000,000 |
|
|
|
0.000 |
|
|
02/20/19 |
|
2,946,920 |
|
|
|
2,800,000 |
|
|
|
0.000 |
|
|
04/08/19 |
|
2,739,381 |
| Hewlett Packard Enterprise
Co.(g) |
|
|
|
500,000 |
|
|
|
0.000 |
|
|
07/10/18 |
|
499,704 |
|
|
|
1,453,000 |
|
|
|
0.000 |
|
|
07/11/18 |
|
1,452,059 |
| HP, Inc.(g) |
|
|
|
2,300,000 |
|
|
|
0.000 |
|
|
07/02/18 |
|
2,299,632 |
|
|
|
1,250,000 |
|
|
|
0.000 |
|
|
07/23/18 |
|
1,248,355 |
| Kellogg Co.(g) |
|
|
|
4,750,000 |
|
|
|
0.000 |
|
|
07/16/18 |
|
4,745,936 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Short-term Investments – (continued) |
| Commercial Paper – (continued) |
| LMA SA LMA
Americas(g) |
| $ |
|
|
4,000,000 |
|
|
|
0.000 |
% |
|
09/13/18 |
|
$ 3,981,000 |
|
|
|
4,000,000 |
|
|
|
0.000 |
|
|
10/31/18 |
|
3,966,864 |
| Macquarie Bank
Ltd.(g) |
|
|
|
5,000,000 |
|
|
|
0.000 |
|
|
09/05/18 |
|
4,978,986 |
|
|
|
2,000,000 |
|
|
|
0.000 |
|
|
11/07/18 |
|
1,982,621 |
| Marriott International,
Inc.(g) |
|
|
|
1,000,000 |
|
|
|
0.000 |
|
|
07/05/18 |
|
999,626 |
| Mondelez International,
Inc.(g) |
|
|
|
2,600,000 |
|
|
|
0.000 |
|
|
10/01/18 |
|
2,582,607 |
| National Australia Bank
Ltd.(a)(b) |
|
|
|
4,000,000 |
|
|
|
2.525 |
|
|
04/05/19 |
|
4,002,984 |
| NRW. Bank(g) |
|
|
|
6,000,000 |
|
|
|
0.000 |
|
|
07/05/18 |
|
5,997,984 |
| Nutrien Ltd.(g) |
|
|
|
551,000 |
|
|
|
0.000 |
|
|
07/16/18 |
|
550,348 |
| QUALCOMM, Inc.(g) |
|
|
|
6,000,000 |
|
|
|
0.000 |
|
|
09/11/18 |
|
5,971,831 |
| Schlumberger
Holdings(g) |
|
|
|
1,381,000 |
|
|
|
0.000 |
|
|
07/27/18 |
|
1,378,581 |
|
|
|
3,000,000 |
|
|
|
0.000 |
|
|
09/21/18 |
|
2,982,822 |
| Suncor Energy, Inc. |
|
|
|
2,800,000 |
|
|
|
0.000 |
|
|
08/31/18 |
|
2,787,946 |
| Tyco International Holding
S.a.r.l.(g) |
|
|
|
2,331,000 |
|
|
|
0.000 |
|
|
07/09/18 |
|
2,329,531 |
| UBS AG(a)(b) |
|
|
|
2,000,000 |
|
|
|
2.524 |
|
|
06/04/19 |
|
1,999,262 |
| VW Credit,
Inc.(g) |
|
|
|
1,822,000 |
|
|
|
0.000 |
|
|
08/15/18 |
|
1,816,265 |
|
|
|
2,050,000 |
|
|
|
0.000 |
|
|
09/20/18 |
|
2,038,056 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
110,324,162 |
| |
| TOTAL SHORT-TERM INVESTMENTS
(Cost $183,441,371) |
|
$183,484,921 |
| |
| TOTAL INVESTMENTS – 99.3% (Cost $579,697,401) |
|
$576,790,852 |
| |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 0.7% |
|
3,900,652 |
| |
| NET ASSETS – 100.0% |
|
$580,691,504 |
| |
|
|
|
|
| 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 may be deemed 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 $139,897,256, which represents approximately 24.1% of the Fund’s net assets as
of June 30, 2018. The liquidity determination is unaudited. |
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
| (b) |
|
Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed
is that which is in effect on June 30, 2018. |
|
|
| (c) |
|
Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
|
|
| (d) |
|
Guaranteed by a foreign government until maturity. Total market value of these securities amounts to $17,110,570, which representsapproximately 2.95% of the Fund’s net
assets as of June 30, 2018. |
|
|
| (e) |
|
All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. |
|
|
| (f) |
|
Represents an affiliated issuer. |
|
|
| (g) |
|
Issued with a zero coupon. Income is recognized through the accretion of discount. |
|
|
|
| |
| Currency Abbreviations: |
| USD |
|
— U.S. Dollar |
|
| Investment Abbreviations: |
| LIBOR |
|
— London Interbank Offered Rate |
| LLC |
|
— Limited Liability Company |
| LP |
|
— Limited Partnership |
| PLC |
|
— Public Limited Company |
| RB |
|
— Revenue Bond |
| |
|
| For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com. |
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At June 30, 2018, the Fund had the
following futures contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Number of Contracts |
|
Expiration Date |
|
Notional
Amount |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Short position contracts: |
|
| Eurodollars |
|
(87) |
|
03/18/19 |
|
$ |
(21,149,700 |
) |
|
$ |
247,749 |
|
| Eurodollars |
|
(243) |
|
06/17/19 |
|
|
(59,015,588 |
) |
|
|
590,780 |
|
| Eurodollars |
|
(124) |
|
09/16/19 |
|
|
(30,094,800 |
) |
|
|
449,757 |
|
| Eurodollars |
|
(124) |
|
12/16/19 |
|
|
(30,080,850 |
) |
|
|
447,939 |
|
| Eurodollars |
|
(132) |
|
03/16/20 |
|
|
(32,016,600 |
) |
|
|
444,796 |
|
| Eurodollars |
|
(79) |
|
06/15/20 |
|
|
(19,161,450 |
) |
|
|
260,721 |
|
| Eurodollars |
|
(51) |
|
09/14/20 |
|
|
(12,370,687 |
) |
|
|
104,432 |
|
| Eurodollars |
|
(167) |
|
12/14/20 |
|
|
(40,505,850 |
) |
|
|
108,050 |
|
| Eurodollars |
|
(143) |
|
03/15/21 |
|
|
(34,688,225 |
) |
|
|
38,643 |
|
| 2 Year U.S. Treasury Notes |
|
(153) |
|
09/28/18 |
|
|
(32,409,703 |
) |
|
|
11,693 |
|
| 5 Year U.S. Treasury Notes |
|
(52) |
|
09/28/18 |
|
|
(5,908,094 |
) |
|
|
(13,681 |
) |
| |
|
| TOTAL FUTURES CONTRACTS |
|
|
$ |
2,690,879 |
|
| |
|
GOLDMAN SACHS GOVERNMENT INCOME FUND
Schedule of Investments
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Mortgage-Backed Obligations – 39.7% |
| Collateralized Mortgage Obligations – 2.3% |
| Interest Only(a) –
0.0% |
| CS First Boston Mortgage Securities Corp. Series 2003-AR20, Class 2X(b)(c)(1 year CMT + 2.912%) |
| $ |
|
|
7,840 |
|
|
|
0.000 |
% |
|
08/25/33 |
|
$ — |
| CS First Boston Mortgage-Backed Pass-Through Certificates Series 2003-AR18, Class 2X(b)(c)(1 year CMT + 2.999%) |
|
|
|
13,921 |
|
|
|
0.000 |
|
|
07/25/33 |
|
— |
| FNMA STRIPS Series 151, Class 2 |
|
|
|
452 |
|
|
|
9.500 |
|
|
07/25/22 |
|
41 |
| Master Adjustable Rate Mortgages Trust Series 2003-2, Class 3AX(b)(6M USD LIBOR + 3.592%) |
|
|
|
11,646 |
|
|
|
0.123 |
|
|
08/25/33 |
|
60 |
| Master Adjustable Rate Mortgages Trust Series 2003-2, Class 4AX(b)(6M USD LIBOR + 3.176%) |
|
|
|
2,797 |
|
|
|
0.320 |
|
|
07/25/33 |
|
46 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
147 |
| |
| Inverse Floaters(b) –
0.0% |
| GNMA REMIC Series 2002-13, Class SB(-1x1M LIBOR +
37.567%) |
|
|
|
28,617 |
|
|
|
28.543 |
|
|
02/16/32 |
|
39,453 |
| |
| Principal Only(c) –
0.0% |
| FNMA REMIC Series G-35, Class N |
|
|
|
1,163 |
|
|
|
0.000 |
|
|
10/25/21 |
|
1,136 |
| |
| Regular Floater(b) –
0.8% |
| NCUA Guaranteed Notes Trust Series 2010-R1, Class 1A(1M LIBOR +
0.450%) |
|
|
|
981,051 |
|
|
|
2.537 |
|
|
10/07/20 |
|
983,465 |
| NCUA Guaranteed Notes Trust Series 2010-R2, Class 2A(1M LIBOR +
0.470%) |
|
|
|
1,622,536 |
|
|
|
2.393 |
|
|
11/05/20 |
|
1,627,859 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,611,324 |
| |
| Sequential Fixed Rate – 1.4% |
| FHLMC REMIC Series 2329, Class ZA |
|
|
|
435,472 |
|
|
|
6.500 |
|
|
06/15/31 |
|
478,325 |
| FHLMC REMIC Series 4273, Class PD |
|
|
|
689,025 |
|
|
|
6.500 |
|
|
11/15/43 |
|
777,838 |
| FNMA REMIC Series 2011-52, Class GB |
|
|
|
679,620 |
|
|
|
5.000 |
|
|
06/25/41 |
|
724,914 |
| FNMA REMIC Series 2011-99, Class DB |
|
|
|
677,946 |
|
|
|
5.000 |
|
|
10/25/41 |
|
722,500 |
| FNMA REMIC Series 2012-111, Class B |
|
|
|
90,862 |
|
|
|
7.000 |
|
|
10/25/42 |
|
102,463 |
| FNMA REMIC Series 2012-153, Class B |
|
|
|
384,235 |
|
|
|
7.000 |
|
|
07/25/42 |
|
434,976 |
| GNMA REMIC Series 2002-42, Class KZ |
|
|
|
1,151,775 |
|
|
|
6.000 |
|
|
06/16/32 |
|
1,249,669 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,490,685 |
| |
| Sequential Floating Rate(b) –
0.1% |
| FHLMC REMIC Series 1760, Class ZB(10Y - 0.600%) |
|
|
|
62,955 |
|
|
|
2.280 |
|
|
05/15/24 |
|
61,905 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| Sequential Floating Rate(b) –
(continued) |
| Merrill Lynch Mortgage Investors Trust Series 2004-E, Class A2B(6M
USD LIBOR + 0.720%) |
| $ |
|
|
231,276 |
|
|
|
3.167 |
% |
|
11/25/29 |
|
$ 232,202 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
294,107 |
| |
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
$ 7,436,852 |
| |
| Commercial Mortgage-Backed Securities(b)
– 0.1% |
| Sequential Floating Rate – 0.1% |
| Citigroup Commercial Mortgage Trust Series 2008-C7,
Class A1A |
| $ |
|
|
353,468 |
|
|
|
6.047 |
% |
|
12/10/49 |
|
$ 353,092 |
| |
| Federal Agencies – 37.3% |
| Adjustable Rate FHLMC(b) –
0.2% |
| (1 Year CMT + 2.224%) |
|
|
|
32,337 |
|
|
|
3.474 |
|
|
11/01/32 |
|
33,378 |
| (1 year CMT + 2.250%) |
|
|
|
476,124 |
|
|
|
3.438 |
|
|
09/01/33 |
|
500,968 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
534,346 |
| |
| Adjustable Rate FNMA(b) –
0.6% |
| (12M USD LIBOR + 1.670%) |
|
|
|
19,438 |
|
|
|
3.420 |
|
|
11/01/32 |
|
20,190 |
| (12M USD LIBOR + 1.591%) |
|
|
|
36,198 |
|
|
|
3.466 |
|
|
12/01/32 |
|
37,487 |
| (6M USD LIBOR + 1.413%) |
|
|
|
505,955 |
|
|
|
3.913 |
|
|
05/01/33 |
|
513,938 |
| (1 year CMT + 2.217%) |
|
|
|
15,050 |
|
|
|
3.990 |
|
|
06/01/33 |
|
15,788 |
| (12M USD LIBOR + 1.660%) |
|
|
|
476,953 |
|
|
|
3.412 |
|
|
10/01/33 |
|
494,096 |
| (1 year CMT + 2.196%) |
|
|
|
511,634 |
|
|
|
3.607 |
|
|
02/01/35 |
|
537,510 |
| (12M USD LIBOR + 1.492%) |
|
|
|
459,864 |
|
|
|
3.240 |
|
|
09/01/35 |
|
476,833 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,095,842 |
| |
| Adjustable Rate GNMA(b) – 0.6% (1 year
CMT + 1.500%) |
|
|
|
29,923 |
|
|
|
2.625 |
|
|
06/20/23 |
|
30,235 |
|
|
|
15,839 |
|
|
|
2.750 |
|
|
07/20/23 |
|
15,989 |
|
|
|
14,632 |
|
|
|
2.750 |
|
|
08/20/23 |
|
14,773 |
|
|
|
37,670 |
|
|
|
2.750 |
|
|
09/20/23 |
|
38,040 |
|
|
|
13,280 |
|
|
|
3.375 |
|
|
03/20/24 |
|
13,413 |
|
|
|
112,750 |
|
|
|
2.625 |
|
|
04/20/24 |
|
114,616 |
|
|
|
13,208 |
|
|
|
2.625 |
|
|
05/20/24 |
|
13,537 |
|
|
|
111,146 |
|
|
|
2.625 |
|
|
06/20/24 |
|
112,555 |
|
|
|
67,881 |
|
|
|
2.750 |
|
|
07/20/24 |
|
68,658 |
| |
GOLDMAN SACHS GOVERNMENT INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| Adjustable Rate GNMA(b) –
(continued) |
| $ |
|
|
91,499 |
|
|
|
2.750 |
% |
|
08/20/24 |
|
$ 92,560 |
|
|
|
27,926 |
|
|
|
2.750 |
|
|
09/20/24 |
|
28,259 |
|
|
|
38,070 |
|
|
|
3.125 |
|
|
11/20/24 |
|
38,510 |
|
|
|
40,521 |
|
|
|
3.125 |
|
|
12/20/24 |
|
40,996 |
|
|
|
26,437 |
|
|
|
3.375 |
|
|
01/20/25 |
|
26,740 |
|
|
|
14,391 |
|
|
|
3.375 |
|
|
02/20/25 |
|
14,558 |
|
|
|
53,035 |
|
|
|
2.625 |
|
|
05/20/25 |
|
53,812 |
|
|
|
42,895 |
|
|
|
2.750 |
|
|
07/20/25 |
|
43,465 |
|
|
|
18,307 |
|
|
|
3.375 |
|
|
02/20/26 |
|
18,548 |
|
|
|
1,017 |
|
|
|
2.750 |
|
|
07/20/26 |
|
1,032 |
|
|
|
51,090 |
|
|
|
3.375 |
|
|
01/20/27 |
|
51,830 |
|
|
|
20,026 |
|
|
|
3.375 |
|
|
02/20/27 |
|
20,328 |
|
|
|
149,864 |
|
|
|
2.625 |
|
|
04/20/27 |
|
152,508 |
|
|
|
14,269 |
|
|
|
2.625 |
|
|
05/20/27 |
|
14,518 |
|
|
|
20,314 |
|
|
|
2.625 |
|
|
06/20/27 |
|
20,683 |
|
|
|
7,842 |
|
|
|
3.125 |
|
|
11/20/27 |
|
7,970 |
|
|
|
23,378 |
|
|
|
3.125 |
|
|
12/20/27 |
|
23,763 |
|
|
|
53,544 |
|
|
|
3.375 |
|
|
01/20/28 |
|
54,418 |
|
|
|
18,326 |
|
|
|
3.375 |
|
|
02/20/28 |
|
18,617 |
|
|
|
19,908 |
|
|
|
3.375 |
|
|
03/20/28 |
|
20,226 |
|
|
|
81,879 |
|
|
|
2.750 |
|
|
07/20/29 |
|
83,434 |
|
|
|
53,617 |
|
|
|
2.750 |
|
|
08/20/29 |
|
54,681 |
|
|
|
10,233 |
|
|
|
2.750 |
|
|
09/20/29 |
|
10,429 |
|
|
|
44,874 |
|
|
|
3.125 |
|
|
10/20/29 |
|
45,715 |
|
|
|
59,566 |
|
|
|
3.125 |
|
|
11/20/29 |
|
60,716 |
|
|
|
12,583 |
|
|
|
3.125 |
|
|
12/20/29 |
|
12,822 |
|
|
|
17,667 |
|
|
|
3.375 |
|
|
01/20/30 |
|
17,985 |
|
|
|
7,633 |
|
|
|
3.375 |
|
|
02/20/30 |
|
7,771 |
|
|
|
46,586 |
|
|
|
3.375 |
|
|
03/20/30 |
|
47,430 |
|
|
|
54,137 |
|
|
|
2.625 |
|
|
04/20/30 |
|
55,282 |
|
|
|
142,621 |
|
|
|
2.625 |
|
|
05/20/30 |
|
145,652 |
|
|
|
14,576 |
|
|
|
2.625 |
|
|
06/20/30 |
|
14,898 |
|
|
|
133,268 |
|
|
|
2.750 |
|
|
07/20/30 |
|
135,950 |
|
|
|
20,472 |
|
|
|
2.750 |
|
|
09/20/30 |
|
20,904 |
|
|
|
44,979 |
|
|
|
3.125 |
|
|
10/20/30 |
|
45,909 |
|
|
|
73,669 |
|
|
|
3.375 |
|
|
03/20/32 |
|
75,077 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,999,812 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| FHLMC – 1.0% |
| $ |
|
|
161 |
|
|
|
4.500 |
% |
|
09/01/18 |
|
$ 161 |
|
|
|
8,360 |
|
|
|
5.000 |
|
|
06/01/19 |
|
8,421 |
|
|
|
14,432 |
|
|
|
6.500 |
|
|
07/01/21 |
|
15,099 |
|
|
|
1,287 |
|
|
|
6.500 |
|
|
08/01/22 |
|
1,342 |
|
|
|
25,064 |
|
|
|
9.000 |
|
|
10/01/22 |
|
26,822 |
|
|
|
70,683 |
|
|
|
4.500 |
|
|
10/01/23 |
|
73,597 |
|
|
|
350,488 |
|
|
|
5.000 |
|
|
08/01/24 |
|
364,094 |
|
|
|
33,153 |
|
|
|
6.500 |
|
|
07/01/28 |
|
34,472 |
|
|
|
383,726 |
|
|
|
4.500 |
|
|
03/01/29 |
|
399,548 |
|
|
|
4,026 |
|
|
|
8.000 |
|
|
07/01/30 |
|
4,696 |
|
|
|
2,552 |
|
|
|
7.500 |
|
|
12/01/30 |
|
2,555 |
|
|
|
28,373 |
|
|
|
7.000 |
|
|
04/01/31 |
|
30,584 |
|
|
|
15,757 |
|
|
|
5.000 |
|
|
08/01/33 |
|
16,802 |
|
|
|
3,047 |
|
|
|
5.000 |
|
|
09/01/33 |
|
3,249 |
|
|
|
6,835 |
|
|
|
5.000 |
|
|
10/01/33 |
|
7,289 |
|
|
|
13,415 |
|
|
|
5.500 |
|
|
09/01/34 |
|
14,583 |
|
|
|
4,015 |
|
|
|
5.000 |
|
|
11/01/34 |
|
4,282 |
|
|
|
231,248 |
|
|
|
5.000 |
|
|
12/01/34 |
|
246,599 |
|
|
|
733 |
|
|
|
5.500 |
|
|
03/01/35 |
|
794 |
|
|
|
11,352 |
|
|
|
5.000 |
|
|
07/01/35 |
|
12,106 |
|
|
|
1,610 |
|
|
|
5.500 |
|
|
07/01/35 |
|
1,737 |
|
|
|
3,200 |
|
|
|
5.000 |
|
|
11/01/35 |
|
3,412 |
|
|
|
2,857 |
|
|
|
5.500 |
|
|
11/01/35 |
|
3,106 |
|
|
|
22,099 |
|
|
|
5.000 |
|
|
12/01/35 |
|
23,653 |
|
|
|
45,698 |
|
|
|
5.500 |
|
|
01/01/36 |
|
49,702 |
|
|
|
168 |
|
|
|
5.500 |
|
|
02/01/36 |
|
182 |
|
|
|
1,540 |
|
|
|
6.000 |
|
|
06/01/36 |
|
1,667 |
|
|
|
29,451 |
|
|
|
5.000 |
|
|
02/01/37 |
|
31,279 |
|
|
|
2,939 |
|
|
|
5.000 |
|
|
03/01/38 |
|
3,136 |
|
|
|
64,274 |
|
|
|
5.500 |
|
|
03/01/38 |
|
70,008 |
|
|
|
25,657 |
|
|
|
5.500 |
|
|
04/01/38 |
|
27,946 |
|
|
|
5,436 |
|
|
|
5.500 |
|
|
11/01/38 |
|
5,949 |
|
|
|
7,782 |
|
|
|
5.500 |
|
|
12/01/38 |
|
8,376 |
|
|
|
327,106 |
|
|
|
7.000 |
|
|
02/01/39 |
|
373,870 |
|
|
|
2,084 |
|
|
|
5.500 |
|
|
03/01/39 |
|
2,275 |
|
|
|
144,925 |
|
|
|
5.000 |
|
|
07/01/39 |
|
154,967 |
|
|
|
3,056 |
|
|
|
5.500 |
|
|
10/01/39 |
|
3,328 |
|
|
|
7,872 |
|
|
|
5.500 |
|
|
03/01/40 |
|
8,578 |
|
|
|
17,204 |
|
|
|
4.000 |
|
|
06/01/40 |
|
17,631 |
|
|
|
16,394 |
|
|
|
5.500 |
|
|
06/01/40 |
|
17,852 |
| |
GOLDMAN SACHS GOVERNMENT INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| FHLMC – (continued) |
| $ |
|
|
8,363 |
|
|
|
5.000 |
% |
|
08/01/40 |
|
$ 8,937 |
|
|
|
590,378 |
|
|
|
5.500 |
|
|
08/01/40 |
|
644,430 |
|
|
|
2,396 |
|
|
|
4.500 |
|
|
11/01/40 |
|
2,517 |
|
|
|
172,476 |
|
|
|
4.000 |
|
|
02/01/41 |
|
177,312 |
|
|
|
1,325 |
|
|
|
5.000 |
|
|
04/01/41 |
|
1,421 |
|
|
|
7,516 |
|
|
|
5.000 |
|
|
06/01/41 |
|
8,029 |
|
|
|
322,405 |
|
|
|
5.000 |
|
|
07/01/41 |
|
342,286 |
|
|
|
11,752 |
|
|
|
4.000 |
|
|
11/01/41 |
|
12,090 |
|
|
|
18,522 |
|
|
|
3.000 |
|
|
05/01/42 |
|
18,093 |
|
|
|
18,244 |
|
|
|
3.000 |
|
|
08/01/42 |
|
17,821 |
|
|
|
21,054 |
|
|
|
3.000 |
|
|
01/01/43 |
|
20,554 |
|
|
|
73,827 |
|
|
|
3.000 |
|
|
02/01/43 |
|
72,123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,401,362 |
| |
| FNMA – 21.6% |
|
|
|
109 |
|
|
|
4.500 |
|
|
08/01/18 |
|
109 |
|
|
|
763 |
|
|
|
5.000 |
|
|
09/01/18 |
|
763 |
|
|
|
18,960 |
|
|
|
5.000 |
|
|
10/01/18 |
|
18,975 |
|
|
|
6,781 |
|
|
|
6.500 |
|
|
08/01/19 |
|
7,475 |
|
|
|
4,555 |
|
|
|
9.500 |
|
|
10/01/20 |
|
4,574 |
|
|
|
126,364 |
|
|
|
5.500 |
|
|
02/01/23 |
|
135,429 |
|
|
|
224,142 |
|
|
|
5.500 |
|
|
08/01/23 |
|
240,221 |
|
|
|
68,663 |
|
|
|
6.000 |
|
|
11/01/28 |
|
75,464 |
|
|
|
4,184 |
|
|
|
6.500 |
|
|
11/01/28 |
|
4,375 |
|
|
|
46,939 |
|
|
|
7.000 |
|
|
07/01/31 |
|
50,743 |
|
|
|
784 |
|
|
|
5.500 |
|
|
03/01/33 |
|
848 |
|
|
|
3,733 |
|
|
|
6.000 |
|
|
03/01/33 |
|
4,138 |
|
|
|
2,694,446 |
|
|
|
5.500 |
|
|
04/01/33 |
|
2,926,221 |
|
|
|
1,783 |
|
|
|
6.000 |
|
|
05/01/33 |
|
1,965 |
|
|
|
5,001 |
|
|
|
5.000 |
|
|
07/01/33 |
|
5,335 |
|
|
|
515,679 |
|
|
|
5.500 |
|
|
07/01/33 |
|
546,455 |
|
|
|
19,942 |
|
|
|
5.000 |
|
|
08/01/33 |
|
21,270 |
|
|
|
4,141 |
|
|
|
5.500 |
|
|
09/01/33 |
|
4,508 |
|
|
|
19,599 |
|
|
|
5.500 |
|
|
12/01/33 |
|
21,347 |
|
|
|
899 |
|
|
|
6.000 |
|
|
12/01/33 |
|
1,000 |
|
|
|
4,863 |
|
|
|
5.500 |
|
|
02/01/34 |
|
5,297 |
|
|
|
1,229 |
|
|
|
5.500 |
|
|
03/01/34 |
|
1,342 |
|
|
|
989 |
|
|
|
5.500 |
|
|
04/01/34 |
|
1,077 |
|
|
|
6,422 |
|
|
|
5.500 |
|
|
05/01/34 |
|
7,006 |
|
|
|
46 |
|
|
|
5.500 |
|
|
06/01/34 |
|
50 |
|
|
|
6,936 |
|
|
|
5.500 |
|
|
08/01/34 |
|
7,550 |
|
|
|
3,715 |
|
|
|
5.500 |
|
|
09/01/34 |
|
4,051 |
|
|
|
2,959 |
|
|
|
5.500 |
|
|
10/01/34 |
|
3,221 |
|
|
|
2,139 |
|
|
|
5.500 |
|
|
11/01/34 |
|
2,334 |
|
|
|
31,898 |
|
|
|
5.500 |
|
|
12/01/34 |
|
34,782 |
|
|
|
6,398 |
|
|
|
5.500 |
|
|
04/01/35 |
|
6,950 |
|
|
|
156,254 |
|
|
|
6.000 |
|
|
04/01/35 |
|
172,702 |
|
|
|
4,496 |
|
|
|
5.000 |
|
|
05/01/35 |
|
4,826 |
|
|
|
3,174 |
|
|
|
5.500 |
|
|
05/01/35 |
|
3,452 |
|
|
|
6,561 |
|
|
|
5.000 |
|
|
07/01/35 |
|
7,009 |
|
|
|
6,965 |
|
|
|
5.500 |
|
|
07/01/35 |
|
7,579 |
|
|
|
1,782 |
|
|
|
5.000 |
|
|
08/01/35 |
|
1,910 |
|
|
|
627 |
|
|
|
5.500 |
|
|
08/01/35 |
|
681 |
|
|
|
6,104 |
|
|
|
5.500 |
|
|
09/01/35 |
|
6,643 |
|
|
|
69,897 |
|
|
|
6.000 |
|
|
10/01/35 |
|
77,828 |
|
|
|
35,884 |
|
|
|
6.000 |
|
|
11/01/35 |
|
39,790 |
|
|
|
2,821 |
|
|
|
5.500 |
|
|
12/01/35 |
|
3,077 |
|
|
|
117 |
|
|
|
5.500 |
|
|
02/01/36 |
|
128 |
|
|
|
32,858 |
|
|
|
6.000 |
|
|
03/01/36 |
|
36,483 |
|
|
|
51,334 |
|
|
|
6.000 |
|
|
04/01/36 |
|
56,951 |
|
|
|
2,365 |
|
|
|
4.500 |
|
|
07/01/36 |
|
2,485 |
|
|
|
405 |
|
|
|
5.500 |
|
|
02/01/37 |
|
441 |
|
|
|
13,702 |
|
|
|
5.500 |
|
|
04/01/37 |
|
14,942 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| FNMA – (continued) |
| $ |
|
|
155 |
|
|
|
5.500 |
% |
|
06/01/37 |
|
$ 169 |
|
|
|
680,695 |
|
|
|
5.500 |
|
|
08/01/37 |
|
734,189 |
|
|
|
192,819 |
|
|
|
6.000 |
|
|
10/01/37 |
|
213,692 |
|
|
|
239 |
|
|
|
5.500 |
|
|
12/01/37 |
|
261 |
|
|
|
9,047 |
|
|
|
5.500 |
|
|
02/01/38 |
|
9,767 |
|
|
|
3,443 |
|
|
|
5.500 |
|
|
03/01/38 |
|
3,755 |
|
|
|
6,329 |
|
|
|
6.000 |
|
|
03/01/38 |
|
7,043 |
|
|
|
16,115 |
|
|
|
5.500 |
|
|
04/01/38 |
|
17,572 |
|
|
|
5,004 |
|
|
|
5.500 |
|
|
05/01/38 |
|
5,457 |
|
|
|
532 |
|
|
|
5.500 |
|
|
06/01/38 |
|
581 |
|
|
|
1,074 |
|
|
|
5.500 |
|
|
07/01/38 |
|
1,171 |
|
|
|
1,000 |
|
|
|
5.500 |
|
|
08/01/38 |
|
1,089 |
|
|
|
1,016 |
|
|
|
5.500 |
|
|
09/01/38 |
|
1,108 |
|
|
|
286 |
|
|
|
5.500 |
|
|
12/01/38 |
|
312 |
|
|
|
6,285 |
|
|
|
5.500 |
|
|
02/01/39 |
|
6,854 |
|
|
|
209,266 |
|
|
|
7.000 |
|
|
03/01/39 |
|
237,032 |
|
|
|
2,765 |
|
|
|
4.500 |
|
|
04/01/39 |
|
2,905 |
|
|
|
10,064 |
|
|
|
4.500 |
|
|
05/01/39 |
|
10,589 |
|
|
|
4,950 |
|
|
|
5.500 |
|
|
06/01/39 |
|
5,397 |
|
|
|
5,318 |
|
|
|
4.000 |
|
|
08/01/39 |
|
5,451 |
|
|
|
22,538 |
|
|
|
4.500 |
|
|
08/01/39 |
|
23,712 |
|
|
|
49,352 |
|
|
|
5.000 |
|
|
09/01/39 |
|
52,876 |
|
|
|
4,429 |
|
|
|
5.500 |
|
|
11/01/39 |
|
4,830 |
|
|
|
412,374 |
|
|
|
4.500 |
|
|
12/01/39 |
|
433,862 |
|
|
|
230,240 |
|
|
|
5.000 |
|
|
07/01/40 |
|
249,037 |
|
|
|
19,107 |
|
|
|
4.500 |
|
|
01/01/41 |
|
20,087 |
|
|
|
293,751 |
|
|
|
5.000 |
|
|
03/01/41 |
|
312,845 |
|
|
|
69,995 |
|
|
|
5.000 |
|
|
04/01/41 |
|
74,944 |
|
|
|
187,989 |
|
|
|
4.500 |
|
|
05/01/41 |
|
197,433 |
|
|
|
12,646 |
|
|
|
5.000 |
|
|
06/01/41 |
|
13,686 |
|
|
|
115,197 |
|
|
|
5.000 |
|
|
07/01/41 |
|
122,684 |
|
|
|
133,456 |
|
|
|
4.500 |
|
|
08/01/41 |
|
140,306 |
|
|
|
142,531 |
|
|
|
5.000 |
|
|
10/01/41 |
|
151,795 |
|
|
|
236,621 |
|
|
|
5.000 |
|
|
04/01/42 |
|
252,001 |
|
|
|
154,967 |
|
|
|
4.500 |
|
|
08/01/42 |
|
162,873 |
|
|
|
17,031 |
|
|
|
3.000 |
|
|
11/01/42 |
|
16,674 |
|
|
|
203,070 |
|
|
|
3.000 |
|
|
12/01/42 |
|
198,819 |
|
|
|
524,506 |
|
|
|
3.000 |
|
|
01/01/43 |
|
513,611 |
|
|
|
99,486 |
|
|
|
3.000 |
|
|
02/01/43 |
|
97,497 |
|
|
|
608,210 |
|
|
|
3.000 |
|
|
03/01/43 |
|
596,046 |
|
|
|
996,433 |
|
|
|
3.000 |
|
|
04/01/43 |
|
976,505 |
|
|
|
673,558 |
|
|
|
3.000 |
|
|
05/01/43 |
|
660,087 |
|
|
|
120,983 |
|
|
|
3.000 |
|
|
06/01/43 |
|
118,562 |
|
|
|
1,046,759 |
|
|
|
3.000 |
|
|
07/01/43 |
|
1,024,842 |
|
|
|
2,600,313 |
|
|
|
4.500 |
|
|
10/01/44 |
|
2,724,438 |
|
|
|
1,343,652 |
|
|
|
4.500 |
|
|
04/01/45 |
|
1,414,299 |
|
|
|
153,837 |
|
|
|
4.500 |
|
|
05/01/45 |
|
161,925 |
|
|
|
895,101 |
|
|
|
4.500 |
|
|
06/01/45 |
|
938,388 |
|
|
|
813,285 |
|
|
|
4.000 |
|
|
11/01/45 |
|
832,164 |
|
|
|
99,114 |
|
|
|
4.000 |
|
|
01/01/46 |
|
101,415 |
|
|
|
256,814 |
|
|
|
4.000 |
|
|
03/01/46 |
|
262,484 |
|
|
|
25,138 |
|
|
|
4.500 |
|
|
05/01/46 |
|
26,259 |
|
|
|
178,075 |
|
|
|
4.000 |
|
|
06/01/46 |
|
181,826 |
|
|
|
45,215 |
|
|
|
4.000 |
|
|
08/01/46 |
|
46,167 |
|
|
|
308,557 |
|
|
|
4.500 |
|
|
08/01/46 |
|
321,840 |
|
|
|
286,257 |
|
|
|
4.000 |
|
|
10/01/46 |
|
292,285 |
|
|
|
620,651 |
|
|
|
4.500 |
|
|
03/01/47 |
|
647,368 |
|
|
|
45,747 |
|
|
|
4.500 |
|
|
05/01/47 |
|
47,702 |
|
|
|
70,792 |
|
|
|
4.500 |
|
|
06/01/47 |
|
74,426 |
|
|
|
977,881 |
|
|
|
4.500 |
|
|
07/01/47 |
|
1,019,670 |
|
|
|
1,486,002 |
|
|
|
4.500 |
|
|
09/01/47 |
|
1,549,505 |
|
|
|
476,545 |
|
|
|
4.500 |
|
|
10/01/47 |
|
497,282 |
|
|
|
5,906,956 |
|
|
|
4.500 |
|
|
01/01/48 |
|
6,159,423 |
|
|
|
950,065 |
|
|
|
4.500 |
|
|
04/01/48 |
|
989,849 |
| |
GOLDMAN SACHS GOVERNMENT INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
|
Value |
| Mortgage-Backed Obligations – (continued) |
| FNMA – (continued) |
| $ |
|
|
233,234 |
|
|
|
4.500 |
% |
|
|
05/01/48 |
|
|
$ 243,001 |
|
|
|
4,702,326 |
|
|
|
4.500 |
|
|
|
06/01/48 |
|
|
4,899,236 |
|
|
|
2,000,000 |
|
|
|
3.500 |
|
|
|
TBA-30yr |
(d) |
|
1,990,312 |
|
|
|
12,000,000 |
|
|
|
4.000 |
|
|
|
TBA-30yr |
(d) |
|
12,234,374 |
|
|
|
13,000,000 |
|
|
|
4.500 |
|
|
|
TBA-30yr |
(d) |
|
13,536,250 |
|
|
|
8,000,000 |
|
|
|
5.000 |
|
|
|
TBA-30yr |
(d) |
|
8,475,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
71,928,698 |
| |
| GNMA – 13.3% |
|
|
|
66,726 |
|
|
|
7.000 |
|
|
|
12/15/27 |
|
|
71,660 |
|
|
|
13,167 |
|
|
|
6.500 |
|
|
|
08/15/28 |
|
|
14,521 |
|
|
|
84,987 |
|
|
|
6.000 |
|
|
|
01/15/29 |
|
|
93,454 |
|
|
|
146,060 |
|
|
|
7.000 |
|
|
|
10/15/29 |
|
|
163,859 |
|
|
|
39,008 |
|
|
|
5.500 |
|
|
|
11/15/32 |
|
|
42,191 |
|
|
|
670,964 |
|
|
|
5.500 |
|
|
|
12/15/32 |
|
|
728,120 |
|
|
|
22,921 |
|
|
|
5.500 |
|
|
|
01/15/33 |
|
|
24,752 |
|
|
|
58,332 |
|
|
|
5.500 |
|
|
|
02/15/33 |
|
|
63,319 |
|
|
|
58,295 |
|
|
|
5.500 |
|
|
|
03/15/33 |
|
|
63,278 |
|
|
|
59,430 |
|
|
|
5.500 |
|
|
|
07/15/33 |
|
|
64,485 |
|
|
|
27,738 |
|
|
|
5.500 |
|
|
|
08/15/33 |
|
|
30,110 |
|
|
|
18,256 |
|
|
|
5.500 |
|
|
|
09/15/33 |
|
|
19,817 |
|
|
|
39,616 |
|
|
|
5.500 |
|
|
|
04/15/34 |
|
|
43,007 |
|
|
|
9,669 |
|
|
|
5.500 |
|
|
|
05/15/34 |
|
|
10,496 |
|
|
|
370,258 |
|
|
|
5.500 |
|
|
|
06/15/34 |
|
|
401,948 |
|
|
|
257,306 |
|
|
|
5.500 |
|
|
|
09/15/34 |
|
|
279,329 |
|
|
|
252,197 |
|
|
|
5.500 |
|
|
|
12/15/34 |
|
|
273,782 |
|
|
|
183,941 |
|
|
|
5.500 |
|
|
|
01/15/35 |
|
|
199,685 |
|
|
|
147,855 |
|
|
|
5.000 |
|
|
|
03/15/38 |
|
|
156,521 |
|
|
|
1,564 |
|
|
|
5.000 |
|
|
|
11/15/38 |
|
|
1,678 |
|
|
|
9,266 |
|
|
|
4.000 |
|
|
|
02/20/41 |
|
|
9,576 |
|
|
|
14,114 |
|
|
|
4.000 |
|
|
|
11/20/41 |
|
|
14,587 |
|
|
|
2,339 |
|
|
|
4.000 |
|
|
|
01/20/42 |
|
|
2,416 |
|
|
|
7,502 |
|
|
|
4.000 |
|
|
|
04/20/42 |
|
|
7,751 |
|
|
|
4,199 |
|
|
|
4.000 |
|
|
|
10/20/42 |
|
|
4,336 |
|
|
|
560,758 |
|
|
|
4.000 |
|
|
|
08/20/43 |
|
|
579,180 |
|
|
|
5,659,917 |
|
|
|
4.000 |
|
|
|
10/20/43 |
|
|
5,842,317 |
|
|
|
8,060 |
|
|
|
4.000 |
|
|
|
03/20/44 |
|
|
8,310 |
|
|
|
9,749 |
|
|
|
4.000 |
|
|
|
05/20/44 |
|
|
10,051 |
|
|
|
675,464 |
|
|
|
4.000 |
|
|
|
11/20/44 |
|
|
696,387 |
|
|
|
3,039,128 |
|
|
|
4.000 |
|
|
|
06/20/45 |
|
|
3,129,470 |
|
|
|
2,193,276 |
|
|
|
4.000 |
|
|
|
07/20/45 |
|
|
2,258,474 |
|
|
|
506,337 |
|
|
|
4.000 |
|
|
|
09/20/45 |
|
|
521,231 |
|
|
|
1,605,735 |
|
|
|
4.000 |
|
|
|
10/20/45 |
|
|
1,652,966 |
|
|
|
784,779 |
|
|
|
4.000 |
|
|
|
01/20/46 |
|
|
807,863 |
|
|
|
353,876 |
|
|
|
4.000 |
|
|
|
02/20/46 |
|
|
364,285 |
|
|
|
764,641 |
|
|
|
4.000 |
|
|
|
04/20/47 |
|
|
785,699 |
|
|
|
1,835,868 |
|
|
|
4.000 |
|
|
|
07/20/47 |
|
|
1,884,131 |
|
|
|
134,817 |
|
|
|
4.000 |
|
|
|
10/20/47 |
|
|
138,319 |
|
|
|
7,000,000 |
|
|
|
4.000 |
|
|
|
TBA-30yr |
(d) |
|
7,162,422 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| GNMA – (continued) |
| $ |
|
|
15,000,000 |
|
|
|
4.500 |
% |
|
TBA-30yr(d) |
|
$ 15,589,453 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
44,215,236 |
| |
| TOTAL FEDERAL AGENCIES |
|
$124,175,296 |
| |
| TOTAL MORTGAGE-BACKED OBLIGATIONS
(Cost $131,919,340) |
|
$131,965,240 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Agency Debentures – 11.2% |
| FHLB |
| $ |
|
|
2,200,000 |
|
|
|
1.875 |
% |
|
03/13/20 |
|
$ 2,175,118 |
|
|
|
3,700,000 |
|
|
|
2.125 |
|
|
06/09/23 |
|
3,595,157 |
|
|
|
2,100,000 |
|
|
|
3.375 |
|
|
09/08/23 |
|
2,151,414 |
|
|
|
300,000 |
|
|
|
3.375 |
|
|
12/08/23 |
|
307,681 |
| FNMA |
|
|
|
1,400,000 |
|
|
|
1.875 |
|
|
09/24/26 |
|
1,276,422 |
|
|
|
2,600,000 |
|
|
|
6.250 |
|
|
05/15/29 |
|
3,335,696 |
|
|
|
4,000,000 |
|
|
|
6.625 |
|
|
11/15/30 |
|
5,373,000 |
| Hashemite Kingdom of Jordan Government AID
Bond(e) |
|
|
|
4,600,000 |
|
|
|
2.503 |
|
|
10/30/20 |
|
4,569,042 |
| Israel Government AID
Bond(e) |
|
|
|
1,400,000 |
|
|
|
5.500 |
|
|
09/18/23 |
|
1,576,190 |
|
|
|
500,000 |
|
|
|
5.500 |
|
|
12/04/23 |
|
563,860 |
|
|
|
700,000 |
|
|
|
5.500 |
|
|
04/26/24 |
|
793,863 |
| NCUA Guaranteed Notes Series A4 |
|
|
|
3,400,000 |
|
|
|
3.000 |
|
|
06/12/19 |
|
3,416,816 |
| New Valley Generation V |
|
|
|
1,408,789 |
|
|
|
4.929 |
|
|
01/15/21 |
|
1,461,941 |
| Tennessee Valley Authority |
|
|
|
6,500,000 |
|
|
|
3.875 |
|
|
02/15/21 |
|
6,691,945 |
| |
| TOTAL AGENCY DEBENTURES
(Cost $37,877,011) |
|
$ 37,288,145 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities – 11.1% |
| Automotive – 3.4% |
| Ally Master Owner Trust Series 2018-1, Class A2 |
| $ |
|
|
4,100,000 |
|
|
|
2.700 |
% |
|
01/17/23 |
|
$ 4,060,733 |
| Avis Budget Rental Car Funding AESOP LLC Series 2015-2A, Class A(f) |
|
|
|
2,150,000 |
|
|
|
2.630 |
|
|
12/20/21 |
|
2,123,381 |
| Chesapeake Funding II LLC Series 2017-2A, Class A1(f) |
|
|
|
1,590,443 |
|
|
|
1.990 |
|
|
05/15/29 |
|
1,567,670 |
| Ford Credit Auto Owner Trust Series 2016-2, Class A(f) |
|
|
|
400,000 |
|
|
|
2.030 |
|
|
12/15/27 |
|
387,121 |
| GMF Floorplan Owner Revolving Trust Series 2016-1, Class A1(f) |
|
|
|
1,250,000 |
|
|
|
1.960 |
|
|
05/17/21 |
|
1,241,569 |
| Mercedes-Benz Master Owner Trust Series
2017-BA, Class A(b)(f)(1M LIBOR + 0.420%) |
|
|
|
1,850,000 |
|
|
|
2.493 |
|
|
05/16/22 |
|
1,854,791 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,235,265 |
| |
| Student Loan(b) –
7.7% |
| Access Group, Inc. Series 2005-2, Class A3(3M USD
LIBOR +
0.180%) |
|
|
|
304,706 |
|
|
|
2.084 |
|
|
11/22/24 |
|
304,705 |
| Access Group, Inc. Series 2015-1, Class A(f)(1M USD
LIBOR + 0.700%) |
|
|
|
549,398 |
|
|
|
2.660 |
|
|
07/25/56 |
|
548,638 |
| ECMC Group Student Loan Trust Series 2016-1A, Class A(f)(1M USD LIBOR + 1.350%) |
|
|
|
1,429,355 |
|
|
|
3.310 |
|
|
07/26/66 |
|
1,452,706 |
| |
GOLDMAN SACHS GOVERNMENT INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Asset-Backed Securities
– (continued) |
| Student Loan(b) –
(continued) |
| Edsouth Indenture No. 9 LLC Series 2015-1, Class A(f)(1M USD LIBOR + 0.800%) |
| $ |
|
|
1,164,071 |
|
|
|
2.760 |
% |
|
10/25/56 |
|
$ 1,168,416 |
| Education Loan Asset-Backed Trust I Series 2013-1, Class A2(f)(1M USD LIBOR + 0.800%) |
|
|
|
2,750,000 |
|
|
|
2.760 |
|
|
04/26/32 |
|
2,763,243 |
| GCO Education Loan Funding Master Trust II Series 2007-1A, Class A6L(f)(3M LIBOR + 0.110%) |
|
|
|
1,353,150 |
|
|
|
2.440 |
|
|
11/25/26 |
|
1,345,651 |
| Higher Education Funding I Series 2014-1, Class A(f)(3M USD LIBOR + 1.050%) |
|
|
|
1,363,685 |
|
|
|
2.994 |
|
|
05/25/34 |
|
1,370,848 |
| Navient Student Loan Trust Series 2016-5A, Class A(f)(1M USD LIBOR + 1.250%) |
|
|
|
3,212,533 |
|
|
|
3.210 |
|
|
06/25/65 |
|
3,296,594 |
| Navient Student Loan Trust Series 2016-7A, Class A(f)(1M USD LIBOR + 1.150%) |
|
|
|
1,495,394 |
|
|
|
3.110 |
|
|
03/25/66 |
|
1,523,416 |
| Navient Student Loan Trust Series 2017-4A, Class A2(f)(1M USD LIBOR + 0.500%) |
|
|
|
850,000 |
|
|
|
2.460 |
|
|
09/27/66 |
|
852,460 |
| Navient Student Loan Trust Series 2017-5A, Class A(f)(1M USD LIBOR + 0.800%) |
|
|
|
3,108,792 |
|
|
|
2.760 |
|
|
07/26/66 |
|
3,137,454 |
| Nelnet Student Loan Trust Series 2013-5A, Class A(f)(1M USD LIBOR + 0.630%) |
|
|
|
296,444 |
|
|
|
2.590 |
|
|
01/25/37 |
|
296,678 |
| North Carolina State Education Assistance Authority Series 2010-1,
Class A1(3M USD LIBOR + 0.900%) |
|
|
|
630,354 |
|
|
|
2.645 |
|
|
07/25/41 |
|
628,974 |
| PHEAA Student Loan Trust Series 2016-1A, Class A(f)(1M USD LIBOR + 1.150%) |
|
|
|
1,500,993 |
|
|
|
3.110 |
|
|
09/25/65 |
|
1,523,936 |
| Scholar Funding Trust Series 2013-A, Class A(f)(1M USD LIBOR + 0.650%) |
|
|
|
1,767,143 |
|
|
|
2.618 |
|
|
01/30/45 |
|
1,759,856 |
| SLM Student Loan Trust Series 2003-14, Class A5(3M USD LIBOR +
0.230%) |
|
|
|
53,194 |
|
|
|
1.975 |
|
|
01/25/23 |
|
53,196 |
| SLM Student Loan Trust Series 2004-8A, Class A6(f)(3M USD LIBOR + 0.630%) |
|
|
|
850,000 |
|
|
|
2.375 |
|
|
01/25/40 |
|
854,803 |
| SLM Student Loan Trust Series 2008-5, Class A4(3M USD LIBOR +
1.700%) |
|
|
|
1,763,678 |
|
|
|
3.445 |
|
|
07/25/23 |
|
1,808,720 |
| Utah State Board of Regents Series 2011-1, Class A3(3M USD LIBOR
+ 0.850%) |
|
|
|
800,000 |
|
|
|
2.623 |
|
|
05/01/35 |
|
804,168 |
| Wachovia Student Loan Trust Series 2005-1, Class A5(3M USD LIBOR
+ 0.130%) |
|
|
|
97,956 |
|
|
|
2.490 |
|
|
01/26/26 |
|
97,895 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,592,357 |
| |
| TOTAL ASSET-BACKED SECURITIES
(Cost $36,589,934) |
|
$36,827,622 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Debt Obligations – 1.9% |
| Alaska(b) –
0.6% |
| Alaska State Student Loan Corp. Series 2013, Class A(1M USD LIBOR + 0.500%) |
| $ |
|
|
2,179,067 |
|
|
|
2.591 |
% |
|
08/25/31 |
|
$ 2,181,397 |
| |
| New Hampshire(b)(g) –
0.4% |
| New Hampshire Higher Education Loan Corp. Series 2011-1, Class A3(3M
USD LIBOR + 0.850%) |
|
|
|
1,200,000 |
|
|
|
3.210 |
|
|
10/25/37 |
|
1,207,837 |
| |
| New Jersey – 0.7% |
| New Jersey Economic Development Authority Series A |
|
|
|
2,000,000 |
|
|
|
7.425 |
|
|
02/15/29 |
|
2,434,860 |
| |
| Texas(b)(g) –
0.2% |
| Brazos Higher Education Authority, Inc. Series 2005-2, Class I-A12(3M USD LIBOR + 0.160%) |
|
|
|
659,389 |
|
|
|
2.495 |
|
|
03/27/23 |
|
657,605 |
| |
| TOTAL MUNICIPAL DEBT OBLIGATIONS (Cost $6,012,197) |
|
$ 6,481,699 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Obligations – 42.3% |
| United States Treasury Bonds |
| $ |
|
|
3,830,000 |
|
|
|
3.625 |
%(h) |
|
02/15/44 |
|
$ 4,270,488 |
|
|
|
3,320,000 |
|
|
|
3.125 |
|
|
08/15/44 |
|
3,407,283 |
|
|
|
3,200,000 |
|
|
|
3.000 |
|
|
11/15/44 |
|
3,211,456 |
|
|
|
1,570,000 |
|
|
|
2.875 |
|
|
08/15/45 |
|
1,538,318 |
|
|
|
11,110,000 |
|
|
|
2.875 |
|
|
11/15/46 |
|
10,878,690 |
|
|
|
60,000 |
|
|
|
3.000 |
|
|
05/15/47 |
|
60,181 |
|
|
|
5,080,000 |
|
|
|
2.750 |
|
|
11/15/47 |
|
4,847,234 |
| United States Treasury Notes |
|
|
|
820,000 |
|
|
|
1.875 |
|
|
01/31/22 |
|
797,794 |
|
|
|
5,920,000 |
|
|
|
1.875 |
|
|
04/30/22 |
|
5,745,005 |
|
|
|
1,540,000 |
|
|
|
1.750 |
|
|
05/31/22 |
|
1,486,285 |
|
|
|
500,000 |
|
|
|
2.000 |
(h) |
|
07/31/22 |
|
486,495 |
|
|
|
51,010,000 |
|
|
|
1.875 |
|
|
10/31/22 |
|
49,278,722 |
|
|
|
19,300,000 |
|
|
|
2.125 |
|
|
07/31/24 |
|
18,580,882 |
|
|
|
5,670,000 |
|
|
|
2.125 |
|
|
09/30/24 |
|
5,451,648 |
|
|
|
3,600,000 |
|
|
|
2.125 |
|
|
11/30/24 |
|
3,457,152 |
|
|
|
3,660,000 |
|
|
|
2.875 |
|
|
04/30/25 |
|
3,674,860 |
|
|
|
500,000 |
|
|
|
2.125 |
|
|
05/15/25 |
|
478,535 |
|
|
|
400,000 |
|
|
|
2.000 |
|
|
08/15/25 |
|
379,000 |
|
|
|
9,180,000 |
|
|
|
1.625 |
|
|
05/15/26 |
|
8,399,057 |
|
|
|
4,570,000 |
|
|
|
2.250 |
|
|
02/15/27 |
|
4,362,385 |
| United States Treasury Strip
Coupon(c) |
|
|
|
6,400,000 |
|
|
|
0.000 |
|
|
11/15/35 |
|
3,806,272 |
|
|
|
3,200,000 |
|
|
|
0.000 |
|
|
02/15/36 |
|
1,890,752 |
|
|
|
1,300,000 |
|
|
|
0.000 |
|
|
05/15/36 |
|
762,333 |
|
|
|
6,000,000 |
|
|
|
0.000 |
|
|
11/15/37 |
|
3,364,200 |
| |
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $142,436,648) |
|
$140,615,027 |
| |
|
|
|
| Shares |
|
|
Distribution Rate |
|
Value |
| Investment
Company(i) – 6.7% |
| Goldman Sachs Financial Square Government Fund - Institutional Shares |
|
|
|
22,290,305 |
|
|
|
1.869% |
|
$ 22,290,305 |
| (Cost $22,290,305) |
| |
| TOTAL INVESTMENTS BEFORE
SHORT-TERM INVESTMENT (Cost
$377,125,435) |
|
$375,468,038 |
| |
GOLDMAN SACHS GOVERNMENT INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Short-term Investments – 3.4% |
| Commercial Paper(c) –
3.4% |
| AT&T, Inc. |
| $ |
|
|
1,831,000 |
|
|
|
0.000 |
% |
|
10/05/18 |
|
$ 1,817,891 |
|
|
|
700,000 |
|
|
|
0.000 |
|
|
10/09/18 |
|
694,784 |
| Duke Energy Corp. |
|
|
|
1,665,000 |
|
|
|
0.000 |
|
|
08/27/18 |
|
1,658,323 |
| Hewlett Packard Enterprise Co. |
|
|
|
830,000 |
|
|
|
0.000 |
|
|
07/10/18 |
|
829,508 |
|
|
|
831,000 |
|
|
|
0.000 |
|
|
07/11/18 |
|
830,462 |
| HP, Inc. |
|
|
|
500,000 |
|
|
|
0.000 |
|
|
07/23/18 |
|
499,342 |
| Mondelez International, Inc. |
|
|
|
1,500,000 |
|
|
|
0.000 |
|
|
10/02/18 |
|
1,489,847 |
| Southern Co. |
|
|
|
665,000 |
|
|
|
0.000 |
|
|
08/30/18 |
|
662,186 |
| Versailles Commercial Paper LLC |
|
|
|
1,866,000 |
|
|
|
0.000 |
|
|
07/09/18 |
|
1,864,942 |
| VW Credit, Inc. |
|
|
|
1,150,000 |
|
|
|
0.000 |
|
|
09/20/18 |
|
1,143,300 |
| |
| TOTAL SHORT-TERM INVESTMENTS
(Cost $11,491,205) |
|
$ 11,490,585 |
| |
| TOTAL INVESTMENTS – 116.3% (Cost $388,616,640) |
|
$386,958,623 |
| |
| LIABILITIES IN EXCESS OF
OTHER ASSETS – (16.3)% |
|
(54,279,709) |
| |
| NET ASSETS – 100.0% |
|
$332,678,914 |
| |
|
|
|
|
| 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. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed
is that which is in effect on June 30, 2018. |
|
|
| (c) |
|
Issued with a zero coupon. Income is recognized through the accretion of discount. |
|
|
| (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 $58,987,811 which represents approximately 17.7% of net assets as of
June 30, 2018. |
|
|
| (e) |
|
Guaranteed by the United States Government until maturity. Total market value for these securities amounts to $7,502,955, which represents approximately 2.3% of net assets as of
June 30, 2018. |
|
|
|
| (f) |
|
Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed 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 $29,069,231, which represents approximately 8.7% of net assets as of June 30,
2018. The liquidity determination is unaudited. |
|
|
| (g) |
|
Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
|
|
| (h) |
|
All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. |
|
|
| (i) |
|
Represents an affiliated issuer. |
|
|
|
| |
| Currency Abbreviations: |
| USD |
|
— U.S. Dollar |
|
| Investment Abbreviations: |
| CMT |
|
— Constant Maturity Treasury Indexes |
| 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 |
| LLC |
|
— Limited Liability Company |
| NCUA |
|
— National Credit Union Administration |
| REMIC |
|
— Real Estate Mortgage Investment Conduit |
| STRIPS |
|
— Separate Trading of Registered Interest and Principal of Securities |
| |
|
| For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com. |
GOLDMAN SACHS GOVERMENT INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FORWARD SALES CONTRACTS — At June 30, 2018, the Fund had the
following forward sales contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Interest Rate |
|
Maturity
Date(a) |
|
Settlement Date |
|
Principal
Amount |
|
|
Value |
|
| |
|
| FNMA |
|
3.000% |
|
TBA-30yr |
|
07/12/18 |
|
|
$(2,000,000) |
|
|
|
$(1,937,188) |
|
| GNMA |
|
4.000 |
|
TBA-30yr |
|
07/19/18 |
|
|
(7,000,000) |
|
|
|
(7,172,812) |
|
| |
|
| TOTAL (Proceeds Receivable: $9,077,813) |
|
|
|
|
|
|
|
|
$(9,110,000) |
|
| |
|
| (a) |
|
TBA (To Be Announced) Securities are purchased or 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. |
FUTURES
CONTRACTS — At June 30, 2018, the Fund had the following futures contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Number of
Contracts |
|
Expiration Date |
|
Notional
Amount |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Long position contracts: |
|
| Ultra 10 Year U.S. Treasury Notes |
|
69 |
|
09/19/18 |
|
|
$ 8,848,172 |
|
|
|
$ 93,986 |
|
| U.S. Long Bonds |
|
12 |
|
09/19/18 |
|
|
1,740,000 |
|
|
|
14,352 |
|
| 5 Year U.S Treasury Notes |
|
173 |
|
09/28/18 |
|
|
19,655,774 |
|
|
|
45,796 |
|
| 10 Year U.S Treasury Notes |
|
19 |
|
09/19/18 |
|
|
2,283,562 |
|
|
|
(812 |
) |
| |
|
| Total |
|
|
|
$ 153,322 |
|
| |
|
| Short position contracts: |
|
| Eurodollars |
|
(2) |
|
12/17/18 |
|
|
(486,800 |
) |
|
|
3,647 |
|
| Eurodollars |
|
(28) |
|
06/17/19 |
|
|
(6,800,150 |
) |
|
|
59,803 |
|
| Eurodollars |
|
(34) |
|
03/16/20 |
|
|
(8,246,700 |
) |
|
|
(4,754 |
) |
| Eurodollars |
|
(34) |
|
06/15/20 |
|
|
(8,246,700 |
) |
|
|
(6,029 |
) |
| Eurodollars |
|
(34) |
|
09/14/20 |
|
|
(8,247,125 |
) |
|
|
(7,729 |
) |
| Eurodollars |
|
(194) |
|
12/14/20 |
|
|
(47,054,700 |
) |
|
|
1,099 |
|
| Eurodollars |
|
(47) |
|
03/15/21 |
|
|
(11,401,025 |
) |
|
|
(15,222 |
) |
| Eurodollars |
|
(47) |
|
06/14/21 |
|
|
(11,401,613 |
) |
|
|
(14,796 |
) |
| Eurodollars |
|
(60) |
|
09/13/21 |
|
|
(14,555,250 |
) |
|
|
(21,727 |
) |
| Eurodollars |
|
(60) |
|
12/13/21 |
|
|
(14,553,750 |
) |
|
|
(22,639 |
) |
| Eurodollars |
|
(60) |
|
03/14/22 |
|
|
(14,554,500 |
) |
|
|
(24,727 |
) |
| Eurodollars |
|
(60) |
|
06/13/22 |
|
|
(14,554,500 |
) |
|
|
(24,889 |
) |
| Ultra Long U.S. Treasury Bonds |
|
(47) |
|
09/19/18 |
|
|
(7,499,437 |
) |
|
|
(78,063 |
) |
| 2 Year U.S Treasury Notes |
|
(3) |
|
09/28/18 |
|
|
(635,484 |
) |
|
|
260 |
|
| |
|
| Total |
|
|
|
$(155,766 |
) |
| |
|
| TOTAL FUTURES CONTRACTS |
|
|
|
$ (2,444 |
) |
| |
|
|
| SWAP CONTRACTS — At June 30, 2018, the Fund had the following swap contracts: |
|
|
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Payments Made by the
Fund |
|
Payments Received by Fund |
|
Termination
Date |
|
|
Notional
Amount
(000s) |
|
|
Market
Value |
|
|
Upfront
Premium
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| 3M LIBOR(a) |
|
2.139%(b) |
|
|
11/20/20 |
|
|
$ |
33,680 |
(c) |
|
$ |
(495,783 |
) |
|
$ |
(51,340 |
) |
|
$ |
(444,443 |
) |
| 2.275%(b) |
|
3M LIBOR(a) |
|
|
11/20/23 |
|
|
|
14,350 |
(c) |
|
|
432,572 |
|
|
|
24,086 |
|
|
|
408,486 |
|
| 2.882(b) |
|
3M LIBOR(a) |
|
|
02/28/25 |
|
|
|
6,520 |
|
|
|
2,533 |
|
|
|
15,463 |
|
|
|
(12,930 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
$ |
(60,678 |
) |
|
$ |
(11,791 |
) |
|
$ |
(48,887 |
) |
| |
|
| (a) |
|
Payments made quarterly. |
| (b) |
|
Payments made semi-annually. |
| (c) |
|
Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2018.
|
GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND
Schedule of Investments
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Mortgage-Backed Obligations – 32.9% |
| Collateralized Mortgage Obligations – 23.0% |
| Interest Only(a) –
0.0% |
| FNMA REMIC Series 1990-145, Class B |
| $ |
|
|
21 |
|
|
|
1,004.961 |
% |
|
12/25/20 |
|
$ 58 |
| |
| Regular Floater(b) –
21.7% |
| FHLMC REMIC Series 1826, Class F(1M LIBOR + 0.400%) |
|
|
|
9,349 |
|
|
|
2.319 |
|
|
09/15/21 |
|
9,365 |
| FHLMC REMIC Series 3049, Class FP(1M LIBOR + 0.350%) |
|
|
|
3,276,514 |
|
|
|
2.269 |
|
|
10/15/35 |
|
3,284,892 |
| FHLMC REMIC Series 3208, Class FB(1M LIBOR + 0.400%) |
|
|
|
429,828 |
|
|
|
2.319 |
|
|
08/15/36 |
|
430,899 |
| FHLMC REMIC Series 3208, Class FD(1M LIBOR + 0.400%) |
|
|
|
1,048,591 |
|
|
|
2.319 |
|
|
08/15/36 |
|
1,054,707 |
| FHLMC REMIC Series 3208, Class FG(1M LIBOR + 0.400%) |
|
|
|
1,020,251 |
|
|
|
2.319 |
|
|
08/15/36 |
|
1,026,202 |
| FHLMC REMIC Series 3307, Class FA(1M LIBOR + 0.430%) |
|
|
|
7,618,577 |
|
|
|
2.349 |
|
|
07/15/34 |
|
7,659,060 |
| FHLMC REMIC Series 3312, Class HF(1M LIBOR + 0.300%) |
|
|
|
3,481,156 |
|
|
|
2.219 |
|
|
08/15/33 |
|
3,487,938 |
| FHLMC REMIC Series 3371, Class FA(1M LIBOR + 0.600%) |
|
|
|
689,717 |
|
|
|
2.519 |
|
|
09/15/37 |
|
697,433 |
| FHLMC REMIC Series 3374, Class FT(1M LIBOR + 0.300%) |
|
|
|
133,460 |
|
|
|
2.219 |
|
|
04/15/37 |
|
133,460 |
| FHLMC REMIC Series 3471, Class FB(1M LIBOR + 1.000%) |
|
|
|
1,496,424 |
|
|
|
2.919 |
|
|
08/15/35 |
|
1,530,757 |
| FHLMC REMIC Series 3545, Class FA(1M LIBOR + 0.850%) |
|
|
|
230,689 |
|
|
|
2.769 |
|
|
06/15/39 |
|
233,658 |
| FHLMC REMIC Series 4039, Class FA(1M LIBOR + 0.500%) |
|
|
|
2,396,543 |
|
|
|
2.419 |
|
|
05/15/42 |
|
2,418,930 |
| FHLMC REMIC Series 4272, Class FD(1M LIBOR + 0.350%) |
|
|
|
4,285,271 |
|
|
|
2.269 |
|
|
11/15/43 |
|
4,296,751 |
| FHLMC REMIC Series 4316, Class FY(1M LIBOR + 0.400%) |
|
|
|
1,381,697 |
|
|
|
2.319 |
|
|
11/15/39 |
|
1,385,772 |
| FHLMC REMIC Series 4477, Class FG(1M LIBOR + 0.300%) |
|
|
|
4,333,315 |
|
|
|
2.282 |
|
|
10/15/40 |
|
4,325,816 |
| FHLMC REMIC Series 4508, Class CF(1M LIBOR + 0.400%) |
|
|
|
10,420,929 |
|
|
|
2.319 |
|
|
09/15/45 |
|
10,463,569 |
| FHLMC REMIC Series 4751, Class EF(1M LIBOR + 0.250%) |
|
|
|
12,286,882 |
|
|
|
2.323 |
|
|
05/15/41 |
|
12,276,407 |
| FHLMC REMIC Series 4751, Class FA(1M LIBOR + 0.250%) |
|
|
|
9,714,384 |
|
|
|
2.323 |
|
|
03/15/39 |
|
9,710,337 |
| FHLMC STRIPS Series 237, Class F23(1M LIBOR + 0.400%) |
|
|
|
281,292 |
|
|
|
2.473 |
|
|
05/15/36 |
|
282,082 |
| FHLMC STRIPS Series 350, Class F2(1M LIBOR + 0.350%) |
|
|
|
15,455,049 |
|
|
|
2.332 |
|
|
09/15/40 |
|
15,402,440 |
| FNMA REMIC Series 1998-66, Class FC(1M LIBOR +
0.500%) |
|
|
|
33,131 |
|
|
|
2.439 |
|
|
11/17/28 |
|
33,284 |
| FNMA REMIC Series 2006-42, Class CF(1M LIBOR +
0.450%) |
|
|
|
6,836,998 |
|
|
|
2.410 |
|
|
06/25/36 |
|
6,885,103 |
| FNMA REMIC Series 2006-72, Class XF(1M LIBOR +
0.500%) |
|
|
|
329,681 |
|
|
|
2.460 |
|
|
08/25/36 |
|
331,542 |
| FNMA REMIC Series 2007-33, Class HF(1M LIBOR +
0.350%) |
|
|
|
44,464 |
|
|
|
2.310 |
|
|
04/25/37 |
|
44,591 |
| FNMA REMIC Series 2007-36, Class F(1M LIBOR +
0.230%) |
|
|
|
905,654 |
|
|
|
2.190 |
|
|
04/25/37 |
|
904,174 |
| FNMA REMIC Series 2007-92, Class OF(1M LIBOR +
0.570%) |
|
|
|
334,974 |
|
|
|
2.530 |
|
|
09/25/37 |
|
338,359 |
| FNMA REMIC Series 2008-22, Class FD(1M LIBOR +
0.840%) |
|
|
|
422,416 |
|
|
|
2.931 |
|
|
04/25/48 |
|
430,375 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| Regular Floater(b) –
(continued) |
| FNMA REMIC Series 2009-75, Class MF(1M LIBOR +
1.150%) |
| $ |
|
|
617,462 |
|
|
|
3.110 |
% |
|
09/25/39 |
|
$ 633,983 |
| FNMA REMIC Series 2010-123, Class FL(1M LIBOR +
0.430%) |
|
|
|
1,416,706 |
|
|
|
2.390 |
|
|
11/25/40 |
|
1,423,563 |
| FNMA REMIC Series 2010-8, Class FE(1M LIBOR +
0.790%) |
|
|
|
7,511,048 |
|
|
|
2.750 |
|
|
02/25/40 |
|
7,628,716 |
| FNMA REMIC Series 2011-110, Class FE(1M LIBOR +
0.400%) |
|
|
|
2,314,718 |
|
|
|
2.360 |
|
|
04/25/41 |
|
2,324,062 |
| FNMA REMIC Series 2011-53, Class FT(1M LIBOR +
0.580%) |
|
|
|
534,295 |
|
|
|
2.671 |
|
|
06/25/41 |
|
540,173 |
| FNMA REMIC Series 2011-63, Class FG(1M LIBOR +
0.450%) |
|
|
|
510,798 |
|
|
|
2.410 |
|
|
07/25/41 |
|
513,928 |
| FNMA REMIC Series 2012-110, Class MF(1M LIBOR +
0.460%) |
|
|
|
4,823,452 |
|
|
|
2.420 |
|
|
10/25/42 |
|
4,861,892 |
| FNMA REMIC Series 2012-56, Class FG(1M LIBOR +
0.500%) |
|
|
|
1,648,855 |
|
|
|
2.591 |
|
|
03/25/39 |
|
1,656,275 |
| FNMA REMIC Series 2013-96, Class FW(1M LIBOR +
0.400%) |
|
|
|
132,014 |
|
|
|
2.360 |
|
|
09/25/43 |
|
132,680 |
| FNMA REMIC Series 2014-19, Class FA(1M LIBOR +
0.400%) |
|
|
|
1,254,552 |
|
|
|
2.360 |
|
|
11/25/39 |
|
1,258,125 |
| FNMA REMIC Series 2014-19, Class FJ(1M LIBOR +
0.400%) |
|
|
|
1,429,181 |
|
|
|
2.360 |
|
|
11/25/39 |
|
1,433,337 |
| FNMA REMIC Series 2016-1, Class FT(1M LIBOR +
0.350%) |
|
|
|
5,456,789 |
|
|
|
2.441 |
|
|
02/25/46 |
|
5,471,571 |
| FNMA REMIC Series 2016-23, Class FT(1M LIBOR +
0.500%) |
|
|
|
1,085,982 |
|
|
|
2.460 |
|
|
11/25/45 |
|
1,096,657 |
| FNMA REMIC Series 2017-45, Class FA(1M LIBOR +
0.320%) |
|
|
|
9,701,478 |
|
|
|
2.302 |
|
|
06/25/47 |
|
9,712,113 |
| FNMA REMIC Series 2017-96, Class FC(1M LIBOR +
0.400%) |
|
|
|
13,938,781 |
|
|
|
2.491 |
|
|
12/25/57 |
|
14,006,510 |
| GNMA REMIC Series 2008-51, Class FG(1M LIBOR +
0.770%) |
|
|
|
1,714,760 |
|
|
|
2.704 |
|
|
06/16/38 |
|
1,747,794 |
| GNMA REMIC Series 2010-53, Class FC(1M LIBOR +
0.820%) |
|
|
|
718,504 |
|
|
|
2.768 |
|
|
04/20/40 |
|
729,843 |
| GNMA REMIC Series 2011-101, Class EF(1M LIBOR +
0.860%) |
|
|
|
6,103,639 |
|
|
|
2.945 |
|
|
10/16/39 |
|
6,220,484 |
| GNMA REMIC Series 2011-117, Class FJ(1M LIBOR +
0.870%) |
|
|
|
4,171,039 |
|
|
|
2.818 |
|
|
08/20/41 |
|
4,259,814 |
| GNMA REMIC Series 2012-12, Class HF(1M LIBOR +
0.400%) |
|
|
|
954,620 |
|
|
|
2.484 |
|
|
01/20/42 |
|
955,879 |
| NCUA Guaranteed Notes Series 2011-R1, Class 1A(1M LIBOR +
0.450%) |
|
|
|
332,890 |
|
|
|
2.373 |
|
|
01/08/20 |
|
333,293 |
| NCUA Guaranteed Notes Series 2011-R2, Class 1A(1M LIBOR +
0.400%) |
|
|
|
1,108,904 |
|
|
|
2.425 |
|
|
02/06/20 |
|
1,109,943 |
| NCUA Guaranteed Notes Series 2011-R3, Class 1A(1M LIBOR +
0.400%) |
|
|
|
888,702 |
|
|
|
2.478 |
|
|
03/11/20 |
|
889,501 |
| NCUA Guaranteed Notes Trust Series 2010-R1, Class 1A(1M LIBOR +
0.450%) |
|
|
|
1,391,631 |
|
|
|
2.537 |
|
|
10/07/20 |
|
1,395,056 |
| NCUA Guaranteed Notes Trust Series 2010-R2, Class 2A(1M LIBOR +
0.470%) |
|
|
|
3,203,582 |
|
|
|
2.393 |
|
|
11/05/20 |
|
3,214,094 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
162,627,189 |
| |
| Sequential Fixed Rate – 0.1% |
| FHLMC REMIC Series 4248, Class LM |
|
|
|
606,796 |
|
|
|
6.500 |
|
|
05/15/41 |
|
684,003 |
| |
GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| Sequential Floating Rate(b) –
1.2% |
| FHLMC REMIC Series 3588, Class CW(1M USD LIBOR + 0.000%) |
| $ |
|
|
1,145,506 |
|
|
|
3.645 |
% |
|
10/15/37 |
|
$ 1,202,621 |
| FNMA REMIC Series 1990-145, Class A(1 year CMT +
0.000%) |
|
|
|
8,568 |
|
|
|
2.686 |
|
|
12/25/20 |
|
8,580 |
| FNMA REMIC Series 1997-20, Class F(1 year CMT +
0.000%) |
|
|
|
90,217 |
|
|
|
2.115 |
|
|
03/25/27 |
|
90,160 |
| Holmes Master Issuer PLC Series 2018-1A, Class A2(c)(3M USD LIBOR + 0.360%) |
|
|
|
3,200,000 |
|
|
|
2.146 |
|
|
10/15/54 |
|
3,198,150 |
| Permanent Master Issuer PLC Series 2018-1A, Class 1A1(c)(3M USD LIBOR + 0.380%) |
|
|
|
4,500,000 |
|
|
|
2.747 |
|
|
07/15/58 |
|
4,500,954 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,000,465 |
| |
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
$172,311,715 |
| |
| Commercial Mortgage-Backed Securities(b)
– 6.9% |
| Sequential Floating Rate – 6.9% |
| FHLMC Multifamily Structured Pass-Through Certificates Series J15L, Class AFL(1M LIBOR +
0.350%) |
| $ |
|
|
8,680,125 |
|
|
|
2.351 |
% |
|
08/25/25 |
|
$ 8,702,553 |
| FHLMC Multifamily Structured Pass-Through Certificates Series KF03, Class A(1M LIBOR +
0.340%) |
|
|
|
2,325,580 |
|
|
|
2.341 |
|
|
01/25/21 |
|
2,326,316 |
| FHLMC Multifamily Structured Pass-Through Certificates Series KF19, Class A(1M LIBOR +
0.450%) |
|
|
|
4,360,770 |
|
|
|
2.451 |
|
|
06/25/23 |
|
4,366,185 |
| FHLMC Multifamily Structured Pass-Through Certificates Series KF31, Class A(1M LIBOR +
0.370%) |
|
|
|
6,803,748 |
|
|
|
2.371 |
|
|
04/25/24 |
|
6,814,401 |
| FHLMC Multifamily Structured Pass-Through Certificates Series KF32, Class A(1M LIBOR +
0.370%) |
|
|
|
10,775,867 |
|
|
|
2.371 |
|
|
05/25/24 |
|
10,792,676 |
| FHLMC Multifamily Structured Pass-Through Certificates Series KF42, Class A(1M LIBOR +
0.250%) |
|
|
|
4,099,468 |
|
|
|
2.251 |
|
|
12/25/24 |
|
4,108,310 |
| FHLMC Multifamily Structured Pass-Through Certificates Series KS02, Class A(1M LIBOR +
0.380%) |
|
|
|
4,925,337 |
|
|
|
2.381 |
|
|
08/25/23 |
|
4,926,941 |
| FNMA ACES Series 2017-M13, Class FA(1M LIBOR +
0.400%) |
|
|
|
9,719,741 |
|
|
|
2.348 |
|
|
10/25/24 |
|
9,862,777 |
| |
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
|
$ 51,900,159 |
| |
| Federal Agencies – 3.0% |
| Adjustable Rate FHLMC(b) –
0.6% |
| FHLMC(1 year CMT + 2.134%) |
| $ |
|
|
19,309 |
|
|
|
6.882 |
% |
|
11/01/19 |
|
$ 19,464 |
| FHLMC(1 year CMT + 2.277%) |
|
|
|
1,801,547 |
|
|
|
3.460 |
|
|
01/01/38 |
|
1,890,576 |
| FHLMC(12M MTA + 2.155%) |
|
|
|
6,290 |
|
|
|
3.248 |
|
|
06/01/31 |
|
6,544 |
| FHLMC(12M USD LIBOR + 1.750%) |
|
|
|
782,213 |
|
|
|
3.549 |
|
|
05/01/35 |
|
820,756 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| Adjustable Rate FHLMC(b) –
(continued) |
| FHLMC(12M USD LIBOR + 1.860%) |
| $ |
|
|
854,417 |
|
|
|
3.714 |
% |
|
05/01/34 |
|
$ 894,724 |
| FHLMC(3 year CMT + 2.286%) |
|
|
|
31,005 |
|
|
|
4.647 |
|
|
05/01/35 |
|
31,691 |
| FHLMC(3 year CMT + 2.553%) |
|
|
|
357,930 |
|
|
|
4.002 |
|
|
08/01/28 |
|
365,500 |
| FHLMC(6M CMT + 2.235%) |
|
|
|
112,445 |
|
|
|
3.958 |
|
|
05/01/29 |
|
115,527 |
| FHLMC(6M USD LIBOR + 2.268%) |
|
|
|
59,952 |
|
|
|
3.816 |
|
|
12/01/30 |
|
62,156 |
| FHLMC(COF + 1.102%) |
|
|
|
1,421 |
|
|
|
1.936 |
|
|
06/01/19 |
|
1,418 |
| FHLMC(COF + 1.198%) |
|
|
|
5,258 |
|
|
|
2.448 |
|
|
02/01/31 |
|
5,280 |
| FHLMC(COF + 1.249%) |
|
|
|
14,460 |
|
|
|
4.410 |
|
|
06/01/30 |
|
15,318 |
| FHLMC(COF + 1.250%) |
|
|
|
808 |
|
|
|
2.027 |
|
|
03/01/19 |
|
806 |
| FHLMC(COF + 1.250%) |
|
|
|
1,971 |
|
|
|
3.955 |
|
|
01/01/20 |
|
1,973 |
| FHLMC(COF + 1.250%) |
|
|
|
5,069 |
|
|
|
2.027 |
|
|
05/01/21 |
|
5,066 |
| FHLMC(COF + 1.250%) |
|
|
|
1,554 |
|
|
|
2.027 |
|
|
10/01/26 |
|
1,559 |
| FHLMC(COF + 1.250%) |
|
|
|
7,276 |
|
|
|
4.086 |
|
|
06/01/29 |
|
7,708 |
| FHLMC(COF + 1.250%) |
|
|
|
19,492 |
|
|
|
1.996 |
|
|
04/01/30 |
|
19,571 |
| FHLMC(COF + 1.625%) |
|
|
|
164 |
|
|
|
2.375 |
|
|
02/01/19 |
|
164 |
| FHLMC(COF + 1.645%) |
|
|
|
271 |
|
|
|
2.395 |
|
|
07/01/19 |
|
271 |
| FHLMC(COF + 1.921%) |
|
|
|
15,441 |
|
|
|
2.644 |
|
|
11/01/19 |
|
15,434 |
| FHLMC(COF + 1.936%) |
|
|
|
823 |
|
|
|
2.679 |
|
|
08/01/18 |
|
822 |
| FHLMC(COF + 2.000%) |
|
|
|
721 |
|
|
|
2.750 |
|
|
11/01/18 |
|
720 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,283,048 |
| |
| Adjustable Rate FNMA(b) –
0.9% |
| FNMA |
|
|
|
11,792 |
|
|
|
3.111 |
|
|
05/20/22 |
|
11,755 |
| FNMA |
|
|
|
72,608 |
|
|
|
2.909 |
|
|
06/20/24 |
|
72,341 |
| FNMA(1 year CMT + 2.000%) |
|
|
|
1,672 |
|
|
|
6.865 |
|
|
02/01/22 |
|
1,718 |
| FNMA(1 year CMT + 2.270%) |
|
|
|
956,397 |
|
|
|
3.895 |
|
|
07/01/33 |
|
1,001,842 |
| FNMA(1 year CMT + 2.359%) |
|
|
|
237,919 |
|
|
|
3.583 |
|
|
11/01/34 |
|
250,847 |
| FNMA(1 year CMT + 3.105%) |
|
|
|
7,656 |
|
|
|
7.056 |
|
|
05/01/20 |
|
7,793 |
| FNMA(12M MTA + 1.200%) |
|
|
|
4,526 |
|
|
|
2.664 |
|
|
02/01/41 |
|
4,575 |
| FNMA(12M MTA + 1.400%) |
|
|
|
51,885 |
|
|
|
2.864 |
|
|
06/01/40 |
|
52,731 |
| |
GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| Adjustable Rate FNMA(b) –
(continued) |
| FNMA(12M USD LIBOR + 1.550%) |
| $ |
|
|
2,220,611 |
|
|
|
2.615 |
% |
|
09/01/44 |
|
$ 2,247,651 |
| FNMA(12M USD LIBOR + 1.580%) |
|
|
|
1,022,908 |
|
|
|
2.511 |
|
|
04/01/44 |
|
1,052,175 |
| FNMA(12M USD LIBOR + 1.825%) |
|
|
|
184,058 |
|
|
|
3.575 |
|
|
09/01/37 |
|
193,778 |
| FNMA(12M USD LIBOR + 1.949%) |
|
|
|
1,170,349 |
|
|
|
3.811 |
|
|
03/01/37 |
|
1,240,005 |
| FNMA(6M H15 + 2.063%) |
|
|
|
440 |
|
|
|
6.090 |
|
|
07/01/19 |
|
440 |
| FNMA(6M USD LIBOR + 1.774%) |
|
|
|
30,141 |
|
|
|
3.878 |
|
|
02/01/23 |
|
30,617 |
| FNMA(6M USD LIBOR + 1.869%) |
|
|
|
133,377 |
|
|
|
3.614 |
|
|
01/01/24 |
|
136,056 |
| FNMA(6M USD LIBOR + 1.925%) |
|
|
|
123,381 |
|
|
|
3.724 |
|
|
03/01/24 |
|
126,001 |
| FNMA(COF + 1.250%) |
|
|
|
622 |
|
|
|
2.001 |
|
|
10/01/18 |
|
622 |
| FNMA(COF + 1.250%) |
|
|
|
235 |
|
|
|
2.758 |
|
|
10/01/18 |
|
235 |
| FNMA(COF + 1.250%) |
|
|
|
2,987 |
|
|
|
2.000 |
|
|
01/01/19 |
|
2,984 |
| FNMA(COF + 1.250%) |
|
|
|
1,420 |
|
|
|
6.057 |
|
|
04/01/19 |
|
1,426 |
| FNMA(COF + 1.250%) |
|
|
|
41,100 |
|
|
|
2.000 |
|
|
05/01/19 |
|
41,085 |
| FNMA(COF + 1.250%) |
|
|
|
17,562 |
|
|
|
2.000 |
|
|
06/01/20 |
|
17,555 |
| FNMA(COF + 1.250%) |
|
|
|
6,351 |
|
|
|
3.385 |
|
|
06/01/27 |
|
6,415 |
| FNMA(COF + 1.250%) |
|
|
|
4,210 |
|
|
|
4.250 |
|
|
12/01/27 |
|
4,460 |
| FNMA(COF + 1.250%) |
|
|
|
5,025 |
|
|
|
4.487 |
|
|
01/01/28 |
|
5,323 |
| FNMA(COF + 1.250%) |
|
|
|
4,397 |
|
|
|
2.000 |
|
|
06/01/29 |
|
4,428 |
| FNMA(COF + 1.250%) |
|
|
|
6,041 |
|
|
|
2.156 |
|
|
06/01/29 |
|
6,077 |
| FNMA(COF + 1.254%) |
|
|
|
3,222 |
|
|
|
3.967 |
|
|
05/01/36 |
|
3,279 |
| FNMA(COF + 1.650%) |
|
|
|
4,185 |
|
|
|
3.928 |
|
|
04/01/19 |
|
4,194 |
| FNMA(COF + 1.650%) |
|
|
|
3,598 |
|
|
|
4.242 |
|
|
08/01/19 |
|
3,607 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,532,015 |
| |
| Adjustable Rate GNMA(b) –
0.2% |
| GNMA(1 year CMT + 1.500%) |
|
|
|
702,971 |
|
|
|
2.625 |
|
|
04/20/33 |
|
719,200 |
| GNMA(1 year CMT + 1.500%) |
|
|
|
156,605 |
|
|
|
2.625 |
|
|
05/20/33 |
|
162,471 |
| GNMA(1 year CMT + 1.500%) |
|
|
|
306,024 |
|
|
|
2.750 |
|
|
08/20/34 |
|
313,254 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,194,925 |
| |
| FHLMC – 0.0% |
|
|
|
15,459 |
|
|
|
5.500 |
|
|
01/01/20 |
|
15,643 |
|
|
|
25,981 |
|
|
|
7.000 |
|
|
04/01/21 |
|
26,548 |
|
|
|
15,157 |
|
|
|
7.000 |
|
|
08/01/21 |
|
15,594 |
|
|
|
53,541 |
|
|
|
7.000 |
|
|
05/01/22 |
|
55,525 |
|
|
|
149,689 |
|
|
|
7.000 |
|
|
06/01/22 |
|
154,586 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| FHLMC – (continued) |
| $ |
|
|
1,250 |
|
|
|
4.500 |
% |
|
05/01/23 |
|
$ 1,292 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
269,188 |
| |
| FNMA – 1.3% |
|
|
|
519 |
|
|
|
5.000 |
|
|
09/01/19 |
|
525 |
|
|
|
1,590 |
|
|
|
5.000 |
|
|
01/01/20 |
|
1,617 |
|
|
|
16,408 |
|
|
|
7.000 |
|
|
07/01/21 |
|
16,863 |
|
|
|
43,767 |
|
|
|
7.000 |
|
|
11/01/21 |
|
45,221 |
|
|
|
27,636 |
|
|
|
7.000 |
|
|
12/01/21 |
|
27,803 |
|
|
|
66,978 |
|
|
|
7.000 |
|
|
01/01/22 |
|
68,095 |
|
|
|
9,295 |
|
|
|
7.000 |
|
|
02/01/22 |
|
9,593 |
|
|
|
43,607 |
|
|
|
7.000 |
|
|
01/01/28 |
|
46,506 |
|
|
|
19,023 |
|
|
|
6.500 |
|
|
04/01/33 |
|
21,427 |
|
|
|
19,294 |
|
|
|
6.000 |
|
|
05/01/38 |
|
21,339 |
|
|
|
23,914 |
|
|
|
6.000 |
|
|
11/01/38 |
|
26,456 |
|
|
|
54,231 |
|
|
|
6.000 |
|
|
09/01/39 |
|
59,990 |
|
|
|
20,383 |
|
|
|
6.000 |
|
|
10/01/39 |
|
22,589 |
|
|
|
14,058 |
|
|
|
6.000 |
|
|
10/01/40 |
|
15,548 |
|
|
|
20,083 |
|
|
|
6.000 |
|
|
05/01/41 |
|
22,291 |
|
|
|
8,350,910 |
|
|
|
4.000 |
|
|
10/01/42 |
|
8,584,261 |
|
|
|
699,138 |
|
|
|
3.500 |
|
|
05/01/46 |
|
697,543 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,687,667 |
| |
| GNMA – 0.0% |
|
|
|
21,755 |
|
|
|
7.000 |
|
|
04/15/26 |
|
23,203 |
| |
| TOTAL FEDERAL AGENCIES |
|
$ 21,990,046 |
| |
| TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $246,222,625) |
|
$246,201,920 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Agency
Debenture(d) – 0.5% |
| Hashemite Kingdom of Jordan Government AID Bond |
| $ |
|
|
4,000,000 |
|
|
|
2.503 |
% |
|
10/30/20 |
|
$ 3,973,080 |
| (Cost $ 4,000,000) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed
Securities(b) – 50.2% |
| Automotive – 6.4% |
| Ally Master Owner Trust Series 2017-3, Class A1(1M LIBOR +
0.430%) |
| $ |
|
|
11,500,000 |
|
|
|
2.503 |
% |
|
06/15/22 |
|
$ 11,530,212 |
| Chesapeake Funding II LLC Series 2016-2A, Class A2(c)(1M USD LIBOR + 1.000%) |
|
|
|
1,569,014 |
|
|
|
2.919 |
|
|
06/15/28 |
|
1,573,648 |
| Chesapeake Funding II LLC Series 2017-3A, Class A2(c)(1M USD LIBOR + 0.340%) |
|
|
|
4,700,052 |
|
|
|
2.259 |
|
|
08/15/29 |
|
4,697,020 |
| GMF Floorplan Owner Revolving Trust Series 2017-2, Class A2(c)(1M LIBOR + 0.430%) |
|
|
|
9,650,000 |
|
|
|
2.503 |
|
|
07/15/22 |
|
9,675,226 |
| Mercedes-Benz Master Owner Trust Series
2018-AA, Class A(c) |
|
|
|
16,500,000 |
|
|
|
2.333 |
|
|
05/16/22 |
|
16,499,984 |
| Nissan Master Owner Trust Receivables Series 2017-C, Class A(1M
LIBOR + 0.320%) |
|
|
|
4,100,000 |
|
|
|
2.393 |
|
|
10/17/22 |
|
4,102,583 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
48,078,673 |
| |
| Collateralized Loan Obligations(c) –
15.5% |
| ACIS CLO Ltd. Series 2013-1A, Class A1(3M USD LIBOR +
0.870%) |
|
|
|
273,254 |
|
|
|
2.604 |
|
|
04/18/24 |
|
273,245 |
| |
GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
|
Value |
| Asset-Backed Securities
(b) – (continued) |
| Collateralized Loan Obligations(c) –
(continued) |
| AIMCO CLO Series 2014-AA, Class AR(3M USD LIBOR +
1.100%) |
| $ |
|
|
2,650,000 |
|
|
|
2.845 |
% |
|
|
07/20/26 |
|
|
$ 2,650,289 |
| Anchorage Capital CLO Ltd. Series 2014-4RA, Class A(3M USD LIBOR
+ 1.050%) |
|
|
|
3,600,000 |
|
|
|
2.810 |
|
|
|
01/28/31 |
|
|
3,590,014 |
| Apex Credit CLO II LLC Series 2017-2A, Class A(3M USD LIBOR +
1.270%) |
|
|
|
3,000,000 |
|
|
|
3.472 |
|
|
|
09/20/29 |
|
|
3,005,196 |
| Atrium X CLO Series 2017-10A, Class AR(3M USD LIBOR +
0.950%) |
|
|
|
2,215,217 |
|
|
|
2.672 |
|
|
|
07/16/25 |
|
|
2,215,213 |
| Barings CLO Ltd. Series 2018-3A, Class A1 |
|
|
|
4,000,000 |
|
|
|
3.020 |
|
|
|
07/20/29 |
|
|
3,994,716 |
| Benefit Street Partners CLO II Ltd. Series 2013-IIA, Class A1R(3M
USD LIBOR + 1.250%) |
|
|
|
6,000,000 |
|
|
|
2.972 |
|
|
|
07/15/29 |
|
|
6,019,800 |
| Carlyle Global Market Strategies CLO Ltd. Series 2015-2A,
Class A1R |
|
|
|
5,450,000 |
|
|
|
3.146 |
|
|
|
04/27/27 |
|
|
5,426,352 |
| CBAM CLO Management LLC Series 2017-2A, Class A(3M USD LIBOR +
1.240%) |
|
|
|
3,500,000 |
|
|
|
2.631 |
|
|
|
10/17/29 |
|
|
3,503,994 |
| Cedar Funding II CLO Ltd. Series 2013-1A, Class A1R(3M USD LIBOR
+ 1.230%) |
|
|
|
1,700,000 |
|
|
|
3.287 |
|
|
|
06/09/30 |
|
|
1,704,782 |
| Cutwater Ltd. Series 2014-1A, Class A1AR(3M USD LIBOR +
1.250%) |
|
|
|
2,500,000 |
|
|
|
2.972 |
|
|
|
07/15/26 |
|
|
2,500,360 |
| ICG US CLO Ltd. Series 2014-1A, Class A1R(3M USD LIBOR +
1.220%) |
|
|
|
4,000,000 |
|
|
|
2.804 |
|
|
|
01/20/30 |
|
|
4,002,392 |
| Jamestown CLO X Ltd. Series 2017-10A, Class A1(3M USD LIBOR +
1.250%) |
|
|
|
4,750,000 |
|
|
|
2.981 |
|
|
|
07/17/29 |
|
|
4,753,885 |
| LCM XVI LP Series 2017-16A, Class AR(3M USD LIBOR +
1.030%) |
|
|
|
3,650,000 |
|
|
|
2.752 |
|
|
|
07/15/26 |
|
|
3,650,182 |
| Madison Park Funding XXX Ltd. Series 2018-30A, Class A(3M USD LIBOR
+ 0.750%) |
|
|
|
5,200,000 |
|
|
|
3.089 |
|
|
|
04/15/29 |
|
|
5,144,178 |
| Newfleet CLO Ltd. Series 2016-1A, Class A1R |
|
|
|
5,450,000 |
|
|
|
3.309 |
|
|
|
04/20/28 |
|
|
5,429,519 |
| OCP CLO Ltd. Series 2012-2A, Class A1R(3M USD LIBOR +
1.400%) |
|
|
|
650,000 |
|
|
|
3.304 |
|
|
|
11/22/25 |
|
|
650,959 |
| OCP CLO Ltd. Series 2014-5A, Class A1R(3M USD LIBOR +
1.080%) |
|
|
|
10,000,000 |
|
|
|
2.832 |
|
|
|
04/26/31 |
|
|
9,988,800 |
| OCP CLO Ltd. Series 2015-8A, Class A1R(3M USD LIBOR +
0.850%) |
|
|
|
3,650,000 |
|
|
|
2.581 |
|
|
|
04/17/27 |
|
|
3,636,915 |
| OCP CLO Ltd. Series 2017-13A, Class A1A(3M USD LIBOR +
1.260%) |
|
|
|
3,150,000 |
|
|
|
2.982 |
|
|
|
07/15/30 |
|
|
3,156,180 |
| OFSI Fund V Ltd. Series 2013-5A, Class A1LA(3M USD LIBOR +
0.930%) |
|
|
|
227,476 |
|
|
|
2.652 |
|
|
|
04/17/25 |
|
|
227,468 |
| OFSI Fund VII Ltd. Series 2014-7A, Class AR(3M USD LIBOR +
0.900%) |
|
|
|
3,550,000 |
|
|
|
2.634 |
|
|
|
10/18/26 |
|
|
3,549,957 |
| Palmer Square Loan Funding Ltd. Series 2017-1A, Class A1(3M USD
LIBOR + 0.740%) |
|
|
|
2,959,814 |
|
|
|
2.462 |
|
|
|
10/15/25 |
|
|
2,959,784 |
| Regatta III Funding Ltd. Series 2014-1A, Class A1AR(3M USD LIBOR
+ 1.050%) |
|
|
|
4,900,000 |
|
|
|
2.772 |
|
|
|
04/15/26 |
|
|
4,900,294 |
| Sound Point CLO VI Ltd. Series 2014-2A, Class A2R(3M USD LIBOR
+ 1.140%) |
|
|
|
2,250,000 |
|
|
|
2.885 |
|
|
|
10/20/26 |
|
|
2,250,284 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
|
Value |
| Asset-Backed Securities
(b) – (continued) |
| Collateralized Loan Obligations(c) –
(continued) |
| TRESTLES CLO Ltd. Series 2017-1A, Class A1A(3M USD LIBOR +
1.290%) |
| $ |
|
6,350,000 |
|
|
3.035 |
% |
|
|
07/25/29 |
|
|
$ 6,359,315 |
| Trinitas CLO II Ltd. Series 2014-2A, Class A1R(3M USD LIBOR +
1.180%) |
|
|
6,250,000 |
|
|
2.902 |
|
|
|
07/15/26 |
|
|
6,250,725 |
| Voya CLO Ltd. Series 2017-3A, Class A1A(3M USD LIBOR +
1.230%) |
|
|
8,750,000 |
|
|
2.975 |
|
|
|
07/20/30 |
|
|
8,760,001 |
| WhiteHorse X Ltd. Series 2015-10A, Class A1R |
|
|
3,750,000 |
|
|
3.010 |
|
|
|
04/17/27 |
|
|
3,746,895 |
| Zais CLO 1 Ltd. Series 2014-1A, Class A1(3M USD LIBOR +
1.400%) |
|
|
1,700,000 |
|
|
3.122 |
|
|
|
04/15/26 |
|
|
1,700,097 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 116,001,791 |
| |
| Credit Card – 11.6% |
| Bank of America Credit Card Trust Series 2014-A1, Class A(1M LIBOR
+ 0.380%) |
|
|
5,650,000 |
|
|
2.453 |
|
|
|
06/15/21 |
|
|
5,658,855 |
| CARDS II Trust Series 2016-1A, Class A(c)(1M LIBOR + 0.700%) |
|
|
1,500,000 |
|
|
2.773 |
|
|
|
07/15/21 |
|
|
1,500,338 |
| CARDS II Trust Series 2017-1A, Class A(c)(1M LIBOR + 0.370%) |
|
|
2,500,000 |
|
|
2.443 |
|
|
|
04/18/22 |
|
|
2,501,412 |
| CARDS II Trust Series 2017-2A, Class A(c)(1M LIBOR + 0.260%) |
|
|
3,600,000 |
|
|
2.333 |
|
|
|
10/17/22 |
|
|
3,598,290 |
| CARDS II Trust Series 2018-1A, Class A(c) |
|
|
22,500,000 |
|
|
2.423 |
|
|
|
04/17/23 |
|
|
22,500,000 |
| Chase Issuance Trust Series 2013-A9, Class A(1M LIBOR +
0.420%) |
|
|
10,000,000 |
|
|
2.493 |
|
|
|
11/16/20 |
|
|
10,013,051 |
| Chase Issuance Trust Series 2018-A1, Class A1 |
|
|
12,000,000 |
|
|
2.273 |
|
|
|
04/17/23 |
|
|
11,996,382 |
| Citibank Credit Card Issuance Trust Series 2017-A5, Class A5(1M
LIBOR + 0.620%) |
|
|
10,100,000 |
|
|
2.704 |
|
|
|
04/22/26 |
|
|
10,232,682 |
| Citibank Credit Card Issuance Trust Series 2017-A7, Class A7(1M
LIBOR + 0.370%) |
|
|
7,650,000 |
|
|
2.400 |
|
|
|
08/08/24 |
|
|
7,663,297 |
| Golden Credit Card Trust Series 2017-4A, Class A(c)(1M LIBOR + 0.520%) |
|
|
11,200,000 |
|
|
2.593 |
|
|
|
07/15/24 |
|
|
11,212,748 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
86,877,055 |
| |
| Other(c) – 0.1% |
| Mill City Mortgage Loan Trust Series 2016-1,
Class A1 |
|
|
758,883 |
|
|
2.500 |
|
|
|
04/25/57 |
|
|
743,607 |
| |
| Student Loan – 16.6% |
| Academic Loan Funding Trust Series 2013-1, Class A(c)(1M USD LIBOR + 0.800%) |
|
|
2,461,606 |
|
|
2.760 |
|
|
|
12/26/44 |
|
|
2,465,068 |
| Access Group, Inc. Series 2005-2, Class A3(3M USD LIBOR +
0.180%) |
|
|
354,733 |
|
|
2.084 |
|
|
|
11/22/24 |
|
|
354,732 |
| Access Group, Inc. Series 2013-1, Class A(c)(1M USD LIBOR + 0.500%) |
|
|
1,052,171 |
|
|
2.460 |
|
|
|
02/25/36 |
|
|
1,040,714 |
| Access Group, Inc. Series 2015-1, Class A(c)(1M USD LIBOR + 0.700%) |
|
|
1,181,206 |
|
|
2.660 |
|
|
|
07/25/56 |
|
|
1,179,571 |
| Access to Loans for Learning Student Loan Corp. Series 2013-I,
Class A(1M USD LIBOR + 0.800%) |
|
|
2,021,186 |
|
|
2.697 |
|
|
|
02/25/41 |
|
|
2,018,983 |
| |
GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Asset-Backed Securities
(b) – (continued) |
| Student Loan – (continued) |
| ALG Student Loan Trust I Series 2006-1A, Class A3(c)(3M USD LIBOR + 0.150%) |
| $ |
|
|
5,920,200 |
|
|
|
1.910 |
% |
|
10/28/23 |
|
$ 5,909,013 |
| Bank of America Student Loan Trust Series 2010-1A, Class A(c)(3M USD LIBOR + 0.800%) |
|
|
|
1,106,831 |
|
|
|
2.545 |
|
|
02/25/43 |
|
1,111,135 |
| Brazos Higher Education Authority, Inc. Series 2011-1, Class A2(3M
USD LIBOR + 0.800%) |
|
|
|
7,155,467 |
|
|
|
2.746 |
|
|
02/25/30 |
|
7,191,659 |
| ECMC Group Student Loan Trust Series 2016-1A, Class A(c)(1M USD LIBOR + 1.350%) |
|
|
|
1,359,631 |
|
|
|
3.310 |
|
|
07/26/66 |
|
1,381,843 |
| Education Loan Asset-Backed Trust I Series 2013-1, Class A1(c)(1M USD LIBOR + 0.800%) |
|
|
|
1,606,379 |
|
|
|
2.760 |
|
|
06/25/26 |
|
1,607,051 |
| Education Loan Asset-Backed Trust I Series 2013-1, Class A2(c)(1M USD LIBOR + 0.800%) |
|
|
|
3,000,000 |
|
|
|
2.760 |
|
|
04/26/32 |
|
3,014,446 |
| Educational Funding of the South, Inc. Series 2012-1, Class A(1M USD
LIBOR + 1.050%) |
|
|
|
1,912,967 |
|
|
|
3.010 |
|
|
03/25/36 |
|
1,921,220 |
| Educational Services of America, Inc. Series 2010-1, Class A1(c)(3M USD LIBOR + 0.850%) |
|
|
|
973,073 |
|
|
|
2.595 |
|
|
07/25/23 |
|
974,717 |
| Educational Services of America, Inc. Series 2012-1, Class A1(c)(1M USD LIBOR + 1.150%) |
|
|
|
2,013,264 |
|
|
|
3.110 |
|
|
09/25/40 |
|
2,045,967 |
| Educational Services of America, Inc. Series 2014-1, Class A(c)(1M USD LIBOR + 0.700%) |
|
|
|
1,947,999 |
|
|
|
2.660 |
|
|
02/25/39 |
|
1,947,997 |
| EFS Volunteer No. 2 LLC Series 2012-1, Class A2(c)(1M USD LIBOR + 1.350%) |
|
|
|
1,950,000 |
|
|
|
3.310 |
|
|
03/25/36 |
|
1,983,628 |
| EFS Volunteer No. 3 LLC Series 2012-1, Class A3(c)(1M USD LIBOR + 1.000%) |
|
|
|
1,200,000 |
|
|
|
2.960 |
|
|
04/25/33 |
|
1,207,321 |
| GCO Education Loan Funding Master Trust II Series 2007-1A, Class A6L(c)(3M LIBOR + 0.110%) |
|
|
|
1,499,437 |
|
|
|
2.440 |
|
|
11/25/26 |
|
1,491,126 |
| GCO Education Loan Funding Trust Series 2006-1, Class A8L(3M USD
LIBOR + 0.130%) |
|
|
|
3,048,102 |
|
|
|
2.074 |
|
|
05/25/25 |
|
3,043,254 |
| Goal Capital Funding Trust Series 2010-1, Class A(c)(3M USD LIBOR + 0.700%) |
|
|
|
50,220 |
|
|
|
2.644 |
|
|
08/25/48 |
|
50,168 |
| Higher Education Funding I Series 2014-1, Class A(c)(3M USD LIBOR + 1.050%) |
|
|
|
1,500,054 |
|
|
|
2.994 |
|
|
05/25/34 |
|
1,507,933 |
| Illinois Student Assistance Commission Series 2010-1, Class A3(3M
USD LIBOR + 0.900%) |
|
|
|
1,150,000 |
|
|
|
2.645 |
|
|
07/25/45 |
|
1,162,132 |
| Kentucky Higher Education Student Loan Corp. Series 2015-1,
Class A1(1M USD LIBOR + 0.750%) |
|
|
|
4,131,995 |
|
|
|
2.657 |
|
|
12/01/31 |
|
4,126,500 |
| Knowledgeworks Foundation Student Loan Series 2010-1, Class A(3M USD
LIBOR + 0.950%) |
|
|
|
1,510,763 |
|
|
|
2.894 |
|
|
02/25/42 |
|
1,515,194 |
| Massachusetts Educational Financing Authority Series 2008-1,
Class A1(3M USD LIBOR + 0.950%) |
|
|
|
480,306 |
|
|
|
2.695 |
|
|
04/25/38 |
|
482,171 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Asset-Backed Securities
(b) – (continued) |
| Student Loan – (continued) |
| Missouri Higher Education Loan Authority Series 2010-2, Class A1(3M
USD LIBOR + 0.850%) |
| $ |
|
|
2,545,346 |
|
|
|
2.794 |
% |
|
08/27/29 |
|
$ 2,586,445 |
| Missouri Higher Education Loan Authority Series 2011-1, Class A1(3M
USD LIBOR + 0.850%) |
|
|
|
4,082,068 |
|
|
|
3.136 |
|
|
06/25/36 |
|
4,102,330 |
| Montana Higher Education Student Assistance Corp. Series 2012-1,
Class A2(1M USD LIBOR + 1.000%) |
|
|
|
2,779,477 |
|
|
|
2.948 |
|
|
05/20/30 |
|
2,810,698 |
| Navient Student Loan Trust Series 2016-5A, Class A(c)(1M USD LIBOR + 1.250%) |
|
|
|
2,938,292 |
|
|
|
3.210 |
|
|
06/25/65 |
|
3,015,177 |
| Navient Student Loan Trust Series 2016-7A, Class A(c)(1M USD LIBOR + 1.150%) |
|
|
|
1,454,978 |
|
|
|
3.110 |
|
|
03/25/66 |
|
1,482,243 |
| NCUA Guaranteed Notes Series 2010-A1, Class A(1M LIBOR +
0.350%) |
|
|
|
198,374 |
|
|
|
2.428 |
|
|
12/07/20 |
|
198,622 |
| Nelnet Student Loan Trust Series 2006-1, Class A5(3M USD LIBOR
+ 0.110%) |
|
|
|
4,106,030 |
|
|
|
2.030 |
|
|
08/23/27 |
|
4,100,847 |
| Nelnet Student Loan Trust Series 2006-2, Class A5(3M USD LIBOR
+ 0.100%) |
|
|
|
1,295,456 |
|
|
|
1.845 |
|
|
01/25/30 |
|
1,294,287 |
| Nelnet Student Loan Trust Series 2013-5A, Class A(c)(1M USD LIBOR + 0.630%) |
|
|
|
592,887 |
|
|
|
2.590 |
|
|
01/25/37 |
|
593,357 |
| Nelnet Student Loan Trust Series 2014-4A, Class A1(c)(1M USD LIBOR + 0.540%) |
|
|
|
9,083,801 |
|
|
|
2.500 |
|
|
11/27/39 |
|
9,110,250 |
| North Carolina State Education Assistance Authority Series 2010-1,
Class A1(3M USD LIBOR + 0.900%) |
|
|
|
695,563 |
|
|
|
2.645 |
|
|
07/25/41 |
|
694,041 |
| Northstar Education Finance, Inc. Series 2012-1, Class A(c)(1M USD LIBOR + 0.700%) |
|
|
|
581,265 |
|
|
|
2.660 |
|
|
12/26/31 |
|
583,621 |
| PHEAA Student Loan Trust Series 2014-3A, Class A(c)(1M USD LIBOR + 0.590%) |
|
|
|
7,147,747 |
|
|
|
2.550 |
|
|
08/25/40 |
|
7,134,780 |
| Rhode Island Student Loan Authority Series 2012-1, Class A1(1M USD
LIBOR + 0.900%) |
|
|
|
1,890,761 |
|
|
|
2.807 |
|
|
07/01/31 |
|
1,903,344 |
| Scholar Funding Trust Series 2010-A, Class A(c)(3M USD LIBOR + 0.750%) |
|
|
|
904,945 |
|
|
|
2.510 |
|
|
10/28/41 |
|
901,612 |
| Scholar Funding Trust Series 2013-A, Class A(c)(1M USD LIBOR + 0.650%) |
|
|
|
2,355,704 |
|
|
|
2.618 |
|
|
01/30/45 |
|
2,345,990 |
| SLC Student Loan Center Series 2011-1, Class A(c)(1M USD LIBOR + 1.220%) |
|
|
|
974,064 |
|
|
|
3.180 |
|
|
10/25/27 |
|
985,624 |
| SLC Student Loan Trust Series 2005-1, Class A3(3M USD LIBOR +
0.100%) |
|
|
|
5,146,979 |
|
|
|
1.939 |
|
|
02/15/25 |
|
5,141,449 |
| SLC Student Loan Trust Series 2010-1, Class A(3M USD LIBOR +
0.875%) |
|
|
|
726,990 |
|
|
|
2.819 |
|
|
11/25/42 |
|
735,723 |
| |
GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Asset-Backed Securities
(b) – (continued) |
| Student Loan – (continued) |
| SLM Student Loan Trust Series 2003-14, Class A5(3M USD LIBOR +
0.230%) |
| $ |
|
|
61,593 |
|
|
|
1.975 |
% |
|
01/25/23 |
|
$ 61,595 |
| SLM Student Loan Trust Series 2004-1, Class A3(3M USD LIBOR +
0.210%) |
|
|
|
262,683 |
|
|
|
1.955 |
|
|
04/25/23 |
|
262,700 |
| SLM Student Loan Trust Series 2004-8A, Class A5(c)(3M USD LIBOR
+ 0.500%) |
|
|
|
746,221 |
|
|
|
2.245 |
|
|
04/25/24 |
|
747,659 |
| SLM Student Loan Trust Series 2005-5, Class A4(3M USD LIBOR +
0.140%) |
|
|
|
11,250,000 |
|
|
|
1.885 |
|
|
10/25/28 |
|
11,209,677 |
| SLM Student Loan Trust Series 2005-9, Class A6(3M USD LIBOR +
0.550%) |
|
|
|
917,334 |
|
|
|
2.295 |
|
|
10/26/26 |
|
918,534 |
| SLM Student Loan Trust Series 2006-2, Class A5(3M USD LIBOR +
0.110%) |
|
|
|
145,248 |
|
|
|
1.855 |
|
|
07/25/25 |
|
145,248 |
| SLM Student Loan Trust Series 2008-2, Class A3(3M USD LIBOR +
0.750%) |
|
|
|
574,006 |
|
|
|
2.495 |
|
|
04/25/23 |
|
572,033 |
| SLM Student Loan Trust Series 2008-5, Class A4(3M USD LIBOR +
1.700%) |
|
|
|
576,587 |
|
|
|
3.445 |
|
|
07/25/23 |
|
591,312 |
| SLM Student Loan Trust Series 2012-3, Class A(1M USD LIBOR +
0.650%) |
|
|
|
1,022,155 |
|
|
|
2.610 |
|
|
12/27/38 |
|
1,027,601 |
| South Texas Higher Education Authority, Inc. Series 2012-1,
Class A2(3M USD LIBOR + 0.850%) |
|
|
|
523,234 |
|
|
|
2.545 |
|
|
10/01/24 |
|
525,631 |
| Utah State Board of Regents Series 2011-1, Class A3(3M USD LIBOR
+ 0.850%) |
|
|
|
900,000 |
|
|
|
2.623 |
|
|
05/01/35 |
|
904,689 |
| Utah State Board of Regents Series 2015-1, Class A(1M USD LIBOR
+ 0.600%) |
|
|
|
2,303,412 |
|
|
|
2.560 |
|
|
02/25/43 |
|
2,296,425 |
| Utah State Board of Regents Series 2016-1, Class A(1M USD LIBOR
+ 0.750%) |
|
|
|
4,401,684 |
|
|
|
2.710 |
|
|
09/25/56 |
|
4,401,679 |
| Wachovia Student Loan Trust Series 2005-1, Class A5(3M USD LIBOR
+ 0.130%) |
|
|
|
108,840 |
|
|
|
1.875 |
|
|
01/26/26 |
|
108,772 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
124,227,538 |
| |
| TOTAL ASSET-BACKED SECURITIES
(Cost $375,351,235) |
|
$375,928,664 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Municipal Debt
Obligations(b) – 2.0% |
| Alaska – 0.2% |
| Alaska State Student Loan Corp. Series 2013, Class A(1M USD LIBOR + 0.500%) |
| $ |
|
|
1,688,009 |
|
|
|
2.460 |
% |
|
08/25/31 |
|
$ 1,689,815 |
| |
| New Hampshire(e) –
0.5% |
| New Hampshire Higher Education Loan Corp. Series 2011-1,
Class A3 |
|
|
|
1,300,000 |
|
|
|
2.600 |
|
|
10/25/37 |
|
1,308,490 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Municipal Debt Obligations (b) –
(continued) |
| New Hampshire(e) –
(continued) |
| New Hampshire State Higher Education Loan Corp. (Taxable-Student Loan) Series
2012-1(1M USD LIBOR + 0.500%) |
| $ |
|
|
2,402,455 |
|
|
|
2.460 |
% |
|
10/25/28 |
|
$ 2,401,638 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,710,128 |
| |
| Rhode Island(e) –
0.1% |
| Rhode Island Student Loan Authority RB (Taxable - FFELP Loan Backed) Series
2014-1(1M USD LIBOR + 0.700%) |
|
|
|
494,401 |
|
|
|
2.607 |
|
|
10/02/28 |
|
491,529 |
| |
| Utah – 1.2% |
| Utah State Board of Regents RB (Taxable-Student Loan) Series 2012-1(1M
USD LIBOR + 0.750%) |
|
|
|
8,338,155 |
|
|
|
2.647 |
|
|
12/26/31 |
|
8,342,825 |
| Utah State Board of Regents Student Loan RB (Taxable) Series 2011,
Class A2(e)(3M USD LIBOR + 0.850%) |
|
|
|
525,286 |
|
|
|
2.623 |
|
|
05/01/29 |
|
526,772 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,869,597 |
| |
| TOTAL MUNICIPAL DEBT OBLIGATIONS (Cost $14,756,800) |
|
$ 14,761,069 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury
Obligation(b) – 1.4% |
| United States Treasury Floating Rate Note |
| $ |
|
|
10,350,000 |
|
|
|
1.942 |
% |
|
04/30/20 |
|
$ 10,350,517 |
| (Cost $10,350,896) |
| |
| TOTAL INVESTMENTS BEFORE
SHORT-TERM INVESTMENT (Cost $650,681,556) |
|
$651,215,250 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Short-term Investments – 12.9% |
| Commercial Paper(f) –
7.7% |
| AT&T, Inc. |
| $ |
|
|
2,500,000 |
|
|
|
0.000 |
% |
|
10/05/18 |
|
$ 2,482,101 |
|
|
|
3,200,000 |
|
|
|
0.000 |
|
|
10/09/18 |
|
3,176,155 |
| BAT International Finance PLC |
|
|
|
4,000,000 |
|
|
|
0.000 |
|
|
08/07/18 |
|
3,989,674 |
| Duke Energy Corp. |
|
|
|
3,734,000 |
|
|
|
0.000 |
|
|
08/27/18 |
|
3,719,025 |
| Eastman Chemical Co. |
|
|
|
1,500,000 |
|
|
|
0.000 |
|
|
07/06/18 |
|
1,499,344 |
| Hewlett Packard Enterprise Co. |
|
|
|
1,863,000 |
|
|
|
0.000 |
|
|
07/10/18 |
|
1,861,896 |
|
|
|
1,864,000 |
|
|
|
0.000 |
|
|
07/11/18 |
|
1,862,793 |
| HP, Inc. |
|
|
|
3,000,000 |
|
|
|
0.000 |
|
|
07/23/18 |
|
2,996,052 |
| Manhattan Asset Funding Co. LLC |
|
|
|
3,600,000 |
|
|
|
0.000 |
|
|
08/06/18 |
|
3,592,008 |
| Marriott International, Inc. |
|
|
|
2,000,000 |
|
|
|
0.000 |
|
|
07/05/18 |
|
1,999,252 |
|
|
|
2,500,000 |
|
|
|
0.000 |
|
|
07/31/18 |
|
2,494,762 |
| |
GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Short-term Investments – (continued) |
| Commercial Paper(f) –
(continued) |
| Mondelez International, Inc. |
| $ |
|
|
3,300,000 |
|
|
|
0.000 |
% |
|
10/02/18 |
|
$ 3,277,663 |
| Nutrien Ltd. |
|
|
|
727,000 |
|
|
|
0.000 |
|
|
07/16/18 |
|
726,140 |
|
|
|
1,090,000 |
|
|
|
0.000 |
|
|
07/18/18 |
|
1,088,555 |
|
|
|
250,000 |
|
|
|
0.000 |
|
|
07/26/18 |
|
249,525 |
| Schlumberger Holdings |
|
|
|
1,891,000 |
|
|
|
0.000 |
|
|
07/27/18 |
|
1,887,688 |
| Schlumberger Holdings Corp. |
|
|
|
710,000 |
|
|
|
0.000 |
|
|
08/22/18 |
|
707,516 |
| Sempra Energy Holdings |
|
|
|
727,000 |
|
|
|
0.000 |
|
|
07/31/18 |
|
725,477 |
| Suncor Energy, Inc. |
|
|
|
1,600,000 |
|
|
|
0.000 |
|
|
07/16/18 |
|
1,598,264 |
| The Southern Co. |
|
|
|
1,491,000 |
|
|
|
0.000 |
|
|
08/30/18 |
|
1,484,691 |
| Versailles Commercial Paper LLC |
|
|
|
4,341,000 |
|
|
|
0.000 |
|
|
07/09/18 |
|
4,338,540 |
| Victory Receivables Corp. |
|
|
|
7,000,000 |
|
|
|
0.000 |
|
|
10/02/18 |
|
6,957,274 |
| VW Credit, Inc. |
|
|
|
2,398,000 |
|
|
|
0.000 |
|
|
08/13/18 |
|
2,390,791 |
|
|
|
2,650,000 |
|
|
|
0.000 |
|
|
09/20/18 |
|
2,634,561 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
57,739,747 |
| |
| Repurchase Agreements(g) –
5.2% |
| Joint Repurchase Agreement Account II |
|
|
|
38,500,000 |
|
|
|
2.120 |
|
|
07/02/18 |
|
38,500,000 |
| |
| TOTAL SHORT-TERM INVESTMENTS
(Cost $96,243,113) |
|
$ 96,239,747 |
| |
| TOTAL INVESTMENTS – 99.9% (Cost $746,924,669) |
|
$747,454,997 |
| |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 0.1% |
|
583,954 |
| |
| NET ASSETS – 100.0% |
|
$748,038,951 |
| |
|
|
|
|
| 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. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed
is that which is in effect on June 30, 2018. |
|
|
|
|
|
| (c) |
|
Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed 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 $254,021,179, which represents approximately 34.0% of the Fund’s net assets as
of June 30, 2018. The liquidity determination is unaudited. |
|
|
| (d) |
|
Guaranteed by the United States Government until maturity. Total market value for these securities amounts to $3,973,080, which represents approximately 0.5% of the Fund’s
net assets as of June 30, 2018. |
|
|
| (e) |
|
Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
|
|
| (f) |
|
Issued with a zero coupon. Income is recognized through the accretion of discount. |
|
|
| (g) |
|
Joint repurchase agreement was entered into on June 29, 2018. Additional information appears in the Notes to the Schedule of Investments section. |
|
|
|
| |
| Currency Abbreviations: |
| USD |
|
— U.S. Dollar |
|
| Investment Abbreviations: |
| ACES |
|
— Alternative Credit Enhancement Securities |
| CLO |
|
— Collateralized Loan Obligation |
| CMT |
|
— Constant Maturity Treasury Indexes |
| COF |
|
— Cost of Funds |
| FFELP |
|
— Federal Family Education Loan Program |
| FHLMC |
|
— Federal Home Loan Mortgage Corp. |
| FNMA |
|
— Federal National Mortgage Association |
| GNMA |
|
— Government National Mortgage Association |
| LIBOR |
|
— London Interbank Offered Rate |
| LLC |
|
— Limited Liability Company |
| LP |
|
— Limited Partnership |
| MTA |
|
— Monthly Treasury Average |
| NCUA |
|
— National Credit Union Administration |
| PLC |
|
— Public Limited Company |
| RB |
|
— Revenue Bond |
| REMIC |
|
— Real Estate Mortgage Investment Conduit |
| STRIPS |
|
— Separate Trading of Registered Interest and Principal of Securities |
| |
|
| For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com. |
GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION
FUTURES CONTRACTS — At June 30, 2018, the Fund had the following futures contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Number of Contracts |
|
Expiration Date |
|
Notional
Amount |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Long position contracts: |
|
| Eurodollars |
|
300 |
|
09/17/18 |
|
$ |
73,158,750 |
|
|
$ |
6,804 |
|
| 20 Year U.S. Treasury Bonds |
|
28 |
|
09/19/18 |
|
|
4,060,000 |
|
|
|
77,804 |
|
| |
|
| Total |
|
|
|
|
|
|
|
|
|
$ |
84,608 |
|
| |
|
| Short position contracts: |
|
| Ultra Long U.S. Treasury Bonds |
|
(21) |
|
09/19/18 |
|
|
(3,350,813 |
) |
|
|
(64,332 |
) |
| Ultra 10 Year U.S. Treasury Notes |
|
(24) |
|
09/19/18 |
|
|
(3,077,625 |
) |
|
|
(31,967 |
) |
| 2 Year U.S Treasury Notes |
|
(122) |
|
09/28/18 |
|
|
(25,843,031 |
) |
|
|
62,699 |
|
| 5 Year U.S Treasury Notes |
|
(119) |
|
09/28/18 |
|
|
(13,520,445 |
) |
|
|
(51,665 |
) |
| 10 Year U.S Treasury Notes |
|
(46) |
|
09/19/18 |
|
|
(5,528,625 |
) |
|
|
(12,238 |
) |
| |
|
| Total |
|
|
|
|
|
|
|
|
|
$ |
(97,503 |
) |
| |
|
| TOTAL FUTURES CONTRACTS |
|
|
|
|
|
|
|
|
|
$ |
(12,895 |
) |
| |
|
SWAP CONTRACTS — At June 30, 2018, the Fund had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACT
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Payments Made by the Fund(a) |
|
Payments Received by Fund(b) |
|
Termination
Date |
|
|
Notional
Amount
(000s)(c) |
|
|
Market Value |
|
|
Upfront
Premium
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| 2.882% |
|
3 month LIBOR |
|
|
02/28/25 |
|
|
$ |
11,800 |
|
|
$ |
4,585 |
|
|
$ |
76,776 |
|
|
$ |
(72,191 |
) |
| |
|
| (a) |
|
Payments made semi-annually. |
| (b) |
|
Payments made quarterly. |
| (c) |
|
Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2018.
