HTML
GOLDMAN SACHS BOND FUND
Schedule of Investments
December 31, 2020 (Unaudited)
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Principal Amount |
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Interest Rate |
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Maturity Date |
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Value |
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Corporate Obligations 57.2% |
Advertising(a)(b)
0.2% |
Outfront Media Capital LLC/Outfront Media Capital Corp. |
$ |
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1,050,000 |
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6.250 |
% |
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06/15/25 |
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$ 1,110,375 |
|
Aerospace & Defense 1.3% |
Howmet Aerospace,
Inc.(a) |
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1,358,000 |
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6.875 |
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05/01/25 |
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1,595,650 |
Northrop Grumman Corp. |
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750,000 |
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2.930 |
(a) |
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01/15/25 |
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815,910 |
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225,000 |
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4.750 |
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06/01/43 |
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300,834 |
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25,000 |
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4.030 |
(a) |
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10/15/47 |
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31,199 |
Raytheon Technologies Corp. |
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475,000 |
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3.950 |
(a) |
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08/16/25 |
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544,792 |
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10,000 |
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5.700 |
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04/15/40 |
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14,637 |
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200,000 |
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4.050 |
(a) |
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05/04/47 |
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248,698 |
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100,000 |
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4.625 |
(a) |
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11/16/48 |
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135,870 |
The Boeing
Co.(a) |
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35,000 |
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3.600 |
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05/01/34 |
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36,911 |
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50,000 |
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3.250 |
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02/01/35 |
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51,044 |
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25,000 |
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3.375 |
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06/15/46 |
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24,445 |
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25,000 |
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3.850 |
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11/01/48 |
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25,850 |
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1,025,000 |
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5.805 |
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05/01/50 |
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1,409,805 |
TransDigm,
Inc.(a) |
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50,000 |
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6.500 |
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05/15/25 |
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51,437 |
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166,000 |
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6.250 |
(b) |
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03/15/26 |
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176,790 |
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575,000 |
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6.375 |
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06/15/26 |
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596,562 |
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425,000 |
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7.500 |
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03/15/27 |
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454,750 |
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6,515,184 |
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Agriculture 0.5% |
Altria Group,
Inc.(a) |
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820,000 |
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3.800 |
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02/14/24 |
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895,407 |
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35,000 |
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5.800 |
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02/14/39 |
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46,037 |
BAT Capital
Corp.(a) |
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840,000 |
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3.222 |
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08/15/24 |
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909,409 |
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25,000 |
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4.758 |
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09/06/49 |
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28,748 |
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100,000 |
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5.282 |
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04/02/50 |
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123,230 |
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Principal Amount |
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Interest Rate |
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Maturity Date |
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Value |
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Corporate Obligations (continued) |
Agriculture (continued) |
Reynolds American, Inc. |
$ |
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700,000 |
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4.850 |
% |
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09/15/23 |
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$ 780,934 |
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2,783,765 |
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Automotive 1.4% |
Allison Transmission,
Inc.(a)(b) |
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696,000 |
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3.750 |
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01/30/31 |
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709,920 |
American Honda Finance Corp. |
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65,000 |
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2.900 |
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02/16/24 |
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69,651 |
BMW US Capital
LLC(a)(b) |
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30,000 |
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3.625 |
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04/18/29 |
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34,693 |
BorgWarner,
Inc.(b) |
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60,000 |
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5.000 |
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10/01/25 |
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70,533 |
Ford Motor
Co.(a) |
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27,000 |
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9.000 |
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04/22/25 |
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33,170 |
Ford Motor Credit Co.