|
GOLDMAN SACHS INFLATION PROTECTED SECURITIES FUND
Schedule of Investments
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| U.S. Treasury Obligations – 87.8% |
| United States Treasury Inflation Indexed Bonds |
| $ |
|
|
22,558,221 |
(a) |
|
|
0.125 |
% |
|
04/15/19 |
|
$ 22,426,932 |
|
|
|
56,400,679 |
|
|
|
1.250 |
|
|
07/15/20 |
|
57,327,342 |
|
|
|
23,118,992 |
|
|
|
0.625 |
|
|
07/15/21 |
|
23,211,930 |
|
|
|
51,504,500 |
|
|
|
0.125 |
|
|
04/15/22 |
|
50,458,959 |
|
|
|
16,224,940 |
|
|
|
0.375 |
|
|
07/15/25 |
|
15,943,275 |
|
|
|
11,966,305 |
|
|
|
0.625 |
|
|
01/15/26 |
|
11,908,388 |
|
|
|
23,096,710 |
|
|
|
0.125 |
|
|
07/15/26 |
|
22,136,349 |
|
|
|
10,957,870 |
|
|
|
0.375 |
|
|
07/15/27 |
|
10,665,843 |
|
|
|
29,858,640 |
|
|
|
0.500 |
|
|
01/15/28 |
|
29,222,352 |
|
|
|
38,096,347 |
(a) |
|
|
2.500 |
|
|
01/15/29 |
|
44,813,494 |
|
|
|
30,860,092 |
|
|
|
1.375 |
|
|
02/15/44 |
|
34,471,649 |
|
|
|
21,808,747 |
|
|
|
0.750 |
|
|
02/15/45 |
|
21,179,565 |
| |
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $344,537,943) |
|
$343,766,078 |
| |
|
|
|
|
|
|
|
|
|
| Shares |
|
Distribution Rate |
|
Value |
| Investment
Company(b) – 9.9% |
| Goldman Sachs Financial Square Government Fund - Institutional Shares |
|
|
38,759,193 |
|
1.869% |
|
$ 38,759,193 |
| (Cost $38,759,193) |
| |
| TOTAL INVESTMENTS – 97.7%
(Cost $383,297,136) |
|
$382,525,271 |
| |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 2.3% |
|
8,977,191 |
| |
| NET ASSETS – 100.0% |
|
$391,502,462 |
| |
|
|
|
|
| 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 requirements on futures transactions. |
|
|
| (b) |
|
Represents an affiliated issuer. |
|
|
|
| |
| Investment Abbreviations: |
| LIBOR |
|
— London Interbank Offered Rate |
| |
|
| For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com. |
GOLDMAN SACHS INFLATION PROTECTED SECURITIES FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At June 30, 2018, the Fund had the
following futures contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Number of Contracts |
|
Expiration Date |
|
Notional
Amount |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Long position contracts: |
|
| Ultra Long U.S. Treasury Bonds |
|
4 |
|
09/19/18 |
|
$ |
638,250 |
|
|
$ |
4,742 |
|
| 2 Year U.S. Treasury Notes |
|
54 |
|
09/28/18 |
|
|
11,438,719 |
|
|
|
(23,514 |
) |
| 5 Year U.S Treasury Notes |
|
496 |
|
09/28/18 |
|
|
56,354,125 |
|
|
|
176,976 |
|
| 10 Year U.S Treasury Notes |
|
610 |
|
09/19/18 |
|
|
73,314,375 |
|
|
|
577,523 |
|
| |
|
| Total |
|
|
$ |
735,727 |
|
| |
|
| Short position contracts: |
|
| Eurodollars |
|
(29) |
|
09/17/18 |
|
|
(7,072,012 |
) |
|
|
5,333 |
|
| Eurodollars |
|
(60) |
|
12/17/18 |
|
|
(14,604,000 |
) |
|
|
20,061 |
|
| Eurodollars |
|
(38) |
|
03/18/19 |
|
|
(9,237,800 |
) |
|
|
(563 |
) |
| Eurodollars |
|
(14) |
|
06/17/19 |
|
|
(3,400,075 |
) |
|
|
29,901 |
|
| Eurodollars |
|
(58) |
|
09/16/19 |
|
|
(14,076,600 |
) |
|
|
53,515 |
|
| Eurodollars |
|
(49) |
|
12/16/19 |
|
|
(11,886,788 |
) |
|
|
21,851 |
|
| Eurodollars |
|
(26) |
|
09/14/20 |
|
|
(6,306,625 |
) |
|
|
8,390 |
|
| Eurodollars |
|
(118) |
|
12/14/20 |
|
|
(28,620,900 |
) |
|
|
12,700 |
|
| Ultra 10 Year U.S. Treasury Notes |
|
(105) |
|
09/19/18 |
|
|
(13,464,609 |
) |
|
|
(139,730 |
) |
| 20 Year U.S. Treasury Bonds |
|
(86) |
|
09/19/18 |
|
|
(12,470,000 |
) |
|
|
(180,397 |
) |
| |
|
| Total |
|
|
$ |
(168,939 |
) |
| |
|
| TOTAL FUTURES CONTRACTS |
|
|
$ |
566,788 |
|
| |
|
SWAP CONTRACTS — At June 30, 2018, the Fund had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Payments Made by
the Fund |
|
Payments Received by Fund |
|
Termination
Date |
|
|
Notional
Amount (000s) |
|
|
Market
Value |
|
|
Upfront
Premium
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| 3M LIBOR(a) |
|
2.139%(b) |
|
|
11/20/20 |
|
|
$ |
74,360 |
(c) |
|
$ |
(1,094,609 |
) |
|
$ |
(108,274 |
) |
|
$ |
(986,335 |
) |
| 2.275%(b) |
|
3M LIBOR(a) |
|
|
11/20/23 |
|
|
|
32,720 |
(c) |
|
|
986,324 |
|
|
|
65,951 |
|
|
|
920,373 |
|
| 2.251(d) |
|
3M LIBOR |
|
|
02/20/24 |
|
|
|
17,900 |
|
|
|
99,721 |
|
|
|
175 |
|
|
|
99,546 |
|
| 2.057(e) |
|
3M LIBOR |
|
|
04/21/24 |
|
|
|
6,500 |
|
|
|
102,837 |
|
|
|
72 |
|
|
|
102,765 |
|
| 2.120(d) |
|
3M LIBOR |
|
|
05/02/24 |
|
|
|
13,200 |
|
|
|
157,454 |
|
|
|
147 |
|
|
|
157,307 |
|
| 2.103(d) |
|
3M LIBOR |
|
|
12/14/24 |
|
|
|
10,000 |
|
|
|
175,041 |
|
|
|
123 |
|
|
|
174,918 |
|
| 2.104(d) |
|
3M LIBOR |
|
|
12/14/24 |
|
|
|
10,000 |
|
|
|
174,369 |
|
|
|
124 |
|
|
|
174,245 |
|
| 2.882(b) |
|
3M LIBOR(a) |
|
|
02/28/25 |
|
|
|
15,560 |
|
|
|
6,047 |
|
|
|
41,778 |
|
|
|
(35,731 |
) |
| 2.250(b) |
|
3M LIBOR(a) |
|
|
09/19/25 |
|
|
|
17,140 |
(c) |
|
|
726,541 |
|
|
|
826,331 |
|
|
|
(99,790 |
) |
| 3M LIBOR(d) |
|
2.223 |
|
|
12/14/29 |
|
|
|
10,000 |
|
|
|
(183,171 |
) |
|
|
192 |
|
|
|
(183,363 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
$ |
1,150,554 |
|
|
$ |
826,619 |
|
|
$ |
323,935 |
|
| |
|
| (a) |
|
Payments made quarterly. |
| (b) |
|
Payments made semi-annually. |
| (c) |
|
Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2018.
|
| (d) |
|
Payments made at maturity. |
| (e) |
|
Payments made annually. |
GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
Schedule of Investments
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Mortgage-Backed Obligations – 37.6% |
| Collateralized Mortgage Obligations – 4.3% |
| Interest Only(a) –
0.0% |
| FHLMC REMIC Series 1161, Class U |
| $ |
|
|
63 |
|
|
|
1,172.807 |
% |
|
11/15/21 |
|
$ 711 |
| FHLMC REMIC Series 4273, Class PS(b)(-1x1M LIBOR + 6.100%) |
|
|
|
1,441,979 |
|
|
|
4.027 |
|
|
11/15/43 |
|
199,513 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
200,224 |
| |
| Inverse Floaters(b) –
0.0% |
| FNMA REMIC Series 1990-134, Class SC(-1x1M LIBOR +
21.600%) |
|
|
|
3,218 |
|
|
|
18.660 |
|
|
11/25/20 |
|
3,605 |
| |
| Regular Floater(b) –
1.9% |
| FNMA REMIC Series 2007-33, Class HF(1M LIBOR +
0.350%) |
|
|
|
382,663 |
|
|
|
2.310 |
|
|
04/25/37 |
|
383,754 |
| NCUA Guaranteed Notes Series 2011-R1, Class 1A(1M LIBOR +
0.450%) |
|
|
|
1,949,786 |
|
|
|
2.373 |
|
|
01/08/20 |
|
1,952,147 |
| NCUA Guaranteed Notes Series 2011-R2, Class 1A(1M LIBOR +
0.400%) |
|
|
|
7,429,654 |
|
|
|
2.425 |
|
|
02/06/20 |
|
7,436,620 |
| NCUA Guaranteed Notes Series 2011-R3, Class 1A(1M LIBOR +
0.400%) |
|
|
|
6,023,426 |
|
|
|
2.446 |
|
|
03/11/20 |
|
6,028,837 |
| NCUA Guaranteed Notes Trust Series 2010-R1, Class 1A(1M LIBOR +
0.450%) |
|
|
|
1,697,593 |
|
|
|
2.475 |
|
|
10/07/20 |
|
1,701,770 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,503,128 |
| |
| Sequential Fixed Rate(c) –
0.3% |
| FDIC Structured Sale Guaranteed Notes Series 2010-S1,
Class 2A |
|
|
|
2,700,787 |
|
|
|
3.250 |
|
|
04/25/38 |
|
2,668,968 |
| |
| Sequential Fixed Rate – 2.1% |
| FHLMC REMIC Series 108, Class G |
|
|
|
2,903 |
|
|
|
8.500 |
|
|
12/15/20 |
|
2,976 |
| FHLMC REMIC Series 1980, Class Z |
|
|
|
333,217 |
|
|
|
7.000 |
|
|
07/15/27 |
|
368,027 |
| FHLMC REMIC Series 2019, Class Z |
|
|
|
264,420 |
|
|
|
6.500 |
|
|
12/15/27 |
|
285,615 |
| FHLMC REMIC Series 2755, Class ZA |
|
|
|
682,924 |
|
|
|
5.000 |
|
|
02/15/34 |
|
727,066 |
| FHLMC REMIC Series 3530, Class DB |
|
|
|
3,364,275 |
|
|
|
4.000 |
|
|
05/15/24 |
|
3,433,058 |
| FHLMC REMIC Series 4273, Class PD |
|
|
|
1,108,122 |
|
|
|
6.500 |
|
|
11/15/43 |
|
1,250,957 |
| FHLMC REMIC Series 4619, Class NA |
|
|
|
4,365,097 |
|
|
|
3.000 |
|
|
03/15/44 |
|
4,317,946 |
| FNMA REMIC Series 1989-66, Class J |
|
|
|
10,572 |
|
|
|
7.000 |
|
|
09/25/19 |
|
10,668 |
| FNMA REMIC Series 1990-16, Class E |
|
|
|
23,639 |
|
|
|
9.000 |
|
|
03/25/20 |
|
24,489 |
| FNMA REMIC Series 2012-111, Class B |
|
|
|
461,883 |
|
|
|
7.000 |
|
|
10/25/42 |
|
520,852 |
| FNMA REMIC Series 2012-153, Class B |
|
|
|
1,627,943 |
|
|
|
7.000 |
|
|
07/25/42 |
|
1,842,926 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| Sequential Fixed Rate – (continued) |
| FNMA REMIC Series 2015-30, Class EA |
| $ |
|
|
7,190,098 |
|
|
|
3.000 |
% |
|
05/25/45 |
|
$ 7,116,868 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,901,448 |
| |
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
$ 40,277,373 |
| |
| Commercial Mortgage-Backed Securities – 7.2% |
| Sequential Fixed Rate – 3.7% |
| FHLMC Multifamily Structured Pass Through Certificates Series K716, Class A2 |
| $ |
|
|
16,100,000 |
|
|
|
3.130 |
% |
|
06/25/21 |
|
$ 16,143,304 |
| FHLMC Multifamily Structured Pass Through Certificates Series K717, Class A2 |
|
|
|
18,600,000 |
|
|
|
2.991 |
|
|
09/25/21 |
|
18,571,159 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
34,714,463 |
| |
| Sequential Floating Rate(b) –
3.5% |
| FNMA ACES Series 2014-M1, Class ASQ2 |
|
|
|
12,519,396 |
|
|
|
2.323 |
|
|
11/25/18 |
|
12,492,994 |
| FHLMC Multifamily Structured Pass-Through Certificates Series KF03, Class A(1M LIBOR +
0.340%) |
|
|
|
1,774,431 |
|
|
|
2.341 |
|
|
01/25/21 |
|
1,774,993 |
| FHLMC Multifamily Structured Pass Through Certificates Series KP02, Class A2 |
|
|
|
19,009,314 |
|
|
|
2.355 |
|
|
04/25/21 |
|
18,901,096 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33,169,083 |
| |
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
|
$ 67,883,546 |
| |
| Federal Agencies – 26.1% |
| Adjustable Rate FHLMC(b) –
1.0% |
| FHLMC(1 year CMT + 2.250%) |
| $ |
|
|
1,172,171 |
|
|
|
3.501 |
% |
|
06/01/35 |
|
$ 1,228,360 |
| FHLMC(12M USD LIBOR + 1.611%) |
|
|
|
6,569,311 |
|
|
|
2.549 |
|
|
11/01/44 |
|
6,627,908 |
| FHLMC(12M USD LIBOR + 1.720%) |
|
|
|
640,989 |
|
|
|
2.505 |
|
|
06/01/42 |
|
655,393 |
| FHLMC(12M USD LIBOR + 1.840%) |
|
|
|
355,119 |
|
|
|
3.628 |
|
|
11/01/34 |
|
374,652 |
| FHLMC(12M USD LIBOR + 2.000%) |
|
|
|
28,770 |
|
|
|
3.750 |
|
|
11/01/36 |
|
29,745 |
| FHLMC(12M USD LIBOR + 2.298%) |
|
|
|
90,923 |
|
|
|
4.091 |
|
|
05/01/36 |
|
96,366 |
| FHLMC(3 year CMT + 2.221%) |
|
|
|
1,017 |
|
|
|
3.123 |
|
|
10/01/25 |
|
1,012 |
| FHLMC(6M USD LIBOR + 1.867%) |
|
|
|
31,940 |
|
|
|
3.735 |
|
|
10/01/36 |
|
33,182 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,046,618 |
| |
| Adjustable Rate FNMA(b) –
1.4% |
| FNMA(1 year CMT + 2.048%) |
|
|
|
4,927 |
|
|
|
4.165 |
|
|
02/01/27 |
|
4,938 |
| FNMA(1 year CMT + 2.055%) |
|
|
|
317,070 |
|
|
|
3.278 |
|
|
10/01/35 |
|
332,713 |
| FNMA(1 year CMT + 2.220%) |
|
|
|
487,205 |
|
|
|
3.339 |
|
|
06/01/34 |
|
513,712 |
| |
GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| Adjustable Rate FNMA(b) –
(continued) |
| FNMA(1 year CMT + 2.255%) |
| $ |
|
|
43,679 |
|
|
|
3.380 |
% |
|
07/01/32 |
|
$ 46,028 |
| FNMA(1 year CMT + 2.288%) |
|
|
|
545,511 |
|
|
|
3.785 |
|
|
02/01/34 |
|
575,089 |
| FNMA(1 year CMT + 3.105%) |
|
|
|
3,797 |
|
|
|
7.056 |
|
|
05/01/20 |
|
3,865 |
| FNMA(12M MTA + 2.331%) |
|
|
|
577,348 |
|
|
|
3.800 |
|
|
06/01/36 |
|
606,205 |
| FNMA(12M MTA + 2.339%) |
|
|
|
352,845 |
|
|
|
3.806 |
|
|
04/01/36 |
|
370,448 |
| FNMA(12M MTA + 2.342%) |
|
|
|
1,170,154 |
|
|
|
3.813 |
|
|
07/01/36 |
|
1,228,912 |
| FNMA(12M USD LIBOR + 1.225%) |
|
|
|
19,828 |
|
|
|
2.975 |
|
|
01/01/33 |
|
20,245 |
| FNMA(12M USD LIBOR + 1.325%) |
|
|
|
647,721 |
|
|
|
3.501 |
|
|
04/01/35 |
|
659,170 |
| FNMA(12M USD LIBOR + 1.430%) |
|
|
|
196,040 |
|
|
|
3.556 |
|
|
05/01/35 |
|
204,134 |
| FNMA(12M USD LIBOR + 1.506%) |
|
|
|
329,542 |
|
|
|
3.421 |
|
|
02/01/35 |
|
336,716 |
| FNMA(12M USD LIBOR + 1.525%) |
|
|
|
42,539 |
|
|
|
4.150 |
|
|
05/01/35 |
|
44,164 |
| FNMA(12M USD LIBOR + 1.556%) |
|
|
|
82,198 |
|
|
|
3.388 |
|
|
02/01/35 |
|
85,158 |
| FNMA(12M USD LIBOR + 1.648%) |
|
|
|
228,183 |
|
|
|
3.736 |
|
|
03/01/35 |
|
237,276 |
| FNMA(12M USD LIBOR + 1.664%) |
|
|
|
334,733 |
|
|
|
3.414 |
|
|
10/01/34 |
|
348,927 |
| FNMA(12M USD LIBOR + 1.691%) |
|
|
|
206,559 |
|
|
|
3.441 |
|
|
10/01/34 |
|
212,431 |
| FNMA(12M USD LIBOR + 1.695%) |
|
|
|
264,564 |
|
|
|
4.320 |
|
|
05/01/34 |
|
276,130 |
| FNMA(12M USD LIBOR + 1.706%) |
|
|
|
657,780 |
|
|
|
3.713 |
|
|
03/01/36 |
|
690,143 |
| FNMA(12M USD LIBOR + 1.720%) |
|
|
|
464,267 |
|
|
|
4.033 |
|
|
05/01/34 |
|
484,079 |
| FNMA(12M USD LIBOR + 1.720%) |
|
|
|
348,301 |
|
|
|
3.720 |
|
|
03/01/35 |
|
357,916 |
| FNMA(12M USD LIBOR + 1.720%) |
|
|
|
320,558 |
|
|
|
4.095 |
|
|
04/01/35 |
|
334,702 |
| FNMA(12M USD LIBOR + 1.755%) |
|
|
|
32,043 |
|
|
|
3.505 |
|
|
07/01/32 |
|
33,472 |
| FNMA(12M USD LIBOR + 1.775%) |
|
|
|
853,202 |
|
|
|
3.715 |
|
|
07/01/37 |
|
901,543 |
| FNMA(12M USD LIBOR + 1.800%) |
|
|
|
814,898 |
|
|
|
4.338 |
|
|
05/01/33 |
|
856,566 |
| FNMA(12M USD LIBOR + 1.820%) |
|
|
|
38,700 |
|
|
|
3.636 |
|
|
12/01/46 |
|
40,876 |
| FNMA(12M USD LIBOR + 1.907%) |
|
|
|
909,128 |
|
|
|
3.651 |
|
|
06/01/36 |
|
959,351 |
| FNMA(12M USD LIBOR + 1.935%) |
|
|
|
186,333 |
|
|
|
3.685 |
|
|
11/01/36 |
|
196,139 |
| FNMA(12M USD LIBOR + 1.944%) |
|
|
|
950,339 |
|
|
|
4.195 |
|
|
04/01/36 |
|
1,004,443 |
| FNMA(6M USD LIBOR + 2.250%) |
|
|
|
133,703 |
|
|
|
4.125 |
|
|
08/01/33 |
|
140,379 |
| FNMA(COF + 1.250%) |
|
|
|
724,871 |
|
|
|
4.611 |
|
|
08/01/33 |
|
767,897 |
| FNMA(COF + 1.796%) |
|
|
|
37,345 |
|
|
|
2.610 |
|
|
08/01/29 |
|
37,944 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,911,711 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| Adjustable Rate GNMA(b) –
0.4% |
| GNMA(1 year CMT + 1.500%) |
| $ |
|
|
190,391 |
|
|
|
2.625 |
% |
|
05/20/34 |
|
$ 195,095 |
| GNMA(1 year CMT + 1.500%) |
|
|
|
394,379 |
|
|
|
2.750 |
|
|
07/20/34 |
|
403,659 |
| GNMA(1 year CMT + 1.500%) |
|
|
|
267,940 |
|
|
|
2.750 |
|
|
08/20/34 |
|
274,271 |
| GNMA(1 year CMT + 1.500%) |
|
|
|
2,089,061 |
|
|
|
2.750 |
|
|
09/20/34 |
|
2,138,395 |
| GNMA(1 year CMT + 1.500%) |
|
|
|
249,618 |
|
|
|
3.125 |
|
|
10/20/34 |
|
255,399 |
| GNMA(1 year CMT + 1.500%) |
|
|
|
383,526 |
|
|
|
3.125 |
|
|
12/20/34 |
|
392,900 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,659,719 |
| |
| FHLMC – 1.1% |
|
|
|
76,522 |
|
|
|
5.500 |
|
|
01/01/20 |
|
77,430 |
|
|
|
76,008 |
|
|
|
7.000 |
|
|
04/01/22 |
|
78,339 |
|
|
|
1,250 |
|
|
|
4.500 |
|
|
05/01/23 |
|
1,292 |
|
|
|
12,206 |
|
|
|
7.500 |
|
|
01/01/31 |
|
12,942 |
|
|
|
42,293 |
|
|
|
4.500 |
|
|
07/01/33 |
|
44,283 |
|
|
|
1,227,625 |
|
|
|
4.500 |
|
|
08/01/33 |
|
1,285,401 |
|
|
|
2,466,403 |
|
|
|
4.500 |
|
|
09/01/33 |
|
2,582,484 |
|
|
|
244,249 |
|
|
|
4.500 |
|
|
10/01/33 |
|
255,744 |
|
|
|
6,024 |
|
|
|
4.500 |
|
|
04/01/34 |
|
6,280 |
|
|
|
5,715 |
|
|
|
4.500 |
|
|
04/01/35 |
|
5,974 |
|
|
|
3,007 |
|
|
|
4.500 |
|
|
07/01/35 |
|
3,140 |
|
|
|
11,148 |
|
|
|
4.500 |
|
|
08/01/35 |
|
11,645 |
|
|
|
51,189 |
|
|
|
4.500 |
|
|
09/01/35 |
|
53,479 |
|
|
|
21,308 |
|
|
|
4.500 |
|
|
10/01/35 |
|
22,229 |
|
|
|
2,322 |
|
|
|
4.500 |
|
|
12/01/35 |
|
2,419 |
|
|
|
1,534 |
|
|
|
4.500 |
|
|
05/01/36 |
|
1,603 |
|
|
|
1,540 |
|
|
|
6.000 |
|
|
06/01/36 |
|
1,667 |
|
|
|
140,875 |
|
|
|
4.500 |
|
|
01/01/38 |
|
147,224 |
|
|
|
2,288 |
|
|
|
4.500 |
|
|
04/01/38 |
|
2,384 |
|
|
|
641 |
|
|
|
4.500 |
|
|
05/01/38 |
|
669 |
|
|
|
8,399 |
|
|
|
4.500 |
|
|
06/01/38 |
|
8,758 |
|
|
|
220,573 |
|
|
|
4.500 |
|
|
09/01/38 |
|
231,964 |
|
|
|
4,934 |
|
|
|
4.500 |
|
|
01/01/39 |
|
5,157 |
|
|
|
129,174 |
|
|
|
4.500 |
|
|
02/01/39 |
|
135,452 |
|
|
|
1,484,559 |
|
|
|
7.000 |
|
|
02/01/39 |
|
1,696,795 |
|
|
|
60,580 |
|
|
|
4.500 |
|
|
03/01/39 |
|
63,625 |
|
|
|
12,791 |
|
|
|
4.500 |
|
|
04/01/39 |
|
13,433 |
|
|
|
385,966 |
|
|
|
4.500 |
|
|
05/01/39 |
|
405,361 |
|
|
|
1,050,798 |
|
|
|
4.500 |
|
|
06/01/39 |
|
1,103,600 |
|
|
|
22,321 |
|
|
|
4.500 |
|
|
07/01/39 |
|
23,442 |
|
|
|
53,274 |
|
|
|
4.500 |
|
|
08/01/39 |
|
55,950 |
|
|
|
70,717 |
|
|
|
4.500 |
|
|
09/01/39 |
|
74,270 |
|
|
|
13,826 |
|
|
|
4.500 |
|
|
10/01/39 |
|
14,520 |
|
|
|
26,003 |
|
|
|
4.500 |
|
|
11/01/39 |
|
27,310 |
|
|
|
51,405 |
|
|
|
4.500 |
|
|
12/01/39 |
|
53,988 |
|
|
|
42,073 |
|
|
|
4.500 |
|
|
01/01/40 |
|
44,187 |
|
|
|
10,919 |
|
|
|
4.500 |
|
|
02/01/40 |
|
11,471 |
|
|
|
32,475 |
|
|
|
4.500 |
|
|
04/01/40 |
|
34,119 |
|
|
|
51,033 |
|
|
|
4.500 |
|
|
05/01/40 |
|
53,622 |
|
|
|
59,136 |
|
|
|
4.500 |
|
|
06/01/40 |
|
62,134 |
|
|
|
57,034 |
|
|
|
4.500 |
|
|
07/01/40 |
|
59,925 |
|
|
|
49,822 |
|
|
|
4.500 |
|
|
08/01/40 |
|
52,348 |
|
|
|
31,250 |
|
|
|
4.500 |
|
|
09/01/40 |
|
32,835 |
|
|
|
12,019 |
|
|
|
4.500 |
|
|
10/01/40 |
|
12,628 |
|
|
|
22,271 |
|
|
|
4.500 |
|
|
02/01/41 |
|
23,395 |
| |
GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| FHLMC – (continued) |
| $ |
|
|
40,035 |
|
|
|
4.500 |
% |
|
03/01/41 |
|
$ 42,024 |
|
|
|
113,406 |
|
|
|
4.500 |
|
|
04/01/41 |
|
119,039 |
|
|
|
99,519 |
|
|
|
4.500 |
|
|
05/01/41 |
|
104,463 |
|
|
|
194,076 |
|
|
|
4.500 |
|
|
06/01/41 |
|
203,714 |
|
|
|
14,234 |
|
|
|
4.500 |
|
|
07/01/41 |
|
14,941 |
|
|
|
487,320 |
|
|
|
4.500 |
|
|
08/01/41 |
|
511,537 |
|
|
|
496,729 |
|
|
|
4.500 |
|
|
09/01/41 |
|
521,903 |
|
|
|
29,391 |
|
|
|
4.500 |
|
|
12/01/41 |
|
30,851 |
|
|
|
360,955 |
|
|
|
4.500 |
|
|
03/01/42 |
|
378,885 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,824,274 |
| |
| FNMA – 20.7% |
|
|
|
902 |
|
|
|
5.500 |
|
|
07/01/18 |
|
902 |
|
|
|
1,956 |
|
|
|
5.500 |
|
|
09/01/18 |
|
1,956 |
|
|
|
15,800,000 |
|
|
|
2.960 |
|
|
11/01/18 |
|
15,776,573 |
|
|
|
1,196 |
|
|
|
5.500 |
|
|
12/01/18 |
|
1,201 |
|
|
|
1,409 |
|
|
|
5.500 |
|
|
01/01/19 |
|
1,415 |
|
|
|
960 |
|
|
|
5.500 |
|
|
03/01/19 |
|
967 |
|
|
|
185 |
|
|
|
5.500 |
|
|
08/01/19 |
|
185 |
|
|
|
872 |
|
|
|
5.000 |
|
|
09/01/19 |
|
882 |
|
|
|
1,975 |
|
|
|
7.000 |
|
|
11/01/19 |
|
1,980 |
|
|
|
33,053,082 |
|
|
|
4.313 |
|
|
07/01/21 |
|
34,133,353 |
|
|
|
645,278 |
|
|
|
5.500 |
|
|
09/01/23 |
|
669,710 |
|
|
|
169,252 |
|
|
|
5.500 |
|
|
10/01/23 |
|
175,837 |
|
|
|
1,261,234 |
|
|
|
6.000 |
|
|
02/01/24 |
|
1,378,398 |
|
|
|
1,953 |
|
|
|
7.000 |
|
|
12/01/24 |
|
2,107 |
|
|
|
584,939 |
|
|
|
6.000 |
|
|
08/01/26 |
|
639,278 |
|
|
|
94,522 |
|
|
|
6.000 |
|
|
10/01/26 |
|
103,103 |
|
|
|
740 |
|
|
|
7.000 |
|
|
08/01/27 |
|
821 |
|
|
|
186,066 |
|
|
|
6.000 |
|
|
11/01/27 |
|
202,957 |
|
|
|
1,354,816 |
|
|
|
6.000 |
|
|
02/01/28 |
|
1,480,758 |
|
|
|
623,359 |
|
|
|
6.000 |
|
|
07/01/28 |
|
681,267 |
|
|
|
163,545 |
|
|
|
6.000 |
|
|
08/01/28 |
|
178,738 |
|
|
|
255,213 |
|
|
|
6.000 |
|
|
09/01/28 |
|
279,010 |
|
|
|
920 |
|
|
|
7.000 |
|
|
10/01/28 |
|
970 |
|
|
|
14,759 |
|
|
|
6.000 |
|
|
01/01/29 |
|
16,130 |
|
|
|
649 |
|
|
|
7.000 |
|
|
01/01/29 |
|
708 |
|
|
|
46,037 |
|
|
|
6.000 |
|
|
03/01/29 |
|
50,216 |
|
|
|
601,572 |
|
|
|
4.500 |
|
|
09/01/29 |
|
630,688 |
|
|
|
346 |
|
|
|
7.000 |
|
|
11/01/29 |
|
347 |
|
|
|
473 |
|
|
|
7.000 |
|
|
04/01/31 |
|
505 |
|
|
|
23,958 |
|
|
|
6.000 |
|
|
12/01/31 |
|
26,358 |
|
|
|
5,499 |
|
|
|
7.000 |
|
|
05/01/32 |
|
6,013 |
|
|
|
5,177 |
|
|
|
7.000 |
|
|
06/01/32 |
|
5,523 |
|
|
|
1,038 |
|
|
|
7.000 |
|
|
08/01/32 |
|
1,188 |
|
|
|
77,524 |
|
|
|
6.000 |
|
|
09/01/32 |
|
85,566 |
|
|
|
43,091 |
|
|
|
6.000 |
|
|
10/01/32 |
|
47,733 |
|
|
|
40,390 |
|
|
|
6.000 |
|
|
11/01/32 |
|
44,530 |
|
|
|
15,372 |
|
|
|
6.000 |
|
|
02/01/33 |
|
16,977 |
|
|
|
11,886 |
|
|
|
6.000 |
|
|
03/01/33 |
|
13,203 |
|
|
|
4,193 |
|
|
|
6.000 |
|
|
04/01/33 |
|
4,646 |
|
|
|
985,943 |
|
|
|
6.500 |
|
|
04/01/33 |
|
1,105,921 |
|
|
|
3,006 |
|
|
|
6.000 |
|
|
11/01/33 |
|
3,332 |
|
|
|
950 |
|
|
|
7.000 |
|
|
04/01/34 |
|
1,086 |
|
|
|
27,633,694 |
|
|
|
6.000 |
|
|
05/01/34 |
|
30,552,845 |
|
|
|
61,047 |
|
|
|
6.000 |
|
|
07/01/34 |
|
67,719 |
|
|
|
4,558 |
|
|
|
6.000 |
|
|
10/01/34 |
|
5,049 |
|
|
|
114,528 |
|
|
|
6.000 |
|
|
01/01/35 |
|
127,099 |
|
|
|
89,096 |
|
|
|
6.000 |
|
|
03/01/35 |
|
98,430 |
|
|
|
1,679,726 |
|
|
|
6.000 |
|
|
04/01/35 |
|
1,856,548 |
|
|
|
180,060 |
|
|
|
6.000 |
|
|
05/01/35 |
|
199,571 |
|
|
|
248,369 |
|
|
|
6.000 |
|
|
06/01/35 |
|
276,073 |
|
|
|
34,356 |
|
|
|
6.000 |
|
|
08/01/35 |
|
38,263 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| FNMA – (continued) |
| $ |
|
|
90,590 |
|
|
|
6.000 |
% |
|
09/01/35 |
|
$ 100,621 |
|
|
|
694,219 |
|
|
|
6.000 |
|
|
11/01/35 |
|
771,313 |
|
|
|
767,032 |
|
|
|
6.000 |
|
|
12/01/35 |
|
850,484 |
|
|
|
1,550,208 |
|
|
|
6.000 |
|
|
01/01/36 |
|
1,722,680 |
|
|
|
561,063 |
|
|
|
6.000 |
|
|
02/01/36 |
|
621,659 |
|
|
|
304,687 |
|
|
|
6.000 |
|
|
03/01/36 |
|
337,499 |
|
|
|
2,326,891 |
|
|
|
6.000 |
|
|
04/01/36 |
|
2,575,349 |
|
|
|
382,309 |
|
|
|
6.000 |
|
|
05/01/36 |
|
423,771 |
|
|
|
405,465 |
|
|
|
6.000 |
|
|
06/01/36 |
|
449,203 |
|
|
|
846,908 |
|
|
|
6.000 |
|
|
07/01/36 |
|
938,516 |
|
|
|
4,171,335 |
|
|
|
6.000 |
|
|
08/01/36 |
|
4,627,427 |
|
|
|
1,010,887 |
|
|
|
6.000 |
|
|
09/01/36 |
|
1,113,796 |
|
|
|
1,842,982 |
|
|
|
6.000 |
|
|
10/01/36 |
|
2,043,669 |
|
|
|
594,630 |
|
|
|
4.500 |
|
|
11/01/36 |
|
624,505 |
|
|
|
2,883,411 |
|
|
|
6.000 |
|
|
11/01/36 |
|
3,202,006 |
|
|
|
543,787 |
|
|
|
6.000 |
|
|
12/01/36 |
|
603,226 |
|
|
|
7,527 |
|
|
|
6.000 |
|
|
01/01/37 |
|
8,358 |
|
|
|
210,439 |
|
|
|
6.000 |
|
|
02/01/37 |
|
233,219 |
|
|
|
520,455 |
|
|
|
6.000 |
|
|
03/01/37 |
|
577,891 |
|
|
|
299,236 |
|
|
|
6.000 |
|
|
04/01/37 |
|
331,940 |
|
|
|
8,022,449 |
|
|
|
6.000 |
|
|
05/01/37 |
|
8,888,569 |
|
|
|
481,238 |
|
|
|
6.000 |
|
|
07/01/37 |
|
534,223 |
|
|
|
785,644 |
|
|
|
6.000 |
|
|
08/01/37 |
|
873,091 |
|
|
|
617,695 |
|
|
|
6.000 |
|
|
09/01/37 |
|
687,040 |
|
|
|
211,615 |
|
|
|
6.000 |
|
|
10/01/37 |
|
234,961 |
|
|
|
235,406 |
|
|
|
7.500 |
|
|
10/01/37 |
|
258,361 |
|
|
|
412,479 |
|
|
|
6.000 |
|
|
11/01/37 |
|
457,843 |
|
|
|
3,171,263 |
|
|
|
6.000 |
|
|
12/01/37 |
|
3,509,425 |
|
|
|
3,613,442 |
|
|
|
6.000 |
|
|
01/01/38 |
|
3,997,326 |
|
|
|
2,397,822 |
|
|
|
6.000 |
|
|
02/01/38 |
|
2,659,533 |
|
|
|
396,547 |
|
|
|
6.000 |
|
|
03/01/38 |
|
441,525 |
|
|
|
5,755 |
|
|
|
6.000 |
|
|
04/01/38 |
|
6,372 |
|
|
|
7,891,191 |
|
|
|
6.000 |
|
|
05/01/38 |
|
8,754,574 |
|
|
|
81,592 |
|
|
|
6.000 |
|
|
06/01/38 |
|
90,737 |
|
|
|
9,010,469 |
|
|
|
6.000 |
|
|
07/01/38 |
|
9,967,081 |
|
|
|
179,815 |
|
|
|
6.000 |
|
|
08/01/38 |
|
198,359 |
|
|
|
788,505 |
|
|
|
6.000 |
|
|
09/01/38 |
|
871,775 |
|
|
|
117,584 |
|
|
|
6.000 |
|
|
10/01/38 |
|
130,448 |
|
|
|
1,030,888 |
|
|
|
6.000 |
|
|
11/01/38 |
|
1,132,913 |
|
|
|
881,747 |
|
|
|
6.000 |
|
|
12/01/38 |
|
963,491 |
|
|
|
131,377 |
|
|
|
6.000 |
|
|
01/01/39 |
|
145,484 |
|
|
|
145,337 |
|
|
|
4.500 |
|
|
02/01/39 |
|
152,825 |
|
|
|
837,066 |
|
|
|
7.000 |
|
|
03/01/39 |
|
948,128 |
|
|
|
143,603 |
|
|
|
4.500 |
|
|
04/01/39 |
|
150,906 |
|
|
|
248,345 |
|
|
|
6.000 |
|
|
04/01/39 |
|
275,160 |
|
|
|
11,367 |
|
|
|
4.500 |
|
|
08/01/39 |
|
11,959 |
|
|
|
550,527 |
|
|
|
6.000 |
|
|
08/01/39 |
|
608,466 |
|
|
|
4,017,625 |
|
|
|
6.000 |
|
|
09/01/39 |
|
4,444,277 |
|
|
|
952,007 |
|
|
|
6.000 |
|
|
10/01/39 |
|
1,053,342 |
|
|
|
35,344 |
|
|
|
6.000 |
|
|
11/01/39 |
|
39,105 |
|
|
|
878,507 |
|
|
|
6.000 |
|
|
01/01/40 |
|
971,385 |
|
|
|
2,141 |
|
|
|
6.000 |
|
|
02/01/40 |
|
2,370 |
|
|
|
93,772 |
|
|
|
6.000 |
|
|
03/01/40 |
|
103,803 |
|
|
|
14,317 |
|
|
|
6.000 |
|
|
04/01/40 |
|
15,841 |
|
|
|
986,331 |
|
|
|
6.000 |
|
|
06/01/40 |
|
1,091,784 |
|
|
|
445,094 |
|
|
|
6.000 |
|
|
07/01/40 |
|
492,235 |
|
|
|
95,281 |
|
|
|
6.000 |
|
|
09/01/40 |
|
105,129 |
|
|
|
706,063 |
|
|
|
6.000 |
|
|
10/01/40 |
|
780,952 |
|
|
|
558,490 |
|
|
|
6.000 |
|
|
11/01/40 |
|
621,232 |
|
|
|
27,577 |
|
|
|
6.000 |
|
|
04/01/41 |
|
30,581 |
|
|
|
10,810 |
|
|
|
4.500 |
|
|
05/01/41 |
|
11,353 |
|
|
|
21,841,077 |
|
|
|
6.000 |
|
|
05/01/41 |
|
24,138,299 |
|
|
|
1,358,977 |
|
|
|
6.000 |
|
|
07/01/41 |
|
1,506,902 |
|
|
|
533,825 |
|
|
|
4.500 |
|
|
08/01/41 |
|
561,225 |
| |
GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| FNMA – (continued) |
| $ |
|
|
133,958 |
|
|
|
4.500 |
% |
|
10/01/41 |
|
$ 140,689 |
|
|
|
122,171 |
|
|
|
5.000 |
|
|
02/01/42 |
|
130,808 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
196,343,654 |
| |
| GNMA – 1.5% |
|
|
|
37,745 |
|
|
|
5.500 |
|
|
07/15/20 |
|
38,308 |
|
|
|
1,352 |
|
|
|
6.500 |
|
|
01/15/32 |
|
1,491 |
|
|
|
7,153 |
|
|
|
6.500 |
|
|
02/15/32 |
|
7,888 |
|
|
|
7,019 |
|
|
|
6.500 |
|
|
08/15/34 |
|
7,753 |
|
|
|
13,276 |
|
|
|
6.500 |
|
|
05/15/35 |
|
14,985 |
|
|
|
3,971 |
|
|
|
6.500 |
|
|
06/15/35 |
|
4,449 |
|
|
|
11,825 |
|
|
|
6.500 |
|
|
07/15/35 |
|
13,360 |
|
|
|
3,131 |
|
|
|
6.500 |
|
|
08/15/35 |
|
3,542 |
|
|
|
6,694 |
|
|
|
6.500 |
|
|
09/15/35 |
|
7,543 |
|
|
|
4,609 |
|
|
|
6.500 |
|
|
10/15/35 |
|
5,210 |
|
|
|
22,100 |
|
|
|
6.500 |
|
|
11/15/35 |
|
24,995 |
|
|
|
13,067 |
|
|
|
6.500 |
|
|
12/15/35 |
|
14,641 |
|
|
|
27,617 |
|
|
|
6.500 |
|
|
01/15/36 |
|
31,172 |
|
|
|
39,232 |
|
|
|
6.500 |
|
|
02/15/36 |
|
44,339 |
|
|
|
29,436 |
|
|
|
6.500 |
|
|
03/15/36 |
|
33,269 |
|
|
|
65,006 |
|
|
|
6.500 |
|
|
04/15/36 |
|
73,160 |
|
|
|
112,384 |
|
|
|
6.500 |
|
|
05/15/36 |
|
126,985 |
|
|
|
90,762 |
|
|
|
6.500 |
|
|
06/15/36 |
|
102,569 |
|
|
|
335,472 |
|
|
|
6.500 |
|
|
07/15/36 |
|
378,929 |
|
|
|
302,604 |
|
|
|
6.500 |
|
|
08/15/36 |
|
339,609 |
|
|
|
591,816 |
|
|
|
6.500 |
|
|
09/15/36 |
|
667,146 |
|
|
|
221,425 |
|
|
|
6.500 |
|
|
10/15/36 |
|
249,954 |
|
|
|
285,305 |
|
|
|
6.500 |
|
|
11/15/36 |
|
318,937 |
|
|
|
143,007 |
|
|
|
6.500 |
|
|
12/15/36 |
|
161,390 |
|
|
|
66,293 |
|
|
|
6.500 |
|
|
01/15/37 |
|
75,103 |
|
|
|
25,217 |
|
|
|
6.500 |
|
|
02/15/37 |
|
28,525 |
|
|
|
11,074 |
|
|
|
6.500 |
|
|
03/15/37 |
|
12,534 |
|
|
|
34,835 |
|
|
|
6.500 |
|
|
04/15/37 |
|
39,501 |
|
|
|
17,648 |
|
|
|
6.500 |
|
|
05/15/37 |
|
19,462 |
|
|
|
17,349 |
|
|
|
6.500 |
|
|
08/15/37 |
|
19,640 |
|
|
|
75,607 |
|
|
|
6.500 |
|
|
09/15/37 |
|
85,414 |
|
|
|
83,898 |
|
|
|
6.500 |
|
|
10/15/37 |
|
96,386 |
|
|
|
49,340 |
|
|
|
6.500 |
|
|
11/15/37 |
|
55,449 |
|
|
|
20,417 |
|
|
|
6.500 |
|
|
05/15/38 |
|
23,223 |
|
|
|
72,590 |
|
|
|
6.000 |
|
|
11/15/38 |
|
80,861 |
|
|
|
14,070 |
|
|
|
6.500 |
|
|
11/15/38 |
|
15,999 |
|
|
|
10,482 |
|
|
|
6.500 |
|
|
01/15/39 |
|
11,679 |
|
|
|
18,549 |
|
|
|
6.500 |
|
|
02/15/39 |
|
20,965 |
|
|
|
10,333,212 |
|
|
|
4.000 |
|
|
10/20/43 |
|
10,666,217 |
|
|
|
545,835 |
|
|
|
4.000 |
|
|
10/20/45 |
|
561,890 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,484,472 |
| |
| TOTAL FEDERAL AGENCIES |
|
$247,270,448 |
| |
| TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $364,409,491) |
|
$355,431,367 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Agency Debentures – 8.8% |
| FHLB |
| $ |
|
|
2,200,000 |
|
|
|
2.026 |
%(b) |
|
03/22/19 |
|
$ 2,199,653 |
|
|
|
13,500,000 |
|
|
|
2.077 |
(b) |
|
10/11/19 |
|
13,503,264 |
|
|
|
7,000,000 |
|
|
|
1.875 |
|
|
03/13/20 |
|
6,920,830 |
|
|
|
1,800,000 |
|
|
|
5.375 |
|
|
08/15/24 |
|
2,044,926 |
| FNMA |
|
|
|
5,200,000 |
|
|
|
6.250 |
|
|
05/15/29 |
|
6,671,392 |
|
|
|
16,080,000 |
|
|
|
7.125 |
|
|
01/15/30 |
|
22,125,598 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Agency Debentures – (continued) |
| Hashemite Kingdom of Jordan Government AID Bond(d) |
| $ |
|
|
19,300,000 |
|
|
|
2.503 |
% |
|
10/30/20 |
|
$ 19,170,111 |
| NCUA Guaranteed Notes Series A4 |
|
|
|
11,000,000 |
|
|
|
3.000 |
|
|
06/12/19 |
|
11,054,404 |
| |
| TOTAL AGENCY DEBENTURES
(Cost $84,319,351) |
|
$ 83,690,178 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed
Securities(b) – 0.1% |
| Student Loan – 0.1% |
| NCUA Guaranteed Notes Series 2010-A1, Class A |
| $ |
|
|
1,223,304 |
|
|
|
2.428 |
% |
|
12/07/20 |
|
$ 1,224,838 |
| (Cost $1,223,304) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Obligations – 48.3% |
| United States Treasury
Bills(e) |
| $ |
|
|
26,325,000 |
|
|
|
0.000 |
% |
|
09/27/18 |
|
$ 26,203,700 |
|
|
|
9,600,000 |
|
|
|
0.000 |
|
|
11/01/18 |
|
9,535,450 |
|
|
|
9,600,000 |
|
|
|
0.000 |
|
|
11/08/18 |
|
9,531,291 |
|
|
|
4,800,000 |
|
|
|
0.000 |
|
|
12/13/18 |
|
4,755,318 |
| United States Treasury
Bonds(f) |
|
|
|
210,000 |
|
|
|
3.000 |
|
|
11/15/45 |
|
210,729 |
|
|
|
920,000 |
|
|
|
3.000 |
|
|
05/15/47 |
|
922,778 |
|
|
|
110,000 |
|
|
|
3.000 |
|
|
02/15/48 |
|
110,376 |
| United States Treasury Notes |
|
|
|
100,300,000 |
|
|
|
1.875 |
|
|
02/28/22 |
|
97,512,664 |
|
|
|
130,900,000 |
|
|
|
1.875 |
(f) |
|
03/31/22 |
|
127,148,410 |
|
|
|
103,400,000 |
|
|
|
1.875 |
(f) |
|
04/30/22 |
|
100,343,495 |
|
|
|
59,000,000 |
|
|
|
1.875 |
|
|
10/31/22 |
|
56,997,542 |
|
|
|
5,470,000 |
|
|
|
2.125 |
|
|
11/30/24 |
|
5,252,950 |
| United States Treasury Strip
Coupon(e) |
|
|
|
28,900,000 |
|
|
|
0.000 |
|
|
11/15/35 |
|
17,187,698 |
|
|
|
2,800,000 |
|
|
|
0.000 |
|
|
05/15/36 |
|
1,641,948 |
| |
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $465,224,242) |
|
$457,354,349 |
| |
|
|
|
|
|
|
|
|
|
| Shares |
|
|
Distribution Rate |
|
Value |
| Investment
Company(g) – 0.0% |
| Goldman Sachs Financial Square Government Fund - Institutional Shares |
|
|
|
8,311 |
|
|
1.869% |
|
$ 8,311 |
| (Cost $8,311) |
|
|
|
|
|
| |
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
(Cost $915,184,699) |
|
$897,709,043 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Short-term
Investments(e) – 4.3% |
| Commercial Paper – 4.3% |
| AT&T, Inc. |
| $ |
|
|
2,050,000 |
|
|
|
0.000 |
% |
|
10/09/18 |
|
$ 2,034,724 |
|
|
|
7,174,000 |
|
|
|
0.000 |
|
|
10/05/18 |
|
7,122,638 |
| Duke Energy Corp. |
|
|
|
4,752,000 |
|
|
|
0.000 |
|
|
08/27/18 |
|
4,732,943 |
| |
GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Short-term
Investments(e) – (continued) |
| Commercial Paper – (continued) |
| Hewlett Packard Enterprise Co. |
| $ |
|
|
2,000,000 |
|
|
|
0.000 |
% |
|
07/10/18 |
|
$ 1,998,815 |
|
|
|
2,374,000 |
|
|
|
0.000 |
|
|
07/11/18 |
|
2,372,462 |
| HP, Inc. |
|
|
|
2,500,000 |
|
|
|
0.000 |
|
|
07/23/18 |
|
2,496,710 |
| Marriott International, Inc. |
|
|
|
3,300,000 |
|
|
|
0.000 |
|
|
07/27/18 |
|
3,293,989 |
|
|
|
4,500,000 |
|
|
|
0.000 |
|
|
07/05/18 |
|
4,498,316 |
| Mondelez International, Inc. |
|
|
|
4,250,000 |
|
|
|
0.000 |
|
|
10/01/18 |
|
4,221,569 |
| Schlumberger Holdings |
|
|
|
2,413,000 |
|
|
|
0.000 |
|
|
07/27/18 |
|
2,408,774 |
| The Southern Co. |
|
|
|
1,899,000 |
|
|
|
0.000 |
|
|
08/30/18 |
|
1,890,964 |
| VW Credit, Inc. |
|
|
|
3,400,000 |
|
|
|
0.000 |
|
|
09/20/18 |
|
3,380,191 |
| |
| TOTAL SHORT-TERM INVESTMENTS
(Cost $40,454,358) |
|
$ 40,452,095 |
| |
| TOTAL INVESTMENTS – 99.1% (Cost $955,639,057) |
|
$938,161,138 |
| |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 0.9% |
|
8,107,315 |
| |
| NET ASSETS – 100.0% |
|
$946,268,453 |
| |
|
|
|
|
| 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. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed
is that which is in effect on June 30, 2018. |
|
|
| (c) |
|
Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed 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 $2,668,968, which represents approximately 0.3% of the Fund’s net assets as of
June 30, 2018. The liquidity determination is unaudited. |
|
|
| (d) |
|
Guaranteed by the United States Government until maturity. Total market value for these securities amounts to $19,170,111, which represents approximately 2.0% of the Fund’s
net assets as of June 30, 2018. |
|
|
| (e) |
|
Issued with a zero coupon. Income is recognized through the accretion of discount. |
|
|
| (f) |
|
All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. |
|
|
| (g) |
|
Represents an affiliated issuer. |
|
|
|
| |
| Currency Abbreviations: |
| USD |
|
— U.S. Dollar |
|
| Investment Abbreviations: |
| ACES |
|
— Alternative Credit Enhancement Securities |
| CMT |
|
— Constant Maturity Treasury Indexes |
| COF |
|
— Cost of Funds |
| 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 |
| MTA |
|
— Monthly Treasury Average |
| NCUA |
|
— National Credit Union Administration |
| REMIC |
|
— Real Estate Mortgage Investment Conduit |
| |
|
| For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com. |
GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION
FUTURES CONTRACTS — At June 30, 2018, the Fund had the following futures contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Number of Contracts |
|
Expiration Date |
|
Notional
Amount |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Long position contracts: |
|
| 2 Year U.S. Treasury Notes |
|
2,897 |
|
09/28/18 |
|
$ |
613,666,081 |
|
|
$ |
(368,789 |
) |
| 5 Year U.S. Treasury Notes |
|
231 |
|
09/28/18 |
|
|
26,245,570 |
|
|
|
51,836 |
|
| 20 Year U.S. Treasury Bonds |
|
5 |
|
09/19/18 |
|
|
797,813 |
|
|
|
7,678 |
|
| |
|
| Total |
|
|
$ |
(309,275 |
) |
| |
|
| Short position contracts: |
|
| Eurodollars |
|
(369) |
|
09/17/18 |
|
|
(89,985,262 |
) |
|
|
(37,945 |
) |
| Eurodollars |
|
(409) |
|
12/17/18 |
|
|
(99,550,600 |
) |
|
|
51,814 |
|
| Eurodollars |
|
(295) |
|
03/18/19 |
|
|
(71,714,500 |
) |
|
|
503,693 |
|
| Eurodollars |
|
(175) |
|
06/17/19 |
|
|
(42,500,937 |
) |
|
|
332,184 |
|
| Eurodollars |
|
(404) |
|
09/16/19 |
|
|
(98,050,800 |
) |
|
|
714,191 |
|
| Eurodollars |
|
(180) |
|
12/16/19 |
|
|
(43,665,750 |
) |
|
|
28,837 |
|
| Eurodollars |
|
(574) |
|
03/16/20 |
|
|
(139,223,700 |
) |
|
|
1,574,652 |
|
| Eurodollars |
|
(579) |
|
06/15/20 |
|
|
(140,436,450 |
) |
|
|
1,527,477 |
|
| Eurodollars |
|
(582) |
|
09/14/20 |
|
|
(141,171,375 |
) |
|
|
794,130 |
|
| Eurodollars |
|
(642) |
|
12/14/20 |
|
|
(155,717,100 |
) |
|
|
657,137 |
|
| Eurodollars |
|
(475) |
|
03/15/21 |
|
|
(115,223,125 |
) |
|
|
359,850 |
|
| Eurodollars |
|
(475) |
|
06/14/21 |
|
|
(115,229,063 |
) |
|
|
331,738 |
|
| Eurodollars |
|
(475) |
|
09/13/21 |
|
|
(115,229,063 |
) |
|
|
310,438 |
|
| Eurodollars |
|
(475) |
|
12/13/21 |
|
|
(115,217,188 |
) |
|
|
289,250 |
|
| Eurodollars |
|
(225) |
|
03/14/22 |
|
|
(54,579,375 |
) |
|
|
(77,785 |
) |
| Eurodollars |
|
(148) |
|
06/13/22 |
|
|
(35,901,100 |
) |
|
|
(56,356 |
) |
| Ultra 10 Year U.S. Treasury Notes |
|
(172) |
|
09/19/18 |
|
|
(22,056,312 |
) |
|
|
(230,121 |
) |
| 10 Year U.S. Treasury Notes |
|
(70) |
|
09/19/18 |
|
|
(8,413,125 |
) |
|
|
(56,987 |
) |
| 20 Year U.S. Treasury Bonds |
|
(350) |
|
09/19/18 |
|
|
(50,750,000 |
) |
|
|
(749,614 |
) |
| |
|
| Total |
|
|
$ |
6,266,583 |
|
| |
|
| TOTAL FUTURES CONTRACTS |
|
|
$ |
5,957,308 |
|
| |
|
SWAP CONTRACTS — At June 30, 2018, the Fund had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Payments Made by
the Fund |
|
Payments Received by Fund (%) |
|
Termination
Date |
|
|
Notional
Amount
(000s)(a) |
|
|
Market
Value |
|
|
Upfront
Premium
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| 3 month LIBOR(b) |
|
2.139(c) |
|
|
11/20/20 |
|
|
$ |
86,710 |
|
|
$ |
(1,276,406 |
) |
|
$ |
(129,329 |
) |
|
$ |
(1,147,076 |
) |
| 2.275(c) |
|
3M LIBOR(b) |
|
|
11/20/23 |
|
|
|
37,060 |
|
|
|
1,117,152 |
|
|
|
63,074 |
|
|
|
1,054,077 |
|
| 2.882(c) |
|
3M LIBOR(b) |
|
|
02/28/25 |
|
|
|
15,860 |
|
|
|
6,163 |
|
|
|
44,858 |
|
|
|
(38,695 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
$ |
(153,091 |
) |
|
$ |
(21,397 |
) |
|
$ |
(131,694 |
) |
| |
|
| (a) |
|
Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2018.
|
| (b) |
|
Payments made quarterly. |
| (c) |
|
Payments made semi-annually. |
GOLDMAN SACHS SHORT DURATION INCOME FUND
Schedule of Investments
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – 56.7% |
| Aerospace & Defense – 1.2% |
| General Dynamics Corp. |
| $ |
|
|
1,475,000 |
|
|
|
3.375 |
%(a) |
|
05/15/23 |
|
$ 1,477,980 |
| (3M USD LIBOR + 0.290%) |
|
|
|
700,000 |
|
|
|
2.646 |
(b) |
|
05/11/20 |
|
701,726 |
| (3M USD LIBOR + 0.380%) |
|
|
|
500,000 |
|
|
|
2.736 |
(b) |
|
05/11/21 |
|
501,741 |
| Northrop Grumman Corp. |
|
|
|
3,900,000 |
|
|
|
2.080 |
|
|
10/15/20 |
|
3,810,342 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,491,789 |
| |
| Agriculture – 1.6% |
| BAT Capital
Corp.(c) |
|
|
|
3,225,000 |
|
|
|
2.297 |
|
|
08/14/20 |
|
3,151,553 |
|
|
|
4,925,000 |
|
|
|
2.764 |
(a) |
|
08/15/22 |
|
4,722,562 |
| Reynolds American, Inc. |
|
|
|
975,000 |
|
|
|
3.250 |
|
|
06/12/20 |
|
973,999 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,848,114 |
| |
| Airlines – 0.5% |
| Delta Air Lines, Inc. |
|
|
|
2,575,000 |
|
|
|
3.400 |
|
|
04/19/21 |
|
2,562,738 |
| |
| Automotive – 1.3% |
| Daimler Finance North America
LLC(c) |
|
|
|
1,500,000 |
|
|
|
2.450 |
|
|
05/18/20 |
|
1,477,951 |
| Ford Motor Credit Co. LLC |
|
|
|
5,575,000 |
|
|
|
8.125 |
|
|
01/15/20 |
|
5,970,191 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,448,142 |
| |
| Banks – 18.9% |
| Banco Bilbao Vizcaya Argentaria SA |
|
|
|
1,025,000 |
|
|
|
3.000 |
|
|
10/20/20 |
|
1,017,257 |
| Banco Santander SA |
|
|
|
1,800,000 |
|
|
|
3.848 |
|
|
04/12/23 |
|
1,760,386 |
| (3M USD LIBOR + 1.120%) |
|
|
|
1,600,000 |
|
|
|
3.459 |
(b) |
|
04/12/23 |
|
1,598,037 |
| Bank of America Corp. |
|
|
|
1,025,000 |
|
|
|
2.625 |
|
|
10/19/20 |
|
1,012,393 |
|
|
|
8,175,000 |
|
|
|
2.151 |
(a) |
|
11/09/20 |
|
7,986,688 |
|
|
|
1,250,000 |
|
|
|
2.625 |
|
|
04/19/21 |
|
1,227,972 |
|
|
|
3,075,000 |
|
|
|
2.503 |
(a) |
|
10/21/22 |
|
2,945,383 |
| (3M USD LIBOR + 0.630%) |
|
|
|
1,800,000 |
|
|
|
3.499 |
(a)(b) |
|
05/17/22 |
|
1,799,382 |
| Bank of Montreal |
|
|
|
925,000 |
|
|
|
3.100 |
|
|
04/13/21 |
|
921,305 |
| Barclays Bank PLC |
|
|
|
1,100,000 |
|
|
|
5.140 |
|
|
10/14/20 |
|
1,126,448 |
|
|
|
1,600,000 |
|
|
|
2.650 |
(a) |
|
01/11/21 |
|
1,564,169 |
| Barclays PLC(a)(b)(3M USD LIBOR +
1.380%) |
|
|
|
2,550,000 |
|
|
|
3.710 |
|
|
05/16/24 |
|
2,528,962 |
| BNP Paribas SA(c) |
|
|
|
1,600,000 |
|
|
|
2.950 |
|
|
05/23/22 |
|
1,544,521 |
|
|
|
550,000 |
|
|
|
3.500 |
|
|
03/01/23 |
|
536,087 |
| BPCE SA(c) |
|
|
|
2,425,000 |
|
|
|
3.000 |
|
|
05/22/22 |
|
2,342,208 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Banks – (continued) |
| Capital One Financial
Corp.(a) |
| $ |
|
|
1,525,000 |
|
|
|
2.400 |
% |
|
10/30/20 |
|
$ 1,487,464 |
|
|
|
3,325,000 |
|
|
|
3.450 |
|
|
04/30/21 |
|
3,317,330 |
| (3M USD LIBOR + 0.720%) |
|
|
|
1,475,000 |
|
|
|
3.079 |
(b) |
|
01/30/23 |
|
1,466,441 |
| Citibank NA(a) |
|
|
|
2,275,000 |
|
|
|
3.050 |
|
|
05/01/20 |
|
2,274,170 |
|
|
|
925,000 |
|
|
|
2.125 |
|
|
10/20/20 |
|
902,805 |
| Citigroup, Inc. |
|
|
|
5,500,000 |
|
|
|
2.350 |
|
|
08/02/21 |
|
5,312,776 |
| (3M USD LIBOR + 0.950%) |
|
|
|
3,750,000 |
|
|
|
2.876 |
(a)(b) |
|
07/24/23 |
|
3,616,066 |
| Credit Suisse Group Funding Guernsey Ltd. |
|
|
|
1,425,000 |
|
|
|
2.750 |
|
|
03/26/20 |
|
1,409,422 |
| HSBC Holdings PLC |
|
|
|
1,050,000 |
|
|
|
2.950 |
|
|
05/25/21 |
|
1,033,756 |
| (3M USD LIBOR + 1.000%) |
|
|
|
1,300,000 |
|
|
|
3.326 |
(a)(b) |
|
05/18/24 |
|
1,296,100 |
| JPMorgan Chase & Co. |
|
|
|
1,250,000 |
|
|
|
2.295 |
(a) |
|
08/15/21 |
|
1,207,639 |
|
|
|
6,000,000 |
|
|
|
3.200 |
|
|
01/25/23 |
|
5,886,676 |
| (3M USD LIBOR + 0.730%) |
|
|
|
7,125,000 |
|
|
|
3.559 |
(a)(b) |
|
04/23/24 |
|
7,058,243 |
| JPMorgan Chase Bank NA(a)(b)(3M USD
LIBOR + 0.290%) |
|
|
|
2,900,000 |
|
|
|
2.648 |
|
|
02/01/21 |
|
2,902,490 |
| Lloyds Bank PLC |
|
|
|
1,975,000 |
|
|
|
3.300 |
|
|
05/07/21 |
|
1,971,496 |
| (3M USD LIBOR + 0.490%) |
|
|
|
1,875,000 |
|
|
|
2.853 |
(b) |
|
05/07/21 |
|
1,877,650 |
| Morgan Stanley |
|
|
|
3,250,000 |
|
|
|
2.500 |
|
|
04/21/21 |
|
3,174,235 |
|
|
|
7,550,000 |
|
|
|
2.625 |
|
|
11/17/21 |
|
7,329,572 |
| (3M USD LIBOR + 0.850%) |
|
|
|
3,375,000 |
|
|
|
3.737 |
(a)(b) |
|
04/24/24 |
|
3,354,749 |
| Royal Bank of Scotland Group PLC(a)(b)(3M USD LIBOR + 1.550%) |
|
|
|
2,525,000 |
|
|
|
4.519 |
|
|
06/25/24 |
|
2,526,810 |
| Santander UK PLC |
|
|
|
1,600,000 |
|
|
|
2.375 |
|
|
03/16/20 |
|
1,575,738 |
|
|
|
2,575,000 |
|
|
|
2.125 |
|
|
11/03/20 |
|
2,499,778 |
| Sumitomo Mitsui Financial Group, Inc. |
|
|
|
4,650,000 |
|
|
|
2.784 |
|
|
07/12/22 |
|
4,501,562 |
| The Bank of New York Mellon Corp. |
|
|
|
2,950,000 |
|
|
|
3.500 |
|
|
04/28/23 |
|
2,951,290 |
| UBS AG(a)(c) |
|
|
|
925,000 |
|
|
|
2.450 |
|
|
12/01/20 |
|
904,203 |
| UBS Group Funding Switzerland
AG(c) |
|
|
|
3,450,000 |
|
|
|
3.000 |
|
|
04/15/21 |
|
3,397,270 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
105,146,929 |
| |
| Beverages – 2.5% |
| Anheuser-Busch InBev Finance,
Inc.(a) |
|
|
|
3,899,000 |
|
|
|
2.650 |
|
|
02/01/21 |
|
3,845,261 |
|
|
|
2,625,000 |
|
|
|
3.300 |
|
|
02/01/23 |
|
2,603,052 |
| Anheuser-Busch InBev Worldwide, Inc.(b)(3M USD LIBOR + 0.740%) |
|
|
|
2,725,000 |
|
|
|
3.052 |
|
|
01/12/24 |
|
2,749,190 |
| |
GOLDMAN SACHS SHORT DURATION INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Beverages – (continued) |
| Constellation Brands,
Inc.(a) |
| $ |
|
|
3,025,000 |
|
|
|
2.650 |
% |
|
11/07/22 |
|
$ 2,899,183 |
| Diageo Capital
PLC(a) |
|
|
|
1,975,000 |
|
|
|
3.500 |
|
|
09/18/23 |
|
1,981,696 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,078,382 |
| |
| Chemicals – 2.2% |
| E.I. du Pont de Nemours & Co.(b)(3M USD LIBOR + 0.530%) |
|
|
|
2,100,000 |
|
|
|
2.888 |
|
|
05/01/20 |
|
2,107,178 |
| Syngenta Finance
NV(c) |
|
|
|
2,470,000 |
|
|
|
3.698 |
|
|
04/24/20 |
|
2,461,032 |
|
|
|
3,055,000 |
|
|
|
3.933 |
|
|
04/23/21 |
|
3,047,256 |
|
|
|
1,920,000 |
|
|
|
4.441 |
(a) |
|
04/24/23 |
|
1,909,251 |
| The Sherwin-Williams Co. |
|
|
|
2,275,000 |
|
|
|
2.250 |
|
|
05/15/20 |
|
2,237,206 |
|
|
|
700,000 |
|
|
|
2.750 |
(a) |
|
06/01/22 |
|
678,297 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,440,220 |
| |
| Computers(a)(b) –
0.3% |
| DXC Technology Co.(3M USD LIBOR + 0.950%) |
|
|
|
1,425,000 |
|
|
|
3.250 |
|
|
03/01/21 |
|
1,425,376 |
| |
| Diversified Financial Services – 2.7% |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
|
|
|
250,000 |
|
|
|
4.500 |
|
|
05/15/21 |
|
254,719 |
|
|
|
1,500,000 |
|
|
|
4.125 |
(a) |
|
07/03/23 |
|
1,491,939 |
| AIG Global
Funding(c) |
|
|
|
1,100,000 |
|
|
|
3.350 |
|
|
06/25/21 |
|
1,101,603 |
| (3M USD LIBOR + 0.460%) |
|
|
|
825,000 |
|
|
|
2.797 |
(b) |
|
06/25/21 |
|
825,469 |
| Air Lease Corp. |
|
|
|
1,725,000 |
|
|
|
2.125 |
|
|
01/15/20 |
|
1,693,125 |
| American Express Co.(a)
|
|
|
|
2,850,000 |
|
|
|
3.375 |
|
|
05/17/21 |
|
2,853,398 |
| Citigroup Global Markets Holdings,
Inc.(c)(d) |
| EGP |
|
|
16,100,000 |
|
|
|
0.000 |
|
|
01/17/19 |
|
813,712 |
| International Lease Finance Corp. |
| $ |
|
|
2,125,000 |
|
|
|
8.625 |
|
|
01/15/22 |
|
2,437,936 |
| The Charles Schwab
Corp.(a) |
|
|
|
1,750,000 |
|
|
|
3.250 |
|
|
05/21/21 |
|
1,756,994 |
| (3M USD LIBOR + 0.320%) |
|
|
|
1,750,000 |
|
|
|
2.649 |
(b) |
|
05/21/21 |
|
1,757,103 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,985,998 |
| |
| Electrical – 2.1% |
| Dominion Energy, Inc. |
|
|
|
1,350,000 |
|
|
|
2.579 |
|
|
07/01/20 |
|
1,330,201 |
| Duke Energy Corp.(a)
|
|
|
|
950,000 |
|
|
|
1.800
|
|
|
09/01/21 |
|
909,342 |
| Exelon Corp.(a) |
|
|
|
750,000 |
|
|
|
2.450
|
|
|
04/15/21 |
|
728,885 |
| ITC Holdings Corp.(a)
|
|
|
|
1,925,000 |
|
|
|
2.700 |
|
|
11/15/22 |
|
1,853,837 |
| Sempra Energy |
|
|
|
1,700,000 |
|
|
|
2.400 |
|
|
02/01/20 |
|
1,679,452 |
|
|
|
1,100,000 |
|
|
|
2.400 |
(a) |
|
03/15/20 |
|
1,084,727 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Electrical – (continued) |
| (3M USD LIBOR + 0.500%) |
| $ |
|
|
1,350,000 |
|
|
|
2.848 |
%(a)(b) |
|
01/15/21 |
|
$ 1,350,679 |
| WEC Energy Group, Inc. |
|
|
|
2,800,000 |
|
|
|
3.375 |
|
|
06/15/21 |
|
2,807,959 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,745,082 |
| |
| Entertainment(a) –
0.1% |
| GLP Capital LP/GLP Financing II, Inc. |
|
|
|
450,000 |
|
|
|
4.875 |
|
|
11/01/20 |
|
455,062 |
| |
| Food & Drug Retailing – 1.8% |
| Conagra Brands, Inc. |
|
|
|
61,000 |
|
|
|
4.950 |
|
|
08/15/20 |
|
62,194 |
| General Mills, Inc. |
|
|
|
1,500,000 |
|
|
|
3.700 |
(a) |
|
10/17/23 |
|
1,484,712 |
| (3M USD LIBOR + 0.540%) |
|
|
|
2,000,000 |
|
|
|
2.893 |
(b) |
|
04/16/21 |
|
2,002,972 |
| (3M USD LIBOR + 1.010%) |
|
|
|
2,175,000 |
|
|
|
3.363 |
(b) |
|
10/17/23 |
|
2,193,444 |
| Mondelez International Holdings Netherlands
BV(a)(c) |
|
|
|
1,975,000 |
|
|
|
2.000 |
|
|
10/28/21 |
|
1,884,265 |
| Smithfield Foods,
Inc.(a)(c) |
|
|
|
2,350,000 |
|
|
|
2.650 |
|
|
10/03/21 |
|
2,238,917 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,866,504 |
| |
| Gaming – 0.2% |
| MGM Resorts International |
|
|
|
975,000 |
|
|
|
8.625 |
|
|
02/01/19 |
|
1,001,812 |
| |
| Gas(a) – 0.2% |
| NiSource Corp. |
|
|
|
1,100,000 |
|
|
|
2.650 |
|
|
11/17/22 |
|
1,063,254 |
| |
| Healthcare Providers & Services – 2.7% |
| Acadia Healthcare Co., Inc.(a)
|
|
|
|
500,000 |
|
|
|
6.125 |
|
|
03/15/21 |
|
505,000 |
| Becton Dickinson & Co. |
|
|
|
959,000 |
|
|
|
2.675 |
|
|
12/15/19 |
|
951,808 |
|
|
|
2,625,000 |
|
|
|
2.404 |
|
|
06/05/20 |
|
2,577,891 |
|
|
|
4,375,000 |
|
|
|
2.894 |
(a) |
|
06/06/22 |
|
4,231,646 |
| (3M USD LIBOR + 0.875%) |
|
|
|
1,525,000 |
|
|
|
3.209 |
(a)(b) |
|
12/29/20 |
|
1,527,492 |
| HCA, Inc. |
|
|
|
1,600,000 |
|
|
|
5.875 |
|
|
03/15/22 |
|
1,668,000 |
| Humana, Inc. |
|
|
|
1,675,000 |
|
|
|
2.500 |
|
|
12/15/20 |
|
1,644,037 |
| SSM Health Care
Corp.(a) |
|
|
|
1,775,000 |
|
|
|
3.688 |
|
|
06/01/23 |
|
1,784,548 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,890,422 |
| |
| Internet(a) –
0.5% |
| Amazon.com, Inc. |
|
|
|
2,975,000 |
|
|
|
2.400 |
|
|
02/22/23 |
|
2,861,063 |
| |
GOLDMAN SACHS SHORT DURATION INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Iron & Steel – 0.0% |
| ABJA Investment Co. Pte Ltd. |
| $ |
|
|
200,000 |
|
|
|
5.450 |
% |
|
01/24/28 |
|
$ 169,500 |
| |
| Media – 1.1% |
| Charter Communications Operating LLC/Charter Communications Operating Capital(a) |
|
|
|
3,400,000 |
|
|
|
3.579 |
|
|
07/23/20 |
|
3,395,682 |
|
|
|
725,000 |
|
|
|
4.500 |
|
|
02/01/24 |
|
724,287 |
| (3M USD LIBOR + 1.650%) |
|
|
|
1,275,000 |
|
|
|
3.986 |
|
|
02/01/24 |
|
1,277,792 |
| Time Warner Cable LLC |
|
|
|
775,000 |
|
|
|
5.000 |
|
|
02/01/20 |
|
791,180 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,188,941 |
| |
| Mining(a) –
0.2% |
| Glencore Funding
LLC(c) |
|
|
|
625,000 |
|
|
|
3.000 |
|
|
10/27/22 |
|
599,007 |
| Teck Resources Ltd. |
|
|
|
450,000 |
|
|
|
4.750 |
|
|
01/15/22 |
|
451,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,050,132 |
| |
| Oil Field Services – 1.4% |
| Devon Energy
Corp.(a) |
|
|
|
1,400,000 |
|
|
|
4.000 |
|
|
07/15/21 |
|
1,417,687 |
| Marathon Oil
Corp.(a) |
|
|
|
624,000 |
|
|
|
2.700 |
|
|
06/01/20 |
|
614,559 |
| Petroleos Mexicanos |
| EUR |
|
|
170,000 |
|
|
|
5.125 |
|
|
03/15/23 |
|
217,634 |
| Phillips 66(a)(b)(c)(3M USD LIBOR + 0.750%) |
| $ |
|
|
950,000 |
|
|
|
3.098 |
|
|
04/15/20 |
|
950,401 |
| Range Resources
Corp.(a) |
|
|
|
500,000 |
|
|
|
5.750 |
|
|
06/01/21 |
|
510,000 |
| Reliance Industries
Ltd.(c) |
|
|
|
300,000 |
|
|
|
3.667 |
|
|
11/30/27 |
|
275,625 |
| Schlumberger Finance Canada
Ltd.(c) |
|
|
|
1,775,000 |
|
|
|
2.200 |
|
|
11/20/20 |
|
1,731,518 |
| Valero Energy Corp. |
|
|
|
1,932,000 |
|
|
|
6.125 |
|
|
02/01/20 |
|
2,018,049 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,735,473 |
| |
| Pharmaceuticals – 6.3% |
| Allergan Funding
SCS(a) |
|
|
|
6,900,000 |
|
|
|
3.450 |
|
|
03/15/22 |
|
6,789,516 |
| Bayer US Finance II
LLC(a)(c) |
|
|
|
2,125,000 |
|
|
|
3.875 |
|
|
12/15/23 |
|
2,125,089 |
| (3M USD LIBOR + 1.010%) |
|
|
|
4,150,000 |
|
|
|
3.345 |
(b) |
|
12/15/23 |
|
4,149,784 |
| Cardinal Health, Inc. |
|
|
|
905,000 |
|
|
|
4.625 |
|
|
12/15/20 |
|
929,971 |
| CVS Health Corp. |
|
|
|
2,775,000 |
|
|
|
3.350 |
|
|
03/09/21 |
|
2,771,947 |
|
|
|
3,348,000 |
|
|
|
2.125 |
(a) |
|
06/01/21 |
|
3,218,405 |
|
|
|
6,075,000 |
|
|
|
3.700 |
(a) |
|
03/09/23 |
|
6,044,193 |
| (3M USD LIBOR + 0.630%) |
|
|
|
625,000 |
|
|
|
2.957 |
(b) |
|
03/09/20 |
|
627,409 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Pharmaceuticals – (continued) |
| (3M USD LIBOR + 0.720%) |
| $ |
|
|
425,000 |
|
|
|
3.047 |
%(b) |
|
03/09/21 |
|
$ 427,142 |
| EMD Finance
LLC(a)(c) |
|
|
|
1,600,000 |
|
|
|
2.400 |
|
|
03/19/20 |
|
1,577,737 |
| McKesson Corp.(a) |
|
|
|
675,000 |
|
|
|
2.700 |
|
|
12/15/22 |
|
648,205 |
| Mylan NV |
|
|
|
1,554,000 |
|
|
|
2.500 |
|
|
06/07/19 |
|
1,546,925 |
| Teva Pharmaceutical Finance Netherlands III BV |
|
|
|
4,575,000 |
|
|
|
2.200 |
|
|
07/21/21 |
|
4,237,594 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
35,093,917 |
| |
| Pipelines – 3.3% |
| Enbridge Energy Partners LP |
|
|
|
2,114,000 |
|
|
|
5.200 |
|
|
03/15/20 |
|
2,173,838 |
| Enbridge, Inc.(a) |
|
|
|
1,325,000 |
|
|
|
2.900 |
|
|
07/15/22 |
|
1,286,948 |
| Enterprise Products Operating LLC |
|
|
|
1,550,000 |
|
|
|
5.200 |
|
|
09/01/20 |
|
1,615,216 |
| (3M USD LIBOR + 3.708%) |
|
|
|
|
|
|
|
|
|
|
|
|
1,150,000 |
|
|
|
6.066 |
(a)(b) |
|
08/01/66 |
|
1,152,875 |
| Kinder Morgan Energy Partners LP |
|
|
|
1,250,000 |
|
|
|
6.850 |
|
|
02/15/20 |
|
1,316,213 |
| Kinder Morgan,
Inc.(a) |
|
|
|
1,450,000 |
|
|
|
3.050 |
|
|
12/01/19 |
|
1,445,517 |
| NGPL PipeCo
LLC(a)(c) |
|
|
|
215,000 |
|
|
|
4.375 |
|
|
08/15/22 |
|
212,850 |
|
|
|
410,000 |
|
|
|
4.875 |
|
|
08/15/27 |
|
404,875 |
| Plains All American Pipeline LP/PAA Finance Corp. |
|
|
|
1,690,000 |
|
|
|
5.750 |
|
|
01/15/20 |
|
1,744,431 |
|
|
|
990,000 |
|
|
|
3.650 |
(a) |
|
06/01/22 |
|
970,439 |
| Sabine Pass Liquefaction LLC(a) |
|
|
|
3,185,000 |
|
|
|
5.625 |
|
|
02/01/21 |
|
3,328,557 |
| Texas Eastern Transmission
LP(a)(c) |
|
|
|
1,225,000 |
|
|
|
4.125 |
|
|
12/01/20 |
|
1,241,825 |
| Williams Partners LP |
|
|
|
1,300,000 |
|
|
|
5.250 |
|
|
03/15/20 |
|
1,340,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,233,734 |
| |
| Real Estate(a) –
0.0% |
| China Evergrande Group |
|
|
|
250,000 |
|
|
|
8.750 |
|
|
06/28/25 |
|
219,777 |
| |
| Real Estate Investment Trust(a) –
0.8% |
| Equinix, Inc. |
|
|
|
450,000 |
|
|
|
5.375 |
|
|
01/01/22 |
|
463,500 |
| Public Storage |
|
|
|
850,000 |
|
|
|
2.370 |
|
|
09/15/22 |
|
816,272 |
| Senior Housing Properties Trust |
|
|
|
750,000 |
|
|
|
3.250 |
|
|
05/01/19 |
|
749,473 |
| SL Green Operating Partnership LP |
|
|
|
2,575,000 |
|
|
|
3.250 |
|
|
10/15/22 |
|
2,502,295 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,531,540 |
| |
| Retailing(a) –
0.8% |
| Alimentation Couche-Tard,
Inc.(c) |
|
|
|
425,000 |
|
|
|
2.700 |
|
|
07/26/22 |
|
408,478 |
| |
GOLDMAN SACHS SHORT DURATION INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Retailing(a) –
(continued) |
| Dollar Tree, Inc.(b)(3M USD LIBOR + 0.700%) |
| $ |
|
|
3,075,000 |
|
|
|
3.055 |
% |
|
04/17/20 |
|
$ 3,081,286 |
| New Red Finance,
Inc.(c) |
|
|
|
|
|
|
|
|
1,000,000 |
|
|
|
4.625 |
|
|
01/15/22 |
|
998,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,488,514 |
| |
| Semiconductors – 1.2% |
|
|
|
|
|
| Broadcom Corp./Broadcom Cayman Finance
Ltd.(a) |
|
|
|
4,000,000 |
|
|
|
3.000 |
|
|
01/15/22 |
|
3,890,643 |
| Microchip Technology,
Inc.(c) |
|
|
|
|
|
|
|
|
1,125,000 |
|
|
|
3.922 |
|
|
06/01/21 |
|
1,126,868 |
| NXP BV/NXP Funding
LLC(c) |
|
|
|
|
|
|
|
|
325,000 |
|
|
|
4.125 |
|
|
06/15/20 |
|
328,250 |
|
|
|
1,250,000 |
|
|
|
4.125 |
|
|
06/01/21 |
|
1,246,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,592,636 |
| |
| Software(a)(c) – 0.2% |
|
|
|
|
|
| First Data Corp. |
|
|
|
|
|
|
|
|
850,000 |
|
|
|
7.000 |
|
|
12/01/23 |
|
885,062 |
| |
| Telecommunication Services – 2.1% |
|
|
| America Movil SAB de CV |
|
|
|
|
|
| MXN |
|
|
2,760,000 |
|
|
|
6.000 |
|
|
06/09/19 |
|
135,309 |
| AT&T, Inc. |
|
|
|
|
|
| $ |
|
|
2,225,000 |
|
|
|
2.450 |
(a) |
|
06/30/20 |
|
2,191,349 |
|
|
|
2,925,000 |
|
|
|
5.000 |
|
|
03/01/21 |
|
3,032,260 |
|
|
|
900,000 |
|
|
|
3.000 |
|
|
02/15/22 |
|
878,746 |
| CenturyLink, Inc. |
|
|
|
|
|
|
|
|
650,000 |
|
|
|
6.450 |
|
|
06/15/21 |
|
667,875 |
| Sprint Corp. |
|
|
|
|
|
|
|
|
1,000,000 |
|
|
|
7.250 |
|
|
09/15/21 |
|
1,040,000 |
| Verizon Communications, Inc. |
|
|
|
|
|
|
|
|
2,475,000 |
|
|
|
1.750 |
|
|
08/15/21 |
|
2,365,574 |
| Wind Tre SpA(a)(b)(c)(3M EURIBOR + 2.750%) |
|
|
| EUR |
|
|
1,250,000 |
|
|
|
2.750 |
|
|
01/20/24 |
|
1,211,184 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,522,297 |
| |
| Transportation – 0.5% |
|
|
|
|
|
| Union Pacific Corp. |
|
|
|
|
|
| $ |
|
|
2,475,000 |
|
|
|
3.200 |
|
|
06/08/21 |
|
2,482,659 |
| |
| TOTAL CORPORATE OBLIGATIONS
(Cost $319,956,358) |
|
$314,505,069 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Mortgage-Backed Obligations – 10.4% |
| Collateralized Mortgage Obligations – 4.3% |
| Interest Only(e) –
0.9% |
|
|
|
|
|
| FHLMC REMIC Series 3852, Class SW(b)(-1x1M LIBOR + 6.000%) |
| $ |
|
|
1,111,499 |
|
|
|
4.081 |
% |
|
05/15/41 |
|
$ 151,103 |
| FHLMC REMIC Series 4314, Class SE(b)(-1x1M LIBOR + 6.050%) |
|
|
|
766,967 |
|
|
|
4.131 |
|
|
03/15/44 |
|
120,949 |
| FHLMC REMIC Series 4320, Class SD(b)(-1x1M LIBOR + 6.100%) |
|
|
|
192,858 |
|
|
|
4.181 |
|
|
07/15/39 |
|
24,707 |
| FHLMC REMIC Series 4583, Class ST(b)(-1x1M LIBOR + 6.000%) |
|
|
|
871,546 |
|
|
|
3.927 |
|
|
05/15/46 |
|
143,322 |
| FHLMC STRIPS Series 304, Class C45 |
|
|
|
325,034 |
|
|
|
3.000 |
|
|
12/15/27 |
|
28,044 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
|
Value |
| Mortgage-Backed Obligations – (continued) |
| Interest Only(e) –
(continued) |
| FNMA REMIC Series 2010-135, Class AS(b)(-1x1M LIBOR + 5.950%) |
| $ |
|
|
314,200 |
|
|
|
3.859 |
% |
|
|
12/25/40 |
|
|
$ 39,892 |
| FNMA REMIC Series 2013-121, Class SA(b)(-1x1M LIBOR + 6.100%) |
|
|
|
2,278,197 |
|
|
|
4.140 |
|
|
|
12/25/43 |
|
|
295,237 |
| FNMA REMIC Series 2013-130, Class SN(b)(-1x1M LIBOR + 6.650%) |
|
|
|
822,667 |
|
|
|
4.690 |
|
|
|
10/25/42 |
|
|
124,221 |
| FNMA REMIC Series 2014-19, Class MS(b)(-1x1M LIBOR + 6.600%) |
|
|
|
294,451 |
|
|
|
4.640 |
|
|
|
11/25/39 |
|
|
20,637 |
| FNMA REMIC Series 2014-87, Class MS(b)(-1x1M LIBOR + 6.250%) |
|
|
|
115,136 |
|
|
|
4.290 |
|
|
|
01/25/45 |
|
|
15,527 |
| FNMA REMIC Series 2015-20, Class ES(b)(-1x1M LIBOR + 6.150%) |
|
|
|
654,738 |
|
|
|
4.190 |
|
|
|
04/25/45 |
|
|
100,564 |
| FNMA REMIC Series 2015-28, Class PS(b)(-1x1M LIBOR + 5.600%) |
|
|
|
1,632,426 |
|
|
|
3.640 |
|
|
|
08/25/44 |
|
|
215,678 |
| FNMA REMIC Series 2015-79, Class SA(b)(-1x1M LIBOR + 6.250%) |
|
|
|
471,692 |
|
|
|
4.290 |
|
|
|
11/25/45 |
|
|
63,649 |
| FNMA REMIC Series 2016-1, Class SJ(b)(-1x1M LIBOR + 6.150%) |
|
|
|
1,344,327 |
|
|
|
4.059 |
|
|
|
02/25/46 |
|
|
230,329 |
| GNMA REMIC Series 2010-1, Class SD(b)(-1x1M LIBOR + 5.790%) |
|
|
|
24,424 |
|
|
|
3.842 |
|
|
|
01/20/40 |
|
|
3,212 |
| GNMA REMIC Series 2010-20, Class SE(b)(-1x1M LIBOR + 6.250%) |
|
|
|
141,065 |
|
|
|
4.302 |
|
|
|
02/20/40 |
|
|
20,980 |
| GNMA REMIC Series 2010-31, Class SA(b)(-1x1M LIBOR + 5.750%) |
|
|
|
246,656 |
|
|
|
3.802 |
|
|
|
03/20/40 |
|
|
31,557 |
| GNMA REMIC Series 2010-98, Class QS(b)(-1x1M LIBOR + 6.600%) |
|
|
|
133,840 |
|
|
|
4.652 |
|
|
|
01/20/40 |
|
|
15,243 |
| GNMA REMIC Series 2011-17, Class SA(b)(-1x1M LIBOR + 6.100%) |
|
|
|
173,003 |
|
|
|
4.152 |
|
|
|
09/20/40 |
|
|
21,179 |
| GNMA REMIC Series 2011-61, Class CS(b)(-1x1M LIBOR + 6.680%) |
|
|
|
29,468 |
|
|
|
4.732 |
|
|
|
12/20/35 |
|
|
543 |
| GNMA REMIC Series 2013-113, Class SD(b)(-1x1M LIBOR + 6.700%) |
|
|
|
139,494 |
|
|
|
4.615 |
|
|
|
08/16/43 |
|
|
21,539 |
| GNMA REMIC Series 2013-124, Class CS(b)(-1x1M LIBOR + 6.050%) |
|
|
|
800,325 |
|
|
|
4.102 |
|
|
|
08/20/43 |
|
|
122,899 |
| GNMA REMIC Series 2013-134, Class DS(b)(-1x1M LIBOR + 6.100%) |
|
|
|
91,363 |
|
|
|
4.016 |
|
|
|
09/20/43 |
|
|
12,957 |
| GNMA REMIC Series 2013-152, Class TS(b)(-1x1M LIBOR + 6.100%) |
|
|
|
323,688 |
|
|
|
4.016 |
|
|
|
06/20/43 |
|
|
45,364 |
| GNMA REMIC Series 2014-117, Class SJ(b)(-1x1M LIBOR + 5.600%) |
|
|
|
2,314,133 |
|
|
|
3.516 |
|
|
|
08/20/44 |
|
|
300,726 |
| GNMA REMIC Series 2014-132, Class SL(b)(-1x1M LIBOR + 6.100%) |
|
|
|
848,763 |
|
|
|
4.016 |
|
|
|
10/20/43 |
|
|
111,412 |
| GNMA REMIC Series 2014-133, Class BS(b)(-1x1M LIBOR + 5.600%) |
|
|
|
728,247 |
|
|
|
3.652 |
|
|
|
09/20/44 |
|
|
86,777 |
| GNMA REMIC Series 2014-158, Class SA(b)(-1x1M LIBOR + 5.600%) |
|
|
|
1,085,705 |
|
|
|
3.666 |
|
|
|
10/16/44 |
|
|
139,469 |
| GNMA REMIC Series 2014-162, Class SA(b)(-1x1M LIBOR + 5.600%) |
|
|
|
320,355 |
|
|
|
3.652 |
|
|
|
11/20/44 |
|
|
38,999 |
| GNMA REMIC Series 2014-188, Class IB |
|
|
|
864,631 |
|
|
|
4.000 |
|
|
|
12/20/44 |
|
|
145,852 |
| GNMA REMIC Series 2014-41, Class SA(b)(-1x1M LIBOR + 6.100%) |
|
|
|
104,141 |
|
|
|
4.016 |
|
|
|
03/20/44 |
|
|
15,313 |
| GNMA REMIC Series 2015-110, Class MS(b)(-1x1M LIBOR + 5.710%) |
|
|
|
7,352,855 |
|
|
|
3.626 |
|
|
|
08/20/45 |
|
|
953,173 |
| GNMA REMIC Series 2015-111, Class IM |
|
|
|
597,650 |
|
|
|
4.000 |
|
|
|
08/20/45 |
|
|
102,524 |
| GNMA REMIC Series 2015-123, Class SP(b)(-1x1M LIBOR + 6.250%) |
|
|
|
524,727 |
|
|
|
4.166 |
|
|
|
09/20/45 |
|
|
77,796 |
| GNMA REMIC Series 2015-126, Class HS(b)(-1x1M LIBOR + 6.200%) |
|
|
|
1,148,196 |
|
|
|
4.116 |
|
|
|
09/20/45 |
|
|
167,427 |
| GNMA REMIC Series 2015-57, Class AS(b)(-1x1M LIBOR + 5.600%) |
|
|
|
1,305,975 |
|
|
|
3.652 |
|
|
|
04/20/45 |
|
|
161,407 |
| |
GOLDMAN SACHS SHORT DURATION INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| Interest Only(e) –
(continued) |
| GNMA REMIC Series 2015-95, Class GI |
| $ |
|
|
590,036 |
|
|
|
4.500 |
% |
|
07/16/45 |
|
$ 129,638 |
| GNMA REMIC Series 2016-109, Class IH |
|
|
|
2,487,160 |
|
|
|
4.000 |
|
|
10/20/45 |
|
447,332 |
| GNMA REMIC Series 2016-27, Class IA |
|
|
|
510,718 |
|
|
|
4.000 |
|
|
06/20/45 |
|
80,733 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,827,910 |
| |
| Regular Floater(b) –
0.0% |
| FNMA REMIC Series 2007-33, Class HF(1M LIBOR +
0.350%) |
|
|
|
22,906 |
|
|
|
2.310 |
|
|
04/25/37 |
|
22,971 |
| |
| Sequential Fixed Rate – 2.6% |
| FHLMC REMIC Series 4619, Class NA |
|
|
|
2,437,788 |
|
|
|
3.000 |
|
|
03/15/44 |
|
2,411,456 |
| FHLMC REMIC Series 4630, Class MC |
|
|
|
1,421,236 |
|
|
|
4.000 |
|
|
08/15/54 |
|
1,459,107 |
| FHLMC REMIC Series 4649, Class ML |
|
|
|
10,043,359 |
|
|
|
4.000 |
|
|
11/15/54 |
|
10,319,247 |
| FNMA REMIC Series 2012-111, Class B |
|
|
|
30,287 |
|
|
|
7.000 |
|
|
10/25/42 |
|
34,154 |
| FNMA REMIC Series 2012-153, Class B |
|
|
|
101,114 |
|
|
|
7.000 |
|
|
07/25/42 |
|
114,468 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,338,432 |
| |
| Sequential Floating Rate(b)(c) –
0.8% |
| Credit Suisse European Mortgage Capital Ltd. Series 2015-1HWA,
Class A(f)(3M EURIBOR + 2.750%) |
| EUR |
|
|
592,972 |
|
|
|
2.750 |
|
|
04/20/20 |
|
690,395 |
| Holmes Master Issuer PLC Series 2018-1A, Class A2(3M USD LIBOR
+ 0.360%) |
| $ |
|
|
2,600,000 |
|
|
|
2.146 |
|
|
10/15/54 |
|
2,598,497 |
| New Residential Mortgage Loan Trust Series 2015-1A,
Class A1 |
|
|
|
357,082 |
|
|
|
3.750 |
|
|
05/28/52 |
|
357,894 |
| Station Place Securitization Trust Series 2015-2, Class A(1M USD
LIBOR + 0.550%) |
|
|
|
850,000 |
|
|
|
2.468 |
|
|
07/15/19 |
|
850,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,496,786 |
| |
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
$23,686,099 |
| |
| Commercial Mortgage-Backed Securities – 0.4% |
| Sequential Fixed Rate – 0.1% |
| FHLMC Multifamily Structured Pass-Through Certificates Series K030, Class A1 |
| $ |
|
|
178,907 |
|
|
|
2.779 |
% |
|
09/25/22 |
|
$ 178,275 |
| FHLMC Multifamily Structured Pass-Through Certificates Series K707, Class A2 |
|
|
|
100,000 |
|
|
|
2.220 |
|
|
12/25/18 |
|
99,721 |
| FHLMC Multifamily Structured Pass-Through Certificates Series K710, Class A2 |
|
|
|
99,401 |
|
|
|
1.883 |
|
|
05/25/19 |
|
98,906 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
376,902 |
| |
| Sequential Floating Rate(b)(c) –
0.3% |
| Exantas Capital Corp. Ltd. Series 2018-RSO6, Class A(1M LIBOR + 0.830%) |
|
|
|
2,100,000 |
|
|
|
2.791 |
|
|
06/15/35 |
|
2,096,848 |
| |
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
|
$ 2,473,750 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| Federal Agencies – 5.7% |
| FHLMC – 0.0% |
| $ |
|
|
125,810 |
|
|
|
7.000 |
% |
|
02/01/39 |
|
$ 143,796 |
| |
| FNMA – 5.1% |
|
|
|
4,278 |
|
|
|
6.000 |
|
|
11/01/23 |
|
4,675 |
|
|
|
1,503,785 |
|
|
|
6.000 |
|
|
02/01/24 |
|
1,643,481 |
|
|
|
1,094,712 |
|
|
|
6.000 |
|
|
01/01/28 |
|
1,196,619 |
|
|
|
764,778 |
|
|
|
6.000 |
|
|
08/01/28 |
|
835,824 |
|
|
|
17,529 |
|
|
|
6.000 |
|
|
01/01/29 |
|
19,158 |
|
|
|
40,722 |
|
|
|
6.000 |
|
|
01/01/32 |
|
45,397 |
|
|
|
8,411 |
|
|
|
6.000 |
|
|
11/01/32 |
|
9,277 |
|
|
|
581,937 |
|
|
|
6.000 |
|
|
12/01/32 |
|
633,795 |
|
|
|
4,737,130 |
|
|
|
6.000 |
|
|
05/01/34 |
|
5,237,548 |
|
|
|
8,214 |
|
|
|
6.000 |
|
|
11/01/34 |
|
9,113 |
|
|
|
42,735 |
|
|
|
6.000 |
|
|
06/01/35 |
|
47,409 |
|
|
|
478,087 |
|
|
|
6.000 |
|
|
10/01/35 |
|
531,225 |
|
|
|
1,866,626 |
|
|
|
6.000 |
|
|
11/01/35 |
|
2,071,870 |
|
|
|
97,530 |
|
|
|
6.000 |
|
|
12/01/35 |
|
108,038 |
|
|
|
2,124 |
|
|
|
6.000 |
|
|
01/01/36 |
|
2,347 |
|
|
|
7,003 |
|
|
|
6.000 |
|
|
02/01/36 |
|
7,751 |
|
|
|
2,489 |
|
|
|
6.000 |
|
|
03/01/36 |
|
2,756 |
|
|
|
1,128,687 |
|
|
|
6.000 |
|
|
05/01/36 |
|
1,249,391 |
|
|
|
66,898 |
|
|
|
6.000 |
|
|
06/01/36 |
|
74,261 |
|
|
|
771,049 |
|
|
|
6.000 |
|
|
07/01/36 |
|
853,302 |
|
|
|
75,214 |
|
|
|
6.000 |
|
|
08/01/36 |
|
83,381 |
|
|
|
1,198,457 |
|
|
|
6.000 |
|
|
09/01/36 |
|
1,328,081 |
|
|
|
2,328,916 |
|
|
|
6.000 |
|
|
10/01/36 |
|
2,582,479 |
|
|
|
47,874 |
|
|
|
6.000 |
|
|
11/01/36 |
|
53,105 |
|
|
|
538,789 |
|
|
|
6.000 |
|
|
02/01/37 |
|
598,222 |
|
|
|
10,968 |
|
|
|
6.000 |
|
|
03/01/37 |
|
12,180 |
|
|
|
47,757 |
|
|
|
6.000 |
|
|
05/01/37 |
|
52,913 |
|
|
|
423,124 |
|
|
|
6.000 |
|
|
11/01/37 |
|
469,028 |
|
|
|
96,649 |
|
|
|
6.000 |
|
|
12/01/37 |
|
106,994 |
|
|
|
179,270 |
|
|
|
6.000 |
|
|
03/01/38 |
|
198,604 |
|
|
|
197,935 |
|
|
|
6.000 |
|
|
05/01/38 |
|
218,916 |
|
|
|
8,403 |
|
|
|
6.000 |
|
|
07/01/38 |
|
9,295 |
|
|
|
5,171 |
|
|
|
6.000 |
|
|
09/01/38 |
|
5,723 |
|
|
|
192,899 |
|
|
|
6.000 |
|
|
10/01/38 |
|
214,106 |
|
|
|
730,352 |
|
|
|
6.000 |
|
|
11/01/38 |
|
807,103 |
|
|
|
642,633 |
|
|
|
6.000 |
|
|
01/01/39 |
|
713,342 |
|
|
|
69,755 |
|
|
|
7.000 |
|
|
03/01/39 |
|
79,011 |
|
|
|
130,862 |
|
|
|
6.000 |
|
|
09/01/39 |
|
144,760 |
|
|
|
15,027 |
|
|
|
6.000 |
|
|
06/01/40 |
|
16,682 |
|
|
|
988,571 |
|
|
|
6.000 |
|
|
10/01/40 |
|
1,093,486 |
|
|
|
4,511,041 |
|
|
|
6.000 |
|
|
05/01/41 |
|
4,995,771 |
|
|
|
47,279 |
|
|
|
6.000 |
|
|
06/01/41 |
|
52,457 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,418,876 |
| |
| GNMA – 0.6% |
|
|
|
2,637,197 |
|
|
|
4.000 |
|
|
10/20/43 |
|
2,722,185 |
| |
GOLDMAN SACHS SHORT DURATION INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| GNMA – (continued) |
| $ |
|
|
545,835 |
|
|
|
4.000 |
% |
|
10/20/45 |
|
$ 561,890 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,284,075 |
| |
| TOTAL FEDERAL AGENCIES |
|
$31,846,747 |
| |
| TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $59,120,482) |
|
$58,006,596 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities – 23.8% |
| Automotive – 1.4% |
| Ally Master Owner Trust Series 2015-2, Class A2 |
| $ |
|
|
2,050,000 |
|
|
|
1.830 |
% |
|
01/15/21 |
|
$ 2,041,270 |
| Ford Credit Auto Owner Trust Series 2016-2, Class A(c) |
|
|
|
450,000 |
|
|
|
2.030 |
|
|
12/15/27 |
|
435,511 |
| Ford Credit Floorplan Master Owner Trust Series 2016-5,
Class A1 |
|
|
|
3,850,000 |
|
|
|
1.950 |
|
|
11/15/21 |
|
3,799,989 |
| GMF Floorplan Owner Revolving Trust Series 2016-1,
Class A1(c) |
|
|
|
1,350,000 |
|
|
|
1.960 |
|
|
05/17/21 |
|
1,340,895 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,617,665 |
| |
| Collateralized Loan Obligations(b)(c) –
13.4% |
| ACIS CLO Ltd. Series 2013-1A, Class A1(3M USD LIBOR +
0.870%) |
|
|
|
377,433 |
|
|
|
2.604 |
|
|
04/18/24 |
|
377,420 |
| ACIS CLO Ltd. Series 2013-1A, Class B(3M USD LIBOR +
1.950%) |
|
|
|
313,530 |
|
|
|
3.684 |
|
|
04/18/24 |
|
313,565 |
| ACIS CLO Ltd. Series 2013-1A, Class C(3M USD LIBOR +
2.950%) |
|
|
|
198,030 |
|
|
|
4.684 |
|
|
04/18/24 |
|
198,071 |
| AIMCO CLO Series 2017-AA, Class A(3M USD LIBOR +
1.260%) |
|
|
|
3,150,000 |
|
|
|
3.005 |
|
|
07/20/29 |
|
3,154,596 |
| Atrium X CLO Series 2017-10A, Class AR(3M USD LIBOR +
0.950%) |
|
|
|
2,598,620 |
|
|
|
2.672 |
|
|
07/16/25 |
|
2,598,615 |
| BlueMountain CLO Ltd. Series 2014-2A, Class AR(3M USD LIBOR +
0.930%) |
|
|
|
3,150,000 |
|
|
|
2.675 |
|
|
07/20/26 |
|
3,150,274 |
| Bowman Park CLO Ltd. Series 2014-1A, Class AR(3M USD LIBOR +
1.180%) |
|
|
|
1,650,000 |
|
|
|
3.100 |
|
|
11/23/25 |
|
1,650,698 |
| Cedar Funding II CLO Ltd. Series 2013-1A, Class A1R(3M USD LIBOR
+ 1.230%) |
|
|
|
3,100,000 |
|
|
|
3.287 |
|
|
06/09/30 |
|
3,108,720 |
| Cedar Funding V CLO Ltd. Series 2016-5A, Class A1(3M USD LIBOR
+ 1.610%) |
|
|
|
3,400,000 |
|
|
|
3.341 |
|
|
07/17/28 |
|
3,400,116 |
| Cutwater Ltd. Series 2014-1A, Class A1AR(3M USD LIBOR +
1.250%) |
|
|
|
3,050,000 |
|
|
|
2.972 |
|
|
07/15/26 |
|
3,050,439 |
| Dryden XXVI Senior Loan Fund Series 2013-26A, Class AR(3M USD LIBOR
+ 0.900%) |
|
|
|
2,900,000 |
|
|
|
3.248 |
|
|
04/15/29 |
|
2,891,431 |
| Halcyon Loan Advisors Funding Ltd. Series 2015-2A, Class A(3M USD
LIBOR + 1.390%) |
|
|
|
1,650,000 |
|
|
|
3.135 |
|
|
07/25/27 |
|
1,649,980 |
| ICG US CLO Ltd. Series 2014-1A, Class A1R(3M USD LIBOR +
1.220%) |
|
|
|
3,100,000 |
|
|
|
2.804 |
|
|
01/20/30 |
|
3,101,854 |
| Jamestown CLO X Ltd. Series 2017-10A, Class A1(3M USD LIBOR +
1.250%) |
|
|
|
6,250,000 |
|
|
|
2.981 |
|
|
07/17/29 |
|
6,255,112 |
| LCM XVI LP Series 2017-16A, Class AR(3M USD LIBOR +
1.030%) |
|
|
|
6,250,000 |
|
|
|
2.752 |
|
|
07/15/26 |
|
6,250,313 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Asset-Backed Securities – (continued) |
| Collateralized Loan Obligations(b)(c) –
(continued) |
| Madison Park Funding XXX Ltd. Series 2018-30A, Class A(3M USD LIBOR
+ 0.750%) |
| $ |
|
|
4,200,000 |
|
|
|
3.089 |
% |
|
04/15/29 |
|
$ 4,154,913 |
| OCP CLO Ltd. Series 2012-2A, Class A1R(3M USD LIBOR +
1.400%) |
|
|
|
200,000 |
|
|
|
3.304 |
|
|
11/22/25 |
|
200,295 |
| OCP CLO Ltd. Series 2014-5A, Class A1R(3M USD LIBOR +
1.080%) |
|
|
|
1,200,000 |
|
|
|
2.581 |
|
|
04/26/31 |
|
1,198,656 |
| OCP CLO Ltd. Series 2015-8A, Class A1R(3M USD LIBOR +
0.850%) |
|
|
|
3,250,000 |
|
|
|
2.581 |
|
|
04/17/27 |
|
3,238,349 |
| OFSI Fund V Ltd. Series 2013-5A, Class A1LA(3M USD LIBOR +
0.930%) |
|
|
|
52,748 |
|
|
|
2.652 |
|
|
04/17/25 |
|
52,746 |
| Parallel Ltd. Series 2015-1A, Class AR(3M USD LIBOR +
0.850%) |
|
|
|
1,250,000 |
|
|
|
2.595 |
|
|
07/20/27 |
|
1,248,526 |
| Parallel Ltd. Series 2017-1A, Class A1(3M USD LIBOR +
1.310%) |
|
|
|
2,700,000 |
|
|
|
3.055 |
|
|
07/20/29 |
|
2,705,360 |
| Ready Capital Mortgage Financing LLC Series 2018-FL2, Class A(1M USD
LIBOR + 0.850%) |
|
|
|
850,000 |
|
|
|
2.830 |
|
|
06/25/35 |
|
850,272 |
| Recette CLO Ltd. Series 2015-1A, Class AR(3M USD LIBOR +
0.920%) |
|
|
|
4,550,000 |
|
|
|
2.665 |
|
|
10/20/27 |
|
4,544,613 |
| Regatta IV Funding Ltd. Series 2014-1A, Class A1R(3M USD LIBOR
+ 1.020%) |
|
|
|
3,000,000 |
|
|
|
2.765 |
|
|
07/25/26 |
|
3,000,237 |
| Sound Point CLO XI Ltd. Series 2016-1A, Class A(3M USD LIBOR +
1.650%) |
|
|
|
4,150,000 |
|
|
|
3.395 |
|
|
07/20/28 |
|
4,156,121 |
| TICP CLO VI Ltd. Series 2016-6A, Class A(3M USD LIBOR +
1.550%) |
|
|
|
2,600,000 |
|
|
|
3.272 |
|
|
01/15/29 |
|
2,604,235 |
| Whitehorse Ltd. Series 2014-9A, Class AR(3M USD LIBOR +
1.160%) |
|
|
|
3,600,000 |
|
|
|
2.891 |
|
|
07/17/26 |
|
3,600,371 |
| WhiteHorse VIII Ltd. Series 2014-1A, Class AR(3M USD LIBOR +
0.900%) |
|
|
|
1,250,000 |
|
|
|
2.673 |
|
|
05/01/26 |
|
1,249,991 |
| Zais CLO 1 Ltd. Series 2014-1A, Class A1(3M USD LIBOR +
1.400%) |
|
|
|
661,898 |
|
|
|
3.122 |
|
|
04/15/26 |
|
661,936 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
74,617,825 |
| |
| Credit Card(c) –
0.7% |
| Golden Credit Card Trust Series 2016-5A,
Class A |
|
|
|
2,600,000 |
|
|
|
1.600 |
|
|
09/15/21 |
|
2,559,949 |
| Golden Credit Card Trust Series 2017-2A,
Class A |
|
|
|
1,050,000 |
|
|
|
1.980 |
|
|
04/15/22 |
|
1,030,647 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,590,596 |
| |
| Student Loan(b) –
8.3% |
| Access to Loans for Learning Student Loan Corp. Series 2013-I,
Class A(1M USD LIBOR + 0.800%) |
|
|
|
585,851 |
|
|
|
2.697 |
|
|
02/25/41 |
|
585,212 |
| ECMC Group Student Loan Trust Series 2016-1A, Class A(c)(1M USD LIBOR + 1.350%) |
|
|
|
1,708,254 |
|
|
|
3.310 |
|
|
07/26/66 |
|
1,736,161 |
| Education Loan Asset-Backed Trust I Series 2013-1, Class A2(c)(1M USD LIBOR + 0.800%) |
|
|
|
4,200,000 |
|
|
|
2.760 |
|
|
04/26/32 |
|
4,220,225 |
| Educational Funding of the South, Inc. Series 2012-1, Class A(1M USD
LIBOR + 1.050%) |
|
|
|
2,650,256 |
|
|
|
3.010 |
|
|
03/25/36 |
|
2,661,690 |
| |
GOLDMAN SACHS SHORT DURATION INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Asset-Backed Securities – (continued) |
| Student Loan(b) –
(continued) |
| Educational Services of America, Inc. Series 2012-1, Class A1(c)(1M USD LIBOR + 1.150%) |
| $ |
|
|
52,981 |
|
|
|
3.110 |
% |
|
09/25/40 |
|
$ 53,841 |
| Educational Services of America, Inc. Series 2014-1, Class A(c)(1M USD LIBOR + 0.700%) |
|
|
|
824,154 |
|
|
|
2.660 |
|
|
02/25/39 |
|
824,153 |
| Educational Services of America, Inc. Series 2015-2, Class A(c)(1M USD LIBOR + 1.000%) |
|
|
|
817,695 |
|
|
|
2.960 |
|
|
12/25/56 |
|
824,180 |
| EFS Volunteer No. 2 LLC Series 2012-1, Class A2(c)(1M USD LIBOR + 1.350%) |
|
|
|
2,700,000 |
|
|
|
3.310 |
|
|
03/25/36 |
|
2,746,563 |
| EFS Volunteer No. 3 LLC Series 2012-1, Class A2(c)(1M USD LIBOR + 1.000%) |
|
|
|
74,635 |
|
|
|
2.960 |
|
|
02/25/25 |
|
74,748 |
| EFS Volunteer No. 3 LLC Series 2012-1, Class A3(c)(1M USD LIBOR + 1.000%) |
|
|
|
1,700,000 |
|
|
|
2.960 |
|
|
04/25/33 |
|
1,710,371 |
| GCO Education Loan Funding Master Trust II Series 2007-1A, Class A6L(c)(3M LIBOR + 0.110%) |
|
|
|
2,084,583 |
|
|
|
2.440 |
|
|
11/25/26 |
|
2,073,029 |
| Illinois Student Assistance Commission Series 2010-1, Class A3(3M
USD LIBOR + 0.900%) |
|
|
|
1,900,000 |
|
|
|
2.645 |
|
|
07/25/45 |
|
1,920,044 |
| Kentucky Higher Education Student Loan Corp. Series 2015-1,
Class A1(1M USD LIBOR + 0.750%) |
|
|
|
2,107,595 |
|
|
|
2.657 |
|
|
12/01/31 |
|
2,104,792 |
| Montana Higher Education Student Assistance Corp. Series 2012-1,
Class A2(1M USD LIBOR + 1.000%) |
|
|
|
2,084,608 |
|
|
|
2.948 |
|
|
05/20/30 |
|
2,108,023 |
| Navient Student Loan Trust Series 2016-5A, Class A(c)(1M USD LIBOR + 1.250%) |
|
|
|
3,525,951 |
|
|
|
3.210 |
|
|
06/25/65 |
|
3,618,213 |
| Navient Student Loan Trust Series 2016-7A, Class A(c)(1M USD LIBOR + 1.150%) |
|
|
|
1,778,306 |
|
|
|
3.110 |
|
|
03/25/66 |
|
1,811,630 |
| North Carolina State Education Assistance Authority Series 2010-1,
Class A1(3M USD LIBOR + 0.900%) |
|
|
|
978,135 |
|
|
|
6.645 |
|
|
07/25/41 |
|
975,995 |
| Northstar Education Finance, Inc. Series 2012-1, Class A(c)(1M USD LIBOR + 0.700%) |
|
|
|
107,075 |
|
|
|
2.660 |
|
|
12/26/31 |
|
107,509 |
| Pennsylvania Higher Education Assistance Agency Series 12-1A,
Class A1(c)(1M USD LIBOR + 0.550%) |
|
|
|
55,194 |
|
|
|
2.510 |
|
|
05/25/57 |
|
55,253 |
| PHEAA Student Loan Trust Series 2016-1A, Class A(c)(1M USD LIBOR + 1.150%) |
|
|
|
1,786,896 |
|
|
|
3.110 |
|
|
09/25/65 |
|
1,814,209 |
| SLC Student Loan Center Series 2011-1, Class A(c)(1M USD LIBOR + 1.220%) |
|
|
|
6,114,960 |
|
|
|
3.180 |
|
|
10/25/27 |
|
6,187,526 |
| SLC Student Loan Trust Series 2005-3, Class A3(3M USD LIBOR +
0.120%) |
|
|
|
1,241,088 |
|
|
|
2.245 |
|
|
06/15/29 |
|
1,234,527 |
| SLM Student Loan Trust Series 2003-14, Class A5(3M USD LIBOR +
0.230%) |
|
|
|
41,995 |
|
|
|
1.975 |
|
|
01/25/23 |
|
41,996 |
| SLM Student Loan Trust Series 2004-1, Class A3(3M USD LIBOR +
0.210%) |
|
|
|
162,485 |
|
|
|
1.955 |
|
|
04/25/23 |
|
162,495 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Asset-Backed Securities – (continued) |
| Student Loan(b) –
(continued) |
| SLM Student Loan Trust Series 2004-8A, Class A5(c)(3M USD LIBOR + 0.500%) |
| $ |
|
|
497,481 |
|
|
|
2.245 |
% |
|
04/25/24 |
|
$ 498,439 |
| SLM Student Loan Trust Series 2005-5, Class A4(3M USD LIBOR +
0.140%) |
|
|
|
1,400,000 |
|
|
|
1.885 |
|
|
10/25/28 |
|
1,394,982 |
| SLM Student Loan Trust Series 2006-2, Class A5(3M USD LIBOR +
0.110%) |
|
|
|
197,785 |
|
|
|
1.855 |
|
|
07/25/25 |
|
197,785 |
| SLM Student Loan Trust Series 2007-7, Class A4(3M USD LIBOR +
0.330%) |
|
|
|
974,320 |
|
|
|
2.075 |
|
|
01/25/22 |
|
958,206 |
| SLM Student Loan Trust Series 2008-4, Class A4(3M USD LIBOR +
1.650%) |
|
|
|
362,293 |
|
|
|
3.395 |
|
|
07/25/22 |
|
370,394 |
| SLM Student Loan Trust Series 2012-3, Class A(1M USD LIBOR +
0.650%) |
|
|
|
1,165,257 |
|
|
|
2.610 |
|
|
12/27/38 |
|
1,171,466 |
| South Texas Higher Education Authority, Inc. Series 2012-1,
Class A2(3M USD LIBOR + 0.850%) |
|
|
|
752,149 |
|
|
|
2.545 |
|
|
10/01/24 |
|
755,594 |
| Utah State Board of Regents Series 2011-1, Class A3(3M USD LIBOR
+ 0.850%) |
|
|
|
1,200,000 |
|
|
|
2.623 |
|
|
05/01/35 |
|
1,206,252 |
| Wachovia Student Loan Trust Series 2005-1, Class A5(3M USD LIBOR
+ 0.130%) |
|
|
|
76,188 |
|
|
|
1.875 |
|
|
01/26/26 |
|
76,141 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
46,281,644 |
| |
| TOTAL ASSET-BACKED SECURITIES
(Cost $131,521,719) |
|
$132,107,730 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foreign Debt Obligations – 1.0% |
| Sovereign – 1.0% |
| Dominican Republic |
| $ |
|
|
1,210,000 |
|
|
|
7.500 |
% |
|
05/06/21 |
|
$ 1,271,825 |
| Ecuador Government International Bond |
|
|
|
200,000 |
|
|
|
9.625 |
(c) |
|
06/02/27 |
|
186,000 |
|
|
|
390,000 |
|
|
|
9.625 |
|
|
06/02/27 |
|
362,700 |
|
|
|
350,000 |
|
|
|
7.875 |
(c) |
|
01/23/28 |
|
293,125 |
| Republic of Argentina |
| EUR |
|
|
440,000 |
|
|
|
3.375 |
|
|
01/15/23 |
|
466,303 |
|
|
|
320,000 |
|
|
|
5.250 |
|
|
01/15/28 |
|
319,043 |
|
|
|
40,000 |
|
|
|
2.260 |
(g) |
|
12/31/38 |
|
27,373 |
|
|
|
$70,000 |
|
|
|
2.500 |
(g) |
|
12/31/38 |
|
39,690 |
| EUR |
|
|
100,000 |
|
|
|
6.250 |
|
|
11/09/47 |
|
90,797 |
| Republic of Indonesia |
|
|
|
$200,000 |
|
|
|
5.875 |
|
|
01/15/24 |
|
214,500 |
| EUR |
|
|
250,000 |
|
|
|
2.150 |
(c) |
|
07/18/24 |
|
294,140 |
| |
GOLDMAN SACHS SHORT DURATION INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Foreign Debt Obligations – (continued) |
| Sovereign – (continued) |
| Republic of South Africa |
| ZAR |
|
|
1,590,000 |
|
|
|
8.000 |
% |
|
01/31/30 |
|
$ 105,854 |
|
|
|
4,500,000 |
|
|
|
7.000 |
|
|
02/28/31 |
|
271,758 |
|
|
|
6,879,000 |
|
|
|
8.250 |
|
|
03/31/32 |
|
456,679 |
|
|
|
1,570,000 |
|
|
|
8.875 |
|
|
02/28/35 |
|
108,077 |
|
|
|
2,330,000 |
|
|
|
6.250 |
|
|
03/31/36 |
|
122,697 |
|
|
|
45,000 |
|
|
|
9.000 |
|
|
01/31/40 |
|
3,085 |
|
|
|
900,000 |
|
|
|
6.500 |
|
|
02/28/41 |
|
46,732 |
|
|
|
1,450,000 |
|
|
|
8.750 |
|
|
01/31/44 |
|
96,486 |
| Republic of Sri Lanka |
| $ |
|
|
200,000 |
|
|
|
6.850 |
|
|
11/03/25 |
|
193,250 |
| United Mexican States |
| MXN |
|
|
10,679,700 |
|
|
|
6.500 |
|
|
06/10/21 |
|
520,250 |
|
|
|
1,292,300 |
|
|
|
8.000 |
|
|
12/07/23 |
|
65,911 |
|
|
|
46,900 |
|
|
|
8.000 |
|
|
11/07/47 |
|
2,430 |
| |
| TOTAL FOREIGN DEBT OBLIGATIONS (Cost $5,887,624) |
|
$ 5,558,705 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Structured Notes(c)(d)
– 0.1% |
| Arab Republic of Egypt (Issuer JPMorgan Chase Bank NA) |
| $ |
|
|
5,100,000 |
|
|
|
0.000 |
% |
|
07/26/18 |
|
$ 281,703 |
|
|
|
6,950,000 |
|
|
|
0.000 |
|
|
02/07/19 |
|
347,714 |
| |
| TOTAL STRUCTURED NOTES
(Cost $640,377) |
|
$ 629,417 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Municipal Debt Obligations – 3.2% |
| Connecticut – 0.5% |
| Connecticut State GO Bonds Series A |
| $ |
|
|
3,000,000 |
|
|
|
3.130 |
% |
|
01/15/24 |
|
$ 2,938,530 |
| |
| Florida(a) –
2.3% |
| Florida State Board of Administration Finance Corp. Series 2016, Class A |
|
|
|
12,625,000 |
|
|
|
2.638 |
|
|
07/01/21 |
|
12,507,082 |
| |
| New Hampshire(a)(b) –
0.3% |
| New Hampshire Higher Education Loan Corp. Series 2011-1, Class A3(3M
USD LIBOR + 0.850%) |
|
|
|
1,800,000 |
|
|
|
2.600 |
|
|
10/25/37 |
|
1,811,755 |
| |
| Utah(a)(b) –
0.1% |
| Utah State Board of Regents Student Loan RB (Taxable) Series 2011, Class A2(3M USD LIBOR +
0.850%) |
|
|
|
740,176 |
|
|
|
2.623 |
|
|
05/01/29 |
|
742,271 |
| |
| TOTAL MUNICIPAL DEBT OBLIGATIONS (Cost $18,120,010) |
|
$17,999,638 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury
Obligation(h) – 0.2% |
| United States Treasury Note |
| $ |
|
|
1,020,000 |
|
|
|
2.250 |
% |
|
12/31/24 |
|
$ 986,575 |
| (Cost $1,012,668) |
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares |
|
|
Distribution Rate |
|
Value |
| Investment
Company(i) – 0.0% |
| Goldman Sachs Financial Square Government Fund - Institutional Shares |
|
|
|
1,693 |
|
|
|
1.869% |
|
$ 1,693 |
| (Cost $1,693) |
|
|
|
|
|
|
|
|
|
| |
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost $536,260,931) |
|
$529,795,423 |
| |
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Short-term Investments – 1.5% |
| Certificate of Deposit(b) –
0.3% |
| Nordea Bank AB NY |
| $ |
|
|
1,500,000 |
|
|
|
2.702 |
% |
|
03/27/20 |
|
$ 1,502,793 |
| |
| Commercial Paper(d) –
1.2% |
| AT&T, Inc. |
|
|
|
1,250,000 |
|
|
|
0.000 |
|
|
10/09/18 |
|
1,240,685 |
|
|
|
1,500,000 |
|
|
|
0.000 |
|
|
10/05/18 |
|
1,489,261 |
| Ford Motor Credit Co. LLC |
|
|
|
4,000,000 |
|
|
|
0.000 |
|
|
02/20/19 |
|
3,929,226 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,659,172 |
| |
| TOTAL SHORT-TERM INVESTMENTS
(Cost $8,157,769) |
|
$ 8,161,965 |
| |
| TOTAL INVESTMENTS – 96.9% (Cost $544,418,700) |
|
$537,957,388 |
| |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 3.1% |
|
17,102,658 |
| |
| NET ASSETS – 100.0% |
|
$555,060,046 |
| |
|
|
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
|
|
| (a) |
|
Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
|
|
| (b) |
|
Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed
is that which is in effect on June 30, 2018. |
|
|
| (c) |
|
Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed 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 $168,169,231, which represents approximately 30.3% of the Fund’s net assets as
of June 30, 2018. The liquidity determination is unaudited. |
|
|
| (d) |
|
Issued with a zero coupon. Income is recognized through the accretion of discount. |
|
|
| (e) |
|
Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. |
|
|
| (f) |
|
Significant unobservable inputs were used in the valuation of this portfolio security; i.e. Level 3. |
|
|
| (g) |
|
Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on June 30, 2018. |
GOLDMAN SACHS SHORT DURATION INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
| (h) |
|
All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. |
|
|
| (i) |
|
Represents an affiliated issuer. |
|
|
|
| Currency Abbreviations: |
| ARS |
|
— Argentine Peso |
| AUD |
|
— Australian Dollar |
| BRL |
|
— Brazilian Real |
| CAD |
|
— Canadian Dollar |
| CHF |
|
— Swiss Franc |
| CLP |
|
— Chilean Peso |
| CNH |
|
— Chinese Yuan Renminbi Offshore |
| COP |
|
— Colombian Peso |
| CZK |
|
— Czech Koruna |
| EGP |
|
— Egyptian Pound |
| EUR |
|
— Euro |
| GBP |
|
— British Pound |
| HKD |
|
— Hong Kong Dollar |
| HUF |
|
— Hungarian Forint |
| IDR |
|
— Indonesian Rupiah |
| INR |
|
— Indian Rupee |
| JPY |
|
— Japanese Yen |
| KRW |
|
— South Korean Won |
| MXN |
|
— Mexican Peso |
| NOK |
|
— Norwegian Krone |
| NZD |
|
— New Zealand Dollar |
| PLN |
|
— Polish Zloty |
| RUB |
|
— Russian Ruble |
| SEK |
|
— Swedish Krona |
| SGD |
|
— Singapore Dollar |
| THB |
|
— Thai Baht |
| TRY |
|
— Turkish Lira |
| TWD |
|
— Taiwan Dollar |
| USD |
|
— U.S. Dollar |
| ZAR |
|
— South African Rand |
|
| Investment Abbreviations: |
| AUDOR |
|
— Australian Dollar Offered Rate |
| CDOR |
|
— Canadian Dollar Offered Rate |
| CHFOR |
|
— Swiss Franc Offered Rate |
| CLO |
|
— Collateralized Loan Obligation |
| EURIBOR |
|
— Euro Interbank Offered Rate |
| EURO |
|
— Euro Offered Rate |
| FHLMC |
|
— Federal Home Loan Mortgage Corp. |
| FNMA |
|
— Federal National Mortgage Association |
| GNMA |
|
— Government National Mortgage Association |
| GO |
|
— General Obligation |
| JIBAR |
|
— Johannesburg Interbank Agreed Rate |
| JYOR |
|
— Japanese Yen Offered Rate |
| LIBOR |
|
— London Interbank Offered Rate |
| LLC |
|
— Limited Liability Company |
| LP |
|
— Limited Partnership |
| NIBOR |
|
— Norwegian Interbank Offered Rate |
| NZDOR |
|
— New Zealand Dollar Offered Rate |
| PLC |
|
— Public Limited Company |
| RB |
|
— Revenue Bond |
| REMIC |
|
— Real Estate Mortgage Investment Conduit |
| STIBOR |
|
— Stockholm Interbank Offered Rate |
| STRIPS |
|
— Separate Trading of Registered Interest and Principal of Securities |
| TIIE |
|
— La Tasa de Interbank Equilibrium Interest Rate |
| WIBOR |
|
— Warsaw Interbank Offered Rate |
| |
|
| For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com. |
GOLDMAN SACHS SHORT DURATION INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2018, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Gain |
|
| |
|
| MS & Co. Int. PLC |
|
USD |
|
|
5,696,464 |
|
|
CNH |
|
|
36,871,132 |
|
|
$ |
5,540,905 |
|
|
|
09/19/18 |
|
|
$ |
155,558 |
|
|
|
EUR |
|
|
566,637 |
|
|
CNH |
|
|
4,249,851 |
|
|
|
665,758 |
|
|
|
09/19/18 |
|
|
|
27,100 |
|
|
|
USD |
|
|
3,305,730 |
|
|
HKD |
|
|
25,749,760 |
|
|
|
3,286,512 |
|
|
|
09/19/18 |
|
|
|
19,218 |
|
|
|
AUD |
|
|
1,303,054 |
|
|
NZD |
|
|
1,400,248 |
|
|
|
964,563 |
|
|
|
09/19/18 |
|
|
|
16,099 |
|
|
|
AUD |
|
|
438,120 |
|
|
USD |
|
|
323,632 |
|
|
|
324,310 |
|
|
|
09/19/18 |
|
|
|
678 |
|
|
|
BRL |
|
|
1,033,318 |
|
|
USD |
|
|
264,104 |
|
|
|
266,515 |
|
|
|
07/03/18 |
|
|
|
2,412 |
|
|
|
CAD |
|
|
129,077 |
|
|
EUR |
|
|
82,936 |
|
|
|
98,318 |
|
|
|
09/19/18 |
|
|
|
874 |
|
|
|
CAD |
|
|
642,558 |
|
|
USD |
|
|
486,869 |
|
|
|
489,437 |
|
|
|
09/19/18 |
|
|
|
2,568 |
|
|
|
CHF |
|
|
1,992,144 |
|
|
EUR |
|
|
1,717,124 |
|
|
|
2,025,744 |
|
|
|
09/19/18 |
|
|
|
8,247 |
|
|
|
CHF |
|
|
648,161 |
|
|
USD |
|
|
658,081 |
|
|
|
659,093 |
|
|
|
09/19/18 |
|
|
|
1,012 |
|
|
|
EUR |
|
|
567,169 |
|
|
AUD |
|
|
892,481 |
|
|
|
666,384 |
|
|
|
09/19/18 |
|
|
|
5,741 |
|
|
|
EUR |
|
|
847,190 |
|
|
CAD |
|
|
1,302,843 |
|
|
|
995,388 |
|
|
|
09/19/18 |
|
|
|
3,010 |
|
|
|
EUR |
|
|
280,137 |
|
|
CZK |
|
|
7,219,405 |
|
|
|
329,141 |
|
|
|
09/19/18 |
|
|
|
3,195 |
|
|
|
EUR |
|
|
2,538,522 |
|
|
GBP |
|
|
2,227,339 |
|
|
|
2,982,581 |
|
|
|
09/19/18 |
|
|
|
32,472 |
|
|
|
EUR |
|
|
280,023 |
|
|
HUF |
|
|
92,152,710 |
|
|
|
329,007 |
|
|
|
09/19/18 |
|
|
|
665 |
|
|
|
EUR |
|
|
283,094 |
|
|
JPY |
|
|
36,247,847 |
|
|
|
332,615 |
|
|
|
09/19/18 |
|
|
|
3,368 |
|
|
|
EUR |
|
|
1,066,122 |
|
|
NOK |
|
|
10,109,422 |
|
|
|
1,252,618 |
|
|
|
09/19/18 |
|
|
|
7,343 |
|
|
|
EUR |
|
|
2,259,868 |
|
|
NZD |
|
|
3,800,314 |
|
|
|
2,655,182 |
|
|
|
09/19/18 |
|
|
|
81,021 |
|
|
|
EUR |
|
|
789,431 |
|
|
PLN |
|
|
3,423,093 |
|
|
|
927,525 |
|
|
|
09/19/18 |
|
|
|
12,458 |
|
|
|
EUR |
|
|
3,756,882 |
|
|
SEK |
|
|
38,726,818 |
|
|
|
4,414,068 |
|
|
|
09/19/18 |
|
|
|
63,537 |
|
|
|
EUR |
|
|
144,000 |
|
|
USD |
|
|
168,055 |
|
|
|
168,944 |
|
|
|
08/31/18 |
|
|
|
889 |
|
|
|
EUR |
|
|
4,714,579 |
|
|
USD |
|
|
5,503,647 |
|
|
|
5,539,293 |
|
|
|
09/19/18 |
|
|
|
35,645 |
|
|
|
GBP |
|
|
97,781 |
|
|
AUD |
|
|
174,185 |
|
|
|
129,511 |
|
|
|
09/19/18 |
|
|
|
574 |
|
|
|
KRW |
|
|
286,459,330 |
|
|
USD |
|
|
256,627 |
|
|
|
257,186 |
|
|
|
07/05/18 |
|
|
|
560 |
|
|
|
KRW |
|
|
1,460,479,324 |
|
|
USD |
|
|
1,306,765 |
|
|
|
1,312,137 |
|
|
|
07/26/18 |
|
|
|
5,372 |
|
|
|
MXN |
|
|
21,286,782 |
|
|
USD |
|
|
1,013,963 |
|
|
|
1,058,351 |
|
|
|
09/19/18 |
|
|
|
44,387 |
|
|
|
NOK |
|
|
9,063,700 |
|
|
USD |
|
|
1,111,577 |
|
|
|
1,116,463 |
|
|
|
09/19/18 |
|
|
|
4,886 |
|
|
|
RUB |
|
|
5,015,191 |
|
|
USD |
|
|
78,766 |
|
|
|
79,460 |
|
|
|
08/15/18 |
|
|
|
694 |
|
|
|
RUB |
|
|
20,180,230 |
|
|
USD |
|
|
315,758 |
|
|
|
319,555 |
|
|
|
08/20/18 |
|
|
|
3,797 |
|
|
|
SGD |
|
|
1,016,030 |
|
|
USD |
|
|
745,453 |
|
|
|
747,003 |
|
|
|
09/19/18 |
|
|
|
1,550 |
|
|
|
TRY |
|
|
5,837,863 |
|
|
USD |
|
|
1,211,806 |
|
|
|
1,227,946 |
|
|
|
09/19/18 |
|
|
|
16,140 |
|
|
|
USD |
|
|
1,300,323 |
|
|
ARS |
|
|
35,641,855 |
|
|
|
1,228,056 |
|
|
|
07/03/18 |
|
|
|
72,268 |
|
|
|
USD |
|
|
266,091 |
|
|
ARS |
|
|
5,638,467 |
|
|
|
193,839 |
|
|
|
07/05/18 |
|
|
|
72,251 |
|
|
|
USD |
|
|
1,310,672 |
|
|
AUD |
|
|
1,741,041 |
|
|
|
1,288,773 |
|
|
|
09/19/18 |
|
|
|
21,899 |
|
|
|
USD |
|
|
5,683,712 |
|
|
BRL |
|
|
21,347,566 |
|
|
|
5,506,005 |
|
|
|
07/03/18 |
|
|
|
177,706 |
|
|
|
USD |
|
|
675,509 |
|
|
BRL |
|
|
2,576,130 |
|
|
|
662,111 |
|
|
|
08/02/18 |
|
|
|
13,398 |
|
|
|
USD |
|
|
3,418,887 |
|
|
CAD |
|
|
4,432,997 |
|
|
|
3,376,619 |
|
|
|
09/19/18 |
|
|
|
42,269 |
|
|
|
USD |
|
|
750,148 |
|
|
CLP |
|
|
474,918,562 |
|
|
|
726,863 |
|
|
|
07/05/18 |
|
|
|
23,284 |
|
|
|
USD |
|
|
748,169 |
|
|
CLP |
|
|
475,692,002 |
|
|
|
728,077 |
|
|
|
07/18/18 |
|
|
|
20,091 |
|
|
|
USD |
|
|
56,123 |
|
|
CZK |
|
|
1,214,834 |
|
|
|
54,848 |
|
|
|
09/19/18 |
|
|
|
1,276 |
|
|
|
USD |
|
|
3,791,269 |
|
|
EUR |
|
|
3,199,410 |
|
|
|
3,753,612 |
|
|
|
08/31/18 |
|
|
|
37,657 |
|
|
|
USD |
|
|
529,643 |
|
|
EUR |
|
|
447,162 |
|
|
|
525,383 |
|
|
|
09/19/18 |
|
|
|
4,259 |
|
|
|
USD |
|
|
821,282 |
|
|
GBP |
|
|
613,490 |
|
|
|
812,566 |
|
|
|
09/19/18 |
|
|
|
8,715 |
|
|
|
USD |
|
|
1,771,570 |
|
|
IDR |
|
|
25,282,076,881 |
|
|
|
1,766,054 |
|
|
|
07/02/18 |
|
|
|
5,516 |
|
|
|
USD |
|
|
128,621 |
|
|
IDR |
|
|
1,812,332,087 |
|
|
|
126,456 |
|
|
|
07/23/18 |
|
|
|
2,164 |
|
|
|
USD |
|
|
675,049 |
|
|
IDR |
|
|
9,496,370,706 |
|
|
|
662,012 |
|
|
|
07/27/18 |
|
|
|
13,037 |
|
|
|
USD |
|
|
1,982,000 |
|
|
INR |
|
|
134,392,976 |
|
|
|
1,960,224 |
|
|
|
07/11/18 |
|
|
|
21,776 |
|
|
|
USD |
|
|
964,020 |
|
|
INR |
|
|
65,809,787 |
|
|
|
958,767 |
|
|
|
07/19/18 |
|
|
|
5,253 |
|
|
|
USD |
|
|
1,954,672 |
|
|
JPY |
|
|
213,591,015 |
|
|
|
1,940,101 |
|
|
|
09/19/18 |
|
|
|
14,572 |
|
|
|
USD |
|
|
266,300 |
|
|
KRW |
|
|
286,459,330 |
|
|
|
257,186 |
|
|
|
07/05/18 |
|
|
|
9,114 |
|
|
|
USD |
|
|
595,363 |
|
|
KRW |
|
|
660,884,255 |
|
|
|
593,757 |
|
|
|
07/26/18 |
|
|
|
1,606 |
|
|
|
USD |
|
|
756,595 |
|
|
NOK |
|
|
6,113,948 |
|
|
|
753,113 |
|
|
|
09/19/18 |
|
|
|
3,481 |
|
GOLDMAN SACHS SHORT DURATION INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION (continued)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Gain |
|
| |
|
| MS & Co. Int. PLC (continued) |
|
USD |
|
|
3,273,702 |
|
|
|
NZD |
|
|
|
4,750,599 |
|
|
$ |
3,217,843 |
|
|
|
09/19/18 |
|
|
$ |
55,860 |
|
|
|
USD |
|
|
330,872 |
|
|
|
SEK |
|
|
|
2,837,696 |
|
|
|
318,784 |
|
|
|
09/19/18 |
|
|
|
12,088 |
|
|
|
USD |
|
|
1,355,759 |
|
|
|
SGD |
|
|
|
1,806,427 |
|
|
|
1,328,118 |
|
|
|
09/19/18 |
|
|
|
27,642 |
|
|
|
USD |
|
|
328,931 |
|
|
|
THB |
|
|
|
10,799,284 |
|
|
|
326,351 |
|
|
|
08/14/18 |
|
|
|
2,579 |
|
|
|
USD |
|
|
330,159 |
|
|
|
TRY |
|
|
|
1,561,051 |
|
|
|
328,354 |
|
|
|
09/19/18 |
|
|
|
1,805 |
|
|
|
USD |
|
|
330,108 |
|
|
|
TWD |
|
|
|
9,798,452 |
|
|
|
321,931 |
|
|
|
07/09/18 |
|
|
|
8,177 |
|
|
|
USD |
|
|
2,496,891 |
|
|
|
TWD |
|
|
|
75,432,778 |
|
|
|
2,479,222 |
|
|
|
07/16/18 |
|
|
|
17,670 |
|
|
|
USD |
|
|
4,667,478 |
|
|
|
TWD |
|
|
|
140,406,279 |
|
|
|
4,617,184 |
|
|
|
07/27/18 |
|
|
|
50,294 |
|
|
|
USD |
|
|
1,733,434 |
|
|
|
ZAR |
|
|
|
21,758,180 |
|
|
|
1,578,193 |
|
|
|
08/08/18 |
|
|
|
155,241 |
|
|
|
USD |
|
|
1,047,871 |
|
|
|
ZAR |
|
|
|
14,365,642 |
|
|
|
1,036,336 |
|
|
|
09/19/18 |
|
|
|
11,535 |
|
|
|
ZAR |
|
|
9,080,213 |
|
|
|
USD |
|
|
|
653,926 |
|
|
|
655,046 |
|
|
|
09/19/18 |
|
|
|
1,119 |
|
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,476,672 |
|
| |
|
|
| FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS |
|
|
|
|
|
|
|
| Counterparty |
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Loss |
|
| |
|
| MS & Co. Int. PLC |
|
CNH |
|
|
4,316,458 |
|
|
|
EUR |
|
|
|
563,984 |
|
|
$ |
648,667 |
|
|
|
09/19/18 |
|
|
$ |
(13,974 |
) |
|
|
CNH |
|
|
8,940,421 |
|
|
|
USD |
|
|
|
1,353,521 |
|
|
|
1,343,545 |
|
|
|
09/19/18 |
|
|
|
(9,977 |
) |
|
|
ARS |
|
|
35,641,855 |
|
|
|
USD |
|
|
|
1,684,796 |
|
|
|
1,228,056 |
|
|
|
07/03/18 |
|
|
|
(456,740 |
) |
|
|
ARS |
|
|
13,582,616 |
|
|
|
USD |
|
|
|
576,809 |
|
|
|
466,943 |
|
|
|
07/05/18 |
|
|
|
(109,863 |
) |
|
|
ARS |
|
|
7,984,459 |
|
|
|
USD |
|
|
|
310,076 |
|
|
|
272,957 |
|
|
|
07/10/18 |
|
|
|
(37,119 |
) |
|
|
ARS |
|
|
12,744,280 |
|
|
|
USD |
|
|
|
601,145 |
|
|
|
434,706 |
|
|
|
07/12/18 |
|
|
|
(166,439 |
) |
|
|
ARS |
|
|
9,698,265 |
|
|
|
USD |
|
|
|
455,906 |
|
|
|
328,247 |
|
|
|
07/19/18 |
|
|
|
(127,660 |
) |
|
|
ARS |
|
|
35,641,855 |
|
|
|
USD |
|
|
|
1,266,365 |
|
|
|
1,191,836 |
|
|
|
07/31/18 |
|
|
|
(74,529 |
) |
|
|
ARS |
|
|
20,344,966 |
|
|
|
USD |
|
|
|
738,469 |
|
|
|
673,711 |
|
|
|
08/10/18 |
|
|
|
(64,758 |
) |
|
|
ARS |
|
|
21,863,612 |
|
|
|
USD |
|
|
|
836,049 |
|
|
|
720,502 |
|
|
|
08/15/18 |
|
|
|
(115,548 |
) |
|
|
ARS |
|
|
23,322,443 |
|
|
|
USD |
|
|
|
876,619 |
|
|
|
767,093 |
|
|
|
08/17/18 |
|
|
|
(109,526 |
) |
|
|
AUD |
|
|
576,537 |
|
|
|
EUR |
|
|
|
364,658 |
|
|
|
426,771 |
|
|
|
09/19/18 |
|
|
|
(1,677 |
) |
|
|
AUD |
|
|
191,317 |
|
|
|
GBP |
|
|
|
106,981 |
|
|
|
141,619 |
|
|
|
09/19/18 |
|
|
|
(77 |
) |
|
|
AUD |
|
|
10,196,401 |
|
|
|
USD |
|
|
|
7,598,560 |
|
|
|
7,547,700 |
|
|
|
09/19/18 |
|
|
|
(50,861 |
) |
|
|
BRL |
|
|
20,314,248 |
|
|
|
USD |
|
|
|
5,376,701 |
|
|
|
5,239,489 |
|
|
|
07/03/18 |
|
|
|
(137,213 |
) |
|
|
BRL |
|
|
1,097,496 |
|
|
|
USD |
|
|
|
283,371 |
|
|
|
282,076 |
|
|
|
08/02/18 |
|
|
|
(1,295 |
) |
|
|
CAD |
|
|
3,574,019 |
|
|
|
USD |
|
|
|
2,738,814 |
|
|
|
2,722,334 |
|
|
|
09/19/18 |
|
|
|
(16,477 |
) |
|
|
CLP |
|
|
474,918,562 |
|
|
|
USD |
|
|
|
749,242 |
|
|
|
726,863 |
|
|
|
07/05/18 |
|
|
|
(22,378 |
) |
|
|
CLP |
|
|
184,389,555 |
|
|
|
USD |
|
|
|
283,371 |
|
|
|
282,228 |
|
|
|
08/06/18 |
|
|
|
(1,143 |
) |
|
|
COP |
|
|
296,436,768 |
|
|
|
USD |
|
|
|
101,316 |
|
|
|
101,029 |
|
|
|
07/23/18 |
|
|
|
(288 |
) |
|
|
COP |
|
|
1,356,199,480 |
|
|
|
USD |
|
|
|
463,975 |
|
|
|
462,153 |
|
|
|
07/26/18 |
|
|
|
(1,822 |
) |
|
|
COP |
|
|
4,681,656,878 |
|
|
|
USD |
|
|
|
1,597,944 |
|
|
|
1,593,450 |
|
|
|
08/22/18 |
|
|
|
(4,494 |
) |
|
|
EUR |
|
|
1,960,388 |
|
|
|
USD |
|
|
|
2,317,786 |
|
|
|
2,303,316 |
|
|
|
09/19/18 |
|
|
|
(14,469 |
) |
|
|
GBP |
|
|
1,445,048 |
|
|
|
EUR |
|
|
|
1,638,554 |
|
|
|
1,913,964 |
|
|
|
09/19/18 |
|
|
|
(11,217 |
) |
|
|
GBP |
|
|
6,796,905 |
|
|
|
USD |
|
|
|
9,071,274 |
|
|
|
9,002,495 |
|
|
|
09/19/18 |
|
|
|
(68,779 |
) |
|
|
HKD |
|
|
27,551,253 |
|
|
|
USD |
|
|
|
3,523,478 |
|
|
|
3,516,441 |
|
|
|
09/19/18 |
|
|
|
(7,037 |
) |
|
|
HUF |
|
|
1,247,901,485 |
|
|
|
EUR |
|
|
|
3,862,777 |
|
|
|
4,446,297 |
|
|
|
09/19/18 |
|
|
|
(92,192 |
) |
|
|
IDR |
|
|
25,282,076,881 |
|
|
|
USD |
|
|
|
1,775,676 |
|
|
|
1,766,054 |
|
|
|
07/02/18 |
|
|
|
(9,622 |
) |
|
|
IDR |
|
|
45,810,163,708 |
|
|
|
USD |
|
|
|
3,235,317 |
|
|
|
3,193,522 |
|
|
|
07/27/18 |
|
|
|
(41,796 |
) |
|
|
IDR |
|
|
30,631,927,819 |
|
|
|
USD |
|
|
|
2,161,745 |
|
|
|
2,127,242 |
|
|
|
08/16/18 |
|
|
|
(34,503 |
) |
|
|
INR |
|
|
60,615,000 |
|
|
|
USD |
|
|
|
888,979 |
|
|
|
884,116 |
|
|
|
07/11/18 |
|
|
|
(4,862 |
) |
|
|
INR |
|
|
45,201,444 |
|
|
|
USD |
|
|
|
661,299 |
|
|
|
658,529 |
|
|
|
07/19/18 |
|
|
|
(2,769 |
) |
|
|
JPY |
|
|
36,184,956 |
|
|
|
EUR |
|
|
|
280,047 |
|
|
|
328,677 |
|
|
|
09/19/18 |
|
|
|
(358 |
) |
|
|
JPY |
|
|
807,775,760 |
|
|
|
USD |
|
|
|
7,369,027 |
|
|
|
7,337,227 |
|
|
|
09/19/18 |
|
|
|
(31,798 |
) |
|
|
KRW |
|
|
1,460,479,324 |
|
|
|
USD |
|
|
|
1,332,301 |
|
|
|
1,311,614 |
|
|
|
07/09/18 |
|
|
|
(20,688 |
) |
|
|
KRW |
|
|
1,149,562,582 |
|
|
|
USD |
|
|
|
1,033,733 |
|
|
|
1,033,008 |
|
|
|
08/03/18 |
|
|
|
(725 |
) |
|
|
MXN |
|
|
5,674,854 |
|
|
|
USD |
|
|
|
283,371 |
|
|
|
282,146 |
|
|
|
09/19/18 |
|
|
|
(1,225 |
) |
|
|
NOK |
|
|
13,803,292 |
|
|
|
EUR |
|
|
|
1,452,770 |
|
|
|
1,700,284 |
|
|
|
09/19/18 |
|
|
|
(6,616 |
) |
|
|
NOK |
|
|
2,668,523 |
|
|
|
USD |
|
|
|
328,907 |
|
|
|
328,708 |
|
|
|
09/19/18 |
|
|
|
(199 |
) |
|
|
NZD |
|
|
2,387,468 |
|
|
|
AUD |
|
|
|
2,200,043 |
|
|
|
1,617,163 |
|
|
|
09/19/18 |
|
|
|
(11,380 |
) |
|
|
NZD |
|
|
10,194,110 |
|
|
|
USD |
|
|
|
7,147,659 |
|
|
|
6,905,032 |
|
|
|
09/19/18 |
|
|
|
(242,627 |
) |
|
|
PLN |
|
|
11,206,035 |
|
|
|
EUR |
|
|
|
2,606,408 |
|
|
|
2,995,619 |
|
|
|
09/19/18 |
|
|
|
(66,725 |
) |
|
|
PLN |
|
|
6,843,729 |
|
|
|
USD |
|
|
|
1,888,733 |
|
|
|
1,829,479 |
|
|
|
09/19/18 |
|
|
|
(59,254 |
) |
|
|
RUB |
|
|
23,997,941 |
|
|
|
USD |
|
|
|
380,784 |
|
|
|
380,009 |
|
|
|
08/20/18 |
|
|
|
(775 |
) |
|
|
SEK |
|
|
155,283,647 |
|
|
|
EUR |
|
|
|
15,240,844 |
|
|
|
17,444,400 |
|
|
|
09/19/18 |
|
|
|
(462,504 |
) |
|
|
SEK |
|
|
2,873,223 |
|
|
|
USD |
|
|
|
325,377 |
|
|
|
322,775 |
|
|
|
09/19/18 |
|
|
|
(2,603 |
) |
|
|
SGD |
|
|
887,437 |
|
|
|
EUR |
|
|
|
560,012 |
|
|
|
652,459 |
|
|
|
09/19/18 |
|
|
|
(5,515 |
) |
|
|
SGD |
|
|
487,468 |
|
|
|
USD |
|
|
|
359,688 |
|
|
|
358,395 |
|
|
|
09/19/18 |
|
|
|
(1,293 |
) |
|
|
THB |
|
|
10,772,496 |
|
|
|
USD |
|
|
|
336,883 |
|
|
|
325,542 |
|
|
|
08/14/18 |
|
|
|
(11,341 |
) |
|
|
TWD |
|
|
9,763,681 |
|
|
|
USD |
|
|
|
329,854 |
|
|
|
320,789 |
|
|
|
07/09/18 |
|
|
|
(9,066 |
) |
|
|
TWD |
|
|
61,163,532 |
|
|
|
USD |
|
|
|
2,042,595 |
|
|
|
2,011,331 |
|
|
|
07/27/18 |
|
|
|
(31,265 |
) |
GOLDMAN SACHS SHORT DURATION INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION (continued)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Loss |
|
| |
|
| MS & Co. Int. PLC (continued) |
|
USD |
|
|
3,883,721 |
|
|
|
AUD |
|
|
|
5,279,635 |
|
|
$ |
3,908,153 |
|
|
|
09/19/18 |
|
|
$ |
(24,434 |
) |
|
|
USD |
|
|
2,192,913 |
|
|
|
CAD |
|
|
|
2,903,832 |
|
|
|
2,211,852 |
|
|
|
09/19/18 |
|
|
|
(18,939 |
) |
|
|
USD |
|
|
324,123 |
|
|
|
COP |
|
|
|
953,571,072 |
|
|
|
324,949 |
|
|
|
07/26/18 |
|
|
|
(825 |
) |
|
|
USD |
|
|
12,788,375 |
|
|
|
EUR |
|
|
|
10,938,633 |
|
|
|
12,852,112 |
|
|
|
09/19/18 |
|
|
|
(63,738 |
) |
|
|
USD |
|
|
980,470 |
|
|
|
GBP |
|
|
|
742,478 |
|
|
|
983,410 |
|
|
|
09/19/18 |
|
|
|
(2,941 |
) |
|
|
USD |
|
|
229,800 |
|
|
|
HKD |
|
|
|
1,801,494 |
|
|
|
229,930 |
|
|
|
09/19/18 |
|
|
|
(129 |
) |
|
|
USD |
|
|
324,050 |
|
|
|
INR |
|
|
|
22,284,884 |
|
|
|
324,663 |
|
|
|
07/19/18 |
|
|
|
(614 |
) |
|
|
USD |
|
|
1,306,297 |
|
|
|
KRW |
|
|
|
1,460,479,324 |
|
|
|
1,311,614 |
|
|
|
07/09/18 |
|
|
|
(5,317 |
) |
|
|
USD |
|
|
3,715,942 |
|
|
|
KRW |
|
|
|
4,150,268,398 |
|
|
|
3,728,719 |
|
|
|
07/26/18 |
|
|
|
(12,779 |
) |
|
|
USD |
|
|
666,087 |
|
|
|
KRW |
|
|
|
743,991,255 |
|
|
|
668,486 |
|
|
|
07/31/18 |
|
|
|
(2,399 |
) |
|
|
USD |
|
|
719,738 |
|
|
|
MXN |
|
|
|
14,916,926 |
|
|
|
743,994 |
|
|
|
08/28/18 |
|
|
|
(24,256 |
) |
|
|
USD |
|
|
1,616,971 |
|
|
|
MXN |
|
|
|
33,870,942 |
|
|
|
1,684,018 |
|
|
|
09/19/18 |
|
|
|
(67,048 |
) |
|
|
USD |
|
|
466,916 |
|
|
|
NZD |
|
|
|
691,109 |
|
|
|
468,126 |
|
|
|
09/19/18 |
|
|
|
(1,210 |
) |
|
|
USD |
|
|
1,307,887 |
|
|
|
RUB |
|
|
|
83,490,621 |
|
|
|
1,322,079 |
|
|
|
08/20/18 |
|
|
|
(14,192 |
) |
|
|
USD |
|
|
1,046,671 |
|
|
|
TRY |
|
|
|
5,118,904 |
|
|
|
1,076,719 |
|
|
|
09/19/18 |
|
|
|
(30,049 |
) |
|
|
USD |
|
|
323,946 |
|
|
|
TWD |
|
|
|
9,868,032 |
|
|
|
324,505 |
|
|
|
07/27/18 |
|
|
|
(559 |
) |
|
|
USD |
|
|
796,229 |
|
|
|
ZAR |
|
|
|
11,118,272 |
|
|
|
802,072 |
|
|
|
09/19/18 |
|
|
|
(5,841 |
) |
|
|
ZAR |
|
|
72,090,148 |
|
|
|
USD |
|
|
|
5,371,139 |
|
|
|
5,200,578 |
|
|
|
09/19/18 |
|
|
|
(170,560 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(3,222,891 |
) |
| |
|
FUTURES CONTRACTS – At June 30, 2018, the Fund had the following futures contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Number of Contracts |
|
Expiration Date |
|
Notional
Amount |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Long position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
| Australian 10 Year Government Bonds |
|
159 |
|
09/17/18 |
|
$ |
13,101,565 |
|
|
$ |
29,566 |
|
| Eurodollars |
|
101 |
|
09/16/19 |
|
|
24,512,700 |
|
|
|
(312,071 |
) |
| Short Euro-BTP |
|
22 |
|
09/06/18 |
|
|
2,843,289 |
|
|
|
4,625 |
|
| 2 Year U.S. Treasury Notes |
|
135 |
|
09/28/18 |
|
|
28,596,797 |
|
|
|
(19,905 |
) |
| 5 Year U.S. Treasury Notes |
|
1,360 |
|
09/28/18 |
|
|
154,519,376 |
|
|
|
551,086 |
|
| 10 Year German Euro-Bund |
|
20 |
|
09/06/18 |
|
|
3,796,518 |
|
|
|
16,516 |
|
| 20 Year U.S. Treasury Bonds |
|
11 |
|
09/19/18 |
|
|
1,755,188 |
|
|
|
17,541 |
|
| |
|
| Total |
|
|
|
|
|
|
|
|
|
$ |
287,358 |
|
| |
|
| Short position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
| Eurodollars |
|
(115) |
|
06/17/19 |
|
|
(27,929,188 |
) |
|
|
290,280 |
|
| Eurodollars |
|
(146) |
|
06/15/20 |
|
|
(35,412,300 |
) |
|
|
305,950 |
|
| Eurodollars |
|
(81) |
|
03/16/20 |
|
|
(19,646,550 |
) |
|
|
200,700 |
|
| Eurodollars |
|
(210) |
|
09/14/20 |
|
|
(50,938,125 |
) |
|
|
462,253 |
|
| Eurodollars |
|
(485) |
|
12/14/20 |
|
|
(117,636,750 |
) |
|
|
456,066 |
|
| Eurodollars |
|
(65) |
|
12/13/21 |
|
|
(15,766,562 |
) |
|
|
101,412 |
|
| Eurodollars |
|
(210) |
|
03/15/21 |
|
|
(50,940,750 |
) |
|
|
414,990 |
|
| Eurodollars |
|
(65) |
|
06/14/21 |
|
|
(15,768,187 |
) |
|
|
111,975 |
|
| Eurodollars |
|
(65) |
|
09/13/21 |
|
|
(15,768,188 |
) |
|
|
106,287 |
|
| French 10 Year Government Bonds |
|
(22) |
|
09/06/18 |
|
|
(3,970,380 |
) |
|
|
(17,727 |
) |
| Ultra 10 Year U.S. Treasury Notes |
|
(5) |
|
09/19/18 |
|
|
(641,172 |
) |
|
|
(6,683 |
) |
| 3 Month Euro Euribor |
|
(120) |
|
12/16/19 |
|
|
(35,079,545 |
) |
|
|
(8,913 |
) |
| 10 Year U.S. Treasury Notes |
|
(78) |
|
09/19/18 |
|
|
(9,374,625 |
) |
|
|
(58,616 |
) |
| 20 Year U.S. Treasury Bonds |
|
(73) |
|
09/19/18 |
|
|
(10,585,000 |
) |
|
|
(156,226 |
) |
| |
|
| Total |
|
|
|
|
|
|
|
|
|
$ |
2,201,748 |
|
| |
|
| TOTAL FUTURES CONTRACTS |
|
|
|
|
|
|
|
|
|
$ |
2,489,106 |
|
| |
|
GOLDMAN SACHS SHORT DURATION INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION (continued)
SWAP CONTRACTS – At June 30, 2018, the Fund had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Payments Made by
the Fund |
|
Payments Received by Fund |
|
Termination
Date |
|
|
Notional
Amount
(000s) |
|
|
Value |
|
|
Upfront
Premium
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| 3M STIBOR(a) |
|
0.330%(b) |
|
|
09/15/18 |
|
|
SEK |
|
|
87,960 |
|
|
$ |
(22,684 |
) |
|
$ |
(14 |
) |
|
$ |
(22,670 |
) |
| Mexico IB TIIE 28D(c) |
|
7.600 |
|
|
06/17/20 |
|
|
MXN |
|
|
20,000 |
|
|
|
(9,648 |
) |
|
|
(863 |
) |
|
|
(8,785 |
) |
| 6M EURO(a) |
|
0.100(b) |
|
|
09/19/20 |
|
|
EUR |
|
|
18,240 |
(d) |
|
|
124,551 |
|
|
|
86,858 |
|
|
|
37,693 |
|
| 6M GBP(e) |
|
1.000 |
|
|
09/19/20 |
|
|
GBP |
|
|
12,800 |
(d) |
|
|
(29,439 |
) |
|
|
(27,970 |
) |
|
|
(1,469 |
) |
| 3M NIBOR(a) |
|
1.450(b) |
|
|
09/19/20 |
|
|
NOK |
|
|
65,260 |
(d) |
|
|
1,477 |
|
|
|
4,305 |
|
|
|
(2,828 |
) |
| 3M NIBOR(e) |
|
1.600(b) |
|
|
09/19/20 |
|
|
|
|
|
61,910 |
(d) |
|
|
11,299 |
|
|
|
11,163 |
|
|
|
136 |
|
| 6M CDOR(e) |
|
2.000 |
|
|
09/19/20 |
|
|
CAD |
|
|
12,080 |
(d) |
|
|
(62,503 |
) |
|
|
(69,956 |
) |
|
|
7,453 |
|
| 0.100%(b) |
|
3M STIBOR(a) |
|
|
09/19/20 |
|
|
SEK |
|
|
231,780 |
(d) |
|
|
(97,256 |
) |
|
|
(61,413 |
) |
|
|
(35,843 |
) |
| 3M JIBAR(a) |
|
7.500 |
|
|
09/19/20 |
|
|
ZAR |
|
|
10,600 |
(d) |
|
|
1,499 |
|
|
|
837 |
|
|
|
662 |
|
| 0.100(b) |
|
6M EURO(e) |
|
|
10/15/20 |
|
|
EUR |
|
|
2,430 |
(d) |
|
|
(13,802 |
) |
|
|
(13,393 |
) |
|
|
(409 |
) |
| 3M LIBOR(a) |
|
2.139(e) |
|
|
11/20/20 |
|
|
$ |
|
|
34,530 |
(d) |
|
|
(508,295 |
) |
|
|
(63,322 |
) |
|
|
(444,973 |
) |
| 6M EURO(e) |
|
0.350(b) |
|
|
12/16/21 |
|
|
EUR |
|
|
35,380 |
(d) |
|
|
111,080 |
|
|
|
(98,686 |
) |
|
|
209,766 |
|
| 0.500(b) |
|
3M STIBOR(a) |
|
|
12/16/21 |
|
|
SEK |
|
|
280,990 |
(d) |
|
|
(53,602 |
) |
|
|
156,272 |
|
|
|
(209,874 |
) |
| 0.500(b) |
|
3M STIBOR(a) |
|
|
09/19/22 |
|
|
|
|
|
103,330 |
(d) |
|
|
(87,730 |
) |
|
|
(23,270 |
) |
|
|
(64,460 |
) |
| 2.500(b) |
|
6M WIBOR(e) |
|
|
03/21/23 |
|
|
PLN |
|
|
17,510 |
(d) |
|
|
(40,195 |
) |
|
|
10,950 |
|
|
|
(51,145 |
) |
| 6M EURO(e) |
|
0.750(b) |
|
|
06/15/23 |
|
|
EUR |
|
|
9,640 |
(d) |
|
|
72,009 |
|
|
|
(45,042 |
) |
|
|
117,051 |
|
| 6M EURO(e) |
|
0.500(b) |
|
|
09/19/23 |
|
|
|
|
|
22,160 |
(d) |
|
|
238,889 |
|
|
|
67,042 |
|
|
|
171,847 |
|
| 3M LIBOR(a) |
|
2.250(e) |
|
|
09/19/23 |
|
|
$ |
|
|
25,420 |
(d) |
|
|
(780,389 |
) |
|
|
(851,131 |
) |
|
|
70,742 |
|
| 2.750(e) |
|
3M NZDOR(a) |
|
|
09/19/23 |
|
|
NZD |
|
|
4,710 |
(d) |
|
|
(25,521 |
) |
|
|
7,466 |
|
|
|
(32,987 |
) |
| 0.750(b) |
|
3M STIBOR(a) |
|
|
09/19/23 |
|
|
SEK |
|
|
271,230 |
(d) |
|
|
(389,078 |
) |
|
|
(206,659 |
) |
|
|
(182,419 |
) |
| 2.250(e) |
|
6M CDOR |
|
|
09/19/23 |
|
|
CAD |
|
|
830 |
(d) |
|
|
7,036 |
|
|
|
6,603 |
|
|
|
433 |
|
| 0.500(b) |
|
6M EURO(e) |
|
|
09/19/23 |
|
|
EUR |
|
|
870 |
(d) |
|
|
(9,379 |
) |
|
|
(2,654 |
) |
|
|
(6,725 |
) |
| 1.250(e) |
|
6M GBP |
|
|
09/19/23 |
|
|
GBP |
|
|
18,730 |
(d) |
|
|
115,878 |
|
|
|
127,707 |
|
|
|
(11,829 |
) |
| 2.275(e) |
|
3M LIBOR(a) |
|
|
11/20/23 |
|
|
$ |
|
|
14,440 |
(d) |
|
|
435,286 |
|
|
|
29,546 |
|
|
|
405,740 |
|
| 6M GBP(e) |
|
1.200 |
|
|
11/21/23 |
|
|
GBP |
|
|
5,210 |
(d) |
|
|
(57,939 |
) |
|
|
(332,318 |
) |
|
|
274,379 |
|
| 2.882(e) |
|
3M LIBOR(a) |
|
|
02/28/25 |
|
|
$ |
|
|
6,040 |
(d) |
|
|
2,347 |
|
|
|
12,364 |
|
|
|
(10,017 |
) |
| 2.200(b) |
|
3M STIBOR(a) |
|
|
11/02/27 |
|
|
SEK |
|
|
32,540 |
(d) |
|
|
(43,964 |
) |
|
|
1,666 |
|
|
|
(45,630 |
) |
| 3M LIBOR(a) |
|
2.750(e) |
|
|
12/21/27 |
|
|
$ |
|
|
8,210 |
(d) |
|
|
(73,658 |
) |
|
|
(120,459 |
) |
|
|
46,801 |
|
| 2.250(b) |
|
3M STIBOR(a) |
|
|
12/21/27 |
|
|
SEK |
|
|
39,690 |
(d) |
|
|
(100,141 |
) |
|
|
(82,459 |
) |
|
|
(17,682 |
) |
| 3.500(e) |
|
6M AUDOR |
|
|
12/21/27 |
|
|
AUD |
|
|
3,150 |
(d) |
|
|
(34,772 |
) |
|
|
(94,778 |
) |
|
|
60,006 |
|
| 6M CHFOR(e) |
|
1.000(b) |
|
|
06/21/28 |
|
|
CHF |
|
|
2,200 |
(d) |
|
|
8,543 |
|
|
|
(11,084 |
) |
|
|
19,627 |
|
| 4.000(e) |
|
3M NZDOR(b) |
|
|
06/21/28 |
|
|
NZD |
|
|
2,790 |
(d) |
|
|
(33,236 |
) |
|
|
320 |
|
|
|
(33,556 |
) |
| 1.500(b) |
|
6M EURO(e) |
|
|
06/21/28 |
|
|
EUR |
|
|
2,060 |
(d) |
|
|
(267 |
) |
|
|
16,554 |
|
|
|
(16,821 |
) |
| 6M CDOR(e) |
|
2.250 |
|
|
09/19/28 |
|
|
CAD |
|
|
4,390 |
(d) |
|
|
(98,879 |
) |
|
|
(138,854 |
) |
|
|
39,975 |
|
| 6M AUDOR(e) |
|
2.750 |
|
|
09/19/28 |
|
|
AUD |
|
|
3,850 |
(d) |
|
|
(23,543 |
) |
|
|
(67,312 |
) |
|
|
43,769 |
|
| 2.500(e) |
|
3M LIBOR(a) |
|
|
09/19/28 |
|
|
$ |
|
|
390 |
(d) |
|
|
15,204 |
|
|
|
19,244 |
|
|
|
(4,040 |
) |
| 3.250(e) |
|
3M NZDOR(a) |
|
|
09/19/28 |
|
|
NZD |
|
|
4,230 |
(d) |
|
|
(49,395 |
) |
|
|
1,496 |
|
|
|
(50,891 |
) |
| 1.250(b) |
|
3M STIBOR(a) |
|
|
09/19/28 |
|
|
SEK |
|
|
18,010 |
(d) |
|
|
(14,112 |
) |
|
|
20,669 |
|
|
|
(34,781 |
) |
| 1.500(e) |
|
6M GBP |
|
|
09/19/28 |
|
|
GBP |
|
|
1,490 |
(d) |
|
|
9,260 |
|
|
|
15,349 |
|
|
|
(6,089 |
) |
| 1.400(e) |
|
6M GBP |
|
|
11/21/28 |
|
|
|
|
|
3,150 |
(d) |
|
|
65,512 |
|
|
|
(197,748 |
) |
|
|
263,260 |
|
| 3M LIBOR(a) |
|
2.750(e) |
|
|
06/16/37 |
|
|
$ |
|
|
1,720 |
(d) |
|
|
(33,148 |
) |
|
|
(46,138 |
) |
|
|
12,990 |
|
| 1.750(e) |
|
6M GBP |
|
|
12/14/37 |
|
|
GBP |
|
|
6,780 |
(d) |
|
|
32,870 |
|
|
|
18,553 |
|
|
|
14,317 |
|
| 1.250(e) |
|
6M JYOR |
|
|
06/14/38 |
|
|
JPY |
|
|
53,100 |
(d) |
|
|
(8,908 |
) |
|
|
(3,999 |
) |
|
|
(4,909 |
) |
| 1.500(e) |
|
6M EURO |
|
|
09/19/38 |
|
|
EUR |
|
|
1,850 |
(d) |
|
|
(36,111 |
) |
|
|
(10,328 |
) |
|
|
(25,783 |
) |
| 3M LIBOR(b) |
|
2.500(e) |
|
|
06/17/47 |
|
|
$ |
|
|
1,150 |
(d) |
|
|
(22,444 |
) |
|
|
(30,394 |
) |
|
|
7,950 |
|
| 3M LIBOR(a) |
|
3.000(e) |
|
|
06/15/48 |
|
|
|
|
|
14,030 |
(d) |
|
|
104,722 |
|
|
|
978 |
|
|
|
103,744 |
|
| 1.500(e) |
|
6M JYOR |
|
|
06/16/48 |
|
|
JPY |
|
|
53,330 |
(d) |
|
|
(11,290 |
) |
|
|
(10,930 |
) |
|
|
(360 |
) |
| 1.500(b) |
|
6M EURO(e) |
|
|
09/19/48 |
|
|
EUR |
|
|
1,370 |
(d) |
|
|
(14,212 |
) |
|
|
22,718 |
|
|
|
(36,930 |
) |
| 1.000(e) |
|
6M JYOR |
|
|
09/19/48 |
|
|
JPY |
|
|
338,680 |
(d) |
|
|
(131,091 |
) |
|
|
(104,639 |
) |
|
|
(26,452 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,559,169 |
) |
|
$ |
(2,077,153 |
) |
|
$ |
517,984 |
|
| |
|
|
|
|
| (a) |
|
Payments made quarterly. |
| (b) |
|
Payments made annually. |
| (c) |
|
Payments made monthly. |
| (d) |
|
Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2018. |
| (e) |
|
Payments made semi-annually. |
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACT
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Referenced
Obligation/Index |
|
Financing Rate
Received/(Paid) by the Fund |
|
Credit Spread
at June 30,
2018(a) |
|
Termination Date |
|
Notional
Amount
(000s) |
|
|
Value |
|
|
Upfront
Premiums
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Protection Purchased: |
|
| CDX.NA.HY Index 30(b) |
|
5.000 |
|
1.000% |
|
06/20/23 |
|
$ |
780 |
|
|
$ |
(47,049 |
) |
|
$ |
(52,186 |
) |
|
$ |
5,137 |
|
| |
|
| (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 or its counterparty 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. |
| (b) |
|
Payments made quarterly. |
GOLDMAN SACHS SHORT DURATION INCOME FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION (continued)
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At June 30, 2018, the Fund had the following purchased and written options:
OVER-THE-COUNTER INTEREST RATE SWAPTIONS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Counterparty |
|
Exercise
Rate |
|
|
Expiration
Date |
|
|
Number of Contracts |
|
Notional
Amount |
|
|
Value |
|
|
Premiums
Paid
(Received)
by
Portfolio |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Purchased option contracts |
|
| Calls |
|
| 1Y IRS |
|
MS & Co. Int. PLC |
|
|
2.45 |
% |
|
|
05/01/20 |
|
|
10,000,000 |
|
|
10,000,000 |
|
|
$ |
36,500 |
|
|
$ |
29,304 |
|
|
$ |
7,196 |
|
| 2Y IRS |
|
Citibank NA |
|
|
2.25 |
|
|
|
03/30/20 |
|
|
9,100,000 |
|
|
9,100,000 |
|
|
|
23,725 |
|
|
|
31,500 |
|
|
|
(7,775 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
60,225 |
|
|
$ |
60,804 |
|
|
$ |
(579 |
) |
| |
|
| Puts |
|
| 1Y IRS |
|
Citibank NA |
|
|
2.75 |
|
|
|
02/13/19 |
|
|
2,300,000 |
|
|
2,300,000 |
|
|
|
22,787 |
|
|
|
40,250 |
|
|
|
(17,463 |
) |
| 1Y IRS |
|
JPMorgan Securities, Inc. |
|
|
2.75 |
|
|
|
03/06/19 |
|
|
2,300,000 |
|
|
2,300,000 |
|
|
|
24,410 |
|
|
|
38,333 |
|
|
|
(13,923 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
47,197 |
|
|
$ |
78,583 |
|
|
$ |
(31,386 |
) |
| |
|
| Total Purchased option contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
107,422 |
|
|
$ |
139,387 |
|
|
$ |
(31,965 |
) |
| |
|
| Written option contracts |
|
| Calls |
|
| 1Y IRS |
|
MS & Co. Int. PLC |
|
|
2.49 |
|
|
|
05/01/20 |
|
|
(2,200,000) |
|
|
(2,200,000 |
) |
|
|
(33,796 |
) |
|
|
(29,333 |
) |
|
|
(4,463 |
) |
| 2Y IRS |
|
Citibank NA |
|
|
2.34 |
|
|
|
03/30/20 |
|
|
(2,000,000) |
|
|
(2,000,000 |
) |
|
|
(22,870 |
) |
|
|
(31,500 |
) |
|
|
8,630 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(56,666 |
) |
|
$ |
(60,833 |
) |
|
$ |
4,167 |
|
| |
|
| Puts |
|
| 1Y IRS |
|
Citibank NA |
|
|
2.80 |
|
|
|
02/13/19 |
|
|
(1,000,000) |
|
|
(1,000,000 |
) |
|
|
(26,422 |
) |
|
|
(39,375 |
) |
|
|
12,953 |
|
| 1Y IRS |
|
JPMorgan Securities, Inc. |
|
|
2.79 |
|
|
|
03/06/19 |
|
|
(1,000,000) |
|
|
(1,000,000 |
) |
|
|
(27,624 |
) |
|
|
(37,500 |
) |
|
|
9,876 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(54,046 |
) |
|
$ |
(76,875 |
) |
|
$ |
22,829 |
|
| |
|
| Total Written option contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(110,712 |
) |
|
$ |
(137,708 |
) |
|
$ |
26,996 |
|
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(3,290 |
) |
|
$ |
1,679 |
|
|
$ |
(4,969 |
) |
| |
|
|
|
|
| |
| Abbreviations: |
| 1Y IRS |
|
— 1 Year Interest Rate Swaptions |
| 2Y IRS |
|
— 1 Year Interest Rate Swaptions |
| CDX.NA.HY Index 30 |
|
— CDX North America High Yield Index 30 |
| Mexico IB TIIE 28D |
|
— Mexico Interbank TIIE 28 Days |
| MS & Co. Int. PLC |
|
— Morgan Stanley & Co. International PLC |
| |
GOLDMAN SACHS SHORT-TERM CONSERVATIVE INCOME FUND
Schedule of Investments
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Corporate Obligations – 40.6% |
| Aerospace & Defense(a) –
0.3% |
| General Dynamics Corp.(3M USD LIBOR + 0.380%) |
| $ |
|
|
5,000,000 |
|
|
|
2.736 |
% |
|
05/11/21 |
|
$ 5,017,414 |
| |
| Agriculture – 1.2% |
| BAT Capital Corp.(a)(b)(3M USD LIBOR
+ 0.590%) |
|
|
|
13,400,000 |
|
|
|
2.945 |
|
|
08/14/20 |
|
13,444,666 |
| Philip Morris International, Inc. |
|
|
|
5,500,000 |
|
|
|
1.875 |
|
|
11/01/19 |
|
5,428,928 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,873,594 |
| |
| Automotive(a)(b) –
2.1% |
| BMW US Capital LLC(3M USD LIBOR + 0.410%) |
|
|
|
15,000,000 |
|
|
|
2.749 |
|
|
04/12/21 |
|
15,050,714 |
| Daimler Finance North America LLC(3M USD LIBOR + 0.550%) |
|
|
|
13,000,000 |
|
|
|
2.913 |
|
|
05/04/21 |
|
13,032,684 |
| Harley-Davidson Financial Services, Inc.(3M USD LIBOR + 0.500%) |
|
|
|
5,000,000 |
|
|
|
2.831 |
|
|
05/21/20 |
|
5,010,387 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33,093,785 |
| |
| Banks – 26.0% |
| ABN AMRO Bank
NV(b) |
|
|
|
15,857,000 |
|
|
|
2.500 |
|
|
10/30/18 |
|
15,853,559 |
| (3M USD LIBOR + 0.640%) |
|
|
|
5,000,000 |
|
|
|
2.995 |
(a) |
|
01/18/19 |
|
5,013,450 |
| Australia & New Zealand Banking Group Ltd.(a)(b) |
| (3M USD LIBOR + 0.660%) |
|
|
|
5,000,000 |
|
|
|
2.995 |
|
|
09/23/19 |
|
5,024,596 |
| (3M USD LIBOR + 0.460%) |
|
|
|
15,000,000 |
|
|
|
2.781 |
|
|
05/17/21 |
|
14,975,100 |
| Banque Federative du Credit Mutuel
SA(b) |
|
|
|
4,200,000 |
|
|
|
2.750 |
|
|
01/22/19 |
|
4,198,198 |
| (3M USD LIBOR + 0.490%) |
|
|
|
13,000,000 |
|
|
|
2.849 |
(a) |
|
07/20/20 |
|
13,044,062 |
| Barclays Bank PLC(a)(3M USD LIBOR
+ 0.550%) |
|
|
|
8,000,000 |
|
|
|
2.913 |
|
|
08/07/19 |
|
8,023,506 |
| BNZ International Funding
Ltd.(a)(b)(3M USD LIBOR + 0.700%) |
|
|
|
6,450,000 |
|
|
|
3.031 |
|
|
02/21/20 |
|
6,484,927 |
| BPCE SA |
|
|
|
7,000,000 |
|
|
|
2.500 |
|
|
12/10/18 |
|
6,996,088 |
| Capital One Financial Corp.(a)(c)(3M
USD LIBOR + 0.760%) |
|
|
|
3,190,000 |
|
|
|
3.115 |
|
|
05/12/20 |
|
3,203,397 |
| Capital One NA(a)(c)(3M USD LIBOR
+ 0.765%) |
|
|
|
5,075,000 |
|
|
|
3.098 |
|
|
09/13/19 |
|
5,102,351 |
| Citizens Bank NA/Providence RI(a)(3M
USD LIBOR + 0.570%) |
|
|
|
5,000,000 |
|
|
|
2.889 |
|
|
05/26/20 |
|
5,013,868 |
| Commonwealth Bank of
Australia(a)(b)(3M USD LIBOR + 0.400%) |
|
|
|
12,500,000 |
|
|
|
2.735 |
|
|
09/18/20 |
|
12,524,325 |
| Credit Agricole
SA(b) |
|
|
|
2,200,000 |
|
|
|
2.625 |
|
|
10/03/18 |
|
2,200,307 |
| (3M USD LIBOR + 0.800%) |
|
|
|
8,462,000 |
|
|
|
3.148 |
(a) |
|
04/15/19 |
|
8,500,318 |
| Credit Suisse AG |
|
|
|
3,000,000 |
|
|
|
2.300 |
|
|
05/28/19 |
|
2,985,581 |
| DBS Group Holdings Ltd.(a)(b)(3M USD
LIBOR + 0.490%) |
|
|
|
10,000,000 |
|
|
|
2.811 |
|
|
06/08/20 |
|
10,018,967 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Corporate Obligations – (continued) |
| Banks – (continued) |
| Dexia Credit Local SA(a)(b)(3M USD
LIBOR + 0.500%) |
| $ |
|
|
10,000,000 |
|
|
|
2.843 |
% |
|
02/15/19 |
|
$ 10,028,283 |
| DNB Bank ASA(a)(b)(3M USD LIBOR +
0.370%) |
|
|
|
10,000,000 |
|
|
|
2.707 |
|
|
10/02/20 |
|
10,017,379 |
| HSBC Holdings PLC(a)(c)(3M USD LIBOR
+ 0.600%) |
|
|
|
18,000,000 |
|
|
|
2.926 |
|
|
05/18/21 |
|
18,026,226 |
| HSBC USA, Inc.(a)(3M USD LIBOR +
0.880%) |
|
|
|
2,610,000 |
|
|
|
3.215 |
|
|
09/24/18 |
|
2,614,628 |
| ING Bank NV(b) |
|
|
|
3,000,000 |
|
|
|
2.050 |
|
|
08/17/18 |
|
2,998,160 |
|
|
|
1,400,000 |
|
|
|
2.000 |
|
|
11/26/18 |
|
1,396,314 |
|
|
|
5,625,000 |
|
|
|
2.300 |
|
|
03/22/19 |
|
5,603,341 |
| (3M USD LIBOR + 0.610%) |
|
|
|
3,250,000 |
|
|
|
2.953 |
(a) |
|
08/15/19 |
|
3,262,321 |
| JPMorgan Chase Bank NA(a)(c)(3M USD
LIBOR + 0.250%) |
|
|
|
10,000,000 |
|
|
|
2.605 |
|
|
02/13/20 |
|
9,997,388 |
| Lloyds Bank PLC(a)(3M USD LIBOR +
0.490%) |
|
|
|
16,685,000 |
|
|
|
2.853 |
|
|
05/07/21 |
|
16,708,581 |
| Macquarie Bank
Ltd.(b) |
|
|
|
1,380,000 |
|
|
|
2.350 |
|
|
01/15/19 |
|
1,376,588 |
| (3M USD LIBOR + 1.180%) |
|
|
|
1,100,000 |
|
|
|
3.528 |
(a) |
|
01/15/19 |
|
1,105,673 |
|
|
|
4,500,000 |
|
|
|
1.870 |
|
|
02/28/19 |
|
4,467,586 |
| Morgan Stanley(a)(c)(3M USD LIBOR
+ 0.550%) |
|
|
|
10,000,000 |
|
|
|
2.903 |
|
|
02/10/21 |
|
10,019,588 |
| MUFG Bank Ltd.(b) |
|
|
|
6,000,000 |
|
|
|
2.700 |
|
|
09/09/18 |
|
6,001,527 |
| MUFG Bank Ltd.(b) |
|
|
|
3,815,000 |
|
|
|
2.300 |
|
|
03/10/19 |
|
3,801,234 |
| MUFG Union Bank
NA(c) |
|
|
|
10,000,000 |
|
|
|
2.625 |
|
|
09/26/18 |
|
9,997,743 |
| National Australia Bank Ltd.(a)(b)(3M
USD LIBOR + 0.350%) |
|
|
|
10,000,000 |
|
|
|
2.689 |
|
|
01/12/21 |
|
9,989,646 |
| National Bank of Canada(a)(3M USD
LIBOR + 0.600%) |
|
|
|
4,000,000 |
|
|
|
2.953 |
|
|
01/17/20 |
|
4,019,997 |
| Nordea Bank AB(b) |
|
|
|
4,050,000 |
|
|
|
1.875 |
|
|
09/17/18 |
|
4,044,739 |
| PNC Bank NA(c) |
|
|
|
2,175,000 |
|
|
|
1.700 |
|
|
12/07/18 |
|
2,166,661 |
| Regions Bank(c) |
|
|
|
9,410,000 |
|
|
|
2.250 |
|
|
09/14/18 |
|
9,405,483 |
| Santander UK PLC |
|
|
|
13,500,000 |
|
|
|
3.050 |
|
|
08/23/18 |
|
13,510,921 |
| (3M USD LIBOR + 0.850%) |
|
|
|
1,185,000 |
|
|
|
3.180 |
(a) |
|
08/24/18 |
|
1,186,588 |
| (3M USD LIBOR + 0.620%) |
|
|
|
10,650,000 |
|
|
|
2.920 |
(a) |
|
06/01/21 |
|
10,643,949 |
| Skandinaviska Enskilda Banken
AB(a)(b)(3M USD LIBOR + 0.430%) |
|
|
|
17,600,000 |
|
|
|
2.751 |
|
|
05/17/21 |
|
17,584,318 |
| Societe Generale SA(a)(b)(3M USD LIBOR
+ 1.330%) |
|
|
|
4,000,000 |
|
|
|
3.661 |
|
|
04/08/21 |
|
4,098,128 |
| Standard Chartered
PLC(b) |
|
|
|
8,067,000 |
|
|
|
2.100 |
|
|
08/19/19 |
|
7,957,608 |
| (3M USD LIBOR + 1.130%) |
|
|
|
5,000,000 |
|
|
|
3.461 |
(a) |
|
08/19/19 |
|
5,045,023 |
| Sumitomo Mitsui Trust Bank
Ltd.(b) |
|
|
|
4,595,000 |
|
|
|
2.050 |
|
|
03/06/19 |
|
4,570,230 |
| |
GOLDMAN SACHS SHORT-TERM CONSERVATIVE INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Banks – (continued) |
| (3M USD LIBOR + 0.440%) |
| $ |
|
|
9,300,000 |
|
|
|
2.766 |
%(a) |
|
09/19/19 |
|
$ 9,311,590 |
| (3M USD LIBOR + 0.910%) |
|
|
|
8,967,000 |
|
|
|
3.265 |
(a) |
|
10/18/19 |
|
9,038,827 |
| Swedbank AB(b) |
|
|
|
7,000,000 |
|
|
|
2.375 |
|
|
02/27/19 |
|
6,983,186 |
| The Toronto-Dominion
Bank(a) |
| (3M USD LIBOR + 0.430%) |
|
|
|
4,000,000 |
|
|
|
2.756 |
|
|
09/19/18 |
|
4,003,681 |
| (3M USD LIBOR + 0.300%) |
|
|
|
6,100,000 |
|
|
|
2.700 |
|
|
05/01/20 |
|
6,074,855 |
| UBS AG(a)(b)(c) |
| (3M USD LIBOR + 0.580%) |
|
|
|
9,800,000 |
|
|
|
2.901 |
|
|
06/08/20 |
|
9,826,852 |
| (3M USD LIBOR + 0.480%) |
|
|
|
7,000,000 |
|
|
|
2.780 |
|
|
12/01/20 |
|
7,001,162 |
| Westpac Banking
Corp.(a) |
| (3M USD LIBOR + 0.560%) |
|
|
|
2,274,000 |
|
|
|
2.891 |
|
|
08/19/19 |
|
2,283,977 |
| (3M USD LIBOR + 0.360%) |
|
|
|
5,000,000 |
|
|
|
2.660 |
(b) |
|
09/01/20 |
|
5,006,073 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
400,338,654 |
| |
| Computers – 0.6% |
| International Business Machines Corp. |
|
|
|
9,451,000 |
|
|
|
7.625 |
|
|
10/15/18 |
|
9,585,509 |
| |
| Diversified Financial Services – 2.0% |
| AIG Global Funding(a)(b)(3M USD LIBOR
+ 0.480%) |
|
|
|
13,000,000 |
|
|
|
2.817 |
|
|
07/02/20 |
|
13,007,793 |
| Federation des Caisses Desjardins du
Quebec(a)(b)(3M USD LIBOR + 0.330%) |
|
|
|
13,000,000 |
|
|
|
2.689 |
|
|
10/30/20 |
|
13,000,117 |
| National Rural Utilities Cooperative Finance Corp. |
|
|
|
5,223,000 |
|
|
|
10.375 |
|
|
11/01/18 |
|
5,356,720 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,364,630 |
| |
| Electrical(c) –
0.6% |
| Public Service Electric & Gas Co. |
|
|
|
1,500,000 |
|
|
|
2.000 |
|
|
08/15/19 |
|
1,485,664 |
| Sempra Energy(a)(3M USD LIBOR +
0.500%) |
|
|
|
7,000,000 |
|
|
|
2.848 |
|
|
01/15/21 |
|
7,003,520 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,489,184 |
| |
| Food & Drug Retailing(a) –
0.9% |
| Conagra Brands, Inc.(3M USD LIBOR + 0.500%) |
|
|
|
5,000,000 |
|
|
|
2.831 |
|
|
10/09/20 |
|
4,975,950 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Food & Drug Retailing(a) –
(continued) |
| Mondelez International Holdings Netherlands
BV(b)(3M USD LIBOR + 0.610%) |
| $ |
|
|
9,021,000 |
|
|
|
2.969 |
% |
|
10/28/19 |
|
$ 9,054,939 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,030,889 |
| |
| Insurance – 2.7% |
|
|
|
|
|
|
|
|
|
| Jackson National Life Global
Funding(a)(b)(3M USD LIBOR + 0.300%) |
|
|
|
11,000,000 |
|
|
|
2.666 |
|
|
04/27/20 |
|
11,001,222 |
| Metropolitan Life Global Funding
I(b) |
|
|
|
4,000,000 |
|
|
|
2.300 |
|
|
04/10/19 |
|
3,986,679 |
| (3M USD LIBOR + 0.400%) |
|
|
|
4,000,000 |
|
|
|
2.726 |
(a) |
|
06/12/20 |
|
4,019,901 |
| New York Life Global
Funding(b) |
|
|
|
1,345,000 |
|
|
|
2.150 |
|
|
06/18/19 |
|
1,337,636 |
| Protective Life Global
Funding(b) |
| (3M USD LIBOR + 0.420%) |
|
|
|
5,000,000 |
|
|
|
2.762 |
(a) |
|
03/29/19 |
|
5,007,204 |
|
|
|
7,000,000 |
|
|
|
1.722 |
|
|
04/15/19 |
|
6,937,226 |
| XLIT Ltd. |
|
|
|
9,650,000 |
|
|
|
2.300 |
|
|
12/15/18 |
|
9,611,044 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
41,900,912 |
| |
| Media – 0.1% |
| RELX Capital, Inc. |
|
|
|
1,854,000 |
|
|
|
8.625 |
|
|
01/15/19 |
|
1,909,085 |
| |
| Oil Field Services(b) –
0.3% |
| Schlumberger Holdings Corp. |
|
|
|
4,150,000 |
|
|
|
2.350 |
|
|
12/21/18 |
|
4,141,861 |
| |
| Pharmaceuticals(a) –
2.0% |
| Bayer US Finance II LLC(b)(c)(3M USD
LIBOR + 0.630%) |
|
|
|
20,000,000 |
|
|
|
2.965 |
|
|
06/25/21 |
|
20,028,094 |
| CVS Health Corp.(3M USD LIBOR + 0.720%) |
|
|
|
10,000,000 |
|
|
|
3.047 |
|
|
03/09/21 |
|
10,050,409 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30,078,503 |
| |
| Pipeline(a) – 0.7% |
|
|
|
|
|
|
|
|
|
| Spectra Energy Partners LP(3M USD LIBOR + 0.700%) |
|
|
|
10,000,000 |
|
|
|
3.018 |
|
|
06/05/20 |
|
10,049,451 |
| |
| Retailing(a)(b)(c) –
0.6% |
| Alimentation Couche-Tard, Inc.(3M USD LIBOR + 0.500%) |
|
|
|
9,000,000 |
|
|
|
2.833 |
|
|
12/13/19 |
|
9,007,030 |
| |
| Telecommunication Services(a) –
0.5% |
| AT&T, Inc.(3M USD LIBOR + 0.930%) |
|
|
|
7,960,000 |
|
|
|
3.264 |
|
|
06/30/20 |
|
8,048,932 |
| |
TOTAL CORPORATE OBLIGATIONS
(Cost $626,055,030) |
|
$ 625,929,433 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Municipal Debt
Obligation(a)(b)(d) – 1.5% |
| Ohio – 1.5% |
|
|
|
|
|
|
|
|
|
| JPMorgan Chase Putters/Drivers Trust RB Series T0012 |
| $ |
|
|
22,500,000 |
|
|
|
2.050 |
% |
|
01/02/19 |
|
$ 22,500,000 |
| (Cost $22,500,000) |
|
|
|
|
|
|
|
|
|
| |
GOLDMAN SACHS SHORT-TERM CONSERVATIVE INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
| Shares |
|
Distribution
Rate |
|
|
Value |
| Investment
Company(e) – 3.6% |
| Goldman Sachs Financial Square Government Fund - Institutional Shares |
| 55,010,258 |
|
|
1.869 |
% |
|
$ 55,010,258 |
| (Cost $55,010,258) |
|
|
|
| |
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost $703,565,288) |
|
|
$ 703,439,691 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Short-term Investments – 54.7% |
| Certificates of Deposit – 21.2% |
| Banco Del Estado De
Chile(a) |
| $ |
|
|
12,000,000 |
|
|
|
2.433 |
% |
|
11/15/18 |
|
$ 12,000,381 |
| Bank of
Montreal(a) |
| (1M USD LIBOR + 0.240%) |
|
|
|
5,000,000 |
|
|
|
2.325 |
|
|
10/17/18 |
|
5,001,295 |
| (3M USD LIBOR + 0.330%) |
|
|
|
6,000,000 |
|
|
|
2.667 |
|
|
07/11/19 |
|
6,008,440 |
| Bank of Nova Scotia |
|
|
|
9,000,000 |
|
|
|
22.000 |
|
|
12/30/19 |
|
8,990,595 |
| Barclays Bank
PLC(a) |
|
|
|
7,000,000 |
|
|
|
2.579 |
|
|
02/22/19 |
|
7,002,636 |
| Bayerische Landesbank |
|
|
|
2,600,000 |
|
|
|
0.000 |
(f) |
|
08/13/18 |
|
2,593,023 |
|
|
|
8,000,000 |
|
|
|
2.339 |
|
|
08/13/18 |
|
7,978,150 |
|
|
|
5,000,000 |
|
|
|
1.000 |
|
|
08/23/18 |
|
4,996,008 |
| (3M USD LIBOR + 0.250%) |
|
|
|
12,000,000 |
|
|
|
2.587 |
|
|
(a)01/11/19 |
|
12,018,002 |
| Can Ast & Can, Ltd.
Jt(f) |
|
|
|
14,000,000 |
|
|
|
0.000 |
|
|
09/06/18 |
|
13,939,706 |
| Canadian Imperial Bank of
Commerce(a) |
| (3M USD LIBOR + 0.330%) |
|
|
|
10,000,000 |
|
|
|
2.667 |
|
|
07/11/19 |
|
10,013,132 |
| (3M USD LIBOR + 0.400%) |
|
|
|
6,000,000 |
|
|
|
2.800 |
|
|
05/02/20 |
|
6,005,701 |
| Cooperatieve Rabobank
UA(a) |
|
|
|
7,250,000 |
|
|
|
2.665 |
|
|
03/24/20 |
|
7,247,541 |
| Credit Agricole Corporate & Investment Bank(a) |
|
|
|
6,530,000 |
|
|
|
2.754 |
|
|
05/11/20 |
|
6,529,367 |
| Credit Suisse New
York(a) |
| (1M USD LIBOR + 0.210%) |
|
|
|
4,000,000 |
|
|
|
2.107 |
|
|
10/16/18 |
|
4,000,386 |
| (1M USD LIBOR + 0.350%) |
|
|
|
4,800,000 |
|
|
|
2.435 |
|
|
01/16/19 |
|
4,801,532 |
| (3M USD LIBOR + 0.340%) |
|
|
|
8,100,000 |
|
|
|
2.678 |
|
|
04/09/19 |
|
8,107,346 |
| DG Bank NY(a) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Short-term Investments – (continued) |
| Certificates of Deposit – (continued) |
| (3M USD LIBOR + 0.370%) |
| $ |
|
|
1,175,000 |
|
|
|
2.701 |
% |
|
08/16/18 |
|
$ 1,175,342 |
| (3M USD LIBOR + 0.450%) |
|
|
|
1,000,000 |
|
|
|
2.803 |
|
|
01/17/19 |
|
1,000,643 |
| DnB NOR Bank ASA |
|
|
|
10,000,000 |
|
|
|
1.560 |
|
|
09/19/18 |
|
9,985,754 |
| First Abu Dhabi Bank
PJSC(f) |
|
|
|
15,000,000 |
|
|
|
0.000 |
|
|
07/05/18 |
|
14,995,130 |
|
|
|
13,000,000 |
|
|
|
0.000 |
|
|
08/02/18 |
|
12,974,192 |
| Landesbank Baden-Wuerttemberg |
|
|
|
7,000,000 |
|
|
|
1.850 |
|
|
11/07/18 |
|
6,986,607 |
| Mizuho Bank
Ltd.(a) |
| (3M USD LIBOR + 0.380%) |
|
|
|
6,500,000 |
|
|
|
2.715 |
|
|
06/25/20 |
|
6,498,734 |
| (3M USD LIBOR + 0.400%) |
|
|
|
9,000,000 |
|
|
|
2.712 |
|
|
10/04/19 |
|
9,011,097 |
| (3M USD LIBOR + 0.400%) |
|
|
|
5,000,000 |
|
|
|
2.719 |
|
|
11/27/19 |
|
4,996,543 |
| National Bank of
Canada(a) |
| (3M USD LIBOR + 0.200%) |
|
|
|
1,750,000 |
|
|
|
2.563 |
|
|
05/08/19 |
|
1,749,844 |
| (3M USD LIBOR + 0.240%) |
|
|
|
750,000 |
|
|
|
2.577 |
|
|
10/11/18 |
|
750,323 |
| National Bank of Kuwait SAKP |
|
|
|
10,000,000 |
|
|
|
2.450 |
|
|
07/05/18 |
|
10,000,646 |
|
|
|
3,000,000 |
|
|
|
2.500 |
|
|
10/01/18 |
|
3,000,563 |
|
|
|
8,000,000 |
|
|
|
2.600 |
|
|
10/26/18 |
|
8,002,154 |
| Natixis NY(a) |
|
|
|
13,000,000 |
|
|
|
2.555 |
|
|
11/14/18 |
|
13,011,522 |
| Nordea Bank AB
NY(a) |
|
|
|
15,000,000 |
|
|
|
2.702 |
|
|
03/27/20 |
|
15,027,929 |
| Royal Bank of
Canada(a) |
|
|
|
3,000,000 |
|
|
|
2.285 |
|
|
07/16/18 |
|
3,000,393 |
| Societe Generale
SA(a) |
|
|
|
5,000,000 |
|
|
|
2.361 |
|
|
12/03/18 |
|
5,001,567 |
| Standard Chartered
Bank(a) |
|
|
|
8,000,000 |
|
|
|
2.542 |
|
|
10/31/18 |
|
8,006,012 |
| Sumitomo Mitsui Banking Corp. |
|
|
|
1,750,000 |
|
|
|
2.050 |
|
|
05/03/19 |
|
1,742,571 |
| (3M USD LIBOR + 0.370%) |
|
|
|
5,100,000 |
|
|
|
2.707 |
|
|
(a)07/11/19 |
|
5,107,685 |
| (3M USD LIBOR + 0.370%) |
|
|
|
11,000,000 |
|
|
|
2.728 |
|
|
(a)01/31/20 |
|
11,008,440 |
| Svenska Handelsbanken
AB(a) |
| |
GOLDMAN SACHS SHORT-TERM CONSERVATIVE INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Short-term Investments – (continued) |
| Certificates of Deposit – (continued) |
| (3M USD LIBOR + 0.400%) |
| $ |
|
|
2,000,000 |
|
|
|
2.755 |
% |
|
02/12/19 |
|
$ 2,003,650 |
| (3M USD LIBOR + 0.400%) |
|
|
|
15,000,000 |
|
|
|
2.737 |
|
|
04/01/20 |
|
15,012,772 |
| Swedbank AB(a) |
| (3M USD LIBOR + 0.320%) |
|
|
|
1,000,000 |
|
|
|
2.650 |
|
|
08/24/20 |
|
998,333 |
| (3M USD LIBOR + 0.380%) |
|
|
|
1,000,000 |
|
|
|
2.718 |
|
|
07/10/18 |
|
1,000,055 |
| The Bank of Nova
Scotia(a) |
| (3M USD LIBOR + 0.200%) |
|
|
|
3,500,000 |
|
|
|
2.569 |
|
|
11/09/18 |
|
3,501,208 |
| (3M USD LIBOR + 0.300%) |
|
|
|
2,000,000 |
|
|
|
2.643 |
|
|
05/15/19 |
|
2,002,905 |
| The Bank of Tokyo-Mitsubishi UFJ
Ltd.(f) |
|
|
|
7,700,000 |
|
|
|
0.000 |
|
|
07/10/18 |
|
7,695,386 |
|
|
|
2,300,000 |
|
|
|
0.000 |
|
|
07/11/18 |
|
2,298,493 |
| The Toronto-Dominion Bank |
|
|
|
3,300,000 |
|
|
|
1.600 |
|
|
07/20/18 |
|
3,299,161 |
|
|
|
3,400,000 |
|
|
|
1.600 |
|
|
08/22/18 |
|
3,397,307 |
|
|
|
5,000,000 |
|
|
|
1.730 |
|
|
11/05/18 |
|
4,989,005 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
326,465,207 |
| |
| Commercial Paper – 26.3% |
| ABN AMRO Funding USA
LLC(f) |
|
|
|
5,000,000 |
|
|
|
0.000 |
|
|
10/22/18 |
|
4,961,858 |
| Albion Capital
Corp.(f) |
|
|
|
5,000,000 |
|
|
|
0.000 |
|
|
07/06/18 |
|
4,998,124 |
| AT&T, Inc.(f) |
|
|
|
2,847,000 |
|
|
|
0.000 |
|
|
10/05/18 |
|
2,826,617 |
|
|
|
7,400,000 |
|
|
|
0.000 |
|
|
12/06/18 |
|
7,311,299 |
|
|
|
5,000,000 |
|
|
|
0.000 |
|
|
05/28/19 |
|
4,860,047 |
| Atlantic Asset Securitization
Corp.(f) |
|
|
|
10,000,000 |
|
|
|
0.000 |
|
|
09/13/18 |
|
9,952,268 |
|
|
|
12,000,000 |
|
|
|
0.000 |
|
|
10/05/18 |
|
11,923,201 |
| Autozone, Inc.(f) |
|
|
|
5,000,000 |
|
|
|
0.000 |
|
|
07/25/18 |
|
4,991,572 |
| Bank of China
Ltd.(f) |
|
|
|
9,800,000 |
|
|
|
0.000 |
|
|
07/23/18 |
|
9,786,489 |
|
|
|
10,000,000 |
|
|
|
0.000 |
|
|
09/05/18 |
|
9,954,874 |
| Barton Capital
Corp.(f) |
|
|
|
10,000,000 |
|
|
|
0.000 |
|
|
07/03/18 |
|
9,997,878 |
| Bayerische
Landesbank(f) |
|
|
|
6,500,000 |
|
|
|
0.000 |
|
|
07/20/18 |
|
6,492,045 |
| Bedford Row Funding
Corp.(a)(b) |
|
|
|
9,000,000 |
|
|
|
2.440 |
|
|
12/17/18 |
|
8,999,480 |
| BPCE SA(f) |
|
|
|
6,000,000 |
|
|
|
0.000 |
|
|
10/31/18 |
|
5,950,793 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Short-term Investments – (continued) |
| Commercial Paper – (continued) |
| Cafco LLC(f) |
| $ |
|
|
9,000,000 |
|
|
|
0.000 |
% |
|
10/01/18 |
|
$ 8,946,185 |
| CNPC Finance (HK)
Ltd.(f) |
|
|
|
15,000,000 |
|
|
|
0.000 |
|
|
07/19/18 |
|
14,981,983 |
| Collateralized Commercial Paper Co.
Ltd.(a)(b) |
|
|
|
10,000,000 |
|
|
|
2.228 |
|
|
11/19/18 |
|
10,003,449 |
| Ford Motor Credit Co.
LLC(f) |
|
|
|
9,000,000 |
|
|
|
0.000 |
|
|
02/20/19 |
|
8,840,759 |
|
|
|
5,000,000 |
|
|
|
0.000 |
|
|
04/08/19 |
|
4,891,752 |
| Hewlett Packard Enterprise
Co.(f) |
|
|
|
3,742,000 |
|
|
|
0.000 |
|
|
07/10/18 |
|
3,739,782 |
| HP, Inc.(f) |
|
|
|
3,500,000 |
|
|
|
0.000 |
|
|
07/23/18 |
|
3,495,141 |
|
|
|
2,994,000 |
|
|
|
0.000 |
|
|
07/23/18 |
|
2,990,060 |
| Liberty Funding
LLC(f) |
|
|
|
42,000,000 |
|
|
|
0.000 |
|
|
07/02/18 |
|
41,995,482 |
|
|
|
10,000,000 |
|
|
|
0.000 |
|
|
09/20/18 |
|
9,947,318 |
| LMA SA LMA
Americas(f) |
|
|
|
3,000,000 |
|
|
|
0.000 |
|
|
08/06/18 |
|
2,993,359 |
|
|
|
15,000,000 |
|
|
|
0.000 |
|
|
09/13/18 |
|
14,928,750 |
|
|
|
6,700,000 |
|
|
|
0.000 |
|
|
10/31/18 |
|
6,644,498 |
| Macquarie Bank
Ltd.(f) |
|
|
|
5,000,000 |
|
|
|
0.000 |
|
|
09/05/18 |
|
4,978,986 |
|
|
|
2,500,000 |
|
|
|
0.000 |
|
|
10/11/18 |
|
2,483,078 |
| Matchpoint Finance
PLC(f) |
|
|
|
10,000,000 |
|
|
|
0.000 |
|
|
10/04/18 |
|
9,934,956 |
|
|
|
14,000,000 |
|
|
|
0.000 |
|
|
10/15/18 |
|
13,897,688 |
| Mondelez International, Inc. |
|
|
|
6,500,000 |
|
|
|
0.000 |
|
|
10/01/18 |
|
6,456,517 |
| NRW. Bank(f) |
|
|
|
8,750,000 |
|
|
|
0.000 |
|
|
07/05/18 |
|
8,747,060 |
| Nutrien Ltd.(f) |
|
|
|
1,292,000 |
|
|
|
0.000 |
|
|
07/16/18 |
|
1,290,472 |
| Oversea-Chinese Banking Corp.