LLC(a) |
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330,000 |
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2.979 |
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08/03/22 |
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335,503 |
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900,000 |
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4.140 |
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02/15/23 |
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926,005 |
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250,000 |
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4.687 |
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06/09/25 |
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266,261 |
General Motors Co. |
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425,000 |
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5.400 |
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10/02/23 |
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477,347 |
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225,000 |
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4.000 |
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04/01/25 |
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249,417 |
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30,000 |
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6.600 |
(a) |
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04/01/36 |
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40,752 |
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35,000 |
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5.150 |
(a) |
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04/01/38 |
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41,963 |
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50,000 |
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5.950 |
(a) |
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04/01/49 |
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67,378 |
General Motors Financial Co.,
Inc.(a) |
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300,000 |
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4.300 |
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07/13/25 |
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336,399 |
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125,000 |
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5.650 |
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01/17/29 |
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154,760 |
Hyundai Capital America |
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70,000 |
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2.750 |
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09/27/26 |
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73,922 |
IHO Verwaltungs GmbH(a)(b)(c)
(PIK 7.125%, Cash 6.375%) |
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823,000 |
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6.375 |
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05/15/29 |
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903,243 |
Lear Corp.(a) |
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30,000 |
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5.250 |
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05/15/49 |
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36,697 |
Meritor,
Inc.(a)(b) |
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165,000 |
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6.250 |
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06/01/25 |
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177,788 |
The Goodyear Tire & Rubber
Co.(a) |
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790,000 |
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9.500 |
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05/31/25 |