Ltd.(f) |
|
|
|
11,900,000 |
|
|
|
0.000 |
|
|
04/17/19 |
|
11,652,517 |
| QUALCOMM, Inc.(f) |
|
|
|
1,000,000 |
|
|
|
0.000 |
|
|
08/09/18 |
|
997,565 |
|
|
|
15,000,000 |
|
|
|
0.000 |
|
|
09/11/18 |
|
14,929,577 |
| Sheffield Receivables
Corp.(f) |
|
|
|
10,101,000 |
|
|
|
0.000 |
|
|
12/17/18 |
|
9,981,147 |
| Suncor Energy,
Inc.(f) |
|
|
|
6,500,000 |
|
|
|
0.000 |
|
|
08/20/18 |
|
6,477,223 |
| Toyota Motor Finance Netherlands
BV(a) |
|
|
|
10,000,000 |
|
|
|
2.420 |
|
|
03/18/19 |
|
9,999,275 |
| Tyco International Holding
S.a.r.l.(f) |
|
|
|
5,842,000 |
|
|
|
0.000 |
|
|
07/09/18 |
|
5,838,318 |
| |
GOLDMAN SACHS SHORT-TERM CONSERVATIVE INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
| Short-term Investments – (continued) |
| Commercial Paper – (continued) |
| United Overseas Bank
Ltd.(f) |
| $ |
|
|
16,000,000 |
|
|
|
0.000 |
% |
|
10/17/18 |
|
$ 15,884,964 |
| Versailles Commercial Paper
LLC(f) |
|
|
|
15,000,000 |
|
|
|
0.000 |
|
|
09/04/18 |
|
14,935,233 |
| Victory
Receivables(f) |
|
|
|
15,000,000 |
|
|
|
0.000 |
|
|
10/01/18 |
|
14,909,486 |
| Victory Receivables
Corp.(f) |
|
|
|
5,000,000 |
|
|
|
0.000 |
|
|
10/02/18 |
|
4,969,481 |
| VW Credit,
Inc.(f) |
|
|
|
4,251,000 |
|
|
|
0.000 |
|
|
08/13/18 |
|
4,238,220 |
|
|
|
5,200,000 |
|
|
|
0.000 |
|
|
09/20/18 |
|
5,169,704 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
405,176,530 |
| |
| Repurchase Agreement – 7.2% |
| Bank of America Corp. |
|
|
|
15,000,000 |
|
|
|
2.640 |
|
|
10/25/18 |
|
15,000,000 |
| Maturity Value: $15,096,800 |
| Next Reset Date: 07/30/2018 |
| Collateralized by various common stocks and ETF units. The aggregate market value of the collateral, was 16,200,086. |
| |
| BNP Paribas SA |
|
|
|
35,000,000 |
|
|
|
2.150 |
|
|
07/02/18 |
|
35,000,000 |
| Maturity Value: $35,006,271 |
| Next Reset Date: 07/02/2018 |
| Collateralized by various corporate obligations and Government bonds, 1.700% to 10.625%, due 07/15/19 to 02/10/48. The aggregate market value of the collateral,
including accrued interest, was $38,477,226. |
| |
| Citigroup Global Markets, Inc. |
|
|
|
19,000,000 |
|
|
|
2.960 |
|
|
08/16/18 |
|
19,000,000 |
| Maturity Value: $19,154,660 |
| Next Reset Date: 08/16/2018 |
| Collateralized by various Government securities, 1.625%, due 10/31/23. The aggregate market value of the collateral, including accrued interest, was
$19,380,084. |
| |
| Mizuho Securities USA |
|
|
|
3,000,000 |
|
|
|
3.313 |
|
|
11/06/18 |
|
3,000,000 |
| Maturity Value: $3,025,401 |
| Next Reset Date: 08/08/2018 |
| Collateralized by various Government securities, 2.380% to 10.890%, due 06/25/21 to 01/25/50. The aggregate market value of the collateral, including accrued
interest, was $3,060,014. |
| |
| Nomura |
|
|
|
19,000,000 |
|
|
|
3.018 |
|
|
08/24/18 |
|
19,000,000 |
| Maturity Value: $19,178,383 |
| Next Reset Date: 05/25/2018 |
| Collateralized by various mortgage obligations, 1.906% to 10.093%, due 09/25/22 to 12/25/57. The aggregate market value of the collateral, including accrued
interest, was $25,910,846. |
| |
| Wells Fargo |
|
|
|
20,000,000 |
|
|
|
2.790 |
|
|
07/12/18 |
|
20,000,000 |
| Maturity Value: $20,184,450 |
| Next Reset Date: 08/13/2018 |
| Collateralized by various mortgage obligations, 2.688% to 6.055%, due 09/01/27 to 02/25/58. The aggregate market value of the collateral, including accrued interest,
was $23,326,570. |
| |
|
|
|
|
|
|
|
|
|
|
|
|
111,000,000 |
| |
TOTAL SHORT-TERM INVESTMENTS
(Cost $842,514,423) |
|
$ 842,641,737 |
| |
TOTAL INVESTMENTS – 100.4%
(Cost $1,546,079,711) |
|
$1,546,081,428 |
| |
| LIABILITIES IN EXCESS OF
OTHER ASSETS – (0.4)% |
|
(6,488,244) |
| |
| NET ASSETS – 100.0% |
|
$1,539,593,184 |
| |
|
|
|
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
|
|
| (a) |
|
Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed
is that which is in effect on June 30, 2018. |
|
|
| (b) |
|
Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed 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 $436,924,679, which represents approximately 28.4% of the Fund’s net assets as
of June 30, 2018. The liquidity determination is unaudited. |
|
|
| (c) |
|
Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
|
|
| (d) |
|
Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect at
June 30, 2018. |
|
|
|
| (e) |
|
Represents an affiliated issuer. |
|
|
| (f) |
|
Issued with a zero coupon. Income is recognized through the accretion of discount. |
|
|
|
| |
| Currency Abbreviations: |
| USD |
|
— U.S. Dollar |
|
| Investment Abbreviations: |
| LIBOR |
|
— London Interbank Offered Rate |
| LLC |
|
— Limited Liability Company |
| LP |
|
— Limited Partnership |
| PLC |
|
— Public Limited Company |
| RB |
|
— Revenue Bond |
| |
|
| For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com. |
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS
Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
INVESTMENTS AND FAIR VALUE MEASUREMENTS
U.S. GAAP defines the fair value of a financial
instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Fund’s policy is to use the market
approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or
liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The
three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets
that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted
prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads),
either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs
(including GSAM’s assumptions in determining fair value measurement).
Changes in valuation techniques may result in transfers into or
out of an assigned level within the hierarchy. In accordance with the Funds’ policy, transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the beginning of the reporting
period.
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the
portfolio investments held by the Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day
responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ portfolio investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly
performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in
determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Money Market Funds —
Investments in the Goldman Sachs Financial Square Government Fund (“Underlying Fund”) are valued at the NAV of the Institutional Share class on the day of valuation. These investments are generally classified as Level 1 of the fair
value hierarchy. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Debt Securities — Debt securities for which market quotations are readily available are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved
by the Trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or
(ii) quotations from securities dealers to determine current value. With the exception of treasury securities of G8 countries, which are generally classified as Level 1, these investments are generally classified as Level 2 of the
fair value hierarchy.
i. Commercial Paper — Commercial paper normally represents short-term unsecured promissory
notes issued in bearer form by banks or bank holding companies, corporations, finance companies and other issuers. Commercial paper consists of direct U.S. dollar-denominated obligations of domestic or foreign issuers. Asset-backed commercial paper
is issued by a special purpose entity that is organized to issue the commercial paper and to purchase trade receivables or other financial assets.
ii. Inverse Floaters — The interest rate on inverse floating rate securities (“inverse floaters”) resets in the opposite direction from the market rate of interest to which the
inverse floaters are indexed. An inverse floater may be considered to be leveraged to the extent that its interest rate varies by a magnitude that exceeds the magnitude of the change in the index rate of interest. The higher the degree of leverage
of an inverse floater, the greater the volatility of its market value
iii. Mortgage-Backed and 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 estate property. Asset-backed securities include securities
whose principal and interest payments are collateralized by pools of other assets or receivables. 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.
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
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.
Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all
interest payments (interest-only, or “IO” and/or high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all principal payments (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, periodic adjustments are recorded to reduce the cost of the security until maturity. These adjustments are included in interest income.
iv. Mortgage Dollar Rolls — Mortgage dollar rolls are transactions whereby a Fund sells
mortgage-backed-securities and simultaneously contracts with the same counterparty to repurchase similar securities on a specified future date. During the settlement period, a Fund will not be entitled to accrue interest and receive principal
payments on the securities sold. The Funds account for mortgage dollar roll transactions as purchases and sales and realize gains and losses on these transactions
v. Structured Notes — The values of structured notes are based on the price movements of a reference security or index. Upon termination, a Fund will receive a payment from the issuer based on
the value of the referenced instrument (notional amount multiplied by price of the referenced instrument) and record a realized gain or loss.
vi. Treasury Inflation Protected Securities — TIPS are treasury securities 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 repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.
vii. When-Issued Securities and Forward Commitments — When-issued securities, including TBA (“To Be Announced”) securities, are securities that are authorized but not yet issued in
the market and purchased in order to secure what is considered to be an advantageous price or yield to a Fund. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a
fixed price at a future date. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a
forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Although a Fund will generally purchase securities on a when-issued or forward commitment basis with the intention of acquiring
the securities for its portfolio, the Fund may dispose of when-issued securities or forward commitments prior to settlement, which may result in a realized gain or loss.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. A Fund enters into derivative
transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers.
Exchange-traded derivatives, including futures and options contracts, are valued at the last sale or settlement price and typically fall
within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other
market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and
centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including
contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid
markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are
corroborated by market evidence.
i. Forward Contracts — A forward contract is a contract between two
parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are
marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be
used to collateralize forward contracts.
A forward foreign currency exchange contract is a forward
contract in which a Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked-to-market daily at the applicable forward rate. Non-deliverable forward foreign currency exchange contracts are settled with the
counterparty in cash without the delivery of foreign currency.
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or
independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or
exchange upon which they are traded. Upon entering into a futures contract, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or
received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. For financial reporting purposes, cash collateral that has been
pledged to cover obligations of a Fund and cash collateral received, if any, is reported separately on the Statement of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts.
Non-cash collateral pledged by a Fund, if any, is noted in the Schedule of Investments.
iii. Options — When a Fund writes call or put options, an amount equal to the premium received is recorded as a liability and
is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on interest rate swap contracts.
Upon the purchase of a call option or a put option by a Fund, the premium paid is recorded as an investment and
subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums
for these options are based upon implied volatility parameters at specified terms.
iv. Swap Contracts — Bilateral
swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and
payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”),
acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a
swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a
receivable or payable for variation margin.
An interest rate swap is an agreement that obligates two
parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in interest rates on a specified notional principal amount. The payment flows are usually netted against each other, with the
difference being paid by one party to the other.
A credit default swap is an agreement that involves
one party (the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive protection on a reference security or obligation, including a group of assets or exposure to the
performance of an index. A Fund’s investment in credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to pay,
restructuring and obligation acceleration. If a Fund buys protection through a credit default swap and no credit event occurs, its payments are limited to the periodic payments previously made to the counterparty. Upon the occurrence of a specified
credit event, a Fund, as a buyer of credit protection, is entitled to receive an amount equal to the notional amount of the swap and deliver to the seller the defaulted reference obligation in a physically settled trade. A Fund may also receive a
net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade.
As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there
is no credit event. In addition, if a Fund sells protection through a credit default swap, a Fund could suffer a loss because the value of the referenced obligation and the premium payments received may be less than the notional amount of the swap
paid to the buyer of protection. Upon the occurrence of a specified credit event, a Fund, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional
amount of the swap in a physically settled trade. A Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in 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, a Fund is entitled to a
return of any assets, which have been pledged as collateral to the counterparty upon settlement.
The maximum
potential amount of future payments (undiscounted) that a Fund as seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. These potential amounts would be partially
offset by any recovery values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where a Fund bought credit protection.
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
i. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and
price, under the terms of a Master Repurchase Agreement (“MRA”). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed
the value of the repurchase agreement, including accrued interest. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes. The underlying securities for all repurchase
agreements are held at the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements.
An MRA governs transactions between a Fund and select counterparties. An MRA contains provisions for, among other things,
initiation of the transaction, income payments, events of default and maintenance of securities for repurchase agreements. An MRA also permits offsetting with collateral to create one single net payment in the event of default or similar events,
including the bankruptcy or insolvency of a counterparty.
If the seller defaults, a Fund could suffer a loss
to the extent that the proceeds from the sale of the underlying securities and other collateral held by the Fund are less than the repurchase price and the Fund’s costs associated with delay and enforcement of the repurchase agreement. In
addition, in the event of default or insolvency of the seller, a court could determine that a Fund’s interest in the collateral is not enforceable, resulting in additional losses to the Fund.
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and terms and conditions
contained therein, the Funds, together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates, may transfer uninvested cash into joint accounts, the daily aggregate balance of which
is invested in one or more repurchase agreements. Under these joint accounts, the Funds maintain pro-rata credit exposure to the underlying repurchase agreements’ counterparties. With the exception of
certain transaction fees, the Funds are not subject to any expenses in relation to these investments.
Level 3 Fair
Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately
reflect fair value, the fair value of the Funds’ investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most
recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. Significant events which could affect a
large number of securities in a particular market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also
affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.
To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third
party pricing vendors, such investments are classified as Level 3 investments. GSAM did not develop the unobservable inputs (examples include but are not limited to single source broker quotations, third party pricing, etc.) for the valuation
of Level 3 Assets and Liabilities.
Fair Value Hierarchy — The following is a summary of the Funds’ investments and
derivatives classified in the fair value hierarchy as of June 30, 2018:
|
|
|
|
|
|
|
|
|
|
|
|
|
| ENHANCED INCOME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Obligations |
|
$ |
— |
|
|
$ |
262,988,494 |
|
|
$ |
— |
|
| Mortgage-Backed Obligations |
|
|
— |
|
|
|
950,000 |
|
|
|
— |
|
| Asset-Backed Securities |
|
|
— |
|
|
|
107,188,118 |
|
|
|
— |
|
| Municipal Debt Obligation |
|
|
— |
|
|
|
670,438 |
|
|
|
— |
|
| U.S. Treasury Obligations |
|
|
2,164,960 |
|
|
|
— |
|
|
|
— |
|
| Investment Company |
|
|
19,343,921 |
|
|
|
— |
|
|
|
— |
|
| Short-term Investments |
|
|
— |
|
|
|
183,484,921 |
|
|
|
— |
|
| Total |
|
$ |
21,508,881 |
|
|
$ |
555,281,971 |
|
|
$ |
— |
|
|
|
|
|
| Derivative Type |
|
|
|
|
|
|
|
|
|
| Assets(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
2,704,560 |
|
|
$ |
— |
|
|
$ |
— |
|
| Liabilities(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
(13,681 |
) |
|
$ |
— |
|
|
$ |
— |
|
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
| GOVERNMENT INCOME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Fixed Income |
|
| Mortgage-Backed Obligations |
|
$ |
— |
|
|
$ |
131,965,240 |
|
|
$ |
— |
|
| U.S. Treasury Obligations and/or Other U.S. Government Agencies |
|
|
140,615,027 |
|
|
|
37,288,145 |
|
|
|
— |
|
| Asset-Backed Securities |
|
|
— |
|
|
|
36,827,622 |
|
|
|
— |
|
| Municipal Debt Obligations |
|
|
— |
|
|
|
6,481,699 |
|
|
|
— |
|
| Investment Company |
|
|
22,290,305 |
|
|
|
— |
|
|
|
— |
|
| Short-term Investments |
|
|
— |
|
|
|
11,490,585 |
|
|
|
— |
|
| Total |
|
$ |
162,905,332 |
|
|
$ |
224,053,291 |
|
|
$ |
— |
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
| Fixed Income |
|
| Mortgage-Backed Obligations — Forward Sales Contracts |
|
$ |
— |
|
|
$ |
(9,110,000 |
) |
|
$ |
— |
|
|
|
|
|
| Derivative Type |
|
|
|
|
|
|
|
|
|
| Assets(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
218,943 |
|
|
$ |
— |
|
|
$ |
— |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
408,486 |
|
|
|
— |
|
| Total |
|
$ |
218,943 |
|
|
$ |
408,486 |
|
|
$ |
— |
|
| Liabilities(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
(221,387 |
) |
|
$ |
— |
|
|
$ |
— |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
(457,373 |
) |
|
|
— |
|
| Total |
|
$ |
(221,387 |
) |
|
$ |
(457,373 |
) |
|
$ |
— |
|
|
|
|
|
| HIGH QUALITY FLOATING RATE |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Fixed Income |
|
| Mortgage-Backed Obligations |
|
$ |
— |
|
|
$ |
246,201,920 |
|
|
$ |
— |
|
| U.S. Treasury Obligations and/or Other U.S. Government Agencies |
|
|
10,350,517 |
|
|
|
3,973,080 |
|
|
|
— |
|
| Asset-Backed Securities |
|
|
— |
|
|
|
375,928,664 |
|
|
|
— |
|
| Municipal Debt Obligations |
|
|
— |
|
|
|
14,761,069 |
|
|
|
— |
|
| Short-term Investments |
|
|
— |
|
|
|
96,239,747 |
|
|
|
— |
|
| Total |
|
$ |
10,350,517 |
|
|
$ |
737,104,480 |
|
|
$ |
— |
|
|
|
|
|
| Derivative Type |
|
|
|
|
|
|
|
|
|
| Assets(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
147,307 |
|
|
$ |
— |
|
|
$ |
— |
|
| Liabilities(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
(160,202 |
) |
|
$ |
— |
|
|
$ |
— |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
(72,191 |
) |
|
|
— |
|
| Total |
|
$ |
(160,202 |
) |
|
$ |
(72,191 |
) |
|
$ |
— |
|
|
|
|
|
| INFLATION PROTECTED SECURITIES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Fixed Income |
|
| U.S. Treasury Obligations |
|
$ |
343,766,078 |
|
|
$ |
— |
|
|
$ |
— |
|
| Investment Company |
|
|
38,759,193 |
|
|
|
— |
|
|
|
— |
|
| Total |
|
$ |
382,525,271 |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
| Derivative Type |
|
|
|
|
|
|
|
|
|
| Assets(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
910,992 |
|
|
$ |
— |
|
|
$ |
— |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
1,629,154 |
|
|
|
— |
|
| Total |
|
$ |
910,992 |
|
|
$ |
1,629,154 |
|
|
$ |
— |
|
| Liabilities(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
(344,204 |
) |
|
$ |
— |
|
|
$ |
— |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
(1,305,219 |
) |
|
|
— |
|
| Total |
|
$ |
(344,204 |
) |
|
$ |
(1,305,219 |
) |
|
$ |
— |
|
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
| SHORT DURATION GOVERNMENT |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets |
|
| Fixed Income |
|
| Mortgage-Backed Obligations |
|
$ |
— |
|
|
$ |
355,431,367 |
|
|
$ |
— |
|
| U.S. Treasury Obligations and/or Other U.S. Government Agencies |
|
|
457,354,349 |
|
|
|
83,690,178 |
|
|
|
— |
|
| Asset-Backed Securities |
|
|
— |
|
|
|
1,224,838 |
|
|
|
— |
|
| Investment Company |
|
|
8,311 |
|
|
|
— |
|
|
|
— |
|
| Short-term Investments |
|
|
— |
|
|
|
40,452,095 |
|
|
|
— |
|
| Total |
|
$ |
457,362,660 |
|
|
$ |
480,798,478 |
|
|
$ |
— |
|
|
|
|
|
| Derivative Type |
|
|
|
|
|
|
|
|
|
| Assets(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
7,534,905 |
|
|
$ |
— |
|
|
$ |
— |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
1,054,077 |
|
|
|
— |
|
| Total |
|
$ |
7,534,905 |
|
|
$ |
1,054,077 |
|
|
$ |
— |
|
| Liabilities(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
(1,577,597 |
) |
|
$ |
— |
|
|
$ |
— |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
(1,185,771 |
) |
|
|
— |
|
| Total |
|
$ |
(1,577,597 |
) |
|
$ |
(1,185,771 |
) |
|
$ |
— |
|
|
|
|
|
| SHORT DURATION INCOME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Fixed Income |
|
| Corporate Obligations |
|
$ |
— |
|
|
$ |
314,505,069 |
|
|
$ |
— |
|
| Mortgage-Backed Obligations |
|
|
— |
|
|
|
57,316,201 |
|
|
|
690,395 |
|
| Asset-Backed Securities |
|
|
— |
|
|
|
132,107,730 |
|
|
|
— |
|
| Foreign Debt Obligations |
|
|
— |
|
|
|
5,558,705 |
|
|
|
— |
|
| Structured Notes |
|
|
— |
|
|
|
629,417 |
|
|
|
— |
|
| Municipal Debt Obligations |
|
|
— |
|
|
|
17,999,638 |
|
|
|
— |
|
| U.S. Treasury Obligations |
|
|
986,575 |
|
|
|
— |
|
|
|
— |
|
| Investment Company |
|
|
1,693 |
|
|
|
— |
|
|
|
— |
|
| Short-term Investments |
|
|
— |
|
|
|
8,161,965 |
|
|
|
— |
|
| Total |
|
$ |
988,268 |
|
|
$ |
536,278,725 |
|
|
$ |
690,395 |
|
|
|
|
|
| Derivative Type |
|
|
|
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange
Contracts(a) |
|
$ |
— |
|
|
$ |
1,476,672 |
|
|
$ |
— |
|
| Futures Contracts(a) |
|
|
3,069,247 |
|
|
|
— |
|
|
|
— |
|
| Interest Rate Swap Contracts(a) |
|
|
— |
|
|
|
1,908,341 |
|
|
|
— |
|
| Credit Default Swap Contracts(a) |
|
|
— |
|
|
|
5,137 |
|
|
|
— |
|
| Options Purchased |
|
|
— |
|
|
|
107,422 |
|
|
|
— |
|
| Total |
|
$ |
3,069,247 |
|
|
$ |
3,497,572 |
|
|
$ |
— |
|
| Liabilities |
|
| Forward Foreign Currency Exchange
Contracts(a) |
|
$ |
— |
|
|
$ |
(3,222,891 |
) |
|
$ |
— |
|
| Futures Contracts(a) |
|
|
(580,141 |
) |
|
|
— |
|
|
|
— |
|
| Interest Rate Swap Contracts(a) |
|
|
— |
|
|
|
(1,390,357 |
) |
|
|
— |
|
| Written Options |
|
|
— |
|
|
|
(110,712 |
) |
|
|
— |
|
| Total |
|
$ |
(580,141 |
) |
|
$ |
(4,723,960 |
) |
|
$ |
— |
|
|
|
|
|
| SHORT-TERM CONSERVATIVE INCOME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets |
|
| Fixed Income |
|
| Corporate Obligations |
|
$ |
— |
|
|
$ |
625,929,433 |
|
|
$ |
— |
|
| Municipal Debt Obligation |
|
|
— |
|
|
|
22,500,000 |
|
|
|
— |
|
| Investment Company |
|
|
55,010,258 |
|
|
|
— |
|
|
|
— |
|
| Short-term Investments |
|
|
— |
|
|
|
842,641,737 |
|
|
|
— |
|
| Total |
|
$ |
55,010,258 |
|
|
$ |
1,491,071,170 |
|
|
$ |
— |
|
| (a) |
|
Amount shown represents unrealized gain (loss) at period end. |
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
For further information regarding security characteristics, see the Schedules of Investments.
JOINT REPURCHASE AGREEMENT ACCOUNT II — At June 30,2018, the Goldman Sachs High Quality Floating Rate Fund had undivided interests in
the Joint Repurchase Agreement Account II, with a maturity date of July 2, 2018, as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Fund |
|
Principal
Amount |
|
|
Maturity
Value |
|
|
Collateral
Allocation
Value |
|
| High Quality Floating Rate Fund |
|
$ |
38,500,000 |
|
|
$ |
38,502,267 |
|
|
$ |
39,270,000 |
|
REPURCHASE AGREEMENTS — At June 30, 2018, the Principal Amounts of the Goldman Sachs High Quality
Floating Rate Fund’s interest in the Joint Repurchase Agreement Account II were as follows:
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Interest
Rate |
|
|
High Quality
Floating Rate Fund |
|
| Merrill Lynch & Co., Inc. |
|
|
2.120 |
% |
|
$ |
38,500,000 |
|
At June 30, 2018, the Joint Repurchase Agreement Account II was fully collateralized by:
|
|
|
|
|
|
|
|
|
| Issuer |
|
Interest Rates |
|
|
Maturity Dates |
|
| Federal National Mortgage Association |
|
|
4.000 to 4.500 |
% |
|
|
11/01/40 to 11/01/47 |
|
The Funds’ risks include, but are not limited to, the following:
Derivatives Risk — The Funds’ use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and
greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may
produce disproportionate losses to the Funds. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized
activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value
of derivative instruments and the portfolio assets (if any) being hedged.
Foreign Countries Risk — Investing in foreign markets
may involve special risks and considerations not typically associated with investing in the United States. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less
economic, political and social stability in the countries in which the Funds invest. The imposition of exchange controls, confiscations, trade restrictions (including tariffs) and other government restrictions by the United States or other
governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such
foreign currency (or other instruments through which the Funds have exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Funds also invest in
securities of issuers located in emerging markets, these risks may be more pronounced.
Interest Rate Risk — When interest rates
increase, fixed income securities or instruments held by the Funds will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income
securities or instruments. The risks associated with changing interest rates have unpredictable effects on the markets and the Funds’ investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and
instruments held by the Funds.
Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large
shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of
underlying clients and/or include a Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions may cause a Fund to sell portfolio
securities at times when it would
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
not otherwise do so, which may negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments
resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly,
large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.
Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse
investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period because of unusual market conditions, an
unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions.
Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed
income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal,
potentially causing increased supply in the market due to selling activity
Market and Credit Risks — In the normal course of
business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Funds may also be exposed to credit risk in the event that an
issuer or guarantor fails to perform or that an institution or entity with which the Funds have unsettled or open transactions defaults.
Short Position Risk — A Fund may enter into a short position through a futures contract, an option or swap agreement or through short sales
of any instrument that a Fund may purchase for investment. Taking short positions involves leverage of a Fund’s assets and presents various risks, including counterparty risk. If the value of the underlying instrument or market in which a Fund
has taken a short position increases, then the Fund will incur a loss equal to the increase in value from the time that the short position was entered into plus any related interest payments or other fees. Taking short positions involves the risk
that losses may be disproportionate, may exceed the amount invested, and may be unlimited. To the extent that a Fund uses the proceeds it receives from a short position to take additional long positions, the risks associated with the short position,
including leverage risks, may be heightened, because doing so increases the exposure of a Fund to the markets and therefore could magnify changes to a Fund’s NAV.
State/Territory Specific Risk — A Fund’s investments in municipal obligations of issuers located in a particular state or U.S. territory may be adversely affected by political, economic
and regulatory developments within that state or U.S. territory. Such developments may affect the financial condition of a state’s or territory’s political subdivisions, agencies, instrumentalities and public authorities and heighten the
risks associated with investing in bonds issued by such parties, which could, in turn, adversely affect a Fund’s income, NAV, liquidity, and/or ability to preserve or realize capital appreciation.
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Schedule of Investments
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Sovereign Debt Obligations – 68.2% |
| Angola(a) –
1.1% |
| Republic of Angola (NR/B3) |
| $ |
|
|
20,730,000 |
|
|
|
8.250 |
% |
|
05/09/28 |
|
$ 20,755,913 |
|
|
|
5,720,000 |
|
|
|
9.375 |
|
|
05/08/48 |
|
5,755,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,511,663 |
| |
| Argentina – 7.8% |
| Bonos de la Nacion Argentina con Ajuste por CER (NR/NR) |
| ARS |
|
|
52,742,065 |
|
|
|
3.750 |
|
|
02/08/19 |
|
1,734,673 |
|
|
|
13,000,000 |
|
|
|
4.000 |
|
|
03/06/20 |
|
452,591 |
| Bonos De La Nacion Argentina En Moneda Dua (NR/NR) |
| $ |
|
|
2,125,000 |
|
|
|
4.500 |
|
|
06/21/19 |
|
2,158,469 |
| Province of Santa Fe (NR/B2) |
|
|
|
2,670,000 |
|
|
|
7.000 |
(a) |
|
03/23/23 |
|
2,449,725 |
|
|
|
1,850,000 |
|
|
|
7.000 |
|
|
03/23/23 |
|
1,697,375 |
| Provincia de Buenos Aires
(B+/B2)(b) |
| EUR |
|
|
179,999 |
|
|
|
4.000 |
|
|
05/01/20 |
|
206,104 |
| Provincia de Cordoba (B+/B2) |
| $ |
|
|
2,090,000 |
|
|
|
7.450 |
|
|
09/01/24 |
|
1,901,900 |
| Provincia de la Rioja
(B+/NR)(a) |
|
|
|
5,880,000 |
|
|
|
9.750 |
|
|
02/24/25 |
|
5,350,800 |
| Republic of Argentina (NR/NR) |
| ARS |
|
|
82,400,000 |
|
|
|
0.010 |
|
|
07/18/18 |
|
2,785,365 |
|
|
|
92,425,000 |
|
|
|
0.010 |
|
|
08/15/18 |
|
3,023,328 |
|
|
|
84,225,000 |
|
|
|
1.000 |
|
|
09/19/18 |
|
2,655,189 |
|
|
|
315,290,000 |
|
|
|
32.223 |
(c) |
|
06/21/20 |
|
11,131,119 |
| $ |
|
|
1,540,000 |
|
|
|
7.125 |
(d) |
|
06/28/17 |
|
1,175,790 |
| Republic of Argentina (NR/B2) |
| ARS |
|
|
3,715,897 |
|
|
|
2.500 |
|
|
07/22/21 |
|
110,264 |
| Republic of Argentina (B+/NR) |
| EUR |
|
|
13,417,011 |
|
|
|
7.820 |
|
|
12/31/33 |
|
15,433,360 |
| $ |
|
|
5,005,276 |
|
|
|
8.280 |
|
|
12/31/33 |
|
4,504,748 |
| Republic of Argentina (B+/B2) |
| EUR |
|
|
13,360,000 |
|
|
|
3.375 |
|
|
01/15/23 |
|
14,158,641 |
| $ |
|
|
12,400,000 |
|
|
|
7.500 |
|
|
04/22/26 |
|
11,451,400 |
| EUR |
|
|
4,410,000 |
|
|
|
5.000 |
|
|
01/15/27 |
|
4,396,811 |
| $ |
|
|
18,240,000 |
|
|
|
6.875 |
|
|
01/26/27 |
|
16,096,800 |
|
|
|
12,430,000 |
|
|
|
5.875 |
|
|
01/11/28 |
|
10,130,450 |
| EUR |
|
|
13,560,000 |
|
|
|
5.250 |
|
|
01/15/28 |
|
13,519,446 |
|
|
|
2,559,553 |
|
|
|
7.820 |
|
|
12/31/33 |
|
2,977,837 |
| $ |
|
|
20,500,000 |
|
|
|
7.125 |
|
|
07/06/36 |
|
16,400,000 |
| EUR |
|
|
2,710,000 |
|
|
|
2.260 |
(b) |
|
12/31/38 |
|
1,854,536 |
| $ |
|
|
27,660,000 |
|
|
|
2.500 |
(b) |
|
12/31/38 |
|
15,683,220 |
| EUR |
|
|
2,050,000 |
|
|
|
6.250 |
|
|
11/09/47 |
|
1,861,327 |
| $ |
|
|
18,370,000 |
|
|
|
6.875 |
|
|
01/11/48 |
|
13,823,425 |
| Republic of Argentina
(NR/NR)(c)(Argentina Deposit Rates + 2.000%) |
| ARS |
|
|
50,805,000 |
|
|
|
27.947 |
|
|
04/03/22 |
|
1,589,577 |
| Republic of Argentina
(B+/NR)(c)(Argentina Deposit Rates + 2.500%) |
|
|
|
15,600,000 |
|
|
|
26.892 |
|
|
03/11/19 |
|
530,648 |
| Republic of Argentina
(NR/B2)(c)(Argentina Deposit Rates + 3.250%) |
|
|
|
87,700,000 |
|
|
|
29.171 |
|
|
03/29/24 |
|
2,383,493 |
| Republic of Argentina
(B+/NR)(c)(Argentina Deposit Rates + 3.250%) |
|
|
|
18,350,000 |
|
|
|
27.041 |
|
|
03/01/20 |
|
600,848 |
| Republic of Argentina
(NR/B2)(c)(Argentina Deposit Rates + 3.830%) |
|
|
|
32,930,000 |
|
|
|
27.500 |
|
|
05/31/22 |
|
931,471 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
185,160,730 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Sovereign Debt Obligations – (continued) |
| Azerbaijan – 0.1% |
| Republic of Azerbaijan (NR/Ba2) |
| $ |
|
|
3,160,000 |
|
|
|
3.500 |
% |
|
09/01/32 |
|
$ 2,599,100 |
| |
| Belize(a)(b) –
0.1% |
| Republic of Belize (B-/B3) |
|
|
|
2,446,500 |
|
|
|
4.938 |
|
|
02/20/34 |
|
1,455,239 |
| |
| Bermuda(a)(e) –
0.2% |
| Bermuda Government Bond (A+/A2) |
|
|
|
4,600,000 |
|
|
|
3.717 |
|
|
01/25/27 |
|
4,308,245 |
| |
| Brazil – 0.1% |
| Brazil Notas do Tesouro Nacional (BB-/Ba2) |
| BRL |
|
|
2,900,000 |
|
|
|
10.000 |
|
|
01/01/27 |
|
683,922 |
|
|
|
7,634,667 |
|
|
|
6.000 |
|
|
08/15/40 |
|
1,970,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,654,797 |
| |
| Bulgaria – 0.3% |
| Republic of Bulgaria (BBB-/Baa2) |
| EUR |
|
|
5,426,000 |
|
|
|
3.125 |
|
|
03/26/35 |
|
6,740,434 |
| |
| Chile – 0.5% |
| Republic of Chile (A+/NR) |
| $ |
|
|
5,620,000 |
|
|
|
3.860 |
|
|
06/21/47 |
|
5,346,025 |
| Republic of Chile
(A+/Aa3)(e) |
|
|
|
5,770,000 |
|
|
|
3.240 |
|
|
02/06/28 |
|
5,517,563 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,863,588 |
| |
| Colombia(e) –
0.5% |
| Republic of Colombia (BBB-/Baa2) |
|
|
|
9,380,000 |
|
|
|
2.625 |
|
|
03/15/23 |
|
8,892,240 |
|
|
|
3,340,000 |
|
|
|
4.500 |
|
|
01/28/26 |
|
3,406,800 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,299,040 |
| |
| Costa Rica – 0.9% |
| Republic of Costa Rica (BB-/Ba2) |
|
|
|
390,000 |
|
|
|
9.995 |
|
|
08/01/20 |
|
426,563 |
|
|
|
2,750,000 |
|
|
|
5.625 |
(a) |
|
04/30/43 |
|
2,337,500 |
|
|
|
2,190,000 |
|
|
|
5.625 |
|
|
04/30/43 |
|
1,861,500 |
|
|
|
9,280,000 |
|
|
|
7.158 |
(a) |
|
03/12/45 |
|
9,210,400 |
|
|
|
6,770,000 |
|
|
|
7.158 |
|
|
03/12/45 |
|
6,719,225 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,555,188 |
| |
| Croatia – 0.2% |
| Republic of Croatia (BB+/Ba2) |
| EUR |
|
|
1,157,000 |
|
|
|
3.875 |
|
|
05/30/22 |
|
1,491,326 |
| $ |
|
|
280,000 |
|
|
|
5.500 |
|
|
04/04/23 |
|
294,350 |
| EUR |
|
|
2,160,000 |
|
|
|
3.000 |
|
|
03/20/27 |
|
2,601,274 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,386,950 |
| |
| Dominican Republic – 3.1% |
| Dominican Republic (NR/NR) |
| DOP |
|
|
20,700,000 |
|
|
|
16.000 |
|
|
07/10/20 |
|
475,036 |
|
|
|
13,900,000 |
|
|
|
11.500 |
|
|
05/10/24 |
|
306,390 |
|
|
|
8,900,000 |
|
|
|
18.500 |
(a) |
|
02/04/28 |
|
253,005 |
|
|
|
134,200,000 |
|
|
|
11.375 |
|
|
07/06/29 |
|
2,873,975 |
| Dominican Republic (BB-/Ba3) |
| $ |
|
|
1,532,000 |
|
|
|
7.500 |
|
|
05/06/21 |
|
1,610,277 |
| |
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Sovereign Debt Obligations – (continued) |
| Dominican Republic – (continued) |
| $ |
|
|
1,250,000 |
|
|
|
6.600 |
% |
|
01/28/24 |
|
$ 1,312,500 |
|
|
|
12,530,000 |
|
|
|
5.875 |
|
|
04/18/24 |
|
12,811,925 |
|
|
|
1,740,000 |
|
|
|
6.875 |
(a) |
|
01/29/26 |
|
1,837,414 |
|
|
|
2,140,000 |
|
|
|
6.875 |
|
|
01/29/26 |
|
2,259,808 |
|
|
|
1,500,000 |
|
|
|
8.625 |
|
|
04/20/27 |
|
1,686,067 |
|
|
|
5,050,000 |
|
|
|
7.450 |
(a) |
|
04/30/44 |
|
5,327,750 |
|
|
|
4,376,000 |
|
|
|
7.450 |
|
|
04/30/44 |
|
4,616,680 |
|
|
|
15,860,000 |
|
|
|
6.850 |
(a) |
|
01/27/45 |
|
15,691,329 |
|
|
|
6,599,000 |
|
|
|
6.850 |
|
|
01/27/45 |
|
6,528,820 |
|
|
|
17,070,000 |
|
|
|
6.500 |
(a) |
|
02/15/48 |
|
16,271,039 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
73,862,015 |
| |
| Ecuador – 3.5% |
| Republic of Ecuador (B-/NR) |
|
|
|
210,000 |
|
|
|
10.750 |
|
|
03/28/22 |
|
214,462 |
|
|
|
15,464,000 |
|
|
|
7.950 |
|
|
06/20/24 |
|
13,685,640 |
|
|
|
12,740,000 |
|
|
|
9.650 |
(a) |
|
12/13/26 |
|
11,911,900 |
|
|
|
3,540,000 |
|
|
|
9.650 |
|
|
12/13/26 |
|
3,309,900 |
|
|
|
16,260,000 |
|
|
|
9.625 |
(a) |
|
06/02/27 |
|
15,121,800 |
|
|
|
25,470,000 |
|
|
|
8.875 |
(a) |
|
10/23/27 |
|
22,604,625 |
|
|
|
17,620,000 |
|
|
|
7.875 |
(a) |
|
01/23/28 |
|
14,756,750 |
|
|
|
1,160,000 |
|
|
|
7.875 |
|
|
01/23/28 |
|
971,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
82,576,577 |
| |
| Egypt – 1.7% |
| Republic of Egypt (NR/B3) |
|
|
|
8,240,000 |
|
|
|
8.500 |
|
|
01/31/47 |
|
7,951,600 |
| Republic of Egypt
(B/B3)(a) |
| EUR |
|
|
8,360,000 |
|
|
|
4.750 |
|
|
04/16/26 |
|
8,945,173 |
|
|
|
10,810,000 |
|
|
|
5.625 |
|
|
04/16/30 |
|
11,266,847 |
| $ |
|
|
12,010,000 |
|
|
|
7.903 |
|
|
02/21/48 |
|
10,899,075 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
39,062,695 |
| |
| El Salvador – 0.4% |
| Republic of El Salvador (CCC+/B3) |
|
|
|
1,550,000 |
|
|
|
7.375 |
|
|
12/01/19 |
|
1,590,122 |
|
|
|
2,650,000 |
|
|
|
7.750 |
(f) |
|
01/24/23 |
|
2,782,500 |
|
|
|
10,000 |
|
|
|
5.875 |
|
|
01/30/25 |
|
9,388 |
|
|
|
2,310,000 |
|
|
|
6.375 |
|
|
01/18/27 |
|
2,174,287 |
|
|
|
800,000 |
|
|
|
8.625 |
(a) |
|
02/28/29 |
|
859,660 |
|
|
|
1,580,000 |
|
|
|
8.250 |
|
|
04/10/32 |
|
1,635,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,051,257 |
| |
| Gabon – 0.4% |
| Republic of Gabon (NR/NR) |
|
|
|
10,415,000 |
|
|
|
6.375 |
|
|
12/12/24 |
|
9,295,388 |
| |
| Ghana – 0.7% |
| Republic of Ghana (NR/B1) |
|
|
|
3,330,000 |
|
|
|
10.750 |
|
|
10/14/30 |
|
4,029,300 |
| Republic of Ghana (B-/B3) |
|
|
|
1,500,000 |
|
|
|
7.875 |
|
|
08/07/23 |
|
1,531,875 |
|
|
|
3,890,000 |
|
|
|
7.625 |
(a) |
|
05/16/29 |
|
3,792,750 |
|
|
|
7,280,000 |
|
|
|
8.627 |
(a) |
|
06/16/49 |
|
7,079,800 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,433,725 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Sovereign Debt Obligations – (continued) |
| Guatemala – 1.9% |
| Republic of Guatemala (BB-/Ba1) |
| $ |
|
|
3,300,000 |
|
|
|
5.750 |
%(a) |
|
06/06/22 |
|
$ 3,427,875 |
|
|
|
5,740,000 |
|
|
|
5.750 |
|
|
06/06/22 |
|
5,962,425 |
|
|
|
6,440,000 |
|
|
|
4.500 |
(a) |
|
05/03/26 |
|
6,155,191 |
|
|
|
7,730,000 |
|
|
|
4.500 |
|
|
05/03/26 |
|
7,388,141 |
|
|
|
11,300,000 |
|
|
|
4.375 |
(a) |
|
06/05/27 |
|
10,485,213 |
|
|
|
750,000 |
|
|
|
4.375 |
|
|
06/05/27 |
|
695,921 |
|
|
|
10,350,000 |
|
|
|
4.875 |
|
|
02/13/28 |
|
9,858,375 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
43,973,141 |
| |
| Honduras – 0.7% |
| Republic of Honduras (BB-/B1) |
|
|
|
8,410,000 |
|
|
|
8.750 |
(a) |
|
12/16/20 |
|
9,103,825 |
|
|
|
6,018,000 |
|
|
|
8.750 |
|
|
12/16/20 |
|
6,514,485 |
|
|
|
1,310,000 |
|
|
|
7.500 |
(a) |
|
03/15/24 |
|
1,398,425 |
|
|
|
200,000 |
|
|
|
7.500 |
|
|
03/15/24 |
|
213,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,230,235 |
| |
| Hungary – 1.2% |
| Hungary Government Bond (BBB-/Baa3) |
|
|
|
21,770,000 |
|
|
|
6.250 |
|
|
01/29/20 |
|
22,776,862 |
|
|
|
2,950,000 |
|
|
|
5.750 |
|
|
11/22/23 |
|
3,174,938 |
| MFB Magyar Fejlesztesi Bank Zrt
(NR/Baa3)(a)(g) |
|
|
|
2,510,000 |
|
|
|
6.250 |
|
|
10/21/20 |
|
2,622,950 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,574,750 |
| |
| Indonesia – 9.2% |
| Perusahaan Penerbit SBSN (NR/Baa2) |
|
|
|
2,550,000 |
|
|
|
3.400 |
(a) |
|
03/29/22 |
|
2,489,438 |
|
|
|
3,190,000 |
|
|
|
4.350 |
|
|
09/10/24 |
|
3,174,050 |
|
|
|
25,210,000 |
|
|
|
4.150 |
(a) |
|
03/29/27 |
|
24,296,137 |
|
|
|
1,440,000 |
|
|
|
4.150 |
|
|
03/29/27 |
|
1,387,800 |
| Perusahaan Penerbit SBSN (BBB-/Baa2) |
|
|
|
360,000 |
|
|
|
3.300 |
|
|
11/21/22 |
|
347,850 |
|
|
|
6,720,000 |
|
|
|
4.325 |
(a) |
|
05/28/25 |
|
6,661,200 |
|
|
|
3,359,000 |
|
|
|
4.325 |
|
|
05/28/25 |
|
3,329,609 |
|
|
|
1,130,000 |
|
|
|
4.550 |
(a) |
|
03/29/26 |
|
1,122,938 |
| Perusahaan Penerbit SBSN Indonesia III (BBB-/Baa2) |
|
|
|
15,550,000 |
|
|
|
4.550 |
|
|
03/29/26 |
|
15,452,812 |
|
|
|
41,520,000 |
|
|
|
4.400 |
(a) |
|
03/01/28 |
|
40,482,000 |
| Republic of Indonesia (NR/Baa2) |
|
|
|
5,850,000 |
|
|
|
4.350 |
(a) |
|
01/08/27 |
|
5,776,875 |
|
|
|
850,000 |
|
|
|
5.250 |
(a) |
|
01/08/47 |
|
853,188 |
|
|
|
5,450,000 |
|
|
|
5.250 |
|
|
01/08/47 |
|
5,470,438 |
| Republic of Indonesia (BBB-/Baa2) |
|
|
|
8,785,000 |
|
|
|
5.875 |
|
|
03/13/20 |
|
9,147,381 |
| EUR |
|
|
620,000 |
|
|
|
2.625 |
(a) |
|
06/14/23 |
|
752,092 |
| $ |
|
|
610,000 |
|
|
|
5.375 |
|
|
10/17/23 |
|
640,500 |
|
|
|
24,054,000 |
|
|
|
5.875 |
|
|
01/15/24 |
|
25,797,915 |
|
|
|
13,070,000 |
|
|
|
4.125 |
|
|
01/15/25 |
|
12,857,612 |
| EUR |
|
|
11,110,000 |
|
|
|
3.375 |
|
|
07/30/25 |
|
13,931,110 |
| $ |
|
|
15,380,000 |
|
|
|
4.750 |
(a) |
|
01/08/26 |
|
15,591,475 |
| EUR |
|
|
2,430,000 |
|
|
|
3.750 |
(a) |
|
06/14/28 |
|
3,132,171 |
|
|
|
9,760,000 |
|
|
|
3.750 |
|
|
06/14/28 |
|
12,580,242 |
| $ |
|
|
330,000 |
|
|
|
6.625 |
|
|
02/17/37 |
|
378,675 |
|
|
|
7,249,000 |
|
|
|
5.250 |
|
|
01/17/42 |
|
7,294,306 |
|
|
|
1,340,000 |
|
|
|
4.625 |
|
|
04/15/43 |
|
1,242,850 |
|
|
|
1,560,000 |
|
|
|
6.750 |
|
|
01/15/44 |
|
1,858,350 |
|
|
|
1,510,000 |
|
|
|
5.125 |
|
|
01/15/45 |
|
1,493,013 |
|
|
|
552,000 |
|
|
|
5.950 |
|
|
01/08/46 |
|
605,820 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
218,147,847 |
| |
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Sovereign Debt Obligations – (continued) |
| Iraq – 0.1% |
| Republic of Iraq
(NR/NR)(e) |
| $ |
|
|
1,410,000 |
|
|
|
5.800 |
% |
|
01/15/28 |
|
$ 1,258,425 |
| Republic of Iraq (B-/Caa1) |
|
|
|
1,640,000 |
|
|
|
6.752 |
|
|
03/09/23 |
|
1,564,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,822,575 |
| |
| Ivory Coast – 0.5% |
| Republic of Ivory Coast (NR/Ba3) |
| EUR |
|
|
3,030,000 |
|
|
|
5.250 |
|
|
03/22/30 |
|
3,379,204 |
| Republic of Ivory Coast (NR/Ba3) |
| $ |
|
|
1,510,000 |
|
|
|
6.375 |
|
|
03/03/28 |
|
1,421,287 |
|
|
|
2,250,000 |
|
|
|
6.125 |
|
|
06/15/33 |
|
1,977,300 |
| EUR |
|
|
2,370,000 |
|
|
|
6.625 |
(a) |
|
03/22/48 |
|
2,601,625 |
|
|
|
1,830,000 |
|
|
|
6.625 |
|
|
03/22/48 |
|
2,008,850 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,388,266 |
| |
| Kenya – 1.2% |
| Republic of Kenya (B+/NR) |
| $ |
|
|
720,000 |
|
|
|
6.875 |
(a) |
|
06/24/24 |
|
709,200 |
|
|
|
23,911,000 |
|
|
|
6.875 |
|
|
06/24/24 |
|
23,552,335 |
|
|
|
750,000 |
|
|
|
7.250 |
(a) |
|
02/28/28 |
|
718,125 |
|
|
|
3,350,000 |
|
|
|
8.250 |
(a) |
|
02/28/48 |
|
3,119,687 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,099,347 |
| |
| Kuwait – 0.2% |
| Republic of Kuwait (AA/NR) |
|
|
|
1,540,000 |
|
|
|
3.500 |
(a) |
|
03/20/27 |
|
1,497,650 |
|
|
|
2,880,000 |
|
|
|
3.500 |
|
|
03/20/27 |
|
2,800,800 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,298,450 |
| |
| Lebanon – 0.1% |
| Republic of Lebanon (B-/NR) |
|
|
|
2,690,000 |
|
|
|
6.600 |
|
|
11/27/26 |
|
2,084,750 |
|
|
|
1,370,000 |
|
|
|
6.850 |
|
|
03/23/27 |
|
1,072,025 |
|
|
|
160,000 |
|
|
|
6.650 |
|
|
11/03/28 |
|
120,000 |
|
|
|
80,000 |
|
|
|
6.650 |
|
|
02/26/30 |
|
59,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,336,375 |
| |
| Macedonia – 1.3% |
| Republic of Macedonia (BB-/NR) |
| EUR |
|
|
216,000 |
|
|
|
3.975 |
|
|
07/24/21 |
|
267,380 |
|
|
|
5,640,000 |
|
|
|
5.625 |
(a) |
|
07/26/23 |
|
7,483,162 |
|
|
|
5,220,000 |
|
|
|
5.625 |
|
|
07/26/23 |
|
6,925,485 |
|
|
|
10,480,000 |
|
|
|
2.750 |
(a) |
|
01/18/25 |
|
11,993,773 |
|
|
|
4,130,000 |
|
|
|
2.750 |
|
|
01/18/25 |
|
4,726,554 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,396,354 |
| |
| Mexico – 0.5% |
| United Mexican States (BBB+/A3) |
| $ |
|
|
2,118,000 |
|
|
|
4.750 |
|
|
03/08/44 |
|
1,983,507 |
|
|
|
10,285,000 |
|
|
|
4.600 |
|
|
02/10/48 |
|
9,462,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,445,707 |
| |
| Mongolia – 0.1% |
| Republic of Mongolia (B-/B3) |
|
|
|
2,049,000 |
|
|
|
5.125 |
|
|
12/05/22 |
|
1,915,815 |
|
|
|
1,140,000 |
|
|
|
5.625 |
(a) |
|
05/01/23 |
|
1,074,450 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,990,265 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Sovereign Debt Obligations – (continued) |
| Nigeria – 2.3% |
| Republic of Nigeria (B/NR) |
| $ |
|
|
493,000 |
|
|
|
6.750 |
% |
|
01/28/21 |
|
$ 500,149 |
|
|
|
4,770,000 |
|
|
|
6.375 |
|
|
07/12/23 |
|
4,704,413 |
| Republic of Nigeria (B/B2) |
|
|
|
2,560,000 |
|
|
|
5.625 |
|
|
06/27/22 |
|
2,505,600 |
|
|
|
8,510,000 |
|
|
|
6.500 |
(a) |
|
11/28/27 |
|
7,893,025 |
|
|
|
7,970,000 |
|
|
|
7.143 |
(a) |
|
02/23/30 |
|
7,521,687 |
|
|
|
2,260,000 |
|
|
|
7.875 |
(a) |
|
02/16/32 |
|
2,211,975 |
|
|
|
12,490,000 |
|
|
|
7.875 |
|
|
02/16/32 |
|
12,224,587 |
|
|
|
13,190,000 |
|
|
|
7.696 |
(a) |
|
02/23/38 |
|
12,448,062 |
|
|
|
1,650,000 |
|
|
|
7.696 |
|
|
02/23/38 |
|
1,557,188 |
|
|
|
4,060,000 |
|
|
|
7.625 |
(a) |
|
11/28/47 |
|
3,704,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
55,271,436 |
| |
| Oman(a) – 1.5% |
| Oman Government International Bond (NR/Baa3) |
|
|
|
6,700,000 |
|
|
|
5.625 |
|
|
01/17/28 |
|
6,298,000 |
|
|
|
32,630,000 |
|
|
|
6.750 |
|
|
01/17/48 |
|
29,530,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
35,828,150 |
| |
| Pakistan – 1.2% |
| Islamic Republic of Pakistan (B/B3) |
|
|
|
2,290,000 |
|
|
|
8.250 |
|
|
04/15/24 |
|
2,195,537 |
|
|
|
30,920,000 |
|
|
|
6.875 |
(a) |
|
12/05/27 |
|
26,900,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,095,937 |
| |
| Panama – 0.2% |
| Panama Notas del Tesoro (BBB/NR) |
|
|
|
920,000 |
|
|
|
4.875 |
|
|
02/05/21 |
|
948,244 |
| Republic of Panama
(BBB/Baa2)(e) |
|
|
|
3,780,000 |
|
|
|
4.500 |
|
|
04/16/50 |
|
3,647,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,595,944 |
| |
| Paraguay – 1.9% |
| Republic of Paraguay (BB/NR) |
|
|
|
4,900,000 |
|
|
|
5.600 |
(a) |
|
03/13/48 |
|
4,795,875 |
|
|
|
2,080,000 |
|
|
|
5.600 |
|
|
03/13/48 |
|
2,035,800 |
| Republic of Paraguay (BB/Ba1) |
|
|
|
12,098,000 |
|
|
|
4.625 |
|
|
01/25/23 |
|
12,294,593 |
|
|
|
3,930,000 |
|
|
|
5.000 |
(a) |
|
04/15/26 |
|
3,956,822 |
|
|
|
3,445,000 |
|
|
|
5.000 |
|
|
04/15/26 |
|
3,468,512 |
|
|
|
11,550,000 |
|
|
|
4.700 |
(a) |
|
03/27/27 |
|
11,290,125 |
|
|
|
6,470,000 |
|
|
|
6.100 |
|
|
08/11/44 |
|
6,664,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
44,505,827 |
| |
| Philippines – 0.1% |
| Republic of Philippines (BBB/Baa2) |
|
|
|
3,270,000 |
|
|
|
3.000 |
|
|
02/01/28 |
|
3,020,663 |
| |
| Qatar(a) – 0.8% |
| Qatar Government Bond (AA-/Aa3) |
|
|
|
11,490,000 |
|
|
|
5.103 |
|
|
04/23/48 |
|
11,461,275 |
| Qatar Government Bond (AA-/Aa3) |
|
|
|
3,860,000 |
|
|
|
3.875 |
|
|
04/23/23 |
|
3,855,175 |
|
|
|
4,200,000 |
|
|
|
4.500 |
|
|
04/23/28 |
|
4,242,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,558,450 |
| |
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Sovereign Debt Obligations – (continued) |
| Romania – 1.6% |
| Republic of Romania (BBB-/Baa3) |
| $ |
|
|
4,090,000 |
|
|
|
6.750 |
% |
|
02/07/22 |
|
$ 4,458,100 |
|
|
|
1,850,000 |
|
|
|
4.375 |
|
|
08/22/23 |
|
1,863,875 |
| EUR |
|
|
4,370,000 |
|
|
|
2.375 |
(a) |
|
04/19/27 |
|
5,103,286 |
|
|
|
2,280,000 |
|
|
|
3.875 |
|
|
10/29/35 |
|
2,715,836 |
|
|
|
9,740,000 |
|
|
|
3.875 |
(a) |
|
10/29/35 |
|
11,601,859 |
|
|
|
3,940,000 |
|
|
|
3.375 |
(a) |
|
02/08/38 |
|
4,359,573 |
| $ |
|
|
7,620,000 |
|
|
|
5.125 |
(a) |
|
06/15/48 |
|
7,372,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
37,474,879 |
| |
| Russia – 1.0% |
| Russian Federation Bond (NR/NR) |
|
|
|
19,200,000 |
|
|
|
4.750 |
|
|
05/27/26 |
|
19,238,400 |
| Russian Federation Bond (BBB-/Ba1) |
|
|
|
800,000 |
|
|
|
4.500 |
(a) |
|
04/04/22 |
|
814,000 |
|
|
|
2,000,000 |
|
|
|
4.875 |
(a) |
|
09/16/23 |
|
2,078,000 |
|
|
|
200,000 |
|
|
|
4.875 |
|
|
09/16/23 |
|
207,800 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,338,200 |
| |
| Senegal(a) –
0.4% |
| Republic of Senegal (B+/Ba3) |
| EUR |
|
|
9,260,000 |
|
|
|
4.750 |
|
|
03/13/28 |
|
10,056,860 |
| |
| South Africa – 3.8% |
| Republic of South Africa (NR/Baa3) |
| $ |
|
|
7,960,000 |
|
|
|
4.850 |
|
|
09/27/27 |
|
7,522,200 |
|
|
|
26,350,000 |
|
|
|
5.650 |
|
|
09/27/47 |
|
23,682,063 |
| Republic of South Africa (BB/Baa3) |
|
|
|
2,700,000 |
|
|
|
4.665 |
|
|
01/17/24 |
|
2,649,375 |
|
|
|
29,125,000 |
|
|
|
5.875 |
|
|
09/16/25 |
|
29,853,125 |
|
|
|
260,000 |
|
|
|
4.300 |
|
|
10/12/28 |
|
231,725 |
| Republic of South Africa (BB+/Baa3) |
| ZAR |
|
|
32,070,000 |
|
|
|
8.000 |
|
|
01/31/30 |
|
2,135,054 |
|
|
|
80,030,000 |
|
|
|
7.000 |
|
|
02/28/31 |
|
4,833,071 |
|
|
|
124,552,000 |
|
|
|
8.250 |
|
|
03/31/32 |
|
8,268,691 |
|
|
|
28,560,000 |
|
|
|
8.875 |
|
|
02/28/35 |
|
1,966,044 |
|
|
|
40,875,000 |
|
|
|
6.250 |
|
|
03/31/36 |
|
2,152,467 |
|
|
|
9,680,000 |
|
|
|
9.000 |
|
|
01/31/40 |
|
663,667 |
|
|
|
16,040,000 |
|
|
|
6.500 |
|
|
02/28/41 |
|
832,864 |
|
|
|
60,020,000 |
|
|
|
8.750 |
|
|
01/31/44 |
|
3,993,851 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
88,784,197 |
| |
| Sri Lanka – 3.9% |
| Republic of Sri Lanka
(NR/B1)(a) |
| $ |
|
|
18,660,000 |
|
|
|
6.750 |
|
|
04/18/28 |
|
17,587,050 |
| Republic of Sri Lanka (B+/B1) |
|
|
|
1,180,000 |
|
|
|
6.000 |
(a) |
|
01/14/19 |
|
1,182,950 |
|
|
|
360,000 |
|
|
|
6.000 |
|
|
01/14/19 |
|
360,900 |
|
|
|
1,222,000 |
|
|
|
6.250 |
(a) |
|
10/04/20 |
|
1,237,275 |
|
|
|
1,260,000 |
|
|
|
6.250 |
|
|
10/04/20 |
|
1,275,750 |
|
|
|
7,814,000 |
|
|
|
6.250 |
|
|
07/27/21 |
|
7,862,838 |
|
|
|
7,300,000 |
|
|
|
5.750 |
(a) |
|
01/18/22 |
|
7,172,250 |
|
|
|
19,380,000 |
|
|
|
5.750 |
(a) |
|
04/18/23 |
|
18,604,800 |
|
|
|
12,000,000 |
|
|
|
6.125 |
|
|
06/03/25 |
|
11,220,000 |
|
|
|
7,600,000 |
|
|
|
6.850 |
(a) |
|
11/03/25 |
|
7,343,500 |
|
|
|
14,070,000 |
|
|
|
6.850 |
|
|
11/03/25 |
|
13,595,137 |
|
|
|
4,620,000 |
|
|
|
6.825 |
|
|
07/18/26 |
|
4,423,650 |
|
|
|
280,000 |
|
|
|
6.200 |
|
|
05/11/27 |
|
255,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
92,121,600 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Sovereign Debt Obligations – (continued) |
| Suriname – 0.5% |
| Republic of Suriname (B/B2) |
| $ |
|
|
5,346,000 |
|
|
|
9.250 |
% |
|
10/26/26 |
|
$ 5,092,626 |
|
|
|
6,370,000 |
|
|
|
9.250 |
(a) |
|
10/26/26 |
|
6,068,094 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,160,720 |
| |
| Tunisia – 0.0% |
| Banque Centrale de Tunisie International Bond (NR/B2) |
| EUR |
|
|
610,000 |
|
|
|
5.625 |
|
|
02/17/24 |
|
694,549 |
| |
| Turkey – 6.3% |
| Republic of Turkey (NR/Ba2) |
| $ |
|
|
2,990,000 |
|
|
|
3.250 |
|
|
03/23/23 |
|
2,649,888 |
|
|
|
21,863,000 |
|
|
|
5.750 |
|
|
03/22/24 |
|
21,097,795 |
| EUR |
|
|
8,370,000 |
|
|
|
3.250 |
|
|
06/14/25 |
|
9,090,272 |
| $ |
|
|
4,346,000 |
|
|
|
4.250 |
|
|
04/14/26 |
|
3,715,830 |
|
|
|
5,050,000 |
|
|
|
4.875 |
|
|
10/09/26 |
|
4,431,375 |
|
|
|
6,791,000 |
|
|
|
6.000 |
|
|
03/25/27 |
|
6,366,563 |
|
|
|
960,000 |
|
|
|
5.125 |
|
|
02/17/28 |
|
844,800 |
|
|
|
24,010,000 |
|
|
|
6.125 |
|
|
10/24/28 |
|
22,509,375 |
|
|
|
17,130,000 |
|
|
|
4.875 |
|
|
04/16/43 |
|
12,761,850 |
|
|
|
27,520,000 |
|
|
|
5.750 |
|
|
05/11/47 |
|
22,188,000 |
|
|
|
6,700,000 |
|
|
|
7.000 |
|
|
06/05/20 |
|
6,859,125 |
|
|
|
18,866,000 |
|
|
|
6.250 |
|
|
09/26/22 |
|
18,936,747 |
|
|
|
10,539,000 |
|
|
|
7.375 |
|
|
02/05/25 |
|
10,894,691 |
|
|
|
3,100,000 |
|
|
|
6.875 |
|
|
03/17/36 |
|
2,917,875 |
|
|
|
450,000 |
|
|
|
6.750 |
|
|
05/30/40 |
|
410,625 |
|
|
|
3,380,000 |
|
|
|
6.000 |
|
|
01/14/41 |
|
2,864,550 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
148,539,361 |
| |
| Ukraine – 1.8% |
| Ukraine Government Bond (B-/Caa2) |
|
|
|
1,440,000 |
|
|
|
7.750 |
|
|
09/01/21 |
|
1,415,520 |
|
|
|
2,260,000 |
|
|
|
7.750 |
|
|
09/01/22 |
|
2,198,415 |
|
|
|
7,910,000 |
|
|
|
7.750 |
|
|
09/01/23 |
|
7,593,600 |
|
|
|
14,000,000 |
|
|
|
7.750 |
|
|
09/01/24 |
|
13,198,500 |
|
|
|
8,710,000 |
|
|
|
7.750 |
|
|
09/01/25 |
|
8,124,253 |
|
|
|
4,230,000 |
|
|
|
7.750 |
|
|
09/01/26 |
|
3,903,232 |
|
|
|
6,050,000 |
|
|
|
7.750 |
|
|
09/01/27 |
|
5,535,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
41,969,270 |
| |
| United Arab Emirates – 1.1% |
| Abu Dhabi Government International Bond (AA/NR) |
|
|
|
9,110,000 |
|
|
|
3.125 |
|
|
05/03/26 |
|
8,654,500 |
|
|
|
13,520,000 |
|
|
|
3.125 |
(a) |
|
10/11/27 |
|
12,590,500 |
|
|
|
4,110,000 |
|
|
|
4.125 |
(a) |
|
10/11/47 |
|
3,760,650 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,005,650 |
| |
| Uruguay – 0.2% |
| Republic of Uruguay (NR/Baa2) |
|
|
|
5,010,000 |
|
|
|
4.975 |
|
|
04/20/55 |
|
4,803,338 |
| |
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Sovereign Debt Obligations – (continued) |
| Venezuela(h) –
0.1% |
| Republic of Venezuela (D/C) |
| $ |
|
|
410,000 |
|
|
|
6.000 |
% |
|
12/09/20 |
|
$ 106,600 |
|
|
|
9,275,600 |
|
|
|
8.250 |
|
|
10/13/24 |
|
2,504,412 |
|
|
|
1,375,000 |
|
|
|
9.250 |
|
|
05/07/28 |
|
371,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,982,262 |
| |
| Vietnam – 0.2% |
| Debt and Asset Trading Corp.
(NR/NR)(e)(g) |
|
|
|
1,140,000 |
|
|
|
1.000 |
|
|
10/10/25 |
|
784,155 |
| Socialist Republic of Vietnam
(BB-/B1)(a) |
|
|
|
4,540,000 |
|
|
|
6.750 |
|
|
01/29/20 |
|
4,698,900 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,483,055 |
| |
| Zambia – 0.7% |
| Republic of Zambia (B/NR) |
|
|
|
8,164,000 |
|
|
|
5.375 |
|
|
09/20/22 |
|
6,776,120 |
|
|
|
3,530,000 |
|
|
|
8.500 |
|
|
04/14/24 |
|
3,124,050 |
|
|
|
8,460,000 |
|
|
|
8.970 |
|
|
07/30/27 |
|
7,465,950 |
|
|
17,366,120 |
| |
| TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $1,722,491,215) |
|
$1,612,176,411 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Obligations – 25.3% |
| Argentina(e) –
0.1% |
| Cablevision SA (NR/B1) |
| $ |
|
|
1,600,000 |
|
|
|
6.500 |
%(a) |
|
06/15/21 |
|
$ 1,590,080 |
|
|
|
1,210,000 |
|
|
|
6.500 |
|
|
06/15/21 |
|
1,202,498 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,792,578 |
| |
| Brazil – 0.7% |
| Embraer Overseas Ltd. (BBB/Ba1) |
|
|
|
890,000 |
|
|
|
5.696 |
|
|
09/16/23 |
|
932,720 |
| Banco do Brasil SA
(CCC+/NR)(c)(e)(10 Year CMT + 4.398%) |
|
|
|
6,550,000 |
|
|
|
6.250 |
|
|
10/29/49 |
|
5,068,062 |
| Banco do Brasil SA
(CCC+/B2)(c)(e)(10 Year CMT + 6.362%) |
|
|
|
8,890,000 |
|
|
|
9.000 |
|
|
06/29/49 |
|
8,509,508 |
| Samarco Mineracao SA
(NR/WR)(h) |
|
|
|
2,735,000 |
|
|
|
4.125 |
|
|
11/01/22 |
|
1,989,713 |
|
|
|
780,000 |
|
|
|
5.750 |
|
|
10/24/23 |
|
569,400 |
|
|
|
220,000 |
|
|
|
5.375 |
|
|
09/26/24 |
|
160,050 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,229,453 |
| |
| British Virgin Islands – 0.3% |
| Huarong Finance 2017 Co. Ltd.
(NR/Baa1)(c)(e) |
| (5 Year CMT + 6.983%) |
|
|
|
2,140,000 |
|
|
|
4.000 |
|
|
12/31/99 |
|
2,022,300 |
| (5 Year CMT + 7.773%) |
|
|
|
1,000,000 |
|
|
|
4.500 |
|
|
12/31/99 |
|
977,500 |
| Huarong Finance II Co. Ltd. |
|
|
|
1,670,000 |
|
|
|
5.500 |
|
|
01/16/25 |
|
1,708,214 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
11/19/25 |
|
992,500 |
| Wanda Properties International Co. Ltd. (B+/Ba3) |
|
|
|
280,000 |
|
|
|
7.250 |
|
|
01/29/24 |
|
273,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,973,864 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Burundi – 0.2% |
| Eastern and Southern African Trade and Development Bank (NR/Baa3) |
| $ |
|
|
3,990,000 |
|
|
|
5.375 |
% |
|
03/14/22 |
|
$ 3,954,728 |
| |
| Chile – 0.8% |
| Embotelladora Andina SA
(BBB/NR)(a) |
|
|
|
980,000 |
|
|
|
5.000 |
|
|
10/01/23 |
|
1,014,300 |
| Engie Energia Chile SA (BBB/NR) |
|
|
|
1,270,000 |
|
|
|
5.625 |
(a) |
|
01/15/21 |
|
1,317,625 |
|
|
|
430,000 |
|
|
|
5.625 |
|
|
01/15/21 |
|
446,125 |
| GNL Quintero SA (BBB/Baa2) |
|
|
|
5,920,000 |
|
|
|
4.634 |
(a) |
|
07/31/29 |
|
5,795,680 |
|
|
|
740,000 |
|
|
|
4.634 |
|
|
07/31/29 |
|
724,460 |
| Inversiones CMPC SA
(BBB-/NR)(e) |
|
|
|
375,000 |
|
|
|
4.375 |
|
|
05/15/23 |
|
372,844 |
| Itau CorpBanca (BBB+/A3) |
|
|
|
4,071,000 |
|
|
|
3.875 |
(a) |
|
09/22/19 |
|
4,085,249 |
|
|
|
690,000 |
|
|
|
3.875 |
|
|
09/22/19 |
|
692,415 |
| Sociedad Quimica y Minera de Chile SA (BBB+/Baa1) |
|
|
|
793,000 |
|
|
|
3.625 |
|
|
04/03/23 |
|
768,179 |
|
|
|
3,991,000 |
|
|
|
4.375 |
(a)(e) |
|
01/28/25 |
|
3,947,797 |
|
|
|
290,000 |
|
|
|
4.375 |
(e) |
|
01/28/25 |
|
286,861 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,451,535 |
| |
| China(e) – 0.6% |
| China Evergrande Group (NR/B2) |
|
|
|
2,930,000 |
|
|
|
8.250 |
|
|
03/23/22 |
|
2,798,150 |
| China Evergrande Group (B-/B2) |
|
|
|
3,150,000 |
|
|
|
8.750 |
|
|
06/28/25 |
|
2,769,197 |
| Kaisa Group Holdings Ltd. (NR/NR) |
|
|
|
5,250,000 |
|
|
|
8.500 |
|
|
06/30/22 |
|
4,206,563 |
|
|
|
6,410,000 |
|
|
|
9.375 |
|
|
06/30/24 |
|
4,879,612 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,653,522 |
| |
| Colombia(a) –
0.6% |
| Banco de Bogota SA (NR/Ba2) |
|
|
|
13,770,000 |
|
|
|
6.250 |
|
|
05/12/26 |
|
14,077,071 |
| |
| Costa Rica – 0.4% |
| Banco de Costa Rica
(NR/Ba2)(g) |
|
|
|
4,870,000 |
|
|
|
5.250 |
(a) |
|
08/12/18 |
|
4,865,130 |
|
|
|
1,010,000 |
|
|
|
5.250 |
|
|
08/12/18 |
|
1,008,990 |
| Banco Nacional de Costa Rica (NR/Ba2) |
|
|
|
3,000,000 |
|
|
|
4.875 |
(a) |
|
11/01/18 |
|
2,997,000 |
|
|
|
380,000 |
|
|
|
4.875 |
|
|
11/01/18 |
|
379,620 |
|
|
|
1,030,000 |
|
|
|
6.250 |
(a) |
|
11/01/23 |
|
1,049,313 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,300,053 |
| |
| Dominican Republic(a)(e) –
0.3% |
| Aeropuertos Dominicanos Siglo XXI SA (BB-/Ba3) |
|
|
|
6,150,000 |
|
|
|
6.750 |
|
|
03/30/29 |
|
6,396,000 |
| |
| Ecuador(g) –
0.1% |
| EP PetroEcuador via Noble Sovereign Funding I Ltd. (B-/NR)(c)(3M USD LIBOR + 5.630%) |
|
|
|
1,122,368 |
|
|
|
7.966 |
|
|
09/24/19 |
|
1,099,921 |
| Petroamazonas EP
(NR/NR)(a) |
|
|
|
1,120,000 |
|
|
|
4.625 |
|
|
11/06/20 |
|
1,013,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,113,521 |
| |
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| France(a)(e) –
0.1% |
| CMA CGM SA (B-/B3) |
| EUR |
|
|
1,430,000 |
|
|
|
5.250 |
% |
|
01/15/25 |
|
$ 1,352,913 |
| |
| Guatemala(a)(e) –
0.1% |
| Central American Bottling Corp. (BB/Ba2) |
| $ |
|
|
2,990,000 |
|
|
|
5.750 |
|
|
01/31/27 |
|
2,963,838 |
| |
| Hong Kong – 0.3% |
| CNAC HK Finbridge Co. Ltd. (BBB/NR) |
|
|
|
5,400,000 |
|
|
|
4.125 |
|
|
07/19/27 |
|
4,974,750 |
| Huarong Finance 2017 Co. Ltd. (NR/Baa1) |
|
|
|
1,680,000 |
|
|
|
4.750 |
|
|
04/27/27 |
|
1,616,479 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,591,229 |
| |
| India – 0.9% |
| Greenko Investment Co. (B+/NR) |
|
|
|
4,260,000 |
|
|
|
4.875 |
(a)(e) |
|
08/16/23 |
|
3,839,325 |
|
|
|
200,000 |
|
|
|
4.875 |
|
|
08/16/23 |
|
180,250 |
| Hindustan Petroleum Corp. Ltd. (NR/Baa2) |
|
|
|
4,600,000 |
|
|
|
4.000 |
|
|
07/12/27 |
|
4,226,250 |
| NTPC Ltd. (BBB-/NR) |
| EUR |
|
|
2,000,000 |
|
|
|
2.750 |
|
|
02/01/27 |
|
2,336,663 |
| Reliance Industries Ltd. (BBB+/Baa2) |
| $ |
|
|
1,380,000 |
|
|
|
4.125 |
|
|
01/28/25 |
|
1,342,112 |
|
|
|
7,640,000 |
|
|
|
3.667 |
(a) |
|
11/30/27 |
|
7,019,250 |
|
|
|
1,430,000 |
|
|
|
3.667 |
|
|
11/30/27 |
|
1,313,812 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,257,662 |
| |
| Ireland – 0.7% |
| Credit Bank of Moscow Via CBOM Finance PLC (BB-/Ba3)(a) |
|
|
|
3,010,000 |
|
|
|
5.550 |
|
|
02/14/23 |
|
2,863,262 |
| Credit Bank of Moscow Via CBOM Finance PLC (NR/NR)(c)(e)(5 Year USD Swap + 5.416%) |
|
|
|
710,000 |
|
|
|
7.500 |
|
|
10/05/27 |
|
568,000 |
| Credit Bank of Moscow Via CBOM Finance PLC (NR/Caa2)(c)(e)(5 Year USD Swap + 6.942%) |
|
|
|
5,740,000 |
|
|
|
8.875 |
|
|
08/10/66 |
|
4,649,400 |
| Phosagro OAO Via Phosagro Bond Funding DAC (BBB-/Baa3)(a) |
|
|
|
9,810,000 |
|
|
|
3.949 |
|
|
04/24/23 |
|
9,286,146 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,366,808 |
| |
| Isle Of Man – 0.3% |
| Gohl Capital Ltd. (NR/Baa1) |
|
|
|
8,510,000 |
|
|
|
4.250 |
|
|
01/24/27 |
|
8,041,950 |
| |
| Israel(a) –
0.0% |
| Delek & Avner Tamar Bond Ltd. (BBB-/Baa3) |
|
|
|
960,000 |
|
|
|
3.839 |
|
|
12/30/18 |
|
960,000 |
| |
| Italy(e) – 0.8% |
| Wind Tre SpA (BB-/B1) |
| EUR |
|
|
7,200,000 |
|
|
|
2.625 |
(a) |
|
01/20/23 |
|
7,057,053 |
|
|
|
2,830,000 |
|
|
|
2.625 |
|
|
01/20/23 |
|
2,773,814 |
| $ |
|
|
10,835,000 |
|
|
|
5.000 |
(a) |
|
01/20/26 |
|
8,532,562 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,363,429 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Ivory Coast – 0.6% |
| Agromercantil Senior Trust
(BB-/NR)(a) |
| $ |
|
|
3,420,000 |
|
|
|
6.250 |
% |
|
04/10/19 |
|
$ 3,453,875 |
| Brazil Minas SPE via State of Minas Gerais (BB-/NR)(a)(g) |
|
|
|
4,980,000 |
|
|
|
5.333 |
|
|
02/15/28 |
|
4,798,230 |
| Comunicaciones Celulares SA Via Comcel Trust (NR/Ba1)(e) |
|
|
|
810,000 |
|
|
|
6.875 |
(a) |
|
02/06/24 |
|
832,761 |
|
|
|
4,390,000 |
|
|
|
6.875 |
|
|
02/06/24 |
|
4,513,359 |
| Independencia International Ltd.
(NR/NR)(a)(h)(i) |
|
|
|
1,277,436 |
|
|
|
12.000 |
|
|
12/30/16 |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,598,225 |
| |
| Jamaica(e) –
0.5% |
| Digicel Group Ltd. (NR/Caa1) |
|
|
|
880,000 |
|
|
|
8.250 |
|
|
09/30/20 |
|
664,400 |
| Digicel Ltd. (NR/B1) |
|
|
|
3,860,000 |
|
|
|
6.000 |
(a) |
|
04/15/21 |
|
3,483,650 |
|
|
|
2,760,000 |
|
|
|
6.000 |
|
|
04/15/21 |
|
2,490,900 |
|
|
|
4,300,000 |
|
|
|
6.750 |
(a) |
|
03/01/23 |
|
3,569,000 |
|
|
|
2,740,000 |
|
|
|
6.750 |
|
|
03/01/23 |
|
2,274,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,482,150 |
| |
| Japan(e) – 0.4% |
| SoftBank Group Corp. (BB+/Ba1) |
| EUR |
|
|
1,175,000 |
|
|
|
3.125 |
|
|
09/19/25 |
|
1,251,071 |
| SoftBank Group Corp.
(B+/Ba3)(c)(5 Year USD ICE Swap + 4.226%) |
| $ |
|
|
8,670,000 |
|
|
|
6.000 |
|
|
12/31/99 |
|
7,553,738 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,804,809 |
| |
| Kazakhstan – 0.5% |
| KazMunayGas National Co. JSC (BB-/Baa3) |
|
|
|
11,640,000 |
|
|
|
9.125 |
|
|
07/02/18 |
|
11,640,000 |
| |
| Luxembourg – 1.5% |
| Altice Financing SA
(B+/B1)(e) |
|
|
|
1,160,000 |
|
|
|
6.625 |
(a) |
|
02/15/23 |
|
1,139,700 |
|
|
|
1,590,000 |
|
|
|
6.625 |
|
|
02/15/23 |
|
1,562,175 |
|
|
|
1,700,000 |
|
|
|
7.500 |
(a) |
|
05/15/26 |
|
1,640,500 |
|
|
|
11,480,000 |
|
|
|
7.500 |
|
|
05/15/26 |
|
11,078,200 |
| Gazprom OAO Via Gaz Capital SA (BBB-/Baa3) |
|
|
|
6,400,000 |
|
|
|
9.250 |
(f) |
|
04/23/19 |
|
6,668,800 |
|
|
|
410,000 |
|
|
|
8.625 |
(f) |
|
04/28/34 |
|
507,375 |
|
|
|
5,560,000 |
|
|
|
7.288 |
|
|
08/16/37 |
|
6,255,000 |
| Millicom International Cellular SA
(NR/Ba2)(a)(e) |
|
|
|
1,070,000 |
|
|
|
5.125 |
|
|
01/15/28 |
|
974,770 |
| Sberbank of Russia Via SB Capital SA
(NR/NR)(c)(e)(5 Year CMT + 4.023%) |
|
|
|
4,490,000 |
|
|
|
5.500 |
|
|
02/26/24 |
|
4,501,225 |
| Tupy Overseas SA
(BB-/NR)(e) |
|
|
|
1,600,000 |
|
|
|
6.625 |
(a) |
|
07/17/24 |
|
1,603,840 |
|
|
|
219,000 |
|
|
|
6.625 |
|
|
07/17/24 |
|
219,526 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
36,151,111 |
| |
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Mauritius – 0.4% |
| MTN Mauritius Investment Ltd. (BB+/Ba1) |
| $ |
|
|
1,120,000 |
|
|
|
5.373 |
% |
|
02/13/22 |
|
$ 1,103,200 |
|
|
|
2,040,000 |
|
|
|
6.500 |
(a) |
|
10/13/26 |
|
2,037,450 |
|
|
|
283,000 |
|
|
|
6.500 |
|
|
10/13/26 |
|
282,646 |
| Neerg Energy Ltd.
(NR/Ba3)(e) |
|
|
|
3,440,000 |
|
|
|
6.000 |
(a) |
|
02/13/22 |
|
3,139,000 |
|
|
|
3,650,000 |
|
|
|
6.000 |
|
|
02/13/22 |
|
3,330,625 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,892,921 |
| |
| Mexico – 3.5% |
| America Movil SAB de CV (A-/A3) |
| MXN |
|
|
19,010,000 |
|
|
|
6.000 |
|
|
06/09/19 |
|
931,962 |
| Banco Mercantil del Norte SA
(BB/Ba2)(a)(c)(e)(10 Year CMT + 5.353%) |
| $ |
|
|
3,040,000 |
|
|
|
7.625 |
|
|
12/31/99 |
|
2,987,408 |
| BBVA Bancomer SA
(BB+/NR)(a)(c)(e)(5 Year CMT + 2.650%) |
|
|
|
3,930,000 |
|
|
|
5.125 |
|
|
01/18/33 |
|
3,482,963 |
| Corporacion Geo SA
(NR/NR)(i) |
|
|
|
277,766 |
|
|
|
8.000 |
|
|
04/13/21 |
|
— |
| Gruma SAB de CV
(BBB/NR)(a)(e) |
|
|
|
2,220,000 |
|
|
|
4.875 |
|
|
12/01/24 |
|
2,244,975 |
| Petroleos Mexicanos (BBB+/Baa3) |
|
|
|
7,349,000 |
|
|
|
6.375 |
|
|
02/04/21 |
|
7,734,822 |
|
|
|
35,000 |
|
|
|
4.875 |
|
|
01/24/22 |
|
35,308 |
|
|
|
2,610,000 |
|
|
|
5.375 |
|
|
03/13/22 |
|
2,671,335 |
|
|
|
290,000 |
|
|
|
3.500 |
|
|
01/30/23 |
|
274,534 |
| EUR |
|
|
15,380,000 |
|
|
|
5.125 |
|
|
03/15/23 |
|
19,689,488 |
| $ |
|
|
7,549,000 |
|
|
|
6.875 |
|
|
08/04/26 |
|
7,933,999 |
|
|
|
14,960,000 |
|
|
|
6.500 |
|
|
03/13/27 |
|
15,340,283 |
| EUR |
|
|
2,650,000 |
|
|
|
4.875 |
|
|
02/21/28 |
|
3,210,720 |
| $ |
|
|
610,000 |
|
|
|
6.375 |
|
|
01/23/45 |
|
561,810 |
|
|
|
7,887,000 |
|
|
|
6.750 |
|
|
09/21/47 |
|
7,425,611 |
|
|
|
1,922,000 |
|
|
|
6.350 |
(a) |
|
02/12/48 |
|
1,734,605 |
| Unifin Financiera SAB de CV SOFOM ENR
(BB/NR)(a)(e) |
|
|
|
6,720,000 |
|
|
|
7.375 |
|
|
02/12/26 |
|
6,133,344 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
82,393,167 |
| |
| Netherlands – 2.7% |
| Embraer Netherlands Finance BV (BBB/NR) |
|
|
|
330,000 |
|
|
|
5.400 |
|
|
02/01/27 |
|
340,494 |
| Embraer Netherlands Finance BV (BBB/Ba1) |
|
|
|
654,000 |
|
|
|
5.050 |
|
|
06/15/25 |
|
662,502 |
| Greenko Dutch BV
(NR/Ba2)(a)(e) |
|
|
|
1,670,000 |
|
|
|
4.875 |
|
|
07/24/22 |
|
1,544,750 |
|
|
|
6,890,000 |
|
|
|
5.250 |
|
|
07/24/24 |
|
6,226,838 |
| Listrindo Capital BV
(BB/Ba2)(a)(e) |
|
|
|
750,000 |
|
|
|
4.950 |
|
|
09/14/26 |
|
671,250 |
| Lukoil International Finance BV (BBB/NR) |
|
|
|
1,590,000 |
|
|
|
4.750 |
|
|
11/02/26 |
|
1,574,100 |
| Lukoil International Finance BV (BBB/Baa3) |
|
|
|
1,650,000 |
|
|
|
6.125 |
|
|
11/09/20 |
|
1,728,375 |
|
|
|
1,450,000 |
|
|
|
4.563 |
|
|
04/24/23 |
|
1,464,500 |
| Metinvest BV
(B-/NR)(a)(e) |
|
|
|
6,400,000 |
|
|
|
7.750 |
|
|
04/23/23 |
|
5,952,000 |
| Minejesa Capital BV (NR/Baa3) |
|
|
|
1,310,000 |
|
|
|
4.625 |
|
|
08/10/30 |
|
1,194,805 |
| Petrobras Global Finance BV (BB-/Ba2) |
|
|
|
4,683,000 |
|
|
|
6.125 |
|
|
01/17/22 |
|
4,769,636 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Netherlands – (continued) |
| Syngenta Finance NV
(BBB-/Ba2)(e) |
| EUR |
|
|
2,200,000 |
|
|
|
1.250 |
% |
|
09/10/27 |
|
$ 2,229,080 |
| $ |
|
|
28,840,000 |
|
|
|
5.182 |
(a) |
|
04/24/28 |
|
27,854,463 |
|
|
|
8,480,000 |
|
|
|
5.676 |
(a) |
|
04/24/48 |
|
7,928,420 |
| Teva Pharmaceutical Finance Netherlands III BV (BB/Ba2) |
|
|
|
980,000 |
|
|
|
1.700 |
|
|
07/19/19 |
|
956,704 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
65,097,917 |
| |
| Pakistan(a) –
0.3% |
| The Third Pakistan International Sukuk Co. Ltd. (B/B3) |
|
|
|
8,610,000 |
|
|
|
5.625 |
|
|
12/05/22 |
|
7,749,000 |
| |
| Panama(a) –
0.0% |
| Autoridad del Canal de Panama (A-/A2) |
|
|
|
380,000 |
|
|
|
4.950 |
|
|
07/29/35 |
|
395,675 |
| |
| Paraguay – 0.4% |
| Banco Regional SAECA (BB/Ba1) |
|
|
|
4,670,000 |
|
|
|
8.125 |
(a) |
|
01/24/19 |
|
4,748,900 |
|
|
|
905,000 |
|
|
|
8.125 |
|
|
01/24/19 |
|
920,290 |
| Telefonica Celular del Paraguay SA
(NR/Ba2)(e) |
|
|
|
2,700,000 |
|
|
|
6.750 |
|
|
12/13/22 |
|
2,754,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,423,190 |
| |
| Peru – 0.5% |
| ABY Transmision Sur SA
(BBB/NR)(a) |
|
|
|
5,114,076 |
|
|
|
6.875 |
|
|
04/30/43 |
|
5,491,239 |
| Corp. Lindley SA (BBB/NR) |
|
|
|
1,630,000 |
|
|
|
6.750 |
(a) |
|
11/23/21 |
|
1,740,163 |
|
|
|
3,560,000 |
|
|
|
6.750 |
|
|
11/23/21 |
|
3,800,603 |
|
|
|
120,000 |
|
|
|
4.625 |
(a) |
|
04/12/23 |
|
120,916 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,152,921 |
| |
| Singapore – 0.2% |
| ABJA Investment Co. Pte Ltd. (BB-/NR) |
|
|
|
510,000 |
|
|
|
5.950 |
|
|
07/31/24 |
|
489,600 |
|
|
|
4,806,000 |
|
|
|
5.450 |
|
|
01/24/28 |
|
4,073,085 |
| Medco Platinum Road Pte Ltd.
(B/B2)(a)(e) |
|
|
|
1,320,000 |
|
|
|
6.750 |
|
|
01/30/25 |
|
1,166,550 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,729,235 |
| |
| South Africa – 0.9% |
| Eskom Holdings SOC Ltd. (CCC+/B3) |
|
|
|
1,930,000 |
|
|
|
5.750 |
|
|
01/26/21 |
|
1,866,310 |
|
|
|
6,640,000 |
|
|
|
6.750 |
|
|
08/06/23 |
|
6,336,220 |
|
|
|
7,660,000 |
|
|
|
7.125 |
|
|
02/11/25 |
|
7,305,725 |
| ZAR Sovereign Capital Fund Pty Ltd. (BB/Baa3) |
|
|
|
5,440,000 |
|
|
|
3.903 |
|
|
06/24/20 |
|
5,419,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,927,855 |
| |
| Turkey – 1.3% |
| Hazine Mustesarligi Varlik Kiralama AS (NR/Ba2) |
|
|
|
18,880,000 |
|
|
|
5.004 |
(a) |
|
04/06/23 |
|
17,818,000 |
|
|
|
10,280,000 |
|
|
|
5.004 |
|
|
04/06/23 |
|
9,701,750 |
| TC Ziraat Bankasi AS (NR/Ba3) |
|
|
|
1,000,000 |
|
|
|
5.125 |
|
|
05/03/22 |
|
925,000 |
|
|
|
2,370,000 |
|
|
|
5.125 |
(a) |
|
09/29/23 |
|
2,103,375 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30,548,125 |
| |
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| United Arab Emirates – 1.4% |
| Aabar Investments PJSC |
| EUR |
|
|
100,000 |
|
|
|
1.000 |
% |
|
03/27/22 |
|
$ 99,749 |
| Abu Dhabi Crude Oil Pipeline LLC (AA/NR)(a) |
| $ |
|
|
650,000 |
|
|
|
3.650 |
|
|
11/02/29 |
|
601,250 |
|
|
|
23,260,000 |
|
|
|
4.600 |
|
|
11/02/47 |
|
21,399,200 |
| Dolphin Energy Ltd. LLC (NR/A2) |
|
|
|
114,800 |
|
|
|
5.888 |
|
|
06/15/19 |
|
116,378 |
|
|
|
3,580,000 |
|
|
|
5.500 |
|
|
12/15/21 |
|
3,772,425 |
| Oztel Holdings SPC Ltd.
(NR/Baa3)(a) |
|
|
|
2,560,000 |
|
|
|
6.625 |
|
|
04/24/28 |
|
2,428,800 |
| Ruwais Power Co. PJSC
(A-/A3)(a) |
|
|
|
3,700,000 |
|
|
|
6.000 |
|
|
08/31/36 |
|
3,982,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,399,927 |
| |
| United States – 0.6% |
| Brazil Loan Trust 1
(BB-/NR)(a)(g) |
|
|
|
7,735,785 |
|
|
|
5.477 |
|
|
07/24/23 |
|
7,996,867 |
| CEMEX Finance LLC
(BB/NR)(e) |
| EUR |
|
|
3,950,000 |
|
|
|
4.625 |
|
|
06/15/24 |
|
4,849,217 |
| Reliance Holding USA, Inc. (BBB+/Baa2) |
| $ |
|
|
290,000 |
|
|
|
5.400 |
|
|
02/14/22 |
|
301,286 |
| The Bank of New York Mellon SA
(NR/NR)(i) |
|
|
|
400,000 |
|
|
|
9.625 |
|
|
05/02/21 |
|
— |
|
|
|
520,000 |
|
|
|
9.625 |
|
|
05/03/21 |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,147,370 |
| |
| Venezuela – 2.3% |
| Petroleos de Venezuela SA (NR/NR) |
|
|
|
145,930,000 |
|
|
|
6.000 |
|
|
10/28/22 |
|
26,997,050 |
| Petroleos de Venezuela SA
(D/NR)(h) |
|
|
|
84,190,000 |
|
|
|
6.000 |
|
|
05/16/24 |
|
17,873,537 |
|
|
|
20,167,934 |
|
|
|
6.000 |
|
|
11/15/26 |
|
4,235,266 |
|
|
|
19,170,000 |
|
|
|
5.375 |
|
|
04/12/27 |
|
4,326,370 |
|
|
|
2,180,000 |
|
|
|
5.500 |
|
|
04/12/37 |
|
493,225 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
53,925,448 |
| |
TOTAL CORPORATE OBLIGATIONS
(Cost $663,337,051) |
|
$ 597,299,200 |
| |
|
|
|
| Shares |
|
|
Description |
|
Value |
| Common
Stock(h)(i) – 0.0% |
| Media – 0.0% |
|
|
|
3 |
|
|
|
New Cotai Class B
Shares |
|
|
| (Cost $—) |
|
$ — |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Structured
Notes(a)(j) – 0.8% |
| United States – 0.8% |
| Arab Republic of Egypt (Issuer Citibank NA) (NR/NR) |
| $ |
|
|
54,300,000 |
|
|
|
0.000 |
% |
|
10/11/18 |
|
$ 2,873,226 |
|
|
|
94,000,000 |
|
|
|
0.000 |
|
|
11/01/18 |
|
4,935,657 |
|
|
|
77,000,000 |
|
|
|
0.000 |
|
|
11/29/18 |
|
3,980,069 |
|
|
|
18,700,000 |
|
|
|
0.000 |
|
|
01/17/19 |
|
945,118 |
| Arab Republic of Egypt (Issuer JPMorgan Chase Bank NA) (NR/NR) |
|
|
|
52,300,000 |
|
|
|
0.000 |
|
|
07/26/18 |
|
2,888,837 |
|
|
|
74,550,000 |
|
|
|
0.000 |
|
|
02/07/19 |
|
3,729,792 |
| |
TOTAL STRUCTURED NOTES
(Cost $19,717,826) |
|
$ 19,352,699 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Municipal Debt
Obligations(h) – 0.7% |
| Puerto Rico – 0.7% |
| Puerto Rico Commonwealth GO Bonds Public Improvement Series 2006 A (NR/Ca)(e) |
| $ |
|
|
105,000 |
|
|
|
5.250 |
% |
|
07/01/26 |
|
$ 44,625 |
| Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2008 A (NR/Ca)(e) |
|
|
|
135,000 |
|
|
|
5.500 |
|
|
07/01/32 |
|
57,375 |
| Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2009 B (NR/Ca)(e) |
|
|
|
135,000 |
|
|
|
6.000 |
|
|
07/01/39 |
|
57,375 |
| Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2012 A (NR/Ca) |
|
|
|
110,000 |
|
|
|
4.000 |
|
|
07/01/21 |
|
46,200 |
|
|
|
140,000 |
|
|
|
4.500 |
(e) |
|
07/01/26 |
|
58,800 |
|
|
|
1,210,000 |
|
|
|
5.500 |
(e) |
|
07/01/26 |
|
508,200 |
|
|
|
390,000 |
|
|
|
5.000 |
(e) |
|
07/01/41 |
|
157,950 |
| Puerto Rico Commonwealth GO Bonds Refunding Public Improvement Series 2009 B (NR/Ca)(e) |
|
|
|
1,385,000 |
|
|
|
5.750 |
|
|
07/01/38 |
|
588,625 |
| Puerto Rico Commonwealth GO Bonds Series 2008 A (NR/Ca)(e) |
|
|
|
1,315,000 |
|
|
|
5.375 |
|
|
07/01/33 |
|
558,875 |
| Puerto Rico Commonwealth GO Bonds Series 2014 A (NR/Ca)(e) |
|
|
|
5,875,000 |
|
|
|
8.000 |
|
|
07/01/35 |
|
2,379,375 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2007 B (NR/Ca)(e) |
|
|
|
325,000 |
|
|
|
6.050 |
|
|
08/01/37 |
|
279,094 |
|
|
|
155,000 |
|
|
|
6.050 |
|
|
08/01/39 |
|
133,106 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2007 C (NR/Ca)(e) |
|
|
|
1,435,000 |
|
|
|
6.000 |
|
|
08/01/31 |
|
1,232,306 |
|
|
|
345,000 |
|
|
|
6.000 |
|
|
08/01/32 |
|
296,269 |
|
|
|
1,075,000 |
|
|
|
6.000 |
|
|
08/01/38 |
|
923,156 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2008 A (NR/Ca)(e) |
|
|
|
125,000 |
|
|
|
6.130 |
|
|
08/01/28 |
|
107,344 |
|
|
|
65,000 |
|
|
|
6.130 |
|
|
08/01/29 |
|
55,819 |
|
|
|
420,000 |
|
|
|
6.130 |
|
|
08/01/30 |
|
360,675 |
|
|
|
415,000 |
|
|
|
6.130 |
|
|
08/01/37 |
|
356,381 |
|
|
|
730,000 |
|
|
|
6.130 |
|
|
08/01/38 |
|
626,887 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2009 C (NR/Ca)(e) |
|
|
|
50,000 |
|
|
|
5.750 |
|
|
08/01/57 |
|
43,000 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2011 C (NR/Ca) |
|
|
|
135,000 |
|
|
|
5.000 |
|
|
08/01/21 |
|
116,100 |
|
|
|
855,000 |
|
|
|
5.000 |
(e) |
|
08/01/40 |
|
735,300 |
|
|
|
725,000 |
|
|
|
5.250 |
(e) |
|
08/01/40 |
|
623,500 |
|
|
|
290,000 |
|
|
|
5.000 |
(e) |
|
08/01/46 |
|
249,400 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2011 D (NR/Ca)(e) |
|
|
|
130,000 |
|
|
|
4.850 |
|
|
08/01/36 |
|
109,363 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2009 A (NR/Ca)(e) |
|
|
|
4,600,000 |
|
|
|
5.500 |
|
|
08/01/22 |
|
2,058,500 |
|
|
|
4,210,000 |
|
|
|
5.250 |
|
|
08/01/27 |
|
1,883,975 |
|
|
|
1,430,000 |
|
|
|
6.750 |
|
|
08/01/32 |
|
639,925 |
|
|
|
1,085,000 |
|
|
|
5.750 |
|
|
08/01/37 |
|
485,537 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 A (NR/Ca)(e) |
|
|
|
40,000 |
|
|
|
4.500 |
|
|
08/01/21 |
|
17,900 |
|
|
|
280,000 |
|
|
|
5.500 |
|
|
08/01/37 |
|
125,300 |
|
|
|
110,000 |
|
|
|
5.375 |
|
|
08/01/39 |
|
49,225 |
|
|
|
20,000 |
|
|
|
5.500 |
|
|
08/01/42 |
|
8,950 |
| |
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Municipal Debt
Obligations(h) – (continued) |
| Puerto Rico – (continued) |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 C (NR/Ca)(e) |
| $ |
|
|
70,000 |
|
|
|
5.000 |
% |
|
08/01/35 |
|
$ 31,325 |
|
|
|
25,000 |
|
|
|
5.375 |
|
|
08/01/36 |
|
11,188 |
|
|
|
25,000 |
|
|
|
5.375 |
|
|
08/01/38 |
|
11,188 |
|
|
|
1,620,000 |
|
|
|
5.500 |
|
|
08/01/40 |
|
724,950 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2011 A-1 (NR/Ca)(e) |
|
|
|
315,000 |
|
|
|
5.000 |
|
|
08/01/43 |
|
140,962 |
| |
TOTAL MUNICIPAL DEBT OBLIGATIONS
(Cost $20,517,058) |
|
$ 16,894,025 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares |
|
|
Distribution
Rate |
|
Value |
| Investment
Company(k) – 0.1% |
| Goldman Sachs Financial Square Government Fund - Institutional Shares |
| 2,944,170 |
|
|
|
1.869% |
|
$ 2,944,170 |
| (Cost $2,944,170) |
| |
TOTAL INVESTMENTS – 95.1%
(Cost $2,429,007,320) |
|
$2,248,666,505 |
| |
OTHER ASSETS IN EXCESS OF
LIABILITIES – 4.9% |
|
117,005,282 |
| |
| NET ASSETS – 100.0% |
|
$2,365,671,787 |
| |
|
|
|
|
| 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 may be deemed 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 $902,084,117, which represents approximately 38.1% of the Fund’s net assets as
of June 30, 2018. The liquidity determination is unaudited. |
|
|
| (b) |
|
Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on June 30, 2018. |
|
|
| (c) |
|
Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed
is that which is in effect on June 30, 2018. |
|
|
| (d) |
|
Actual maturity date is June 28, 2117. |
|
|
| (e) |
|
Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
|
|
| (f) |
|
Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect at June
30, 2018. |
|
|
| (g) |
|
Guaranteed by a foreign government until maturity. Total market value of these securities amounts to $24,189,843, which represents approximately 1.0% of the Fund’s net
assets as of June 30, 2018. |
|
|
| (h) |
|
Security is currently in default and/or non-income producing. |
|
|
| (i) |
|
Significant unobservable inputs were used in the valuation of this portfolio security; i.e. Level 3. |
|
|
|
|
|
| (j) |
|
Issued with a zero coupon. Income is recognized through the accretion of discount. |
|
|
| (k) |
|
Represents an Affiliated Issuer. |
|
| Security ratings disclosed, if any, are obtained from by Standard & Poor’s /Moody’s Investor Service and are unaudited. A brief description of the ratings
is available in the Fund’s Statement of Additional Information. |
|
|
|
| |
| Currency Abbreviations: |
| ARS |
|
— Argentine Peso |
| BRL |
|
— Brazilian Real |
| CLP |
|
— Chilean Peso |
| CNH |
|
— Chinese Yuan Renminbi Offshore |
| COP |
|
— Colombian Peso |
| CZK |
|
— Czech Koruna |
| DOP |
|
— Dominican Peso |
| EUR |
|
— Euro |
| HKD |
|
— Hong Kong Dollar |
| HUF |
|
— Hungarian Forint |
| IDR |
|
— Indonesian Rupiah |
| INR |
|
— Indian Rupee |
| JPY |
|
— Japanese Yen |
| KRW |
|
— South Korean Won |
| MXN |
|
— Mexican Peso |
| PLN |
|
— Polish Zloty |
| RUB |
|
— Russian Ruble |
| SGD |
|
— Singapore Dollar |
| THB |
|
— Thai Baht |
| TRY |
|
— Turkish Lira |
| TWD |
|
— Taiwan Dollar |
| USD |
|
— U.S. Dollar |
| ZAR |
|
— South African Rand |
|
| Investment Abbreviations: |
| CMT |
|
— Constant Maturity Treasury Indexes |
| EURO |
|
— Euro Offered Rate |
| GO |
|
— General Obligation |
| JIBAR |
|
— Johannesburg Interbank Agreed Rate |
| LIBOR |
|
— London Interbank Offered Rate |
| LLC |
|
— Limited Liability Company |
| MTN |
|
— Medium Term Note |
| NR |
|
— Not Rated |
| PLC |
|
— Public Limited Company |
| RB |
|
— Revenue Bond |
| TIIE |
|
— La Tasa de Interbank Equilibrium Interest Rate |
| WIBOR |
|
— Warsaw Interbank Offered Rate |
| |
|
| For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com. |
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2018, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Gain |
|
| |
|
| MS & Co. Int. PLC |
|
BRL |
|
|
12,924,305 |
|
|
|
USD |
|
|
|
3,303,295 |
|
|
$ |
3,333,461 |
|
|
|
07/03/18 |
|
|
$ |
30,167 |
|
|
|
EUR |
|
|
6,964,119 |
|
|
|
CNH |
|
|
|
52,231,795 |
|
|
|
8,182,342 |
|
|
|
09/19/18 |
|
|
|
333,073 |
|
|
|
EUR |
|
|
3,451,686 |
|
|
|
CZK |
|
|
|
88,953,390 |
|
|
|
4,055,484 |
|
|
|
09/19/18 |
|
|
|
39,373 |
|
|
|
EUR |
|
|
3,421,279 |
|
|
|
HUF |
|
|
|
1,125,888,113 |
|
|
|
4,019,758 |
|
|
|
09/19/18 |
|
|
|
8,197 |
|
|
|
EUR |
|
|
9,615,095 |
|
|
|
PLN |
|
|
|
41,691,643 |
|
|
|
11,297,050 |
|
|
|
09/19/18 |
|
|
|
151,959 |
|
|
|
EUR |
|
|
6,861,000 |
|
|
|
USD |
|
|
|
8,000,612 |
|
|
|
8,061,185 |
|
|
|
09/19/18 |
|
|
|
60,573 |
|
|
|
IDR |
|
|
10,573,385,000 |
|
|
|
USD |
|
|
|
734,110 |
|
|
|
737,093 |
|
|
|
07/27/18 |
|
|
|
2,983 |
|
|
|
KRW |
|
|
5,134,601,716 |
|
|
|
USD |
|
|
|
4,599,867 |
|
|
|
4,609,897 |
|
|
|
07/05/18 |
|
|
|
10,030 |
|
|
|
KRW |
|
|
17,824,772,798 |
|
|
|
USD |
|
|
|
15,948,724 |
|
|
|
16,014,288 |
|
|
|
07/26/18 |
|
|
|
65,564 |
|
|
|
KRW |
|
|
14,097,951,029 |
|
|
|
USD |
|
|
|
12,658,945 |
|
|
|
12,668,558 |
|
|
|
08/03/18 |
|
|
|
9,612 |
|
|
|
MXN |
|
|
260,658,885 |
|
|
|
USD |
|
|
|
12,429,276 |
|
|
|
12,959,615 |
|
|
|
09/19/18 |
|
|
|
530,341 |
|
|
|
RUB |
|
|
105,546,263 |
|
|
|
USD |
|
|
|
1,655,835 |
|
|
|
1,671,332 |
|
|
|
08/20/18 |
|
|
|
15,496 |
|
|
|
SGD |
|
|
12,488,718 |
|
|
|
USD |
|
|
|
9,159,201 |
|
|
|
9,181,929 |
|
|
|
09/19/18 |
|
|
|
22,728 |
|
|
|
TRY |
|
|
67,331,449 |
|
|
|
USD |
|
|
|
13,979,443 |
|
|
|
14,162,609 |
|
|
|
09/19/18 |
|
|
|
183,165 |
|
|
|
USD |
|
|
9,251,825 |
|
|
|
ARS |
|
|
|
253,592,536 |
|
|
|
8,737,640 |
|
|
|
07/03/18 |
|
|
|
514,185 |
|
|
|
USD |
|
|
73,727,934 |
|
|
|
BRL |
|
|
|
276,894,497 |
|
|
|
71,417,151 |
|
|
|
07/03/18 |
|
|
|
2,310,782 |
|
|
|
USD |
|
|
11,952,591 |
|
|
|
BRL |
|
|
|
45,452,916 |
|
|
|
11,682,202 |
|
|
|
08/02/18 |
|
|
|
270,389 |
|
|
|
USD |
|
|
7,878,854 |
|
|
|
CLP |
|
|
|
4,988,102,239 |
|
|
|
7,634,297 |
|
|
|
07/05/18 |
|
|
|
244,557 |
|
|
|
USD |
|
|
7,800,334 |
|
|
|
CLP |
|
|
|
4,955,512,280 |
|
|
|
7,584,734 |
|
|
|
07/18/18 |
|
|
|
215,600 |
|
|
|
USD |
|
|
71,828,742 |
|
|
|
CNH |
|
|
|
464,858,485 |
|
|
|
69,857,818 |
|
|
|
09/19/18 |
|
|
|
1,970,924 |
|
|
|
USD |
|
|
7,694,767 |
|
|
|
CZK |
|
|
|
166,558,995 |
|
|
|
7,519,888 |
|
|
|
09/19/18 |
|
|
|
174,879 |
|
|
|
USD |
|
|
264,008,140 |
|
|
|
EUR |
|
|
|
222,793,560 |
|
|
|
261,385,864 |
|
|
|
08/31/18 |
|
|
|
2,622,277 |
|
|
|
USD |
|
|
12,149,631 |
|
|
|
HKD |
|
|
|
95,206,855 |
|
|
|
12,142,751 |
|
|
|
08/10/18 |
|
|
|
6,881 |
|
|
|
USD |
|
|
32,596,157 |
|
|
|
HKD |
|
|
|
253,884,628 |
|
|
|
32,403,985 |
|
|
|
09/19/18 |
|
|
|
192,172 |
|
|
|
USD |
|
|
21,705,987 |
|
|
|
IDR |
|
|
|
309,766,137,465 |
|
|
|
21,638,405 |
|
|
|
07/02/18 |
|
|
|
67,581 |
|
|
|
USD |
|
|
1,588,671 |
|
|
|
IDR |
|
|
|
22,385,162,103 |
|
|
|
1,561,936 |
|
|
|
07/23/18 |
|
|
|
26,734 |
|
|
|
USD |
|
|
8,352,774 |
|
|
|
IDR |
|
|
|
117,445,245,889 |
|
|
|
8,187,352 |
|
|
|
07/27/18 |
|
|
|
165,423 |
|
|
|
USD |
|
|
24,770,001 |
|
|
|
INR |
|
|
|
1,678,948,201 |
|
|
|
24,488,743 |
|
|
|
07/11/18 |
|
|
|
281,258 |
|
|
|
USD |
|
|
11,753,227 |
|
|
|
INR |
|
|
|
802,151,815 |
|
|
|
11,686,361 |
|
|
|
07/19/18 |
|
|
|
66,866 |
|
|
|
USD |
|
|
4,023,000 |
|
|
|
JPY |
|
|
|
438,071,309 |
|
|
|
3,979,111 |
|
|
|
09/19/18 |
|
|
|
43,889 |
|
|
|
USD |
|
|
4,773,266 |
|
|
|
KRW |
|
|
|
5,134,601,716 |
|
|
|
4,609,897 |
|
|
|
07/05/18 |
|
|
|
163,369 |
|
|
|
USD |
|
|
7,278,180 |
|
|
|
KRW |
|
|
|
8,079,158,410 |
|
|
|
7,258,548 |
|
|
|
07/26/18 |
|
|
|
19,632 |
|
|
|
USD |
|
|
17,927,536 |
|
|
|
SGD |
|
|
|
23,886,829 |
|
|
|
17,562,024 |
|
|
|
09/19/18 |
|
|
|
365,512 |
|
|
|
USD |
|
|
3,999,156 |
|
|
|
THB |
|
|
|
131,298,289 |
|
|
|
3,967,797 |
|
|
|
08/14/18 |
|
|
|
31,359 |
|
|
|
USD |
|
|
4,097,707 |
|
|
|
TRY |
|
|
|
19,374,695 |
|
|
|
4,075,305 |
|
|
|
09/19/18 |
|
|
|
22,401 |
|
|
|
USD |
|
|
4,129,346 |
|
|
|
TWD |
|
|
|
122,569,729 |
|
|
|
4,027,064 |
|
|
|
07/09/18 |
|
|
|
102,282 |
|
|
|
USD |
|
|
30,918,763 |
|
|
|
TWD |
|
|
|
934,109,606 |
|
|
|
30,701,032 |
|
|
|
07/16/18 |
|
|
|
217,731 |
|
|
|
USD |
|
|
56,236,884 |
|
|
|
TWD |
|
|
|
1,692,320,400 |
|
|
|
55,651,045 |
|
|
|
07/27/18 |
|
|
|
585,844 |
|
|
|
USD |
|
|
19,769,838 |
|
|
|
ZAR |
|
|
|
248,583,968 |
|
|
|
18,030,622 |
|
|
|
08/08/18 |
|
|
|
1,739,216 |
|
|
|
USD |
|
|
12,841,676 |
|
|
|
ZAR |
|
|
|
176,082,781 |
|
|
|
12,702,599 |
|
|
|
09/19/18 |
|
|
|
139,077 |
|
|
|
ZAR |
|
|
55,340,051 |
|
|
|
USD |
|
|
|
3,990,175 |
|
|
|
3,992,227 |
|
|
|
09/19/18 |
|
|
|
2,052 |
|
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
14,026,133 |
|
| |
|
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION (continued)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Loss |
|
| |
|
| MS & Co. Int. PLC |
|
ARS |
|
|
253,592,536 |
|
|
|
USD |
|
|
|
11,987,357 |
|
|
$ |
8,737,640 |
|
|
|
07/03/18 |
|
|
$ |
(3,249,717 |
) |
|
|
ARS |
|
|
99,578,701 |
|
|
|
USD |
|
|
|
3,886,756 |
|
|
|
3,423,321 |
|
|
|
07/05/18 |
|
|
|
(463,436 |
) |
|
|
ARS |
|
|
100,083,979 |
|
|
|
USD |
|
|
|
3,886,756 |
|
|
|
3,421,480 |
|
|
|
07/10/18 |
|
|
|
(465,277 |
) |
|
|
ARS |
|
|
61,489,943 |
|
|
|
USD |
|
|
|
2,900,469 |
|
|
|
2,097,416 |
|
|
|
07/12/18 |
|
|
|
(803,053 |
) |
|
|
ARS |
|
|
147,224,696 |
|
|
|
USD |
|
|
|
5,838,936 |
|
|
|
4,982,954 |
|
|
|
07/19/18 |
|
|
|
(855,982 |
) |
|
|
ARS |
|
|
253,592,536 |
|
|
|
USD |
|
|
|
9,010,216 |
|
|
|
8,479,938 |
|
|
|
07/31/18 |
|
|
|
(530,279 |
) |
|
|
ARS |
|
|
191,237,256 |
|
|
|
USD |
|
|
|
6,966,390 |
|
|
|
6,332,709 |
|
|
|
08/10/18 |
|
|
|
(633,682 |
) |
|
|
ARS |
|
|
24,074,502 |
|
|
|
USD |
|
|
|
979,833 |
|
|
|
793,360 |
|
|
|
08/15/18 |
|
|
|
(186,473 |
) |
|
|
ARS |
|
|
274,729,710 |
|
|
|
USD |
|
|
|
10,400,731 |
|
|
|
9,036,072 |
|
|
|
08/17/18 |
|
|
|
(1,364,659 |
) |
|
|
BRL |
|
|
263,970,193 |
|
|
|
USD |
|
|
|
69,880,423 |
|
|
|
68,083,691 |
|
|
|
07/03/18 |
|
|
|
(1,796,733 |
) |
|
|
BRL |
|
|
13,490,542 |
|
|
|
USD |
|
|
|
3,480,361 |
|
|
|
3,467,307 |
|
|
|
08/02/18 |
|
|
|
(13,054 |
) |
|
|
CLP |
|
|
4,988,102,239 |
|
|
|
USD |
|
|
|
7,876,236 |
|
|
|
7,634,297 |
|
|
|
07/05/18 |
|
|
|
(241,939 |
) |
|
|
CLP |
|
|
2,264,671,130 |
|
|
|
USD |
|
|
|
3,480,361 |
|
|
|
3,466,319 |
|
|
|
08/06/18 |
|
|
|
(14,042 |
) |
|
|
CNH |
|
|
52,723,539 |
|
|
|
EUR |
|
|
|
6,888,805 |
|
|
|
7,923,167 |
|
|
|
09/19/18 |
|
|
|
(170,687 |
) |
|
|
CNH |
|
|
110,327,440 |
|
|
|
USD |
|
|
|
16,703,516 |
|
|
|
16,579,743 |
|
|
|
09/19/18 |
|
|
|
(123,774 |
) |
|
|
COP |
|
|
16,604,025,413 |
|
|
|
USD |
|
|
|
5,671,990 |
|
|
|
5,658,162 |
|
|
|
07/26/18 |
|
|
|
(13,829 |
) |
|
|
COP |
|
|
79,215,228,983 |
|
|
|
USD |
|
|
|
27,037,760 |
|
|
|
26,961,722 |
|
|
|
08/22/18 |
|
|
|
(76,038 |
) |
|
|
EUR |
|
|
7,688,025 |
|
|
|
USD |
|
|
|
9,142,323 |
|
|
|
9,019,745 |
|
|
|
08/31/18 |
|
|
|
(122,578 |
) |
|
|
HKD |
|
|
348,932,003 |
|
|
|
USD |
|
|
|
44,624,171 |
|
|
|
44,535,139 |
|
|
|
09/19/18 |
|
|
|
(89,031 |
) |
|
|
HUF |
|
|
13,844,395,555 |
|
|
|
EUR |
|
|
|
42,844,343 |
|
|
|
49,327,846 |
|
|
|
09/19/18 |
|
|
|
(1,011,198 |
) |
|
|
IDR |
|
|
309,766,137,465 |
|
|
|
USD |
|
|
|
21,756,296 |
|
|
|
21,638,405 |
|
|
|
07/02/18 |
|
|
|
(117,890 |
) |
|
|
IDR |
|
|
536,160,230,057 |
|
|
|
USD |
|
|
|
37,877,798 |
|
|
|
37,376,842 |
|
|
|
07/27/18 |
|
|
|
(500,956 |
) |
|
|
IDR |
|
|
375,314,654,625 |
|
|
|
USD |
|
|
|
26,486,567 |
|
|
|
26,063,819 |
|
|
|
08/16/18 |
|
|
|
(422,748 |
) |
|
|
INR |
|
|
798,352,850 |
|
|
|
USD |
|
|
|
11,705,710 |
|
|
|
11,644,586 |
|
|
|
07/11/18 |
|
|
|
(61,124 |
) |
|
|
INR |
|
|
551,253,661 |
|
|
|
USD |
|
|
|
8,064,928 |
|
|
|
8,031,085 |
|
|
|
07/19/18 |
|
|
|
(33,844 |
) |
|
|
JPY |
|
|
1,329,291,419 |
|
|
|
USD |
|
|
|
12,140,000 |
|
|
|
12,074,286 |
|
|
|
09/19/18 |
|
|
|
(65,714 |
) |
|
|
KRW |
|
|
17,824,772,798 |
|
|
|
USD |
|
|
|
16,264,258 |
|
|
|
16,007,910 |
|
|
|
07/09/18 |
|
|
|
(256,348 |
) |
|
|
MXN |
|
|
69,669,560 |
|
|
|
USD |
|
|
|
3,480,361 |
|
|
|
3,463,879 |
|
|
|
09/19/18 |
|
|
|
(16,483 |
) |
|
|
PLN |
|
|
125,294,935 |
|
|
|
EUR |
|
|
|
29,129,081 |
|
|
|
33,494,083 |
|
|
|
09/19/18 |
|
|
|
(730,507 |
) |
|
|
PLN |
|
|
80,299,043 |
|
|
|
USD |
|
|
|
22,160,936 |
|
|
|
21,465,695 |
|
|
|
09/19/18 |
|
|
|
(695,241 |
) |
|
|
RUB |
|
|
295,055,679 |
|
|
|
USD |
|
|
|
4,681,751 |
|
|
|
4,672,225 |
|
|
|
08/20/18 |
|
|
|
(9,526 |
) |
|
|
SGD |
|
|
10,932,902 |
|
|
|
EUR |
|
|
|
6,899,153 |
|
|
|
8,038,065 |
|
|
|
09/19/18 |
|
|
|
(67,947 |
) |
|
|
SGD |
|
|
5,959,158 |
|
|
|
USD |
|
|
|
4,397,659 |
|
|
|
4,381,280 |
|
|
|
09/19/18 |
|
|
|
(16,380 |
) |
|
|
THB |
|
|
132,892,845 |
|
|
|
USD |
|
|
|
4,155,888 |
|
|
|
4,015,984 |
|
|
|
08/14/18 |
|
|
|
(139,905 |
) |
|
|
TWD |
|
|
122,371,474 |
|
|
|
USD |
|
|
|
4,134,171 |
|
|
|
4,020,550 |
|
|
|
07/09/18 |
|
|
|
(113,621 |
) |
|
|
TWD |
|
|
749,041,122 |
|
|
|
USD |
|
|
|
25,015,433 |
|
|
|
24,631,813 |
|
|
|
07/27/18 |
|
|
|
(383,620 |
) |
|
|
USD |
|
|
3,959,508 |
|
|
|
COP |
|
|
|
11,644,184,076 |
|
|
|
3,967,994 |
|
|
|
07/26/18 |
|
|
|
(8,487 |
) |
|
|
USD |
|
|
2,313,720 |
|
|
|
EUR |
|
|
|
1,984,021 |
|
|
|
2,327,693 |
|
|
|
08/31/18 |
|
|
|
(13,973 |
) |
|
|
USD |
|
|
14,339,114 |
|
|
|
EUR |
|
|
|
12,260,683 |
|
|
|
14,405,427 |
|
|
|
09/19/18 |
|
|
|
(66,313 |
) |
|
|
USD |
|
|
3,979,608 |
|
|
|
INR |
|
|
|
273,677,634 |
|
|
|
3,987,145 |
|
|
|
07/19/18 |
|
|
|
(7,537 |
) |
|
|
USD |
|
|
15,943,018 |
|
|
|
KRW |
|
|
|
17,824,772,798 |
|
|
|
16,007,910 |
|
|
|
07/09/18 |
|
|
|
(64,891 |
) |
|
|
USD |
|
|
47,372,202 |
|
|
|
KRW |
|
|
|
52,907,102,463 |
|
|
|
47,533,262 |
|
|
|
07/26/18 |
|
|
|
(161,057 |
) |
|
|
USD |
|
|
8,154,905 |
|
|
|
KRW |
|
|
|
9,108,752,712 |
|
|
|
8,184,332 |
|
|
|
07/31/18 |
|
|
|
(29,427 |
) |
|
|
USD |
|
|
11,373,101 |
|
|
|
MXN |
|
|
|
235,713,195 |
|
|
|
11,756,390 |
|
|
|
08/28/18 |
|
|
|
(383,290 |
) |
|
|
USD |
|
|
8,849,948 |
|
|
|
MXN |
|
|
|
185,410,052 |
|
|
|
9,218,343 |
|
|
|
09/19/18 |
|
|
|
(368,395 |
) |
|
|
USD |
|
|
16,442,845 |
|
|
|
RUB |
|
|
|
1,049,659,793 |
|
|
|
16,621,428 |
|
|
|
08/20/18 |
|
|
|
(178,583 |
) |
|
|
USD |
|
|
12,779,211 |
|
|
|
TRY |
|
|
|
62,494,851 |
|
|
|
13,145,271 |
|
|
|
09/19/18 |
|
|
|
(366,060 |
) |
|
|
USD |
|
|
3,978,332 |
|
|
|
TWD |
|
|
|
121,187,960 |
|
|
|
3,985,201 |
|
|
|
07/27/18 |
|
|
|
(6,868 |
) |
|
|
USD |
|
|
9,726,264 |
|
|
|
ZAR |
|
|
|
135,714,183 |
|
|
|
9,790,412 |
|
|
|
09/19/18 |
|
|
|
(64,148 |
) |
|
|
ZAR |
|
|
850,376,402 |
|
|
|
USD |
|
|
|
63,193,218 |
|
|
|
61,346,093 |
|
|
|
09/19/18 |
|
|
|
(1,847,125 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(19,423,469 |
) |
| |
|
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION (continued)
FUTURES CONTRACTS — At June 30, 2018, the Fund had the following futures contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Number of
Contracts |
|
Expiration
Date |
|
Notional
Amount |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Long position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
| Ultra Long U.S. Treasury Bonds |
|
357 |
|
09/19/18 |
|
$ |
56,963,812 |
|
|
$ |
989,050 |
|
| 2 Year U.S. Treasury Notes |
|
576 |
|
09/28/18 |
|
|
122,013,001 |
|
|
|
(82,020 |
) |
| 5 Year U.S Treasury Notes |
|
1,250 |
|
09/28/18 |
|
|
142,021,485 |
|
|
|
184,013 |
|
| 20 Year U.S. Treasury Bonds |
|
709 |
|
09/19/18 |
|
|
102,805,000 |
|
|
|
1,557,371 |
|
| |
|
| Total |
|
|
|
|
|
|
|
|
|
$ |
2,648,414 |
|
| |
|
| Short position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
| Eurodollars |
|
(178) |
|
06/17/19 |
|
|
(43,229,525 |
) |
|
|
380,178 |
|
| Eurodollars |
|
(1,162) |
|
12/14/20 |
|
|
(281,843,100 |
) |
|
|
74,440 |
|
| Ultra 10 Year U.S. Treasury Notes |
|
(367) |
|
09/19/18 |
|
|
(47,062,016 |
) |
|
|
(490,761 |
) |
| 10 Year U.S Treasury Notes |
|
(97) |
|
09/19/18 |
|
|
(11,658,187 |
) |
|
|
(10,680 |
) |
| |
|
| Total |
|
|
|
|
|
|
|
|
|
$ |
(46,823 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
$ |
2,601,591 |
|
| |
|
SWAP CONTRACTS — At June 30, 2018, the Fund had the following swap contracts:
OVER THE COUNTER INTEREST RATE SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Payments Made
by the Fund |
|
Payments
Received by
the Fund |
|
Counterparty |
|
Termination
Date |
|
|
Notional
Amount (000s) |
|
Unrealized
Appreciation/
(Depreciation)* |
|
| |
|
| Mexico IB TIIE 28D(a) |
|
6.930% |
|
MS & Co. Int. PLC |
|
|
03/03/26 |
|
|
MXN 14,640 |
|
$ |
(45,183 |
) |
| |
|
| (*) |
|
There are no upfront payments on the swap contracts, therefore the unrealized gain (loss) on the swap contracts is equal to their market value.
|
| (a) |
|
Payments made monthly. |
CENTRALLY CLEARED
INTEREST RATE SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Payments Made
by the Fund |
|
Payments
Received by
Fund |
|
Termination
Date |
|
|
Notional
Amount (000s) |
|
|
Market
Value |
|
|
Upfront
Premium
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| 5.180%(a) |
|
Mexico IB TIIE 28D |
|
|
09/25/18 |
|
|
MXN |
60,090 |
|
|
$ |
27,334 |
|
|
$ |
(162 |
) |
|
$ |
27,496 |
|
| 8.050(a) |
|
1M BID Avg |
|
|
01/02/20 |
|
|
BRL |
431,415 |
|
|
|
(341,362 |
) |
|
|
(976,335 |
) |
|
|
634,973 |
|
| Mexico IB TIIE 28D(a) |
|
7.600% |
|
|
06/17/20 |
|
|
MXN |
130,400 |
|
|
|
(62,905 |
) |
|
|
(5,625 |
) |
|
|
(57,280 |
) |
| 3M JIBAR(b) |
|
7.500 |
|
|
09/19/20 |
|
|
ZAR |
288,350 |
(c) |
|
|
40,774 |
|
|
|
20,457 |
|
|
|
20,317 |
|
| 0.000(d) |
|
6M EURO(e) |
|
|
09/19/21 |
|
|
EUR |
34,600 |
(c) |
|
|
14,922 |
|
|
|
142,173 |
|
|
|
(127,251 |
) |
| 1M BID Avg(a) |
|
10.300 |
|
|
01/03/22 |
|
|
BRL |
126,725 |
|
|
|
243,345 |
|
|
|
(94,201 |
) |
|
|
337,546 |
|
| 1M BID Avg(a) |
|
10.380 |
|
|
01/03/22 |
|
|
|
19,975 |
|
|
|
14,708 |
|
|
|
187 |
|
|
|
14,521 |
|
| 2.450(d) |
|
6M WIBOR(e) |
|
|
12/20/22 |
|
|
PLN |
69,000 |
|
|
|
(293,358 |
) |
|
|
(122,917 |
) |
|
|
(170,441 |
) |
| 2.550(d) |
|
6M WIBOR(e) |
|
|
03/21/23 |
|
|
|
280,680 |
|
|
|
(644,308 |
) |
|
|
201,885 |
|
|
|
(846,193 |
) |
| 0.500(d) |
|
6M EURO(e) |
|
|
09/19/23 |
|
|
EUR |
48,850 |
(c) |
|
|
(526,612 |
) |
|
|
(149,023 |
) |
|
|
(377,589 |
) |
| 0.750(d) |
|
6M EURO(e) |
|
|
09/19/25 |
|
|
|
48,340 |
(c) |
|
|
(650,603 |
) |
|
|
(173,156 |
) |
|
|
(477,447 |
) |
| 1.000(d) |
|
6M EURO(e) |
|
|
09/19/28 |
|
|
|
49,540 |
(c) |
|
|
(480,433 |
) |
|
|
179,334 |
|
|
|
(659,767 |
) |
| 1.500(d) |
|
6M EURO(e) |
|
|
09/19/38 |
|
|
|
14,850 |
(c) |
|
|
(289,866 |
) |
|
|
4,117 |
|
|
|
(293,983 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
$ |
(2,948,364 |
) |
|
$ |
(973,266 |
) |
|
$ |
(1,975,098 |
) |
| |
|
| (a) |
|
Payments made monthly. |
| (b) |
|
Payments made quarterly. |
| (c) |
|
Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2018.
|
| (d) |
|
Payments made annually. |
| (e) |
|
Payments made semi-annually. |
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION (continued)
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference
Obligation/Index |
|
Financing Rate
Paid by
the Fund(a) |
|
Credit Spread
at June 30,
2018(b) |
|
Counterparty |
|
Termination
Date |
|
Notional
Amount
(000s) |
|
|
Value |
|
|
Upfront
Premiums
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Protection Purchased: |
|
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000)% |
|
0.150% |
|
Barclays Bank
PLC |
|
03/20/19 |
|
$ |
8,490 |
|
|
$ |
(54,832 |
) |
|
$ |
(20,371 |
) |
|
$ |
(34,461 |
) |
| People’s Republic of China, 4.250%, 10/28/18 |
|
(1.000) |
|
0.150 |
|
Barclays Bank
PLC |
|
03/20/19 |
|
|
4,140 |
|
|
|
(26,738 |
) |
|
|
(2,326 |
) |
|
|
(24,412 |
) |
| People’s Republic of China, 4.250%, 10/28/18 |
|
(1.000) |
|
0.195 |
|
Barclays Bank
PLC |
|
09/20/19 |
|
|
3,350 |
|
|
|
(33,916 |
) |
|
|
(11,890 |
) |
|
|
(22,026 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000) |
|
0.413 |
|
Barclays Bank
PLC |
|
06/20/21 |
|
|
7,030 |
|
|
|
(120,406 |
) |
|
|
22,732 |
|
|
|
(143,138 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000) |
|
0.489 |
|
Barclays Bank
PLC |
|
12/20/21 |
|
|
17,730 |
|
|
|
(305,634 |
) |
|
|
(21,870 |
) |
|
|
(283,764 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000) |
|
0.547 |
|
Barclays Bank
PLC |
|
06/20/22 |
|
|
18,480 |
|
|
|
(320,554 |
) |
|
|
(137,620 |
) |
|
|
(182,934 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000) |
|
0.623 |
|
Barclays Bank
PLC |
|
12/20/22 |
|
|
10,860 |
|
|
|
(174,689 |
) |
|
|
(200,254 |
) |
|
|
25,565 |
|
| People’s Republic of China, 4.250%, 10/28/18 |
|
(1.000) |
|
0.150 |
|
BoA Securities
LLC |
|
03/20/19 |
|
|
1,100 |
|
|
|
(7,104 |
) |
|
|
(299 |
) |
|
|
(6,805 |
) |
| People’s Republic of China, 4.250%, 10/28/18 |
|
(1.000) |
|
0.150 |
|
BoA Securities
LLC |
|
06/20/19 |
|
|
2,680 |
|
|
|
(22,966 |
) |
|
|
(3,195 |
) |
|
|
(19,771 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000) |
|
0.357 |
|
BoA Securities
LLC |
|
12/20/20 |
|
|
9,500 |
|
|
|
(150,242 |
) |
|
|
41,526 |
|
|
|
(191,768 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000) |
|
0.414 |
|
BoA Securities
LLC |
|
06/20/21 |
|
|
12,670 |
|
|
|
(217,005 |
) |
|
|
82,129 |
|
|
|
(299,134 |
) |
| People’s Republic of China, 4.250%, 10/28/18 |
|
(1.000) |
|
0.150 |
|
Citibank NA |
|
03/20/19 |
|
|
31,240 |
|
|
|
(201,759 |
) |
|
|
(20,767 |
) |
|
|
(180,989 |
) |
| People’s Republic of China, 4.250%, 10/28/18 |
|
(1.000) |
|
0.150 |
|
Citibank NA |
|
06/20/19 |
|
|
21,330 |
|
|
|
(182,780 |
) |
|
|
(14,468 |
) |
|
|
(168,312 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000) |
|
0.357 |
|
Citibank NA |
|
12/20/20 |
|
|
20,690 |
|
|
|
(327,210 |
) |
|
|
107,242 |
|
|
|
(434,452 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000) |
|
0.413 |
|
Citibank NA |
|
06/20/21 |
|
|
79,770 |
|
|
|
(1,366,257 |
) |
|
|
310,639 |
|
|
|
(1,676,896 |
) |
| Republic of Turkey, 11.875%, 01/15/30 |
|
(1.000) |
|
2.607 |
|
Citibank NA |
|
12/20/21 |
|
|
690 |
|
|
|
35,127 |
|
|
|
38,070 |
|
|
|
(2,943 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000) |
|
0.545 |
|
Citibank NA |
|
06/20/22 |
|
|
9,400 |
|
|
|
(163,052 |
) |
|
|
(112,795 |
) |
|
|
(50,257 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000) |
|
0.357 |
|
Deutsche Bank
AG |
|
12/20/20 |
|
|
5,280 |
|
|
|
(83,503 |
) |
|
|
23,991 |
|
|
|
(107,494 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000) |
|
0.414 |
|
Deutsche Bank
AG |
|
06/20/21 |
|
|
28,030 |
|
|
|
(480,084 |
) |
|
|
64,776 |
|
|
|
(544,860 |
) |
GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION (continued)
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference
Obligation/Index |
|
Financing Rate
Paid by
the Fund(a) |
|
Credit Spread
at June 30,
2018(b) |
|
Counterparty |
|
Termination
Date |
|
Notional
Amount
(000s) |
|
|
Value |
|
|
Upfront
Premiums
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Protection Purchased (continued): |
|
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000) |
|
0.489% |
|
Deutsche Bank
AG |
|
12/20/21 |
|
$ |
15,570 |
|
|
$ |
(268,396 |
) |
|
$ |
40,275 |
|
|
$ |
(308,674 |
) |
| Republic of Turkey, 11.875%, 01/15/30 |
|
(1.000) |
|
2.607 |
|
Deutsche Bank
AG |
|
12/20/21 |
|
|
2,460 |
|
|
|
125,238 |
|
|
|
136,684 |
|
|
|
(11,446 |
) |
| People’s Republic of China, 4.250%, 10/28/18 |
|
(1.000) |
|
0.150 |
|
JPMorgan
Securities, Inc. |
|
03/20/19 |
|
|
10,100 |
|
|
|
(65,230 |
) |
|
|
(8,959 |
) |
|
|
(56,271 |
) |
| People’s Republic of China, 4.250%, 10/28/18 |
|
(1.000) |
|
0.150 |
|
JPMorgan
Securities, Inc. |
|
06/20/19 |
|
|
2,690 |
|
|
|
(23,052 |
) |
|
|
(2,972 |
) |
|
|
(20,080 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000) |
|
0.357 |
|
JPMorgan
Securities, Inc. |
|
12/20/20 |
|
|
18,200 |
|
|
|
(287,831 |
) |
|
|
66,437 |
|
|
|
(354,268 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000) |
|
0.414 |
|
JPMorgan
Securities, Inc. |
|
06/20/21 |
|
|
21,650 |
|
|
|
(370,810 |
) |
|
|
45,358 |
|
|
|
(416,168 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000) |
|
0.489 |
|
JPMorgan
Securities, Inc. |
|
12/20/21 |
|
|
1,650 |
|
|
|
(28,443 |
) |
|
|
4,310 |
|
|
|
(32,753 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000) |
|
0.545 |
|
JPMorgan
Securities, Inc. |
|
06/20/22 |
|
|
14,680 |
|
|
|
(254,620 |
) |
|
|
(173,630 |
) |
|
|
(80,990 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000) |
|
0.623 |
|
JPMorgan
Securities, Inc. |
|
12/20/22 |
|
|
3,650 |
|
|
|
(58,712 |
) |
|
|
(74,810 |
) |
|
|
16,098 |
|
| People’s Republic of China, 7.500%, 10/28/27 |
|
(1.000) |
|
0.414 |
|
UBS AG
(London) |
|
06/20/21 |
|
|
18,520 |
|
|
|
(317,201 |
) |
|
|
50,805 |
|
|
|
(368,006 |
) |
| |
|
| TOTAL |
|
|
$ |
(5,752,661 |
) |
|
$ |
228,748 |
|
|
$ |
(5,981,409 |
) |
| |
|
| Protection Sold: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Republic of Colombia, 10.375%, 01/28/33 |
|
1.000 |
|
0.496 |
|
Barclays Bank
PLC |
|
12/20/19 |
|
|
5,720 |
|
|
|
43,800 |
|
|
|
(69,898 |
) |
|
|
113,698 |
|
| Republic of Chile, 3.875%, 08/05/20 |
|
1.000 |
|
0.312 |
|
Citibank NA |
|
12/20/20 |
|
|
11,510 |
|
|
|
194,633 |
|
|
|
(77,678 |
) |
|
|
272,311 |
|
| Republic of Colombia, 10.375%, 01/28/33 |
|
1.000 |
|
1.123 |
|
Citibank NA |
|
12/20/22 |
|
|
3,940 |
|
|
|
(18,968 |
) |
|
|
— |
|
|
|
(18,968 |
) |
| Eskom Holdings SOC Ltd., 5.750%, 01/26/21 |
|
1.000 |
|
4.535 |
|
JPMorgan
Securities, Inc. |
|
12/20/20 |
|
|
2,580 |
|
|
|
31,016 |
|
|
|
55,073 |
|
|
|
(24,057 |
) |
| Republic of Colombia, 10.375%, 01/28/33 |
|
1.000 |
|
1.123 |
|
JPMorgan
Securities, Inc. |
|
12/20/22 |
|
|
3,600 |
|
|
|
(17,331 |
) |
|
|
1,488 |
|
|
|
(18,819 |
) |
| |
|
| TOTAL |
|
|
$ |
233,150 |
|
|
$ |
(91,015 |
) |
|
$ |
324,165 |
|
| |
|
| TOTAL |
|
|
$ |
(5,519,511 |
) |
|
$ |
137,733 |
|
|
$ |
(5,657,244 |
) |
| |
|
| (a) |
|
Payments made quarterly. |
| (b) |
|
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 or its counterparty 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. |
|
|
|
| |
| Abbreviations: |
| 1M BID Avg |
|
— 1 month Brazilian Interbank Deposit Average |
| BoA Securities LLC |
|
— Bank of America Securities LLC |
| MS & Co. Int. PLC |
|
— Morgan Stanley & Co. International PLC |
| Mexico IB TIIE 28D |
|
— Mexico Interbank TIIE 28 Days |
| |
GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Bank Loans(a) – 3.9% |
| Consumer Cyclical Services – Business(b)
– 0.7% |
| First Data Corp. (BB/Ba2)(1M LIBOR + 2.000%) |
| $ |
|
|
17,953,592 |
|
|
|
4.091 |
% |
|
07/08/22 |
|
$ 17,863,824 |
| |
| Consumer Products - Industrial(b) –
0.3% |
| Atkore International, Inc. (BB-/B2)(3M LIBOR + 2.750%) |
|
|
|
6,865,500 |
|
|
|
5.090 |
|
|
12/22/23 |
|
6,846,620 |
| |
| Environmental(b) –
0.1% |
| Wrangler Buyer Corp. (B/B1)(1M LIBOR + 2.750%) |
|
|
|
1,517,375 |
|
|
|
4.844 |
|
|
09/27/24 |
|
1,512,823 |
| |
| Food & Beverages(b)(c) –
0.5% |
| Shearer’s Foods, Inc. (CCC/Caa2)(3M LIBOR + 6.750%) |
|
|
|
12,250,000 |
|
|
|
8.844 |
|
|
06/30/22 |
|
11,545,625 |
| |
| Health Care - Services(b) –
0.2% |
| Team Health Holdings, Inc. (B/B2)(1M LIBOR + 2.750%) |
|
|
|
4,715,313 |
|
|
|
4.844 |
|
|
02/06/24 |
|
4,526,700 |
| |
| Noncaptive - Financial(b) –
0.1% |
| Avolon TLB Borrower 1 (Luxembourg) S.a.r.l. (BBB-/Ba1)(1M LIBOR + 2.000%) |
|
|
|
2,915,641 |
|
|
|
4.088 |
|
|
01/15/25 |
|
2,877,971 |
| |
| Semiconductors(b) –
0.2% |
| Microchip Technology, Inc. (BB+/Baa3)(1M LIBOR + 2.000%) |
|
|
|
5,700,000 |
|
|
|
4.100 |
|
|
05/29/25 |
|
5,688,144 |
| |
| Services Cyclical - Business Services – 0.4% |
| Asurion LLC (NR/NR) |
|
|
|
1,575,000 |
|
|
|
3.000 |
|
|
11/03/23 |
|
1,569,094 |
| Asurion LLC (B+/Ba3)(b)(1M LIBOR
+ 2.750%) |
|
|
|
7,190,068 |
|
|
|
4.844 |
|
|
11/03/23 |
|
7,172,093 |
| Trans Union LLC (NR/NR) |
|
|
|
2,350,000 |
|
|
|
2.000 |
|
|
06/08/25 |
|
2,341,187 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,082,374 |
| |
| Software(b) –
0.3% |
| Infor (US), Inc. (B/B1)(1M LIBOR + 2.750%) |
|
|
|
7,661,209 |
|
|
|
4.844 |
|
|
02/01/22 |
|
7,617,157 |
| |
| Technology - Software/Services – 1.1% |
| BMC Software Finance, Inc. (NR/NR) |
|
|
|
6,425,000 |
|
|
|
4.250 |
|
|
06/26/25 |
|
6,384,844 |
| SS&C Technologies Holdings Europe S.a.r.l. (BB/Ba3)(b)(1M LIBOR + 2.500%) |
|
|
|
5,993,746 |
|
|
|
4.594 |
|
|
04/16/25 |
|
5,990,389 |
| SS&C Technologies, Inc.
(BB/Ba3)(b)(1M LIBOR + 2.500%) |
|
|
|
15,843,345 |
|
|
|
4.594 |
|
|
04/16/25 |
|
15,834,472 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,209,705 |
| |
TOTAL BANK LOANS
(Cost $98,835,792) |
|
$ 97,770,943 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Obligations – 90.7% |
| Aerospace & Defense – 2.0% |
| Arconic, Inc. (BBB-/Ba2) |
| $ |
|
|
2,000,000 |
|
|
|
6.150 |
% |
|
08/15/20 |
|
$ 2,080,000 |
|
|
|
2,000,000 |
|
|
|
5.400 |
(d) |
|
04/15/21 |
|
2,055,000 |
|
|
|
4,050,000 |
|
|
|
6.750 |
|
|
01/15/28 |
|
4,298,062 |
|
|
|
3,150,000 |
|
|
|
5.950 |
|
|
02/01/37 |
|
3,039,750 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Aerospace & Defense – (continued) |
| Bombardier, Inc.
(B-/Caa1)(e) |
| $ |
|
|
2,000,000 |
|
|
|
7.750 |
% |
|
03/15/20 |
|
$ 2,112,500 |
|
|
|
11,700,000 |
|
|
|
8.750 |
|
|
12/01/21 |
|
12,884,625 |
|
|
|
1,050,000 |
|
|
|
6.000 |
(d) |
|
10/15/22 |
|
1,046,063 |
|
|
|
15,000,000 |
|
|
|
7.500 |
(d) |
|
03/15/25 |
|
15,618,750 |
| TransDigm, Inc.
(B-/B3)(d) |
|
|
|
3,000,000 |
|
|
|
6.500 |
|
|
05/15/25 |
|
3,033,750 |
|
|
|
3,300,000 |
|
|
|
6.375 |
|
|
06/15/26 |
|
3,275,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
49,443,750 |
| |
| Automotive – 1.7% |
| American Axle & Manufacturing, Inc.
(B/B2)(d)(f) |
|
|
|
13,350,000 |
|
|
|
6.250 |
|
|
04/01/25 |
|
13,249,875 |
| CB Lear Corp.
(NR/NR)(c)(g) |
|
|
|
6,750,000 |
|
|
|
8.500 |
|
|
12/01/13 |
|
— |
| Cooper-Standard Automotive, Inc.
(B+/B1)(d)(e) |
|
|
|
7,500,000 |
|
|
|
5.625 |
|
|
11/15/26 |
|
7,406,250 |
| Delphi Technologies PLC
(BB/B1)(e) |
|
|
|
12,100,000 |
|
|
|
5.000 |
|
|
10/01/25 |
|
11,566,669 |
| General Motors Liquidation Co.
(NR/NR)(c)(g) |
|
|
|
2,000,000 |
|
|
|
7.700 |
|
|
04/15/16 |
|
— |
|
|
|
7,125,000 |
|
|
|
7.125 |
|
|
07/15/13 |
|
— |
|
|
|
1,000,000 |
|
|
|
8.800 |
|
|
03/01/49 |
|
— |
|
|
|
14,500,000 |
|
|
|
8.375 |
|
|
07/15/49 |
|
— |
| IHO Verwaltungs GmbH
(BB-/Ba1)(d)(e)(h)(PIK+ 5.50%) |
|
|
|
945,000 |
|
|
|
4.750 |
|
|
09/15/26 |
|
893,025 |
| Navistar International Corp.
(CCC+/Caa1)(d)(e) |
|
|
|
10,000,000 |
|
|
|
6.625 |
|
|
11/01/25 |
|
10,287,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
43,403,319 |
| |
| Banks – 2.4% |
| Bank of America Corp.
(BBB-/Ba1)(b)(d)(3M USD LIBOR + 3.705%) |
|
|
|
5,850,000 |
|
|
|
6.250 |
|
|
09/29/49 |
|
6,069,375 |
| CIT Group, Inc. (BB/Ba2) |
|
|
|
2,845,000 |
|
|
|
6.125 |
|
|
03/09/28 |
|
2,930,350 |
| CIT Group, Inc.
(BB+/Ba2)(d) |
|
|
|
1,380,000 |
|
|
|
5.250 |
|
|
03/07/25 |
|
1,395,525 |
| Citigroup, Inc.
(BB+/Ba2)(b)(d)(3M USD LIBOR + 3.423%) |
|
|
|
3,000,000 |
|
|
|
6.300 |
|
|
12/29/49 |
|
3,060,000 |
| Credit Suisse Group AG
(BB/NR)(b)(d)(e)(5 year USD Swap + 4.598%) |
|
|
|
6,237,000 |
|
|
|
7.500 |
|
|
12/29/49 |
|
6,431,906 |
| Deutsche Bank AG
(BB+/Ba2)(b)(d)(5 year USD ICE Swap + 2.553%) |
|
|
|
4,950,000 |
|
|
|
4.875 |
|
|
12/01/32 |
|
4,233,131 |
| Intesa Sanpaolo SpA
(BB+/Ba1)(e) |
|
|
|
6,500,000 |
|
|
|
5.710 |
|
|
01/15/26 |
|
5,931,250 |
| Royal Bank of Scotland Group PLC
(B/Ba3)(b)(d) |
| (5 year USD Swap + 5.720%) |
|
|
|
7,000,000 |
|
|
|
8.000 |
|
|
08/10/49 |
|
7,350,000 |
| (5 year USD Swap + 5.800%) |
|
|
|
10,000,000 |
|
|
|
7.500 |
|
|
12/29/49 |
|
10,200,000 |
| Royal Bank of Scotland Group PLC
(B+/Ba3)(b)(d)(3M USD LIBOR + 2.320%) |
|
|
|
2,200,000 |
|
|
|
4.654 |
|
|
12/31/49 |
|
2,103,750 |
| UBS Group Funding Switzerland AG
(BB+/NR)(b)(d)(5 year USD Swap + 4.866%) |
|
|
|
9,000,000 |
|
|
|
7.000 |
|
|
02/19/49 |
|
9,144,990 |
| |
GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Banks – (continued) |
| Westpac Banking Corp.
(BB+/Baa2)(b)(d)(5 year USD ICE Swap + 2.888%) |
| $ |
|
|
2,225,000 |
|
|
|
5.000 |
% |
|
09/21/99 |
|
$ 1,928,828 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
60,779,105 |
| |
| Biotechnology(d)(e)(h) –
0.3% |
| Sotera Health Topco, Inc. (CCC+/Caa2)(PIK 8.875%, Cash 8.125%) |
|
|
|
7,000,000 |
|
|
|
8.125 |
|
|
11/01/21 |
|
7,105,000 |
| |
| Building Materials(d) –
1.3% |
| American Woodmark Corp.
(BB/Ba3)(e) |
|
|
|
3,050,000 |
|
|
|
4.875 |
|
|
03/15/26 |
|
2,897,500 |
| BMC East LLC
(BB-/B2)(e) |
|
|
|
6,150,000 |
|
|
|
5.500 |
|
|
10/01/24 |
|
5,965,500 |
| Cemex SAB de CV
(BB/NR)(e) |
|
|
|
5,000,000 |
|
|
|
7.750 |
|
|
04/16/26 |
|
5,429,500 |
| Jeld-Wen, Inc.
(BB-/B1)(e) |
|
|
|
2,400,000 |
|
|
|
4.875 |
|
|
12/15/27 |
|
2,229,000 |
| Masonite International Corp.
(BB+/Ba3)(e) |
|
|
|
5,000,000 |
|
|
|
5.625 |
|
|
03/15/23 |
|
5,125,000 |
| Standard Industries, Inc.
(BBB-/Ba2)(e) |
|
|
|
4,000,000 |
|
|
|
5.375 |
|
|
11/15/24 |
|
3,950,000 |
|
|
|
4,800,000 |
|
|
|
5.000 |
|
|
02/15/27 |
|
4,452,000 |
| Summit Materials LLC/Summit Materials Finance Corp. (BB/B3) |
|
|
|
2,850,000 |
|
|
|
6.125 |
|
|
07/15/23 |
|
2,889,187 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,937,687 |
| |
| Capital Goods – 0.0% |
| LyondellBasell Industries NV (NR/NR) |
| EUR |
|
|
2,250,000 |
|
|
|
1.000 |
|
|
08/15/15 |
|
263 |
| |
| Chemicals – 2.7% |
| Alpha 2 BV
(CCC+/Caa1)(d)(e)(h) |
| $ |
|
|
4,100,000 |
|
|
|
8.750 |
|
|
06/01/23 |
|
4,079,500 |
| Alpha 3 BV/Alpha US Bidco, Inc. (CCC+/Caa1)(d)(e) |
|
|
|
4,150,000 |
|
|
|
6.250 |
|
|
02/01/25 |
|
4,098,125 |
| CF Industries, Inc. (BB+/Ba3) |
|
|
|
5,250,000 |
|
|
|
5.375 |
|
|
03/15/44 |
|
4,646,250 |
| Ingevity Corp.
(NR/Ba3)(d)(e) |
|
|
|
7,000,000 |
|
|
|
4.500 |
|
|
02/01/26 |
|
6,597,500 |
| Momentive Performance Materials, Inc.
(NR/NR)(c)(g) |
|
|
|
3,110,000 |
|
|
|
8.875 |
|
|
10/15/20 |
|
— |
| Nell AF SARL
(NR/NR)(g) |
|
|
|
10,625,000 |
|
|
|
8.375 |
|
|
12/30/49 |
|
1,063 |
| Olin Corp.
(BB+/Ba1)(d) |
|
|
|
4,550,000 |
|
|
|
5.000 |
|
|
02/01/30 |
|
4,299,750 |
| PQ Corp.
(B/Caa1)(d)(e) |
|
|
|
3,150,000 |
|
|
|
5.750 |
|
|
12/15/25 |
|
3,102,750 |
| PQ Corp.
(BB-/B2)(d)(e) |
|
|
|
3,500,000 |
|
|
|
6.750 |
|
|
11/15/22 |
|
3,670,625 |
| SPCM SA
(BB+/Ba2)(d)(e) |
|
|
|
4,950,000 |
|
|
|
4.875 |
|
|
09/15/25 |
|
4,714,875 |
| Valvoline, Inc.
(BB+/Ba3)(d) |
|
|
|
4,150,000 |
|
|
|
5.500 |
|
|
07/15/24 |
|
4,191,500 |
|
|
|
4,750,000 |
|
|
|
4.375 |
|
|
08/15/25 |
|
4,417,500 |
| Versum Materials, Inc.
(BB+/Ba3)(d)(e) |
|
|
|
10,000,000 |
|
|
|
5.500 |
|
|
09/30/24 |
|
10,137,500 |
| WR Grace & Co-Conn
(BB-/Ba3)(e) |
|
|
|
2,400,000 |
|
|
|
5.125 |
|
|
10/01/21 |
|
2,448,000 |
|
|
|
11,000,000 |
|
|
|
5.625 |
|
|
10/01/24 |
|
11,522,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
67,927,438 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Commercial Services(d) –
1.9% |
| Avis Budget Car Rental LLC/Avis Budget Finance, Inc. (BB/B1) |
| $ |
|
|
850,000 |
|
|
|
5.500 |
% |
|
04/01/23 |
|
$ 824,500 |
|
|
|
6,000,000 |
|
|
|
6.375 |
(e) |
|
04/01/24 |
|
5,865,000 |
| Graham Holdings Co.
(BB+/Ba1)(e) |
|
|
|
5,200,000 |
|
|
|
5.750 |
|
|
06/01/26 |
|
5,285,171 |
| Nielsen Finance LLC/Nielsen Finance Co. (BB+/B1)(e) |
|
|
|
9,350,000 |
|
|
|
5.000 |
|
|
04/15/22 |
|
9,174,687 |
| Team Health Holdings, Inc.
(CCC+/Caa2)(e)(f) |
|
|
|
5,200,000 |
|
|
|
6.375 |
|
|
02/01/25 |
|
4,472,000 |
| The Hertz Corp. (B-/B3) |
|
|
|
5,550,000 |
|
|
|
7.375 |
|
|
01/15/21 |
|
5,439,000 |
| The Hertz Corp.
(BB-/B1)(e) |
|
|
|
3,650,000 |
|
|
|
7.625 |
|
|
06/01/22 |
|
3,499,438 |
| United Rentals North America, Inc. (BB/Ba3) |
|
|
|
8,250,000 |
|
|
|
4.625 |
|
|
10/15/25 |
|
7,878,750 |
|
|
|
3,250,000 |
|
|
|
5.875 |
|
|
09/15/26 |
|
3,282,500 |
|
|
|
2,750,000 |
|
|
|
4.875 |
|
|
01/15/28 |
|
2,543,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
48,264,796 |
| |
| Computers(d) –
1.6% |
| Dell International LLC/EMC Corp.
(BB/Ba2)(e) |
|
|
|
15,550,000 |
|
|
|
5.875 |
|
|
06/15/21 |
|
15,763,812 |
|
|
|
4,650,000 |
|
|
|
7.125 |
|
|
06/15/24 |
|
4,917,375 |
| Dell International LLC/EMC Corp.
(BBB-/Baa3)(e) |
|
|
|
4,900,000 |
|
|
|
6.020 |
|
|
06/15/26 |
|
5,146,918 |
| NCR Corp. (BB/B1) |
|
|
|
7,200,000 |
|
|
|
5.000 |
|
|
07/15/22 |
|
7,128,000 |
| Western Digital Corp. (BB+/Baa3) |
|
|
|
8,135,000 |
|
|
|
4.750 |
|
|
02/15/26 |
|
7,911,288 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
40,867,393 |
| |
| Distribution & Wholesale(d) –
0.5% |
| H&E Equipment Services, Inc. (BB-/B2) |
|
|
|
8,350,000 |
|
|
|
5.625 |
|
|
09/01/25 |
|
8,203,875 |
| Performance Food Group, Inc.
(BB/B2)(e) |
|
|
|
5,500,000 |
|
|
|
5.500 |
|
|
06/01/24 |
|
5,431,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,635,125 |
| |
| Diversified Financial Services – 3.1% |
| Ally Financial, Inc. (BB+/NR) |
|
|
|
8,000,000 |
|
|
|
4.125 |
|
|
02/13/22 |
|
7,860,000 |
| Ally Financial, Inc. (BB+/Ba3) |
|
|
|
10,000,000 |
|
|
|
8.000 |
|
|
11/01/31 |
|
11,900,000 |
| Lions Gate Capital Holdings LLC
(B-/B2)(d)(e) |
|
|
|
5,000,000 |
|
|
|
5.875 |
|
|
11/01/24 |
|
5,062,500 |
| Nationstar Mortgage LLC/Nationstar Capital Corp. (B+/B2)(d) |
|
|
|
5,000,000 |
|
|
|
7.875 |
|
|
10/01/20 |
|
5,081,250 |
| Navient Corp. (B+/Ba3) |
|
|
|
6,000,000 |
|
|
|
5.875 |
|
|
03/25/21 |
|
6,075,000 |
|
|
|
2,850,000 |
|
|
|
6.625 |
|
|
07/26/21 |
|
2,928,375 |
|
|
|
2,100,000 |
|
|
|
7.250 |
|
|
01/25/22 |
|
2,194,500 |
|
|
|
7,300,000 |
|
|
|
5.500 |
|
|
01/25/23 |
|
7,135,750 |
|
|
|
8,000,000 |
|
|
|
6.125 |
|
|
03/25/24 |
|
7,940,000 |
|
|
|
2,800,000 |
|
|
|
6.750 |
|
|
06/15/26 |
|
2,744,000 |
| |
GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Diversified Financial Services – (continued) |
| Quicken Loans, Inc.
(BB/Ba1)(d)(e) |
| $ |
|
|
6,900,000 |
|
|
|
5.250 |
% |
|
01/15/28 |
|
$ 6,468,750 |
| Springleaf Finance Corp. (B/B1) |
|
|
|
4,775,000 |
|
|
|
7.125 |
|
|
03/15/26 |
|
4,757,094 |
| Travelport Corporate Finance PLC
(B+/B1)(d)(e) |
|
|
|
8,650,000 |
|
|
|
6.000 |
|
|
03/15/26 |
|
8,714,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
78,862,094 |
| |
| Electrical(d) –
2.8% |
| Calpine Corp. (B/B2) |
|
|
|
6,050,000 |
|
|
|
5.500 |
|
|
02/01/24 |
|
5,550,875 |
|
|
|
10,000,000 |
|
|
|
5.750 |
|
|
01/15/25 |
|
9,137,500 |
| Calpine Corp.
(BB/Ba2)(e) |
|
|
|
9,350,000 |
|
|
|
5.250 |
|
|
06/01/26 |
|
8,800,687 |
| DPL, Inc. (BBB-/Ba2) |
|
|
|
5,600,000 |
|
|
|
7.250 |
|
|
10/15/21 |
|
6,047,160 |
| NRG Energy, Inc. (BB-/B1) |
|
|
|
5,800,000 |
|
|
|
7.250 |
|
|
05/15/26 |
|
6,177,000 |
|
|
|
3,300,000 |
|
|
|
6.625 |
|
|
01/15/27 |
|
3,390,750 |
|
|
|
10,000,000 |
|
|
|
5.750 |
(e) |
|
01/15/28 |
|
9,875,000 |
| Talen Energy Supply LLC (B+/B2) |
|
|
|
2,250,000 |
|
|
|
9.500 |
(e) |
|
07/15/22 |
|
2,216,250 |
|
|
|
1,950,000 |
|
|
|
6.500 |
|
|
06/01/25 |
|
1,482,000 |
|
|
|
1,900,000 |
|
|
|
10.500 |
(e) |
|
01/15/26 |
|
1,691,000 |
| Vistra Energy Corp. (BB/Ba3) |
|
|
|
8,000,000 |
|
|
|
7.375 |
|
|
11/01/22 |
|
8,360,000 |
|
|
|
4,000,000 |
|
|
|
7.625 |
|
|
11/01/24 |
|
4,275,000 |
|
|
|
4,250,000 |
|
|
|
8.000 |
(e) |
|
01/15/25 |
|
4,563,438 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
71,566,660 |
| |
| Electrical Components & Equipment(d)
– 0.3% |
| WESCO Distribution, Inc. (BB/B1) |
|
|
|
7,000,000 |
|
|
|
5.375 |
|
|
12/15/21 |
|
7,131,250 |
| |
| Energy – Exploration &
Production(c)(g) – 0.0% |
| Berry Petroleum Co. LLC (NR/NR) |
|
|
|
2,050,000 |
|
|
|
6.750 |
|
|
11/01/20 |
|
— |
|
|
|
28,160,000 |
|
|
|
6.375 |
|
|
09/15/22 |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
— |
| |
| Engineering & Construction(d) –
0.5% |
| AECOM (BB-/Ba3) |
|
|
|
6,900,000 |
|
|
|
5.125 |
|
|
03/15/27 |
|
6,486,000 |
| Pisces Midco, Inc.
(CCC+/Caa1)(e) |
|
|
|
6,000,000 |
|
|
|
8.000 |
|
|
04/15/26 |
|
5,767,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,253,500 |
| |
| Entertainment – 1.9% |
| AMC Entertainment Holdings, Inc.
(B+/B3)(d) |
|
|
|
4,250,000 |
|
|
|
5.750 |
|
|
06/15/25 |
|
4,154,375 |
|
|
|
5,300,000 |
|
|
|
5.875 |
|
|
11/15/26 |
|
5,114,500 |
| Cinemark USA, Inc.
(BB/B2)(d) |
|
|
|
5,850,000 |
|
|
|
4.875 |
|
|
06/01/23 |
|
5,718,375 |
| GLP Capital LP/GLP Financing II, Inc. (BBB-/Ba1) |
|
|
|
6,000,000 |
|
|
|
5.375 |
|
|
04/15/26 |
|
5,955,000 |
| Mohegan Gaming & Entertainment (CCC+/B3)(d)(e)(f) |
|
|
|
10,450,000 |
|
|
|
7.875 |
|
|
10/15/24 |
|
9,875,250 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Entertainment – (continued) |
| New Cotai LLC/New Cotai Capital Corp.
(NR/NR)(d)(e)(h)(PIK 10.625%, Cash 10.625%) |
| $ |
|
|
1,584,678 |
|
|
|
10.625 |
% |
|
05/01/19 |
|
$ 1,545,061 |
| Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. (B/B2)(d)(e) |
|
|
|
4,889,000 |
|
|
|
6.125 |
|
|
08/15/21 |
|
4,840,110 |
| Scientific Games International, Inc.
(B-/Caa1)(d) |
|
|
|
10,150,000 |
|
|
|
10.000 |
|
|
12/01/22 |
|
10,822,438 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
48,025,109 |
| |
| Environmental(d)(e) –
1.1% |
| Core & Main LP (B-/Caa1) |
|
|
|
18,000,000 |
|
|
|
6.125 |
|
|
08/15/25 |
|
17,100,000 |
| Waste Pro USA, Inc. (B+/B3) |
|
|
|
8,900,000 |
|
|
|
5.500 |
|
|
02/15/26 |
|
8,555,125 |
| Wrangler Buyer Corp. (CCC+/Caa1) |
|
|
|
2,150,000 |
|
|
|
6.000 |
|
|
10/01/25 |
|
2,031,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
27,686,875 |
| |
| Food & Drug Retailing(d) –
1.5% |
| B&G Foods, Inc. (B+/B2) |
|
|
|
8,175,000 |
|
|
|
5.250 |
|
|
04/01/25 |
|
7,704,937 |
| Chobani LLC/Chobani Finance Corp., Inc. (CCC+/Caa2)(e) |
|
|
|
10,150,000 |
|
|
|
7.500 |
|
|
04/15/25 |
|
9,693,250 |
| Post Holdings, Inc.
(B/B3)(e) |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
08/15/26 |
|
4,656,250 |
|
|
|
12,750,000 |
|
|
|
5.750 |
|
|
03/01/27 |
|
12,367,500 |
|
|
|
4,500,000 |
|
|
|
5.625 |
|
|
01/15/28 |
|
4,213,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
38,635,062 |
| |
| Food Service(d)(e) –
0.1% |
| Aramark Services, Inc. (BB/Ba3) |
|
|
|
3,100,000 |
|
|
|
5.000 |
|
|
02/01/28 |
|
2,960,500 |
| |
| Gas(d) – 0.3% |
| AmeriGas Partners LP/AmeriGas Finance Corp. (NR/Ba3) |
|
|
|
7,000,000 |
|
|
|
5.750 |
|
|
05/20/27 |
|
6,606,250 |
| |
| Healthcare Providers & Services – 5.3% |
| Acadia Healthcare Co., Inc.
(B/B3)(d) |
|
|
|
5,000,000 |
|
|
|
5.625 |
|
|
02/15/23 |
|
5,037,500 |
|
|
|
3,650,000 |
|
|
|
6.500 |
|
|
03/01/24 |
|
3,741,250 |
| Centene Escrow I Corp.
(BB+/Ba1)(d)(e) |
|
|
|
2,400,000 |
|
|
|
5.375 |
|
|
06/01/26 |
|
2,430,000 |
| CHS/Community Health Systems, Inc. (NR/NR) |
|
|
|
2,300,000 |
|
|
|
8.625 |
|
|
01/15/24 |
|
2,305,750 |
| CHS/Community Health Systems, Inc.
(B-/B3)(d) |
|
|
|
8,550,000 |
|
|
|
5.125 |
|
|
08/01/21 |
|
7,930,125 |
| CHS/Community Health Systems, Inc.
(CCC-/NR)(d)(e)(i) |
|
|
|
450,000 |
|
|
|
11.000 |
|
|
06/30/23 |
|
405,000 |
| HCA, Inc. (B+/Ba2) |
|
|
|
10,000,000 |
|
|
|
7.500 |
|
|
02/15/22 |
|
10,900,000 |
|
|
|
10,000,000 |
|
|
|
5.375 |
|
|
02/01/25 |
|
9,850,000 |
| HCA, Inc. (BBB-/Ba1) |
|
|
|
28,200,000 |
|
|
|
6.500 |
|
|
02/15/20 |
|
29,275,125 |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
03/15/24 |
|
5,012,500 |
|
|
|
10,000,000 |
|
|
|
5.250 |
|
|
04/15/25 |
|
10,000,000 |
| Hologic, Inc.
(BB-/Ba3)(d)(e) |
|
|
|
2,530,000 |
|
|
|
4.375 |
|
|
10/15/25 |
|
2,409,825 |
| |
GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Healthcare Providers & Services – (continued) |
| MPH Acquisition Holdings LLC
(B-/Caa1)(d)(e) |
| $ |
|
|
12,000,000 |
|
|
|
7.125 |
% |
|
06/01/24 |
|
$ 12,300,000 |
| Polaris Intermediate Corp.
(B-/Caa2)(d)(e)(h)(PIK 9.250%, Cash 8.500%) |
|
|
|
700,000 |
|
|
|
8.500 |
|
|
12/01/22 |
|
721,875 |
| Tenet Healthcare Corp.
(B-/Ba3)(d)(e) |
|
|
|
8,050,000 |
|
|
|
5.125 |
|
|
05/01/25 |
|
7,667,625 |
| Tenet Healthcare Corp.
(BB-/Ba3)(d)(e) |
|
|
|
6,500,000 |
|
|
|
4.625 |
|
|
07/15/24 |
|
6,166,875 |
| Tenet Healthcare Corp. (CCC+/Caa1) |
|
|
|
10,659,000 |
|
|
|
8.125 |
|
|
04/01/22 |
|
11,138,655 |
|
|
|
7,550,000 |
|
|
|
7.000 |
(d)(e) |
|
08/01/25 |
|
7,493,375 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
134,785,480 |
| |
| Home Builders – 2.0% |
| Beazer Homes USA, Inc.
(NR/B3)(d) |
|
|
|
6,200,000 |
|
|
|
8.750 |
|
|
03/15/22 |
|
6,579,750 |
| Beazer Homes USA, Inc.
(B-/B3)(d) |
|
|
|
509,000 |
|
|
|
7.250 |
|
|
02/01/23 |
|
517,271 |
|
|
|
6,400,000 |
|
|
|
5.875 |
|
|
10/15/27 |
|
5,568,000 |
| Brookfield Residential Properties, Inc. (B+/B1)(d)(e) |
|
|
|
3,000,000 |
|
|
|
6.125 |
|
|
07/01/22 |
|
3,011,250 |
|
|
|
5,000,000 |
|
|
|
6.375 |
|
|
05/15/25 |
|
4,943,750 |
| Lennar Corp.
(BB+/Ba1)(d) |
|
|
|
5,000,000 |
|
|
|
4.750 |
|
|
11/15/22 |
|
4,975,000 |
|
|
|
3,000,000 |
|
|
|
5.875 |
|
|
11/15/24 |
|
3,086,250 |
|
|
|
4,175,000 |
|
|
|
4.750 |
|
|
11/29/27 |
|
3,908,844 |
| TRI Pointe Group, Inc./TRI Pointe Homes, Inc. (BB-/Ba3) |
|
|
|
5,000,000 |
|
|
|
5.875 |
|
|
06/15/24 |
|
4,931,250 |
| William Lyon Homes, Inc.
(B+/B2)(d) |
|
|
|
400,000 |
|
|
|
7.000 |
|
|
08/15/22 |
|
407,000 |
|
|
|
10,000,000 |
|
|
|
6.000 |
(e) |
|
09/01/23 |
|
9,800,000 |
|
|
|
1,850,000 |
|
|
|
5.875 |
|
|
01/31/25 |
|
1,739,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
49,467,365 |
| |
| Insurance – 0.8% |
| Fidelity & Guaranty Life Holdings, Inc. (BB+/Ba2)(d)(e) |
|
|
|
7,550,000 |
|
|
|
5.500 |
|
|
05/01/25 |
|
7,323,500 |
| USIS Merger Sub, Inc.
(CCC+/Caa2)(d)(e) |
|
|
|
3,500,000 |
|
|
|
6.875 |
|
|
05/01/25 |
|
3,482,500 |
| Wand Merger Corp. (NR/NR) |
|
|
|
8,750,000 |
|
|
|
8.125 |
|
|
07/15/23 |
|
8,870,313 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,676,313 |
| |
| Internet – 1.1% |
| Netflix, Inc.
(B+/Ba3)(e) |
|
|
|
21,300,000 |
|
|
|
4.875 |
|
|
04/15/28 |
|
20,261,625 |
| Symantec Corp.
(BB+/Baa3)(d)(e) |
|
|
|
3,000,000 |
|
|
|
5.000 |
|
|
04/15/25 |
|
2,899,143 |
| VeriSign, Inc.
(BBB-/Ba2)(d) |
|
|
|
5,600,000 |
|
|
|
4.750 |
|
|
07/15/27 |
|
5,376,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,536,768 |
| |
| Iron/Steel – 1.6% |
| AK Steel Corp.
(BB-/B1)(d) |
|
|
|
4,350,000 |
|
|
|
7.500 |
|
|
07/15/23 |
|
4,551,187 |
| Cleveland-Cliffs, Inc.
(B/B2)(d) |
|
|
|
9,300,000 |
|
|
|
5.750 |
|
|
03/01/25 |
|
8,811,750 |
| Cleveland-Cliffs, Inc. (CCC+/Caa1) |
|
|
|
3,887,000 |
|
|
|
5.900 |
|
|
03/15/20 |
|
3,906,435 |
|
|
|
3,000,000 |
|
|
|
4.800 |
|
|
10/01/20 |
|
2,943,750 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Iron/Steel – (continued) |
| Steel Dynamics, Inc.
(BB+/Ba1)(d) |
| $ |
|
|
5,000,000 |
|
|
|
5.125 |
% |
|
10/01/21 |
|
$ 5,050,000 |
|
|
|
2,850,000 |
|
|
|
5.250 |
|
|
04/15/23 |
|
2,867,813 |
| United States Steel Corp.
(B/B2)(d) |
|
|
|
13,000,000 |
|
|
|
6.875 |
|
|
08/15/25 |
|
13,065,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
41,195,935 |
| |
| Leisure Time(d)(e) –
0.4% |
| Viking Cruises Ltd. (NR/B3) |
|
|
|
3,730,000 |
|
|
|
5.875 |
|
|
09/15/27 |
|
3,534,175 |
| VOC Escrow Ltd. (BB-/Ba2) |
|
|
|
7,100,000 |
|
|
|
5.000 |
|
|
02/15/28 |
|
6,709,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,243,675 |
| |
| Lodging – 2.8% |
| Hilton Domestic Operating Co., Inc.
(NR/Ba2)(d)(e) |
|
|
|
7,600,000 |
|
|
|
5.125 |
|
|
05/01/26 |
|
7,410,000 |
| MGM Resorts International (BB-/Ba3) |
|
|
|
23,100,000 |
|
|
|
8.625 |
|
|
02/01/19 |
|
23,735,250 |
|
|
|
2,700,000 |
|
|
|
6.750 |
|
|
10/01/20 |
|
2,835,000 |
|
|
|
17,000,000 |
|
|
|
6.625 |
|
|
12/15/21 |
|
17,892,500 |
|
|
|
13,000,000 |
|
|
|
7.750 |
|
|
03/15/22 |
|
14,137,500 |
|
|
|
5,450,000 |
|
|
|
5.750 |
(d) |
|
06/15/25 |
|
5,422,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
71,433,000 |
| |
| Machinery - Construction & Mining(d)(e)
– 0.3% |
| BlueLine Rental Finance Corp./BlueLine Rental LLC (B/Caa1) |
|
|
|
7,600,000 |
|
|
|
9.250 |
|
|
03/15/24 |
|
8,084,500 |
| |
| Machinery-Diversified(d)(e) –
0.8% |
| Mueller Water Products, Inc. (BB/Ba3) |
|
|
|
5,300,000 |
|
|
|
5.500 |
|
|
06/15/26 |
|
5,326,500 |
| RBS Global, Inc./Rexnord LLC (B+/B3) |
|
|
|
5,750,000 |
|
|
|
4.875 |
|
|
12/15/25 |
|
5,433,750 |
| Titan Acquisition Ltd./Titan Co-Borrower LLC (CCC+/Caa2) |
|
|
|
10,200,000 |
|
|
|
7.750 |
|
|
04/15/26 |
|
9,486,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,246,250 |
| |
| Media – 10.9% |
| Altice Financing SA
(B+/B1)(d)(e) |
|
|
|
12,000,000 |
|
|
|
6.625 |
|
|
02/15/23 |
|
11,790,000 |
|
|
|
20,000,000 |
|
|
|
7.500 |
|
|
05/15/26 |
|
19,300,000 |
| Altice Finco SA
(CCC+/B3)(d)(e) |
|
|
|
7,250,000 |
|
|
|
8.125 |
|
|
01/15/24 |
|
7,259,062 |
| Altice France SA
(B/B1)(d)(e) |
|
|
|
10,800,000 |
|
|
|
6.000 |
|
|
05/15/22 |
|
10,867,500 |
|
|
|
9,105,000 |
|
|
|
7.375 |
|
|
05/01/26 |
|
8,888,756 |
| Altice Luxembourg SA
(B-/B3)(d)(e) |
|
|
|
9,550,000 |
|
|
|
7.750 |
|
|
05/15/22 |
|
9,239,625 |
| Altice US Finance I Corp.
(BB/Ba3)(d)(e) |
|
|
|
22,000,000 |
|
|
|
5.500 |
|
|
05/15/26 |
|
21,175,000 |
| AMC Networks, Inc.
(NR/Ba3)(d) |
|
|
|
5,000,000 |
|
|
|
5.000 |
|
|
04/01/24 |
|
4,912,500 |
| AMC Networks, Inc.
(BB/Ba3)(d) |
|
|
|
3,800,000 |
|
|
|
4.750 |
|
|
08/01/25 |
|
3,648,000 |
| |
GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Media – (continued) |
| CCO Holdings LLC/CCO Holdings Capital Corp. (BB/B1)(d)(e) |
| $ |
|
|
10,000,000 |
|
|
|
5.875 |
% |
|
04/01/24 |
|
$ 10,025,000 |
|
|
|
18,000,000 |
|
|
|
5.750 |
|
|
02/15/26 |
|
17,640,000 |
|
|
|
3,555,000 |
|
|
|
5.500 |
|
|
05/01/26 |
|
3,439,463 |
|
|
|
7,500,000 |
|
|
|
5.875 |
|
|
05/01/27 |
|
7,312,500 |
|
|
|
12,290,000 |
|
|
|
5.000 |
|
|
02/01/28 |
|
11,260,712 |
| Cequel Communications Holdings I LLC/Cequel Capital Corp. (B/Caa1)(d)(e) |
|
|
|
2,150,000 |
|
|
|
7.750 |
|
|
07/15/25 |
|
2,246,750 |
| CSC Holdings LLC (B-/B2) |
|
|
|
7,600,000 |
|
|
|
8.625 |
|
|
02/15/19 |
|
7,818,500 |
|
|
|
10,000,000 |
|
|
|
10.125 |
(d)(e) |
|
01/15/23 |
|
11,025,000 |
|
|
|
2,650,000 |
|
|
|
5.250 |
|
|
06/01/24 |
|
2,504,250 |
| CSC Holdings LLC
(BB-/Ba2)(d)(e) |
|
|
|
8,500,000 |
|
|
|
5.500 |
|
|
04/15/27 |
|
8,117,500 |
| DISH DBS Corp. (B/B1) |
|
|
|
10,000,000 |
|
|
|
7.875 |
|
|
09/01/19 |
|
10,375,000 |
|
|
|
11,400,000 |
|
|
|
6.750 |
|
|
06/01/21 |
|
11,400,000 |
|
|
|
3,200,000 |
|
|
|
5.875 |
|
|
07/15/22 |
|
2,992,000 |
|
|
|
12,850,000 |
|
|
|
7.750 |
|
|
07/01/26 |
|
11,227,687 |
| Gray Television, Inc.
(B+/B2)(d)(e) |
|
|
|
500,000 |
|
|
|
5.875 |
|
|
07/15/26 |
|
474,375 |
| Meredith Corp.
(B/B3)(d)(e) |
|
|
|
10,650,000 |
|
|
|
6.875 |
|
|
02/01/26 |
|
10,490,250 |
| Nexstar Broadcasting, Inc.
(B+/B3)(d)(e) |
|
|
|
6,750,000 |
|
|
|
5.625 |
|
|
08/01/24 |
|
6,522,188 |
| Sirius XM Radio, Inc.
(BB/Ba3)(d)(e) |
|
|
|
18,350,000 |
|
|
|
5.000 |
|
|
08/01/27 |
|
17,111,375 |
| The E.W. Scripps Co.
(BB-/B1)(d)(e) |
|
|
|
1,575,000 |
|
|
|
5.125 |
|
|
05/15/25 |
|
1,476,563 |
| Univision Communications, Inc.
(BB-/B2)(d)(e) |
|
|
|
6,150,000 |
|
|
|
5.125 |
|
|
05/15/23 |
|
5,919,375 |
| UPCB Finance IV Ltd.
(BB/Ba3)(d)(e) |
|
|
|
8,000,000 |
|
|
|
5.375 |
|
|
01/15/25 |
|
7,560,000 |
| Virgin Media Secured Finance PLC
(BB-/Ba3)(d)(e) |
|
|
|
12,000,000 |
|
|
|
5.500 |
|
|
08/15/26 |
|
11,265,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
275,283,931 |
| |
| Media - Cable(c)(g) –
0.0% |
| Adelphia Communications Corp. (NR/NR) |
|
|
|
2,000,000 |
|
|
|
10.250 |
|
|
06/15/49 |
|
— |
| |
| Metal Fabricate & Hardware(d) –
1.0% |
| Novelis Corp.
(B+/B2)(e) |
|
|
|
4,800,000 |
|
|
|
6.250 |
|
|
08/15/24 |
|
4,794,000 |
|
|
|
8,950,000 |
|
|
|
5.875 |
|
|
09/30/26 |
|
8,558,438 |
| Park-Ohio Industries, Inc. (B/B3) |
|
|
|
12,550,000 |
|
|
|
6.625 |
|
|
04/15/27 |
|
12,801,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,153,438 |
| |
| Mining(d) –
2.3% |
| Alcoa Nederland Holding BV
(BB+/Ba1)(e) |
|
|
|
3,050,000 |
|
|
|
7.000 |
|
|
09/30/26 |
|
3,239,344 |
|
|
|
2,900,000 |
|
|
|
6.125 |
|
|
05/15/28 |
|
2,918,125 |
| Constellium NV
(B-/B3)(e) |
|
|
|
5,250,000 |
|
|
|
5.750 |
|
|
05/15/24 |
|
5,099,062 |
|
|
|
3,200,000 |
|
|
|
6.625 |
|
|
03/01/25 |
|
3,216,000 |
| FMG Resources August 2006 Pty Ltd. (BB+/Ba1)(e) |
|
|
|
7,500,000 |
|
|
|
5.125 |
|
|
03/15/23 |
|
7,335,967 |
| Freeport-McMoRan, Inc. (BB-/Ba2) |
|
|
|
13,500,000 |
|
|
|
3.550 |
|
|
03/01/22 |
|
12,791,250 |
|
|
|
2,900,000 |
|
|
|
5.400 |
|
|
11/14/34 |
|
2,631,750 |
| Hudbay Minerals, Inc.
(B+/B3)(e) |
|
|
|
5,000,000 |
|
|
|
7.250 |
|
|
01/15/23 |
|
5,168,750 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Mining(d) –
(continued) |
| New Gold, Inc.
(B/B3)(e) |
| $ |
|
|
5,000,000 |
|
|
|
6.250 |
% |
|
11/15/22 |
|
$ 5,050,000 |
| Teck Resources Ltd. (BB+/Ba2) |
|
|
|
4,000,000 |
|
|
|
6.000 |
|
|
08/15/40 |
|
3,895,000 |
|
|
|
5,600,000 |
|
|
|
5.200 |
|
|
03/01/42 |
|
4,907,000 |
|
|
|
1,250,000 |
|
|
|
5.400 |
|
|
02/01/43 |
|
1,123,438 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
57,375,686 |
| |
| Oil Field Services – 9.4% |
| Antero Resources Corp.
(BB+/Ba3)(d) |
|
|
|
7,700,000 |
|
|
|
5.375 |
|
|
11/01/21 |
|
7,777,000 |
|
|
|
1,300,000 |
|
|
|
5.625 |
|
|
06/01/23 |
|
1,317,875 |
| California Resources Corp.
(CCC+/Caa2)(d)(e) |
|
|
|
3,500,000 |
|
|
|
8.000 |
|
|
12/15/22 |
|
3,176,250 |
| California Resources Corp.
(CCC-/Caa3)(d) |
|
|
|
3,600,000 |
|
|
|
6.000 |
|
|
11/15/24 |
|
2,925,000 |
| Carrizo Oil & Gas, Inc.
(B+/B3)(d) |
|
|
|
662,000 |
|
|
|
7.500 |
|
|
09/15/20 |
|
665,310 |
| Chesapeake Energy Corp. (CCC+/Caa1) |
|
|
|
1,800,000 |
|
|
|
5.375 |
(d) |
|
06/15/21 |
|
1,773,000 |
|
|
|
6,600,000 |
|
|
|
5.750 |
|
|
03/15/23 |
|
6,270,000 |
|
|
|
2,950,000 |
|
|
|
8.000 |
(d) |
|
01/15/25 |
|
2,997,938 |
|
|
|
3,350,000 |
|
|
|
8.000 |
(d) |
|
06/15/27 |
|
3,408,625 |
| CrownRock LP/CrownRock Finance, Inc.
(BB-/B3)(d)(e) |
|
|
|
7,500,000 |
|
|
|
5.625 |
|
|
10/15/25 |
|
7,200,000 |
| Denbury Resources, Inc.
(B/Caa1)(d)(e) |
|
|
|
3,700,000 |
|
|
|
9.000 |
|
|
05/15/21 |
|
3,912,750 |
| Ensco PLC (BB-/B3) |
|
|
|
3,400,000 |
|
|
|
7.750 |
|
|
02/01/26 |
|
3,255,500 |
|
|
|
3,100,000 |
|
|
|
5.750 |
(d) |
|
10/01/44 |
|
2,197,125 |
| EP Energy LLC/Everest Acquisition Finance, Inc. (CCC-/Caa2)(d)(e) |
|
|
|
2,900,000 |
|
|
|
9.375 |
|
|
05/01/24 |
|
2,381,625 |
| EP Energy LLC/Everest Acquisition Finance, Inc. (CCC-/Caa3)(d) |
|
|
|
1,450,000 |
|
|
|
9.375 |
|
|
05/01/20 |
|
1,428,250 |
| Exterran Energy Solutions LP/EES Finance Corp. (B+/NR)(d) |
|
|
|
5,250,000 |
|
|
|
8.125 |
|
|
05/01/25 |
|
5,565,000 |
| Gulfport Energy Corp.
(BB-/B1)(d) |
|
|
|
3,300,000 |
|
|
|
6.000 |
|
|
10/15/24 |
|
3,163,875 |
|
|
|
7,500,000 |
|
|
|
6.375 |
|
|
05/15/25 |
|
7,293,750 |
|
|
|
3,200,000 |
|
|
|
6.375 |
|
|
01/15/26 |
|
3,084,000 |
| Halcon Resources Corp.
(CCC+/Caa1)(d) |
|
|
|
10,300,000 |
|
|
|
6.750 |
|
|
02/15/25 |
|
9,630,500 |
| Jagged Peak Energy LLC
(B/B3)(d)(e) |
|
|
|
5,500,000 |
|
|
|
5.875 |
|
|
05/01/26 |
|
5,410,625 |
| Jones Energy Holdings LLC/Jones Energy Finance Corp. (NR/Caa3)(d) |
|
|
|
3,600,000 |
|
|
|
6.750 |
|
|
04/01/22 |
|
2,187,000 |
| Laredo Petroleum, Inc.
(B+/B2)(d) |
|
|
|
5,000,000 |
|
|
|
5.625 |
|
|
01/15/22 |
|
4,925,000 |
|
|
|
5,150,000 |
|
|
|
6.250 |
|
|
03/15/23 |
|
5,124,250 |
| MEG Energy Corp.
(BB+/B3)(d)(e) |
|
|
|
3,550,000 |
|
|
|
6.500 |
|
|
01/15/25 |
|
3,541,125 |
| MEG Energy Corp.
(BB-/Caa2)(d)(e) |
|
|
|
3,600,000 |
|
|
|
6.375 |
|
|
01/30/23 |
|
3,348,000 |
|
|
|
4,950,000 |
|
|
|
7.000 |
|
|
03/31/24 |
|
4,622,063 |
| Nabors Industries, Inc. (BB/Ba3) |
|
|
|
5,000,000 |
|
|
|
0.750 |
|
|
01/15/24 |
|
3,931,300 |
| Noble Holding International Ltd.
(NR/NR)(d)(e) |
|
|
|
4,565,000 |
|
|
|
7.875 |
|
|
02/01/26 |
|
4,701,950 |
| Noble Holding International Ltd.
(B/Caa1)(d)(f) |
|
|
|
5,000,000 |
|
|
|
7.750 |
|
|
01/15/24 |
|
4,718,750 |
| |
GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Oil Field Services – (continued) |
| Oasis Petroleum, Inc.
(BB-/B3)(d) |
| $ |
|
|
6,741,000 |
|
|
|
6.875 |
% |
|
03/15/22 |
|
$ 6,858,967 |
| Parsley Energy LLC/Parsley Finance Corp. (BB-/B2)(d)(e) |
|
|
|
6,750,000 |
|
|
|
5.625 |
|
|
10/15/27 |
|
6,699,375 |
| Precision Drilling Corp.
(BB/B3)(d) |
|
|
|
4,900,000 |
|
|
|
7.750 |
|
|
12/15/23 |
|
5,157,250 |
| QEP Resources, Inc.
(BB+/Ba3)(d) |
|
|
|
12,765,000 |
|
|
|
5.625 |
|
|
03/01/26 |
|
12,222,487 |
| Range Resources Corp.
(BB+/Ba3)(d) |
|
|
|
4,500,000 |
|
|
|
4.875 |
|
|
05/15/25 |
|
4,230,000 |
| Rowan Cos., Inc.
(B/B2)(d) |
|
|
|
1,800,000 |
|
|
|
7.375 |
|
|
06/15/25 |
|
1,746,000 |
|
|
|
4,550,000 |
|
|
|
5.400 |
|
|
12/01/42 |
|
3,276,000 |
| Sanchez Energy Corp.
(B-/Caa1)(d) |
|
|
|
3,500,000 |
|
|
|
6.125 |
|
|
01/15/23 |
|
2,371,250 |
| SM Energy Co.
(BB-/B2)(d) |
|
|
|
8,000,000 |
|
|
|
6.500 |
|
|
11/15/21 |
|
8,180,000 |
|
|
|
450,000 |
|
|
|
5.000 |
|
|
01/15/24 |
|
423,000 |
|
|
|
5,750,000 |
|
|
|
6.750 |
|
|
09/15/26 |
|
5,764,375 |
| Transocean, Inc.
(NR/B3)(d)(e) |
|
|
|
5,700,000 |
|
|
|
7.500 |
|
|
01/15/26 |
|
5,785,500 |
| Transocean, Inc. (B/Caa2) |
|
|
|
10,000,000 |
|
|
|
7.500 |
|
|
04/15/31 |
|
9,275,000 |
| Trinidad Drilling Ltd.
(BB-/B3)(d)(e) |
|
|
|
7,750,000 |
|
|
|
6.625 |
|
|
02/15/25 |
|
7,459,375 |
| USA Compression Partners LP/USA Compression Finance Corp.
(B+/B3)(d)(e) |
|
|
|
5,900,000 |
|
|
|
6.875 |
|
|
04/01/26 |
|
6,099,125 |
| Weatherford International Ltd. (B-/Caa1) |
|
|
|
3,200,000 |
|
|
|
7.750 |
(d) |
|
06/15/21 |
|
3,280,000 |
|
|
|
10,100,000 |
|
|
|
6.500 |
|
|
08/01/36 |
|
7,903,250 |
| Whiting Petroleum Corp.
(NR/NR)(d)(e) |
|
|
|
6,800,000 |
|
|
|
6.625 |
|
|
01/15/26 |
|
6,995,500 |
| WPX Energy, Inc.
(BB-/B1)(d) |
|
|
|
5,000,000 |
|
|
|
8.250 |
|
|
08/01/23 |
|
5,650,000 |
|
|
|
3,350,000 |
|
|
|
5.250 |
|
|
09/15/24 |
|
3,299,750 |
|
|
|
3,500,000 |
|
|
|
5.750 |
|
|
06/01/26 |
|
3,482,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
238,092,140 |
| |
| Packaging – 1.2% |
| ARD Finance SA (B-/Caa2)(d)(h)(PIK
7.875%, Cash 7.125%) |
|
|
|
2,600,000 |
|
|
|
7.125 |
|
|
09/15/23 |
|
2,593,500 |
| Ardagh Packaging Finance PLC
(B/B3)(d)(e) |
|
|
|
6,100,000 |
|
|
|
6.000 |
|
|
06/30/21 |
|
6,176,250 |
| BWAY Holding Co.
(CCC+/Caa2)(d)(e) |
|
|
|
4,600,000 |
|
|
|
7.250 |
|
|
04/15/25 |
|
4,485,000 |
| Multi-Color Corp.
(B+/B2)(d)(e) |
|
|
|
4,900,000 |
|
|
|
4.875 |
|
|
11/01/25 |
|
4,544,750 |
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu (B+/B1)(d) |
|
|
|
3,115,681 |
|
|
|
5.750 |
|
|
10/15/20 |
|
3,115,681 |
|
|
|
3,586,661 |
|
|
|
6.875 |
|
|
02/15/21 |
|
3,622,528 |
|
|
|
6,850,000 |
|
|
|
5.125 |
(e) |
|
07/15/23 |
|
6,764,375 |
| Smurfit-Stone Container Corp.
(NR/NR)(c)(g) |
|
|
|
8,500,000 |
|
|
|
8.000 |
|
|
03/15/17 |
|
— |
| Stone Container Finance Co. of Canada II (NR/WR)(c)(d)(g) |
|
|
|
2,250,000 |
|
|
|
7.375 |
|
|
07/15/14 |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,302,084 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Paper(c)(g) –
0.0% |
| Jefferson Smurfit Corp. (NR/NR) |
| $ |
|
|
1,750,000 |
|
|
|
0.750 |
% |
|
06/01/13 |
|
$ — |
|
|
|
6,000,000 |
|
|
|
8.250 |
|
|
10/01/49 |
|
— |
| NewPage Corp. (NR/NR) |
|
|
|
10,050,000 |
|
|
|
1.000 |
|
|
12/31/49 |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
— |
| |
| Pharmaceuticals(d)(e) –
3.1% |
| Endo Dac/Endo Finance LLC/Endo Finco, Inc. (CCC+/B3) |
|
|
|
10,200,000 |
|
|
|
6.000 |
|
|
07/15/23 |
|
8,389,500 |
| Valeant Pharmaceuticals International, Inc. (B-/Caa1) |
|
|
|
10,600,000 |
|
|
|
7.500 |
|
|
07/15/21 |
|
10,772,250 |
|
|
|
7,300,000 |
|
|
|
6.750 |
|
|
08/15/21 |
|
7,382,125 |
|
|
|
2,950,000 |
|
|
|
7.250 |
|
|
07/15/22 |
|
3,021,272 |
|
|
|
24,550,000 |
|
|
|
5.875 |
|
|
05/15/23 |
|
22,984,937 |
|
|
|
7,100,000 |
|
|
|
9.250 |
|
|
04/01/26 |
|
7,384,000 |
| Valeant Pharmaceuticals International, Inc. (BB-/Ba3) |
|
|
|
5,000,000 |
|
|
|
7.000 |
|
|
03/15/24 |
|
5,237,500 |
|
|
|
12,300,000 |
|
|
|
5.500 |
|
|
11/01/25 |
|
12,115,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
77,287,084 |
| |
| Pipelines – 3.1% |
| Cheniere Corpus Christi Holdings LLC
(BB-/Ba3)(d) |
|
|
|
6,000,000 |
|
|
|
5.125 |
|
|
06/30/27 |
|
5,940,000 |
| Cheniere Energy Partners LP
(BB/Ba2)(d)(e) |
|
|
|
12,665,000 |
|
|
|
5.250 |
|
|
10/01/25 |
|
12,332,544 |
| CNX Midstream Partners LP/CNX Midstream Finance Corp. (BB-/B3)(d)(e) |
|
|
|
7,650,000 |
|
|
|
6.500 |
|
|
03/15/26 |
|
7,420,500 |
| DCP Midstream Operating LP
(BB/Ba2)(e) |
|
|
|
6,650,000 |
|
|
|
9.750 |
|
|
03/15/19 |
|
6,924,312 |
|
|
|
950,000 |
|
|
|
6.750 |
|
|
09/15/37 |
|
1,009,375 |
| Energy Transfer Equity LP (BB-/Ba2) |
|
|
|
4,000,000 |
|
|
|
7.500 |
|
|
10/15/20 |
|
4,265,000 |
|
|
|
3,400,000 |
|
|
|
4.250 |
(d) |
|
03/15/23 |
|
3,272,500 |
|
|
|
5,000,000 |
|
|
|
5.875 |
(d) |
|
01/15/24 |
|
5,125,000 |
| Genesis Energy LP/Genesis Energy Finance Corp. (BB-/B1)(d) |
|
|
|
3,611,000 |
|
|
|
6.000 |
|
|
05/15/23 |
|
3,543,294 |
|
|
|
10,000,000 |
|
|
|
6.500 |
|
|
10/01/25 |
|
9,600,000 |
| Summit Midstream Holdings LLC/Summit Midstream Finance Corp.
(BB-/B1)(d) |
|
|
|
7,500,000 |
|
|
|
5.750 |
|
|
04/15/25 |
|
7,125,000 |
| Targa Resources Partners LP/Targa Resources Partners Finance Corp. (BB-/Ba3)(d) |
|
|
|
1,000,000 |
|
|
|
5.250 |
|
|
05/01/23 |
|
1,000,000 |
|
|
|
4,100,000 |
|
|
|
5.875 |
(e) |
|
04/15/26 |
|
4,120,500 |
|
|
|
4,500,000 |
|
|
|
5.375 |
|
|
02/01/27 |
|
4,365,000 |
|
|
|
2,650,000 |
|
|
|
5.000 |
(e) |
|
01/15/28 |
|
2,464,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
78,507,525 |
| |
| Real Estate Investment Trust(d) –
2.4% |
| Equinix, Inc. (BB+/B1) |
|
|
|
7,000,000 |
|
|
|
5.750 |
|
|
01/01/25 |
|
7,070,000 |
|
|
|
4,600,000 |
|
|
|
5.875 |
|
|
01/15/26 |
|
4,646,000 |
|
|
|
5,650,000 |
|
|
|
5.375 |
|
|
05/15/27 |
|
5,635,875 |
| iStar, Inc. (BB-/B1) |
|
|
|
3,480,000 |
|
|
|
4.625 |
|
|
09/15/20 |
|
3,427,800 |
|
|
|
6,500,000 |
|
|
|
6.000 |
|
|
04/01/22 |
|
6,483,750 |
| |
GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Real Estate Investment Trust(d) –
(continued) |
| MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. (BB-/B1) |
| $ |
|
|
10,500,000 |
|
|
|
5.625 |
% |
|
05/01/24 |
|
$ 10,618,125 |
| MPT Operating Partnership LP/MPT Finance Corp. (BBB-/Ba1) |
|
|
|
15,000,000 |
|
|
|
5.000 |
|
|
10/15/27 |
|
14,325,000 |
| Starwood Property Trust, Inc.
(BB-/Ba3)(e) |
|
|
|
9,500,000 |
|
|
|
4.750 |
|
|
03/15/25 |
|
9,167,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
61,374,050 |
| |
| Retailing(d) –
1.5% |
| 1011778 BC ULC/New Red Finance, Inc.
(B-/B3)(e) |
|
|
|
7,000,000 |
|
|
|
5.000 |
|
|
10/15/25 |
|
6,615,000 |
| Beacon Roofing Supply, Inc.
(B+/B3)(e) |
|
|
|
7,000,000 |
|
|
|
4.875 |
|
|
11/01/25 |
|
6,440,000 |
| JC Penney Corp., Inc.
(B-/B3)(e) |
|
|
|
3,800,000 |
|
|
|
8.625 |
|
|
03/15/25 |
|
3,220,500 |
| KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC (BB/B1)(e) |
|
|
|
12,000,000 |
|
|
|
5.250 |
|
|
06/01/26 |
|
11,820,000 |
| New Red Finance, Inc.
(B+/Ba3)(e) |
|
|
|
4,650,000 |
|
|
|
4.250 |
|
|
05/15/24 |
|
4,417,500 |
| Yum! Brands, Inc. (B+/B2) |
|
|
|
7,476,000 |
|
|
|
5.350 |
|
|
11/01/43 |
|
6,532,155 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
39,045,155 |
| |
| Semiconductors – 0.5% |
| Advanced Micro Devices, Inc. (B/B3) |
|
|
|
3,000,000 |
|
|
|
7.500 |
|
|
08/15/22 |
|
3,315,000 |
|
|
|
4,000,000 |
|
|
|
7.000 |
(d) |
|
07/01/24 |
|
4,210,000 |
| Qorvo, Inc.
(BB+/Ba1)(d) |
|
|
|
4,300,000 |
|
|
|
7.000 |
|
|
12/01/25 |
|
4,638,625 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,163,625 |
| |
| Software(d) –
1.7% |
| BMC Software Finance, Inc.
(CCC+/Caa2)(e) |
|
|
|
10,000,000 |
|
|
|
8.125 |
|
|
07/15/21 |
|
10,212,500 |
| Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. (B-/B3)(e) |
|
|
|
10,000,000 |
|
|
|
5.750 |
|
|
03/01/25 |
|
9,400,000 |
| CURO Financial Technologies Corp.
(B-/Caa1)(e) |
|
|
|
6,714,000 |
|
|
|
12.000 |
|
|
03/01/22 |
|
7,284,690 |
| Fair Isaac Corp.
(BB+/Ba2)(e) |
|
|
|
2,300,000 |
|
|
|
5.250 |
|
|
05/15/26 |
|
2,305,750 |
| Nuance Communications, Inc. (BB-/Ba3) |
|
|
|
4,286,000 |
|
|
|
5.375 |
(e) |
|
08/15/20 |
|
4,286,000 |
|
|
|
3,500,000 |
|
|
|
5.625 |
|
|
12/15/26 |
|
3,421,250 |
| Open Text Corp.
(BB+/Ba2)(e) |
|
|
|
5,000,000 |
|
|
|
5.875 |
|
|
06/01/26 |
|
5,112,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
42,022,690 |
| |
| Storage/Warehousing(d)(e) –
0.2% |
| Algeco Global Finance PLC (B-/B2) |
|
|
|
5,000,000 |
|
|
|
8.000 |
|
|
02/15/23 |
|
5,062,500 |
| |
| Telecommunication Services – 11.8% |
| CenturyLink, Inc. (B+/B2) |
|
|
|
9,350,000 |
|
|
|
6.450 |
|
|
06/15/21 |
|
9,607,125 |
|
|
|
2,150,000 |
|
|
|
7.500 |
(d) |
|
04/01/24 |
|
2,214,500 |
|
|
|
5,680,000 |
|
|
|
6.875 |
|
|
01/15/28 |
|
5,197,200 |
|
|
|
6,000,000 |
|
|
|
7.600 |
|
|
09/15/39 |
|
4,995,000 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Telecommunication Services – (continued) |
| Digicel Group Ltd.
(NR/Caa1)(d)(e) |
| $ |
|
|
14,350,000 |
|
|
|
8.250 |
% |
|
09/30/20 |
|
$ 10,547,250 |
|
|
|
5,000,000 |
|
|
|
7.125 |
|
|
04/01/22 |
|
3,300,000 |
| Digicel Ltd.
(NR/B1)(d)(e) |
|
|
|
390,000 |
|
|
|
6.000 |
|
|
04/15/21 |
|
351,975 |
|
|
|
14,590,000 |
|
|
|
6.750 |
|
|
03/01/23 |
|
12,109,700 |
| Frontier Communications Corp.
(B+/B3)(d)(e) |
|
|
|
6,650,000 |
|
|
|
8.500 |
|
|
04/01/26 |
|
6,417,250 |
| Frontier Communications Corp. (B-/Caa1) |
|
|
|
8,300,000 |
|
|
|
7.625 |
|
|
04/15/24 |
|
5,727,000 |
|
|
|
8,000,000 |
|
|
|
11.000 |
(d) |
|
09/15/25 |
|
6,390,000 |
| Intelsat Connect Finance SA
(CCC-/Ca)(d)(e) |
|
|
|
9,000,000 |
|
|
|
12.500 |
|
|
04/01/22 |
|
8,887,500 |
| Intelsat Jackson Holdings SA
(CCC+/Caa2)(d) |
|
|
|
5,000,000 |
|
|
|
7.250 |
|
|
10/15/20 |
|
4,956,250 |
|
|
|
5,450,000 |
|
|
|
7.500 |
|
|
04/01/21 |
|
5,409,125 |
|
|
|
10,950,000 |
|
|
|
9.750 |
(e) |
|
07/15/25 |
|
11,552,250 |
| Level 3 Financing, Inc.
(BB/Ba3)(d) |
|
|
|
3,150,000 |
|
|
|
5.375 |
|
|
05/01/25 |
|
3,055,500 |
|
|
|
10,800,000 |
|
|
|
5.250 |
|
|
03/15/26 |
|
10,300,500 |
| Nokia of America Corp. (NR/WR) |
|
|
|
5,000,000 |
|
|
|
6.450 |
|
|
03/15/29 |
|
5,150,000 |
| Nokia OYJ (BB+/Ba1) |
|
|
|
5,585,000 |
|
|
|
4.375 |
|
|
06/12/27 |
|
5,227,878 |
| SoftBank Group Corp.
(BB+/Ba1)(d)(f) |
|
|
|
3,300,000 |
|
|
|
5.125 |
|
|
09/19/27 |
|
3,056,625 |
| Sprint Capital Corp. (B/B3) |
|
|
|
8,150,000 |
|
|
|
8.750 |
|
|
03/15/32 |
|
8,720,500 |
| Sprint Communications, Inc. (B/B3) |
|
|
|
5,000,000 |
|
|
|
7.000 |
|
|
08/15/20 |
|
5,175,000 |
|
|
|
14,700,000 |
|
|
|
11.500 |
|
|
11/15/21 |
|
17,346,000 |
| Sprint Communications, Inc.
(B+/B1)(e) |
|
|
|
7,000,000 |
|
|
|
9.000 |
|
|
11/15/18 |
|
7,140,000 |
| Sprint Corp. (B/B3) |
|
|
|
22,150,000 |
|
|
|
7.250 |
|
|
09/15/21 |
|
23,036,000 |
|
|
|
23,000,000 |
|
|
|
7.875 |
|
|
09/15/23 |
|
23,862,500 |
|
|
|
3,900,000 |
|
|
|
7.625 |
(d) |
|
02/15/25 |
|
3,978,000 |
|
|
|
8,500,000 |
|
|
|
7.625 |
(d) |
|
03/01/26 |
|
8,648,750 |
| T-Mobile USA, Inc.
(BB+/Ba2)(d) |
|
|
|
1,400,000 |
|
|
|
4.000 |
|
|
04/15/22 |
|
1,386,000 |
|
|
|
7,050,000 |
|
|
|
6.500 |
|
|
01/15/26 |
|
7,270,313 |
|
|
|
100,000 |
|
|
|
4.500 |
|
|
02/01/26 |
|
93,375 |
| Telecom Italia Capital SA (BB+/Ba1) |
|
|
|
14,850,000 |
|
|
|
7.200 |
|
|
07/18/36 |
|
15,295,500 |
|
|
|
16,400,000 |
|
|
|
7.721 |
|
|
06/04/38 |
|
17,753,000 |
| Wind Tre SpA
(BB-/B1)(d)(e) |
|
|
|
32,350,000 |
|
|
|
5.000 |
|
|
01/20/26 |
|
25,475,625 |
| Windstream Services LLC/Windstream Finance Corp. (B+/Caa1)(d)(e) |
|
|
|
9,500,000 |
|
|
|
8.625 |
|
|
10/31/25 |
|
9,001,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
298,634,441 |
| |
| Transportation(d)(e) –
0.2% |
| Neovia Logistics Services LLC/SPL Logistics Finance Corp. (CCC+/Caa1) |
|
|
|
5,150,000 |
|
|
|
8.875 |
|
|
08/01/20 |
|
4,364,625 |
| |
| Trucking & Leasing(e) –
0.3% |
| Park Aerospace Holdings Ltd. (BB/Ba3) |
|
|
|
2,750,000 |
|
|
|
3.625 |
(d) |
|
03/15/21 |
|
2,660,625 |
|
|
|
850,000 |
|
|
|
5.250 |
|
|
08/15/22 |
|
846,863 |
| |
GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Trucking & Leasing(e) –
(continued) |
| Park Aerospace Holdings Ltd. (BB/Ba3) – (continued) |
| $ |
|
|
3,700,000 |
|
|
|
4.500 |
%(d) |
|
03/15/23 |
|
$ 3,524,250 |
|
|
7,031,738 |
| |
TOTAL CORPORATE OBLIGATIONS
(Cost $2,324,323,216) |
|
$2,295,461,174 |
| |
|
|
|
|
|
|
|
|
|
|
| Shares |
|
|
Description |
|
Value |
| |
Common Stocks – 0.9% |
| |
Auto Components – 0.0% |
| |
1,227 |
|
|
Lear Corp. |
|
$ 227,989 |
| |
|
| |
Beverages(g) –
0.0% |
| |
19 |
|
|
Crimson Wine Group Ltd. |
|
176 |
| |
|
| |
Capital Markets(g) –
0.0% |
| |
28,148 |
|
|
Motors Liquidation Co. |
|
278,842 |
| |
|
| |
Diversified Financial Services – 0.0% |
| |
190 |
|
|
Jefferies Financial Group, Inc. |
|
4,321 |
| |
|
| |
Health Care Services(c)(g) –
0.0% |
| |
3,874 |
|
|
CB Paracelsus Healthcare |
|
— |
| |
|
| |
Media(c)(g) –
0.0% |
| |
21 |
|
|
New Cotai Class B Shares |
|
— |
| |
|
| |
Oil, Gas & Consumable Fuels(g) –
0.9% |
| |
1,198,915 |
|
|
Berry Petroleum Corp.(j) |
|
14,701,322 |
| |
670,713 |
|
|
Blue Ridge Mountain Resources, Inc.(j) |
|
4,024,278 |
| |
164,196 |
|
|
Chaparral Energy, Inc. Class A |
|
3,029,416 |
| |
89,992 |
|
|
Chaparral Energy, Inc. Class B |
|
1,579,360 |
|
|
|
|
|
|
|
|
|
|
|
|
|
23,334,376 |
| |
|
| |
Paper & Forest Products(c)(g) –
0.0% |
| |
2,500 |
|
|
Port Townsend Holdings Co., Inc. |
|
— |
| |
|
| |
Pharmaceuticals(c)(g) –
0.0% |
| |
40 |
|
|
Dawn Holdings, Inc. |
|
— |
| |
10 |
|
|
Nycomed |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
— |
| |
|
|
TOTAL COMMON STOCKS
(Cost $30,318,605) |
|
$ 23,845,704 |
| |
|
|
|
|
|
|
|
|
|
|
|
| Shares |
|
Rate |
|
|
Value |
| Preferred Stocks – 0.7% |
| Energy - Exploration & Production(j)(k)
– 0.6% |
| Berry Petroleum Corp. |
| 1,121,729 |
|
|
0.000 |
% |
|
$ 14,956,013 |
| |
| Media(h)(l) –
0.1% |
| Spanish Broadcasting System, Inc. |
| 3,014 |
|
|
10.750 |
|
|
2,109,800 |
| |
TOTAL PREFERRED STOCKS — 0.7%
(Cost $14,313,961) |
|
|
$ 17,065,813 |
| |
|
|
|
|
|
|
|
| Units |
|
Expiration
Date |
|
|
Value |
| Warrant(g) – 0.0% |
| Lender Process Services, Inc.
(NR/NR)(c) |
|
14,274 |
|
|
12/31/20 |
|
|
$ — |
| TBS International Ltd.
(NR/NR)(c) |
| 12,063 |
|
|
02/07/14 |
|
|
— |
| TBS International Ltd.
(NR/NR)(c) |
| 2,807 |
|
|
02/07/15 |
|
|
— |
| TBS International Ltd.
(NR/NR)(c) |
| 3,311 |
|
|
02/07/15 |
|
|
— |
| True Religion (NR/NR) |
| 1,536 |
|
|
|
|
|
— |
| True Religion (NR/NR) |
| 7,229 |
|
|
|
|
|
— |
| |
TOTAL WARRANT
(Cost $21,898,892) |
|
|
$ — |
| |
|
|
|
| Shares |
|
Distribution
Rate |
|
|
Value |
| Investment
Company(m) – 0.0% |
| Goldman Sachs Financial Square Government Fund - Institutional Shares |
| 982,239 |
|
|
1.869% |
|
|
$ 982,239 |
| (Cost $982,239) |
|
|
|
| |
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
(Cost $2,490,672,705) |
|
|
$2,435,125,873 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Short-term
Investments(k) – 1.3% |
| Commercial Paper – 1.3% |
| AT&T, Inc. (NR/NR) |
| $ |
|
|
5,900,000 |
|
|
|
0.000 |
% |
|
10/09/18 |
|
$ 5,856,035 |
|
|
|
6,812,000 |
|
|
|
0.000 |
|
|
10/05/18 |
|
6,763,230 |
| Mondelez International, Inc. (NR/NR) |
|
|
|
12,100,000 |
|
|
|
0.000 |
|
|
10/02/18 |
|
12,018,098 |
| VW Credit, Inc. (NR/NR) |
|
|
|
9,650,000 |
|
|
|
0.000 |
|
|
09/20/18 |
|
9,593,778 |
| |
TOTAL SHORT-TERM INVESTMENTS
(Cost $34,231,582) |
|
$ 34,231,141 |
| |
TOTAL INVESTMENTS — 97.5%
(Cost $2,524,904,287) |
|
$2,469,357,014 |
| |
|
|
|
|
Principal
Amount |
|
|
Interest
Rate
(Paid)
Received |
|
|
Maturity
Date |
|
Value |
| Reverse Repurchase Agreements – (0.6)% |
| Reverse Repurchase Agreements – (0.6)% |
| Barclays Reverse Repurchase Agreement (NR/NR) |
| $ |
|
|
(4,563,000) |
|
|
|
(0.250) |
% |
|
07/02/18 |
|
$ (4,563,000) |
|
|
|
(5,522,250) |
|
|
|
(0.250) |
|
|
07/02/18 |
|
(5,522,250) |
|
|
|
(952,500) |
|
|
|
(10.000) |
|
|
07/02/18 |
|
(952,500) |
| |
GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate
(Paid)
Received |
|
|
Maturity
Date |
|
Value |
| Reverse Repurchase Agreements – (continued) |
| Reverse Repurchase Agreements – (continued) |
| Barclays Reverse Repurchase Agreement (NR/NR) – (continued) |
| $ |
|
|
(719,063) |
|
|
|
(10.000) |
% |
|
07/02/18 |
|
$ (719,063) |
|
|
|
(1,876,800) |
|
|
|
(3.250) |
|
|
07/02/18 |
|
(1,876,800) |
| First Boston Reverse Repurchase Agreement (NR/NR) |
|
|
|
(2,660,625) |
|
|
|
(0.250) |
|
|
07/02/18 |
|
(2,660,625) |
| |
TOTAL REVERSE REPURCHASE AGREEMENTS
(Cost $(16,294,238)) |
|
$ (16,294,238) |
| |
OTHER ASSETS IN EXCESS OF
LIABILITIES – 3.1% |
|
79,073,198 |
| |
| NET ASSETS – 100.0% |
|
$2,532,135,974 |
| |
|
|
|
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
|
|
| (a) |
|
Bank Loans often require prepayments from excess cash flows or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual
requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. The stated interest rate represents the weighted average interest rate of all
contracts within the bank loan facility on June 30, 2018. Bank Loans typically have rates of interest which are predetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending
rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other
base lending rates used by commercial lenders. |
|
|
| (b) |
|
Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed
is that which is in effect on June 30, 2018. |
|
|
| (c) |
|
Significant unobservable inputs were used in the valuation of this portfolio security; i.e. Level 3. |
|
|
| (d) |
|
Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
|
|
| (e) |
|
Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed 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 $1,151,729,489, which represents approximately 45.5% of the Fund’s net assets
as of June 30, 2018. The liquidity determination is unaudited. |
|
|
| (f) |
|
All or a portion of the security was pledged as collateral against open reverse repurchase agreements. As of June 30, 2018, the value of securities pledged amounted to
$15,993,313. |
|
|
| (g) |
|
Security is currently in default and/or non-income producing. |
|
|
| (h) |
|
Pay-in-kind securities. |
|
|
| (i) |
|
Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on June 30, 2018. |
|
|
| (j) |
|
Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in
transactions exempt from registration or to the public if the securities are subsequently registered and the registration statement is effective. Disposal of these securities may involve time consuming negotiations and prompt sale at an acceptable
price may be difficult. Total market value of restricted securities amounts to $33,681,613, which represents approximately 1.3% of the Fund’s net assets as of June 30, 2018. |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Restricted Security |
|
Acquisition Date |
|
|
Cost |
|
|
|
Berry Petroleum Corp. (Preferred Stocks) |
|
|
05/06/16 - 08/18/16 |
|
|
$ |
11,271,617 |
|
|
|
Berry Petroleum Corp. (Common Stocks) |
|
|
03/01/17 |
|
|
|
13,767,282 |
|
|
|
Blue Ridge Mountain Resources (Common Stocks) |
|
|
02/27/17 - 03/03/17 |
|
|
|
6,692,580 |
|
|
|
|
|
|
| (k) |
|
Issued with a zero coupon. Income is recognized through the accretion of discount. |
|
|
| (l) |
|
Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect at June
30, 2018. |
|
|
| (m) |
|
Represents an Affiliated Issuer. |
|
|
|
| |
| Currency Abbreviations: |
| EUR |
|
— Euro |
| USD |
|
— U.S. Dollar |
|
| Investment Abbreviations: |
| LIBOR |
|
— London Interbank Offered Rate |
| LLC |
|
— Limited Liability Company |
| LP |
|
— Limited Partnership |
| PLC |
|
— Public Limited Company |
| WR |
|
— Withdrawn Rating |
| |
|
| For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com. |
GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At June 30, 2018, the Fund had the
following futures contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Number of
Contracts |
|
Expiration
Date |
|
Notional
Amount |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Long position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
| Ultra Long U.S. Treasury Bonds |
|
20 |
|
09/19/18 |
|
$ |
3,191,250 |
|
|
$ |
65,236 |
|
| 2 Year U.S. Treasury Notes |
|
338 |
|
09/28/18 |
|
|
71,597,906 |
|
|
|
(48,436 |
) |
| 5 Year U.S Treasury Notes |
|
1,329 |
|
09/28/18 |
|
|
150,997,243 |
|
|
|
267,718 |
|
| |
|
| Total |
|
|
|
|
|
|
|
|
|
$ |
284,518 |
|
| |
|
| Short position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
| Eurodollars |
|
(38) |
|
12/17/18 |
|
|
(9,249,200 |
) |
|
|
69,295 |
|
| Eurodollars |
|
(134) |
|
06/17/19 |
|
|
(32,543,575 |
) |
|
|
286,201 |
|
| Eurodollars |
|
(719) |
|
12/14/20 |
|
|
(174,393,450 |
) |
|
|
45,696 |
|
| Ultra 10 Year U.S. Treasury Notes |
|
(318) |
|
09/19/18 |
|
|
(40,778,531 |
) |
|
|
(425,379 |
) |
| 10 Year U.S Treasury Notes |
|
(1,106) |
|
09/19/18 |
|
|
(132,927,375 |
) |
|
|
(550,759 |
) |
| 20 Year U.S. Treasury Bonds |
|
(174) |
|
09/19/18 |
|
|
(25,230,000 |
) |
|
|
(362,758 |
) |
| |
|
| Total |
|
|
|
|
|
|
|
|
|
$ |
(937,704 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
$ |
(653,186 |
) |
| |
|
GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND
Schedule of Investments
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Bank Loans(a) – 89.7% |
| Aerospace(b) –
0.8% |
| TransDigm, Inc. (B+/Ba2) |
| (1M LIBOR + 2.500%) |
| $ |
|
|
13,224,529 |
|
|
|
4.594 |
% |
|
06/09/23 |
|
$ 13,131,957 |
| (1M LIBOR + 2.500%) |
|
|
|
5,424,099 |
|
|
|
4.594 |
|
|
05/30/25 |
|
5,377,507 |
| (3M LIBOR + 2.500%) |
|
|
|
14,892,011 |
|
|
|
4.594 |
|
|
08/22/24 |
|
14,767,960 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33,277,424 |
| |
| Airlines(b) –
0.2% |
| Air Canada (BBB-/Ba1)(3M LIBOR + 2.000%) |
|
|
|
10,073,875 |
|
|
|
4.094 |
|
|
10/06/23 |
|
10,091,504 |
| |
| Automotive - Distributor(b) –
0.2% |
| American Axle & Manufacturing, Inc. (BB/Ba2)(1M LIBOR + 2.250%) |
|
|
|
8,889,625 |
|
|
|
4.350 |
|
|
04/06/24 |
|
8,841,443 |
| |
| Automotive - Parts – 1.3% |
| CS Intermediate Holdco 2 LLC
(BBB-/Ba1)(b)(3M LIBOR + 2.000%) |
|
|
|
4,665,673 |
|
|
|
4.334 |
|
|
11/02/23 |
|
4,657,882 |
| Gates Global LLC (B+/B1)(b)(3M
LIBOR + 2.750%) |
|
|
|
20,650,431 |
|
|
|
5.084 |
|
|
04/01/24 |
|
20,617,184 |
| Mavis Tire Express Services Corp.
(B/B1)(b) |
| (1M LIBOR + 3.250%) |
|
|
|
11,995,986 |
|
|
|
5.334 |
|
|
03/20/25 |
|
11,876,026 |
| (3M LIBOR + 1.000%) |
|
|
|
105,795 |
|
|
|
1.000 |
|
|
03/20/25 |
|
105,682 |
| Navistar International Corp.
(B+/Ba3)(b)(1M LIBOR + 3.500%) |
|
|
|
2,942,625 |
|
|
|
5.530 |
|
|
11/06/24 |
|
2,940,800 |
| Tenneco, Inc. (BB/Ba2) |
|
|
|
17,300,000 |
|
|
|
2.750 |
|
|
06/14/25 |
|
17,116,274 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
57,313,848 |
| |
| Building Materials(b) –
2.0% |
| American Builders & Contractors Supply Co., Inc. (BB+/B1)(1M LIBOR + 2.000%) |
|
|
|
28,677,489 |
|
|
|
4.094 |
|
|
10/31/23 |
|
28,410,215 |
| Beacon Roofing Supply, Inc. (BB+/B1)(1M LIBOR + 2.250%) |
|
|
|
6,384,000 |
|
|
|
4.280 |
|
|
01/02/25 |
|
6,338,801 |
| CPG International, Inc. (B/B2)(6M LIBOR + 3.750%) |
|
|
|
13,720,980 |
|
|
|
6.251 |
|
|
05/03/24 |
|
13,698,066 |
| Forterra Finance LLC (B-/B3)(1M LIBOR + 3.000%) |
|
|
|
4,880,525 |
|
|
|
5.094 |
|
|
10/25/23 |
|
4,550,065 |
| Hayward Industries, Inc. (B/B3)(1M LIBOR + 3.500%) |
|
|
|
2,977,500 |
|
|
|
5.594 |
|
|
08/05/24 |
|
2,979,376 |
| HD Supply, Inc. (BBB-/Ba2)(3M LIBOR + 2.250%) |
|
|
|
1,566,194 |
|
|
|
4.344 |
|
|
08/13/21 |
|
1,568,544 |
| Janus International Group LLC (B+/B2)(1M LIBOR + 3.000%) |
|
|
|
5,960,063 |
|
|
|
5.094 |
|
|
02/12/25 |
|
5,855,761 |
| Jeld-Wen, Inc. (BB+/Ba2)(3M LIBOR + 2.000%) |
|
|
|
6,567,000 |
|
|
|
4.334 |
|
|
12/14/24 |
|
6,538,302 |
| LBM Borrower LLC (B+/B3)(1M LIBOR + 3.750%) |
|
|
|
14,013,265 |
|
|
|
5.847 |
|
|
08/20/22 |
|
14,004,577 |
| Mannington Mills, Inc. (BB-/B1)(3M LIBOR + 3.750%) |
|
|
|
3,140,288 |
|
|
|
6.084 |
|
|
10/01/21 |
|
3,154,042 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
87,097,749 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Bank Loans(a) – (continued) |
| Capital Goods - Others(b) –
0.1% |
| Columbus McKinnon Corp. (B+/Ba3)(3M LIBOR + 2.500%) |
| $ |
|
|
2,402,197 |
|
|
|
4.834 |
% |
|
01/31/24 |
|
$ 2,384,181 |
| |
| Chemicals(b) –
2.6% |
| Alpha 3 BV (B/B1)(1 Week LIBOR + 3.000%) |
|
|
|
14,015,910 |
|
|
|
5.334 |
|
|
01/31/24 |
|
13,934,198 |
| Axalta Coating Systems US Holdings, Inc. (BBB-/Ba1)(3M LIBOR + 1.750%) |
|
|
|
28,659,448 |
|
|
|
4.084 |
|
|
06/01/24 |
|
28,480,327 |
| Cyanco Intermediate Corp.