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889,738 |
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GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
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Principal Amount |
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Interest Rate |
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Maturity Date |
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Value |
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Corporate Obligations (continued) |
Automotive (continued) |
The Goodyear Tire & Rubber
Co.(a) |
$ |
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1,200,000 |
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5.125 |
% |
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11/15/23 |
|
$ 1,201,500 |
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7,096,640 |
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Banks 13.1% |
ABN AMRO Bank NV(a)(d) (-1x 5
Year EUR Swap + 4.674%) |
EUR |
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400,000 |
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4.375 |
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12/31/99 |
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519,348 |
AIB Group PLC |
$ |
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1,300,000 |
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|
4.750 |
(b) |
|
10/12/23 |
|
1,429,194 |
(-1x 5 Year EUR Swap + 6.629%) |
EUR |
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400,000 |
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6.250 |
(a)(d) |
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12/31/99 |
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539,828 |
Banco do Brasil
SA(a)(d) |
(10 Year CMT + 4.398%) |
$ |
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200,000 |
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6.250 |
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10/29/49 |
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204,813 |
(10 Year CMT + 6.362%) |
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200,000 |
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9.000 |
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06/29/49 |
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223,063 |
Banco Santander SA |
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800,000 |
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2.746 |
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05/28/25 |
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855,120 |
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600,000 |
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4.250 |
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04/11/27 |
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695,454 |
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400,000 |
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2.749 |
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12/03/30 |
|
412,464 |
(-1x 5 Year EUR Swap + 4.534%) |
EUR |
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200,000 |
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4.375 |
(a)(d) |
|
12/31/99 |
|
244,330 |
Bank of America Corp. |
$ |
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425,000 |
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4.200 |
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08/26/24 |
|
475,796 |
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1,300,000 |
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3.248 |
(a) |
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10/21/27 |
|
1,455,090 |
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925,000 |
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4.183 |
(a) |
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11/25/27 |
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1,073,314 |
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100,000 |
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6.110 |
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01/29/37 |
|
145,565 |
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5,000 |
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|
5.875 |
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02/07/42 |
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7,578 |
(3M USD LIBOR + 0.970%) |
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65,000 |
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3.458 |
(a)(d) |
|
03/15/25 |
|
70,788 |
(3M USD LIBOR + 0.990%) |
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75,000 |
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2.496 |
(a)(d) |
|
02/13/31 |
|
79,553 |
(3M USD LIBOR + 1.190%) |
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525,000 |
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|
2.884 |
(a)(d) |
|
10/22/30 |
|
574,224 |
(3M USD LIBOR + 1.310%) |
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|
750,000 |
|
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|
4.271 |
(a)(d) |
|
07/23/29 |
|
892,072 |
(3M USD LIBOR + 1.575%) |
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|
525,000 |
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3.824 |
(a)(d) |
|
01/20/28 |
|
602,653 |
(3M USD LIBOR + 1.814%) |
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30,000 |
|
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|
4.244 |
(a)(d) |
|
04/24/38 |
|
37,033 |
(3M USD LIBOR + 1.990%) |
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|
5,000 |
|
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|
4.443 |
(a)(d) |
|
01/20/48 |
|
6,615 |
(SOFR + 1.370%) |
|
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|
1,050,000 |
|
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|
1.922 |
(a)(d) |
|
10/24/31 |
|
1,063,545 |
(SOFR + 1.530%) |
|
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|
600,000 |
|
|
|
1.898 |
(a)(d) |
|
07/23/31 |
|
606,840 |
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Principal Amount |
|
|
Interest Rate |
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|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Banks (continued) |
(SOFR + 2.150%) |
$ |
|
|
1,975,000 |
|
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|
2.592 |
%(a)(d) |
|
04/29/31 |
|
$ 2,116,153 |
Barclays
PLC(a)(d) |
(3M USD LIBOR + 1.400%) |
|
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1,275,000 |
|
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|
4.610 |
|
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02/15/23 |
|
1,330,870 |
(3M USD LIBOR + 2.452%) |
|
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825,000 |
|
|
|
2.852 |
|
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05/07/26 |
|
886,075 |
BNP Paribas
SA(b) |
|
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1,750,000 |
|
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3.500 |
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03/01/23 |
|
1,860,302 |
|
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|
550,000 |
|
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|
3.375 |
|
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01/09/25 |
|
602,211 |
(5 Year USD Swap + 4.149%) |
|
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200,000 |
|
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|
6.625 |
(a)(d) |
|
12/31/99 |
|
218,376 |
(SOFR + 2.074%) |
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350,000 |
|
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|
2.219 |
(a)(d) |
|
06/09/26 |
|
366,296 |
BPCE SA(b) |
|
|
|
1,025,000 |
|
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|
4.000 |
|
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09/12/23 |
|
1,115,518 |
|
|
|
525,000 |
|
|
|
4.625 |
|
|
09/12/28 |
|
632,436 |