(CCC+/Caa1)(c) |
|
|
|
2,481,063 |
|
|
|
9.594 |
|
|
02/15/26 |
|
2,406,631 |
| Cyanco Intermediate Corp. (B/B2)(3M LIBOR + 3.500%) |
|
|
|
6,433,875 |
|
|
|
5.594 |
|
|
02/15/25 |
|
6,409,748 |
| Emerald Performance Materials LLC (B/B1)(1M LIBOR + 3.500%) |
|
|
|
7,202,688 |
|
|
|
5.594 |
|
|
08/01/21 |
|
7,202,688 |
| Emerald Performance Materials LLC (B-/Caa1)(1M LIBOR + 7.750%) |
|
|
|
6,350,000 |
|
|
|
9.844 |
|
|
08/01/22 |
|
6,344,729 |
| The Chemours Co. (BBB-/Baa3)(1M LIBOR + 1.750%) |
|
|
|
8,244,321 |
|
|
|
3.850 |
|
|
04/03/25 |
|
8,130,962 |
| Tronox Blocked Borrower LLC (BB-/Ba3)(1M LIBOR + 3.000%) |
|
|
|
2,472,857 |
|
|
|
5.094 |
|
|
09/22/24 |
|
2,470,384 |
| Tronox Finance LLC (BB-/Ba3)(1M LIBOR + 3.000%) |
|
|
|
5,706,592 |
|
|
|
5.094 |
|
|
09/22/24 |
|
5,700,885 |
| Univar, Inc. (BB/B1)(1M LIBOR + 2.500%) |
|
|
|
30,455,027 |
|
|
|
4.594 |
|
|
07/01/24 |
|
30,362,444 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
111,442,996 |
| |
| Construction Machinery(b) –
1.0% |
| Accudyne Industries LLC (B/B3)(1M LIBOR + 3.750%) |
|
|
|
19,774,123 |
|
|
|
5.344 |
|
|
08/18/24 |
|
19,709,264 |
| Milacron LLC (B/B2)(1M LIBOR + 2.750%) |
|
|
|
8,944,950 |
|
|
|
4.594 |
|
|
09/28/23 |
|
8,877,863 |
| Pisces Midco, Inc. (B/B2)(3M LIBOR + 3.750%) |
|
|
|
14,350,000 |
|
|
|
6.089 |
|
|
04/12/25 |
|
14,305,228 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
42,892,355 |
| |
| Consumer Cyclical Services(b) –
0.1% |
| Prometric Holdings, Inc. (B/B1)(3M LIBOR + 3.000%) |
|
|
|
3,042,375 |
|
|
|
5.100 |
|
|
01/29/25 |
|
3,030,966 |
| USS Ultimate Holdings, Inc. (B/B2)(1M LIBOR + 3.750%) |
|
|
|
893,250 |
|
|
|
5.844 |
|
|
08/25/24 |
|
893,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,924,216 |
| |
| Consumer Cyclical Services - Business(b)
– 1.3% |
| Advantage Sales & Marketing, Inc. (CCC+/Caa1)(1M LIBOR + 6.500%) |
|
|
|
4,203,226 |
|
|
|
8.594 |
|
|
07/25/22 |
|
3,805,685 |
| Advantage Sales & Marketing, Inc. (B/B1)(3M LIBOR + 3.250%) |
|
|
|
15,378,645 |
|
|
|
5.344 |
|
|
07/23/21 |
|
14,504,061 |
| Colorado Buyer, Inc. (B+/Ba3)(3M LIBOR + 3.000%) |
|
|
|
11,755,440 |
|
|
|
5.360 |
|
|
05/01/24 |
|
11,731,929 |
| Colorado Buyer, Inc. (CCC+/B3)(3M LIBOR + 7.250%) |
|
|
|
2,875,000 |
|
|
|
9.610 |
|
|
05/01/25 |
|
2,864,219 |
| Iron Mountain, Inc. (BB/Ba3)(1M LIBOR + 1.750%) |
|
|
|
10,349,063 |
|
|
|
3.844 |
|
|
01/02/26 |
|
10,137,735 |
| Tempo Acquisition LLC (B/B1)(1M LIBOR + 3.000%) |
|
|
|
14,850,000 |
|
|
|
5.094 |
|
|
05/01/24 |
|
14,775,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
57,819,379 |
| |
GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Bank Loans(a) – (continued) |
| Consumer Products - Household &
Leisure(b) – 1.5% |
| Bombardier Recreational Products, Inc. (BB/Ba3)(3M LIBOR + 2.000%) |
| $ |
|
|
15,513,115 |
|
|
|
4.090 |
% |
|
05/23/25 |
|
$ 15,369,618 |
| Coty, Inc. (BB+/Ba2) |
| (1M EURIBOR + 2.500%) |
| EUR |
|
|
3,175,000 |
|
|
|
2.500 |
|
|
04/05/25 |
|
3,665,459 |
| (1M LIBOR + 2.250%) |
|
|
|
8,975,000 |
|
|
|
4.280 |
|
|
04/07/25 |
|
8,761,844 |
| Diamond (BC) B.V. (B/B1)(6M LIBOR + 3.000%) |
|
|
|
10,198,751 |
|
|
|
5.097 |
|
|
09/06/24 |
|
9,994,776 |
| Prestige Brands, Inc. (BB/Ba3)(1M LIBOR + 2.000%) |
|
|
|
15,638,974 |
|
|
|
4.094 |
|
|
01/26/24 |
|
15,583,612 |
| Spectrum Brands, Inc. (BB/Ba1)(1M LIBOR + 2.000%) |
|
|
|
9,065,794 |
|
|
|
4.100 |
|
|
06/23/22 |
|
9,044,761 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
62,420,070 |
| |
| Consumer Products - Non Durable – 0.7% |
| Alphabet Holding Co., Inc.
(B-/B3)(b)(1M LIBOR + 3.500%) |
|
|
|
18,400,552 |
|
|
|
5.594 |
|
|
09/26/24 |
|
17,094,113 |
| Alphabet Holding Co., Inc.
(CCC/Caa2)(b)(1M LIBOR + 7.750%) |
|
|
|
9,600,000 |
|
|
|
9.844 |
|
|
09/26/25 |
|
7,780,032 |
| Energizer Holdings, Inc. (BB+/Ba1) |
|
|
|
4,000,000 |
|
|
|
2.250 |
|
|
06/30/25 |
|
3,998,320 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,872,465 |
| |
| Diversified Financial Services – 0.1% |
| The Edelman Financial Group (B/B1) |
|
|
|
5,850,000 |
|
|
|
3.250 |
|
|
06/08/27 |
|
5,839,061 |
| |
| Diversified Manufacturing – 4.3% |
| Atkore International, Inc.
(BB-/B2)(b)(3M LIBOR + 2.750%) |
|
|
|
23,663,841 |
|
|
|
5.090 |
|
|
12/22/23 |
|
23,598,765 |
| BakerCorp International, Inc.
(CCC+/B2)(b)(3M LIBOR + 3.000%) |
|
|
|
22,450,756 |
|
|
|
5.359 |
|
|
02/07/20 |
|
22,128,139 |
| Cortes NP Acquisition Corp.
(B+/Ba3)(b)(1M LIBOR + 4.000%) |
|
|
|
25,212,284 |
|
|
|
6.001 |
|
|
11/30/23 |
|
25,023,192 |
| CPM Holdings, Inc. (B/B1)(b)(1M LIBOR
+ 3.500%) |
|
|
|
7,142,759 |
|
|
|
5.594 |
|
|
04/11/22 |
|
7,205,258 |
| Crosby US Acquisition Corp.
(B-/Caa1)(b)(1M LIBOR + 3.000%) |
|
|
|
21,815,501 |
|
|
|
5.084 |
|
|
11/23/20 |
|
21,406,460 |
| Dynacast International LLC
(B/B1)(b)(3M LIBOR + 3.250%) |
|
|
|
5,189,963 |
|
|
|
5.584 |
|
|
01/28/22 |
|
5,170,501 |
| Gardner Denver, Inc. (BB/B1)(b)(1M
LIBOR + 2.750%) |
|
|
|
4,033,620 |
|
|
|
4.844 |
|
|
07/30/24 |
|
4,032,128 |
| Global Brass & Copper, Inc.
(BB/B1)(b)(c)(1M LIBOR + 2.500%) |
|
|
|
6,401,309 |
|
|
|
4.625 |
|
|
05/24/25 |
|
6,345,297 |
| MKS Instruments, Inc. (BBB-/Ba1)(b)(1M
LIBOR + 1.750%) |
|
|
|
4,065,410 |
|
|
|
3.844 |
|
|
05/01/23 |
|
4,065,410 |
| Rexnord LLC (BB+/Ba2)(b)(1M LIBOR
+ 2.250%) |
|
|
|
14,655,398 |
|
|
|
4.341 |
|
|
08/21/24 |
|
14,627,993 |
| Robertshaw US Holding Corp.
(B/B1)(b)(1M LIBOR + 3.500%) |
|
|
|
10,508,663 |
|
|
|
5.625 |
|
|
02/28/25 |
|
10,482,391 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Bank Loans(a) – (continued) |
| Diversified Manufacturing – (continued) |
| Robertshaw US Holding Corp.
(CCC+/Caa1)(b)(1M LIBOR + 8.000%) |
| $ |
|
|
4,650,000 |
|
|
|
10.125 |
% |
|
02/28/26 |
|
$ 4,580,250 |
| Southwire Co. (BB+/Ba2) |
|
|
|
5,550,000 |
|
|
|
2.000 |
|
|
05/15/25 |
|
5,540,732 |
| Titan Acquisition Ltd./Titan Co-Borrower LLC (B/B2)(b)(1M LIBOR + 3.000%) |
|
|
|
20,623,313 |
|
|
|
5.094 |
|
|
03/28/25 |
|
20,285,709 |
| Zodiac Pool Solutions LLC (BB/Ba3) |
|
|
|
10,650,000 |
|
|
|
2.250 |
|
|
03/31/25 |
|
10,601,223 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
185,093,448 |
| |
| Energy(b) –
0.9% |
| Chesapeake Energy Corp. (BB-/B1)(3M LIBOR + 7.500%) |
|
|
|
14,465,000 |
|
|
|
9.594 |
|
|
08/23/21 |
|
15,118,963 |
| FTS International, Inc. (B/B3)(1M LIBOR + 4.750%) |
|
|
|
5,306,208 |
|
|
|
6.844 |
|
|
04/16/21 |
|
5,317,245 |
| MEG Energy Corp. (BB+/Ba3)(1M LIBOR + 3.500%) |
|
|
|
11,561,320 |
|
|
|
5.600 |
|
|
12/31/23 |
|
11,552,649 |
| Peabody Energy Corp. (BB/Ba3)(1M LIBOR + 2.750%) |
|
|
|
5,385,522 |
|
|
|
4.844 |
|
|
03/31/25 |
|
5,341,845 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
37,330,702 |
| |
| Entertainment – 2.2% |
| AMC Entertainment, Inc. (BB/Ba2) |
|
|
|
3,037,512 |
|
|
|
3.000 |
|
|
12/15/22 |
|
3,024,238 |
| (1M LIBOR + 2.250%) |
|
|
|
7,146,101 |
|
|
|
4.323 |
(b) |
|
12/15/23 |
|
7,114,872 |
| Cedar Fair LP (BBB-/Ba1)(b)(1M LIBOR
+ 1.750%) |
|
|
|
2,254,000 |
|
|
|
3.844 |
|
|
04/13/24 |
|
2,258,688 |
| Crown Finance US, Inc. (BB-/B1)(b)(1M
LIBOR + 2.500%) |
|
|
|
20,648,250 |
|
|
|
4.594 |
|
|
02/28/25 |
|
20,478,728 |
| Intrawest Resorts Holdings, Inc.
(B/B2)(b)(1M LIBOR + 3.000%) |
|
|
|
21,937,853 |
|
|
|
5.094 |
|
|
07/31/24 |
|
21,896,829 |
| Lions Gate Entertainment Corp.
(BB-/Ba2)(b)(1M LIBOR + 2.250%) |
|
|
|
14,395,920 |
|
|
|
4.341 |
|
|
03/24/25 |
|
14,323,940 |
| Metro-Goldwyn-Mayer Inc. (B-/Ba2) |
|
|
|
4,275,000 |
|
|
|
5.500 |
|
|
07/03/26 |
|
4,232,250 |
| Metro-Goldwyn-Mayer Inc. (BB/Ba2) |
|
|
|
2,600,000 |
|
|
|
2.500 |
|
|
07/03/25 |
|
2,593,500 |
| Sabre GLBL, Inc. (BB/Ba2)(b)(1M LIBOR
+ 2.000%) |
|
|
|
19,650,999 |
|
|
|
4.094 |
|
|
02/22/24 |
|
19,598,728 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
95,521,773 |
| |
| Environmental(b) –
1.2% |
| Core & Main LP (B+/B2)(3M LIBOR + 3.000%) |
|
|
|
10,447,500 |
|
|
|
5.211 |
|
|
08/01/24 |
|
10,434,440 |
| EnergySolutions LLC (B/B2)(3M LIBOR + 3.750%) |
|
|
|
35,600,000 |
|
|
|
6.084 |
|
|
05/09/25 |
|
35,644,500 |
| Wrangler Buyer Corp. (B/B1)(1M LIBOR + 2.750%) |
|
|
|
5,102,929 |
|
|
|
4.844 |
|
|
09/27/24 |
|
5,087,620 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
51,166,560 |
| |
GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Bank Loans(a) – (continued) |
| Finance(b) –
1.5% |
| Avolon TLB Borrower 1 (Luxembourg) S.a.r.l. (BBB-/Ba1)(1M LIBOR + 2.000%) |
| $ |
|
|
61,411,312 |
|
|
|
4.088 |
% |
|
01/15/25 |
|
$ 60,617,878 |
| Fortress Investment Group LLC (BB/Baa3)(1M LIBOR + 2.750%) |
|
|
|
5,619,498 |
|
|
|
4.094 |
|
|
12/27/22 |
|
5,618,318 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
66,236,196 |
| |
| Food & Beverages – 3.2% |
| C.H. Guenther & Son, Inc.
(B/B2)(c) |
|
|
|
11,500,000 |
|
|
|
4.844 |
|
|
03/31/25 |
|
11,442,500 |
| Chobani LLC/Chobani Finance Corp., Inc.
(B/B1)(b)(1M LIBOR + 3.500%) |
|
|
|
10,640,008 |
|
|
|
5.594 |
|
|
10/10/23 |
|
10,640,008 |
| Dole Food Co., Inc. (B-/B1)(b)(1M
LIBOR + 2.750%) |
|
|
|
5,606,250 |
|
|
|
4.780 |
|
|
04/06/24 |
|
5,573,229 |
| High Liner Foods, Inc.
(B+/B2)(b)(3M LIBOR + 3.250%) |
|
|
|
8,590,614 |
|
|
|
5.562 |
|
|
04/24/21 |
|
8,289,942 |
| Refresco Group BV
(B+/B1)(b)(c)(3M LIBOR + 3.250%) |
|
|
|
4,760,000 |
|
|
|
5.593 |
|
|
03/28/25 |
|
4,754,050 |
| Shearer’s Foods, Inc.
(B-/B3)(b)(3M LIBOR + 4.250%) |
|
|
|
18,630,047 |
|
|
|
6.344 |
|
|
06/30/21 |
|
18,350,597 |
| Shearer’s Foods, Inc.
(CCC/Caa2)(b)(c)(3M LIBOR + 6.750%) |
|
|
|
21,250,000 |
|
|
|
8.844 |
|
|
06/30/22 |
|
20,028,125 |
| Sigma Bidco B.V. (B+/B1) |
|
|
|
14,075,000 |
|
|
|
3.000 |
|
|
02/23/25 |
|
13,925,523 |
| US Foods, Inc. (BBB-/Ba3)(b)(1M LIBOR
+ 2.000%) |
|
|
|
43,051,852 |
|
|
|
4.094 |
|
|
06/27/23 |
|
42,971,345 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
135,975,319 |
| |
| Food & Drug Retailers(b) –
2.0% |
| Albertsons LLC (BB-/Ba2)(3M LIBOR + 3.000%) |
|
|
|
25,330,506 |
|
|
|
5.319 |
|
|
06/22/23 |
|
25,038,446 |
| BJ’s Wholesale Club, Inc. (B/B2) |
| (1M LIBOR + 3.500%) |
|
|
|
49,937,710 |
|
|
|
5.530 |
|
|
02/03/24 |
|
49,887,772 |
| (1M LIBOR + 7.500%) |
|
|
|
12,450,000 |
|
|
|
9.530 |
|
|
02/03/25 |
|
12,558,937 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
87,485,155 |
| |
| Gaming – 1.8% |
| Caesars Entertainment Operating Co., Inc. (BB/Ba3)(b)(1M LIBOR + 2.000%) |
|
|
|
18,905,000 |
|
|
|
4.094 |
|
|
10/06/24 |
|
18,747,521 |
| CityCenter Holdings LLC (BB-/B1)(b)(1M
LIBOR + 2.250%) |
|
|
|
9,355,251 |
|
|
|
4.344 |
|
|
04/18/24 |
|
9,296,780 |
| Eldorado Resorts LLC (BB/Ba2)(b)(3M
LIBOR + 2.250%) |
|
|
|
8,134,856 |
|
|
|
4.375 |
|
|
04/17/24 |
|
8,099,306 |
| MGM Growth Properties LLC
(BB+/Ba3)(b)(1M LIBOR + 2.000%) |
|
|
|
23,325,196 |
|
|
|
4.094 |
|
|
04/25/23 |
|
23,186,644 |
| Seminole Tribe of Florida
(BBB/Baa2)(b)(1M LIBOR + 1.750%) |
|
|
|
7,046,750 |
|
|
|
3.844 |
|
|
07/08/24 |
|
7,055,559 |
| The Stars Group, Inc. (B+/NR) |
|
|
|
10,000,000 |
|
|
|
3.500 |
|
|
07/28/25 |
|
9,975,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
76,360,810 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Bank Loans(a) – (continued) |
| Health Care - Pharmaceuticals(b) –
2.1% |
| Endo Luxembourg Finance Co. I S.A.R.L. (BB-/Ba2)(1M LIBOR + 4.250%) |
| $ |
|
|
21,834,586 |
|
|
|
6.375 |
% |
|
04/29/24 |
|
$ 21,780,000 |
| Grifols Worldwide Operations USA, Inc. (BB+/Ba2)(1 Week LIBOR + 2.250%) |
|
|
|
33,423,037 |
|
|
|
4.238 |
|
|
01/31/25 |
|
33,423,037 |
| Valeant Pharmaceuticals International, Inc. (BB-/Ba3)(1M LIBOR + 3.000%) |
|
|
|
37,047,211 |
|
|
|
4.983 |
|
|
06/01/25 |
|
36,896,799 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
92,099,836 |
| |
| Health Care - Services – 8.1% |
| 21st Century Oncology Holdings, Inc.
(NR/NR)(b)(3M LIBOR + 6.125%) |
|
|
|
12,464,241 |
|
|
|
8.475 |
|
|
01/16/23 |
|
11,926,783 |
| Air Medical Group Holdings, Inc.
(B/B1)(b) |
| (1M LIBOR + 3.250%) |
|
|
|
28,025,727 |
|
|
|
5.280 |
|
|
04/28/22 |
|
27,190,841 |
| (1M LIBOR + 4.250%) |
|
|
|
23,432,250 |
|
|
|
6.335 |
|
|
03/14/25 |
|
23,070,925 |
| Air Methods Corp. (B+/B1)(b)(3M
LIBOR + 3.500%) |
|
|
|
15,147,392 |
|
|
|
5.834 |
|
|
04/21/24 |
|
14,498,932 |
| American Renal Holdings, Inc.
(B/B2)(b)(1M LIBOR + 3.250%) |
|
|
|
11,409,750 |
|
|
|
5.344 |
|
|
06/21/24 |
|
11,349,164 |
| Change Healthcare Holdings, Inc.
(B+/Ba3)(b)(1M LIBOR + 2.750%) |
|
|
|
33,433,624 |
|
|
|
4.844 |
|
|
03/01/24 |
|
33,302,898 |
| Community Health Systems, Inc.
(B-/B3)(b) |
| (3M LIBOR + 2.750%) |
|
|
|
4,466,013 |
|
|
|
5.307 |
|
|
12/31/19 |
|
4,456,947 |
| (3M LIBOR + 3.250%) |
|
|
|
14,082,675 |
|
|
|
5.557 |
|
|
01/27/21 |
|
13,732,439 |
| ExamWorks Group, Inc. (B/B1)(b)(1M
LIBOR + 3.250%) |
|
|
|
4,854,082 |
|
|
|
5.344 |
|
|
07/27/23 |
|
4,852,043 |
| Gentiva Health Services, Inc. (B/B1) |
|
|
|
8,000,000 |
|
|
|
3.750 |
|
|
06/02/25 |
|
7,940,000 |
| HCA, Inc.
(BBB-/Ba1)(b) |
| (1M LIBOR + 1.750%) |
|
|
|
6,587,734 |
|
|
|
3.844 |
|
|
03/18/23 |
|
6,587,734 |
| (3M LIBOR + 2.250%) |
|
|
|
15,461,250 |
|
|
|
4.094 |
|
|
03/13/25 |
|
15,494,182 |
| IQVIA, Inc.
(BBB-/Ba1)(c) |
|
|
|
5,300,000 |
|
|
|
1.750 |
|
|
06/07/25 |
|
5,247,000 |
| MPH Acquisition Holdings LLC
(B+/B1)(b)(3M LIBOR + 2.750%) |
|
|
|
37,692,074 |
|
|
|
5.084 |
|
|
06/07/23 |
|
37,450,468 |
| Parexel International Corp.
(B/B1)(b)(1M LIBOR + 2.750%) |
|
|
|
5,458,750 |
|
|
|
4.844 |
|
|
09/27/24 |
|
5,424,633 |
| Sedgwick Claims Management Services, Inc. (B/B2)(b)(1M LIBOR + 2.750%) |
|
|
|
15,401,942 |
|
|
|
4.844 |
|
|
03/01/21 |
|
15,302,445 |
| Sedgwick Claims Management Services, Inc. (CCC+/Caa2)(b)(1M LIBOR + 5.750%) |
|
|
|
11,100,758 |
|
|
|
7.844 |
|
|
02/28/22 |
|
11,135,503 |
| Sterigenics-Nordion Holdings LLC
(B/B1)(b)(1M LIBOR + 3.000%) |
|
|
|
20,000,382 |
|
|
|
5.334 |
|
|
05/15/22 |
|
19,925,381 |
| Team Health Holdings, Inc.
(B/B2)(b)(1M LIBOR + 2.750%) |
|
|
|
22,975,584 |
|
|
|
4.844 |
|
|
02/06/24 |
|
22,056,561 |
| U.S. Renal Care, Inc. (B/B2)(b)(3M
LIBOR + 4.250%) |
|
|
|
52,163,549 |
|
|
|
6.552 |
|
|
12/31/22 |
|
51,359,187 |
| U.S. Renal Care, Inc.
(CCC+/Caa2)(b)(c)(3M LIBOR + 8.000%) |
|
|
|
4,025,000 |
|
|
|
10.337 |
|
|
12/31/23 |
|
4,014,938 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
346,319,004 |
| |
GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Bank Loans(a) – (continued) |
| Home Construction(b) –
0.4% |
| Gyp Holdings III Corp. (BB-/B2)(1M LIBOR + 2.750%) |
| $ |
|
|
8,500,000 |
|
|
|
4.844 |
% |
|
06/01/25 |
|
$ 8,429,195 |
| U.S. Lumber Group LLC (B/B3)(1M LIBOR + 6.000%) |
|
|
|
8,855,500 |
|
|
|
8.094 |
|
|
10/18/23 |
|
8,899,777 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,328,972 |
| |
| Insurance(b) –
0.5% |
| USI, Inc. (B/B2)(3M LIBOR + 3.000%) |
|
|
|
21,791,609 |
|
|
|
5.334 |
|
|
05/16/24 |
|
21,644,516 |
| |
| Lodging(b) –
0.7% |
| Caesars Resort Collection LLC (BB/Ba3)(1M LIBOR + 2.750%) |
|
|
|
21,178,509 |
|
|
|
4.844 |
|
|
12/22/24 |
|
21,095,701 |
| Four Seasons Holdings, Inc. (BB/B1)(1M LIBOR + 2.000%) |
|
|
|
7,919,148 |
|
|
|
4.094 |
|
|
11/30/23 |
|
7,854,844 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,950,545 |
| |
| Machinery(b) –
0.6% |
| Apergy Corp. (BB/Ba1)(1M LIBOR + 2.500%) |
|
|
|
11,000,000 |
|
|
|
4.563 |
|
|
05/09/25 |
|
11,000,000 |
| Clark Equipment Co. (BB-/Ba3)(3M LIBOR + 2.000%) |
|
|
|
9,456,412 |
|
|
|
4.334 |
|
|
05/18/24 |
|
9,382,557 |
| Waterjet Holdings, Inc. (B/B2)(c)(3M
LIBOR + 3.000%) |
|
|
|
6,175,000 |
|
|
|
5.331 |
|
|
04/03/25 |
|
6,144,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,526,682 |
| |
| Media - Broadcasting & Radio – 5.9% |
| Ascend Learning LLC (B+/B2)(b)(1M
LIBOR + 3.000%) |
|
|
|
13,448,375 |
|
|
|
5.094 |
|
|
07/12/24 |
|
13,397,944 |
| Cable One, Inc. (BBB-/Ba2)(b)(3M LIBOR
+ 1.750%) |
|
|
|
4,950,000 |
|
|
|
4.090 |
|
|
05/01/24 |
|
4,956,188 |
| Checkout Holding Corp. (CCC/B2)(b)(1M
LIBOR + 3.500%) |
|
|
|
15,224,320 |
|
|
|
5.594 |
|
|
04/09/21 |
|
9,515,200 |
| EMI Music Publishing Ltd.
(BB-/Ba3)(b)(1M LIBOR + 2.250%) |
|
|
|
7,160,228 |
|
|
|
4.335 |
|
|
08/20/23 |
|
7,154,285 |
| Getty Images, Inc. (CCC/B3)(b)(3M
LIBOR + 3.500%) |
|
|
|
27,982,402 |
|
|
|
5.594 |
|
|
10/18/19 |
|
26,979,793 |
| iHeart Communications, Inc.
(NR/WR)(b) |
| (3M LIBOR + 6.750%) |
|
|
|
8,175,000 |
|
|
|
0.000 |
|
|
01/30/19 |
|
6,219,131 |
| (3M LIBOR + 7.500%) |
|
|
|
27,972,038 |
|
|
|
0.000 |
|
|
07/30/19 |
|
21,265,182 |
| Meredith Corp. (BB/Ba2)(b)(1M LIBOR
+ 3.000%) |
|
|
|
27,969,900 |
|
|
|
5.094 |
|
|
01/31/25 |
|
27,934,938 |
| Mission Broadcasting, Inc.
(BB+/Ba3)(b)(1M LIBOR + 2.500%) |
|
|
|
1,958,286 |
|
|
|
4.483 |
|
|
01/17/24 |
|
1,954,350 |
| Nexstar Broadcasting, Inc.
(BB+/Ba3)(b)(1M LIBOR + 2.500%) |
|
|
|
15,078,886 |
|
|
|
4.483 |
|
|
01/17/24 |
|
15,048,578 |
| Renaissance Holding Corp.
(B-/B2)(b)(3M LIBOR + 3.250%) |
|
|
|
18,029,405 |
|
|
|
5.584 |
|
|
05/30/25 |
|
17,919,065 |
| Renaissance Holding Corp.
(CCC/Caa2)(b)(3M LIBOR + 7.000%) |
|
|
|
2,525,000 |
|
|
|
9.334 |
|
|
05/29/26 |
|
2,506,063 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Bank Loans(a) – (continued) |
| Media - Broadcasting & Radio – (continued) |
| Sesac Holdco II LLC (B+/B2)(b)(1M
LIBOR + 3.000%) |
| $ |
|
|
1,456,563 |
|
|
|
5.094 |
% |
|
02/23/24 |
|
$ 1,443,788 |
| Sinclair Television Group, Inc. (BB+/Ba1) |
|
|
|
29,150,000 |
|
|
|
2.500 |
|
|
12/12/24 |
|
29,022,614 |
| Standard Media Group LLC (B+/NR) |
|
|
|
9,575,000 |
|
|
|
5.000 |
|
|
06/21/25 |
|
9,563,031 |
| The E.W. Scripps Co.
(BB+/Baa3)(b)(1M LIBOR + 2.000%) |
|
|
|
6,932,736 |
|
|
|
4.094 |
|
|
10/02/24 |
|
6,906,738 |
| Tribune Media Co.
(BB+/Ba3)(b) |
| (1M LIBOR + 3.000%) |
|
|
|
952,474 |
|
|
|
5.094 |
|
|
12/27/20 |
|
952,474 |
| (1M LIBOR + 3.000%) |
|
|
|
11,871,374 |
|
|
|
5.094 |
|
|
01/27/24 |
|
11,841,696 |
| Univision Communications, Inc.
(BB-/B2)(b)(1M LIBOR + 2.750%) |
|
|
|
37,700,195 |
|
|
|
4.844 |
|
|
03/15/24 |
|
36,396,522 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
250,977,580 |
| |
| Media - Cable(b) –
4.9% |
| Altice Financing SA (B+/B1) |
| (3M LIBOR + 2.750%) |
|
|
|
4,978,224 |
|
|
|
5.098 |
|
|
07/15/25 |
|
4,894,440 |
| (3M LIBOR + 2.750%) |
|
|
|
2,743,108 |
|
|
|
5.098 |
|
|
01/31/26 |
|
2,684,817 |
| Charter Communications Operating LLC (BBB-/Ba1)(1M LIBOR + 2.000%) |
|
|
|
54,731,601 |
|
|
|
4.100 |
|
|
04/30/25 |
|
54,611,739 |
| Cogeco Communications, Inc. (BB-/B1)(1M LIBOR + 2.375%) |
|
|
|
12,750,000 |
|
|
|
4.469 |
|
|
01/03/25 |
|
12,661,642 |
| CSC Holdings LLC (BB-/Ba2) |
| (1M LIBOR + 2.250%) |
|
|
|
24,628,929 |
|
|
|
4.323 |
|
|
07/17/25 |
|
24,444,212 |
| (1M LIBOR + 2.500%) |
|
|
|
29,100,000 |
|
|
|
4.573 |
|
|
01/25/26 |
|
28,978,653 |
| GCI Holdings, Inc. (BB-/WR)(c)(1M
LIBOR + 2.250%) |
|
|
|
8,204,792 |
|
|
|
4.344 |
|
|
02/02/22 |
|
8,184,280 |
| Numericable Group SA (B/B1) |
| (3M LIBOR + 2.750%) |
|
|
|
16,265,426 |
|
|
|
4.844 |
|
|
07/31/25 |
|
15,902,381 |
| (3M LIBOR + 3.000%) |
|
|
|
22,654,762 |
|
|
|
5.348 |
|
|
01/31/26 |
|
22,242,219 |
| Virgin Media Bristol LLC (BB-/Ba3)(1M LIBOR + 2.500%) |
|
|
|
23,978,080 |
|
|
|
4.573 |
|
|
01/15/26 |
|
23,783,378 |
| Ziggo Secured Finance BV (BB-/B1)(1M LIBOR + 2.500%) |
|
|
|
9,525,000 |
|
|
|
4.573 |
|
|
04/15/25 |
|
9,411,938 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
207,799,699 |
| |
| Media - Non Cable – 2.6% |
| McGraw-Hill Global Education Holdings LLC (B+/B1)(b)(1M LIBOR + 4.000%) |
|
|
|
17,192,272 |
|
|
|
6.094 |
|
|
05/04/22 |
|
16,791,176 |
| NEP/NCP Holdco, Inc. (B-/Caa1)(b)(1M
LIBOR + 7.000%) |
|
|
|
15,038,306 |
|
|
|
9.339 |
|
|
01/23/23 |
|
15,075,902 |
| |
GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Bank Loans(a) – (continued) |
| Media - Non Cable – (continued) |
| NEP/NCP Holdco, Inc.
(B+/B2)(b)(3M EURIBOR + 3.000%) |
| EUR |
|
|
5,841,248 |
|
|
|
3.750 |
% |
|
01/03/24 |
|
$ 6,770,248 |
| NEP/NCP Holdco, Inc. (NR/B2)(b)(3M
LIBOR + 3.250%) |
| $ |
|
|
31,346,879 |
|
|
|
5.344 |
|
|
07/21/22 |
|
31,176,979 |
| Nielsen Finance LLC (BBB-/Ba1)(b)(1M
LIBOR + 2.000%) |
|
|
|
11,390,793 |
|
|
|
4.046 |
|
|
10/04/23 |
|
11,373,934 |
| SBA Senior Finance II LLC (BB/B1) |
|
|
|
19,500,799 |
|
|
|
2.000 |
|
|
04/11/25 |
|
19,354,543 |
| WMG Acquisition Corp.
(B+/Ba3)(b)(1M LIBOR + 2.125%) |
|
|
|
9,387,047 |
|
|
|
4.219 |
|
|
11/01/23 |
|
9,307,726 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
109,850,508 |
| |
| Metals & Mining(b) –
1.4% |
| Aleris International, Inc. (B-/B3)(3M LIBOR + 4.750%) |
|
|
|
10,500,000 |
|
|
|
6.856 |
|
|
02/08/23 |
|
10,398,255 |
| AMG Advanced Metallurgical Group NV (BB-/B1)(1M LIBOR + 3.000%) |
|
|
|
15,323,000 |
|
|
|
5.094 |
|
|
01/29/25 |
|
15,303,846 |
| Hi-Crush Partners LP (B/B3)(1M LIBOR + 4.000%) |
|
|
|
12,736,000 |
|
|
|
6.100 |
|
|
12/16/24 |
|
12,696,264 |
| U.S. Silica Co. (B+/B1)(1M LIBOR + 4.000%) |
|
|
|
8,753,063 |
|
|
|
6.125 |
|
|
05/01/25 |
|
8,739,933 |
| Unimin Corp. (BB/Ba3)(3M LIBOR + 3.750%) |
|
|
|
11,600,000 |
|
|
|
6.050 |
|
|
06/01/25 |
|
11,592,808 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
58,731,106 |
| |
| Packaging – 3.6% |
| Berry Global, Inc.
(BBB-/Ba2)(b) |
| (1M LIBOR + 1.750%) |
|
|
|
17,435,295 |
|
|
|
3.921 |
|
|
01/06/21 |
|
17,391,707 |
| (3M LIBOR + 1.750%) |
|
|
|
2,112,176 |
|
|
|
3.921 |
|
|
02/08/20 |
|
2,106,600 |
| BWAY Holding Co. (B/B2)(b)(3M LIBOR
+ 3.250%) |
|
|
|
31,314,610 |
|
|
|
5.588 |
|
|
04/03/24 |
|
31,123,904 |
| Charter NEX US Holdings, Inc.
(B/B2)(b)(1M LIBOR + 3.000%) |
|
|
|
10,440,156 |
|
|
|
5.094 |
|
|
05/16/24 |
|
10,380,125 |
| Consolidated Container Co. LLC
(BB-/B2)(b)(1M LIBOR + 2.750%) |
|
|
|
10,247,692 |
|
|
|
4.844 |
|
|
05/22/24 |
|
10,227,196 |
| Crown Holdings, Inc.
(BB+/Baa2)(b)(3M LIBOR + 2.000%) |
|
|
|
5,225,000 |
|
|
|
4.312 |
|
|
01/29/25 |
|
5,222,805 |
| Flex Acquisition Co., Inc. (B/B1) |
|
|
|
6,000,000 |
|
|
|
3.250 |
|
|
06/29/25 |
|
5,982,480 |
| (3M LIBOR + 3.000%) |
|
|
|
4,677,750 |
|
|
|
5.308 |
(b) |
|
12/29/23 |
|
4,653,613 |
| Pro Mach Group, Inc. (B-/B2)(b)(1M
LIBOR + 3.000%) |
|
|
|
14,463,750 |
|
|
|
5.025 |
|
|
03/07/25 |
|
14,261,257 |
| Reynolds Group Holdings, Inc.
(B+/B1)(b)(1M LIBOR + 2.750%) |
|
|
|
17,584,105 |
|
|
|
4.844 |
|
|
02/05/23 |
|
17,532,760 |
| SIG Combibloc U.S. Acquisition, Inc. (B+/B1)(b)(1M LIBOR + 2.750%) |
|
|
|
19,687,901 |
|
|
|
4.844 |
|
|
03/13/22 |
|
19,667,426 |
| Zacapa LLC (B-/B2) |
|
|
|
17,000,000 |
|
|
|
5.750 |
|
|
07/03/25 |
|
16,915,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
155,464,873 |
| |
| Pipelines(b) –
0.5% |
| BCP Raptor LLC (B/B3)(2M LIBOR + 4.250%) |
|
|
|
20,792,057 |
|
|
|
6.421 |
|
|
06/24/24 |
|
20,298,246 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Bank Loans(a) – (continued) |
| Real Estate Investment Trust – 0.8% |
| GGP, Inc. (NR/Ba3) |
| $ |
|
|
10,400,000 |
|
|
|
2.500 |
% |
|
05/04/25 |
|
$ 10,205,000 |
| iStar, Inc. (BB-/Ba2) |
|
|
|
10,650,000 |
|
|
|
2.750 |
|
|
06/19/23 |
|
10,610,062 |
| Realogy Corp. (BB+/Ba1)(b)(1M
LIBOR + 2.250%) |
|
|
|
11,961,638 |
|
|
|
4.296 |
|
|
02/08/25 |
|
11,924,318 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,739,380 |
| |
| Restaurants(b) –
1.7% |
| 1011778 B.C. Unlimited Liability Co. (B+/Ba3)(1M LIBOR + 2.250%) |
|
|
|
55,567,350 |
|
|
|
4.344 |
|
|
02/16/24 |
|
55,289,513 |
| IRB Holding Corp. (B/B1)(1M LIBOR + 3.250%) |
|
|
|
6,733,125 |
|
|
|
5.255 |
|
|
02/05/25 |
|
6,738,713 |
| NPC International, Inc. (B/B1)(1M LIBOR + 3.500%) |
|
|
|
10,246,500 |
|
|
|
5.594 |
|
|
04/19/24 |
|
10,293,429 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
72,321,655 |
| |
| Retailers – 2.2% |
| Academy Ltd. (CCC+/B3)(b)(3M
LIBOR + 4.000%) |
|
|
|
17,770,209 |
|
|
|
5.983 |
|
|
07/01/22 |
|
14,744,298 |
| American Apparel (USA) LLC
(NR/NR)(c) |
|
|
|
730,781 |
|
|
|
0.000 |
|
|
12/31/18 |
|
337,130 |
| (PIK + 0.000%) |
|
|
|
575,178 |
|
|
|
0.000 |
(b) |
|
02/05/20 |
|
231,622 |
| Harbor Freight Tools USA, Inc.
(BB-/Ba3)(b)(1M LIBOR + 2.500%) |
|
|
|
18,285,276 |
|
|
|
4.594 |
|
|
08/18/23 |
|
18,182,512 |
| JC Penney Corp., Inc.
(B+/Ba3)(b)(3M LIBOR + 4.250%) |
|
|
|
4,145,455 |
|
|
|
6.569 |
|
|
06/23/23 |
|
3,950,287 |
| LSF9 Cypress Holdings LLC (B+/B3) |
|
|
|
4,925,000 |
|
|
|
3.250 |
|
|
05/10/25 |
|
4,909,634 |
| Michaels Stores, Inc.
(BB+/Ba2)(b)(1M LIBOR + 2.500%) |
|
|
|
10,098,706 |
|
|
|
4.588 |
|
|
01/28/23 |
|
10,012,463 |
| Neiman Marcus Group Ltd., Inc.
(CCC/Caa1)(b)(1M LIBOR + 3.250%) |
|
|
|
18,319,118 |
|
|
|
5.263 |
|
|
10/25/20 |
|
16,207,840 |
| PetSmart, Inc. (CCC/B3)(b)(1M LIBOR
+ 3.000%) |
|
|
|
15,834,013 |
|
|
|
5.010 |
|
|
03/11/22 |
|
13,057,044 |
| Staples, Inc. (B+/B1)(b)(3M LIBOR
+ 4.000%) |
|
|
|
8,631,625 |
|
|
|
6.358 |
|
|
09/12/24 |
|
8,510,264 |
| The Men’s Wearhouse, Inc.
(BB-/Ba3)(b)(1M LIBOR + 3.500%) |
|
|
|
5,342,369 |
|
|
|
5.483 |
|
|
04/09/25 |
|
5,364,647 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
95,507,741 |
| |
| Services Cyclical - Business Services – 3.9% |
| Asurion LLC (B+/Ba3)(b)(1M LIBOR
+ 2.750%) |
|
|
|
7,151,120 |
|
|
|
4.844 |
|
|
11/03/23 |
|
7,133,242 |
| Asurion LLC (B-/B3)(b)(1M LIBOR +
6.000%) |
|
|
|
22,300,000 |
|
|
|
8.094 |
|
|
08/04/25 |
|
22,606,625 |
| EVO Payments International LLC
(B/B2)(b)(1M LIBOR + 3.250%) |
|
|
|
14,428,425 |
|
|
|
5.360 |
|
|
12/12/23 |
|
14,374,318 |
| First Data Corp.
(BB/Ba2)(b) |
| (1M LIBOR + 2.250%) |
|
|
|
8,467,751 |
|
|
|
4.091 |
|
|
07/08/22 |
|
8,425,413 |
| (1M LIBOR + 2.250%) |
|
|
|
48,763,804 |
|
|
|
4.091 |
|
|
04/26/24 |
|
48,441,475 |
| Global Payments, Inc. (BBB-/Ba2)(b)(1M
LIBOR + 1.750%) |
|
|
|
12,232,094 |
|
|
|
3.844 |
|
|
04/21/23 |
|
12,207,630 |
| |
GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Bank Loans(a) – (continued) |
| Services Cyclical - Business Services – (continued) |
| Lighthouse Network LLC
(B+/B1)(b)(1M LIBOR + 4.500%) |
| $ |
|
|
2,985,000 |
|
|
|
6.594 |
% |
|
11/20/24 |
|
$ 2,985,000 |
| Trans Union LLC (BB+/Ba2) |
|
|
|
3,700,000 |
|
|
|
2.000 |
|
|
06/08/25 |
|
3,686,125 |
| Vantiv LLC
(BBB-/Ba2)(b) |
| (1M LIBOR + 1.750%) |
|
|
|
18,877,688 |
|
|
|
3.787 |
|
|
08/09/24 |
|
18,779,901 |
| (3M LIBOR + 1.750%) |
|
|
|
9,455,313 |
|
|
|
3.787 |
|
|
01/16/23 |
|
9,429,689 |
| (3M LIBOR + 1.750%) |
|
|
|
20,614,041 |
|
|
|
3.787 |
|
|
10/14/23 |
|
20,527,049 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
168,596,467 |
| |
| Services Cyclical - Consumer Services(b)
– 2.2% |
| Asurion LLC (B+/Ba3)(1M LIBOR + 2.750%) |
|
|
|
39,341,804 |
|
|
|
4.844 |
|
|
08/04/22 |
|
39,243,449 |
| Bright Horizons Family Solutions, Inc. (BB/Ba3)(1M LIBOR + 1.750%) |
|
|
|
32,356,528 |
|
|
|
3.844 |
|
|
11/07/23 |
|
32,167,890 |
| Spin Holdco, Inc. (B/B2)(3M LIBOR + 3.250%) |
|
|
|
24,805,470 |
|
|
|
5.342 |
|
|
11/14/22 |
|
24,690,373 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
96,101,712 |
| |
| Technology - Software/Services – 10.1% |
| Almonde, Inc. (B-/B2)(b)(3M LIBOR
+ 3.500%) |
|
|
|
15,185,250 |
|
|
|
5.807 |
|
|
06/13/24 |
|
14,902,652 |
| Almonde, Inc. (CCC/Caa2)(b)(3M LIBOR
+ 7.250%) |
|
|
|
3,825,000 |
|
|
|
9.557 |
|
|
06/13/25 |
|
3,677,967 |
| Ancestry.com Operations, Inc.
(B/B2)(b)(1M LIBOR + 3.250%) |
|
|
|
16,184,714 |
|
|
|
5.350 |
|
|
10/19/23 |
|
16,148,298 |
| Aspect Software, Inc. (NR/NR)(b)(1M
LIBOR + 10.500%) |
|
|
|
4,416,588 |
|
|
|
12.594 |
|
|
05/25/20 |
|
4,096,385 |
| Avast Software BV (NR/WR)(b)(3M LIBOR
+ 2.500%) |
|
|
|
3,822,194 |
|
|
|
4.834 |
|
|
09/30/23 |
|
3,815,047 |
| BMC Software Finance, Inc.
(B+/B1)(b)(1M LIBOR + 3.250%) |
|
|
|
45,116,897 |
|
|
|
5.344 |
|
|
09/10/22 |
|
44,947,709 |
| BMC Software Finance, Inc.
(B+/Ba3)(b)(c)(3M EURIBOR + 3.750%) |
| EUR |
|
|
4,965,688 |
|
|
|
3.750 |
|
|
09/10/22 |
|
5,740,942 |
| Cavium, Inc. (NR/Ba3)(b)(c)(1M LIBOR
+ 2.250%) |
| $ |
|
|
4,740,783 |
|
|
|
4.344 |
|
|
08/16/22 |
|
4,728,931 |
| CCC Information Services, Inc.
(B/B2)(b)(1M LIBOR + 3.000%) |
|
|
|
6,063,750 |
|
|
|
5.100 |
|
|
04/27/24 |
|
6,044,285 |
| CCC Information Services, Inc.
(CCC/Caa2)(b)(1M LIBOR + 6.750%) |
|
|
|
2,675,000 |
|
|
|
8.844 |
|
|
04/27/25 |
|
2,666,092 |
| Ceridian HCM Holding, Inc.
(B/B3)(b)(1M LIBOR + 3.250%) |
|
|
|
15,415,000 |
|
|
|
5.344 |
|
|
04/05/25 |
|
15,366,905 |
| Ensono LP (B/B2) |
|
|
|
13,450,000 |
|
|
|
5.250 |
|
|
04/25/25 |
|
13,410,726 |
| Genuine Financial Holdings LLC (B/B2) |
|
|
|
10,225,000 |
|
|
|
3.500 |
|
|
06/27/25 |
|
10,186,656 |
| Genuine Financial Holdings LLC (CCC+/Caa2) |
|
|
|
3,450,000 |
|
|
|
7.250 |
|
|
06/25/26 |
|
3,415,500 |
| Infor (US), Inc. (B/B1)(b)(1M LIBOR
+ 2.750%) |
|
|
|
42,476,771 |
|
|
|
4.844 |
|
|
02/01/22 |
|
42,232,529 |
| MA FinanceCo. LLC
(BB-/B1)(b) |
| (1M LIBOR + 2.500%) |
|
|
|
6,992,189 |
|
|
|
4.594 |
|
|
11/19/21 |
|
6,957,228 |
| (1M LIBOR + 2.750%) |
|
|
|
3,866,106 |
|
|
|
4.844 |
|
|
06/21/24 |
|
3,844,379 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Bank Loans(a) – (continued) |
| Technology - Software/Services – (continued) |
| McAfee LLC (B/B1)(b)(1M LIBOR +
4.500%) |
| $ |
|
|
6,168,922 |
|
|
|
6.594 |
% |
|
09/30/24 |
|
$ 6,194,277 |
| McAfee LLC (B-/Caa1)(b)(1M LIBOR
+ 8.500%) |
|
|
|
3,200,000 |
|
|
|
10.594 |
|
|
09/29/25 |
|
3,244,800 |
| MH Sub I LLC (B/B2)(b)(1M LIBOR +
3.750%) |
|
|
|
19,204,875 |
|
|
|
5.835 |
|
|
09/13/24 |
|
19,186,246 |
| Microchip Technology, Inc.
(BB+/Baa3)(b)(1M LIBOR + 2.000%) |
|
|
|
17,425,000 |
|
|
|
4.100 |
|
|
05/29/25 |
|
17,388,756 |
| Micron Technology, Inc.
(BBB-/Baa2)(b)(1M LIBOR + 1.750%) |
|
|
|
26,951,224 |
|
|
|
3.850 |
|
|
04/26/22 |
|
26,991,651 |
| Omnitracs, Inc. (B/B2)(b)(3M LIBOR
+ 2.750%) |
|
|
|
23,496,000 |
|
|
|
5.085 |
|
|
03/16/25 |
|
23,187,733 |
| PowerSchool (B-/B2) |
|
|
|
17,100,000 |
|
|
|
3.250 |
|
|
05/30/25 |
|
16,971,750 |
| Seattle SpinCo, Inc. (BB-/B1)(b)(1M
LIBOR + 2.750%) |
|
|
|
26,108,769 |
|
|
|
4.844 |
|
|
06/21/24 |
|
25,962,038 |
| SS&C Technologies Holdings Europe S.a.r.l. (BB/Ba3)(b)(1M LIBOR + 2.500%) |
|
|
|
16,327,499 |
|
|
|
4.594 |
|
|
04/16/25 |
|
16,318,355 |
| SS&C Technologies, Inc.
(BB/Ba3)(b)(1M LIBOR + 2.500%) |
|
|
|
43,158,683 |
|
|
|
4.594 |
|
|
04/16/25 |
|
43,134,514 |
| Techem GmbH (BB-/Ba3)(b)(3M EURIBOR
+ 3.000%) |
| EUR |
|
|
7,177,500 |
|
|
|
3.000 |
|
|
10/02/24 |
|
8,350,453 |
| TTM Technologies, Inc.
(BB+/Ba3)(b)(1M LIBOR + 2.500%) |
| $ |
|
|
4,325,000 |
|
|
|
4.483 |
|
|
09/28/24 |
|
4,306,100 |
| Vertafore, Inc. (B-/B2) |
|
|
|
14,000,000 |
|
|
|
3.250 |
|
|
05/30/25 |
|
13,903,820 |
| Vertafore, Inc. (CCC/Caa2) |
|
|
|
3,500,000 |
|
|
|
7.250 |
|
|
05/30/26 |
|
3,469,375 |
| Western Digital Corp.
(BBB-/Baa2)(b)(1M LIBOR + 1.750%) |
|
|
|
2,883,172 |
|
|
|
3.844 |
|
|
04/29/23 |
|
2,879,568 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
433,671,667 |
| |
| Telecommunication Services – 1.7% |
| Frontier Communications Corp.
(B+/B2)(b) |
| (1M LIBOR + 2.750%) |
|
|
|
10,723,958 |
|
|
|
4.850 |
|
|
03/31/21 |
|
10,553,019 |
| (1M LIBOR + 3.750%) |
|
|
|
10,274,055 |
|
|
|
5.850 |
|
|
06/15/24 |
|
10,142,445 |
| GTT Communications, Inc. (B/B2)(b)(3M
LIBOR + 2.750%) |
|
|
|
21,000,000 |
|
|
|
4.875 |
|
|
05/31/25 |
|
20,669,250 |
| Ion Trading Technologies S.A.R.L. (B/B2) |
|
|
|
18,725,000 |
|
|
|
5.000 |
|
|
11/21/24 |
|
18,537,750 |
| EUR |
|
|
3,525,000 |
|
|
|
0.000 |
|
|
11/30/24 |
|
4,044,456 |
| Shutterfly, Inc. (BB-/Ba3)(b)(1M LIBOR
+ 2.750%) |
| $ |
|
|
8,400,000 |
|
|
|
4.850 |
|
|
08/17/24 |
|
8,403,528 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
72,350,448 |
| |
| Textiles(b) –
0.5% |
| Renfro Corp. (B/B3)(2M LIBOR + 5.500%) |
|
|
|
19,543,085 |
|
|
|
7.680 |
|
|
03/31/21 |
|
19,543,085 |
| |
GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Bank Loans(a) – (continued) |
|
|
| Transportation Services(b)(c) –
0.2% |
|
|
| Hornblower Sub LLC (B+/B2)(3M LIBOR + 4.500%) |
|
|
| $ |
|
|
9,800,438 |
|
|
|
6.866 |
% |
|
04/28/25 |
|
$ 9,824,939 |
| |
| Utilities - Electric(b) –
0.9% |
|
|
| AES Corp. (BBB-/Baa3)(3M LIBOR + 1.750%) |
|
|
|
|
|
10,142,466 |
|
|
|
4.069 |
|
|
05/31/22 |
|
10,091,754 |
| Calpine Corp. (BB/Ba2)(3M LIBOR + 2.500%) |
|
|
|
|
|
20,196,634 |
|
|
|
4.840 |
|
|
01/15/24 |
|
20,148,162 |
| Vistra Energy Corp. (BBB-/Ba1)(1M LIBOR + 2.000%) |
|
|
|
6,225,000 |
|
|
|
4.057 |
|
|
12/31/25 |
|
6,180,056 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
36,419,972 |
| |
| Wireless Telecommunications(b) –
3.2% |
|
|
| Digicel International Finance Ltd. (NR/Ba2)(3M LIBOR + 3.250%) |
|
|
|
32,927,759 |
|
|
|
5.610 |
|
|
05/28/24 |
|
31,404,850 |
| Intelsat Jackson Holdings SA (B/B1)(1M LIBOR + 3.750%) |
|
|
|
62,818,671 |
|
|
|
5.853 |
|
|
11/27/23 |
|
62,611,997 |
| Sprint Communications, Inc. (BB-/Ba2)(1M LIBOR + 2.500%) |
|
|
|
42,815,833 |
|
|
|
4.625 |
|
|
02/02/24 |
|
42,583,771 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
136,600,618 |
| |
| Wirelines Telecommunications(b) –
2.0% |
|
|
| CenturyLink, Inc. (BBB-/Ba3)(1M LIBOR + 2.750%) |
|
|
|
|
|
41,921,904 |
|
|
|
4.844 |
|
|
01/31/25 |
|
41,031,063 |
| Cincinnati Bell, Inc. (BB-/Ba3)(1M LIBOR + 3.250%) |
|
|
|
|
|
9,325,000 |
|
|
|
5.344 |
|
|
10/02/24 |
|
9,311,852 |
| Consolidated Communications, Inc. (BB-/Ba3)(1M LIBOR + 3.000%) |
|
|
|
21,042,756 |
|
|
|
5.100 |
|
|
10/04/23 |
|
20,709,649 |
| Level 3 Financing, Inc. (BBB-/Ba1)(1M LIBOR + 2.250%) |
|
|
|
5,000,000 |
|
|
|
4.334 |
|
|
02/22/24 |
|
4,981,250 |
| Windstream Corp. (B+/Caa1)(1M LIBOR + 4.000%) |
|
|
|
|
|
10,224,257 |
|
|
|
6.090 |
|
|
03/29/21 |
|
9,691,164 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
85,724,978 |
| |
| TOTAL BANK LOANS (Cost
$3,884,627,706) |
|
$3,842,780,883 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Obligations – 4.8% |
|
|
| Consumer Cyclical Services - Business(c)
– 0.0% |
| Escrow Ambassadors Group, Inc. (NR/NR) |
|
|
| $ |
|
|
9,986,469 |
|
|
|
13.000 |
% |
|
04/15/20 |
|
$ — |
| |
| Diversified Financial Services – 0.3% |
|
|
| International Lease Finance Corp.
(BBB-/Baa2)(d) |
|
|
|
|
|
1,000,000 |
|
|
|
7.125 |
|
|
09/01/18 |
|
1,006,524 |
| International Lease Finance Corp. (BBB-/Baa3) |
|
|
|
|
|
7,500,000 |
|
|
|
5.875 |
|
|
04/01/19 |
|
7,653,493 |
| Navient Corp. (B+/Ba3) |
|
|
|
|
|
4,550,000 |
|
|
|
6.625 |
|
|
07/26/21 |
|
4,675,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,335,142 |
| |
| Electrical(d)(e) –
0.1% |
|
|
| Calpine Corp. (BB/Ba2) |
|
|
|
|
|
4,350,000 |
|
|
|
5.250 |
|
|
06/01/26 |
|
4,094,438 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
|
|
| Entertainment(d)(e) –
0.6% |
|
|
| Scientific Games International, Inc. (B+/Ba3) |
|
|
| $ |
|
|
26,800,000 |
|
|
|
5.000 |
% |
|
10/15/25 |
|
$ 25,527,000 |
| |
| Healthcare Providers & Services – 0.7% |
|
|
| CHS/Community Health Systems, Inc.
(B-/B3)(e) |
|
|
|
|
|
3,800,000 |
|
|
|
6.250 |
|
|
03/31/23 |
|
3,481,750 |
| CHS/Community Health Systems, Inc.
(CCC-/Caa3)(d)(e)(f) |
|
|
|
2,310,000 |
|
|
|
11.000 |
|
|
06/30/23 |
|
2,079,000 |
| HCA, Inc. (BBB-/Ba1) |
|
|
|
|
|
10,000,000 |
|
|
|
3.750 |
|
|
03/15/19 |
|
10,037,500 |
|
|
|
12,900,000 |
|
|
|
5.000 |
|
|
03/15/24 |
|
12,932,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,530,500 |
| |
| Leisure Time(d)(e) –
0.2% |
|
|
| VOC Escrow Ltd. (BB-/Ba2) |
|
|
|
|
|
8,450,000 |
|
|
|
5.000 |
|
|
02/15/28 |
|
7,985,250 |
| |
| Media – 1.4% |
|
|
| Altice Financing SA
(B+/B1)(d)(e) |
|
|
|
|
|
23,425,000 |
|
|
|
7.500 |
|
|
05/15/26 |
|
22,605,125 |
| Altice France SA
(B/B1)(d)(e) |
|
|
|
|
|
16,300,000 |
|
|
|
6.250 |
|
|
05/15/24 |
|
15,831,375 |
| DISH DBS Corp. (B/B1) |
|
|
|
|
|
5,000,000 |
|
|
|
7.750 |
|
|
07/01/26 |
|
4,368,750 |
| Nexstar Broadcasting, Inc.
(B+/B3)(d)(e) |
|
|
|
|
|
2,500,000 |
|
|
|
5.625 |
|
|
08/01/24 |
|
2,415,625 |
| Virgin Media Secured Finance PLC
(BB-/Ba3)(d)(e) |
|
|
|
|
|
16,300,000 |
|
|
|
5.500 |
|
|
08/15/26 |
|
15,301,625 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
60,522,500 |
| |
| Oil Field Services(e) –
0.5% |
|
|
| Exterran Energy Solutions LP/EES Finance Corp. (B+/NR) |
|
|
|
9,850,000 |
|
|
|
8.125 |
|
|
05/01/25 |
|
10,441,000 |
| Noble Holding International Ltd.
(B/Caa1)(g) |
|
|
|
|
|
11,000,000 |
|
|
|
7.750 |
|
|
01/15/24 |
|
10,381,250 |
| SM Energy Co. (BB-/B2) |
|
|
|
|
|
2,400,000 |
|
|
|
6.750 |
|
|
09/15/26 |
|
2,406,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,228,250 |
| |
| Packaging(d)(e) –
0.2% |
|
|
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (BB/Ba3) |
|
|
|
8,200,000 |
|
|
|
4.250 |
|
|
09/15/22 |
|
8,036,000 |
| |
| Retailing(d)(e) –
0.2% |
|
|
| New Red Finance, Inc. (B+/Ba3) |
|
|
|
|
|
8,800,000 |
|
|
|
4.250 |
|
|
05/15/24 |
|
8,360,000 |
| |
| Software(d)(e) –
0.2% |
|
|
| CURO Financial Technologies Corp. (B-/Caa1) |
|
|
|
|
|
6,321,000 |
|
|
|
12.000 |
|
|
03/01/22 |
|
6,858,285 |
| |
| Telecommunication Services(d) –
0.4% |
|
|
| Sprint Communications, Inc. (B+/B1) |
|
|
|
|
|
8,075,000 |
|
|
|
9.000 |
|
|
11/15/18 |
|
8,236,500 |
| Wind Tre SpA
(BB-/B1)(e) |
|
|
| (3M EURIBOR + 2.750%) |
|
|
| EUR |
|
|
4,550,000 |
|
|
|
2.750 |
(b) |
|
01/20/24 |
|
4,408,709 |
| |
GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Telecommunication Services(d) –
(continued) |
| Wind Tre SpA (BB-/B1)(e) –
(continued) |
|
|
| (3M EURIBOR + 2.750%) |
|
$ 5,350,000 |
|
|
|
5.000 |
% |
|
01/20/26 |
|
$ 4,213,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,858,334 |
| |
TOTAL CORPORATE OBLIGATIONS
(Cost $210,672,654) |
|
$ 203,335,699 |
| |
|
|
|
| Shares |
|
Description |
|
Value |
| Common Stocks – 0.4% |
|
|
| Equity Real Estate Investment Trusts (REITs) – 0.1% |
| 296,589 |
|
|
VICI Properties, Inc. |
|
$ 6,121,597 |
| |
| Hotels, Restaurants & Leisure(h)
– 0.1% |
| 347,709 |
|
|
Caesars Entertainment
Corp. |
|
3,720,486 |
| |
| Oil, Gas & Consumable Fuels(h)(i) –
0.2% |
| 1,286,477 |
|
|
Blue Ridge Mountain
Resources, Inc. |
|
7,718,862 |
| |
TOTAL COMMON STOCKS
(Cost $21,583,095) |
|
$ 17,560,945 |
| |
|
|
|
|
| Units |
|
|
|
|
Expiration Date |
|
Value |
| Warrant(h) – 0.0% |
| True Religion (NR/NR) |
| 1,722 |
|
|
|
|
|
|
|
|
|
|
|
$ — |
| True Religion (NR/NR) |
| 8,103 |
|
|
|
|
|
|
|
|
|
|
|
— |
| |
TOTAL WARRANT
(Cost $—) |
|
$ — |
| |
|
|
|
| Shares |
|
Description |
|
Value |
| Exchange Traded Funds – 1.6% |
| 236,762 |
|
|
Goldman Sachs Treasury
Access 0-1 Year ETF
(NR/NR)(j) |
|
$ 23,709,228 |
| 2,000,000 |
|
|
Invesco Senior Loan ETF
(NR/NR) |
|
45,800,000 |
| |
TOTAL EXCHANGE TRADED FUNDS
(Cost $70,064,286) |
|
$ 69,509,228 |
| |
|
|
|
| Shares |
|
Distribution
Rate |
|
Value |
| Investment
Company(j) – 7.6% |
| Goldman Sachs Financial Square Government Fund - Institutional Shares |
| 325,971,883 |
|
|
1.869% |
|
$ 325,971,883 |
| (Cost $325,971,883) |
| |
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
(Cost $4,512,919,624) |
|
$4,459,158,638 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Short-term Investments – 0.5% |
| Commercial Paper – 0.5% |
| HP, Inc.
(NR/NR)(k) |
| $ |
|
|
13,050,000 |
|
|
|
0.000 |
% |
|
07/02/18 |
|
$ 13,047,912 |
| Tyco International Holding S.a.r.l. (NR/NR) |
|
|
|
10,182,000 |
|
|
|
2.715 |
|
|
07/09/18 |
|
10,175,582 |
| |
TOTAL SHORT-TERM INVESTMENTS
(Cost $23,225,068) |
|
$ 23,223,494 |
| |
TOTAL INVESTMENTS – 104.6%
(Cost $4,536,144,692) |
|
$4,482,382,132 |
| |
|
|
|
|
Principal
Amount |
|
|
Interest
Rate
(Paid)
Received |
|
|
Maturity
Date |
|
Value |
| Reverse Repurchase Agreement – 0.1% |
| Reverse Repurchase Agreements – (0.1)% |
| Barclays Reverse Repurchase Agreement (NR/NR) |
| $ |
|
|
(3,782,925) |
|
|
|
(3.250) |
% |
|
07/02/18 |
|
$ (3,782,925) |
| (Cost $(3,782,925)) |
| |
LIABILITIES IN EXCESS OF
OTHER ASSETS – (4.5)% |
|
(194,355,307) |
| |
| NET ASSETS – 100.0% |
|
$4,284,243,900 |
| |
|
|
|
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
|
|
| (a) |
|
Bank Loans often require prepayments from excess cash flows or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual
requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. The stated interest rate represents the weighted average interest rate of all
contracts within the bank loan facility on June 30, 2018. Bank Loans typically have rates of interest which are predetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending
rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other
base lending rates used by commercial lenders. |
|
|
| (b) |
|
Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed
is that which is in effect on June 30, 2018. |
|
|
| (c) |
|
Significant unobservable inputs were used in the valuation of this portfolio security; i.e. Level 3. |
|
|
| (d) |
|
Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed 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 $136,958,581, which represents approximately 3.2% of the Fund’s net assets as
of June 30, 2018. The liquidity determination is unaudited. |
GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
| (e) |
|
Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
|
|
| (f) |
|
Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on June 30, 2018. |
|
|
| (g) |
|
All or a portion of the security was pledged as collateral against open reverse repurchase agreements. As of June 30, 2018, the value of securities pledged amounted to
$3,652,313. |
|
|
| (h) |
|
Security is currently in default and/or non-income producing. |
|
|
| (i) |
|
Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in
transactions exempt from registration or to the public if the securities are subsequently registered and the registration statement is effective. Disposal of these securities may involve time consuming negotiations and prompt sale at an acceptable
price may be difficult. Total market value of restricted securities amounts to $7,718,862, which represents approximately 0.2% of the Fund’s net assets as of June 30, 2018. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Restricted Security |
|
Acquisition Date |
|
|
Cost |
|
|
|
Blue Ridge Mountain Resources, Inc. (Common Stocks) |
|
|
02/27/17 - 10/27/17 |
|
|
$ |
12,836,870 |
|
|
|
|
|
|
| (j) |
|
Represents an Affiliated Issuer. |
|
|
| (k) |
|
Issued with a zero coupon. Income is recognized through the accretion of discount. |
|
|
|
| |
| Currency Abbreviations: |
| EUR |
|
— Euro |
| USD |
|
— U.S. Dollar |
|
| Investment Abbreviations: |
| ETF |
|
— Exchange Traded Fund |
| LIBOR |
|
— London Interbank Offered Rate |
| LLC |
|
— Limited Liability Company |
| LP |
|
— Limited Partnership |
| PLC |
|
— Public Limited Company |
| |
|
| For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com. |
GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION
UNFUNDED LOAN COMMITMENTS — At June 30, 2018, the Fund had unfunded loan commitments which could be extended at the option of the
borrowers, pursuant to the following loan agreements:
|
|
|
|
|
|
|
|
|
|
|
| Borrower |
|
Principal
Amount |
|
Current
Value |
|
|
Unrealized
Gain (Loss) |
|
| |
|
| Mavis Tire Express Services Corp. (NR/NR) due 03/20/25 |
|
$1,817,889 |
|
$ |
1,798,765 |
|
|
$ |
(18,169 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
$ |
(18,169 |
) |
| |
|
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2018, the Fund had the following
forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Gain |
|
| |
|
| MS & Co. Int. PLC |
|
USD |
|
|
30,259,158 |
|
|
|
EUR |
|
|
|
25,847,838 |
|
|
$ |
30,195,627 |
|
|
|
07/05/18 |
|
|
$ |
63,531 |
|
| |
|
FUTURES CONTRACTS — At June 30, 2018, the Fund had the following futures contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Number of
Contracts |
|
|
Expiration
Date |
|
|
Notional
Amount |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Short position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 5 Year U.S. Treasury Notes |
|
|
(314) |
|
|
|
09/28/18 |
|
|
$ |
(35,675,797 |
) |
|
$ |
(136,691 |
) |
| 10 Year U.S Treasury Notes |
|
|
(898) |
|
|
|
09/19/18 |
|
|
|
(107,928,375 |
) |
|
|
(761,079 |
) |
| |
|
| TOTAL |
|
|
$ |
(897,770 |
) |
| |
|
SWAP CONTRACTS — At June 30, 2018, the Fund had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Payments Made by
the Fund |
|
Payments
Received by
Fund(b) |
|
|
Termination
Date |
|
|
Notional
Amount (000s)(c) |
|
|
Market
Value |
|
|
Upfront
Premium
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| 2.250% |
|
|
3M LIBOR |
|
|
|
09/19/23 |
|
|
$ |
21,430 |
|
|
$ |
657,897 |
|
|
$ |
735,336 |
|
|
$ |
(77,439 |
) |
| 2.250 |
|
|
3M LIBOR |
|
|
|
09/19/25 |
|
|
|
23,410 |
|
|
|
992,317 |
|
|
|
1,128,694 |
|
|
|
(136,377 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,650,214 |
|
|
$ |
1,864,030 |
|
|
$ |
(213,816 |
) |
| |
|
| (a) |
|
Payments made semi-annually. |
| (b) |
|
Payments made quarterly. |
| (c) |
|
Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2018.
|
Additional information regarding the Fund is available in the Fund’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).
|
|
|
| |
| Abbreviation: |
| MS & Co. Int. PLC |
|
— Morgan Stanley & Co. International PLC |
| |
|
|
|
GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND
Schedule of Investments
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – 91.2% |
| Aerospace & Defense – 2.3% |
| General Dynamics Corp. |
| $ |
|
|
1,325,000 |
|
|
|
3.000 |
% |
|
05/11/21 |
|
$ 1,320,743 |
|
|
|
525,000 |
|
|
|
3.375 |
(a) |
|
05/15/23 |
|
526,060 |
| Lockheed Martin Corp. |
|
|
|
850,000 |
|
|
|
4.070 |
|
|
12/15/42 |
|
817,795 |
| Northrop Grumman
Corp.(a) |
|
|
|
800,000 |
|
|
|
2.930 |
|
|
01/15/25 |
|
759,491 |
|
|
|
3,025,000 |
|
|
|
3.250 |
|
|
01/15/28 |
|
2,841,875 |
|
|
|
450,000 |
|
|
|
4.030 |
|
|
10/15/47 |
|
421,906 |
| The Boeing Co.(a) |
|
|
|
500,000 |
|
|
|
2.600 |
|
|
10/30/25 |
|
470,615 |
|
|
|
500,000 |
|
|
|
3.550 |
|
|
03/01/38 |
|
478,577 |
| United Technologies
Corp.(a) |
|
|
|
1,200,000 |
|
|
|
2.650 |
|
|
11/01/26 |
|
1,081,929 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,718,991 |
| |
| Agriculture – 1.3% |
| BAT Capital
Corp.(a)(b) |
|
|
|
620,000 |
|
|
|
3.222 |
|
|
08/15/24 |
|
587,285 |
|
|
|
425,000 |
|
|
|
3.557 |
|
|
08/15/27 |
|
395,420 |
| BAT International Finance
PLC(b) |
|
|
|
2,400,000 |
|
|
|
2.750 |
|
|
06/15/20 |
|
2,373,822 |
| Reynolds American, Inc. |
|
|
|
861,000 |
|
|
|
3.250 |
|
|
06/12/20 |
|
860,116 |
|
|
|
675,000 |
|
|
|
5.850 |
(a) |
|
08/15/45 |
|
736,894 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,953,537 |
| |
| Automotive – 1.3% |
| Ford Motor Credit Co. LLC |
|
|
|
2,925,000 |
|
|
|
5.875 |
|
|
08/02/21 |
|
3,100,849 |
| General Motors Financial Co., Inc. |
|
|
|
1,600,000 |
|
|
|
4.375 |
|
|
09/25/21 |
|
1,630,840 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,731,689 |
| |
| Banks – 19.6% |
| Banco Santander SA |
|
|
|
1,000,000 |
|
|
|
4.250 |
|
|
04/11/27 |
|
950,510 |
|
|
|
200,000 |
|
|
|
4.379 |
|
|
04/12/28 |
|
191,225 |
| Bank of America Corp. |
|
|
|
1,200,000 |
|
|
|
4.125 |
|
|
01/22/24 |
|
1,219,752 |
|
|
|
2,973,000 |
|
|
|
4.000 |
|
|
04/01/24 |
|
2,999,046 |
|
|
|
125,000 |
|
|
|
6.110 |
|
|
01/29/37 |
|
143,587 |
| (3M USD LIBOR + 0.930%) |
|
|
|
2,100,000 |
|
|
|
2.816 |
(a)(c) |
|
07/21/23 |
|
2,030,546 |
| (3M USD LIBOR + 1.040%) |
|
|
|
5,163,000 |
|
|
|
3.419 |
(a)(c) |
|
12/20/28 |
|
4,861,864 |
| (3M USD LIBOR + 1.070%) |
|
|
|
1,150,000 |
|
|
|
3.970 |
(a)(c) |
|
03/05/29 |
|
1,131,867 |
| Barclays PLC |
|
|
|
700,000 |
|
|
|
4.950 |
|
|
01/10/47 |
|
656,253 |
| BNP Paribas SA(b) |
|
|
|
1,725,000 |
|
|
|
3.500 |
|
|
03/01/23 |
|
1,681,364 |
|
|
|
775,000 |
|
|
|
3.375 |
|
|
01/09/25 |
|
732,129 |
| BNP Paribas/BNP Paribas US Medium-Term Note Program LLC |
|
|
|
475,000 |
|
|
|
3.250 |
|
|
03/03/23 |
|
469,150 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Banks – (continued) |
| Citigroup, Inc. |
| $ |
|
|
1,500,000 |
|
|
|
5.375 |
% |
|
08/09/20 |
|
$ 1,564,071 |
|
|
|
3,200,000 |
|
|
|
2.700 |
(a) |
|
10/27/22 |
|
3,073,034 |
|
|
|
1,300,000 |
|
|
|
3.875 |
|
|
03/26/25 |
|
1,260,828 |
|
|
|
800,000 |
|
|
|
4.450 |
|
|
09/29/27 |
|
786,906 |
|
|
|
1,200,000 |
|
|
|
4.750 |
|
|
05/18/46 |
|
1,141,109 |
| Compass Bank(a) |
|
|
|
1,025,000 |
|
|
|
2.750 |
|
|
09/29/19 |
|
1,019,378 |
| Credit Agricole SA |
|
|
|
650,000 |
|
|
|
4.375 |
|
|
03/17/25 |
|
627,067 |
| Credit Suisse Group
AG(a)(b) |
|
|
|
1,395,000 |
|
|
|
4.282 |
|
|
01/09/28 |
|
1,356,981 |
| Credit Suisse Group Funding Guernsey Ltd. |
|
|
|
2,150,000 |
|
|
|
3.125 |
|
|
12/10/20 |
|
2,134,431 |
|
|
|
884,000 |
|
|
|
4.550 |
|
|
04/17/26 |
|
883,931 |
| Deutsche Bank AG |
|
|
|
1,125,000 |
|
|
|
2.700 |
|
|
07/13/20 |
|
1,097,328 |
| HSBC Bank USA NA |
|
|
|
300,000 |
|
|
|
7.000 |
|
|
01/15/39 |
|
385,909 |
| HSBC Holdings PLC |
|
|
|
100,000 |
|
|
|
6.500 |
|
|
05/02/36 |
|
115,966 |
|
|
|
225,000 |
|
|
|
6.500 |
|
|
09/15/37 |
|
262,485 |
|
|
|
425,000 |
|
|
|
6.800 |
|
|
06/01/38 |
|
511,502 |
| (3M USD LIBOR + 1.000%) |
|
|
|
725,000 |
|
|
|
3.326 |
(a)(c) |
|
05/18/24 |
|
722,825 |
| (3M USD LIBOR + 1.055%) |
|
|
|
900,000 |
|
|
|
3.262 |
(a)(c) |
|
03/13/23 |
|
881,570 |
| Huntington Bancshares,
Inc.(a) |
|
|
|
750,000 |
|
|
|
4.000 |
|
|
05/15/25 |
|
752,200 |
| ING Bank NV(a)(c)(5 year USD ICE Swap
+ 2.700%) |
|
|
|
3,075,000 |
|
|
|
4.125 |
|
|
11/21/23 |
|
3,082,380 |
| Intesa Sanpaolo
SpA(b) |
|
|
|
900,000 |
|
|
|
3.375 |
|
|
01/12/23 |
|
827,276 |
| JPMorgan Chase & Co. |
|
|
|
5,000,000 |
|
|
|
3.875 |
|
|
09/10/24 |
|
4,953,631 |
|
|
|
1,000,000 |
|
|
|
3.200 |
(a) |
|
06/15/26 |
|
945,588 |
|
|
|
1,628,000 |
|
|
|
3.625 |
(a) |
|
12/01/27 |
|
1,530,623 |
| (3M USD LIBOR + 1.360%) |
|
|
|
600,000 |
|
|
|
3.882 |
(a)(c) |
|
07/24/38 |
|
554,156 |
| (3M USD LIBOR + 3.800%) |
|
|
|
1,575,000 |
|
|
|
5.300 |
(a)(c) |
|
05/01/49 |
|
1,604,138 |
| Mizuho Financial Group, Inc. |
|
|
|
700,000 |
|
|
|
2.601 |
|
|
09/11/22 |
|
670,890 |
| Morgan Stanley, Inc. |
|
|
|
3,200,000 |
|
|
|
3.125 |
|
|
01/23/23 |
|
3,122,349 |
|
|
|
4,575,000 |
|
|
|
3.700 |
|
|
10/23/24 |
|
4,516,651 |
|
|
|
3,550,000 |
|
|
|
4.000 |
|
|
07/23/25 |
|
3,539,203 |
|
|
|
500,000 |
|
|
|
4.300 |
|
|
01/27/45 |
|
473,082 |
| (3M USD LIBOR + 1.455%) |
|
|
|
800,000 |
|
|
|
3.971 |
(a)(c) |
|
07/22/38 |
|
741,261 |
| Royal Bank of Scotland Group PLC |
|
|
|
2,001,000 |
|
|
|
3.875 |
|
|
09/12/23 |
|
1,943,814 |
| (3M USD LIBOR + 1.480%) |
|
|
|
1,325,000 |
|
|
|
3.498 |
(a)(c) |
|
05/15/23 |
|
1,283,538 |
| (3M USD LIBOR + 1.550%) |
|
|
|
775,000 |
|
|
|
4.519 |
(a)(c) |
|
06/25/24 |
|
775,556 |
| |
GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Banks – (continued) |
| Royal Bank of Scotland Group PLC – (continued) |
| (3M USD LIBOR + 1.754%) |
| $ |
|
|
825,000 |
|
|
|
4.892 |
%(a)(c) |
|
05/18/29 |
|
$ 821,328 |
| Santander Holdings USA,
Inc.(a) |
|
|
|
750,000 |
|
|
|
4.500 |
|
|
07/17/25 |
|
735,680 |
| UBS Group Funding Switzerland
AG(b) |
|
|
|
2,200,000 |
|
|
|
3.000 |
|
|
04/15/21 |
|
2,166,375 |
| UniCredit SpA(b) |
|
|
|
500,000 |
|
|
|
4.625 |
|
|
04/12/27 |
|
464,835 |
| Wells Fargo & Co. |
|
|
|
1,900,000 |
|
|
|
3.000 |
|
|
02/19/25 |
|
1,792,171 |
|
|
|
850,000 |
|
|
|
3.900 |
|
|
05/01/45 |
|
774,180 |
| Wells Fargo Bank NA |
|
|
|
799,000 |
|
|
|
5.950 |
|
|
08/26/36 |
|
921,823 |
| Westpac Banking Corp.(a)(c)(5 year USD
ICE Swap + 2.236%) |
|
|
|
625,000 |
|
|
|
4.322 |
|
|
11/23/31 |
|
602,193 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
74,487,535 |
| |
| Beverages – 3.9% |
| Anheuser-Busch InBev Finance,
Inc.(a) |
|
|
|
6,975,000 |
|
|
|
3.300 |
|
|
02/01/23 |
|
6,916,680 |
|
|
|
1,450,000 |
|
|
|
4.700 |
|
|
02/01/36 |
|
1,469,643 |
| Anheuser-Busch InBev Worldwide, Inc. |
|
|
|
325,000 |
|
|
|
4.950 |
|
|
01/15/42 |
|
337,302 |
|
|
|
1,250,000 |
|
|
|
4.600 |
(a) |
|
04/15/48 |
|
1,231,568 |
| Bacardi
Ltd.(a)(b) |
|
|
|
725,000 |
|
|
|
5.300 |
|
|
05/15/48 |
|
687,107 |
| Beam Suntory,
Inc.(a) |
|
|
|
1,575,000 |
|
|
|
3.250 |
|
|
05/15/22 |
|
1,552,854 |
| Maple Escrow Subsidiary,
Inc.(a)(b) |
|
|
|
1,250,000 |
|
|
|
4.057 |
|
|
05/25/23 |
|
1,253,048 |
|
|
|
1,200,000 |
|
|
|
4.597 |
|
|
05/25/28 |
|
1,204,443 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,652,645 |
| |
| Biotechnology(a) –
0.7% |
| Amgen, Inc. |
|
|
|
800,000 |
|
|
|
4.400 |
|
|
05/01/45 |
|
762,459 |
| Gilead Sciences, Inc. |
|
|
|
750,000 |
|
|
|
4.000 |
|
|
09/01/36 |
|
721,663 |
|
|
|
500,000 |
|
|
|
4.800 |
|
|
04/01/44 |
|
521,136 |
|
|
|
700,000 |
|
|
|
4.750 |
|
|
03/01/46 |
|
722,535 |
|
|
|
100,000 |
|
|
|
4.150 |
|
|
03/01/47 |
|
95,588 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,823,381 |
| |
| Chemicals – 2.1% |
| Monsanto Co.(a) |
|
|
|
2,200,000 |
|
|
|
3.375 |
|
|
07/15/24 |
|
2,109,621 |
|
|
|
574,000 |
|
|
|
4.700 |
|
|
07/15/64 |
|
503,136 |
| Syngenta Finance
NV(b) |
|
|
|
1,905,000 |
|
|
|
3.698 |
|
|
04/24/20 |
|
1,898,083 |
|
|
|
970,000 |
|
|
|
3.933 |
|
|
04/23/21 |
|
967,541 |
| The Sherwin-Williams
Co.(a) |
|
|
|
2,050,000 |
|
|
|
3.125 |
|
|
06/01/24 |
|
1,958,014 |
|
|
|
475,000 |
|
|
|
4.000 |
|
|
12/15/42 |
|
423,160 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,859,555 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Computers – 2.3% |
| Apple, Inc. |
| $ |
|
|
1,200,000 |
|
|
|
4.500 |
%(a) |
|
02/23/36 |
|
$ 1,287,722 |
|
|
|
3,352,000 |
|
|
|
3.850 |
|
|
05/04/43 |
|
3,200,542 |
| Dell International LLC/EMC
Corp.(b) |
|
|
|
1,100,000 |
|
|
|
3.480 |
|
|
06/01/19 |
|
1,102,769 |
|
|
|
1,700,000 |
|
|
|
5.450 |
(a) |
|
06/15/23 |
|
1,779,284 |
| Hewlett Packard Enterprise
Co.(a) |
|
|
|
1,400,000 |
|
|
|
4.900 |
|
|
10/15/25 |
|
1,428,975 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,799,292 |
| |
| Diversified Financial Services – 1.5% |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
|
|
|
900,000 |
|
|
|
4.625 |
|
|
10/30/20 |
|
916,930 |
| Air Lease Corp. |
|
|
|
1,250,000 |
|
|
|
2.125 |
|
|
01/15/20 |
|
1,226,902 |
| GE Capital International Funding Co. |
|
|
|
1,750,000 |
|
|
|
4.418 |
|
|
11/15/35 |
|
1,695,365 |
| International Lease Finance Corp. |
|
|
|
375,000 |
|
|
|
4.625 |
|
|
04/15/21 |
|
383,244 |
| Synchrony
Financial(a) |
|
|
|
1,275,000 |
|
|
|
4.250 |
|
|
08/15/24 |
|
1,249,899 |
|
|
|
300,000 |
|
|
|
4.500 |
|
|
07/23/25 |
|
294,633 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,766,973 |
| |
| Electrical – 6.7% |
| Alliant Energy Finance
LLC(a)(b) |
|
|
|
450,000 |
|
|
|
3.750 |
|
|
06/15/23 |
|
449,917 |
|
|
|
475,000 |
|
|
|
4.250 |
|
|
06/15/28 |
|
474,875 |
| Arizona Public Service
Co.(a) |
|
|
|
675,000 |
|
|
|
3.750 |
|
|
05/15/46 |
|
630,294 |
| Berkshire Hathaway Energy Co. |
|
|
|
725,000 |
|
|
|
3.250 |
(a) |
|
04/15/28 |
|
689,510 |
|
|
|
1,267,000 |
|
|
|
6.125 |
|
|
04/01/36 |
|
1,562,586 |
| CMS Energy
Corp.(a) |
|
|
|
500,000 |
|
|
|
4.875 |
|
|
03/01/44 |
|
527,581 |
| Dominion Energy,
Inc.(a) |
|
|
|
1,450,000 |
|
|
|
2.000 |
|
|
08/15/21 |
|
1,382,575 |
|
|
|
1,225,000 |
|
|
|
3.900 |
|
|
10/01/25 |
|
1,210,072 |
| Duke Energy Carolinas
LLC(a) |
|
|
|
750,000 |
|
|
|
3.950 |
|
|
03/15/48 |
|
726,336 |
| Duke Energy
Corp.(a) |
|
|
|
500,000 |
|
|
|
2.650 |
|
|
09/01/26 |
|
450,336 |
|
|
|
400,000 |
|
|
|
4.800 |
|
|
12/15/45 |
|
418,444 |
| Emera US Finance
LP(a) |
|
|
|
775,000 |
|
|
|
2.700 |
|
|
06/15/21 |
|
754,317 |
| Entergy Corp.(a) |
|
|
|
875,000 |
|
|
|
2.950 |
|
|
09/01/26 |
|
798,346 |
| Exelon Corp.(a) |
|
|
|
1,125,000 |
|
|
|
3.497 |
|
|
06/01/22 |
|
1,111,984 |
|
|
|
400,000 |
|
|
|
4.450 |
|
|
04/15/46 |
|
388,617 |
| Florida Power & Light
Co.(a) |
|
|
|
1,350,000 |
|
|
|
5.250 |
|
|
02/01/41 |
|
1,557,471 |
|
|
|
675,000 |
|
|
|
3.950 |
|
|
03/01/48 |
|
662,793 |
| Pacific Gas & Electric Co. |
|
|
|
275,000 |
|
|
|
3.300 |
(a) |
|
03/15/27 |
|
248,462 |
|
|
|
175,000 |
|
|
|
6.050 |
|
|
03/01/34 |
|
188,977 |
|
|
|
1,000,000 |
|
|
|
4.250 |
(a) |
|
03/15/46 |
|
892,260 |
|
|
|
475,000 |
|
|
|
3.950 |
(a) |
|
12/01/47 |
|
406,340 |
| PPL WEM Ltd./Western Power Distribution
Ltd.(a)(b) |
|
|
|
1,750,000 |
|
|
|
5.375 |
|
|
05/01/21 |
|
1,820,389 |
| Progress Energy, Inc. |
|
|
|
1,000,000 |
|
|
|
7.000 |
|
|
10/30/31 |
|
1,275,817 |
| |
GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Electrical – (continued) |
| Public Service Electric & Gas
Co.(a) |
| $ |
|
|
1,525,000 |
|
|
|
3.950 |
% |
|
05/01/42 |
|
$ 1,494,866 |
| Puget Sound Energy,
Inc.(a) |
|
|
|
625,000 |
|
|
|
4.223 |
|
|
06/15/48 |
|
634,961 |
| Ruwais Power Co.
PJSC(b) |
|
|
|
670,000 |
|
|
|
6.000 |
|
|
08/31/36 |
|
721,087 |
| Sempra Energy(a) |
|
|
|
570,000 |
|
|
|
3.400 |
|
|
02/01/28 |
|
534,759 |
|
|
|
1,125,000 |
|
|
|
3.800 |
|
|
02/01/38 |
|
1,021,439 |
| Southern California Edison
Co.(a) |
|
|
|
650,000 |
|
|
|
4.050 |
|
|
03/15/42 |
|
610,064 |
| The Southern
Co.(a) |
|
|
|
1,800,000 |
|
|
|
3.250 |
|
|
07/01/26 |
|
1,689,611 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,335,086 |
| |
| Food & Drug Retailing – 0.5% |
| Grupo Bimbo SAB de
CV(a) |
|
|
|
1,070,000 |
|
|
|
4.700 |
|
|
11/10/47 |
|
971,560 |
| Smithfield Foods,
Inc.(b) |
|
|
|
925,000 |
|
|
|
2.700 |
|
|
01/31/20 |
|
911,728 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,883,288 |
| |
| Gas(a) – 0.5% |
| NiSource, Inc. |
|
|
|
825,000 |
|
|
|
3.650 |
(b) |
|
06/15/23 |
|
824,156 |
|
|
|
1,025,000 |
|
|
|
3.490 |
|
|
05/15/27 |
|
980,114 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,804,270 |
| |
| Hand/Machine Tools(a) –
0.1% |
| Snap-on, Inc. |
|
|
|
550,000 |
|
|
|
4.100 |
|
|
03/01/48 |
|
543,201 |
| |
| Healthcare Providers & Services – 4.0% |
| Becton Dickinson &
Co.(a) |
|
|
|
10,475,000 |
|
|
|
2.894 |
|
|
06/06/22 |
|
10,131,771 |
|
|
|
975,000 |
|
|
|
3.363 |
|
|
06/06/24 |
|
936,570 |
|
|
|
900,000 |
|
|
|
4.685 |
|
|
12/15/44 |
|
872,350 |
|
|
|
275,000 |
|
|
|
4.669 |
|
|
06/06/47 |
|
265,766 |
| Edwards Lifesciences
Corp.(a) |
|
|
|
825,000 |
|
|
|
4.300 |
|
|
06/15/28 |
|
823,666 |
| Thermo Fisher Scientific,
Inc.(a) |
|
|
|
1,000,000 |
|
|
|
3.650 |
|
|
12/15/25 |
|
976,304 |
| UnitedHealth Group, Inc. |
|
|
|
1,125,000 |
|
|
|
4.625 |
|
|
07/15/35 |
|
1,183,197 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,189,624 |
| |
| Insurance – 3.2% |
| AIA Group
Ltd.(a)(b) |
|
|
|
2,650,000 |
|
|
|
3.200 |
|
|
03/11/25 |
|
2,544,963 |
| American International Group, Inc. |
|
|
|
325,000 |
|
|
|
4.200 |
(a) |
|
04/01/28 |
|
317,970 |
|
|
|
700,000 |
|
|
|
6.250 |
|
|
05/01/36 |
|
797,916 |
| Arch Capital Finance
LLC(a) |
|
|
|
400,000 |
|
|
|
4.011 |
|
|
12/15/26 |
|
395,194 |
|
|
|
323,000 |
|
|
|
5.031 |
|
|
12/15/46 |
|
337,841 |
| Arch Capital Group Ltd. |
|
|
|
845,000 |
|
|
|
7.350 |
|
|
05/01/34 |
|
1,083,544 |
| Great-West Lifeco Finance 2018
LP(a)(b) |
|
|
|
425,000 |
|
|
|
4.047 |
|
|
05/17/28 |
|
428,342 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Insurance – (continued) |
| MetLife, Inc. |
| $ |
|
|
400,000 |
|
|
|
4.050 |
% |
|
03/01/45 |
|
$ 371,497 |
| Prudential Financial,
Inc.(a) |
|
|
|
950,000 |
|
|
|
3.905 |
|
|
12/07/47 |
|
854,550 |
| Teachers Insurance & Annuity Association of America(b) |
|
|
|
890,000 |
|
|
|
4.900 |
|
|
09/15/44 |
|
936,884 |
| The Hartford Financial Services Group, Inc. |
|
|
|
400,000 |
|
|
|
5.950 |
|
|
10/15/36 |
|
472,682 |
|
|
|
376,000 |
|
|
|
6.625 |
|
|
03/30/40 |
|
474,910 |
|
|
|
200,000 |
|
|
|
6.625 |
|
|
04/15/42 |
|
250,659 |
| The Northwestern Mutual Life Insurance
Co.(a)(b) |
|
|
|
800,000 |
|
|
|
3.850 |
|
|
09/30/47 |
|
732,553 |
| Voya Financial, Inc. |
|
|
|
1,275,000 |
|
|
|
3.650 |
|
|
06/15/26 |
|
1,206,050 |
| XLIT Ltd. |
|
|
|
998,000 |
|
|
|
4.450 |
|
|
03/31/25 |
|
981,915 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,187,470 |
| |
| Internet(a) –
2.1% |
| Amazon.com, Inc. |
|
|
|
6,300,000 |
|
|
|
3.875 |
|
|
08/22/37 |
|
6,149,513 |
|
|
|
1,800,000 |
|
|
|
4.950 |
|
|
12/05/44 |
|
1,997,453 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,146,966 |
| |
| Iron/Steel(a) –
0.1% |
| Nucor Corp. |
|
|
|
525,000 |
|
|
|
4.400 |
|
|
05/01/48 |
|
516,364 |
| |
| Machinery-Diversified(a) –
0.3% |
| Roper Technologies, Inc. |
|
|
|
1,275,000 |
|
|
|
3.800 |
|
|
12/15/26 |
|
1,236,509 |
| |
| Media – 2.8% |
| 21st Century Fox America, Inc. |
|
|
|
650,000 |
|
|
|
6.150 |
|
|
03/01/37 |
|
762,394 |
|
|
|
700,000 |
|
|
|
6.150 |
|
|
02/15/41 |
|
836,481 |
| Charter Communications Operating LLC/Charter Communications Operating Capital(a) |
|
|
|
5,575,000 |
|
|
|
4.464 |
|
|
07/23/22 |
|
5,643,499 |
|
|
|
1,125,000 |
|
|
|
4.500 |
|
|
02/01/24 |
|
1,123,892 |
| Comcast Corp. |
|
|
|
250,000 |
|
|
|
6.400 |
|
|
03/01/40 |
|
295,495 |
|
|
|
525,000 |
|
|
|
3.400 |
(a) |
|
07/15/46 |
|
425,733 |
|
|
|
263,000 |
|
|
|
3.999 |
(a) |
|
11/01/49 |
|
231,164 |
|
|
|
244,000 |
|
|
|
4.049 |
(a) |
|
11/01/52 |
|
212,826 |
| Time Warner Cable
LLC(a) |
|
|
|
500,000 |
|
|
|
5.875 |
|
|
11/15/40 |
|
489,155 |
|
|
|
144,000 |
|
|
|
5.500 |
|
|
09/01/41 |
|
133,972 |
| Viacom, Inc.(a) |
|
|
|
450,000 |
|
|
|
5.850 |
|
|
09/01/43 |
|
449,797 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,604,408 |
| |
| Mining(b) –
0.4% |
| Glencore Finance Canada Ltd. |
|
|
|
800,000 |
|
|
|
4.950 |
|
|
11/15/21 |
|
830,320 |
|
|
|
825,000 |
|
|
|
4.250 |
|
|
10/25/22 |
|
834,314 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,664,634 |
| |
GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Miscellaneous Manufacturing – 0.1% |
| General Electric Co. |
| $ |
|
|
269,000 |
|
|
|
5.875 |
% |
|
01/14/38 |
|
$ 305,239 |
| |
| Oil Field Services – 8.6% |
| Anadarko Petroleum Corp. |
|
|
|
4,025,000 |
|
|
|
8.700 |
|
|
03/15/19 |
|
4,181,492 |
|
|
|
2,140,000 |
|
|
|
3.450 |
(a) |
|
07/15/24 |
|
2,056,312 |
|
|
|
425,000 |
|
|
|
5.550 |
(a) |
|
03/15/26 |
|
455,480 |
|
|
|
525,000 |
|
|
|
6.450 |
|
|
09/15/36 |
|
606,719 |
| Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc.(a) |
|
|
|
350,000 |
|
|
|
4.080 |
|
|
12/15/47 |
|
312,781 |
| BP Capital Markets PLC |
|
|
|
700,000 |
|
|
|
2.750 |
|
|
05/10/23 |
|
677,009 |
|
|
|
1,475,000 |
|
|
|
3.224 |
(a) |
|
04/14/24 |
|
1,447,259 |
|
|
|
1,025,000 |
|
|
|
3.119 |
(a) |
|
05/04/26 |
|
979,465 |
| Canadian Natural Resources
Ltd.(a) |
|
|
|
1,375,000 |
|
|
|
3.850 |
|
|
06/01/27 |
|
1,341,532 |
|
|
|
62,000 |
|
|
|
4.950 |
|
|
06/01/47 |
|
63,992 |
| Concho Resources,
Inc.(a) |
|
|
|
900,000 |
|
|
|
4.300 |
|
|
08/15/28 |
|
902,093 |
| Continental Resources,
Inc.(a) |
|
|
|
800,000 |
|
|
|
4.500 |
|
|
04/15/23 |
|
813,000 |
| Devon Energy
Corp.(a) |
|
|
|
1,320,000 |
|
|
|
3.250 |
|
|
05/15/22 |
|
1,297,584 |
|
|
|
1,500,000 |
|
|
|
5.850 |
|
|
12/15/25 |
|
1,651,333 |
| Dolphin Energy Ltd.