CIT Bank NA(a)(d) (SOFR +
1.715%) |
|
|
|
600,000 |
|
|
|
2.969 |
|
|
09/27/25 |
|
625,362 |
Citigroup, Inc. |
|
|
|
780,000 |
|
|
|
3.500 |
|
|
05/15/23 |
|
835,871 |
|
|
|
1,050,000 |
|
|
|
3.400 |
|
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05/01/26 |
|
1,184,589 |
|
|
|
125,000 |
|
|
|
4.300 |
|
|
11/20/26 |
|
145,834 |
|
|
|
1,125,000 |
|
|
|
4.450 |
|
|
09/29/27 |
|
1,327,916 |
|
|
|
1,200,000 |
|
|
|
4.125 |
|
|
07/25/28 |
|
1,402,500 |
|
|
|
15,000 |
|
|
|
8.125 |
|
|
07/15/39 |
|
26,838 |
(3M USD LIBOR + 0.897%) |
|
|
|
65,000 |
|
|
|
3.352 |
(a)(d) |
|
04/24/25 |
|
70,757 |
(3M USD LIBOR + 1.023%) |
|
|
|
535,000 |
|
|
|
4.044 |
(a)(d) |
|
06/01/24 |
|
580,983 |
(SOFR + 1.422%) |
|
|
|
550,000 |
|
|
|
2.976 |
(a)(d) |
|
11/05/30 |
|
605,352 |
(SOFR + 3.914%) |
|
|
|
450,000 |
|
|
|
4.412 |
(a)(d) |
|
03/31/31 |
|
545,522 |
Citizens Financial Group,
Inc.(a) |
|
|
|
65,000 |
|
|
|
2.850 |
|
|
07/27/26 |
|
72,051 |
Commerzbank AG(a)(d) (-1x 5
Year EUR Swap + 6.363%) |
EUR |
|
|
400,000 |
|
|
|
6.125 |
|
|
03/31/99 |
|
520,770 |
Credit Agricole
SA(a)(b)(d) |
(5 Year USD Swap + 4.319%) |
|
|
|
250,000 |
|
|
|
6.875 |
|
|
12/31/99 |
|
278,195 |
(SOFR + 1.676%) |
$ |
|
|
375,000 |
|
|
|
1.907 |
|
|
06/16/26 |
|
388,395 |
Credit Suisse AG |
|
|
|
300,000 |
|
|
|
2.950 |
|
|
04/09/25 |
|
328,941 |
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
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|
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|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Banks (continued) |
Credit Suisse Group AG |
$ |
|
|
307,000 |
|
|
|
4.550 |
% |
|
04/17/26 |
|
$ 361,232 |
|
|
|
875,000 |
|
|
|
4.282 |
(a)(b) |
|
01/09/28 |
|
1,013,434 |
(3M USD LIBOR + 1.410%) |
|
|
|
525,000 |
|
|
|
3.869 |
(a)(b)(d) |
|
01/12/29 |
|
594,079 |
Deutsche Bank AG |
|
|
|
65,000 |
|
|
|
4.100 |
|
|
01/13/26 |
|
72,097 |
(SOFR + 1.870%) |
|
|
|
450,000 |
|
|
|
2.129 |
(a)(d) |
|
11/24/26 |
|
460,512 |
(SOFR + 2.159%) |
|
|
|
300,000 |
|
|
|
2.222 |
(a)(d) |
|
09/18/24 |
|
308,445 |
Erste Group Bank AG(a)(d) (5
Year EUR Swap + 6.204%) |
EUR |
|
|
400,000 |
|
|
|
6.500 |
|
|
12/31/99 |
|
544,660 |
Fifth Third
Bancorp(a) |
$ |
|
|
25,000 |
|
|
|
3.650 |
|
|
01/25/24 |
|
27,261 |
|
|
|
375,000 |
|
|
|
2.375 |
|
|
01/28/25 |
|
398,891 |
First Horizon
Corp.(a) |
|
|
|
700,000 |
|
|
|
3.550 |
|
|
05/26/23 |
|
742,497 |
|
|
|
700,000 |
|
|
|
4.000 |
|
|
05/26/25 |
|
781,158 |
HSBC Holdings PLC |
|
|
|
200,000 |
|
|
|
4.950 |
|
|
03/31/30 |
|
249,946 |
(3M USD LIBOR + 1.000%) |
|
|
|
450,000 |
|
|
|
1.220 |
(a)(d) |
|
05/18/24 |
|
453,060 |
(3M USD LIBOR + 1.055%) |
|
|
|
625,000 |
|
|
|
3.262 |
(a)(d) |
|
03/13/23 |
|
645,300 |
(3M USD LIBOR + 1.211%) |
|
|
|
600,000 |
|
|
|
3.803 |
(a)(d) |
|
03/11/25 |
|
655,068 |
(SOFR + 1.538%) |
|
|
|
1,050,000 |
|
|
|
1.645 |
(a)(d) |
|
04/18/26 |
|
1,074,475 |
Huntington Bancshares,
Inc.(a) |
|
|
|
825,000 |
|
|
|
4.000 |
|
|
05/15/25 |
|
934,197 |
ING Groep NV(a)(b)(d) (1 Year
CMT + 1.100%) |
|
|
|
950,000 |
|
|
|
1.400 |
|
|
07/01/26 |
|
964,924 |
Itau Unibanco Holding
SA(a)(b)(d) (5 Year CMT + 3.222%) |
|
|
|
200,000 |
|
|
|
4.625 |
|
|
12/31/99 |
|
196,313 |
JPMorgan Chase &
Co.(a) |
|
|
|
425,000 |
|
|
|
3.625 |
|
|
12/01/27 |
|
482,864 |
(3M USD LIBOR + 0.730%) |
|
|
|
195,000 |
|
|
|
3.559 |
(d) |
|
04/23/24 |
|
208,818 |
(3M USD LIBOR + 0.890%) |
|
|
|
220,000 |
|
|
|
3.797 |
(d) |
|
07/23/24 |
|
238,278 |
(3M USD LIBOR + 1.245%) |
|
|
|
1,000,000 |
|
|
|
3.960 |
(d) |
|
01/29/27 |
|
1,149,480 |
(3M USD LIBOR + 3.800%) |
|
|
|
1,710,000 |
|
|
|
4.014 |
(d) |
|
12/29/49 |
|
1,709,162 |
(SOFR + 1.160%) |
|
|
|
550,000 |
|
|
|
2.301 |
(d) |
|
10/15/25 |
|
583,863 |
(SOFR + 2.040%) |
|
|
|
275,000 |
|
|
|
2.522 |
(d) |
|
04/22/31 |
|
294,960 |
(SOFR + 2.515%) |
|
|
|
275,000 |
|
|
|
2.956 |
(d) |
|
05/13/31 |
|
300,993 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Banks (continued) |
(SOFR + 3.125%) |
$ |
|
|
800,000 |
|
|
|
4.600 |
%(d) |
|
12/31/99 |
|
$ 825,184 |
(SOFR + 3.790%) |
|
|
|
75,000 |
|
|
|
4.493 |
(d) |
|
03/24/31 |
|
92,438 |
Mitsubishi UFJ Financial Group, Inc. |
|
|
|
60,000 |
|
|
|
3.741 |
|
|
03/07/29 |
|
70,588 |
|
|
|
30,000 |
|
|
|
4.286 |
|
|
07/26/38 |
|
38,237 |
|
|
|
700,000 |
|
|
|
3.751 |
|
|
07/18/39 |
|
844,893 |
Morgan Stanley, Inc. |
|
|
|
1,050,000 |
|
|
|
3.700 |
|
|
10/23/24 |
|
1,168,954 |
|
|
|
50,000 |
|
|
|
4.000 |
|
|
07/23/25 |
|
57,178 |
|
|
|
425,000 |
|
|
|
3.950 |
|
|
04/23/27 |
|
491,394 |
|
|
|
25,000 |
|
|
|
6.375 |
|
|
07/24/42 |
|
40,818 |
(3M USD LIBOR + 0.847%) |
|
|
|
415,000 |
|
|
|
3.737 |
(a)(d) |
|
04/24/24 |
|
446,449 |
(3M USD LIBOR + 1.400%) |
|
|
|
1,550,000 |
|
|
|
1.615 |
(a)(d) |
|
10/24/23 |
|
1,578,938 |
(3M USD LIBOR + 1.431%) |
|
|
|
35,000 |
|
|
|
4.457 |
(a)(d) |
|
04/22/39 |
|
45,643 |
(3M USD LIBOR + 1.628%) |
|
|
|
700,000 |
|
|
|
4.431 |
(a)(d) |
|
01/23/30 |
|
852,950 |
(SOFR + 1.034%) |
|
|
|
750,000 |
|
|
|
1.794 |
(a)(d) |
|
02/13/32 |
|
754,342 |
(SOFR + 1.143%) |
|
|
|
1,275,000 |
|
|
|
2.699 |
(a)(d) |
|
01/22/31 |
|
1,386,562 |
(SOFR + 1.152%) |
|
|
|
800,000 |
|
|
|
2.720 |
(a)(d) |
|
07/22/25 |
|
855,728 |
(SOFR + 3.120%) |
|
|
|
400,000 |
|
|
|
3.622 |
(a)(d) |
|
04/01/31 |
|
464,572 |
Natwest Group PLC |
|
|
|
826,000 |
|
|
|
3.875 |
|
|
09/12/23 |
|
895,731 |
(3M USD LIBOR + 1.480%) |
|
|
|
1,160,000 |
|
|
|
3.498 |
(a)(d) |
|
05/15/23 |
|
1,206,481 |
(3M USD LIBOR + 1.550%) |
|
|
|
850,000 |
|
|
|
4.519 |
(a)(d) |
|
06/25/24 |
|
928,013 |
(3M USD LIBOR + 1.762%) |
|
|
|
225,000 |
|
|
|
4.269 |
(a)(d) |
|
03/22/25 |
|
248,591 |
(5 Year CMT + 2.100%) |
|
|
|
200,000 |
|
|
|
3.754 |
(a)(d) |
|
11/01/29 |
|
212,250 |
Santander UK PLC |
|
|
|
1,000,000 |
|
|
|
2.875 |
|
|
06/18/24 |
|
1,070,790 |
Standard Chartered
PLC(a)(b)(d) (3M USD LIBOR + 1.150%) |
|
|
|
1,325,000 |
|
|
|
4.247 |
|
|
01/20/23 |
|
1,373,296 |
State Street
Corp.(a)(d) |
(3M USD LIBOR + 1.030%) |
|
|
|
60,000 |
|
|
|
4.141 |
|
|
12/03/29 |
|
72,606 |
(SOFR + 2.650%) |
|
|
|
25,000 |
|
|
|
3.152 |
|
|
03/30/31 |
|
28,495 |
The Bank of New York Mellon
Corp.(a) |
|
|
|
40,000 |
|
|
|
1.600 |
|
|
04/24/25 |
|
41,783 |
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Banks (continued) |
The Bank of Nova Scotia |
$ |
|
|
50,000 |
|
|
|
3.400 |
% |
|
02/11/24 |
|
$ 54,416 |
The PNC Financial Services Group,
Inc.(a) |
|
|
|
35,000 |
|
|
|
3.500 |
|
|
01/23/24 |
|
38,148 |
Truist Bank(a) |
|
|
|
50,000 |
|
|
|
3.200 |
|
|
04/01/24 |
|
54,167 |
|
|
|
350,000 |
|
|
|
2.250 |
|
|
03/11/30 |
|
367,238 |
Turkiye Vakiflar Bankasi TAO |
|
|
|
200,000 |
|
|
|
8.125 |
|
|
03/28/24 |
|
213,563 |
|
|
|
200,000 |
|
|
|
6.500 |
(b) |
|
01/08/26 |
|
204,750 |
US Bancorp(a) |
|
|
|
60,000 |
|
|
|
3.150 |
|
|
04/27/27 |
|
67,687 |
Wells Fargo & Co. |
|
|
|
315,000 |
|
|
|
3.750 |
(a) |
|
01/24/24 |
|
343,857 |
|
|
|
2,750,000 |
|
|
|
3.000 |
|
|
10/23/26 |
|
3,046,560 |
|
|
|
600,000 |
|
|
|
4.300 |
|
|
07/22/27 |
|
703,770 |
|
|
|
75,000 |
|
|
|
4.150 |
(a) |
|
01/24/29 |
|
88,856 |
(3M USD LIBOR + 0.750%) |
|
|
|
45,000 |
|
|
|
2.164 |
(a)(d) |
|
02/11/26 |
|
47,308 |
(3M USD LIBOR + 4.240%) |
|
|
|
75,000 |
|
|
|
5.013 |
(a)(d) |
|
04/04/51 |
|
106,410 |
(SOFR + 1.600%) |
|
|
|
70,000 |
|
|
|
1.654 |
(a)(d) |
|
06/02/24 |
|
71,951 |
Westpac Banking Corp. |
|
|
|
65,000 |
|
|
|
3.300 |
|
|
02/26/24 |
|
70,833 |
(5 Year CMT + 2.000%) |
|
|
|
300,000 |
|
|
|
4.110 |
(a)(d) |
|
07/24/34 |
|
340,671 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
67,641,449 |
|
Beverages 1.7% |
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.(a) |
|
|
|
385,000 |
|
|
|
4.700 |
|
|
02/01/36 |
|
487,991 |
|
|
|
2,050,000 |
|
|
|
4.900 |
|
|
02/01/46 |
|
2,666,230 |
Anheuser-Busch InBev Worldwide,
Inc.(a) |
|
|
|
55,000 |
|
|
|
5.450 |
|
|
01/23/39 |
|
74,256 |
|
|
|
925,000 |
|
|
|
4.600 |
|
|
04/15/48 |
|
1,165,935 |
Bacardi