LLC(b) |
|
|
|
44,280 |
|
|
|
5.888 |
|
|
06/15/19 |
|
44,889 |
| Gazprom OAO Via Gaz Capital SA |
|
|
|
70,000 |
|
|
|
8.625 |
(d) |
|
04/28/34 |
|
86,625 |
|
|
|
110,000 |
|
|
|
7.288 |
|
|
08/16/37 |
|
123,750 |
| Halliburton
Co.(a) |
|
|
|
550,000 |
|
|
|
3.800 |
|
|
11/15/25 |
|
546,066 |
|
|
|
900,000 |
|
|
|
5.000 |
|
|
11/15/45 |
|
958,894 |
| Lukoil International Finance BV |
|
|
|
1,030,000 |
|
|
|
4.563 |
|
|
04/24/23 |
|
1,040,300 |
| Marathon Oil
Corp.(a) |
|
|
|
2,050,000 |
|
|
|
4.400 |
|
|
07/15/27 |
|
2,057,251 |
| Patterson-UTI Energy,
Inc.(a)(b) |
|
|
|
1,800,000 |
|
|
|
3.950 |
|
|
02/01/28 |
|
1,683,595 |
| Petroleos Mexicanos |
|
|
|
422,000 |
|
|
|
6.375 |
|
|
02/04/21 |
|
444,155 |
| EUR |
|
|
1,370,000 |
|
|
|
5.125 |
|
|
03/15/23 |
|
1,753,875 |
| $ |
|
|
1,722,000 |
|
|
|
6.875 |
|
|
08/04/26 |
|
1,809,822 |
|
|
|
200,000 |
|
|
|
6.500 |
|
|
03/13/27 |
|
205,084 |
|
|
|
110,000 |
|
|
|
6.750 |
|
|
09/21/47 |
|
103,565 |
|
|
|
184,000 |
|
|
|
6.350 |
(b) |
|
02/12/48 |
|
166,060 |
| Pioneer Natural Resources
Co.(a) |
|
|
|
1,610,000 |
|
|
|
3.450 |
|
|
01/15/21 |
|
1,613,262 |
|
|
|
575,000 |
|
|
|
3.950 |
|
|
07/15/22 |
|
581,573 |
| Reliance Industries
Ltd.(b) |
|
|
|
250,000 |
|
|
|
3.667 |
|
|
11/30/27 |
|
229,687 |
| Suncor Energy,
Inc.(a) |
|
|
|
900,000 |
|
|
|
3.600 |
|
|
12/01/24 |
|
888,979 |
| Valero Energy Corp. |
|
|
|
1,700,000 |
|
|
|
3.650 |
|
|
03/15/25 |
|
1,660,425 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,783,908 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Pharmaceuticals – 3.7% |
| AbbVie, Inc.(a) |
| $ |
|
|
1,800,000 |
|
|
|
2.850 |
% |
|
05/14/23 |
|
$ 1,733,572 |
| Allergan Funding
SCS(a) |
|
|
|
1,650,000 |
|
|
|
3.000 |
|
|
03/12/20 |
|
1,642,181 |
| Bayer US Finance II
LLC(a)(b) |
|
|
|
1,100,000 |
|
|
|
3.875 |
|
|
12/15/23 |
|
1,100,046 |
|
|
|
2,100,000 |
|
|
|
4.250 |
|
|
12/15/25 |
|
2,111,237 |
|
|
|
1,425,000 |
|
|
|
4.375 |
|
|
12/15/28 |
|
1,427,710 |
| CVS Health
Corp.(a) |
|
|
|
450,000 |
|
|
|
3.875 |
|
|
07/20/25 |
|
436,020 |
|
|
|
4,175,000 |
|
|
|
5.125 |
|
|
07/20/45 |
|
4,230,445 |
|
|
|
75,000 |
|
|
|
5.050 |
|
|
03/25/48 |
|
76,327 |
| Mylan NV(a) |
|
|
|
300,000 |
|
|
|
5.250 |
|
|
06/15/46 |
|
292,226 |
| Teva Pharmaceutical Finance Netherlands III BV |
|
|
|
660,000 |
|
|
|
2.200 |
|
|
07/21/21 |
|
611,325 |
|
|
|
510,000 |
|
|
|
2.800 |
|
|
07/21/23 |
|
440,513 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,101,602 |
| |
| Pipelines – 8.0% |
| Abu Dhabi Crude Oil Pipeline
LLC(b) |
|
|
|
490,000 |
|
|
|
4.600 |
|
|
11/02/47 |
|
450,800 |
| Enbridge, Inc.(a) |
|
|
|
750,000 |
|
|
|
2.900 |
|
|
07/15/22 |
|
728,461 |
|
|
|
1,000,000 |
|
|
|
3.500 |
|
|
06/10/24 |
|
970,068 |
| Energy Transfer Partners
LP(a) |
|
|
|
650,000 |
|
|
|
4.650 |
|
|
06/01/21 |
|
665,600 |
|
|
|
1,540,000 |
|
|
|
5.200 |
|
|
02/01/22 |
|
1,597,134 |
|
|
|
1,750,000 |
|
|
|
4.200 |
|
|
09/15/23 |
|
1,749,141 |
|
|
|
456,000 |
|
|
|
5.150 |
|
|
03/15/45 |
|
406,445 |
|
|
|
250,000 |
|
|
|
5.300 |
|
|
04/15/47 |
|
229,187 |
| Enterprise Products Operating
LLC(a)(c) |
| (3M USD LIBOR + 2.778%) |
|
|
|
1,765,000 |
|
|
|
5.078 |
|
|
06/01/67 |
|
1,749,556 |
| (3M USD LIBOR + 3.708%) |
|
|
|
600,000 |
|
|
|
6.066 |
|
|
08/01/66 |
|
601,500 |
| EQT Midstream Partners
LP(a) |
|
|
|
1,300,000 |
|
|
|
4.750 |
|
|
07/15/23 |
|
1,297,906 |
| Kinder Morgan Energy Partners
LP(a) |
|
|
|
1,500,000 |
|
|
|
3.950 |
|
|
09/01/22 |
|
1,499,803 |
|
|
|
1,400,000 |
|
|
|
5.400 |
|
|
09/01/44 |
|
1,354,522 |
| Magellan Midstream Partners
LP(a) |
|
|
|
300,000 |
|
|
|
4.200 |
|
|
03/15/45 |
|
267,959 |
|
|
|
400,000 |
|
|
|
4.250 |
|
|
09/15/46 |
|
371,260 |
| MPLX LP(a) |
|
|
|
950,000 |
|
|
|
4.500 |
|
|
04/15/38 |
|
877,465 |
|
|
|
400,000 |
|
|
|
4.700 |
|
|
04/15/48 |
|
370,882 |
| ONEOK, Inc.(a) |
|
|
|
875,000 |
|
|
|
4.550 |
|
|
07/15/28 |
|
882,691 |
| Plains All American Pipeline LP/PAA Finance Corp.(a) |
|
|
|
400,000 |
|
|
|
3.650 |
|
|
06/01/22 |
|
392,097 |
|
|
|
1,250,000 |
|
|
|
3.850 |
|
|
10/15/23 |
|
1,218,278 |
|
|
|
1,819,000 |
|
|
|
4.650 |
|
|
10/15/25 |
|
1,812,688 |
|
|
|
530,000 |
|
|
|
5.150 |
|
|
06/01/42 |
|
481,721 |
|
|
|
500,000 |
|
|
|
4.700 |
|
|
06/15/44 |
|
439,305 |
| |
GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Pipelines – (continued) |
| Sabine Pass Liquefaction
LLC(a) |
| $ |
|
|
1,875,000 |
|
|
|
6.250 |
% |
|
03/15/22 |
|
$ 2,017,056 |
|
|
|
2,025,000 |
|
|
|
5.625 |
|
|
03/01/25 |
|
2,149,031 |
| Valero Energy Partners
LP(a) |
|
|
|
1,325,000 |
|
|
|
4.375 |
|
|
12/15/26 |
|
1,306,161 |
| Western Gas Partners
LP(a) |
|
|
|
400,000 |
|
|
|
5.450 |
|
|
04/01/44 |
|
377,150 |
| Williams Partners LP |
|
|
|
3,630,000 |
|
|
|
3.600 |
(a) |
|
03/15/22 |
|
3,612,258 |
|
|
|
150,000 |
|
|
|
6.300 |
|
|
04/15/40 |
|
167,579 |
|
|
|
275,000 |
|
|
|
4.900 |
(a) |
|
01/15/45 |
|
262,708 |
|
|
|
181,000 |
|
|
|
5.100 |
(a) |
|
09/15/45 |
|
178,783 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30,485,195 |
| |
| Real Estate Investment Trust – 2.4% |
| American Campus Communities Operating Partnership LP(a) |
|
|
|
1,600,000 |
|
|
|
4.125 |
|
|
07/01/24 |
|
1,591,949 |
| American Homes 4 Rent
LP(a) |
|
|
|
336,000 |
|
|
|
4.250 |
|
|
02/15/28 |
|
321,776 |
| American Tower Corp. |
|
|
|
1,550,000 |
|
|
|
5.000 |
|
|
02/15/24 |
|
1,607,404 |
| HCP, Inc.(a) |
|
|
|
1,225,000 |
|
|
|
2.625 |
|
|
02/01/20 |
|
1,210,385 |
| Kilroy Realty LP |
|
|
|
1,125,000 |
|
|
|
6.625 |
|
|
06/01/20 |
|
1,190,155 |
| National Retail Properties,
Inc.(a) |
|
|
|
700,000 |
|
|
|
3.600 |
|
|
12/15/26 |
|
662,650 |
| Select Income
REIT(a) |
|
|
|
1,125,000 |
|
|
|
3.600 |
|
|
02/01/20 |
|
1,119,010 |
| VEREIT Operating Partnership
LP(a) |
|
|
|
1,225,000 |
|
|
|
4.875 |
|
|
06/01/26 |
|
1,226,531 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,929,860 |
| |
| Retailing – 1.1% |
| Dollar Tree,
Inc.(a) |
|
|
|
875,000 |
|
|
|
4.000 |
|
|
05/15/25 |
|
855,140 |
| The Home Depot, Inc. |
|
|
|
400,000 |
|
|
|
5.875 |
|
|
12/16/36 |
|
485,455 |
| Walgreen Co. |
|
|
|
2,300,000 |
|
|
|
3.100 |
|
|
09/15/22 |
|
2,251,665 |
| Walmart, Inc.(a) |
|
|
|
475,000 |
|
|
|
4.050 |
|
|
06/29/48 |
|
478,320 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,070,580 |
| |
| Semiconductors – 1.8% |
| Analog Devices,
Inc.(a) |
|
|
|
495,000 |
|
|
|
4.500 |
|
|
12/05/36 |
|
493,308 |
| Broadcom Corp./Broadcom Cayman Finance
Ltd.(a) |
|
|
|
1,975,000 |
|
|
|
3.000 |
|
|
01/15/22 |
|
1,921,005 |
|
|
|
725,000 |
|
|
|
3.625 |
|
|
01/15/24 |
|
701,806 |
| Microchip Technology,
Inc.(b) |
|
|
|
775,000 |
|
|
|
3.922 |
|
|
06/01/21 |
|
776,287 |
| NXP BV/NXP Funding
LLC(b) |
|
|
|
1,167,000 |
|
|
|
4.125 |
|
|
06/15/20 |
|
1,178,670 |
|
|
|
1,700,000 |
|
|
|
4.125 |
|
|
06/01/21 |
|
1,695,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,766,826 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – (continued) |
| Software(a) –
0.8% |
| Microsoft Corp. |
| $ |
|
|
275,000 |
|
|
|
4.100 |
% |
|
02/06/37 |
|
$ 286,516 |
| Oracle Corp. |
|
|
|
1,400,000 |
|
|
|
4.300 |
|
|
07/08/34 |
|
1,427,112 |
|
|
|
825,000 |
|
|
|
3.800 |
|
|
11/15/37 |
|
780,375 |
|
|
|
675,000 |
|
|
|
4.000 |
|
|
11/15/47 |
|
635,358 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,129,361 |
| |
| Telecommunication Services – 8.3% |
| AT&T, Inc.(a) |
|
|
|
1,875,000 |
|
|
|
3.000 |
|
|
06/30/22 |
|
1,820,243 |
|
|
|
7,897,000 |
|
|
|
3.600 |
|
|
02/17/23 |
|
7,780,214 |
|
|
|
300,000 |
|
|
|
6.000 |
|
|
08/15/40 |
|
312,807 |
|
|
|
500,000 |
|
|
|
4.750 |
|
|
05/15/46 |
|
446,639 |
|
|
|
550,000 |
|
|
|
5.450 |
|
|
03/01/47 |
|
539,872 |
| Cisco Systems, Inc. |
|
|
|
800,000 |
|
|
|
5.900 |
|
|
02/15/39 |
|
989,771 |
|
|
|
525,000 |
|
|
|
5.500 |
|
|
01/15/40 |
|
624,309 |
| Deutsche Telekom International Finance
BV(a)(b) |
|
|
|
575,000 |
|
|
|
4.375 |
|
|
06/21/28 |
|
570,450 |
| Telefonica Emisiones SAU |
|
|
|
1,990,000 |
|
|
|
5.462 |
|
|
02/16/21 |
|
2,082,662 |
| Verizon Communications, Inc. |
|
|
|
1,200,000 |
|
|
|
3.500 |
(a) |
|
11/01/24 |
|
1,160,676 |
|
|
|
950,000 |
|
|
|
2.625 |
|
|
08/15/26 |
|
843,164 |
|
|
|
10,281,000 |
|
|
|
4.329 |
(b) |
|
09/21/28 |
|
10,189,508 |
|
|
|
325,000 |
|
|
|
4.272 |
|
|
01/15/36 |
|
299,812 |
|
|
|
375,000 |
|
|
|
5.250 |
|
|
03/16/37 |
|
385,125 |
|
|
|
295,000 |
|
|
|
4.125 |
|
|
08/15/46 |
|
253,068 |
|
|
|
475,000 |
|
|
|
4.862 |
|
|
08/21/46 |
|
453,897 |
|
|
|
596,000 |
|
|
|
5.012 |
|
|
04/15/49 |
|
580,415 |
| Vodafone Group PLC |
|
|
|
1,850,000 |
|
|
|
3.750 |
|
|
01/16/24 |
|
1,834,190 |
|
|
|
525,000 |
|
|
|
4.375 |
|
|
05/30/28 |
|
518,759 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,685,581 |
| |
| Transportation – 0.7% |
| Burlington Northern Santa Fe LLC |
|
|
|
425,000 |
|
|
|
6.150 |
|
|
05/01/37 |
|
523,691 |
|
|
|
825,000 |
|
|
|
5.750 |
(a) |
|
05/01/40 |
|
977,536 |
| Norfolk Southern
Corp.(a) |
|
|
|
200,000 |
|
|
|
4.650 |
|
|
01/15/46 |
|
204,521 |
| Union Pacific
Corp.(a) |
|
|
|
900,000 |
|
|
|
3.950 |
|
|
09/10/28 |
|
904,296 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,610,044 |
| |
TOTAL CORPORATE OBLIGATIONS
(Cost $355,737,025) |
|
$346,773,614 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foreign Debt Obligations – 4.4% |
| Sovereign – 4.4% |
| Abu Dhabi Government International Bond |
| $ |
|
|
1,680,000 |
|
|
|
4.125 |
% |
|
10/11/47 |
|
$ 1,537,200 |
| Perusahaan Penerbit SBSN Indonesia III |
|
|
|
2,970,000 |
|
|
|
4.550 |
|
|
03/29/26 |
|
2,951,437 |
| Qatar Government
Bond(b) |
|
|
|
1,800,000 |
|
|
|
5.103 |
|
|
04/23/48 |
|
1,795,500 |
| Republic of
Colombia(a) |
|
|
|
1,221,000 |
|
|
|
4.000 |
|
|
02/26/24 |
|
1,219,168 |
| |
GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Foreign Debt Obligations – (continued) |
| Sovereign – (continued) |
| Republic of Indonesia |
| $ |
|
|
200,000 |
|
|
|
3.700 |
%(b) |
|
01/08/22 |
|
$ 198,250 |
|
|
|
387,000 |
|
|
|
5.875 |
|
|
01/15/24 |
|
415,058 |
|
|
|
630,000 |
|
|
|
4.125 |
|
|
01/15/25 |
|
619,762 |
| EUR |
|
|
510,000 |
|
|
|
3.375 |
|
|
07/30/25 |
|
639,502 |
| $ |
|
|
350,000 |
|
|
|
4.350 |
(b) |
|
01/08/27 |
|
345,625 |
| EUR |
|
|
400,000 |
|
|
|
3.750 |
|
|
06/14/28 |
|
515,584 |
| $ |
|
|
470,000 |
|
|
|
6.750 |
|
|
01/15/44 |
|
559,888 |
| Republic of Kuwait |
|
|
|
|
|
6,180,000 |
|
|
|
3.500 |
|
|
03/20/27 |
|
6,010,050 |
| |
TOTAL FOREIGN DEBT OBLIGATIONS
(Cost $16,801,246) |
|
$ 16,807,024 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Municipal Debt
Obligations(a) – 3.2% |
| California – 2.1% |
| California State GO Bonds Build America Taxable Series 2009 |
| $ |
|
|
455,000 |
|
|
|
7.300 |
% |
|
10/01/39 |
|
$ 644,644 |
| California State GO Bonds Build America Taxable Series 2010 |
|
|
|
2,320,000 |
|
|
|
7.625 |
|
|
03/01/40 |
|
3,421,629 |
| California State University RB Build America Bonds Series 2010 |
|
|
|
2,825,000 |
|
|
|
6.484 |
|
|
11/01/41 |
|
3,737,955 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,804,228 |
| |
| Illinois – 1.0% |
| Chicago Illinois Metropolitan Water Reclamation District GO Bonds Build America Taxable Direct Payment Series
2009 |
|
|
|
1,775,000 |
|
|
|
5.720 |
|
|
12/01/38 |
|
2,196,953 |
| Illinois State GO Bonds Build America Series 2010 |
|
|
|
1,625,000 |
|
|
|
6.630 |
|
|
02/01/35 |
|
1,721,866 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,918,819 |
| |
| New Jersey – 0.1% |
| New Jersey State Turnpike Authority RB Build America Bonds Taxable Series 2009 F |
|
|
|
350,000 |
|
|
|
7.414 |
|
|
01/01/40 |
|
509,016 |
| |
TOTAL MUNICIPAL DEBT OBLIGATIONS
(Cost $9,457,511) |
|
$ 12,232,063 |
| |
|
|
|
| Shares |
|
|
Distribution
Rate |
|
Value |
| Investment
Company(e) – 0.0% |
| Goldman Sachs Financial Square Government Fund - Institutional Shares |
| 1,745 |
|
|
|
1.869% |
|
$ 1,745 |
| (Cost $1,745) |
| |
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
(Cost $381,997,527) |
|
$375,814,446 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Short-term Investment – 0.4% |
| Commercial Paper – 0.4% |
| VW Credit, Inc. |
| $ |
|
|
1,400,000 |
|
|
|
1.000 |
% |
|
09/20/18 |
|
$ 1,391,843 |
| (Cost $1,391,747) |
| |
TOTAL INVESTMENTS – 99.2%
(Cost $383,389,274) |
|
$377,206,289 |
| |
OTHER ASSETS IN EXCESS OF
LIABILITIES – 0.8% |
|
3,006,390 |
| |
| NET ASSETS – 100.0% |
|
$380,212,679 |
| |
|
|
|
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
|
|
| (a) |
|
Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
|
|
| (b) |
|
Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed 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 $54,951,354, which represents approximately 14.5% of the Fund’s net assets as
of June 30, 2018. The liquidity determination is unaudited. |
|
|
| (c) |
|
Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed
is that which is in effect on June 30, 2018. |
|
|
| (d) |
|
Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect at June
30, 2018. |
|
|
| (e) |
|
Represents an Affiliated Issuer. |
|
|
|
| |
| Currency Abbreviations: |
| EUR |
|
— Euro |
| USD |
|
— U.S. Dollar |
|
| Investment Abbreviations: |
| BP |
|
— British Pound Offered Rate |
| GO |
|
— General Obligation |
| LIBOR |
|
— London Interbank Offered Rate |
| LLC |
|
— Limited Liability Company |
| LP |
|
— Limited Partnership |
| PLC |
|
— Public Limited Company |
| RB |
|
— Revenue Bond |
| REIT |
|
— Real Estate Investment Trust |
| |
|
| For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com. |
GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2018, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Gain |
|
| |
|
| JPMorgan Securities, Inc. |
|
USD |
|
|
3,110,583 |
|
|
|
EUR |
|
|
|
2,624,987 |
|
|
$ |
3,079,687 |
|
|
|
08/31/18 |
|
|
$ |
30,896 |
|
| State Street Bank and Trust |
|
EUR |
|
|
133,000 |
|
|
|
USD |
|
|
|
155,174 |
|
|
|
156,038 |
|
|
|
08/31/18 |
|
|
|
864 |
|
| |
|
| Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
31,760 |
|
| |
|
FUTURES CONTRACTS — At June 30, 2018, the Fund had the following futures contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Number of
Contracts |
|
Expiration
Date |
|
Notional
Amount |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Long position contracts: |
|
| Ultra Long U.S. Treasury Bonds |
|
49 |
|
09/19/18 |
|
$ |
7,818,562 |
|
|
$ |
176,026 |
|
| 2 Year U.S. Treasury Notes |
|
84 |
|
09/28/18 |
|
|
17,793,563 |
|
|
|
(17,275 |
) |
| |
|
| Total |
|
|
$ |
158,751 |
|
| |
|
| Short position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
| Eurodollars |
|
(16) |
|
06/17/19 |
|
|
(3,885,800 |
) |
|
|
34,173 |
|
| Eurodollars |
|
(97) |
|
12/14/20 |
|
|
(23,527,350 |
) |
|
|
6,412 |
|
| Ultra 10 Year U.S. Treasury Notes |
|
(34) |
|
09/19/18 |
|
|
(4,359,969 |
) |
|
|
(38,641 |
) |
| 5 Year U.S. Treasury Notes |
|
(85) |
|
09/28/18 |
|
|
(9,657,461 |
) |
|
|
(16,277 |
) |
| 10 Year U.S. Treasury Notes |
|
(124) |
|
09/19/18 |
|
|
(14,903,250 |
) |
|
|
(52,229 |
) |
| 20 Year U.S. Treasury Bonds |
|
(32) |
|
09/19/18 |
|
|
(4,640,000 |
) |
|
|
(3,936 |
) |
| |
|
| Total |
|
|
$ |
(70,498 |
) |
| |
|
| TOTAL FUTURE CONTRACTS |
|
|
$ |
88,253 |
|
| |
|
SWAP CONTRACTS — At June 30, 2018, the Fund had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Payments Made by
the Fund |
|
Payments
Received
by Fund |
|
Termination
Date |
|
Notional
Amount
(000s) |
|
|
Market
Value |
|
|
Upfront
Premium
(Received) Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| 3M LIBOR(a) |
|
2.139%(b) |
|
11/20/20 |
|
$ |
23,120 |
(c) |
|
$ |
(340,335 |
) |
|
$ |
(25,352 |
) |
|
$ |
(314,984 |
) |
| 2.275%(b) |
|
3M LIBOR(a) |
|
11/20/23 |
|
|
10,210 |
(c) |
|
|
307,775 |
|
|
|
16,984 |
|
|
|
290,791 |
|
| 2.882(b) |
|
3M LIBOR(a) |
|
02/28/25 |
|
|
5,550 |
|
|
|
2,156 |
|
|
|
20,216 |
|
|
|
(18,060 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
11,848 |
|
|
$ |
(42,253 |
) |
| |
|
| (a) |
|
Payments made quarterly. |
| (b) |
|
Payments made semi-annually. |
| (c) |
|
Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2018.
|
GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION (continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Referenced
Obligation/Index |
|
Financing Rate
Received/(Paid) by
the Fund |
|
|
Credit Spread at
June 30, 2018(a) |
|
|
Termination
Date |
|
|
Notional
Amount
(000s) |
|
|
Value |
|
|
Upfront
Premiums
(Received) Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Protection Sold: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| iTraxx Europe Series 29 |
|
|
1.000% |
|
|
|
1.000% |
|
|
|
06/20/23 |
|
|
|
EUR |
|
|
|
4,950 |
|
|
$ |
76,678 |
|
|
$ |
79,841 |
|
|
$ |
(3,163 |
) |
| CDX.NA.IG Index 30(b) |
|
|
1.000 |
|
|
|
1.000 |
|
|
|
06/20/23 |
|
|
|
$ |
|
|
|
4,900 |
|
|
|
74,904 |
|
|
|
76,966 |
|
|
|
(2,062 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
156,807 |
|
|
$ |
(5,225 |
) |
| |
|
| (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 or its counterparty 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. |
| (b) |
|
Payments made quarterly. |
|
|
|
| |
| Abbreviations: |
| CDX.NA.IG Index 30 |
|
— CDX North America Investment Grade Index 30 |
| |
|
|
|
GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND
Schedule of Investments
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Sovereign Debt Obligations – 69.0% |
| Argentina – 4.4% |
| Bonos de la Nacion Argentina con Ajuste por CER (NR/NR) |
| ARS |
|
|
6,876,730 |
|
|
|
3.750 |
% |
|
02/08/19 |
|
$ 226,174 |
|
|
|
3,175,000 |
|
|
|
4.000 |
|
|
03/06/20 |
|
110,537 |
| Bonos De La Nacion Argentina En Moneda Dua (NR/NR) |
| $ |
|
|
625,000 |
|
|
|
4.500 |
|
|
06/21/19 |
|
634,844 |
| Republic of Argentina (NR/NR) |
| ARS |
|
|
37,650,000 |
|
|
|
0.010 |
|
|
07/18/18 |
|
1,272,682 |
|
|
|
72,850,000 |
|
|
|
0.010 |
|
|
08/15/18 |
|
2,383,007 |
|
|
|
77,255,000 |
|
|
|
32.223 |
(a) |
|
06/21/20 |
|
2,727,440 |
| $ |
|
|
120,000 |
|
|
|
7.125 |
(b) |
|
06/28/17 |
|
91,620 |
| Republic of Argentina (B+/B2) |
| EUR |
|
|
660,000 |
|
|
|
3.375 |
|
|
01/15/23 |
|
699,454 |
|
|
|
1,110,000 |
|
|
|
5.000 |
|
|
01/15/27 |
|
1,106,680 |
| $ |
|
|
2,010,000 |
|
|
|
5.875 |
|
|
01/11/28 |
|
1,638,150 |
| EUR |
|
|
580,000 |
|
|
|
5.250 |
|
|
01/15/28 |
|
578,265 |
|
|
|
60,000 |
|
|
|
2.260 |
(c) |
|
12/31/38 |
|
41,060 |
| $ |
|
|
590,000 |
|
|
|
2.500 |
(c) |
|
12/31/38 |
|
334,530 |
| EUR |
|
|
100,000 |
|
|
|
6.250 |
|
|
11/09/47 |
|
90,796 |
| $ |
|
|
740,000 |
|
|
|
6.875 |
|
|
01/11/48 |
|
556,850 |
| Republic of Argentina
(NR/NR)(a)(Argentina Deposit Rates + 2.000%) |
| ARS |
|
|
3,075,000 |
|
|
|
27.947 |
|
|
04/03/22 |
|
96,210 |
| Republic of Argentina
(B+/NR)(a)(Argentina Deposit Rates + 2.500%) |
|
|
|
2,175,000 |
|
|
|
26.892 |
|
|
03/11/19 |
|
73,985 |
| Republic of Argentina
(NR/B2)(a)(Argentina Deposit Rates + 3.250%) |
|
|
|
46,190,000 |
|
|
|
29.171 |
|
|
03/29/24 |
|
1,255,342 |
| Republic of Argentina
(B+/NR)(a)(Argentina Deposit Rates + 3.250%) |
|
|
|
22,050,000 |
|
|
|
27.041 |
|
|
03/01/20 |
|
722,000 |
| Republic of Argentina
(NR/B2)(a)(Argentina Deposit Rates + 3.830%) |
|
|
|
8,920,000 |
|
|
|
27.500 |
|
|
05/31/22 |
|
252,315 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,891,941 |
| |
| Brazil – 6.5% |
| Brazil Notas do Tesouro Nacional (BB-/Ba2) |
| BRL |
|
|
26,285,000 |
|
|
|
10.000 |
|
|
01/01/21 |
|
6,878,442 |
|
|
|
3,898,000 |
|
|
|
10.000 |
|
|
01/01/23 |
|
981,886 |
|
|
|
45,762,000 |
|
|
|
10.000 |
|
|
01/01/25 |
|
11,112,123 |
|
|
|
7,574,000 |
|
|
|
10.000 |
|
|
01/01/27 |
|
1,786,215 |
|
|
|
3,764,574 |
|
|
|
6.000 |
|
|
08/15/40 |
|
971,818 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,730,484 |
| |
| Chile – 3.6% |
| Bonos de la Tesoreria de la Republica en Pesos (NR/NR) |
| CLP |
|
|
705,000,000 |
|
|
|
4.500 |
|
|
02/28/21 |
|
1,100,735 |
|
|
|
1,525,000,000 |
|
|
|
5.000 |
|
|
03/01/35 |
|
2,318,109 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Sovereign Debt Obligations – (continued) |
| Chile – (continued) |
| Bonos de la Tesoreria de la Republica en Pesos (NR/Aa3) |
| CLP |
|
|
1,740,000,000 |
|
|
|
4.500 |
% |
|
03/01/21 |
|
$ 2,716,374 |
|
|
|
2,405,000,000 |
|
|
|
4.500 |
|
|
03/01/26 |
|
3,661,467 |
| Republic of Chile (A+/Aa3) |
|
|
|
1,504,000,000 |
|
|
|
5.500 |
|
|
08/05/20 |
|
2,389,257 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,185,942 |
| |
| Colombia – 9.3% |
| Republic of Colombia (NR/NR) |
| COP |
|
|
1,204,769,895 |
|
|
|
3.300 |
|
|
03/17/27 |
|
415,312 |
|
|
|
13,709,100,000 |
|
|
|
7.000 |
|
|
06/30/32 |
|
4,624,345 |
| Republic of Colombia (NR/Baa2) |
|
|
|
1,851,000,000 |
|
|
|
4.375 |
(d) |
|
03/21/23 |
|
596,852 |
|
|
|
46,636,254 |
|
|
|
3.500 |
|
|
05/07/25 |
|
16,466 |
| Republic of Colombia (BBB/Baa2) |
|
|
|
889,700,000 |
|
|
|
5.000 |
|
|
11/21/18 |
|
304,414 |
|
|
|
7,197,528,534 |
|
|
|
3.500 |
|
|
03/10/21 |
|
2,525,084 |
|
|
|
20,002,300,000 |
|
|
|
7.000 |
|
|
05/04/22 |
|
7,097,795 |
|
|
|
30,327,900,000 |
|
|
|
10.000 |
|
|
07/24/24 |
|
12,290,195 |
|
|
|
6,432,800,000 |
|
|
|
7.500 |
|
|
08/26/26 |
|
2,316,976 |
|
|
|
2,660,100,000 |
|
|
|
6.000 |
|
|
04/28/28 |
|
868,198 |
|
|
|
316,300,000 |
|
|
|
7.750 |
|
|
09/18/30 |
|
115,275 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,170,912 |
| |
| Czech Republic – 2.7% |
| Czech Republic Government Bond (NR/NR) |
| CZK |
|
|
23,420,000 |
|
|
|
2.400 |
|
|
09/17/25 |
|
1,086,147 |
|
|
|
61,910,000 |
|
|
|
1.000 |
|
|
06/26/26 |
|
2,569,211 |
|
|
|
62,290,000 |
|
|
|
0.250 |
|
|
02/10/27 |
|
2,408,491 |
|
|
|
49,440,000 |
|
|
|
2.500 |
|
|
08/25/28 |
|
2,280,686 |
| Czech Republic Government Bond (AA/A1) |
|
|
|
14,410,000 |
|
|
|
4.200 |
|
|
12/04/36 |
|
785,326 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,129,861 |
| |
| Dominican Republic – 1.3% |
| Dominican Republic (NR/NR) |
| DOP |
|
|
2,800,000 |
|
|
|
10.500 |
|
|
04/07/23 |
|
59,579 |
|
|
|
5,400,000 |
|
|
|
11.500 |
|
|
05/10/24 |
|
119,029 |
|
|
|
39,400,000 |
|
|
|
11.375 |
|
|
07/06/29 |
|
843,775 |
|
|
|
65,300,000 |
|
|
|
12.000 |
|
|
03/05/32 |
|
1,460,436 |
| Dominican Republic
(BB-/Ba3)(e) |
|
|
|
36,800,000 |
|
|
|
8.900 |
|
|
02/15/23 |
|
752,458 |
| $ |
|
|
1,100,000 |
|
|
|
6.850 |
|
|
01/27/45 |
|
1,088,302 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,323,579 |
| |
GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Sovereign Debt Obligations – (continued) |
| Hungary – 3.4% |
| Hungary Government Bond (BBB-/NR) |
| HUF |
|
|
362,520,000 |
|
|
|
2.500 |
% |
|
10/27/21 |
|
$ 1,305,070 |
|
|
|
990,480,000 |
|
|
|
3.000 |
|
|
06/26/24 |
|
3,544,754 |
|
|
|
1,020,660,000 |
|
|
|
5.500 |
|
|
06/24/25 |
|
4,176,340 |
|
|
|
751,100,000 |
|
|
|
3.000 |
|
|
10/27/27 |
|
2,524,465 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,550,629 |
| |
| Malaysia – 4.7% |
| Malaysia Government Bond (NR/NR) |
| MYR |
|
|
5,880,000 |
|
|
|
3.399 |
|
|
11/30/18 |
|
1,457,691 |
|
|
|
7,640,000 |
|
|
|
3.558 |
|
|
04/30/19 |
|
1,892,063 |
|
|
|
6,060,000 |
|
|
|
3.743 |
|
|
08/26/21 |
|
1,495,075 |
|
|
|
2,440,000 |
|
|
|
4.045 |
|
|
08/15/24 |
|
598,767 |
|
|
|
190,000 |
|
|
|
3.990 |
|
|
10/15/25 |
|
46,132 |
|
|
|
570,000 |
|
|
|
4.070 |
|
|
09/30/26 |
|
137,950 |
|
|
|
960,000 |
|
|
|
4.724 |
|
|
06/15/33 |
|
236,709 |
|
|
|
4,220,000 |
|
|
|
4.786 |
|
|
10/31/35 |
|
1,015,890 |
| Malaysia Government Bond (NR/A3) |
|
|
|
3,700,000 |
|
|
|
4.295 |
|
|
10/31/18 |
|
918,697 |
|
|
|
1,640,000 |
|
|
|
3.759 |
|
|
03/15/19 |
|
406,896 |
|
|
|
6,200,000 |
|
|
|
5.734 |
|
|
07/30/19 |
|
1,570,745 |
|
|
|
5,560,000 |
|
|
|
4.378 |
|
|
11/29/19 |
|
1,392,800 |
|
|
|
1,590,000 |
|
|
|
3.480 |
|
|
03/15/23 |
|
384,343 |
|
|
|
11,250,000 |
|
|
|
4.181 |
|
|
07/15/24 |
|
2,787,889 |
|
|
|
3,250,000 |
|
|
|
4.254 |
|
|
05/31/35 |
|
741,912 |
|
|
|
2,270,000 |
|
|
|
4.736 |
|
|
03/15/46 |
|
543,102 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,626,661 |
| |
| Mexico – 1.2% |
| United Mexican States (A-/A3) |
| MXN |
|
|
29,732,400 |
|
|
|
10.000 |
|
|
12/05/24 |
|
1,677,106 |
|
|
|
26,424,400 |
|
|
|
7.500 |
|
|
06/03/27 |
|
1,319,104 |
|
|
|
16,479,400 |
|
|
|
8.500 |
|
|
05/31/29 |
|
882,307 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,878,517 |
| |
| Peru – 4.1% |
| Republic of Peru (NR/NR) |
| PEN |
|
|
1,484,000 |
|
|
|
6.714 |
|
|
02/12/55 |
|
460,651 |
| Republic of Peru (NR/A3) |
|
|
|
5,365,000 |
|
|
|
6.350 |
(e) |
|
08/12/28 |
|
1,727,001 |
|
|
|
20,665,000 |
|
|
|
6.150 |
(e) |
|
08/12/32 |
|
6,416,216 |
|
|
|
8,178,000 |
|
|
|
6.850 |
|
|
02/12/42 |
|
2,634,813 |
| Republic of Peru (A-/A3) |
|
|
|
1,076,000 |
|
|
|
5.700 |
|
|
08/12/24 |
|
341,256 |
|
|
|
1,130,000 |
|
|
|
8.200 |
|
|
08/12/26 |
|
409,159 |
|
|
|
393,000 |
|
|
|
6.950 |
|
|
08/12/31 |
|
130,944 |
|
|
|
5,192,000 |
|
|
|
6.900 |
|
|
08/12/37 |
|
1,693,291 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,813,331 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Sovereign Debt Obligations – (continued) |
| Russia – 6.5% |
| Russian Federation Bond (NR/NR) |
| RUB |
|
|
336,090,000 |
|
|
|
6.500 |
% |
|
02/28/24 |
|
$ 5,101,456 |
|
|
|
60,140,000 |
|
|
|
7.100 |
|
|
10/16/24 |
|
941,052 |
|
|
|
198,040,000 |
|
|
|
7.750 |
|
|
09/16/26 |
|
3,190,556 |
|
|
|
364,880,000 |
|
|
|
8.500 |
|
|
09/17/31 |
|
6,210,738 |
|
|
|
615,000 |
|
|
|
7.700 |
|
|
03/23/33 |
|
9,825 |
| Russian Federation Bond (BBB/Ba1) |
|
|
|
108,630,000 |
|
|
|
6.400 |
|
|
05/27/20 |
|
1,710,283 |
|
|
|
11,620,000 |
|
|
|
7.000 |
|
|
08/16/23 |
|
182,769 |
|
|
|
250,000,000 |
|
|
|
8.150 |
|
|
02/03/27 |
|
4,129,695 |
|
|
|
17,330,000 |
|
|
|
7.050 |
|
|
01/19/28 |
|
266,954 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,743,328 |
| |
| South Africa – 9.1% |
| Republic of South Africa (BB+/Baa3) |
| ZAR |
|
|
129,850,000 |
|
|
|
10.500 |
|
|
12/21/26 |
|
10,386,580 |
|
|
|
7,500,000 |
|
|
|
8.000 |
|
|
01/31/30 |
|
499,311 |
|
|
|
64,146,000 |
|
|
|
8.250 |
|
|
03/31/32 |
|
4,258,490 |
|
|
|
96,140,000 |
|
|
|
8.875 |
|
|
02/28/35 |
|
6,618,189 |
|
|
|
88,400,000 |
|
|
|
8.500 |
|
|
01/31/37 |
|
5,837,139 |
|
|
|
17,130,000 |
|
|
|
9.000 |
|
|
01/31/40 |
|
1,174,443 |
|
|
|
2,790,000 |
|
|
|
6.500 |
|
|
02/28/41 |
|
144,868 |
|
|
|
24,674,300 |
|
|
|
8.750 |
|
|
01/31/44 |
|
1,641,878 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30,560,898 |
| |
| Thailand – 6.2% |
| Thailand Government Bond (NR/NR) |
| THB |
|
|
114,400,000 |
|
|
|
2.000 |
|
|
12/17/22 |
|
3,440,588 |
| Thailand Government Bond (NR/Baa1) |
|
|
|
47,280,000 |
|
|
|
1.875 |
|
|
06/17/22 |
|
1,419,046 |
|
|
|
34,820,000 |
|
|
|
2.125 |
|
|
12/17/26 |
|
1,012,390 |
|
|
|
81,774,712 |
|
|
|
1.250 |
|
|
03/12/28 |
|
2,326,711 |
|
|
|
69,580,000 |
|
|
|
3.775 |
|
|
06/25/32 |
|
2,252,807 |
| Thailand Government Bond (A-/Baa1) |
|
|
|
22,850,000 |
|
|
|
3.650 |
|
|
12/17/21 |
|
730,143 |
|
|
|
101,300,000 |
|
|
|
3.850 |
|
|
12/12/25 |
|
3,337,148 |
|
|
|
192,190,000 |
|
|
|
3.650 |
|
|
06/20/31 |
|
6,145,592 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,664,425 |
| |
| Turkey – 5.8% |
| Republic of Turkey (NR/NR) |
| TRY |
|
|
8,300,000 |
|
|
|
9.400 |
|
|
07/08/20 |
|
1,542,524 |
|
|
|
9,290,000 |
|
|
|
10.700 |
|
|
02/17/21 |
|
1,718,929 |
|
|
|
3,760,000 |
|
|
|
9.200 |
|
|
09/22/21 |
|
651,514 |
|
|
|
12,070,000 |
|
|
|
10.700 |
|
|
08/17/22 |
|
2,133,470 |
|
|
|
49,740,000 |
|
|
|
12.200 |
|
|
01/18/23 |
|
9,214,219 |
|
|
|
5,000,000 |
|
|
|
10.500 |
|
|
08/11/27 |
|
797,262 |
|
|
|
11,330,000 |
|
|
|
12.400 |
|
|
03/08/28 |
|
2,013,767 |
| Republic of Turkey (NR/Ba2) |
|
|
|
7,210,000 |
|
|
|
11.000 |
|
|
03/02/22 |
|
1,299,145 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,370,830 |
| |
GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Sovereign Debt Obligations – (continued) |
| Uruguay – 0.2% |
|
|
| Republic of Uruguay
(NR/NR)(e) |
|
|
| UYU |
|
|
11,125,000 |
|
|
|
8.500 |
% |
|
03/15/28 |
|
$ 302,068 |
| Republic of Uruguay (BBB/Baa2) |
|
|
|
|
|
11,345,273 |
|
|
|
4.375 |
|
|
12/15/28 |
|
387,385 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
689,453 |
| |
TOTAL SOVEREIGN DEBT OBLIGATIONS
(Cost $249,281,266) |
|
$231,330,791 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Obligations – 2.2% |
| Argentina(e) – 0.2% |
|
|
| Banco Macro SA (NR/B2) |
|
|
| ARS |
|
|
21,350,000 |
|
|
|
17.500 |
% |
|
05/08/22 |
|
$ 682,006 |
| |
| Peru(d)(e) – 0.4% |
|
|
| Banco de Credito del Peru (BBB+/Baa1) |
|
|
| PEN |
|
|
4,800,000 |
|
|
|
4.850 |
|
|
10/30/20 |
|
1,463,459 |
| |
| South Africa(f) –
1.0% |
|
|
| Transnet SOC Ltd. (BB+/Baa3) |
|
|
| ZAR |
|
|
48,000,000 |
|
|
|
10.000 |
|
|
03/30/29 |
|
3,263,895 |
| |
| Venezuela – 0.6% |
|
|
| Petroleos de Venezuela SA (NR/NR) |
|
|
| $ |
|
|
10,110,000 |
|
|
|
6.000 |
|
|
10/28/22 |
|
1,870,350 |
| Petroleos de Venezuela SA
(D/NR)(g) |
|
|
|
|
|
10,000 |
|
|
|
6.000 |
|
|
11/15/26 |
|
2,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,872,450 |
| |
TOTAL CORPORATE OBLIGATIONS
(Cost $11,274,748) |
|
$ 7,281,810 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Structured Notes – 12.4% |
| Colombia – 0.5% |
|
|
| Republic of Columbia (Issuer Citibank NA) (NR/NR) |
| COP |
|
|
4,226,000,000 |
|
|
|
11.000 |
% |
|
07/25/24 |
|
$ 1,712,561 |
| |
| Singapore(e) – 2.5% |
|
|
| Republic of Indonesia (Issuer Standard Chartered Bank) (NR/NR) |
| IDR |
|
|
67,149,000,000 |
|
|
|
9.000 |
|
|
03/19/29 |
|
4,973,640 |
|
|
|
46,125,000,000 |
|
|
|
8.750 |
|
|
05/19/31 |
|
3,351,546 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,325,186 |
| |
| United Kingdom(e) –
4.0% |
|
|
| Republic of Indonesia (Issuer Deutsche Bank AG (London)) (NR/NR) |
|
|
|
69,000,000,000 |
|
|
|
8.375 |
|
|
03/19/24 |
|
4,907,080 |
|
|
|
62,000,000,000 |
|
|
|
7.500 |
|
|
08/19/32 |
|
4,025,671 |
|
|
|
6,600,000,000 |
|
|
|
8.250 |
|
|
05/19/36 |
|
455,391 |
| Republic of Indonesia (Issuer Standard Chartered Bank) (NR/NR) |
| IDR |
|
|
54,768,000,000 |
|
|
|
8.750 |
|
|
05/17/31 |
|
3,979,566 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,367,708 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Structured Notes – (continued) |
| United States(e) –
5.4% |
|
|
| Arab Republic of Egypt (Issuer Citibank NA) (NR/NR)(h) |
|
|
| EGP |
|
|
22,610,000 |
|
|
|
0.000 |
% |
|
10/11/18 |
|
$ 1,196,384 |
|
|
|
18,500,000 |
|
|
|
0.000 |
|
|
11/29/18 |
|
956,250 |
| Arab Republic of Egypt (Issuer JPMorgan Chase Bank NA) (NR/NR) |
|
|
|
7,100,000 |
|
|
|
0.000 |
(h) |
|
07/26/18 |
|
392,175 |
|
|
|
12,050,000 |
|
|
|
0.000 |
(h) |
|
02/07/19 |
|
602,871 |
| IDR |
|
|
91,934,000,000 |
|
|
|
8.750 |
|
|
05/17/31 |
|
6,680,131 |
| Republic of Indonesia (Issuer JPMorgan Chase Bank NA) (NR/NR) |
|
|
|
48,909,000,000 |
|
|
|
7.000 |
|
|
05/17/27 |
|
3,191,201 |
|
|
|
81,257,000,000 |
|
|
|
7.500 |
|
|
08/19/32 |
|
5,276,031 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,295,043 |
| |
TOTAL STRUCTURED NOTES
(Cost $47,387,956) |
|
$ 41,700,498 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Municipal Debt Obligations – 0.4% |
| Puerto Rico(g) –
0.4% |
| Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2008 A (NR/Ca)(d) |
| $ |
|
|
70,000 |
|
|
|
5.500 |
% |
|
07/01/32 |
|
$ 29,750 |
| Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2009 B (NR/Ca)(d) |
|
|
|
45,000 |
|
|
|
5.875 |
|
|
07/01/36 |
|
19,125 |
|
|
|
170,000 |
|
|
|
5.750 |
|
|
07/01/38 |
|
72,250 |
| Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2011 A (NR/Ca)(d) |
|
|
|
45,000 |
|
|
|
6.000 |
|
|
07/01/34 |
|
18,900 |
| Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2011 E (NR/Ca)(d) |
|
|
|
40,000 |
|
|
|
5.625 |
|
|
07/01/32 |
|
16,800 |
| Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2012 A (NR/Ca)(d) |
|
|
|
20,000 |
|
|
|
5.500 |
|
|
07/01/26 |
|
8,400 |
| Puerto Rico Commonwealth GO Bonds Series 2014 A (NR/Ca)(d) |
|
|
|
260,000 |
|
|
|
8.000 |
|
|
07/01/35 |
|
105,300 |
| Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2001 A (NR/Ca)(d) |
|
|
|
80,000 |
|
|
|
5.125 |
|
|
07/01/31 |
|
34,000 |
| Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2004 A (NR/Ca)(d) |
|
|
|
20,000 |
|
|
|
5.000 |
|
|
07/01/34 |
|
8,500 |
| Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2006 A (NR/Ca)(d) |
|
|
|
30,000 |
|
|
|
5.250 |
|
|
07/01/27 |
|
12,750 |
| |
GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Municipal Debt Obligations – (continued) |
| Puerto Rico(g) –
(continued) |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2007 B
(NR/Ca)(d) |
| $ |
|
|
30,000 |
|
|
|
6.050 |
% |
|
08/01/37 |
|
$ 25,762 |
|
|
|
10,000 |
|
|
|
6.050 |
|
|
08/01/39 |
|
8,587 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2007 C
(NR/Ca)(d) |
|
|
|
100,000 |
|
|
|
6.000 |
|
|
08/01/31 |
|
85,875 |
|
|
|
15,000 |
|
|
|
6.000 |
|
|
08/01/32 |
|
12,881 |
|
|
|
35,000 |
|
|
|
6.000 |
|
|
08/01/38 |
|
30,056 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2008 A
(NR/Ca)(d) |
|
|
|
10,000 |
|
|
|
6.130 |
|
|
08/01/28 |
|
8,588 |
|
|
|
10,000 |
|
|
|
6.130 |
|
|
08/01/29 |
|
8,588 |
|
|
|
20,000 |
|
|
|
6.130 |
|
|
08/01/30 |
|
17,175 |
|
|
|
20,000 |
|
|
|
6.130 |
|
|
08/01/37 |
|
17,175 |
|
|
|
35,000 |
|
|
|
6.130 |
|
|
08/01/38 |
|
30,056 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2009 C
(NR/Ca)(d) |
|
|
|
20,000 |
|
|
|
5.750 |
|
|
08/01/57 |
|
17,200 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2011 C
(NR/Ca) |
|
|
|
15,000 |
|
|
|
5.000 |
|
|
08/01/21 |
|
12,900 |
|
|
|
50,000 |
|
|
|
4.750 |
(d) |
|
08/01/39 |
|
43,000 |
|
|
|
165,000 |
|
|
|
5.000 |
(d) |
|
08/01/40 |
|
141,900 |
|
|
|
60,000 |
|
|
|
5.250 |
(d) |
|
08/01/40 |
|
51,600 |
|
|
|
20,000 |
|
|
|
5.000 |
(d) |
|
08/01/46 |
|
17,200 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Series 2011 D
(NR/Ca)(d) |
|
|
|
10,000 |
|
|
|
4.850 |
|
|
08/01/36 |
|
8,413 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2009 A (NR/Ca)(d) |
|
|
|
90,000 |
|
|
|
5.250 |
|
|
08/01/27 |
|
40,275 |
|
|
|
75,000 |
|
|
|
5.750 |
|
|
08/01/37 |
|
33,562 |
|
|
|
60,000 |
|
|
|
6.375 |
|
|
08/01/39 |
|
26,850 |
|
|
|
15,000 |
|
|
|
6.500 |
|
|
08/01/44 |
|
6,713 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 A (NR/Ca)(d) |
|
|
|
15,000 |
|
|
|
5.500 |
|
|
08/01/37 |
|
6,713 |
|
|
|
120,000 |
|
|
|
5.375 |
|
|
08/01/39 |
|
53,700 |
|
|
|
5,000 |
|
|
|
5.500 |
|
|
08/01/42 |
|
2,238 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 C (NR/Ca)(d) |
|
|
|
240,000 |
|
|
|
5.375 |
|
|
08/01/38 |
|
107,400 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2011 A-1 (NR/Ca)(d) |
|
|
|
195,000 |
|
|
|
5.000 |
|
|
08/01/43 |
|
87,262 |
| Puerto Rico Sales Tax Financing Corp. Sales Tax RB Unrefunded SubSeries 2009 A (NR/Ca)(d) |
|
|
|
45,000 |
|
|
|
5.500 |
|
|
08/01/28 |
|
20,137 |
| |
TOTAL MUNICIPAL DEBT OBLIGATIONS
(Cost $1,385,187) |
|
$ 1,247,581 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Obligations – 3.0% |
| Nigeria T Bill |
| NGN |
|
|
746,880,000 |
|
|
|
1.000 |
% |
|
12/20/18 |
|
$ 1,945,934 |
|
|
|
495,720,000 |
|
|
|
1.000 |
|
|
12/27/18 |
|
1,284,690 |
|
|
|
101,720,000 |
|
|
|
0.010 |
|
|
01/03/19 |
|
263,093 |
| Republic of Argentina |
| ARS |
|
|
193,875,000 |
|
|
|
1.000 |
|
|
09/19/18 |
|
6,111,901 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| U.S. Treasury Obligations – (continued) |
| United States Treasury
Bond(i) |
| $ |
|
|
500,000 |
|
|
|
3.625 |
% |
|
08/15/43 |
|
$ 556,935 |
| |
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $11,442,496) |
|
$ 10,162,553 |
| |
|
|
|
| Shares |
|
|
Distribution
Rate |
|
Value |
| Investment
Company(j) – 6.5% |
| Goldman Sachs Financial Square Government Fund - Institutional Shares |
|
|
|
21,768,873 |
|
|
|
1.869% |
|
$ 21,768,873 |
| (Cost $21,768,873) |
| |
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
(Cost $342,540,526) |
|
$313,492,106 |
| |
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Short-term Investments – 0.5% |
| Certificates of Deposit – 0.5% |
| Banco del Estado de Chile
(NR/NR)(a) |
| $ |
|
|
1,307,000 |
|
|
|
2.602 |
% |
|
09/28/18 |
|
$ 1,308,310 |
| Nigeria Omo Bill
(NR/NR)(h) |
|
|
|
142,080,000 |
|
|
|
0.000 |
|
|
12/13/18 |
|
370,052 |
| |
TOTAL SHORT-TERM INVESTMENTS
(Cost $1,678,533) |
|
$ 1,678,362 |
| |
TOTAL INVESTMENTS – 94.0%
(Cost $344,219,059) |
|
$315,170,468 |
| |
OTHER ASSETS IN EXCESS OF
LIABILITIES – 6.0% |
|
19,996,858 |
| |
| NET ASSETS – 100.0% |
|
$335,167,326 |
| |
|
|
|
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
|
|
| (a) |
|
Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed
is that which is in effect on June 30, 2018. |
|
|
| (b) |
|
Actual maturity date is June 28, 2117. |
|
|
| (c) |
|
Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on June 30, 2018. |
|
|
| (d) |
|
Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
|
|
| (e) |
|
Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed 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 $52,419,447, which represents approximately 15.6% of the Fund’s net assets as
of June 30, 2018. The liquidity determination is unaudited. |
GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
|
|
|
|
|
| (f) |
|
Guaranteed by a foreign government until maturity. Total market value of these securities amounts to $3,263,895, which represents approximately 1.0% of the Fund’s net assets
as of June 30, 2018. |
|
|
| (g) |
|
Security is currently in default and/or non-income producing. |
|
|
| (h) |
|
Issued with a zero coupon. Income is recognized through the accretion of discount. |
|
|
| (i) |
|
All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. |
|
|
| (j) |
|
Represents an Affiliated Issuer. |
|
| Security ratings disclosed, if any, are obtained from by Standard & Poor’s/Moody’s Investor Service and are unaudited. A brief description of the ratings
is available in the Fund’s Statement of Additional Information. |
|
|
|
| |
| Currency Abbreviations: |
| ARS |
|
— Argentine Peso |
| BRL |
|
— Brazilian Real |
| CLP |
|
— Chilean Peso |
| CNH |
|
— Chinese Yuan Renminbi Offshore |
| CNY |
|
— Chinese Yuan Renminbi |
| COP |
|
— Colombian Peso |
| CZK |
|
— Czech Koruna |
| DOP |
|
— Dominican Peso |
| EGP |
|
— Egyptian Pound |
| EUR |
|
— Euro |
| HUF |
|
— Hungarian Forint |
| IDR |
|
— Indonesian Rupiah |
| INR |
|
— Indian Rupee |
| JPY |
|
— Japanese Yen |
| KRW |
|
— South Korean Won |
| MXN |
|
— Mexican Peso |
| MYR |
|
— Malaysian Ringgit |
| NGN |
|
— Nigerian Naira |
| PEN |
|
— Peruvian Nuevo Sol |
| PHP |
|
— Philippine Peso |
| PLN |
|
— Polish Zloty |
| RUB |
|
— Russian Ruble |
| SGD |
|
— Singapore Dollar |
| THB |
|
— Thai Baht |
| TRY |
|
— Turkish Lira |
| TWD |
|
— Taiwan Dollar |
| USD |
|
— U.S. Dollar |
| UYU |
|
— Uruguayan Peso |
| ZAR |
|
— South African Rand |
|
| Investment Abbreviations: |
| BUBOR |
|
— Budapest Interbank Offered Rate |
| CLICP |
|
— Sinacofi Chile Interbank Rate |
| EURO |
|
— Euro Offered Rate |
| GO |
|
— General Obligation |
| JIBAR |
|
— Johannesburg Interbank Agreed Rate |
| KWCDC |
|
— South Korean Won Certificate of Deposit |
| LIBOR |
|
— London Interbank Offered Rate |
| LLC |
|
— Limited Liability Company |
| MIBOR |
|
— MIBOR - Mumbai Interbank Offered Rate |
| NR |
|
— Not Rated |
| PLC |
|
— Public Limited Company |
| PRIBOR |
|
— Prague Interbank Offered Rate |
| RB |
|
— Revenue Bond |
| SHIBOR |
|
— Shanghai Interbank Offered Rate |
| TIIE |
|
— La Tasa de Interbank Equilibrium Interest Rate |
| WIBOR |
|
— Warsaw Interbank Offered Rate |
| |
GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2018, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency
Purchased |
|
|
Currency
Sold |
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Gain |
|
| |
|
| MS & Co. Int. PLC |
|
BRL |
|
|
4,180,242 |
|
|
USD |
|
1,068,419 |
|
$ |
1,078,176 |
|
|
|
07/03/18 |
|
|
$ |
9,757 |
|
|
|
EUR |
|
|
2,219,412 |
|
|
CNH |
|
16,645,876 |
|
|
2,607,650 |
|
|
|
09/19/18 |
|
|
|
106,148 |
|
|
|
EUR |
|
|
1,046,085 |
|
|
HUF |
|
344,249,918 |
|
|
1,229,075 |
|
|
|
09/19/18 |
|
|
|
2,506 |
|
|
|
EUR |
|
|
6,104,532 |
|
|
PLN |
|
26,514,786 |
|
|
7,172,387 |
|
|
|
09/19/18 |
|
|
|
84,404 |
|
|
|
EUR |
|
|
24,708,602 |
|
|
USD |
|
28,883,441 |
|
|
29,030,843 |
|
|
|
09/19/18 |
|
|
|
147,401 |
|
|
|
KRW |
|
|
5,598,326,132 |
|
|
USD |
|
5,009,105 |
|
|
5,029,697 |
|
|
|
07/26/18 |
|
|
|
20,592 |
|
|
|
KRW |
|
|
4,296,244,795 |
|
|
USD |
|
3,857,719 |
|
|
3,860,648 |
|
|
|
08/03/18 |
|
|
|
2,929 |
|
|
|
MXN |
|
|
651,619,633 |
|
|
USD |
|
31,123,650 |
|
|
32,397,668 |
|
|
|
09/19/18 |
|
|
|
1,274,017 |
|
|
|
RUB |
|
|
325,416,699 |
|
|
USD |
|
5,083,994 |
|
|
5,152,993 |
|
|
|
08/20/18 |
|
|
|
69,000 |
|
|
|
SGD |
|
|
3,806,815 |
|
|
USD |
|
2,791,909 |
|
|
2,798,838 |
|
|
|
09/19/18 |
|
|
|
6,929 |
|
|
|
TRY |
|
|
24,845,905 |
|
|
USD |
|
5,155,010 |
|
|
5,226,129 |
|
|
|
09/19/18 |
|
|
|
71,118 |
|
|
|
USD |
|
|
745,638 |
|
|
ARS |
|
20,437,932 |
|
|
704,198 |
|
|
|
07/03/18 |
|
|
|
41,440 |
|
|
|
USD |
|
|
23,471,621 |
|
|
BRL |
|
88,285,989 |
|
|
22,770,888 |
|
|
|
07/03/18 |
|
|
|
700,732 |
|
|
|
USD |
|
|
1,213,112 |
|
|
BRL |
|
4,672,676 |
|
|
1,200,960 |
|
|
|
08/02/18 |
|
|
|
12,152 |
|
|
|
USD |
|
|
6,405,599 |
|
|
CLP |
|
4,055,384,604 |
|
|
6,206,771 |
|
|
|
07/05/18 |
|
|
|
198,828 |
|
|
|
USD |
|
|
6,292,762 |
|
|
CLP |
|
4,042,447,087 |
|
|
6,187,229 |
|
|
|
07/18/18 |
|
|
|
105,533 |
|
|
|
USD |
|
|
22,526,946 |
|
|
CNH |
|
145,779,637 |
|
|
21,907,413 |
|
|
|
09/19/18 |
|
|
|
619,532 |
|
|
|
USD |
|
|
3,132,000 |
|
|
EUR |
|
2,661,882 |
|
|
3,127,522 |
|
|
|
09/19/18 |
|
|
|
4,478 |
|
|
|
USD |
|
|
250,820 |
|
|
HUF |
|
70,132,126 |
|
|
249,882 |
|
|
|
09/19/18 |
|
|
|
938 |
|
|
|
USD |
|
|
12,607,020 |
|
|
IDR |
|
179,603,254,126 |
|
|
12,546,006 |
|
|
|
07/02/18 |
|
|
|
61,014 |
|
|
|
USD |
|
|
2,155,649 |
|
|
IDR |
|
30,082,081,795 |
|
|
2,104,536 |
|
|
|
07/05/18 |
|
|
|
51,113 |
|
|
|
USD |
|
|
2,612,810 |
|
|
IDR |
|
37,262,732,059 |
|
|
2,600,027 |
|
|
|
07/23/18 |
|
|
|
12,784 |
|
|
|
USD |
|
|
6,671,946 |
|
|
IDR |
|
94,991,732,937 |
|
|
6,622,071 |
|
|
|
07/27/18 |
|
|
|
49,875 |
|
|
|
USD |
|
|
7,988,002 |
|
|
INR |
|
541,436,903 |
|
|
7,897,271 |
|
|
|
07/11/18 |
|
|
|
90,730 |
|
|
|
USD |
|
|
3,737,103 |
|
|
INR |
|
255,051,962 |
|
|
3,715,791 |
|
|
|
07/19/18 |
|
|
|
21,311 |
|
|
|
USD |
|
|
1,218,000 |
|
|
JPY |
|
132,630,090 |
|
|
1,204,712 |
|
|
|
09/19/18 |
|
|
|
13,288 |
|
|
|
USD |
|
|
2,994,918 |
|
|
MXN |
|
59,477,963 |
|
|
2,957,166 |
|
|
|
09/19/18 |
|
|
|
37,752 |
|
|
|
USD |
|
|
4,697,491 |
|
|
PEN |
|
15,454,745 |
|
|
4,696,349 |
|
|
|
08/21/18 |
|
|
|
1,142 |
|
|
|
USD |
|
|
5,869,609 |
|
|
SGD |
|
7,820,726 |
|
|
5,749,938 |
|
|
|
09/19/18 |
|
|
|
119,672 |
|
|
|
USD |
|
|
2,958,582 |
|
|
THB |
|
97,386,379 |
|
|
2,942,989 |
|
|
|
08/14/18 |
|
|
|
15,594 |
|
|
|
USD |
|
|
4,495,377 |
|
|
TRY |
|
21,261,753 |
|
|
4,472,232 |
|
|
|
09/19/18 |
|
|
|
23,144 |
|
|
|
USD |
|
|
1,335,435 |
|
|
TWD |
|
39,639,193 |
|
|
1,302,357 |
|
|
|
07/09/18 |
|
|
|
33,078 |
|
|
|
USD |
|
|
9,886,282 |
|
|
TWD |
|
298,682,764 |
|
|
9,816,696 |
|
|
|
07/16/18 |
|
|
|
69,588 |
|
|
|
USD |
|
|
17,677,621 |
|
|
TWD |
|
532,110,643 |
|
|
17,498,173 |
|
|
|
07/27/18 |
|
|
|
179,447 |
|
|
|
USD |
|
|
8,124,587 |
|
|
ZAR |
|
111,313,343 |
|
|
8,030,136 |
|
|
|
09/19/18 |
|
|
|
94,451 |
|
|
|
ZAR |
|
|
23,465,683 |
|
|
USD |
|
1,685,684 |
|
|
1,692,813 |
|
|
|
09/19/18 |
|
|
|
7,132 |
|
| |
|
| TOTAL |
|
|
|
|
|
$ |
4,359,549 |
|
| |
|
|
| FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS |
|
|
|
|
|
|
|
| Counterparty |
|
Currency
Purchased |
|
|
Currency
Sold |
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Loss |
|
| |
|
| MS & Co. Int. PLC |
|
ARS |
|
|
20,437,932 |
|
|
USD |
|
966,104 |
|
$ |
704,198 |
|
|
|
07/03/18 |
|
|
$ |
(261,906 |
) |
|
|
ARS |
|
|
32,233,985 |
|
|
USD |
|
1,258,157 |
|
|
1,108,141 |
|
|
|
07/05/18 |
|
|
|
(150,016 |
) |
|
|
ARS |
|
|
32,397,546 |
|
|
USD |
|
1,258,157 |
|
|
1,107,545 |
|
|
|
07/10/18 |
|
|
|
(150,612 |
) |
|
|
ARS |
|
|
16,352,164 |
|
|
USD |
|
771,328 |
|
|
557,771 |
|
|
|
07/12/18 |
|
|
|
(213,558 |
) |
|
|
ARS |
|
|
35,400,009 |
|
|
USD |
|
1,407,551 |
|
|
1,198,146 |
|
|
|
07/19/18 |
|
|
|
(209,405 |
) |
|
|
ARS |
|
|
20,437,932 |
|
|
USD |
|
726,166 |
|
|
683,429 |
|
|
|
07/31/18 |
|
|
|
(42,737 |
) |
|
|
ARS |
|
|
31,402,971 |
|
|
USD |
|
1,189,898 |
|
|
1,039,891 |
|
|
|
08/10/18 |
|
|
|
(150,007 |
) |
|
|
ARS |
|
|
6,732,581 |
|
|
USD |
|
274,016 |
|
|
221,868 |
|
|
|
08/15/18 |
|
|
|
(52,148 |
) |
|
|
ARS |
|
|
57,311,871 |
|
|
USD |
|
2,168,709 |
|
|
1,885,032 |
|
|
|
08/17/18 |
|
|
|
(283,678 |
) |
|
|
BRL |
|
|
84,105,748 |
|
|
USD |
|
22,274,587 |
|
|
21,692,714 |
|
|
|
07/03/18 |
|
|
|
(581,874 |
) |
|
|
BRL |
|
|
46,808,119 |
|
|
USD |
|
12,331,463 |
|
|
12,030,514 |
|
|
|
08/02/18 |
|
|
|
(300,949 |
) |
GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Currency
Purchased |
|
|
Currency
Sold |
|
Current
Value |
|
|
Settlement
Date |
|
|
Unrealized
Loss |
|
| |
|
| MS & Co. Int. PLC (continued) |
|
CLP |
|
|
4,055,384,604 |
|
|
USD |
|
6,321,359 |
|
$ |
6,206,771 |
|
|
|
07/05/18 |
|
|
$ |
(114,588 |
) |
|
|
CLP |
|
|
678,567,561 |
|
|
USD |
|
1,042,827 |
|
|
1,038,620 |
|
|
|
08/06/18 |
|
|
|
(4,207 |
) |
|
|
CNH |
|
|
16,324,475 |
|
|
EUR |
|
2,132,940 |
|
|
2,453,203 |
|
|
|
09/19/18 |
|
|
|
(52,849 |
) |
|
|
CNH |
|
|
40,444,918 |
|
|
USD |
|
6,128,963 |
|
|
6,077,964 |
|
|
|
09/19/18 |
|
|
|
(50,997 |
) |
|
|
COP |
|
|
5,142,159,712 |
|
|
USD |
|
1,756,579 |
|
|
1,752,296 |
|
|
|
07/26/18 |
|
|
|
(4,283 |
) |
|
|
COP |
|
|
2,733,092,892 |
|
|
USD |
|
935,494 |
|
|
930,236 |
|
|
|
08/22/18 |
|
|
|
(5,258 |
) |
|
|
CZK |
|
|
90,643,388 |
|
|
USD |
|
4,187,729 |
|
|
4,092,412 |
|
|
|
09/19/18 |
|
|
|
(95,316 |
) |
|
|
HUF |
|
|
6,962,840,578 |
|
|
EUR |
|
21,590,849 |
|
|
24,808,735 |
|
|
|
09/19/18 |
|
|
|
(558,971 |
) |
|
|
IDR |
|
|
179,603,254,126 |
|
|
USD |
|
12,612,266 |
|
|
12,546,006 |
|
|
|
07/02/18 |
|
|
|
(66,259 |
) |
|
|
IDR |
|
|
30,082,081,795 |
|
|
USD |
|
2,113,248 |
|
|
2,104,536 |
|
|
|
07/05/18 |
|
|
|
(8,712 |
) |
|
|
IDR |
|
|
124,185,242,605 |
|
|
USD |
|
8,773,242 |
|
|
8,657,211 |
|
|
|
07/27/18 |
|
|
|
(116,031 |
) |
|
|
IDR |
|
|
181,683,200,794 |
|
|
USD |
|
12,733,664 |
|
|
12,617,035 |
|
|
|
08/16/18 |
|
|
|
(116,629 |
) |
|
|
INR |
|
|
250,985,782 |
|
|
USD |
|
3,687,462 |
|
|
3,660,820 |
|
|
|
07/11/18 |
|
|
|
(26,643 |
) |
|
|
INR |
|
|
169,545,652 |
|
|
USD |
|
2,480,454 |
|
|
2,470,071 |
|
|
|
07/19/18 |
|
|
|
(10,383 |
) |
|
|
JPY |
|
|
421,786,122 |
|
|
USD |
|
3,852,000 |
|
|
3,831,189 |
|
|
|
09/19/18 |
|
|
|
(20,811 |
) |
|
|
KRW |
|
|
5,598,326,132 |
|
|
USD |
|
5,108,610 |
|
|
5,027,694 |
|
|
|
07/09/18 |
|
|
|
(80,917 |
) |
|
|
MXN |
|
|
20,875,218 |
|
|
USD |
|
1,042,827 |
|
|
1,037,888 |
|
|
|
09/19/18 |
|
|
|
(4,939 |
) |
|
|
MYR |
|
|
14,051,101 |
|
|
USD |
|
3,494,430 |
|
|
3,480,692 |
|
|
|
07/12/18 |
|
|
|
(13,737 |
) |
|
|
PHP |
|
|
65,808,379 |
|
|
USD |
|
1,244,838 |
|
|
1,229,626 |
|
|
|
08/06/18 |
|
|
|
(15,212 |
) |
|
|
PLN |
|
|
113,243,554 |
|
|
EUR |
|
26,348,146 |
|
|
30,272,484 |
|
|
|
09/19/18 |
|
|
|
(684,705 |
) |
|
|
PLN |
|
|
98,684,608 |
|
|
USD |
|
27,234,985 |
|
|
26,380,559 |
|
|
|
09/19/18 |
|
|
|
(854,426 |
) |
|
|
RUB |
|
|
196,853,331 |
|
|
USD |
|
3,120,920 |
|
|
3,117,185 |
|
|
|
08/20/18 |
|
|
|
(3,735 |
) |
|
|
SGD |
|
|
3,503,790 |
|
|
EUR |
|
2,211,049 |
|
|
2,576,049 |
|
|
|
09/19/18 |
|
|
|
(21,776 |
) |
|
|
SGD |
|
|
1,845,282 |
|
|
USD |
|
1,361,756 |
|
|
1,356,684 |
|
|
|
09/19/18 |
|
|
|
(5,072 |
) |
|
|
THB |
|
|
301,806,304 |
|
|
USD |
|
9,438,231 |
|
|
9,120,500 |
|
|
|
08/14/18 |
|
|
|
(317,731 |
) |
|
|
TWD |
|
|
39,321,008 |
|
|
USD |
|
1,328,412 |
|
|
1,291,903 |
|
|
|
07/09/18 |
|
|
|
(36,509 |
) |
|
|
TWD |
|
|
42,687,245 |
|
|
USD |
|
1,406,499 |
|
|
1,402,986 |
|
|
|
07/16/18 |
|
|
|
(3,513 |
) |
|
|
TWD |
|
|
210,788,896 |
|
|
USD |
|
7,031,006 |
|
|
6,931,679 |
|
|
|
07/27/18 |
|
|
|
(99,327 |
) |
|
|
USD |
|
|
2,231,472 |
|
|
COP |
|
6,564,891,631 |
|
|
2,237,122 |
|
|
|
07/26/18 |
|
|
|
(5,650 |
) |
|
|
USD |
|
|
1,697,230 |
|
|
IDR |
|
24,450,289,000 |
|
|
1,704,480 |
|
|
|
07/27/18 |
|
|
|
(7,251 |
) |
|
|
USD |
|
|
1,222,187 |
|
|
INR |
|
84,049,779 |
|
|
1,224,501 |
|
|
|
07/19/18 |
|
|
|
(2,315 |
) |
|
|
USD |
|
|
5,007,313 |
|
|
KRW |
|
5,598,326,132 |
|
|
5,027,694 |
|
|
|
07/09/18 |
|
|
|
(20,381 |
) |
|
|
USD |
|
|
15,781,867 |
|
|
KRW |
|
17,619,493,875 |
|
|
15,829,860 |
|
|
|
07/26/18 |
|
|
|
(47,993 |
) |
|
|
USD |
|
|
2,495,331 |
|
|
KRW |
|
2,787,232,827 |
|
|
2,504,365 |
|
|
|
07/31/18 |
|
|
|
(9,034 |
) |
|
|
USD |
|
|
1,119,526 |
|
|
MXN |
|
23,027,509 |
|
|
1,144,898 |
|
|
|
09/19/18 |
|
|
|
(25,371 |
) |
|
|
USD |
|
|
6,218,262 |
|
|
RUB |
|
396,140,819 |
|
|
6,272,915 |
|
|
|
08/20/18 |
|
|
|
(54,652 |
) |
|
|
USD |
|
|
3,987,522 |
|
|
TRY |
|
19,504,293 |
|
|
4,102,565 |
|
|
|
09/19/18 |
|
|
|
(115,045 |
) |
|
|
USD |
|
|
1,221,795 |
|
|
TWD |
|
37,218,318 |
|
|
1,223,904 |
|
|
|
07/27/18 |
|
|
|
(2,109 |
) |
|
|
USD |
|
|
3,871,301 |
|
|
ZAR |
|
53,972,733 |
|
|
3,893,590 |
|
|
|
09/19/18 |
|
|
|
(22,288 |
) |
|
|
ZAR |
|
|
266,662,079 |
|
|
USD |
|
19,781,401 |
|
|
19,236,984 |
|
|
|
09/19/18 |
|
|
|
(544,415 |
) |
| |
|
| TOTAL |
|
|
|
|
|
$ |
(6,646,930 |
) |
| |
|
FUTURES CONTRACTS — At June 30, 2018, the Fund had the following futures contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Number of
Contracts |
|
|
Expiration
Date |
|
|
Notional
Amount |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Long position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ultra Long U.S. Treasury Bonds |
|
|
39 |
|
|
|
09/19/18 |
|
|
$ |
6,222,938 |
|
|
$ |
124,776 |
|
| Ultra 10 Year U.S. Treasury Notes |
|
|
33 |
|
|
|
09/19/18 |
|
|
|
4,231,734 |
|
|
|
44,928 |
|
| 2 Year U.S. Treasury Notes |
|
|
23 |
|
|
|
09/28/18 |
|
|
|
4,872,047 |
|
|
|
(2,972 |
) |
| |
|
| Total |
|
|
$ |
166,732 |
|
| |
|
| Short position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Eurodollars |
|
|
(14) |
|
|
|
12/17/18 |
|
|
|
(3,407,600 |
) |
|
|
25,530 |
|
| Eurodollars |
|
|
(20) |
|
|
|
06/17/19 |
|
|
|
(4,857,250 |
) |
|
|
42,716 |
|
| Eurodollars |
|
|
(126) |
|
|
|
12/14/20 |
|
|
|
(30,561,300 |
) |
|
|
7,804 |
|
| 5 Year U.S Treasury Notes |
|
|
(104) |
|
|
|
09/28/18 |
|
|
|
(11,816,188 |
) |
|
|
12,560 |
|
| 10 Year U.S Treasury Notes |
|
|
(25) |
|
|
|
09/19/18 |
|
|
|
(3,004,687 |
) |
|
|
4,288 |
|
| 20 Year U.S. Treasury Bonds |
|
|
(104) |
|
|
|
09/19/18 |
|
|
|
(15,080,000 |
) |
|
|
(223,258 |
) |
| |
|
| Total |
|
|
$ |
(130,360 |
) |
| |
|
| TOTAL |
|
|
$ |
36,372 |
|
| |
|
GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION (continued)
SWAP CONTRACTS — At June 30, 2018, the Fund had the following swap contracts:
OVER THE COUNTER INTEREST RATE SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Payments Made by
the Fund |
|
Payments Received by the Fund |
|
Counterparty |
|
|
Termination
Date |
|
|
Notional
Amount
(000s) |
|
|
Value |
|
|
Upfront
Payments
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Columbia IBR Overnight IB(a) |
|
4.750% |
|
|
BoA Securities LLC |
|
|
|
06/20/20 |
|
|
COP |
9,050,100 |
|
|
$ |
(6,390 |
) |
|
$ |
19,728 |
|
|
$ |
(26,118 |
) |
| 3M KWCDC(a) |
|
2.000 |
|
|
BoA Securities LLC |
|
|
|
09/19/20 |
|
|
KRW |
8,758,140 |
(b) |
|
|
(2,611 |
) |
|
|
(10,618 |
) |
|
|
8,007 |
|
| Mexico IB TIIE 28D(c) |
|
8.010 |
|
|
Barclays Bank PLC |
|
|
|
06/29/27 |
|
|
MXN |
213,930 |
|
|
|
(33,026 |
) |
|
|
— |
|
|
|
(33,026 |
) |
| 3M SHIBOR(a) |
|
3.750 |
|
|
BoA Securities LLC |
|
|
|
06/20/20 |
|
|
CNY |
66,350 |
(b) |
|
|
129,525 |
|
|
|
41,568 |
|
|
|
87,957 |
|
| Columbia IBR Overnight IB(a) |
|
4.750 |
|
|
Citibank NA |
|
|
|
06/20/20 |
|
|
COP |
14,328,350 |
|
|
|
(10,119 |
) |
|
|
18,296 |
|
|
|
(28,415 |
) |
| 3M KWCDC(a) |
|
2.000 |
|
|
Citibank NA |
|
|
|
09/19/20 |
|
|
KRW |
11,087,330 |
(b) |
|
|
(3,306 |
) |
|
|
(7,316 |
) |
|
|
4,010 |
|
| 3.250%(d) |
|
6M CLICP |
|
|
Citibank NA |
|
|
|
09/20/20 |
|
|
CLP |
3,262,250 |
(b) |
|
|
17,993 |
|
|
|
26,328 |
|
|
|
(8,335 |
) |
| 3.500(d) |
|
6M CLICP |
|
|
Citibank NA |
|
|
|
09/20/20 |
|
|
|
1,312,125 |
(b) |
|
|
(2,489 |
) |
|
|
(3,707 |
) |
|
|
1,218 |
|
| 6M Thai Reuters(d) |
|
1.750 |
|
|
Citibank NA |
|
|
|
03/21/21 |
|
|
THB |
256,000 |
|
|
|
9,751 |
|
|
|
6,090 |
|
|
|
3,661 |
|
| 6M Thai Reuters(d) |
|
2.000 |
|
|
Citibank NA |
|
|
|
06/20/23 |
|
|
|
80,000 |
|
|
|
(6,321 |
) |
|
|
4,972 |
|
|
|
(11,293 |
) |
| 5.110(a) |
|
3M COP |
|
|
CS International
(London) |
|
|
|
04/15/19 |
|
|
|
20,678,330 |
|
|
|
(52,953 |
) |
|
|
— |
|
|
|
(52,953 |
) |
| 6.055(a) |
|
Colombia IBR Overnight IB |
|
|
CS International
(London) |
|
|
|
05/02/24 |
|
|
COP |
3,635,890 |
|
|
|
(24,508 |
) |
|
|
— |
|
|
|
(24,508 |
) |
| Columbia IBR Overnight IB(a) |
|
4.750 |
|
|
Deutsche Bank AG |
|
|
|
06/20/20 |
|
|
|
3,920,825 |
|
|
|
(2,769 |
) |
|
|
9,021 |
|
|
|
(11,790 |
) |
| 3M KWCDC(a) |
|
2.000 |
|
|
Deutsche Bank AG |
|
|
|
06/20/20 |
|
|
KRW |
9,666,950 |
|
|
|
8,645 |
|
|
|
(2,858 |
) |
|
|
11,503 |
|
| 3M KWCDC(a) |
|
2.000 |
|
|
Deutsche Bank AG |
|
|
|
09/19/20 |
|
|
|
8,575,030 |
(b) |
|
|
(2,556 |
) |
|
|
(7,071 |
) |
|
|
4,515 |
|
| 5.190(a) |
|
Colombia IBR Overnight IB |
|
|
JPMorgan
Securities, Inc. |
|
|
|
04/22/19 |
|
|
|
10,159,090 |
|
|
|
(33,167 |
) |
|
|
— |
|
|
|
(33,167 |
) |
| 3M SHIBOR(a) |
|
3.750 |
|
|
JPMorgan
Securities, Inc. |
|
|
|
06/20/20 |
|
|
CNY |
52,320 |
|
|
|
101,305 |
|
|
|
33,739 |
|
|
|
67,566 |
|
| 3M SHIBOR(a) |
|
3.750 |
|
|
MS & Co. Int. PLC |
|
|
|
06/20/20 |
|
|
|
42,410 |
|
|
|
82,117 |
|
|
|
25,171 |
|
|
|
56,946 |
|
| Colombia IBR Overnight IB(a) |
|
4.750 |
|
|
MS & Co. Int. PLC |
|
|
|
06/20/20 |
|
|
COP |
2,707,300 |
|
|
|
(1,912 |
) |
|
|
460 |
|
|
|
(2,372 |
) |
| 3M KWCDC(a) |
|
2.000 |
|
|
MS & Co. Int. PLC |
|
|
|
06/20/20 |
|
|
KRW |
3,790,930 |
|
|
|
3,391 |
|
|
|
(468 |
) |
|
|
3,859 |
|
| Columbia IBR Overnight IB(a) |
|
4.750 |
|
|
MS & Co. Int. PLC |
|
|
|
06/20/20 |
|
|
COP |
3,921,800 |
|
|
|
(2,770 |
) |
|
|
8,868 |
|
|
|
(11,638 |
) |
| 7.000(d) |
|
6M MIBOR |
|
|
MS & Co. Int. PLC |
|
|
|
09/19/20 |
|
|
INR |
1,830,420 |
(b) |
|
|
36,151 |
|
|
|
(6,629 |
) |
|
|
42,780 |
|
| 3M KWCDC(a) |
|
2.000 |
|
|
MS & Co. Int. PLC |
|
|
|
09/19/20 |
|
|
KRW |
13,038,400 |
(b) |
|
|
(3,886 |
) |
|
|
(5,185 |
) |
|
|
1,299 |
|
| 3.500(a) |
|
6M CLICP |
|
|
MS & Co. Int. PLC |
|
|
|
09/20/20 |
|
|
CLP |
1,246,500 |
(b) |
|
|
(2,365 |
) |
|
|
(2,808 |
) |
|
|
443 |
|
| Mexico IB TIIE 28D(c) |
|
5.630 |
|
|
MS & Co. Int. PLC |
|
|
|
06/17/21 |
|
|
MXN |
135,000 |
|
|
|
(430,351 |
) |
|
|
— |
|
|
|
(430,351 |
) |
| Colombia IBR Overnight IB(a) |
|
6.055 |
|
|
MS & Co. Int. PLC |
|
|
|
05/02/24 |
|
|
COP |
3,635,890 |
|
|
|
24,508 |
|
|
|
(4,116 |
) |
|
|
28,624 |
|
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(208,113 |
) |
|
$ |
143,465 |
|
|
$ |
(351,578 |
) |
| |
|
| (a) |
|
Payments made quarterly. |
| (b) |
|
Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2018.
|
| (c) |
|
Payments made monthly. |
| (d) |
|
Payments made semi-annually. |
GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION (continued)
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Payments Made
by the Fund |
|
Payments
Received
by Fund |
|
|
Termination
Date |
|
|
Notional
Amount
(000s) |
|
|
Market Value |
|
|
Upfront
Premium
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| 1M BID Avg(a) |
|
|
6.900% |
|
|
|
01/02/19 |
|
|
BRL |
4,800 |
|
|
$ |
2,328 |
|
|
$ |
43 |
|
|
$ |
2,285 |
|
| 8.050%(a) |
|
|
1M BID Avg |
|
|
|
01/02/20 |
|
|
|
64,550 |
|
|
|
(51,076 |
) |
|
|
(76,446 |
) |
|
|
25,370 |
|
| 1M BID Avg(a) |
|
|
7.500 |
|
|
|
01/02/20 |
|
|
|
19,650 |
|
|
|
(37,197 |
) |
|
|
(18,616 |
) |
|
|
(18,581 |
) |
| 7.330(b) |
|
|
3M JIBAR |
|
|
|
03/21/20 |
|
|
ZAR |
10 |
(c) |
|
|
(1 |
) |
|
|
(1 |
) |
|
|
— |
|
| 8.200(a) |
|
|
Mexico IB TIIE 28D |
|
|
|
09/16/20 |
|
|
MXN |
331,175 |
(c) |
|
|
(39,869 |
) |
|
|
27,166 |
|
|
|
(67,035 |
) |
| 6M BUBOR(d) |
|
|
0.600(e) |
|
|
|
09/19/20 |
|
|
HUF |
4,482,745 |
(c) |
|
|
(248,188 |
) |
|
|
(35,700 |
) |
|
|
(212,488 |
) |
| 6M BUBOR(d) |
|
|
1.440(e) |
|
|
|
09/19/20 |
|
|
|
2,515,500 |
(c) |
|
|
8,343 |
|
|
|
19,772 |
|
|
|
(11,429 |
) |
| 6M WIBOR(d) |
|
|
2.000(e) |
|
|
|
09/19/20 |
|
|
PLN |
193,200 |
(c) |
|
|
(9,261 |
) |
|
|
(3,826 |
) |
|
|
(5,435 |
) |
| 1.650(e) |
|
|
6M PRIBOR(d) |
|
|
|
09/19/20 |
|
|
CZK |
99,575 |
(c) |
|
|
6,374 |
|
|
|
(781 |
) |
|
|
7,155 |
|
| Mexico IB TIIE 28D(a) |
|
|
8.250 |
|
|
|
09/15/21 |
|
|
MXN |
759,955 |
(c) |
|
|
326,746 |
|
|
|
(28,822 |
) |
|
|
355,568 |
|
| 1M BID Avg(a) |
|
|
10.300 |
|
|
|
01/03/22 |
|
|
BRL |
18,845 |
|
|
|
36,187 |
|
|
|
(24,119 |
) |
|
|
60,306 |
|
| 1M BID Avg(a) |
|
|
10.380 |
|
|
|
01/03/22 |
|
|
|
6,050 |
|
|
|
4,454 |
|
|
|
56 |
|
|
|
4,398 |
|
| Mexico IB TIIE 28D(a) |
|
|
5.500 |
|
|
|
03/09/22 |
|
|
MXN |
53,690 |
(c) |
|
|
(217,069 |
) |
|
|
(44,697 |
) |
|
|
(172,372 |
) |
| 8.900(e) |
|
|
1M BID Avg |
|
|
|
01/02/23 |
|
|
BRL |
13,150 |
|
|
|
82,348 |
|
|
|
(21,663 |
) |
|
|
104,011 |
|
| Mexico IB TIIE 28D(a) |
|
|
8.280 |
|
|
|
09/13/23 |
|
|
MXN |
140,210 |
(c) |
|
|
122,458 |
|
|
|
8,920 |
|
|
|
113,538 |
|
| 0.500(e) |
|
|
6M EURO |
|
|
|
09/19/23 |
|
|
EUR |
520 |
(c) |
|
|
(5,605 |
) |
|
|
(1,586 |
) |
|
|
(4,019 |
) |
| 5.955(d) |
|
|
Mexico IB TIIE 28D |
|
|
|
11/20/24 |
|
|
MXN |
54,290 |
(c) |
|
|
277,352 |
|
|
|
18 |
|
|
|
277,334 |
|
| 5.660(a) |
|
|
Mexico IB TIIE 28D |
|
|
|
01/24/25 |
|
|
|
20,280 |
(c) |
|
|
121,598 |
|
|
|
14 |
|
|
|
121,584 |
|
| Mexico IB TIIE 28D(a) |
|
|
8.330 |
|
|
|
09/10/25 |
|
|
MXN |
224,275 |
(c) |
|
|
248,035 |
|
|
|
57,632 |
|
|
|
190,403 |
|
| 7.500(a) |
|
|
Mexico IB TIIE 28D |
|
|
|
06/09/27 |
|
|
|
34,390 |
(c) |
|
|
57,086 |
|
|
|
(42,784 |
) |
|
|
99,870 |
|
| 2.960(a) |
|
|
6M WIBOR |
|
|
|
12/22/27 |
|
|
PLN |
1,880 |
(c) |
|
|
(10,470 |
) |
|
|
8 |
|
|
|
(10,478 |
) |
| 2.957(e) |
|
|
6M WIBOR(d) |
|
|
|
12/27/27 |
|
|
|
3,680 |
(c) |
|
|
(20,027 |
) |
|
|
15 |
|
|
|
(20,042 |
) |
| 8.350(e) |
|
|
Mexico IB TIIE 28D(d) |
|
|
|
09/06/28 |
|
|
MXN |
108,920 |
(c) |
|
|
(119,890 |
) |
|
|
(66,148 |
) |
|
|
(53,742 |
) |
| 1.000(a) |
|
|
6M EURO |
|
|
|
09/19/28 |
|
|
EUR |
1,100 |
(c) |
|
|
(10,668 |
) |
|
|
3,982 |
|
|
|
(14,650 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
523,988 |
|
|
$ |
(247,563 |
) |
|
$ |
771,551 |
|
| |
|
| (a) |
|
Payments made monthly. |
| (b) |
|
Payments made quarterly. |
| (c) |
|
Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2018.
|
| (d) |
|
Payments made semi-annually. |
| (e) |
|
Payments made annually. |
GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT
INFORMATION (continued)
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference
Obligation/Index |
|
Financing Rate
Paid by
the Fund(a) |
|
|
Credit
Spread at
June 30,
2018(b) |
|
Counterparty |
|
Termination
Date |
|
Notional
Amount
(000s) |
|
|
Value |
|
|
Upfront
Premiums
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Protection Purchased: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| People’s Republic of China, 7.500%, 10/28/27 |
|
|
(1.000 |
)% |
|
0.414% |
|
Bank of America
Securities LLC |
|
06/20/21 |
|
$ |
70 |
|
|
$ |
(1,199 |
) |
|
$ |
488 |
|
|
$ |
(1,687 |
) |
| People’s Republic of China, 4.250%, 10/28/18 |
|
|
(1.000 |
) |
|
0.150 |
|
Barclays Bank PLC |
|
03/20/19 |
|
|
3,170 |
|
|
|
(20,472 |
) |
|
|
(1,743 |
) |
|
|
(18,729 |
) |
| People’s Republic of China, 4.250%, 10/28/18 |
|
|
(1.000 |
) |
|
0.150 |
|
BoA Securities
LLC |
|
06/20/19 |
|
|
1,160 |
|
|
|
(9,940 |
) |
|
|
(1,416 |
) |
|
|
(8,524 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
|
(1.000 |
) |
|
0.357 |
|
BoA Securities
LLC |
|
12/20/20 |
|
|
2,320 |
|
|
|
(36,691 |
) |
|
|
12,912 |
|
|
|
(49,603 |
) |
| People’s Republic of China, 4.250%, 10/28/18 |
|
|
(1.000 |
) |
|
0.150 |
|
Citibank NA |
|
03/20/19 |
|
|
22,180 |
|
|
|
(143,247 |
) |
|
|
(18,224 |
) |
|
|
(125,023 |
) |
| People’s Republic of China, 4.250%, 10/28/18 |
|
|
(1.000 |
) |
|
0.150 |
|
Citibank NA |
|
06/20/19 |
|
|
44,310 |
|
|
|
(379,701 |
) |
|
|
(51,513 |
) |
|
|
(328,188 |
) |
| People’s Republic of China, 7.500%, 10/28/2 |
|
|
(1.000 |
) |
|
0.357 |
|
Citibank NA |
|
12/20/20 |
|
|
3,400 |
|
|
|
(53,770 |
) |
|
|
22,041 |
|
|
|
(75,811 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
|
(1.000 |
) |
|
0.414 |
|
Citibank NA |
|
06/20/21 |
|
|
3,810 |
|
|
|
(65,256 |
) |
|
|
23,771 |
|
|
|
(89,027 |
) |
| People’s Republic of China, 4.250%, 10/28/18 |
|
|
(1.000 |
) |
|
0.150 |
|
JPMorgan
Securities, Inc. |
|
06/20/19 |
|
|
1,630 |
|
|
|
(13,967 |
) |
|
|
(2,137 |
) |
|
|
(11,830 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
|
(1.000 |
) |
|
0.414 |
|
JPMorgan
Securities, Inc. |
|
06/20/21 |
|
|
250 |
|
|
|
(4,282 |
) |
|
|
1,518 |
|
|
|
(5,800 |
) |
| People’s Republic of China, 7.500%, 10/28/27 |
|
|
(1.000 |
) |
|
0.414 |
|
UBS AG (London) |
|
06/20/21 |
|
|
280 |
|
|
|
(4,795 |
) |
|
|
734 |
|
|
|
(5,529 |
) |
| |
|
| TOTAL |
|
|
$ |
(733,320 |
) |
|
$ |
(13,569 |
) |
|
$ |
(719,751 |
) |
| |
|
| (a) |
|
Payments made quarterly. |
| (b) |
|
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 or its counterparty 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. |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS ON COMMODITY INDICES#
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference
Obligation/Index |
|
Financing Rate
Paid by
the Fund |
|
Counterparty |
|
Termination
Date |
|
Notional
Amount
(000s) |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Titulos do Tesoreria, |
|
1.000% |
|
Deutsche Bank AG |
|
07/13/18 |
|
$ |
8,765,700 |
|
|
$ |
17,975 |
|
| |
|
| # |
|
The Fund pays/receives annual coupon payments in accordance with the swap contract(s). On the termination date of the swap contract(s), the Fund will either receive
from or pay to the counterparty an amount equal to the net of the accrued financing fees and the value of the reference security subtracted from the original notional cost (notional multiplied by the price change of the reference security, converted
to U.S. Dollars). |
|
|
|
| |
| Abbreviations: |
| 1M BID Avg |
|
— 1 month Brazilian Interbank Deposit Average |
| BoA Securities LLC |
|
— Bank of America Securities LLC |
| Colombia IBR Overnight IB |
|
— Colombia IBR Overnight Interbank |
| CS International (London) |
|
— Credit Suisse International (London) |
| MS & Co. Int. PLC |
|
— Morgan Stanley & Co. International PLC |
| Mexico IB TIIE 28D |
|
— Mexico Interbank TIIE 28 Days |
| |
GOLDMAN SACHS TOTAL EMERGING MARKETS INCOME FUND
Schedule of Investments
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Corporate Obligations – 5.6% |
| Colombia(a)(b) –
0.4% |
| Colombia Telecomunicaciones SA ESP (BB-/NR)(5 year USD
Swap + 6.958%) |
| $ |
|
|
71,000 |
|
|
|
8.500 |
% |
|
12/29/49 |
|
$ 74,124 |
| |
| Dominican Republic(a)(c) –
1.1% |
| Aeropuertos Dominicanos Siglo XXI SA (BB-/Ba3) |
|
|
|
200,000 |
|
|
|
6.750 |
|
|
03/30/29 |
|
208,000 |
| |
| Mongolia(a) –
0.4% |
| Energy Resources LLC
(NR/NR)(b) |
|
|
|
54,111 |
|
|
|
8.000 |
|
|
09/30/22 |
|
52,623 |
| Mongolian Mining Corp.