Ltd.(a)(b) |
|
|
|
600,000 |
|
|
|
5.300 |
|
|
05/15/48 |
|
828,330 |
Constellation Brands,
Inc.(a) |
|
|
|
625,000 |
|
|
|
4.400 |
|
|
11/15/25 |
|
726,862 |
|
|
|
225,000 |
|
|
|
3.700 |
|
|
12/06/26 |
|
257,657 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Beverages (continued) |
Constellation Brands, Inc.(a)
(continued) |
$ |
|
|
500,000 |
|
|
|
3.600 |
% |
|
02/15/28 |
|
$ 570,415 |
|
|
|
625,000 |
|
|
|
3.150 |
|
|
08/01/29 |
|
695,575 |
Keurig Dr Pepper,
Inc.(a) |
|
|
|
750,000 |
|
|
|
4.057 |
|
|
05/25/23 |
|
814,642 |
|
|
|
50,000 |
|
|
|
5.085 |
|
|
05/25/48 |
|
70,040 |
|
|
|
100,000 |
|
|
|
3.800 |
|
|
05/01/50 |
|
119,384 |
Molson Coors Beverage Co. |
|
|
|
20,000 |
|
|
|
5.000 |
|
|
05/01/42 |
|
24,853 |
PepsiCo, Inc.(a) |
|
|
|
40,000 |
|
|
|
2.250 |
|
|
03/19/25 |
|
42,816 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,544,986 |
|
Biotechnology(a)
0.1% |
Amgen, Inc. |
|
|
|
25,000 |
|
|
|
3.625 |
|
|
05/22/24 |
|
27,440 |
Royalty Pharma
PLC(b) |
|
|
|
425,000 |
|
|
|
1.200 |
|
|
09/02/25 |
|
431,562 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
459,002 |
|
Building Materials(a)
0.5% |
Carrier Global Corp. |
|
|
|
1,125,000 |
|
|
|
2.493 |
|
|
02/15/27 |
|
1,213,290 |
|
|
|
500,000 |
|
|
|
2.722 |
|
|
02/15/30 |
|
534,270 |
Cemex SAB de
CV(b) |
|
|
|
200,000 |
|
|
|
5.200 |
|
|
09/17/30 |
|
218,500 |
Summit Materials LLC/Summit Materials Finance Corp.(b) |
|
|
|
413,000 |
|
|
|
5.250 |
|
|
01/15/29 |
|
433,650 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,399,710 |
|
Chemicals 2.0% |
Air Products & Chemicals,
Inc.(a) |
|
|
|
50,000 |
|
|
|
2.800 |
|
|
05/15/50 |
|
54,872 |
Air Products and Chemicals,
Inc.(a) |
|
|
|
200,000 |
|
|
|
2.050 |
|
|
05/15/30 |
|
213,420 |
Axalta Coating Systems
LLC(a)(b) |
|
|
|
965,000 |
|
|
|
3.375 |
|
|
02/15/29 |
|
966,206 |
CNAC HK Finbridge Co. Ltd. |
|
|
|
200,000 |
|
|
|
3.875 |
|
|
06/19/29 |
|
202,188 |
DuPont de Nemours,
Inc.(a) |
|
|
|
425,000 |
|
|
|
4.205 |
|
|
11/15/23 |
|
469,149 |
|
|
|
55,000 |
|
|
|
5.319 |
|
|
11/15/38 |
|
74,384 |
|
|
|
50,000 |
|
|
|
5.419 |
|
|
11/15/48 |
|
72,333 |
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Chemicals (continued) |
Huntsman International
LLC(a) |
$ |
|
|
350,000 |
|
|
|
4.500 |
% |
|
05/01/29 |
|
$ 404,208 |
Kraton Polymers LLC/Kraton Polymers Capital Corp.(a)(b) |
|
|
|
305,000 |
|
|
|
4.250 |
|
|
12/15/25 |
|
311,100 |
Nutrition & Biosciences,
Inc.(a)(b) |
|
|
|
650,000 |
|
|
|
1.832 |
|
|
10/15/27 |
|
669,487 |
|
|
|
1,150,000 |
|
|
|
2.300 |
|
|
11/01/30 |
|
1,182,269 |
|
|
|
275,000 |
|
|
|
3.268 |
|
|
11/15/40 |
|
294,990 |
Sasol Financing USA
LLC(a) |
|
|
|
310,000 |
|
|
|
5.875 |
|
|
03/27/24 |
|
329,762 |
Syngenta Finance
NV(b) |
|
|
|
1,485,000 |
|
|
|
3.933 |
|
|
04/23/21 |
|
1,496,034 |
The Chemours
Co.(a)(b) |
|
|
|
985,000 |
|
|
|
5.750 |
|
|
11/15/28 |
|
1,004,700 |
The Sherwin-Williams
Co.(a) |
|
|
|
500,000 |
|
|
|
3.450 |
|
|
06/01/27 |
|
567,145 |
|
|
|
475,000 |
|
|
|
2.950 |
|
|
08/15/29 |
|
524,965 |
|
|
|
25,000 |
|
|
|
3.300 |
|
|
05/15/50 |
|
27,953 |
Tronox,
Inc.(a)(b) |
|
|
|
1,250,000 |
|
|
|
6.500 |
|
|
05/01/25 |
|
1,335,937 |
Valvoline,
Inc.(a)(b) |
|
|
|
315,000 |
|
|
|
3.625 |
|
|
06/15/31 |
|
323,663 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,524,765 |
|
Commercial Services(a)
1.3% |
CoStar Group,
Inc.(b) |
|
|
|
625,000 |
|
|
|
2.800 |
|
|
07/15/30 |
|
648,650 |
Global Payments, Inc. |
|
|
|
375,000 |
|
|
|
2.650 |
|
|
02/15/25 |
|
401,722 |
|
|
|
225,000 |
|
|
|
3.200 |
|
|
08/15/29 |
|
249,782 |
IHS Markit
Ltd.(b) |
|
|
|
550,000 |
|
|
|
4.000 |
|
|
03/01/26 |
|
628,496 |
MPH Acquisition Holdings
LLC(b) |
|
|
|
1,280,000 |
|
|
|
5.750 |
|
|
11/01/28 |
|
1,254,400 |
Nielsen Finance LLC/Nielsen Finance Co.(b) |
|
|
|
83,000 |
|
|
|
5.875 |
|
|
10/01/30 |
|
93,894 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Commercial Services(a)
(continued) |
PayPal Holdings, Inc. |
$ |