(NR/NR)(d) |
|
|
|
45,135 |
|
|
|
0.000 |
|
|
12/31/99 |
|
26,629 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
79,252 |
| |
| Peru – 3.7% |
| ABY Transmision Sur SA
(BBB/NR)(c) |
|
|
|
198,220 |
|
|
|
6.875 |
|
|
04/30/43 |
|
212,839 |
| Corp. Lindley SA (BBB/NR) |
|
|
|
290,000 |
|
|
|
6.750 |
|
|
11/23/21 |
|
309,600 |
|
|
|
150,000 |
|
|
|
4.625 |
|
|
04/12/23 |
|
151,145 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
673,584 |
| |
TOTAL CORPORATE OBLIGATIONS
(Cost $1,005,568) |
|
$ 1,034,960 |
| |
|
|
|
|
|
|
|
|
|
|
| Shares |
|
|
Description |
|
Value |
| |
Common Stocks – 30.1% |
| |
Argentina – 0.3% |
| |
185 |
|
|
MercadoLibre, Inc. |
|
$ 55,302 |
| |
|
| |
Australia – 0.2% |
| |
2,009 |
|
|
SEEK Ltd. |
|
32,375 |
| |
|
| |
Brazil – 1.2% |
| |
18,000 |
|
|
B3 SA - Brasil Bolsa Balcao |
|
94,975 |
| |
10,500 |
|
|
BB Seguridade Participacoes SA |
|
66,266 |
| |
1,335 |
|
|
Pagseguro Digital Ltd. Class A(e) |
|
37,046 |
| |
5,900 |
|
|
Petrobras Distribuidora SA |
|
27,843 |
|
|
|
|
|
|
|
|
|
|
|
|
|
226,130 |
| |
|
| |
China – 9.2% |
| |
504 |
|
|
58.Com, Inc. ADR(e) |
|
34,947 |
| |
2,118 |
|
|
Alibaba Group Holding Ltd. ADR(e) |
|
392,952 |
| |
20,000 |
|
|
Anhui Conch Cement Co. Ltd. Class H |
|
114,058 |
| |
13,000 |
|
|
ANTA Sports Products Ltd. |
|
68,553 |
| |
4,400 |
|
|
China Literature Ltd.(c)(e) |
|
41,179 |
| |
1,520 |
|
|
Ctrip.com International Ltd. ADR(e) |
|
72,398 |
| |
31,000 |
|
|
Geely Automobile Holdings Ltd. |
|
79,760 |
| |
8,000 |
|
|
Minth Group Ltd. |
|
33,838 |
| |
805 |
|
|
New Oriental Education & Technology Group, Inc. ADR |
|
76,201 |
| |
|
|
|
|
|
|
|
|
|
|
|
| Shares |
|
|
Description |
|
Value |
| |
Common Stocks – (continued) |
| |
China – (continued) |
| |
22,500 |
|
|
Ping An Insurance Group Co. of China Ltd. Class H |
|
$ 206,048 |
| |
11,300 |
|
|
Tencent Holdings Ltd. |
|
567,434 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1,687,368 |
| |
|
| |
Colombia – 0.2% |
| |
764 |
|
|
Banco de Bogota SA |
|
17,751 |
| |
2,322 |
|
|
Grupo Aval Acciones y Valores SA ADR |
|
19,249 |
|
|
|
|
|
|
|
|
|
|
|
|
|
37,000 |
| |
|
| |
Czech Republic(c) –
0.3% |
| |
15,853 |
|
|
Moneta Money Bank AS |
|
54,392 |
| |
|
| |
Germany – 0.3% |
| |
2,292 |
|
|
Infineon Technologies AG |
|
58,220 |
| |
|
| |
Greece – 0.3% |
| |
3,120 |
|
|
JUMBO SA |
|
51,326 |
| |
|
| |
Hong Kong – 3.0% |
| |
21,000 |
|
|
AIA Group Ltd. |
|
182,940 |
| |
39,000 |
|
|
China Merchants Bank Co. Ltd. Class H |
|
143,458 |
| |
13,000 |
|
|
Galaxy Entertainment Group Ltd. |
|
100,210 |
| |
4,300 |
|
|
Hong Kong Exchanges & Clearing Ltd. |
|
128,688 |
|
|
|
|
|
|
|
|
|
|
|
|
|
555,296 |
| |
|
| |
Indonesia – 0.5% |
| |
58,200 |
|
|
Bank Central Asia Tbk PT |
|
86,918 |
| |
25,100 |
|
|
Semen Indonesia Persero Tbk PT |
|
12,476 |
|
|
|
|
|
|
|
|
|
|
|
|
|
99,394 |
| |
|
| |
Malaysia – 0.6% |
| |
3,700 |
|
|
British American Tobacco Malaysia Bhd |
|
31,857 |
| |
43,350 |
|
|
Bursa Malaysia Bhd |
|
78,884 |
|
|
|
|
|
|
|
|
|
|
|
|
|
110,741 |
| |
|
| |
Mexico – 0.8% |
| |
43,700 |
|
|
Alsea SAB de CV |
|
150,506 |
| |
|
| |
Panama – 0.2% |
| |
892 |
|
|
Intercorp Financial Services, Inc. |
|
35,635 |
| |
|
| |
Peru – 0.6% |
| |
29,489 |
|
|
BBVA Banco Continental SA |
|
37,445 |
| |
354 |
|
|
Credicorp Ltd. |
|
79,692 |
|
|
|
|
|
|
|
|
|
|
|
|
|
117,137 |
| |
|
| |
Philippines – 0.3% |
| |
9,530 |
|
|
Jollibee Foods Corp. |
|
46,987 |
| |
|
| |
Poland(c)(e) –
0.6% |
| |
3,862 |
|
|
Dino Polska SA |
|
106,637 |
| |
|
GOLDMAN SACHS TOTAL EMERGING MARKETS INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
| Shares |
|
|
Description |
|
Value |
| |
Common Stocks – (continued) |
| |
Russia – 1.5% |
| |
3,626 |
|
|
Commercial International Bank Egypt SAE GDR |
|
$ 17,949 |
| |
1,910 |
|
|
Lukoil PJSC ADR |
|
131,656 |
| |
16,370 |
|
|
Moscow Exchange MICEX-RTS PJSC |
|
28,366 |
| |
27,010 |
|
|
Sberbank of Russia PJSC |
|
93,821 |
|
|
|
|
|
|
|
|
|
|
|
|
|
271,792 |
| |
|
| |
South Africa – 2.1% |
| |
11,458 |
|
|
Barclays Africa Group Ltd. |
|
133,047 |
| |
2,195 |
|
|
Bid Corp. Ltd. |
|
43,953 |
| |
17,269 |
|
|
Dis-Chem Pharmacies Ltd.(c) |
|
32,920 |
| |
16,136 |
|
|
FirstRand Ltd. |
|
74,958 |
| |
4,423 |
|
|
Santam Ltd. |
|
92,029 |
|
|
|
|
|
|
|
|
|
|
|
|
|
376,907 |
| |
|
| |
South Korea – 6.2% |
| |
2,466 |
|
|
Hankook Tire Co. Ltd. |
|
93,177 |
| |
262 |
|
|
Hanssem Co. Ltd. |
|
24,657 |
| |
3,016 |
|
|
ING Life Insurance Korea Ltd.(c)(e) |
|
113,227 |
| |
278 |
|
|
LG Chem Ltd. |
|
83,208 |
| |
611 |
|
|
LG Electronics, Inc. |
|
45,492 |
| |
61 |
|
|
NAVER Corp. |
|
41,743 |
| |
207 |
|
|
NCSoft Corp. |
|
68,886 |
| |
865 |
|
|
Samsung Electro-Mechanics Co. Ltd. |
|
115,165 |
| |
9,604 |
|
|
Samsung Electronics Co. Ltd. |
|
402,307 |
| |
145 |
|
|
Samsung Fire & Marine Insurance Co. Ltd. |
|
34,356 |
| |
1,579 |
|
|
SK Hynix, Inc. |
|
121,203 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1,143,421 |
| |
|
| |
Spain(c) – 0.2% |
| |
14,470 |
|
|
Prosegur Cash SA |
|
39,035 |
| |
|
| |
Thailand – 0.5% |
| |
28,800 |
|
|
Airports of Thailand PCL |
|
54,750 |
| |
56,100 |
|
|
Beauty Community PCL |
|
20,629 |
| |
3,500 |
|
|
Kasikornbank PCL |
|
21,094 |
|
|
|
|
|
|
|
|
|
|
|
|
|
96,473 |
| |
|
| |
Turkey – 0.4% |
| |
13,367 |
|
|
Eregli Demir ve Celik Fabrikalari TAS |
|
29,645 |
| |
6,478 |
|
|
MLP Saglik Hizmetleri AS(c)(e) |
|
20,278 |
| |
12,949 |
|
|
Sok Marketler Ticaret AS(e) |
|
24,439 |
|
|
|
|
|
|
|
|
|
|
|
|
|
74,362 |
| |
|
| |
United Kingdom – 0.4% |
| |
1,502 |
|
|
NMC Health PLC |
|
70,696 |
| |
|
| |
United States – 0.2% |
| |
21,000 |
|
|
Nexteer Automotive Group Ltd. |
|
30,889 |
| |
|
|
TOTAL COMMON STOCKS
(Cost $6,449,302) |
|
$ 5,528,021 |
| |
|
|
|
|
|
|
|
|
|
|
| Shares |
|
|
Rate |
|
Value |
| |
Preferred Stock – 0.7% |
| |
Brazil – 0.7% |
| |
Banco Bradesco SA |
| |
17,370 |
|
|
0.000% |
|
$ 120,558 |
| |
(Cost $205,634) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Maturity
Date |
|
Value |
| Warrant(e) – 0.4% |
| Contemporary Amperex Technology Co. Ltd. (NR/NR) |
| $ |
|
|
6,400 |
|
|
07/31/19 |
|
$ 69,421 |
| (Cost $67,776) |
| |
|
|
|
|
|
|
|
|
|
|
|
| Shares |
|
Description |
|
Value |
| Exchange Traded Funds – 11.7% |
|
|
|
491 |
|
|
iShares MSCI Emerging Markets ETF (NR/NR) |
|
21,275 |
|
|
|
31,187 |
|
|
iShares MSCI India ETF (NR/NR) |
|
1,038,215 |
|
|
|
18,644 |
|
|
iShares MSCI Taiwan Capped ETF (NR/NR) |
|
671,184 |
|
|
|
15,552 |
|
|
Xtrackers Harvest CSI 300 China A-Shares ETF (NR/NR) |
|
412,595 |
| |
TOTAL EXCHANGE TRADED FUNDS
(Cost $2,446,380) |
|
$ 2,143,269 |
| |
|
|
|
| Shares |
|
|
Distribution
Rate |
|
Value |
| Investment
Companies(f) – 48.4% |
| Goldman Sachs Emerging Markets Debt Fund - Class R6 |
|
|
|
316,246 |
|
|
0.000% |
|
$ 3,734,864 |
| Goldman Sachs Financial Square Government Fund - Institutional Shares |
|
|
|
1,086,991 |
|
|
1.869 |
|
1,086,991 |
| Goldman Sachs Local Emerging Markets Debt Fund - Class R6 |
|
|
|
699,068 |
|
|
0.000 |
|
4,054,596 |
| |
TOTAL INVESTMENT COMPANIES
(Cost $9,701,104) |
|
$ 8,876,451 |
| |
TOTAL INVESTMENTS – 96.9%
(Cost $19,875,764) |
|
$17,772,680 |
| |
OTHER ASSETS IN EXCESS OF
LIABILITIES – 3.1% |
|
568,368 |
| |
| NET ASSETS – 100.0% |
|
$18,341,048 |
| |
|
|
|
|
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
|
|
| (a) |
|
Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
GOLDMAN SACHS TOTAL EMERGING MARKETS INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
| (b) |
|
Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed
is that which is in effect on June 30, 2018. |
|
|
| (c) |
|
Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed 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 $828,507, which represents approximately 4.5% of the Fund’s net assets as of
June 30, 2018. The liquidity determination is unaudited. |
|
|
| (d) |
|
Pay-in-kind securities. |
|
|
| (e) |
|
Security is currently in default and/or non-income producing. |
|
|
| (f) |
|
Represents an Affiliated Issuer. |
|
| Security ratings disclosed, if any, are obtained from by Standard & Poor’s /Moody’s Investor Service and are unaudited. A brief description of the ratings
is available in the Fund’s Statement of Additional Information. |
|
|
|
| |
| Investment Abbreviations: |
| ADR |
|
— American Depositary Receipt |
| ETF |
|
— Exchange Traded Fund |
| GDR |
|
— Global Depository Receipt |
| LLC |
|
— Limited Liability Company |
| NR |
|
— Not Rated |
| PLC |
|
— Public Limited Company |
| |
|
| For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com. |
GOLDMAN SACHS TOTAL EMERGING MARKETS INCOME FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At June 30, 2018, the Fund had the
following futures contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Number of
Contracts |
|
|
Expiration
Date |
|
|
Notional
Amount |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Long position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| FTSE China A50 Index |
|
|
8 |
|
|
|
07/30/18 |
|
|
$ |
92,240 |
|
|
$ |
(3,905) |
|
| Kospi 200 Index |
|
|
2 |
|
|
|
09/13/18 |
|
|
|
134,589 |
|
|
|
(8,105) |
|
| MSCI Emerging Markets Index |
|
|
15 |
|
|
|
09/21/18 |
|
|
|
797,475 |
|
|
|
(50,791) |
|
| SET50 Index |
|
|
20 |
|
|
|
09/27/18 |
|
|
|
126,266 |
|
|
|
(3,132) |
|
| 5 Year U.S. Treasury Notes |
|
|
1 |
|
|
|
09/28/18 |
|
|
|
113,617 |
|
|
|
(80) |
|
| 10 Year U.S. Treasury Notes |
|
|
1 |
|
|
|
09/19/18 |
|
|
|
120,188 |
|
|
|
628 |
|
| 20 Year U.S. Treasury Bonds |
|
|
2 |
|
|
|
09/19/18 |
|
|
|
290,000 |
|
|
|
4,313 |
|
| |
|
| Total |
|
|
$ |
(61,072 |
) |
| |
|
| Short position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ultra Long U.S. Treasury Bonds |
|
|
(1) |
|
|
|
09/19/18 |
|
|
|
(159,562 |
) |
|
|
(3,064) |
|
| Ultra 10 Year U.S. Treasury Notes |
|
|
(2) |
|
|
|
09/19/18 |
|
|
|
(256,469 |
) |
|
|
(2,617) |
|
| |
|
| Total |
|
|
$ |
(5,681 |
) |
| |
|
| TOTAL |
|
|
$ |
(66,753 |
) |
| |
|
GOLDMAN SACHS U.S. MORTGAGES FUND
Schedule of Investments
June 30, 2018 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations – 103.9% |
| Collateralized Mortgage Obligations – 6.6% |
| Interest Only(a) –
1.5% |
| FHLMC REMIC Series 3852, Class
SW(b)(-1x1M LIBOR + 6.000%) |
| $ |
|
|
555,750 |
|
|
|
4.081 |
% |
|
05/15/41 |
|
$ 75,551 |
| FHLMC REMIC Series 4273, Class
PS(b)(-1x1M LIBOR + 6.100%) |
|
|
|
284,134 |
|
|
|
4.027 |
|
|
11/15/43 |
|
39,313 |
| FHLMC REMIC Series 4286, Class
SN(b)(-1x1M LIBOR + 6.000%) |
|
|
|
4,047,944 |
|
|
|
3.927 |
|
|
12/15/43 |
|
597,515 |
| FHLMC REMIC Series 4314, Class
SE(b)(-1x1M LIBOR + 6.050%) |
|
|
|
383,483 |
|
|
|
4.131 |
|
|
03/15/44 |
|
60,474 |
| FHLMC REMIC Series 4320, Class
SD(b)(-1x1M LIBOR + 6.100%) |
|
|
|
208,929 |
|
|
|
4.181 |
|
|
07/15/39 |
|
26,766 |
| FHLMC REMIC Series 4456, Class IO |
|
|
|
260,030 |
|
|
|
4.500 |
|
|
10/15/44 |
|
57,489 |
| FHLMC REMIC Series 4583, Class
ST(b)(-1x1M LIBOR + 6.000%) |
|
|
|
1,688,621 |
|
|
|
3.927 |
|
|
05/15/46 |
|
277,686 |
| FHLMC STRIPS Series 304, Class C45 |
|
|
|
325,034 |
|
|
|
3.000 |
|
|
12/15/27 |
|
28,043 |
| FNMA REMIC Series 2007-36, Class
SN(b)(-1x1M LIBOR + 6.770%) |
|
|
|
493,794 |
|
|
|
4.810 |
|
|
04/25/37 |
|
76,723 |
| FNMA REMIC Series 2008-17, Class
SI(b)(-1x1M LIBOR + 6.300%) |
|
|
|
638,943 |
|
|
|
4.209 |
|
|
03/25/38 |
|
86,440 |
| FNMA REMIC Series 2011-124, Class
SC(b)(-1x1M LIBOR + 6.550%) |
|
|
|
396,069 |
|
|
|
4.590 |
|
|
12/25/41 |
|
63,148 |
| FNMA REMIC Series 2012-88, Class
SB(b)(-1x1M LIBOR + 6.670%) |
|
|
|
467,548 |
|
|
|
4.710 |
|
|
07/25/42 |
|
80,183 |
| FNMA REMIC Series 2013-121, Class
SA(b)(-1x1M LIBOR + 6.100%) |
|
|
|
425,761 |
|
|
|
4.140 |
|
|
12/25/43 |
|
55,176 |
| FNMA REMIC Series 2014-87, Class
MS(b)(-1x1M LIBOR + 6.250%) |
|
|
|
125,603 |
|
|
|
4.290 |
|
|
01/25/45 |
|
16,938 |
| FNMA REMIC Series 2015-20, Class
ES(b)(-1x1M LIBOR + 6.150%) |
|
|
|
654,738 |
|
|
|
4.190 |
|
|
04/25/45 |
|
100,564 |
| FNMA REMIC Series 2015-28, Class
PS(b)(-1x1M LIBOR + 5.600%) |
|
|
|
1,511,506 |
|
|
|
3.640 |
|
|
08/25/44 |
|
199,702 |
| FNMA REMIC Series 2015-79, Class
SA(b)(-1x1M LIBOR + 6.250%) |
|
|
|
471,692 |
|
|
|
4.290 |
|
|
11/25/45 |
|
63,649 |
| GNMA REMIC Series 2010-1, Class
SD(b)(-1x1M LIBOR + 5.790%) |
|
|
|
18,318 |
|
|
|
3.842 |
|
|
01/20/40 |
|
2,409 |
| GNMA REMIC Series 2010-101, Class
S(b)(-1x1M LIBOR + 6.000%) |
|
|
|
1,163,466 |
|
|
|
4.052 |
|
|
08/20/40 |
|
166,456 |
| GNMA REMIC Series 2010-20, Class
SE(b)(-1x1M LIBOR + 6.250%) |
|
|
|
465,515 |
|
|
|
4.302 |
|
|
02/20/40 |
|
69,235 |
| GNMA REMIC Series 2010-31, Class
SA(b)(-1x1M LIBOR + 5.750%) |
|
|
|
286,439 |
|
|
|
3.802 |
|
|
03/20/40 |
|
36,647 |
| GNMA REMIC Series 2010-85, Class
SN(b)(-1x1M LIBOR + 5.940%) |
|
|
|
45,304 |
|
|
|
3.992 |
|
|
07/20/40 |
|
6,803 |
| GNMA REMIC Series 2010-98, Class
QS(b)(-1x1M LIBOR + 6.600%) |
|
|
|
133,840 |
|
|
|
4.652 |
|
|
01/20/40 |
|
15,243 |
| GNMA REMIC Series 2011-17, Class
SA(b)(-1x1M LIBOR + 6.100%) |
|
|
|
173,003 |
|
|
|
4.152 |
|
|
09/20/40 |
|
21,179 |
| GNMA REMIC Series 2011-61, Class
CS(b)(-1x1M LIBOR + 6.680%) |
|
|
|
29,468 |
|
|
|
4.732 |
|
|
12/20/35 |
|
543 |
| GNMA REMIC Series 2013-113, Class
SD(b)(-1x1M LIBOR + 6.700%) |
|
|
|
209,242 |
|
|
|
4.615 |
|
|
08/16/43 |
|
32,308 |
| GNMA REMIC Series 2013-124, Class
CS(b)(-1x1M LIBOR + 6.050%) |
|
|
|
1,673,407 |
|
|
|
4.102 |
|
|
08/20/43 |
|
256,970 |
| GNMA REMIC Series 2013-134, Class
DS(b)(-1x1M LIBOR + 6.100%) |
|
|
|
106,590 |
|
|
|
4.016 |
|
|
09/20/43 |
|
15,117 |
| GNMA REMIC Series 2013-152, Class
SJ(b)(-1x1M LIBOR + 6.150%) |
|
|
|
581,987 |
|
|
|
4.066 |
|
|
05/20/41 |
|
83,258 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| Collateralized Mortgage Obligations – (continued) |
| Interest Only(a) –
(continued) |
| GNMA REMIC Series 2014-11, Class KI |
| $ |
|
|
280,159 |
|
|
|
4.500 |
% |
|
12/20/42 |
|
$ 38,812 |
| GNMA REMIC Series 2014-117, Class
SJ(b)(-1x1M LIBOR + 5.600%) |
|
|
|
4,830,011 |
|
|
|
3.516 |
|
|
08/20/44 |
|
627,670 |
| GNMA REMIC Series 2014-132, Class
SL(b)(-1x1M LIBOR + 6.100%) |
|
|
|
793,409 |
|
|
|
4.016 |
|
|
10/20/43 |
|
104,146 |
| GNMA REMIC Series 2014-133, Class
BS(b)(-1x1M LIBOR + 5.600%) |
|
|
|
364,124 |
|
|
|
3.652 |
|
|
09/20/44 |
|
43,388 |
| GNMA REMIC Series 2014-158, Class
SA(b)(-1x1M LIBOR + 5.600%) |
|
|
|
2,265,366 |
|
|
|
3.666 |
|
|
10/16/44 |
|
291,007 |
| GNMA REMIC Series 2014-188, Class IB |
|
|
|
1,361,794 |
|
|
|
4.000 |
|
|
12/20/44 |
|
229,716 |
| GNMA REMIC Series 2014-41, Class
SA(b)(-1x1M LIBOR + 6.100%) |
|
|
|
121,498 |
|
|
|
4.016 |
|
|
03/20/44 |
|
17,865 |
| GNMA REMIC Series 2015-110, Class
MS(b)(-1x1M LIBOR + 5.710%) |
|
|
|
1,533,303 |
|
|
|
3.626 |
|
|
08/20/45 |
|
198,767 |
| GNMA REMIC Series 2015-111, Class IM |
|
|
|
845,456 |
|
|
|
4.000 |
|
|
08/20/45 |
|
145,034 |
| GNMA REMIC Series 2015-111, Class
SM(b)(-1x1M LIBOR + 6.200%) |
|
|
|
472,765 |
|
|
|
4.116 |
|
|
08/20/45 |
|
68,840 |
| GNMA REMIC Series 2015-112, Class
SB(b)(-1x1M LIBOR + 5.740%) |
|
|
|
454,312 |
|
|
|
3.656 |
|
|
08/20/45 |
|
57,847 |
| GNMA REMIC Series 2015-119, Class
SN(b)(-1x1M LIBOR + 6.250%) |
|
|
|
991,409 |
|
|
|
4.302 |
|
|
08/20/45 |
|
150,768 |
| GNMA REMIC Series 2015-126, Class
HS(b)(-1x1M LIBOR + 6.200%) |
|
|
|
918,557 |
|
|
|
4.116 |
|
|
09/20/45 |
|
133,942 |
| GNMA REMIC Series 2015-129, Class IC |
|
|
|
519,510 |
|
|
|
4.500 |
|
|
09/16/45 |
|
106,086 |
| GNMA REMIC Series 2015-168, Class
SD(b)(-1x1M LIBOR + 6.200%) |
|
|
|
245,644 |
|
|
|
4.116 |
|
|
11/20/45 |
|
36,555 |
| GNMA REMIC Series 2015-57, Class
AS(b)(-1x1M LIBOR + 5.600%) |
|
|
|
2,751,875 |
|
|
|
3.652 |
|
|
04/20/45 |
|
340,108 |
| GNMA REMIC Series 2015-64, Class
SG(b)(-1x1M LIBOR + 5.600%) |
|
|
|
1,290,733 |
|
|
|
3.516 |
|
|
05/20/45 |
|
184,503 |
| GNMA REMIC Series 2015-72, Class JI |
|
|
|
115,851 |
|
|
|
3.500 |
|
|
05/20/45 |
|
18,672 |
| GNMA REMIC Series 2015-83, Class PI |
|
|
|
192,955 |
|
|
|
3.500 |
|
|
06/20/45 |
|
31,816 |
| GNMA REMIC Series 2015-90, Class PI |
|
|
|
154,178 |
|
|
|
3.500 |
|
|
04/20/45 |
|
24,688 |
| GNMA REMIC Series 2016-1, Class
ST(b)(-1x1M LIBOR + 6.200%) |
|
|
|
481,613 |
|
|
|
4.116 |
|
|
01/20/46 |
|
70,789 |
| GNMA REMIC Series 2016-138, Class DI |
|
|
|
294,295 |
|
|
|
4.000 |
|
|
10/20/46 |
|
54,230 |
| GNMA REMIC Series 2016-27, Class IA |
|
|
|
1,072,508 |
|
|
|
4.000 |
|
|
06/20/45 |
|
169,540 |
| GNMA REMIC Series 2016-4, Class
SM(b)(-1x1M LIBOR + 5.650%) |
|
|
|
679,611 |
|
|
|
3.566 |
|
|
01/20/46 |
|
82,824 |
| GNMA REMIC Series 2016-6, Class
SB(b)(-1x1M LIBOR + 5.650%) |
|
|
|
567,664 |
|
|
|
3.702 |
|
|
01/20/46 |
|
69,892 |
| GNMA REMIC Series 2017-139, Class IB |
|
|
|
2,882,316 |
|
|
|
4.500 |
|
|
09/20/47 |
|
543,714 |
| GNMA REMIC Series 2017-139, Class IM |
|
|
|
1,953,172 |
|
|
|
4.500 |
|
|
09/20/47 |
|
358,885 |
| GNMA REMIC Series 2017-38, Class AI |
|
|
|
1,436,643 |
|
|
|
4.000 |
|
|
03/20/46 |
|
238,454 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,050,086 |
| |
| Regular Floater(b) –
2.9% |
| FHLMC REMIC Series 4103, Class BF(1M LIBOR + 0.350%) |
|
|
|
811,168 |
|
|
|
2.269 |
|
|
12/15/38 |
|
812,382 |
| |
GOLDMAN SACHS U.S. MORTGAGES FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| Regular Floater(b) –
(continued) |
| FNMA REMIC Series 2010-118, Class YF(1M LIBOR + 0.500%) |
| $ |
|
|
4,799,843 |
|
|
|
2.460 |
% |
|
10/25/40 |
|
$ 4,841,485 |
| FNMA REMIC Series 2011-63, Class FG(1M LIBOR + 0.450%) |
|
|
|
125,093 |
|
|
|
2.410 |
|
|
07/25/41 |
|
125,860 |
| FNMA REMIC Series 2017-96, Class FA(1M LIBOR + 0.400%) |
|
|
|
2,725,129 |
|
|
|
2.491 |
|
|
12/25/57 |
|
2,738,778 |
| GNMA REMIC Series 2017-182, Class FN(1M LIBOR + 0.300%) |
|
|
|
5,414,608 |
|
|
|
2.385 |
|
|
12/16/47 |
|
5,419,577 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,938,082 |
| |
| Sequential Fixed Rate – 1.8% |
| FHLMC REMIC Series 2042, Class N |
|
|
|
54,928 |
|
|
|
6.500 |
|
|
03/15/28 |
|
59,490 |
| FHLMC REMIC Series 3748, Class D |
|
|
|
496,611 |
|
|
|
4.000 |
|
|
11/15/39 |
|
508,500 |
| FNMA REMIC Series 2000-16, Class ZG |
|
|
|
154,965 |
|
|
|
8.500 |
|
|
06/25/30 |
|
181,483 |
| FNMA REMIC Series 2005-59, Class KZ |
|
|
|
900,922 |
|
|
|
5.500 |
|
|
07/25/35 |
|
976,422 |
| FNMA REMIC Series 2011-52, Class GB |
|
|
|
543,696 |
|
|
|
5.000 |
|
|
06/25/41 |
|
579,931 |
| FNMA REMIC Series 2011-99, Class DB |
|
|
|
594,932 |
|
|
|
5.000 |
|
|
10/25/41 |
|
634,031 |
| FNMA REMIC Series 2012-111, Class B |
|
|
|
90,862 |
|
|
|
7.000 |
|
|
10/25/42 |
|
102,463 |
| FNMA REMIC Series 2012-153, Class B |
|
|
|
343,789 |
|
|
|
7.000 |
|
|
07/25/42 |
|
389,189 |
| FNMA REMIC Series 2017-87, Class EA |
|
|
|
5,475,315 |
|
|
|
3.000 |
|
|
04/25/44 |
|
5,323,819 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,755,328 |
| |
| Sequential Floating Rate(b) –
0.4% |
| Adjustable Rate Mortgage Trust Series 2004-5, Class 2A1 |
|
|
|
94,146 |
|
|
|
3.923 |
|
|
04/25/35 |
|
95,182 |
| Bear Stearns ALT-A Trust Series 2005-5, Class 21A1 |
|
|
|
461,307 |
|
|
|
3.921 |
|
|
07/25/35 |
|
467,777 |
| Countrywide Alternative Loan Trust Series 2005-38, Class A1(12M MTA + 1.500%) |
|
|
|
97,708 |
|
|
|
2.965 |
|
|
09/25/35 |
|
97,934 |
| Harborview Mortgage Loan Trust Series 2005-16, Class 2A1A(1M USD LIBOR + 0.480%) |
|
|
|
145,286 |
|
|
|
2.428 |
|
|
01/19/36 |
|
121,817 |
| Impac CMB Trust Series 2004-08, Class 1A(1M USD LIBOR + 0.720%) |
|
|
|
37,545 |
|
|
|
2.680 |
|
|
10/25/34 |
|
36,593 |
| Master Adjustable Rate Mortgages Trust Series 2003-2, Class 3AX(6M USD LIBOR + 3.592%) |
|
|
|
7,764 |
|
|
|
0.123 |
|
|
08/25/33 |
|
40 |
| Master Adjustable Rate Mortgages Trust Series 2003-2, Class 4AX(6M USD LIBOR + 3.176%) |
|
|
|
1,399 |
|
|
|
0.320 |
|
|
07/25/33 |
|
23 |
| Morgan Stanley Mortgage Loan Trust Series 2004-8AR, Class 4A1 |
|
|
|
367,106 |
|
|
|
3.661 |
|
|
10/25/34 |
|
375,792 |
| New Residential Mortgage Loan Trust Series 2015-1A, Class A1(c) |
|
|
|
317,406 |
|
|
|
3.750 |
|
|
05/28/52 |
|
318,128 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| Sequential Floating Rate(b) –
(continued) |
| Station Place Securitization Trust Series 2015-2, Class A(c)(1M USD LIBOR + 0.550%) |
| $ |
|
|
600,000 |
|
|
|
2.468 |
% |
|
07/15/19 |
|
$ 600,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,113,286 |
| |
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
$ 31,856,782 |
| |
| Commercial Mortgage-Backed Securities(b)
– 0.7% |
| Sequential Floating Rate – 0.7% |
| Exantas Capital Corp. Ltd. Series 2018-RSO6, Class A(c)(1M LIBOR + 0.830%) |
| $ |
|
|
1,800,000 |
|
|
|
2.791 |
% |
|
06/15/35 |
|
$ 1,797,298 |
| WF-RBS Commercial Mortgage Trust Series 2011-C2, Class A4(c) |
|
|
|
1,268,796 |
|
|
|
4.869 |
|
|
02/15/44 |
|
1,318,481 |
| Citigroup Commercial Mortgage Trust Series 2008-C7, Class A1A |
|
|
|
150,659 |
|
|
|
6.047 |
|
|
12/10/49 |
|
150,498 |
| |
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
|
$ 3,266,277 |
| |
| Federal Agencies – 96.6% |
| Adjustable Rate FHLMC(b) –
0.0% |
| (1 year CMT + 2.107%) |
| $ |
|
|
11,843 |
|
|
|
3.338 |
% |
|
10/01/34 |
|
$ 12,461 |
| (1 year CMT + 2.225%) |
|
|
|
23,323 |
|
|
|
3.392 |
|
|
09/01/33 |
|
24,533 |
| (1 year CMT + 2.250%) |
|
|
|
44,006 |
|
|
|
3.416 |
|
|
04/01/33 |
|
45,876 |
| (1 year CMT + 2.250%) |
|
|
|
18,119 |
|
|
|
3.500 |
|
|
11/01/34 |
|
18,988 |
| (1 year CMT + 2.250%) |
|
|
|
16,600 |
|
|
|
3.936 |
|
|
02/01/35 |
|
17,374 |
| (1 year CMT + 2.250%) |
|
|
|
58,984 |
|
|
|
3.501 |
|
|
06/01/35 |
|
61,811 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
181,043 |
| |
| Adjustable Rate FNMA(b) –
0.2% |
| (1 year CMT + 2.196%) |
|
|
|
31,610 |
|
|
|
3.607 |
|
|
02/01/35 |
|
33,209 |
| (1 year CMT + 2.210%) |
|
|
|
5,364 |
|
|
|
3.795 |
|
|
07/01/33 |
|
5,628 |
| (1 year CMT + 2.250%) |
|
|
|
123,221 |
|
|
|
3.509 |
|
|
06/01/33 |
|
129,653 |
| (1 year CMT + 2.289%) |
|
|
|
1,535 |
|
|
|
3.815 |
|
|
04/01/34 |
|
1,609 |
| (1 year CMT + 2.530%) |
|
|
|
184,806 |
|
|
|
3.879 |
|
|
08/01/34 |
|
195,869 |
| (12M USD LIBOR + 1.623%) |
|
|
|
37,817 |
|
|
|
3.531 |
|
|
03/01/35 |
|
39,652 |
| (12M USD LIBOR + 1.643%) |
|
|
|
54,125 |
|
|
|
3.417 |
|
|
12/01/33 |
|
56,781 |
| (12M USD LIBOR + 1.670%) |
|
|
|
25,229 |
|
|
|
3.420 |
|
|
11/01/34 |
|
26,590 |
| (12M USD LIBOR + 1.810%) |
|
|
|
23,515 |
|
|
|
4.051 |
|
|
04/01/35 |
|
24,748 |
| (12M USD LIBOR + 1.971%) |
|
|
|
33,981 |
|
|
|
4.094 |
|
|
05/01/35 |
|
35,125 |
| (6M USD LIBOR + 1.414%) |
|
|
|
7,082 |
|
|
|
3.422 |
|
|
06/01/33 |
|
7,343 |
| (6M USD LIBOR + 1.824%) |
|
|
|
862 |
|
|
|
4.074 |
|
|
12/01/33 |
|
912 |
| (COF + 1.250%) |
|
|
|
1,819 |
|
|
|
2.027 |
|
|
07/01/22 |
|
1,823 |
| (COF + 1.250%) |
|
|
|
9,627 |
|
|
|
2.064 |
|
|
07/01/27 |
|
9,677 |
| (COF + 1.250%) |
|
|
|
10,484 |
|
|
|
2.064 |
|
|
11/01/27 |
|
10,538 |
| (COF + 1.250%) |
|
|
|
5,210 |
|
|
|
2.064 |
|
|
01/01/31 |
|
5,245 |
| (COF + 1.250%) |
|
|
|
6,902 |
|
|
|
2.064 |
|
|
06/01/32 |
|
6,951 |
| (COF + 1.250%) |
|
|
|
7,026 |
|
|
|
2.027 |
|
|
08/01/32 |
|
7,076 |
| (COF + 1.250%) |
|
|
|
18,304 |
|
|
|
2.027 |
|
|
05/01/33 |
|
18,424 |
| (COF + 1.250%) |
|
|
|
104,448 |
|
|
|
2.066 |
|
|
08/01/33 |
|
105,115 |
| (COF + 1.250%) |
|
|
|
3,678 |
|
|
|
2.064 |
|
|
11/01/35 |
|
3,703 |
| (COF + 1.250%) |
|
|
|
24,722 |
|
|
|
2.064 |
|
|
12/01/37 |
|
24,860 |
| (COF + 1.250%) |
|
|
|
15,596 |
|
|
|
2.064 |
|
|
01/01/38 |
|
15,680 |
| (COF + 1.250%) |
|
|
|
13,984 |
|
|
|
2.064 |
|
|
11/01/40 |
|
14,078 |
| (COF + 1.250%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
780,289 |
| |
GOLDMAN SACHS U.S. MORTGAGES FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| Adjustable Rate GNMA(b) –
0.2% |
| (1 year CMT + 1.500%) |
| $ |
|
|
12,921 |
|
|
|
2.625 |
% |
|
06/20/23 |
|
$ 13,056 |
|
|
|
7,040 |
|
|
|
2.750 |
|
|
07/20/23 |
|
7,106 |
|
|
|
6,503 |
|
|
|
2.750 |
|
|
08/20/23 |
|
6,566 |
|
|
|
16,742 |
|
|
|
2.750 |
|
|
09/20/23 |
|
16,907 |
|
|
|
5,735 |
|
|
|
3.375 |
|
|
03/20/24 |
|
5,792 |
|
|
|
48,687 |
|
|
|
2.625 |
|
|
04/20/24 |
|
49,493 |
|
|
|
5,703 |
|
|
|
2.625 |
|
|
05/20/24 |
|
5,845 |
|
|
|
47,995 |
|
|
|
2.625 |
|
|
06/20/24 |
|
48,604 |
|
|
|
30,169 |
|
|
|
2.750 |
|
|
07/20/24 |
|
30,515 |
|
|
|
40,666 |
|
|
|
2.750 |
|
|
08/20/24 |
|
41,138 |
|
|
|
12,411 |
|
|
|
2.750 |
|
|
09/20/24 |
|
12,560 |
|
|
|
16,439 |
|
|
|
3.125 |
|
|
11/20/24 |
|
16,629 |
|
|
|
17,497 |
|
|
|
3.125 |
|
|
12/20/24 |
|
17,703 |
|
|
|
11,416 |
|
|
|
3.375 |
|
|
01/20/25 |
|
11,547 |
|
|
|
6,214 |
|
|
|
3.375 |
|
|
02/20/25 |
|
6,287 |
|
|
|
22,902 |
|
|
|
2.625 |
|
|
05/20/25 |
|
23,237 |
|
|
|
19,064 |
|
|
|
2.750 |
|
|
07/20/25 |
|
19,318 |
|
|
|
7,905 |
|
|
|
3.375 |
|
|
02/20/26 |
|
8,009 |
|
|
|
452 |
|
|
|
2.750 |
|
|
07/20/26 |
|
459 |
|
|
|
22,062 |
|
|
|
3.375 |
|
|
01/20/27 |
|
22,381 |
|
|
|
8,648 |
|
|
|
3.375 |
|
|
02/20/27 |
|
8,778 |
|
|
|
34,856 |
|
|
|
2.625 |
|
|
04/20/27 |
|
35,479 |
|
|
|
29,858 |
|
|
|
3.625 |
|
|
04/20/27 |
|
30,377 |
|
|
|
6,161 |
|
|
|
2.625 |
|
|
05/20/27 |
|
6,269 |
|
|
|
8,772 |
|
|
|
2.625 |
|
|
06/20/27 |
|
8,931 |
|
|
|
3,307 |
|
|
|
3.125 |
|
|
11/20/27 |
|
3,361 |
|
|
|
10,095 |
|
|
|
3.125 |
|
|
12/20/27 |
|
10,261 |
|
|
|
23,121 |
|
|
|
3.375 |
|
|
01/20/28 |
|
23,499 |
|
|
|
8,145 |
|
|
|
3.375 |
|
|
02/20/28 |
|
8,274 |
|
|
|
8,597 |
|
|
|
3.375 |
|
|
03/20/28 |
|
8,734 |
|
|
|
36,391 |
|
|
|
2.750 |
|
|
07/20/29 |
|
37,082 |
|
|
|
23,830 |
|
|
|
2.750 |
|
|
08/20/29 |
|
24,302 |
|
|
|
4,548 |
|
|
|
2.750 |
|
|
09/20/29 |
|
4,635 |
|
|
|
19,378 |
|
|
|
3.125 |
|
|
10/20/29 |
|
19,741 |
|
|
|
25,721 |
|
|
|
3.125 |
|
|
11/20/29 |
|
26,218 |
|
|
|
5,433 |
|
|
|
3.125 |
|
|
12/20/29 |
|
5,537 |
|
|
|
7,852 |
|
|
|
3.375 |
|
|
01/20/30 |
|
7,993 |
|
|
|
3,392 |
|
|
|
3.375 |
|
|
02/20/30 |
|
3,454 |
|
|
|
20,705 |
|
|
|
3.375 |
|
|
03/20/30 |
|
21,080 |
|
|
|
23,378 |
|
|
|
2.625 |
|
|
04/20/30 |
|
23,871 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| Adjustable Rate GNMA(b) –
(continued) |
| $ |
|
|
61,585 |
|
|
|
2.625 |
% |
|
05/20/30 |
|
$ 62,895 |
|
|
|
6,294 |
|
|
|
2.625 |
|
|
06/20/30 |
|
6,433 |
|
|
|
59,230 |
|
|
|
2.750 |
|
|
07/20/30 |
|
60,422 |
|
|
|
9,099 |
|
|
|
2.750 |
|
|
09/20/30 |
|
9,291 |
|
|
|
19,423 |
|
|
|
3.125 |
|
|
10/20/30 |
|
19,825 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
839,894 |
| |
| FHLMC – 17.7% |
|
|
|
32 |
|
|
|
5.000 |
|
|
07/01/18 |
|
32 |
|
|
|
55 |
|
|
|
5.000 |
|
|
08/01/18 |
|
55 |
|
|
|
55 |
|
|
|
5.000 |
|
|
09/01/18 |
|
55 |
|
|
|
1,461 |
|
|
|
5.000 |
|
|
10/01/18 |
|
1,465 |
|
|
|
1,155 |
|
|
|
5.000 |
|
|
11/01/18 |
|
1,159 |
|
|
|
1,132 |
|
|
|
5.000 |
|
|
12/01/18 |
|
1,138 |
|
|
|
112 |
|
|
|
5.000 |
|
|
01/01/19 |
|
112 |
|
|
|
85 |
|
|
|
5.000 |
|
|
02/01/19 |
|
86 |
|
|
|
16,573 |
|
|
|
5.500 |
|
|
04/01/20 |
|
16,790 |
|
|
|
141,850 |
|
|
|
4.500 |
|
|
08/01/23 |
|
147,699 |
|
|
|
28,373 |
|
|
|
7.000 |
|
|
04/01/31 |
|
30,584 |
|
|
|
438,734 |
|
|
|
7.000 |
|
|
09/01/31 |
|
477,975 |
|
|
|
171,160 |
|
|
|
7.000 |
|
|
04/01/32 |
|
194,844 |
|
|
|
306,528 |
|
|
|
7.000 |
|
|
05/01/32 |
|
348,645 |
|
|
|
11,282 |
|
|
|
4.500 |
|
|
07/01/33 |
|
11,812 |
|
|
|
323,224 |
|
|
|
4.500 |
|
|
08/01/33 |
|
338,438 |
|
|
|
656,424 |
|
|
|
4.500 |
|
|
09/01/33 |
|
687,316 |
|
|
|
65,172 |
|
|
|
4.500 |
|
|
10/01/33 |
|
68,239 |
|
|
|
84,050 |
|
|
|
5.000 |
|
|
10/01/33 |
|
89,625 |
|
|
|
10,413 |
|
|
|
5.500 |
|
|
12/01/33 |
|
11,342 |
|
|
|
112,993 |
|
|
|
5.500 |
|
|
04/01/35 |
|
122,312 |
|
|
|
4,036 |
|
|
|
5.000 |
|
|
07/01/35 |
|
4,304 |
|
|
|
2,602 |
|
|
|
4.500 |
|
|
08/01/35 |
|
2,718 |
|
|
|
11,942 |
|
|
|
4.500 |
|
|
09/01/35 |
|
12,477 |
|
|
|
5,136 |
|
|
|
4.500 |
|
|
10/01/35 |
|
5,357 |
|
|
|
93,923 |
|
|
|
5.000 |
|
|
12/01/35 |
|
100,524 |
|
|
|
47,182 |
|
|
|
5.500 |
|
|
01/01/36 |
|
51,316 |
|
|
|
188 |
|
|
|
5.500 |
|
|
02/01/36 |
|
205 |
|
|
|
2,097 |
|
|
|
5.000 |
|
|
02/01/37 |
|
2,249 |
|
|
|
27,179 |
|
|
|
6.000 |
|
|
08/01/37 |
|
30,265 |
|
|
|
24,447 |
|
|
|
6.000 |
|
|
09/01/37 |
|
27,230 |
|
|
|
11,259 |
|
|
|
6.000 |
|
|
10/01/37 |
|
12,537 |
|
|
|
74,185 |
|
|
|
6.000 |
|
|
11/01/37 |
|
82,627 |
|
|
|
77,954 |
|
|
|
6.000 |
|
|
12/01/37 |
|
86,824 |
|
|
|
37,096 |
|
|
|
4.500 |
|
|
01/01/38 |
|
38,769 |
|
|
|
2,743 |
|
|
|
5.500 |
|
|
01/01/38 |
|
2,947 |
|
|
|
79,807 |
|
|
|
6.000 |
|
|
01/01/38 |
|
88,379 |
|
|
|
21,826 |
|
|
|
6.000 |
|
|
02/01/38 |
|
24,310 |
|
|
|
4,829 |
|
|
|
6.000 |
|
|
03/01/38 |
|
5,383 |
|
|
|
25,313 |
|
|
|
6.000 |
|
|
04/01/38 |
|
28,213 |
|
|
|
11,271 |
|
|
|
6.000 |
|
|
05/01/38 |
|
12,567 |
|
|
|
1,522 |
|
|
|
4.500 |
|
|
06/01/38 |
|
1,586 |
|
|
|
21,123 |
|
|
|
6.000 |
|
|
06/01/38 |
|
23,550 |
|
|
|
16,570 |
|
|
|
6.000 |
|
|
07/01/38 |
|
18,482 |
|
|
|
10,833 |
|
|
|
6.000 |
|
|
08/01/38 |
|
12,079 |
|
|
|
60,182 |
|
|
|
4.500 |
|
|
09/01/38 |
|
63,289 |
|
|
|
78,866 |
|
|
|
6.000 |
|
|
09/01/38 |
|
87,865 |
|
|
|
18,514 |
|
|
|
6.000 |
|
|
10/01/38 |
|
20,647 |
|
|
|
1,981 |
|
|
|
6.000 |
|
|
11/01/38 |
|
2,210 |
|
|
|
1,438 |
|
|
|
6.000 |
|
|
12/01/38 |
|
1,606 |
|
|
|
292 |
|
|
|
4.500 |
|
|
01/01/39 |
|
304 |
|
|
|
61,862 |
|
|
|
6.000 |
|
|
01/01/39 |
|
68,962 |
|
|
|
33,794 |
|
|
|
4.500 |
|
|
02/01/39 |
|
35,437 |
| |
GOLDMAN SACHS U.S. MORTGAGES FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| FHLMC – (continued) |
| $ |
|
|
7,782 |
|
|
|
6.000 |
% |
|
02/01/39 |
|
$ 8,677 |
|
|
|
327,106 |
|
|
|
7.000 |
|
|
02/01/39 |
|
373,870 |
|
|
|
13,057 |
|
|
|
4.500 |
|
|
03/01/39 |
|
13,713 |
|
|
|
4,912 |
|
|
|
6.000 |
|
|
03/01/39 |
|
5,475 |
|
|
|
2,903 |
|
|
|
4.500 |
|
|
04/01/39 |
|
3,049 |
|
|
|
2,713 |
|
|
|
6.000 |
|
|
04/01/39 |
|
3,026 |
|
|
|
103,874 |
|
|
|
4.500 |
|
|
05/01/39 |
|
109,094 |
|
|
|
241,331 |
|
|
|
5.000 |
|
|
05/01/39 |
|
257,797 |
|
|
|
285,808 |
|
|
|
4.500 |
|
|
06/01/39 |
|
300,170 |
|
|
|
3,528 |
|
|
|
4.500 |
|
|
07/01/39 |
|
3,705 |
|
|
|
514,509 |
|
|
|
5.000 |
|
|
07/01/39 |
|
550,162 |
|
|
|
6,951 |
|
|
|
4.500 |
|
|
08/01/39 |
|
7,300 |
|
|
|
15,034 |
|
|
|
4.500 |
|
|
09/01/39 |
|
15,789 |
|
|
|
3,772 |
|
|
|
4.500 |
|
|
10/01/39 |
|
3,962 |
|
|
|
2,504 |
|
|
|
4.500 |
|
|
11/01/39 |
|
2,629 |
|
|
|
9,473 |
|
|
|
4.500 |
|
|
12/01/39 |
|
9,949 |
|
|
|
10,040 |
|
|
|
4.500 |
|
|
01/01/40 |
|
10,545 |
|
|
|
7,054 |
|
|
|
4.500 |
|
|
04/01/40 |
|
7,412 |
|
|
|
30,948 |
|
|
|
6.000 |
|
|
04/01/40 |
|
34,494 |
|
|
|
11,272 |
|
|
|
4.500 |
|
|
05/01/40 |
|
11,843 |
|
|
|
61,828 |
|
|
|
6.000 |
|
|
05/01/40 |
|
68,839 |
|
|
|
22,939 |
|
|
|
4.000 |
|
|
06/01/40 |
|
23,508 |
|
|
|
15,170 |
|
|
|
4.500 |
|
|
06/01/40 |
|
15,939 |
|
|
|
12,001 |
|
|
|
4.500 |
|
|
07/01/40 |
|
12,610 |
|
|
|
2,341 |
|
|
|
4.500 |
|
|
08/01/40 |
|
2,459 |
|
|
|
20,890 |
|
|
|
5.000 |
|
|
08/01/40 |
|
22,233 |
|
|
|
25,859 |
|
|
|
5.000 |
|
|
10/01/40 |
|
27,635 |
|
|
|
229,968 |
|
|
|
4.000 |
|
|
02/01/41 |
|
236,416 |
|
|
|
64,017 |
|
|
|
4.500 |
|
|
02/01/41 |
|
67,223 |
|
|
|
10,923 |
|
|
|
4.500 |
|
|
03/01/41 |
|
11,466 |
|
|
|
26,849 |
|
|
|
4.500 |
|
|
04/01/41 |
|
28,183 |
|
|
|
25,544 |
|
|
|
4.500 |
|
|
05/01/41 |
|
26,812 |
|
|
|
50,749 |
|
|
|
4.500 |
|
|
06/01/41 |
|
53,270 |
|
|
|
3,080 |
|
|
|
5.000 |
|
|
06/01/41 |
|
3,290 |
|
|
|
130,292 |
|
|
|
4.500 |
|
|
08/01/41 |
|
136,764 |
|
|
|
131,922 |
|
|
|
4.500 |
|
|
09/01/41 |
|
138,612 |
|
|
|
85,421 |
|
|
|
4.000 |
|
|
10/01/41 |
|
87,891 |
|
|
|
15,669 |
|
|
|
4.000 |
|
|
11/01/41 |
|
16,120 |
|
|
|
8,019 |
|
|
|
4.500 |
|
|
12/01/41 |
|
8,417 |
|
|
|
866,382 |
|
|
|
4.000 |
|
|
03/01/42 |
|
890,393 |
|
|
|
98,484 |
|
|
|
4.500 |
|
|
03/01/42 |
|
103,375 |
|
|
|
53,911 |
|
|
|
3.000 |
|
|
05/01/42 |
|
52,663 |
|
|
|
481,557 |
|
|
|
3.500 |
|
|
06/01/42 |
|
482,863 |
|
|
|
1,098,872 |
|
|
|
4.500 |
|
|
06/01/42 |
|
1,154,931 |
|
|
|
139,559 |
|
|
|
3.000 |
|
|
08/01/42 |
|
136,313 |
|
|
|
170,833 |
|
|
|
3.500 |
|
|
08/01/42 |
|
171,066 |
|
|
|
54,163 |
|
|
|
3.000 |
|
|
10/01/42 |
|
52,928 |
|
|
|
348,908 |
|
|
|
3.500 |
|
|
10/01/42 |
|
349,384 |
|
|
|
755,710 |
|
|
|
3.000 |
|
|
11/01/42 |
|
738,469 |
|
|
|
256,745 |
|
|
|
3.500 |
|
|
11/01/42 |
|
257,096 |
|
|
|
1,293,383 |
|
|
|
3.000 |
|
|
12/01/42 |
|
1,263,878 |
|
|
|
2,313,566 |
|
|
|
3.000 |
|
|
01/01/43 |
|
2,260,758 |
|
|
|
214,881 |
|
|
|
3.000 |
|
|
02/01/43 |
|
209,921 |
|
|
|
3,037,939 |
|
|
|
3.500 |
|
|
04/01/43 |
|
3,048,738 |
|
|
|
3,125,594 |
|
|
|
3.500 |
|
|
08/01/43 |
|
3,133,091 |
|
|
|
1,363,217 |
|
|
|
4.000 |
|
|
08/01/43 |
|
1,402,410 |
|
|
|
834,525 |
|
|
|
4.000 |
|
|
01/01/44 |
|
857,924 |
|
|
|
858,932 |
|
|
|
3.500 |
|
|
02/01/44 |
|
860,107 |
|
|
|
655,149 |
|
|
|
3.500 |
|
|
06/01/44 |
|
657,683 |
|
|
|
15,893 |
|
|
|
4.000 |
|
|
11/01/44 |
|
16,347 |
|
|
|
87,564 |
|
|
|
3.500 |
|
|
02/01/45 |
|
87,752 |
|
|
|
146,332 |
|
|
|
3.500 |
|
|
03/01/45 |
|
146,646 |
|
|
|
843,929 |
|
|
|
3.500 |
|
|
06/01/45 |
|
844,160 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
|
Value |
| Mortgage-Backed Obligations – (continued) |
| FHLMC – (continued) |
| $ |
|
|
26,030 |
|
|
|
3.500 |
% |
|
|
08/01/45 |
|
|
$ 25,980 |
|
|
|
35,834 |
|
|
|
3.500 |
|
|
|
09/01/45 |
|
|
35,765 |
|
|
|
671,850 |
|
|
|
3.500 |
|
|
|
10/01/45 |
|
|
672,034 |
|
|
|
71,834 |
|
|
|
3.500 |
|
|
|
11/01/45 |
|
|
71,696 |
|
|
|
5,424,527 |
|
|
|
3.500 |
|
|
|
03/01/46 |
|
|
5,422,743 |
|
|
|
811,014 |
|
|
|
3.500 |
|
|
|
05/01/46 |
|
|
809,699 |
|
|
|
1,078,117 |
|
|
|
3.500 |
|
|
|
06/01/46 |
|
|
1,075,103 |
|
|
|
389,376 |
|
|
|
3.500 |
|
|
|
07/01/46 |
|
|
388,287 |
|
|
|
566,785 |
|
|
|
3.500 |
|
|
|
08/01/46 |
|
|
566,586 |
|
|
|
66,334 |
|
|
|
3.500 |
|
|
|
10/01/46 |
|
|
66,148 |
|
|
|
76,431 |
|
|
|
3.500 |
|
|
|
12/01/46 |
|
|
76,218 |
|
|
|
577,062 |
|
|
|
3.500 |
|
|
|
12/01/47 |
|
|
576,318 |
|
|
|
14,999,397 |
|
|
|
3.000 |
|
|
|
01/01/48 |
|
|
14,526,565 |
|
|
|
11,998,801 |
|
|
|
3.000 |
|
|
|
02/01/48 |
|
|
11,620,557 |
|
|
|
11,998,806 |
|
|
|
3.000 |
|
|
|
04/01/48 |
|
|
11,621,885 |
|
|
|
11,998,800 |
|
|
|
3.000 |
|
|
|
07/01/48 |
|
|
11,621,938 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
84,581,707 |
| |
| FNMA – 51.0% |
|
|
|
22,000,000 |
|
|
|
3.000 |
|
|
|
TBA-30yr |
(d) |
|
21,309,064 |
|
|
|
85 |
|
|
|
5.000 |
|
|
|
09/01/18 |
|
|
85 |
|
|
|
70 |
|
|
|
5.500 |
|
|
|
02/01/19 |
|
|
70 |
|
|
|
706 |
|
|
|
5.500 |
|
|
|
04/01/19 |
|
|
708 |
|
|
|
55 |
|
|
|
5.500 |
|
|
|
05/01/19 |
|
|
55 |
|
|
|
1,272 |
|
|
|
5.500 |
|
|
|
07/01/19 |
|
|
1,280 |
|
|
|
5,114 |
|
|
|
5.500 |
|
|
|
08/01/19 |
|
|
5,175 |
|
|
|
2,608 |
|
|
|
5.500 |
|
|
|
09/01/19 |
|
|
2,642 |
|
|
|
4,711 |
|
|
|
5.500 |
|
|
|
10/01/19 |
|
|
4,774 |
|
|
|
2,175 |
|
|
|
5.500 |
|
|
|
11/01/19 |
|
|
2,208 |
|
|
|
1,658 |
|
|
|
5.500 |
|
|
|
12/01/19 |
|
|
1,676 |
|
|
|
5,688 |
|
|
|
5.500 |
|
|
|
02/01/20 |
|
|
5,758 |
|
|
|
5,624 |
|
|
|
4.500 |
|
|
|
03/01/20 |
|
|
5,665 |
|
|
|
3,795 |
|
|
|
5.500 |
|
|
|
01/01/21 |
|
|
3,877 |
|
|
|
7,399 |
|
|
|
7.000 |
|
|
|
09/01/21 |
|
|
7,614 |
|
|
|
32,186 |
|
|
|
7.000 |
|
|
|
06/01/22 |
|
|
33,488 |
|
|
|
11,870 |
|
|
|
7.000 |
|
|
|
07/01/22 |
|
|
12,257 |
|
|
|
1,113 |
|
|
|
4.500 |
|
|
|
04/01/23 |
|
|
1,150 |
|
|
|
367 |
|
|
|
7.000 |
|
|
|
01/01/29 |
|
|
367 |
|
|
|
1,573 |
|
|
|
7.000 |
|
|
|
09/01/29 |
|
|
1,603 |
|
|
|
3,938 |
|
|
|
7.000 |
|
|
|
08/01/31 |
|
|
4,232 |
|
|
|
491 |
|
|
|
7.000 |
|
|
|
03/01/32 |
|
|
552 |
|
|
|
1,239 |
|
|
|
7.000 |
|
|
|
04/01/32 |
|
|
1,319 |
|
|
|
2,264 |
|
|
|
7.000 |
|
|
|
06/01/32 |
|
|
2,289 |
|
|
|
312 |
|
|
|
7.000 |
|
|
|
07/01/32 |
|
|
314 |
|
|
|
39,318 |
|
|
|
6.000 |
|
|
|
01/01/33 |
|
|
43,839 |
|
|
|
1,749 |
|
|
|
6.000 |
|
|
|
02/01/33 |
|
|
1,929 |
|
|
|
547 |
|
|
|
5.500 |
|
|
|
07/01/33 |
|
|
592 |
|
|
|
14,339 |
|
|
|
5.000 |
|
|
|
08/01/33 |
|
|
15,294 |
|
|
|
4,664 |
|
|
|
5.500 |
|
|
|
09/01/33 |
|
|
5,065 |
|
|
|
13,571 |
|
|
|
5.500 |
|
|
|
02/01/34 |
|
|
14,769 |
|
|
|
4,187 |
|
|
|
5.500 |
|
|
|
03/01/34 |
|
|
4,559 |
|
|
|
7,137 |
|
|
|
5.000 |
|
|
|
04/01/34 |
|
|
7,635 |
|
|
|
7,042 |
|
|
|
5.500 |
|
|
|
04/01/34 |
|
|
7,658 |
|
|
|
27 |
|
|
|
5.500 |
|
|
|
06/01/34 |
|
|
29 |
|
|
|
25,385 |
|
|
|
5.500 |
|
|
|
07/01/34 |
|
|
27,650 |
|
|
|
4,626 |
|
|
|
5.500 |
|
|
|
08/01/34 |
|
|
5,036 |
|
|
|
14,777 |
|
|
|
5.500 |
|
|
|
10/01/34 |
|
|
16,103 |
|
|
|
2,680 |
|
|
|
5.500 |
|
|
|
11/01/34 |
|
|
2,924 |
|
|
|
109,184 |
|
|
|
5.500 |
|
|
|
12/01/34 |
|
|
119,072 |
|
|
|
117,190 |
|
|
|
6.000 |
|
|
|
04/01/35 |
|
|
129,527 |
|
|
|
9,181 |
|
|
|
5.500 |
|
|
|
05/01/35 |
|
|
9,928 |
|
|
|
3,597 |
|
|
|
5.500 |
|
|
|
06/01/35 |
|
|
3,914 |
| |
GOLDMAN SACHS U.S. MORTGAGES FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| FNMA – (continued) |
| $ |
|
|
4,553 |
|
|
|
5.000 |
% |
|
07/01/35 |
|
$ 4,864 |
|
|
|
8,767 |
|
|
|
5.500 |
|
|
07/01/35 |
|
9,513 |
|
|
|
3,934 |
|
|
|
5.500 |
|
|
08/01/35 |
|
4,277 |
|
|
|
6,464 |
|
|
|
5.500 |
|
|
09/01/35 |
|
7,034 |
|
|
|
189,831 |
|
|
|
5.000 |
|
|
10/01/35 |
|
202,805 |
|
|
|
2,087 |
|
|
|
5.500 |
|
|
10/01/35 |
|
2,251 |
|
|
|
69,897 |
|
|
|
6.000 |
|
|
10/01/35 |
|
77,828 |
|
|
|
1,882 |
|
|
|
5.500 |
|
|
12/01/35 |
|
2,052 |
|
|
|
1,728 |
|
|
|
6.000 |
|
|
12/01/35 |
|
1,917 |
|
|
|
309,968 |
|
|
|
5.000 |
|
|
01/01/36 |
|
331,153 |
|
|
|
84 |
|
|
|
5.500 |
|
|
02/01/36 |
|
91 |
|
|
|
10,069 |
|
|
|
5.500 |
|
|
04/01/36 |
|
10,874 |
|
|
|
2,079 |
|
|
|
6.000 |
|
|
04/01/36 |
|
2,304 |
|
|
|
280,406 |
|
|
|
4.500 |
|
|
07/01/36 |
|
294,580 |
|
|
|
18,836 |
|
|
|
5.500 |
|
|
07/01/36 |
|
20,286 |
|
|
|
30,193 |
|
|
|
4.500 |
|
|
12/01/36 |
|
31,700 |
|
|
|
2,516 |
|
|
|
5.500 |
|
|
02/01/37 |
|
2,742 |
|
|
|
10,911 |
|
|
|
5.500 |
|
|
04/01/37 |
|
11,897 |
|
|
|
54,638 |
|
|
|
6.000 |
|
|
04/01/37 |
|
60,383 |
|
|
|
113 |
|
|
|
5.500 |
|
|
06/01/37 |
|
123 |
|
|
|
1,890 |
|
|
|
5.500 |
|
|
07/01/37 |
|
2,061 |
|
|
|
305,611 |
|
|
|
5.500 |
|
|
08/01/37 |
|
329,635 |
|
|
|
76,942 |
|
|
|
6.500 |
|
|
10/01/37 |
|
87,107 |
|
|
|
39,903 |
|
|
|
6.000 |
|
|
11/01/37 |
|
44,234 |
|
|
|
174 |
|
|
|
5.500 |
|
|
12/01/37 |
|
190 |
|
|
|
333 |
|
|
|
5.500 |
|
|
02/01/38 |
|
366 |
|
|
|
3,561 |
|
|
|
5.500 |
|
|
03/01/38 |
|
3,883 |
|
|
|
33,517 |
|
|
|
5.000 |
|
|
04/01/38 |
|
35,908 |
|
|
|
15,959 |
|
|
|
5.500 |
|
|
04/01/38 |
|
17,402 |
|
|
|
3,961 |
|
|
|
5.500 |
|
|
05/01/38 |
|
4,319 |
|
|
|
1,020 |
|
|
|
5.500 |
|
|
06/01/38 |
|
1,112 |
|
|
|
709 |
|
|
|
5.500 |
|
|
07/01/38 |
|
773 |
|
|
|
1,774 |
|
|
|
5.500 |
|
|
08/01/38 |
|
1,935 |
|
|
|
1,591 |
|
|
|
5.500 |
|
|
09/01/38 |
|
1,735 |
|
|
|
37,596 |
|
|
|
6.000 |
|
|
09/01/38 |
|
41,652 |
|
|
|
12,475 |
|
|
|
5.500 |
|
|
12/01/38 |
|
13,536 |
|
|
|
505,810 |
|
|
|
5.000 |
|
|
01/01/39 |
|
541,218 |
|
|
|
81,951 |
|
|
|
6.000 |
|
|
01/01/39 |
|
90,832 |
|
|
|
204,809 |
|
|
|
6.500 |
|
|
01/01/39 |
|
231,412 |
|
|
|
290,519 |
|
|
|
4.500 |
|
|
02/01/39 |
|
305,293 |
|
|
|
5,028 |
|
|
|
5.500 |
|
|
02/01/39 |
|
5,483 |
|
|
|
6,129 |
|
|
|
4.500 |
|
|
03/01/39 |
|
6,449 |
|
|
|
209,266 |
|
|
|
7.000 |
|
|
03/01/39 |
|
237,032 |
|
|
|
8,177 |
|
|
|
4.500 |
|
|
05/01/39 |
|
8,603 |
|
|
|
6,198 |
|
|
|
5.500 |
|
|
06/01/39 |
|
6,759 |
|
|
|
6,368 |
|
|
|
4.500 |
|
|
07/01/39 |
|
6,700 |
|
|
|
5,583 |
|
|
|
4.000 |
|
|
08/01/39 |
|
5,723 |
|
|
|
13,365 |
|
|
|
4.500 |
|
|
09/01/39 |
|
14,044 |
|
|
|
19,151 |
|
|
|
4.500 |
|
|
10/01/39 |
|
20,125 |
|
|
|
5,546 |
|
|
|
5.500 |
|
|
11/01/39 |
|
6,047 |
|
|
|
46,792 |
|
|
|
4.500 |
|
|
02/01/40 |
|
49,215 |
|
|
|
7,628 |
|
|
|
4.500 |
|
|
03/01/40 |
|
8,016 |
|
|
|
14,566 |
|
|
|
3.500 |
|
|
04/01/40 |
|
14,633 |
|
|
|
108,007 |
|
|
|
4.500 |
|
|
04/01/40 |
|
113,546 |
|
|
|
37,897 |
|
|
|
4.500 |
|
|
06/01/40 |
|
39,860 |
|
|
|
354,447 |
|
|
|
5.000 |
|
|
06/01/40 |
|
378,426 |
|
|
|
25,923 |
|
|
|
5.000 |
|
|
07/01/40 |
|
27,677 |
|
|
|
7,710 |
|
|
|
4.500 |
|
|
09/01/40 |
|
8,107 |
|
|
|
18,173 |
|
|
|
3.500 |
|
|
12/01/40 |
|
18,257 |
|
|
|
7,245 |
|
|
|
4.500 |
|
|
12/01/40 |
|
7,617 |
|
|
|
122,658 |
|
|
|
4.500 |
|
|
01/01/41 |
|
128,935 |
|
|
|
32,480 |
|
|
|
4.500 |
|
|
04/01/41 |
|
34,142 |
|
|
|
56,583 |
|
|
|
4.500 |
|
|
06/01/41 |
|
59,426 |
|
|
|
43,792 |
|
|
|
4.500 |
|
|
07/01/41 |
|
46,005 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Mortgage-Backed Obligations – (continued) |
| FNMA – (continued) |
| $ |
|
|
199,856 |
|
|
|
4.500 |
% |
|
08/01/41 |
|
$ 210,002 |
|
|
|
202,421 |
|
|
|
4.500 |
|
|
09/01/41 |
|
212,788 |
|
|
|
178,532 |
|
|
|
3.500 |
|
|
10/01/41 |
|
179,495 |
|
|
|
173,729 |
|
|
|
4.500 |
|
|
10/01/41 |
|
182,510 |
|
|
|
95,292 |
|
|
|
3.500 |
|
|
11/01/41 |
|
95,716 |
|
|
|
140,048 |
|
|
|
4.500 |
|
|
11/01/41 |
|
147,040 |
|
|
|
174,506 |
|
|
|
3.500 |
|
|
12/01/41 |
|
175,281 |
|
|
|
80,414 |
|
|
|
4.500 |
|
|
12/01/41 |
|
84,454 |
|
|
|
165,966 |
|
|
|
3.500 |
|
|
01/01/42 |
|
166,706 |
|
|
|
84,778 |
|
|
|
4.500 |
|
|
01/01/42 |
|
89,030 |
|
|
|
348,638 |
|
|
|
3.500 |
|
|
02/01/42 |
|
349,916 |
|
|
|
403,580 |
|
|
|
3.500 |
|
|
03/01/42 |
|
405,028 |
|
|
|
784,678 |
|
|
|
4.000 |
|
|
03/01/42 |
|
806,604 |
|
|
|
20,274 |
|
|
|
4.500 |
|
|
03/01/42 |
|
21,279 |
|
|
|
83,017 |
|
|
|
3.500 |
|
|
04/01/42 |
|
83,369 |
|
|
|
142,358 |
|
|
|
4.000 |
|
|
04/01/42 |
|
146,336 |
|
|
|
28,132 |
|
|
|
4.500 |
|
|
04/01/42 |
|
29,532 |
|
|
|
25,800 |
|
|
|
3.500 |
|
|
05/01/42 |
|
25,903 |
|
|
|
535,272 |
|
|
|
3.500 |
|
|
06/01/42 |
|
537,260 |
|
|
|
501,339 |
|
|
|
3.500 |
|
|
07/01/42 |
|
502,860 |
|
|
|
442,768 |
|
|
|
3.500 |
|
|
08/01/42 |
|
444,049 |
|
|
|
106,007 |
|
|
|
3.000 |
|
|
09/01/42 |
|
103,671 |
|
|
|
392,552 |
|
|
|
3.500 |
|
|
09/01/42 |
|
393,681 |
|
|
|
344,178 |
|
|
|
3.500 |
|
|
10/01/42 |
|
345,450 |
|
|
|
30,073 |
|
|
|
3.500 |
|
|
11/01/42 |
|
30,122 |
|
|
|
661,391 |
|
|
|
4.500 |
|
|
11/01/42 |
|
695,339 |
|
|
|
644,048 |
|
|
|
3.000 |
|
|
12/01/42 |
|
629,917 |
|
|
|
1,095,955 |
|
|
|
3.500 |
|
|
12/01/42 |
|
1,099,959 |
|
|
|
139,836 |
|
|
|
3.000 |
|
|
01/01/43 |
|
136,909 |
|
|
|
15,385 |
|
|
|
3.500 |
|
|
01/01/43 |
|
15,411 |
|
|
|
53,600 |
|
|
|
3.000 |
|
|
02/01/43 |
|
52,528 |
|
|
|
729,256 |
|
|
|
3.500 |
|
|
02/01/43 |
|
731,209 |
|
|
|
1,312,793 |
|
|
|
3.000 |
|
|
03/01/43 |
|
1,286,537 |
|
|
|
1,710,183 |
|
|
|
3.500 |
|
|
03/01/43 |
|
1,715,710 |
|
|
|
1,447,954 |
|
|
|
3.000 |
|
|
04/01/43 |
|
1,418,994 |
|
|
|
1,878,995 |
|
|
|
3.500 |
|
|
04/01/43 |
|
1,884,562 |
|
|
|
610,743 |
|
|
|
2.500 |
|
|
05/01/43 |
|
576,906 |
|
|
|
1,764,094 |
|
|
|
3.000 |
|
|
05/01/43 |
|
1,728,813 |
|
|
|
863,863 |
|
|
|
3.500 |
|
|
05/01/43 |
|
866,769 |
|
|
|
62,051 |
|
|
|
3.000 |
|
|
06/01/43 |
|
60,809 |
|
|
|
1,150,991 |
|
|
|
3.500 |
|
|
06/01/43 |
|
1,154,763 |
|
|
|
536,868 |
|
|
|
3.000 |
|
|
07/01/43 |
|
525,627 |
|
|
|
9,259,864 |
|
|
|
3.500 |
|
|
07/01/43 |
|
9,285,755 |
|
|
|
3,057,698 |
|
|
|
3.500 |
|
|
08/01/43 |
|
3,067,318 |
|
|
|
61,936 |
|
|
|
3.500 |
|
|
09/01/43 |
|
62,115 |
|
|
|
196,338 |
|
|
|
3.500 |
|
|
11/01/43 |
|
197,043 |
|
|
|
902,544 |
|
|
|
3.500 |
|
|
01/01/44 |
|
904,074 |
|
|
|
64,770 |
|
|
|
3.500 |
|
|
08/01/44 |
|
64,700 |
|
|
|
133,688 |
|
|
|
3.500 |
|
|
09/01/44 |
|
134,091 |
|
|
|
167,659 |
|
|
|
3.500 |
|
|
10/01/44 |
|
168,327 |
|
|
|
66,768 |
|
|
|
4.000 |
|
|
10/01/44 |
|
68,348 |
|
|
|
25,430 |
|
|
|
3.500 |
|
|
12/01/44 |
|
25,471 |
|
|
|
65,024 |
|
|
|
5.000 |
|
|
12/01/44 |
|
69,014 |
|
|
|
41,836 |
|
|
|
3.500 |
|
|
01/01/45 |
|
41,964 |
|
|
|
650,481 |
|
|
|
4.000 |
|
|
02/01/45 |
|
666,326 |
|
|
|
193,623 |
|
|
|
3.500 |
|
|
03/01/45 |
|
194,044 |
|
|
|
546,335 |
|
|
|
4.000 |
|
|
03/01/45 |
|
561,487 |
|
|
|
127,789 |
|
|
|
3.500 |
|
|
04/01/45 |
|
127,617 |
|
|
|
265,187 |
|
|
|
4.000 |
|
|
04/01/45 |
|
272,541 |
|
|
|
2,687,303 |
|
|
|
4.500 |
|
|
04/01/45 |
|
2,828,597 |
|
|
|
1,163,500 |
|
|
|
3.500 |
|
|
05/01/45 |
|
1,167,772 |
|
|
|
307,674 |
|
|
|
4.500 |
|
|
05/01/45 |
|
323,851 |
|
|
|
3,580,404 |
|
|
|
4.500 |
|
|
06/01/45 |
|
3,753,551 |
|
|
|
182,610 |
|
|
|
3.500 |
|
|
07/01/45 |
|
182,365 |
| |
GOLDMAN SACHS U.S. MORTGAGES FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
|
Value |
| Mortgage-Backed Obligations – (continued) |
| FNMA – (continued) |
| $ |
|
|
30,342 |
|
|
|
3.500 |
% |
|
|
11/01/45 |
|
|
$ 30,301 |
|
|
|
813,285 |
|
|
|
4.000 |
|
|
|
11/01/45 |
|
|
832,164 |
|
|
|
558,260 |
|
|
|
3.500 |
|
|
|
01/01/46 |
|
|
557,511 |
|
|
|
198,229 |
|
|
|
4.000 |
|
|
|
01/01/46 |
|
|
202,830 |
|
|
|
979,983 |
|
|
|
3.500 |
|
|
|
03/01/46 |
|
|
982,715 |
|
|
|
513,629 |
|
|
|
4.000 |
|
|
|
03/01/46 |
|
|
524,971 |
|
|
|
142,793 |
|
|
|
3.500 |
|
|
|
04/01/46 |
|
|
143,228 |
|
|
|
977,110 |
|
|
|
3.500 |
|
|
|
05/01/46 |
|
|
976,423 |
|
|
|
356,151 |
|
|
|
4.000 |
|
|
|
06/01/46 |
|
|
363,651 |
|
|
|
963,412 |
|
|
|
4.500 |
|
|
|
06/01/46 |
|
|
1,004,884 |
|
|
|
972,161 |
|
|
|
4.000 |
|
|
|
07/01/46 |
|
|
992,634 |
|
|
|
1,088,828 |
|
|
|
4.000 |
|
|
|
08/01/46 |
|
|
1,111,758 |
|
|
|
572,513 |
|
|
|
4.000 |
|
|
|
10/01/46 |
|
|
584,570 |
|
|
|
1,917,660 |
|
|
|
3.000 |
|
|
|
11/01/46 |
|
|
1,859,335 |
|
|
|
1,136,315 |
|
|
|
3.000 |
|
|
|
12/01/46 |
|
|
1,101,817 |
|
|
|
3,003,850 |
|
|
|
3.000 |
|
|
|
01/01/47 |
|
|
2,912,654 |
|
|
|
5,385,406 |
|
|
|
3.000 |
|
|
|
02/01/47 |
|
|
5,221,906 |
|
|
|
2,520,373 |
|
|
|
4.500 |
|
|
|
02/01/47 |
|
|
2,647,117 |
|
|
|
522,776 |
|
|
|
3.000 |
|
|
|
03/01/47 |
|
|
506,905 |
|
|
|
2,901,304 |
|
|
|
4.500 |
|
|
|
03/01/47 |
|
|
3,026,196 |
|
|
|
46,405 |
|
|
|
3.500 |
|
|
|
05/01/47 |
|
|
46,214 |
|
|
|
3,000,000 |
|
|
|
3.000 |
|
|
|
07/01/47 |
|
|
2,908,921 |
|
|
|
5,620,791 |
|
|
|
4.500 |
|
|
|
07/01/47 |
|
|
5,860,992 |
|
|
|
2,096,627 |
|
|
|
4.500 |
|
|
|
08/01/47 |
|
|
2,186,225 |
|
|
|
4,000,000 |
|
|
|
3.000 |
|
|
|
09/01/47 |
|
|
3,880,684 |
|
|
|
1,052,444 |
|
|
|
4.500 |
|
|
|
10/01/47 |
|
|
1,097,830 |
|
|
|
1,007,574 |
|
|
|
4.500 |
|
|
|
11/01/47 |
|
|
1,051,025 |
|
|
|
865,260 |
|
|
|
4.500 |
|
|
|
12/01/47 |
|
|
902,574 |
|
|
|
8,999,997 |
|
|
|
3.000 |
|
|
|
01/01/48 |
|
|
8,721,713 |
|
|
|
6,000,000 |
|
|
|
4.000 |
|
|
|
01/01/48 |
|
|
6,120,845 |
|
|
|
1,937,971 |
|
|
|
4.500 |
|
|
|
01/01/48 |
|
|
2,020,032 |
|
|
|
1,000,001 |
|
|
|
3.000 |
|
|
|
04/01/48 |
|
|
969,080 |
|
|
|
5,000,005 |
|
|
|
4.500 |
|
|
|
04/01/48 |
|
|
5,209,380 |
|
|
|
4,796,373 |
|
|
|
4.000 |
|
|
|
08/01/51 |
|
|
4,897,921 |
|
|
|
994,546 |
|
|
|
3.500 |
|
|
|
11/01/51 |
|
|
992,232 |
|
|
|
1,705,855 |
|
|
|
3.500 |
|
|
|
06/01/56 |
|
|
1,694,504 |
|
|
|
6,076,703 |
|
|
|
4.000 |
|
|
|
07/01/56 |
|
|
6,227,445 |
|
|
|
6,870,321 |
|
|
|
3.500 |
|
|
|
08/01/56 |
|
|
6,821,477 |
|
|
|
5,444,058 |
|
|
|
3.500 |
|
|
|
10/01/56 |
|
|
5,407,780 |
|
|
|
4,585,913 |
|
|
|
4.000 |
|
|
|
02/01/57 |
|
|
4,697,739 |
|
|
|
11,000,000 |
|
|
|
3.500 |
|
|
|
TBA-15yr |
(d) |
|
11,129,766 |
|
|
|
34,000,000 |
|
|
|
4.500 |
|
|
|
TBA-30yr |
(d) |
|
35,402,500 |
|
|
|
28,000,000 |
|
|
|
5.000 |
|
|
|
TBA-30yr |
(d) |
|
29,662,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
243,916,013 |
| |
| GNMA – 27.5% |
|
|
|
12,582 |
|
|
|
5.500 |
|
|
|
07/15/20 |
|
|
12,769 |
|
|
|
5,655 |
|
|
|
6.000 |
|
|
|
04/15/26 |
|
|
6,182 |
|
|
|
199 |
|
|
|
6.500 |
|
|
|
01/15/32 |
|
|
220 |
|
|
|
1,061 |
|
|
|
6.500 |
|
|
|
02/15/32 |
|
|
1,170 |
|
|
|
428,693 |
|
|
|
5.500 |
|
|
|
04/15/33 |
|
|
465,340 |
|
|
|
5,532 |
|
|
|
5.000 |
|
|
|
11/15/33 |
|
|
5,900 |
|
|
|
1,091 |
|
|
|
6.500 |
|
|
|
08/15/34 |
|
|
1,205 |
|
|
|
1,346 |
|
|
|
6.500 |
|
|
|
02/15/36 |
|
|
1,521 |
|
|
|
3,295 |
|
|
|
6.500 |
|
|
|
03/15/36 |
|
|
3,726 |
|
|
|
3,319 |
|
|
|
6.500 |
|
|
|
04/15/36 |
|
|
3,706 |
|
|
|
13,299 |
|
|
|
6.500 |
|
|
|
05/15/36 |
|
|
15,033 |
|
|
|
7,867 |
|
|
|
6.500 |
|
|
|
06/15/36 |
|
|
8,898 |
|
|
|
47,312 |
|
|
|
6.500 |
|
|
|
07/15/36 |
|
|
53,432 |
|
|
|
41,068 |
|
|
|
6.500 |
|
|
|
08/15/36 |
|
|
46,035 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
|
Value |
| Mortgage-Backed Obligations – (continued) |
| GNMA – (continued) |
| $ |
|
|
78,858 |
|
|
|
6.500 |
% |
|
|
09/15/36 |
|
|
$ 88,820 |
|
|
|
33,288 |
|
|
|
6.500 |
|
|
|
10/15/36 |
|
|
37,567 |
|
|
|
45,920 |
|
|
|
6.500 |
|
|
|
11/15/36 |
|
|
51,331 |
|
|
|
23,004 |
|
|
|
6.500 |
|
|
|
12/15/36 |
|
|
25,960 |
|
|
|
10,660 |
|
|
|
6.500 |
|
|
|
01/15/37 |
|
|
12,077 |
|
|
|
1,774 |
|
|
|
6.500 |
|
|
|
03/15/37 |
|
|
2,007 |
|
|
|
5,602 |
|
|
|
6.500 |
|
|
|
04/15/37 |
|
|
6,351 |
|
|
|
2,843 |
|
|
|
6.500 |
|
|
|
05/15/37 |
|
|
3,135 |
|
|
|
2,795 |
|
|
|
6.500 |
|
|
|
08/15/37 |
|
|
3,164 |
|
|
|
12,170 |
|
|
|
6.500 |
|
|
|
09/15/37 |
|
|
13,748 |
|
|
|
13,516 |
|
|
|
6.500 |
|
|
|
10/15/37 |
|
|
15,528 |
|
|
|
7,935 |
|
|
|
6.500 |
|
|
|
11/15/37 |
|
|
8,917 |
|
|
|
3,270 |
|
|
|
6.500 |
|
|
|
05/15/38 |
|
|
3,719 |
|
|
|
2,267 |
|
|
|
6.500 |
|
|
|
11/15/38 |
|
|
2,577 |
|
|
|
2,971 |
|
|
|
6.500 |
|
|
|
02/15/39 |
|
|
3,358 |
|
|
|
108,402 |
|
|
|
4.500 |
|
|
|
12/20/39 |
|
|
114,254 |
|
|
|
428,031 |
|
|
|
5.000 |
|
|
|
01/20/40 |
|
|
455,564 |
|
|
|
29,105 |
|
|
|
4.500 |
|
|
|
02/20/40 |
|
|
30,676 |
|
|
|
481,431 |
|
|
|
4.500 |
|
|
|
05/15/40 |
|
|
505,294 |
|
|
|
81,089 |
|
|
|
4.500 |
|
|
|
05/20/40 |
|
|
85,467 |
|
|
|
356,836 |
|
|
|
5.000 |
|
|
|
07/15/40 |
|
|
378,136 |
|
|
|
172,685 |
|
|
|
3.500 |
|
|
|
09/15/42 |
|
|
174,363 |
|
|
|
10,487,857 |
|
|
|
4.000 |
|
|
|
10/20/43 |
|
|
10,825,845 |
|
|
|
417,751 |
|
|
|
3.500 |
|
|
|
02/15/45 |
|
|
420,053 |
|
|
|
112,228 |
|
|
|
4.000 |
|
|
|
05/20/45 |
|
|
115,599 |
|
|
|
88,772 |
|
|
|
4.000 |
|
|
|
07/20/45 |
|
|
91,411 |
|
|
|
4,193,181 |
|
|
|
4.000 |
|
|
|
08/20/45 |
|
|
4,316,520 |
|
|
|
2,408,819 |
|
|
|
4.500 |
|
|
|
08/20/45 |
|
|
2,519,286 |
|
|
|
1,504,961 |
|
|
|
4.000 |
|
|
|
09/20/45 |
|
|
1,549,228 |
|
|
|
3,225,478 |
|
|
|
4.000 |
|
|
|
10/20/45 |
|
|
3,320,353 |
|
|
|
626,111 |
|
|
|
4.500 |
|
|
|
10/20/45 |
|
|
654,824 |
|
|
|
508,899 |
|
|
|
4.000 |
|
|
|
01/20/46 |
|
|
523,868 |
|
|
|
1,318,791 |
|
|
|
4.000 |
|
|
|
02/20/46 |
|
|
1,357,582 |
|
|
|
1,953,018 |
|
|
|
4.500 |
|
|
|
03/20/46 |
|
|
2,046,854 |
|
|
|
92,109 |
|
|
|
4.500 |
|
|
|
06/20/46 |
|
|
96,391 |
|
|
|
37,106 |
|
|
|
4.500 |
|
|
|
07/20/46 |
|
|
38,819 |
|
|
|
33,661 |
|
|
|
4.500 |
|
|
|
08/20/46 |
|
|
35,278 |
|
|
|
511,490 |
|
|
|
4.000 |
|
|
|
01/20/47 |
|
|
526,055 |
|
|
|
1,689,253 |
|
|
|
4.000 |
|
|
|
03/20/47 |
|
|
1,735,774 |
|
|
|
3,910,337 |
|
|
|
4.500 |
|
|
|
04/20/47 |
|
|
4,073,777 |
|
|
|
4,590,033 |
|
|
|
4.000 |
|
|
|
07/20/47 |
|
|
4,710,700 |
|
|
|
16,000,000 |
|
|
|
3.000 |
|
|
|
TBA-30yr |
(d) |
|
15,650,000 |
|
|
|
3,000,000 |
|
|
|
3.500 |
|
|
|
TBA-30yr |
(d) |
|
3,010,313 |
|
|
|
21,000,000 |
|
|
|
4.000 |
|
|
|
TBA-30yr |
(d) |
|
21,487,265 |
|
|
|
48,000,000 |
|
|
|
4.500 |
|
|
|
TBA-30yr |
(d) |
|
49,886,251 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
131,639,196 |
| |
| TOTAL FEDERAL AGENCIES |
|
|
$ 461,938,142 |
| |
| TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $500,291,107) |
|
|
$ 497,061,201 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed
Securities(b) – 15.1% |
| Collateralized Loan Obligations(c) –
3.9% |
| Arbor Realty Commercial Real Estate Notes Ltd. Series 2018-FL1, Class A(1M USD LIBOR +
1.150%) |
| $ |
|
|
1,300,000 |
|
|
|
3.059 |
% |
|
|
06/15/28 |
|
|
$ 1,300,087 |
| |
GOLDMAN SACHS U.S. MORTGAGES FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Asset-Backed
Securities(b) – (continued) |
| Collateralized Loan Obligations(c) –
(continued) |
| Battalion CLO Ltd. Series 2018-12A, Class A1(3M USD LIBOR + 1.070%) |
| $ |
|
|
800,000 |
|
|
|
3.400 |
% |
|
05/17/31 |
|
$ 797,714 |
| Cedar Funding V CLO Ltd. Series 2016-5A, Class A1(3M USD LIBOR + 1.610%) |
|
|
|
2,600,000 |
|
|
|
3.341 |
|
|
07/17/28 |
|
2,600,088 |
| Cent CLO Ltd. Series 2014-22A, Class A1R(3M USD LIBOR + 1.410%) |
|
|
|
1,750,000 |
|
|
|
3.203 |
|
|
11/07/26 |
|
1,750,927 |
| Cutwater Ltd. Series 2014-1A, Class A1AR(3M USD LIBOR + 1.250%) |
|
|
|
1,400,000 |
|
|
|
2.972 |
|
|
07/15/26 |
|
1,400,202 |
| Halcyon Loan Advisors Funding Ltd. Series 2015-2A, Class A(3M USD LIBOR + 1.390%) |
|
|
|
1,450,000 |
|
|
|
3.135 |
|
|
07/25/27 |
|
1,449,983 |
| Madison Park Funding XII Ltd. Series 2014-12A, Class AR(3M USD LIBOR + 1.260%) |
|
|
|
1,550,000 |
|
|
|
3.005 |
|
|
07/20/26 |
|
1,550,313 |
| Magnetite XVI Ltd. Series 2015-16A, Class AR(3M USD LIBOR + 0.800%) |
|
|
|
1,500,000 |
|
|
|
2.578 |
|
|
01/18/28 |
|
1,494,245 |
| OCP CLO Ltd. Series 2014-5A, Class A1R(3M USD LIBOR + 1.080%) |
|
|
|
1,600,000 |
|
|
|
2.832 |
|
|
04/26/31 |
|
1,598,208 |
| Ready Capital Mortgage Financing LLC Series 2018-FL2, Class A(1M USD LIBOR + 0.850%) |
|
|
|
750,000 |
|
|
|
2.830 |
|
|
06/25/35 |
|
750,240 |
| Sound Point CLO XVIII Ltd. Series 2017-4A, Class A2A(3M USD LIBOR + 1.400%) |
|
|
|
850,000 |
|
|
|
3.748 |
|
|
01/21/31 |
|
838,295 |
| Sound Point CLO XVIII Ltd. Series 2017-4A, Class B(3M USD LIBOR + 1.800%) |
|
|
|
550,000 |
|
|
|
4.148 |
|
|
01/21/31 |
|
545,155 |
| Thacher Park CLO Ltd. Series 2014-1A, Class AR(3M USD LIBOR + 1.160%) |
|
|
|
2,450,000 |
|
|
|
2.905 |
|
|
10/20/26 |
|
2,451,198 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,526,655 |
| |
| Home Equity – 0.0% |
| Countrywide Home Equity Loan Trust Series 2004-O, Class 1A(1M USD LIBOR + 0.280%) |
|
|
|
48,253 |
|
|
|
2.199 |
|
|
02/15/34 |
|
45,318 |
| |
| Student Loan – 11.2% |
| Academic Loan Funding Trust Series 2013-1, Class A(c)(1M USD LIBOR + 0.800%) |
|
|
|
4,155,192 |
|
|
|
2.760 |
|
|
12/26/44 |
|
4,161,035 |
| Brazos Education Loan Authority, Inc. Series 2012-1, Class A1(1M USD LIBOR + 0.700%) |
|
|
|
405,963 |
|
|
|
2.660 |
|
|
12/26/35 |
|
405,208 |
| ECMC Group Student Loan Trust Series 2017-1A, Class A(c)(1M USD LIBOR + 1.200%) |
|
|
|
3,205,393 |
|
|
|
3.160 |
|
|
12/27/66 |
|
3,258,850 |
| ECMC Group Student Loan Trust Series 2018-1A, Class A(c)(1M USD LIBOR + 0.750%) |
|
|
|
4,721,941 |
|
|
|
2.710 |
|
|
02/27/68 |
|
4,727,844 |
| Education Loan Asset-Backed Trust I Series 2013-1, Class A1(c)(1M USD LIBOR + 0.800%) |
|
|
|
615,209 |
|
|
|
2.760 |
|
|
06/25/26 |
|
615,466 |
| Goal Capital Funding Trust Series 2010-1, Class A(c)(3M USD LIBOR + 0.700%) |
|
|
|
1,732,581 |
|
|
|
2.644 |
|
|
08/25/48 |
|
1,730,806 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Asset-Backed
Securities(b) – (continued) |
| Student Loan – (continued) |
| Higher Education Funding I Series 2014-1, Class A(c)(3M USD LIBOR + 1.050%) |
| $ |
|
|
1,454,598 |
|
|
|
2.994 |
% |
|
05/25/34 |
|
$ 1,462,238 |
| Illinois Student Assistance Commission Series 2010-1, Class A3(3M USD LIBOR + 0.900%) |
|
|
|
1,000,000 |
|
|
|
2.645 |
|
|
07/25/45 |
|
1,010,549 |
| Montana Higher Education Student Assistance Corp. Series 2012-1, Class A3(1M USD LIBOR +
1.050%) |
|
|
|
950,000 |
|
|
|
2.998 |
|
|
07/20/43 |
|
954,720 |
| Navient Student Loan Trust Series 2016-5A, Class A(c)(1M USD LIBOR + 1.250%) |
|
|
|
3,134,179 |
|
|
|
3.210 |
|
|
06/25/65 |
|
3,216,189 |
| Nelnet Student Loan Trust Series 2006-1, Class A6(c)(3M USD LIBOR + 0.450%) |
|
|
|
1,700,000 |
|
|
|
2.370 |
|
|
08/23/36 |
|
1,663,171 |
| Nelnet Student Loan Trust Series 2006-2, Class A5(3M USD LIBOR + 0.100%) |
|
|
|
787,112 |
|
|
|
1.845 |
|
|
01/25/30 |
|
786,402 |
| Nelnet Student Loan Trust Series 2006-2, Class A7(c)(3M Euribor + 0.580%) |
|
|
|
2,450,000 |
|
|
|
2.325 |
|
|
01/25/37 |
|
2,399,923 |
| North Carolina State Education Assistance Authority Series 2010-1, Class A1(3M USD LIBOR +
0.900%) |
|
|
|
608,618 |
|
|
|
2.645 |
|
|
07/25/41 |
|
607,286 |
| Panhandle-Plains Higher Education Authority, Inc. Series 2011-1, Class A3(3M USD LIBOR +
0.950%) |
|
|
|
700,000 |
|
|
|
2.645 |
|
|
10/01/37 |
|
710,889 |
| Panhandle-Plains Higher Education Authority, Inc. Series 2011-2, Class A3(3M USD LIBOR +
0.850%) |
|
|
|
1,100,000 |
|
|
|
2.545 |
|
|
07/01/32 |
|
1,113,035 |
| PHEAA Student Loan Trust Series 2011-1A, Class A1(c)(3M USD LIBOR + 1.100%) |
|
|
|
2,174,175 |
|
|
|
3.386 |
|
|
06/25/38 |
|
2,193,608 |
| PHEAA Student Loan Trust Series 2014-3A, Class A(c)(1M USD LIBOR + 0.590%) |
|
|
|
4,825,945 |
|
|
|
2.550 |
|
|
08/25/40 |
|
4,817,190 |
| PHEAA Student Loan Trust Series 2016-1A, Class A(c)(1M USD LIBOR + 1.150%) |
|
|
|
1,143,613 |
|
|
|
3.110 |
|
|
09/25/65 |
|
1,161,094 |
| PHEAA Student Loan Trust Series 2016-2A, Class A(c)(1M USD LIBOR + 0.950%) |
|
|
|
1,321,072 |
|
|
|
2.910 |
|
|
11/25/65 |
|
1,337,978 |
| SLM Student Loan Trust Series 2004-8A, Class
A6(c)(3M USD LIBOR + 0.630%) |
|
|
|
800,000 |
|
|
|
2.375 |
|
|
01/25/40 |
|
804,521 |
| SLM Student Loan Trust Series 2005-5, Class A4(3M USD LIBOR + 0.140%) |
|
|
|
5,300,000 |
|
|
|
1.885 |
|
|
10/25/28 |
|
5,281,003 |
| SLM Student Loan Trust Series 2005-9, Class A7A(3M Euribor + 0.600%) |
|
|
|
4,550,000 |
|
|
|
2.345 |
|
|
01/25/41 |
|
4,523,265 |
| SLM Student Loan Trust Series 2006-2, Class A5(3M USD LIBOR + 0.110%) |
|
|
|
169,971 |
|
|
|
1.855 |
|
|
07/25/25 |
|
169,971 |
| South Carolina Student Loan Corp. Series 2010-1, Class A3(3M USD LIBOR + 1.050%) |
|
|
|
1,850,000 |
|
|
|
2.795 |
|
|
10/27/36 |
|
1,864,260 |
| |
GOLDMAN SACHS U.S. MORTGAGES FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Asset-Backed
Securities(b) – (continued) |
| Student Loan – (continued) |
| Utah State Board of Regents Series 2016-1, Class A(1M USD LIBOR + 0.750%) |
| $ |
|
|
2,480,314 |
|
|
|
2.710 |
% |
|
09/25/56 |
|
$ 2,480,311 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
53,456,812 |
| |
TOTAL ASSET-BACKED SECURITIES
(Cost $71,620,682) |
|
$ 72,028,785 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Municipal Debt
Obligation(b)(e) – 0.2% |
| New Hampshire – 0.2% |
| New Hampshire Higher Education Loan Corp. Series 2011-1, Class A3 |
| $ |
|
|
1,150,000 |
|
|
|
2.600 |
% |
|
10/25/37 |
|
$ 1,157,510 |
| (Cost $1,140,121) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Obligations – 1.6% |
| United States Treasury Bonds |
| $ |
|
|
2,660,000 |
|
|
|
2.875 |
% |
|
11/15/46 |
|
$ 2,604,619 |
|
|
|
1,240,000 |
|
|
|
2.750 |
|
|
11/15/47 |
|
1,183,183 |
| United States Treasury Notes |
|
|
|
2,490,000 |
|
|
|
2.125 |
|
|
09/30/24 |
|
2,394,110 |
|
|
|
1,250,000 |
|
|
|
2.875 |
|
|
04/30/25 |
|
1,255,075 |
| |
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $7,613,390) |
|
$ 7,436,987 |
| |
|
|
|
| Shares |
|
|
Distribution
Rate |
|
Value |
| Investment
Company(f) – 14.0% |
| Goldman Sachs Financial Square Government Fund - Institutional Shares |
|
|
|
66,819,200 |
|
|
|
1.869% |
|
$ 66,819,200 |
| (Cost $66,819,200) |
| |
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
(Cost $647,484,500) |
|
$ 644,503,683 |
| |
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Short-term Investments – 3.7% |
| Commercial Paper – 3.7% |
| AT&T, Inc.(g) |
| $ |
|
|
3,910,000 |
|
|
|
0.000 |
% |
|
10/05/18 |
|
$ 3,882,007 |
|
|
|
1,050,000 |
|
|
|
0.000 |
|
|
10/09/18 |
|
1,042,176 |
| Duke Energy
Corp.(g) |
|
|
|
2,000,000 |
|
|
|
0.000 |
|
|
08/27/18 |
|
1,991,979 |
| Hewlett Packard Enterprise
Co.(g) |
|
|
|
1,208,000 |
|
|
|
0.000 |
|
|
07/10/18 |
|
1,207,284 |
|
|
|
1,210,000 |
|
|
|
0.000 |
|
|
07/11/18 |
|
1,209,216 |
| HP, Inc.(g) |
|
|
|
1,000,000 |
|
|
|
0.000 |
|
|
07/23/18 |
|
998,684 |
| Mondelez International,
Inc.(g) |
|
|
|
2,150,000 |
|
|
|
0.000 |
|
|
10/01/18 |
|
2,135,617 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
| Short-term Investments – (continued) |
| Commercial Paper – (continued) |
| Schlumberger Holdings
Corp.(g) |
| $ |
|
|
513,000 |
|
|
|
0.000 |
% |
|
08/22/18 |
|
$ 511,206 |
| Sempra Energy
Holdings(g) |
|
|
|
511,000 |
|
|
|
0.000 |
|
|
07/31/18 |
|
509,929 |
| The Southern
Co.(g) |
|
|
|
838,000 |
|
|
|
0.000 |
|
|
08/30/18 |
|
834,454 |
| VW Credit, Inc. |
|
|
|
1,684,000 |
|
|
|
0.000 |
(g) |
|
08/15/18 |
|
1,678,699 |
|
|
|
1,700,000 |
|
|
|
1.000 |
|
|
09/20/18 |
|
1,690,096 |
| |
TOTAL SHORT-TERM INVESTMENTS
(Cost $17,691,890) |
|
$ 17,691,347 |
| |
TOTAL INVESTMENTS – 138.5%
(Cost $665,176,390) |
|
$ 662,195,030 |
| |
LIABILITIES IN EXCESS OF
OTHER ASSETS – (38.5)% |
|
(183,983,982) |
| |
| NET ASSETS – 100.0% |
|
$ 478,211,048 |
| |
|
|
|
|
| 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. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed
is that which is in effect on June 30, 2018. |
|
|
| (c) |
|
Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed 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 $56,110,475, which represents approximately 11.7% of the Fund’s net assets as
of June 30, 2018. The liquidity determination is unaudited. |
|
|
| (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 $187,537,659 which represents approximately 39.2% of the Fund’s
net assets as of June 30, 2018. |
|
|
| (e) |
|
Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
|
|
| (f) |
|
Represents an Affiliated Issuer. |
|
|
| (g) |
|
Issued with a zero coupon. Income is recognized through the accretion of discount. |
|
|
|
| |
| Currency Abbreviations: |
| USD |
|
— U.S. Dollar |
|
| Investment Abbreviations: |
| CLO |
|
— Collateralized Loan Obligation |
| CMT |
|
— Constant Maturity Treasury Indexes |
| FHLMC |
|
— Federal Home Loan Mortgage Corp. |
| FNMA |
|
— Federal National Mortgage Association |
| GNMA |
|
— Government National Mortgage Association |
| LIBOR |
|
— London Interbank Offered Rate |
| LLC |
|
— Limited Liability Company |
GOLDMAN SACHS U.S. MORTGAGES FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
|
|
|
| MTA |
|
— Monthly Treasury Average |
| PI |
|
— Private Investment |
| REMIC |
|
— Real Estate Mortgage Investment Conduit |
| STRIPS |
|
— Separate Trading of Registered Interest and Principal of
Securities |
| |
|
| For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at
www.GSAMFUNDS.com. |
GOLDMAN SACHS U.S. MORTGAGES FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FORWARD SALES CONTRACTS — At June 30, 2018, the Fund had the
following forward sales contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Interest
Rate |
|
|
Maturity
Date(a) |
|
Settlement
Date |
|
Principal
Amount |
|
|
Value |
|
| |
|
| FHLMC |
|
|
3.000 |
% |
|
TBA-30yr |
|
7/12/18 |
|
$ |
(51,000,000) |
|
|
$ |
(49,358,437) |
|
| FNMA |
|
|
3.500 |
|
|
TBA-30yr |
|
8/13/18 |
|
|
(2,000,000) |
|
|
|
(1,987,969) |
|
| FNMA |
|
|
4.000 |
|
|
TBA-30yr |
|
8/13/18 |
|
|
(2,000,000) |
|
|
|
(2,036,172) |
|
| FNMA |
|
|
4.000 |
|
|
TBA-30yr |
|
7/12/18 |
|
|
(4,000,000) |
|
|
|
(4,078,125) |
|
| GNMA |
|
|
4.000 |
|
|
TBA-30yr |
|
7/19/18 |
|
|
(9,000,000) |
|
|
|
(9,222,187) |
|
| |
|
| TOTAL (Proceeds Receivable: $66,255,078) |
|
|
$ |
(66,682,890) |
|
| |
|
| (a) |
|
TBA (To be (To Be Announced) Securities are purchased or 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. |
FUTURES
CONTRACTS — At June 30, 2018, the Fund had the following futures contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Number of
Contracts |
|
|
Expiration
Date |
|
|
Notional
Amount |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Long position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ultra 10 Year U.S. Treasury Notes |
|
|
82 |
|
|
|
09/19/18 |
|
|
$ |
10,515,219 |
|
|
$ |
108,444 |
|
| 5 Year U.S.Treasury Notes |
|
|
123 |
|
|
|
09/28/18 |
|
|
|
13,974,914 |
|
|
|
22,706 |
|
| 10 Year U.S Treasury Notes |
|
|
192 |
|
|
|
09/19/18 |
|
|
|
23,076,000 |
|
|
|
166,791 |
|
| 20 Year U.S. Treasury Bonds |
|
|
107 |
|
|
|
09/19/18 |
|
|
|
15,515,000 |
|
|
|
242,001 |
|
| |
|
| Total |
|
|
$ |
539,942 |
|
| |
|
| Short position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Eurodollars |
|
|
(19) |
|
|
|
06/17/19 |
|
|
|
(4,614,388 |
) |
|
|
40,581 |
|
| Eurodollars |
|
|
(113) |
|
|
|
12/14/20 |
|
|
|
(27,408,150 |
) |
|
|
7,165 |
|
| Ultra Long U.S. Treasury Bonds |
|
|
(34) |
|
|
|
09/19/18 |
|
|
|
(5,425,125 |
) |
|
|
(39,625 |
) |
| 2 Year U.S Treasury Notes |
|
|
(26) |
|
|
|
09/28/18 |
|
|
|
(5,507,531 |
) |
|
|
538 |
|
| |
|
| Total |
|
|
$ |
8,659 |
|
| |
|
| TOTAL |
|
|
$ |
548,601 |
|
| |
|
SWAP CONTRACTS — At June 30, 2018, the Fund had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Payments Made by
the Fund |
|
Payments
Received by
Fund |
|
|
Termination
Date |
|
|
Notional
Amount
(000s) |
|
|
Market Value |
|
|
Upfront
Premium
(Received)
Paid |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| 3M LIBOR(a) |
|
|
2.139%(b) |
|
|
|
11/20/20 |
|
|
$ |
26,980 |
(c) |
|
$ |
(397,156 |
) |
|
$ |
(29,507 |
) |
|
$ |
(367,649 |
) |
| 3M LIBOR(b) |
|
|
2.275(a) |
|
|
|
11/20/23 |
|
|
|
11,720 |
(c) |
|
|
353,293 |
|
|
|
19,803 |
|
|
|
333,490 |
|
| 2.882%(b) |
|
|
3M LIBOR(a) |
|
|
|
02/28/25 |
|
|
|
5,600 |
|
|
|
2,175 |
|
|
|
9,686 |
|
|
|
(7,511 |
) |
| |
|
| TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(18 |
) |
|
$ |
(41,670 |
) |
| |
|
| (a) |
|
Payments made quarterly. |
| (b) |
|
Payments made semi-annually. |
| (c) |
|
Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2018.
|
GOLDMAN SACHS U.S. MORTGAGES FUND
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At June 30, 2018, the Fund had the following written and purchased options:
OVER-THE-COUNTER INTEREST RATE SWAPTIONS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Counterparty |
|
Exercise
Price |
|
Expiration
Date |
|
Number of
Contracts |
|
|
Notional
Amount |
|
|
Market
Value |
|
|
Premiums
Paid
(Received)
by Portfolio |
|
|
Unrealized
Appreciation/
(Depreciation) |
|
| |
|
| Purchased option contracts |
|
| Calls |
|
| 2Y IRS |
|
Citibank NA |
|
2.35% |
|
05/05/20 |
|
|
10,900,000 |
|
|
$ |
10,900,000 |
|
|
$ |
35,180 |
|
|
$ |
26,651 |
|
|
$ |
8,529 |
|
| 2Y IRS |
|
Citibank NA |
|
2.25 |
|
04/14/20 |
|
|
9,100,000 |
|
|
|
9,100,000 |
|
|
|
24,619 |
|
|
|
26,000 |
|
|
|
(1,381 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
59,799 |
|
|
$ |
52,651 |
|
|
$ |
7,148 |
|
| |
|
| Puts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 1Y IRS |
|
JPMorgan Securities, Inc. |
|
2.75 |
|
03/06/19 |
|
|
3,600,000 |
|
|
|
3,600,000 |
|
|
|
38,207 |
|
|
|
60,000 |
|
|
|
(21,793 |
) |
| |
|
| Total Purchased option contracts |
|
|
|
|
|
|
|
|
|
$ |
98,006 |
|
|
$ |
112,651 |
|
|
$ |
(14,645 |
) |
| |
|
| Written option contracts |
|
| Calls |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2Y IRS |
|
Citibank NA |
|
2.38 |
|
05/05/20 |
|
|
(2,400,000 |
) |
|
|
(2,400,000 |
) |
|
$ |
(30,997 |
) |
|
$ |
(26,700 |
) |
|
$ |
(4,297 |
) |
| 2Y IRS |
|
Citibank NA |
|
2.32 |
|
04/14/20 |
|
|
(2,000,000 |
) |
|
|
(2,000,000 |
) |
|
|
(22,709 |
) |
|
|
(26,000 |
) |
|
|
3,291 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(53,706 |
) |
|
$ |
(52,700 |
) |
|
$ |
(1,006 |
) |
| |
|
| Puts |
|
| 1Y IRS |
|
JPMorgan Securities, Inc. |
|
2.79 |
|
03/06/19 |
|
|
(1,600,000 |
) |
|
|
(1,600,000 |
) |
|
|
(44,198 |
) |
|
|
(60,000 |
) |
|
|
15,802 |
|
| |
|
| Total Written option contracts |
|
|
|
|
|
|
|
|
|
$ |
(97,904 |
) |
|
$ |
(112,700 |
) |
|
$ |
14,796 |
|
| |
|
|
|
|
| |
| Abbreviations: |
|
|
| 1Y IRS |
|
— 1 Year Interest Rate Swaptions |
| 2Y IRS |
|
— 2 Year Interest Rate Swaptions |
| |
GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS
Investment Valuation — The Funds’ valuation policy is to
value investments at fair value.
Investments and Fair Value Measurements — U.S. GAAP defines the fair value of a financial
instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market
approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or
liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The
three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that
are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in
markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either
directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including
GSAM’s assumptions in determining fair value measurement).
Changes in valuation techniques may result in transfers into or out of an
assigned level within the hierarchy. In accordance with the Funds’ policy, transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the beginning of the reporting period.
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio
investments held by the Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to
the valuation of the Funds’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or
brokers, and any differences are reviewed in accordance with the Valuation Procedures.
Level 1 and Level 2 Fair Value Investments
— The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not
limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not
represent fair value, equity securities are valued at the last bid price for long positions and at the last ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value
hierarchy, otherwise they are generally classified as Level 2.
Unlisted equity securities 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, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value
determined by an independent fair value service (if available) under Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including,
but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are
generally classified as Level 2 of the fair value hierarchy.
Private Investments — Private investments may include, but are not
limited to, investments in private equity or debt instruments. The investment manager estimates the fair value of private investments based upon various factors, including, but not limited to, transactions in similar instruments, completed or
pending third-party transactions in underlying investments or comparable entities, subsequent rounds of financing, recapitalizations, and other transactions across the capital structure, offerings in equity or debt capital markets, and changes in
current and projected financial ratios or cash flows.
Underlying Funds (including Money Market Funds) — Underlying Funds
(“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share of the Institutional Share class on the day of
valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the Funds invest in Underlying Funds that fluctuate in value, the Funds’ shares
will correspondingly fluctuate in value. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying
Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
Debt Securities — Debt securities for which market quotations are readily available are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved
by the Trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or
(ii) quotations from securities dealers to determine current value. With the exception of treasury securities of G8 countries, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value
hierarchy.
i. Bank Loans — Bank loans (“Loans”) are interests in amounts owed by corporate,
governmental, or other borrowers to lenders or lending syndicates. Loans are arranged through private negotiations between the borrower and one or more financial institutions (“Lenders”). A Fund’s investments in Loans are in the form
of either participations in Loans (“Participations”) or assignments of all or a portion of Loans from third parties (“Assignments”). With respect to Participations, a Fund has the right to receive payments of principal, interest
and any fees to which it is entitled from the Lender selling the Participations and only upon receipt by the Lender of the payments from the borrower. A Fund generally has no right to enforce compliance by the borrower with the terms of the loan
agreement with respect to Participations. Conversely, assignments result in a Fund having a direct contractual relationship with the borrower, and the Fund > may be permitted to enforce compliance by the borrower with the terms of the loan
agreement.
The High Yield and High Yield Floating Rate Funds may also enter into certain credit arrangements,
all or a portion of which may be unfunded. Unfunded loan commitments represent the remaining obligation of a Fund to the borrower. A Fund is obligated to fund these commitments at the borrower’s discretion. A Fund may receive a commitment fee
based on the undrawn portion of the underlying line of credit of a Loan. All Loans and unfunded loan commitments involve interest rate risk, liquidity risk and credit risk, including the potential default or insolvency of the borrower. Loans,
including unfunded loan commitments, are marked to market daily using pricing vendor quotations and the change in value, if any, is recorded as an unrealized gain or loss.
ii. Commercial Paper — Commercial paper normally represents short-term unsecured promissory notes issued in bearer forms by banks or bank holding companies, corporations, finance companies and
other issuers. Commercial paper consists of direct U.S. dollar-denominated obligations of domestic or foreign issuers. Asset-back commercial paper is issued by a special purpose entity that is organized to issue the commercial paper and to purchase
trade receivables and other financial assets.
iii. Inverse Floaters — The interest rate on inverse floating rate
securities (“inverse floaters”) resets in the opposite direction from the market rate of interest to which the inverse floaters are indexed. An inverse floater may be considered to be leveraged to the extent that its interest rate varies
by a magnitude that exceeds the magnitude of the change in the index rate of interest. The higher the degree of leverage of an inverse floater, the greater the volatility of its market value
iv. Mortgage-Backed and 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 estate property. Asset-backed securities include securities whose principal and interest payments are collateralized by pools of other assets or
receivables. 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.
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.
Stripped mortgage-backed securities are usually structured with two
different classes: one that receives substantially all interest payments (interest-only, or “IO” and/or high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all principal
payments (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, periodic adjustments are recorded to reduce the cost of the security until maturity. These
adjustments are included in interest income.
GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
v. Mortgage Dollar Rolls — Mortgage dollar rolls are transactions whereby a Fund sells mortgage-backed-securities and simultaneously contracts with the same counterparty to repurchase similar
securities on a specified future date. During the settlement period, a Fund will not be entitled to accrue interest and receive principal payments on the securities sold. The Funds account for mortgage dollar roll transactions as purchases and sales
and realize gains and losses on these transactions
vi. Structured Notes — The values of structured notes are
based on the price movements of a reference security or index. Upon termination, a Fund will receive a payment from the issuer based on the value of the referenced instrument (notional amount multiplied by price of the referenced instrument) and
record a realized gain or loss.
vii. Treasury Inflation Protected Securities — TIPS are treasury securities 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 repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of
the U.S. Government.
viii. When-Issued Securities and Forward Commitments — When-issued securities, including TBA
(“To Be Announced”) securities, are securities that are authorized but not yet issued in the market and purchased in order to secure what is considered to be an advantageous price or yield to a Fund. A forward commitment involves entering
into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the
security to be purchased declines before the settlement date. Conversely, the sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Although a Fund will
generally purchase securities on a when-issued or forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of when-issued securities or forward commitments prior to settlement, which may result
in a realized gain or loss.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets,
indices, reference rates or a combination of these factors. A Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to
certain markets or attain exposure to other underliers.
Exchange-traded derivatives, including futures and options contracts,
are valued at the last sale or settlement price and typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence,
including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared
derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market
prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can
generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a
specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain
or loss. Cash and certain investments may be used to collateralize forward contracts.
A forward foreign
currency exchange contract is a forward contract in which a Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are
marked-to-market daily at the applicable forward rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or
security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for
short positions, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the
initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to
GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
unrealized gains or losses. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received, if any, is reported separately on the
Statement of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments.
iii. Options — When a Fund writes call or put options, an amount equal to the premium received is recorded as a liability and
is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on interest rate swap contracts.
Upon the purchase of a call option or a put option by a Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options
may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
iv. Swap Contracts — Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon
termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central
clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are
settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering
into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any
mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.
An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified
intervals, based upon or calculated by reference to changes in interest rates on a specified notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
A credit default swap is an agreement that involves one party (the buyer of protection) making a stream of payments
to another party (the seller of protection) in exchange for the right to receive protection on a reference security or obligation, including a group of assets or exposure to the performance of an index. A Fund’s investment in credit default
swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. If a Fund buys protection
through a credit default swap and no credit event occurs, its payments are limited to the periodic payments previously made to the counterparty. Upon the occurrence of a specified credit event, a Fund, as a buyer of credit protection, is entitled to
receive an amount equal to the notional amount of the swap and deliver to the seller the defaulted reference obligation in a physically settled trade. A Fund may also receive a net settlement amount in the form of cash or securities equal to the
notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade.
As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there
is no credit event. In addition, if a Fund sells protection through a credit default swap, a Fund could suffer a loss because the value of the referenced obligation and the premium payments received may be less than the notional amount of the swap
paid to the buyer of protection. Upon the occurrence of a specified credit event, a Fund, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional
amount of the swap in a physically settled trade. A Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in 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, a Fund is entitled to a
return of any assets, which have been pledged as collateral to the counterparty upon settlement.
The maximum
potential amount of future payments (undiscounted) that a Fund as seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. These potential amounts would be partially
offset by any recovery values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where a Fund bought credit protection.
A cross currency swap is an agreement which a Fund may enter into to gain or mitigate exposure to currency risk. A
cross currency swap is an agreement to exchange cash flows on a notional amount of two or more currencies based on the relative value differential among them. Such swaps may involve initial and final exchanges that correspond to the agreed upon
notional amount. Cross
GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
currency swaps usually involve the delivery of the entire principal value of one designated currency in exchange for another designated currency. Therefore, the entire principal value of a cross currency
swap is subject to risk that the other party to the swap will default on its contractual delivery obligations. If there is a default by the counterparty, the Fund may have contractual remedies pursuant to the agreements related to the transactions.
A total return swap is an agreement that gives a Fund the right to receive the appreciation in the
value of a specified security, index or other instrument in return for a fee paid to the counterparty, which will typically be an agreed upon interest rate. If the underlying asset declines in value over the term of the swap, a Fund may also be
required to pay the dollar value of that decline to the counterparty.
Secured Borrowings — Secured borrowings are valued at their
contractual amounts, which approximate fair value, and are generally classified as Level 2 of the fair value hierarchy.
i.
Reverse Repurchase Agreements – Reverse repurchase agreements involve the sale of securities held by a Fund subject to the Fund’s agreement to repurchase the securities at a mutually agreed upon date and price (including interest),
under the terms of an MRA. The gross value of reverse repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.
When a Fund enters into a reverse repurchase agreement, it is required to deliver securities as collateral to the
counterparty that exceed the value of the reverse repurchase agreement. During the term of a reverse repurchase agreement, the value of the underlying securities pledged as collateral on behalf of a Fund, including accrued interest, is required to
exceed the value of the reverse repurchase agreement, including accrued interest. If the value of those securities pledged as collateral, including accrued interest, becomes less than the value of the reverse repurchase agreement, including accrued
interest, a Fund will be obligated to deliver additional collateral to the buyer. If the buyer defaults on its commitment to sell back the securities, a Fund could suffer a loss to the extent that the amount borrowed is less than the replacement
cost of similar securities and the Fund’s costs associated with delay and enforcement of the reverse repurchase agreement. In addition, in the event of default or insolvency of the buyer, a court could determine that the Fund’s interest in
the amount borrowed is not enforceable, resulting in additional losses to a Fund.
Level 3 Fair Value Investments — To the extent
that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the
Funds’ investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or
foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. Significant events which could affect a large number of securities in a particular
market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are
not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.
To the
extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments. GSAM did not develop the unobservable
inputs for the valuation of Level 3 Assets and Liabilities.
C. Fair Value Hierarchy — The following is a summary of the
Funds’ investments and derivatives classified in the fair value hierarchy as of June 30, 2018:
|
|
|
|
|
|
|
|
|
|
|
|
|
| EMERGING MARKETS DEBT |
|
|
|
|
|
|
|
|
|
| Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
| Sovereign Debt Obligations |
|
$ |
— |
|
|
$ |
1,612,176,411 |
|
|
$ |
— |
|
| Corporate Obligations |
|
|
— |
|
|
|
597,299,200 |
|
|
|
— |
|
| Structured Notes |
|
|
— |
|
|
|
19,352,699 |
|
|
|
— |
|
| Municipal Debt Obligations |
|
|
— |
|
|
|
16,894,025 |
|
|
|
— |
|
| Investment Company |
|
|
2,944,170 |
|
|
|
— |
|
|
|
— |
|
| Total |
|
$ |
2,944,170 |
|
|
$ |
2,245,722,335 |
|
|
$ |
— |
|
GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange Contracts |
|
$ |
— |
|
|
$ |
14,026,133 |
|
|
$ |
— |
|
| Futures Contracts |
|
|
3,185,052 |
|
|
|
— |
|
|
|
— |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
1,034,853 |
|
|
|
— |
|
| Credit Default Swap Contracts |
|
|
— |
|
|
|
427,672 |
|
|
|
— |
|
| Total |
|
$ |
3,185,052 |
|
|
$ |
15,488,658 |
|
|
$ |
— |
|
| Liabilities(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange Contracts |
|
$ |
— |
|
|
$ |
(19,423,469 |
) |
|
$ |
— |
|
| Futures Contracts |
|
|
(583,461 |
) |
|
|
— |
|
|
|
— |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
(3,055,134 |
) |
|
|
— |
|
| Credit Default Swap Contracts |
|
|
— |
|
|
|
(6,084,916 |
) |
|
|
— |
|
| Total |
|
$ |
(583,461 |
) |
|
$ |
(28,563,519 |
) |
|
$ |
— |
|
|
| (a) Amount shown represents unrealized gain (loss) at period end. |
|
|
| HIGH YIELD |
|
|
|
|
|
| Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
| Bank Loans |
|
$ |
— |
|
|
$ |
86,225,318 |
|
|
$ |
11,545,625 |
|
| Corporate Obligations |
|
|
— |
|
|
|
2,295,461,174 |
|
|
|
— |
|
| Common Stock and/or Other Equity
Investments(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| North America |
|
|
4,535,606 |
|
|
|
36,375,911 |
|
|
|
— |
|
| Investment Company |
|
|
982,239 |
|
|
|
— |
|
|
|
— |
|
| Short-term Investments |
|
|
— |
|
|
|
34,231,141 |
|
|
|
— |
|
| Total |
|
$ |
5,517,845 |
|
|
$ |
2,452,293,544 |
|
|
$ |
11,545,625 |
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
| Reverse Repurchase Agreements |
|
$ |
— |
|
|
$ |
(16,294,238 |
) |
|
$ |
— |
|
|
|
|
| Derivative Type |
|
|
|
|
|
|
| Assets(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
734,146 |
|
|
$ |
— |
|
|
$ |
— |
|
| Liabilities(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
(1,387,332 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
| (a) Amounts are disclosed by continent to highlight the impact of time
zone differences between local market close and the calculation of net asset value. Security valuations are based on the principle exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value
model prices provided by an independent third–party (fair value) service for international equity securities, resulting in a Level 2 classification.
(b) Amount shown represents unrealized gain (loss) at period end. |
|
|
|
|
|
| HIGH YIELD FLOATING RATE |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
| Bank Loans |
|
$ |
— |
|
|
$ |
3,753,350,373 |
|
|
$ |
89,430,510 |
|
| Corporate Obligations |
|
|
— |
|
|
|
203,335,699 |
|
|
|
— |
|
| Unfunded Loan Committment |
|
|
— |
|
|
|
1,798,765 |
|
|
|
— |
|
| Common Stock and/or Other Equity
Investments(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| North America |
|
|
17,560,945 |
|
|
|
— |
|
|
|
— |
|
| Exchange Traded Funds |
|
|
69,509,228 |
|
|
|
— |
|
|
|
— |
|
| Investment Company |
|
|
325,971,883 |
|
|
|
— |
|
|
|
— |
|
| Short-term Investments |
|
|
— |
|
|
|
23,223,494 |
|
|
|
— |
|
| Total |
|
$ |
413,042,056 |
|
|
$ |
3,981,708,331 |
|
|
$ |
89,430,510 |
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
| Reverse Repurchase Agreements |
|
$ |
— |
|
|
$ |
(3,782,925 |
) |
|
$ |
— |
|
GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange Contracts |
|
$ |
— |
|
|
$ |
63,531 |
|
|
$ |
— |
|
| Liabilities(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
(897,770 |
) |
|
$ |
— |
|
|
$ |
— |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
(213,816 |
) |
|
|
— |
|
| Total |
|
$ |
(897,770 |
) |
|
$ |
(213,816 |
) |
|
$ |
— |
|
|
| (a) Amounts are disclosed by continent to highlight the impact of time
zone differences between local market close and the calculation of net asset value. Security valuations are based on the principle exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value
model prices provided by an independent third–party (fair value) service for international equity securities, resulting in a Level 2 classification.
(b) Amount shown represents unrealized gain (loss) at period end. |
|
|
|
| INVESTMENT GRADE CREDIT |
|
|
|
|
|
|
|
|
|
| Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Obligations |
|
$ |
— |
|
|
$ |
346,773,614 |
|
|
$ |
— |
|
| Foreign Debt Obligations |
|
|
— |
|
|
|
16,807,024 |
|
|
|
— |
|
| Municipal Debt Obligations |
|
|
— |
|
|
|
12,232,063 |
|
|
|
— |
|
| Investment Company |
|
|
1,745 |
|
|
|
— |
|
|
|
— |
|
| Short-term Investments |
|
|
— |
|
|
|
1,391,843 |
|
|
|
— |
|
| Total |
|
$ |
1,745 |
|
|
$ |
377,204,544 |
|
|
$ |
— |
|
|
|
|
| Derivative Type |
|
|
|
|
|
|
| Assets(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange Contracts |
|
$ |
— |
|
|
$ |
31,760 |
|
|
$ |
— |
|
| Futures Contracts |
|
|
216,611 |
|
|
|
— |
|
|
|
— |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
290,791 |
|
|
|
— |
|
| Total |
|
$ |
216,611 |
|
|
$ |
322,551 |
|
|
$ |
— |
|
| Liabilities(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
(128,358 |
) |
|
$ |
— |
|
|
$ |
— |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
(333,044 |
) |
|
|
— |
|
| Credit Default Swap Contracts |
|
|
— |
|
|
|
(5,225 |
) |
|
|
— |
|
| Total |
|
$ |
(128,358 |
) |
|
$ |
(338,269 |
) |
|
$ |
— |
|
|
| (a) Amount shown represents unrealized gain (loss) at period end. |
|
|
|
| LOCAL EMERGING MARKETS DEBT |
|
|
|
|
|
|
|
|
|
| Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
| Sovereign Debt Obligations |
|
$ |
— |
|
|
$ |
231,330,791 |
|
|
$ |
— |
|
| Corporate Obligations |
|
|
— |
|
|
|
7,281,810 |
|
|
|
— |
|
| Structured Notes |
|
|
— |
|
|
|
41,700,498 |
|
|
|
— |
|
| Municipal Debt Obligations |
|
|
— |
|
|
|
1,247,581 |
|
|
|
— |
|
| U.S. Treasury Obligations |
|
|
556,935 |
|
|
|
9,605,618 |
|
|
|
— |
|
| Investment Company |
|
|
21,768,873 |
|
|
|
— |
|
|
|
— |
|
| Short-term Investments |
|
|
— |
|
|
|
1,678,362 |
|
|
|
— |
|
| Total |
|
$ |
22,325,808 |
|
|
$ |
292,844,660 |
|
|
$ |
— |
|
GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange Contracts |
|
$ |
— |
|
|
$ |
4,359,549 |
|
|
$ |
— |
|
| Futures Contracts |
|
|
262,602 |
|
|
|
— |
|
|
|
— |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
1,684,210 |
|
|
|
— |
|
| Total Return Swap Contracts |
|
|
— |
|
|
|
17,975 |
|
|
|
— |
|
| Total |
|
$ |
262,602 |
|
|
$ |
6,061,734 |
|
|
$ |
— |
|
| Liabilities(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange Contracts |
|
$ |
— |
|
|
$ |
(6,646,930 |
) |
|
$ |
— |
|
| Futures Contracts |
|
|
(226,230 |
) |
|
|
— |
|
|
|
— |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
(1,264,237 |
) |
|
|
— |
|
| Credit Default Swap Contracts |
|
|
— |
|
|
|
(719,751 |
) |
|
|
— |
|
| Total |
|
$ |
(226,230 |
) |
|
$ |
(8,630,918 |
) |
|
$ |
— |
|
|
| (a) Amount shown represents unrealized gain (loss) at period end. |
|
|
|
| TOTAL EMERGING MARKETS INCOME |
|
|
|
|
|
|
|
|
|
| Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Obligations |
|
$ |
— |
|
|
$ |
1,034,960 |
|
|
$ |
— |
|
| Common Stock and/or Other Equity
Investments(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Africa |
|
|
109,978 |
|
|
|
284,878 |
|
|
|
— |
|
| Asia |
|
|
608,355 |
|
|
|
3,202,021 |
|
|
|
— |
|
| Australia and Oceania |
|
|
— |
|
|
|
32,375 |
|
|
|
— |
|
| Europe |
|
|
215,408 |
|
|
|
422,407 |
|
|
|
— |
|
| North America |
|
|
150,506 |
|
|
|
30,889 |
|
|
|
— |
|
| South America |
|
|
471,204 |
|
|
|
120,558 |
|
|
|
— |
|
| Warrants |
|
|
— |
|
|
|
69,421 |
|
|
|
— |
|
| Exchange Traded Funds |
|
|
2,143,269 |
|
|
|
— |
|
|
|
— |
|
| Investment Companies |
|
|
8,876,451 |
|
|
|
— |
|
|
|
— |
|
| Total |
|
$ |
12,575,171 |
|
|
$ |
5,197,509 |
|
|
$ |
— |
|
|
|
|
| Derivative Type |
|
|
|
|
|
|
| Assets(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
4,941 |
|
|
$ |
— |
|
|
$ |
— |
|
| Liabilities(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
(71,694 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
| (a) Amounts are disclosed by continent to highlight the impact of time
zone differences between local market close and the calculation of net asset value. Security valuations are based on the principle exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value
model prices provided by an independent third–party (fair value) service for international equity securities, resulting in a Level 2 classification.
(b) Amount shown represents unrealized gain (loss) at period end. |
|
|
|
| U.S. MORTGAGES |
|
|
|
|
|
|
|
|
|
| Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
| Mortgage-Backed Obligations |
|
$ |
— |
|
|
$ |
497,061,201 |
|
|
$ |
— |
|
| Asset-Backed Securities |
|
|
— |
|
|
|
72,028,785 |
|
|
|
— |
|
| Municipal Debt Obligation |
|
|
— |
|
|
|
1,157,510 |
|
|
|
— |
|
| U.S. Treasury Obligations |
|
|
7,436,987 |
|
|
|
— |
|
|
|
— |
|
| Investment Company |
|
|
66,819,200 |
|
|
|
— |
|
|
|
— |
|
| Short-term Investments |
|
|
— |
|
|
|
17,691,347 |
|
|
|
— |
|
| Total |
|
$ |
74,256,187 |
|
|
$ |
587,938,843 |
|
|
$ |
— |
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
| Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
| Mortgage-Backed Obligations — Forward Sales Contracts |
|
$ |
— |
|
|
$ |
(66,682,890 |
) |
|
$ |
— |
|
GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
588,226 |
|
|
$ |
— |
|
|
$ |
— |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
333,490 |
|
|
|
— |
|
| Options Purchased |
|
|
— |
|
|
|
98,006 |
|
|
|
— |
|
| Total |
|
$ |
588,226 |
|
|
$ |
431,496 |
|
|
$ |
— |
|
| Liabilities(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
$ |
(39,625 |
) |
|
$ |
— |
|
|
$ |
— |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
(375,160 |
) |
|
|
— |
|
| Options Purchased |
|
|
— |
|
|
|
(97,904 |
) |
|
|
— |
|
| Total |
|
$ |
(39,625 |
) |
|
$ |
(473,064 |
) |
|
$ |
— |
|
| (a) |
|
Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedules of Investments
OTHER RISKS
The Funds’ risks
include, but are not limited to, the following:
Derivatives Risk — The Funds’ use of derivatives may result in loss.
Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that
small changes in the value of the underlying instruments may produce disproportionate losses to the Fund. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual
obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also
result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets being hedged, if any.
Foreign Custody Risk — If a Fund invests in foreign securities, the Fund may hold such securities and cash with foreign banks, agents, and
securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to
little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place limitations on a Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy. Investments
in emerging markets may be subject to even greater custody risks than investments in more developed markets. Custody services in emerging market countries are very often undeveloped and may be considerably less well regulated than in more developed
countries, and thus may not afford the same level of investor protection as would apply in developed countries.
Foreign and Emerging
Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the United States. Foreign securities may be subject to risk of loss because of more or less foreign
government regulation, less public information and less economic, political and social stability in the countries in which the Funds invest. The imposition of exchange controls, confiscations, trade restrictions (including tariffs) and other
government restrictions by the United States or other governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which
may cause the value of securities denominated in such foreign currency (or other instruments through which the Funds have exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of
time. To the extent that the Funds also invest in securities of issuers located in emerging markets, these risks may be more pronounced.
Geographic Risk — If a Fund focuses its investments in securities of issuers located in a particular country or geographic region, the Fund
may be subjected, to a greater extent than if its investments were less focused, to the risks of volatile economic cycles and/or conditions and developments that may be particular to that country or region, such as: adverse securities markets;
adverse exchange rates; adverse social, political, regulatory, economic, business, environmental or other developments; or natural disasters.
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Funds will generally decline in value.
Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with changing interest rates may have unpredictable effects
on the markets and the Funds’ investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Funds.
GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
Investments in Other Investment Companies Risk — As a shareholder of another investment company, including an exchange-traded fund (“ETF”), a Fund will indirectly bear its
proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds,
including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds,
institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Fund in their investment model),
individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions may cause a Fund to sell portfolio securities at times when it would not otherwise do so, which may
negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large
redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the
extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.
Leverage Risk — Leverage creates exposure to potential gains and losses in excess of the initial amount invested. Borrowing and the use of
derivatives may result in leverage and may make a Fund more volatile. When a Fund uses leverage, the sum of that Fund’s investment exposure may significantly exceed the amount of assets invested in the Fund, although these exposures may vary
over time. Relatively small market movements may result in large changes in the value of a leveraged investment. A Fund will identify liquid assets on its books or otherwise cover transactions that may give rise to such risk, to the extent required
by applicable law. The use of leverage may cause a Fund to liquidate portfolio positions to satisfy its obligations or to meet segregation requirements when it may not be advantageous to do so. The use of leverage by a Fund can substantially
increase the adverse impact to which the Fund’s investment portfolio may be subject.
Liquidity Risk — A Fund may make
investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be
able to pay redemption proceeds within the allowable time period because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an
unfavorable time and/or under unfavorable conditions.
Liquidity risk may be the result of, among other things, the reduced
number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where
investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity.
Loan-Related Investments Risk – In addition to risks generally associated with debt investments, loan-related investments such as loan participations and assignments are subject to other
risks. Although a loan obligation may be fully collateralized at the time of acquisition, the collateral may decline in value, be relatively illiquid, or lose all or substantially all of its value subsequent to investment. Many loan investments are
subject to legal or contractual restrictions on resale and may be relatively illiquid and difficult to value. There is less readily available, reliable information about most loan investments than is the case for many other types of securities.
Substantial increases in interest rates may cause an increase in loan obligation defaults. With respect to loan participations, the Fund may not always have direct recourse against a borrower if the borrower fails to pay scheduled principal and/or
interest; may be subject to greater delays, expenses and risks than if the Fund had purchased a direct obligation of the borrower; and may be regarded as the creditor of the agent lender (rather than the borrower), subjecting the Fund to the
creditworthiness of that lender as well. Investors in loans, such as the Fund, may not be entitled to rely on the anti-fraud protections of the federal securities laws, although they may be entitled to certain contractual remedies. The market for
loan obligations may be subject to irregular trading activity, wide bid/ask spreads and extended trade settlement periods. Because transactions in many loans are subject to extended trade settlement periods, the Fund may not receive the proceeds
from the sale of a loan for a period after the sale. As a result, sale proceeds related to the sale of loans may not be available to make additional investments or to meet the Fund’s redemption obligations for a period after the sale of the
loans, and, as a result, the Fund may have to sell other investments or engage in borrowing transactions, such as borrowing from its credit facility, if necessary to raise cash to meet its obligations.
GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2018
(Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
Senior Loans hold the most senior position in the capital structure of a business entity, and are typically secured with specific collateral, but are nevertheless usually rated below investment grade.
Because Second Lien Loans are subordinated or unsecured and thus lower in priority of payment to Senior Loans, they are subject to the additional risk that the cash flow of the borrower and property securing the loan or debt, if any, may be
insufficient to meet scheduled payments after giving effect to the senior secured obligations of the borrower. Second Lien Loans generally have greater price volatility than Senior Loans and may be less liquid.
Market and Credit Risks — In the normal course of business, the Funds trade financial instruments and enter into financial transactions where
risk of potential loss exists due to changes in the market (market risk). Additionally, the Funds may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Funds have
unsettled or open transactions defaults.
Non-Diversification Risk — Each of the Emerging Markets Debt Fund, Local Emerging
Markets Debt Fund and Total Emerging Markets Debt Fund are non-diversified, meaning that they are permitted to invest a larger percentage of their assets in fewer issuers than diversified mutual funds. Thus, a Fund may be more susceptible to adverse
developments affecting any single issuer held in its portfolio, and may be more susceptible to greater losses because of these developments.
Sector Risk — To the extent a Fund focuses its investments in securities of issuers in one or more sectors (such as the financial services or
telecommunications sectors), the Fund may be subjected, to a greater extent than if its investments were diversified across different sectors, to the risks of volatile economic cycles and/or conditions and developments that may be particular to that
sector, such as: adverse economic, business, political, environmental or other developments.
| Item 2. |
Controls and Procedures. |
(a) The Registrant’s President/Chief 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.
(a) Separate certifications for the President/Chief 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 |
|
|
James A. McNamara,
President/Chief Executive Officer |
Date August 24, 2018
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 |
|
|
James A. McNamara,
President/Chief Executive Officer |
Date August 24, 2018
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| By (Signature and Title)* |
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/s/ Scott McHugh |
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Scott McHugh
Principal Financial Officer
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Date August 24, 2018
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Print the name and title of each signing officer under his or her signature. |