|
|
1,150,000 |
|
|
|
1.650 |
% |
|
06/01/25 |
|
$ 1,202,762 |
|
|
|
1,175,000 |
|
|
|
2.650 |
|
|
10/01/26 |
|
1,290,925 |
Prime Security Services Borrower LLC/Prime Finance, Inc.(b) |
|
|
|
510,000 |
|
|
|
3.375 |
|
|
08/31/27 |
|
503,625 |
United Rentals North America, Inc. |
|
|
|
400,000 |
|
|
|
3.875 |
|
|
02/15/31 |
|
420,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,694,256 |
|
Computers 1.8% |
Amdocs Ltd.(a) |
|
|
|
350,000 |
|
|
|
2.538 |
|
|
06/15/30 |
|
368,158 |
Apple, Inc.(a) |
|
|
|
65,000 |
|
|
|
3.000 |
|
|
02/09/24 |
|
69,945 |
|
|
|
1,875,000 |
|
|
|
2.450 |
|
|
08/04/26 |
|
2,043,112 |
|
|
|
40,000 |
|
|
|
4.500 |
|
|
02/23/36 |
|
53,876 |
Dell International LLC/EMC
Corp.(a)(b) |
|
|
|
600,000 |
|
|
|
5.450 |
|
|
06/15/23 |
|
663,642 |
|
|
|
275,000 |
|
|
|
5.850 |
|
|
07/15/25 |
|
329,178 |
|
|
|
325,000 |
|
|
|
6.020 |
|
|
06/15/26 |
|
396,559 |
|
|
|
35,000 |
|
|
|
6.100 |
|
|
07/15/27 |
|
43,471 |
|
|
|
50,000 |
|
|
|
5.300 |
|
|
10/01/29 |
|
61,260 |
|
|
|
50,000 |
|
|
|
6.200 |
|
|
07/15/30 |
|
64,692 |
|
|
|
175,000 |
|
|
|
8.100 |
|
|
07/15/36 |
|
257,145 |
|
|
|
100,000 |
|
|
|
8.350 |
|
|
07/15/46 |
|
150,512 |
Hewlett Packard Enterprise
Co.(a) |
|
|
|
1,300,000 |
|
|
|
4.450 |
|
|
10/02/23 |
|
1,431,495 |
|
|
|
615,000 |
|
|
|
4.650 |
|
|
10/01/24 |
|
698,997 |
|
|
|
909,000 |
|
|
|
4.900 |
|
|
10/15/25 |
|
1,063,984 |
|
|
|
155,000 |
|
|
|
6.350 |
|
|
10/15/45 |
|
204,527 |
HP, Inc. |
|
|
|
30,000 |
|
|
|
6.000 |
|
|
09/15/41 |
|
39,141 |
NetApp, Inc.(a) |
|
|
|
35,000 |
|
|
|
2.375 |
|
|
06/22/27 |
|
37,364 |
Seagate HDD
Cayman(a)(b) |
|
|
|
1,323,000 |
|
|
|
3.375 |
|
|
07/15/31 |
|
1,328,094 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,305,152 |
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Cosmetics/Personal Care 0.0% |
The Procter & Gamble Co. |
$ |
|
|
45,000 |
|
|
|
2.800 |
% |
|
03/25/27 |
|
$ 50,147 |
|
Distribution & Wholesale(a)(b)
0.1% |
H&E Equipment Services, Inc. |
|
|
|
325,000 |
|
|
|
3.875 |
|
|
12/15/28 |
|
326,625 |
Performance Food Group, Inc. |
|
|
|
255,000 |
|
|
|
6.875 |
|
|
05/01/25 |
|
272,850 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
599,475 |
|
Diversified Financial Services 2.6% |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
|
|
|
1,150,000 |
|
|
|
4.625 |
|
|
07/01/22 |
|
1,208,983 |
|
|
|
450,000 |
|
|
|
3.300 |
(a) |
|
01/23/23 |
|
469,008 |
|
|
|
400,000 |
|
|
|
4.875 |
(a) |
|
01/16/24 |
|
437,504 |
|
|
|
295,000 |
|
|
|
6.500 |
(a) |
|
07/15/25 |
|
352,649 |
Air Lease Corp. |
|
|
|
550,000 |
|
|
|
2.250 |
|
|
01/15/23 |
|
564,762 |
|
|
|
425,000 |
|
|
|
3.375 |
(a) |
|
07/01/25 |
|
459,110 |
|
|
|
475,000 |
|
|
|
2.875 |
(a) |
|
01/15/26 |
|
502,450 |
|
|
|
875,000 |
|
|
|
3.750 |
(a) |
|
06/01/26 |
|
965,064 |
|
|
|
50,000 |
|
|
|
3.250 |
(a) |
|
10/01/29 |
|
52,766 |
Ally Financial,
Inc.(a) |
|
|
|
275,000 |
|
|
|
1.450 |
|
|
10/02/23 |
|
280,676 |
American Express
Co.(a) |
|
|
|
65,000 |
|
|
|
3.400 |
|
|
02/22/24 |
|
70,832 |
|
|
|
165,000 |
|
|
|
2.500 |
|
|
07/30/24 |
|
176,327 |
(3M USD LIBOR + 3.285%) |
|
|
|
345,000 |
|
|
|
3.502 |
(d) |
|
12/29/49 |
|
339,394 |
Avolon Holdings Funding
Ltd.(a)(b) |
|
|
|
425,000 |
|
|
|
3.950 |
|
|
07/01/24 |
|
448,885 |
|
|
|
675,000 |
|
|
|
2.875 |
|
|
02/15/25 |
|
687,089 |
|
|
|
175,000 |
|
|
|
4.250 |
|
|
04/15/26 |
|
189,091 |
Capital One Financial Corp. |
|
|
|
325,000 |
|
|
|
3.500 |
|
|
06/15/23 |
|
348,465 |
|
|
|
50,000 |
|
|
|
3.900 |
(a) |
|
01/29/24 |
|
54,753 |
|
|
|
320,000 |
|
|
|
3.300 |
(a) |
|
10/30/24 |
|
351,651 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Diversified Financial Services (continued) |
GE Capital International Funding Co. |
$ |
|
|
1,600,000 |
|
|
|
3.373 |
% |
|
11/15/25 |
|
$ 1,778,688 |
|
|
|
250,000 |
|
|
|
4.418 |
|
|
11/15/35 |
|
298,090 |
Global Aircraft Leasing Co.
Ltd.(a)(b)(c) (PIK 7.250%, Cash 6.500%) |
|
|
|
717,625 |
|
|
|
6.500 |
|
|
09/15/24 |
|
635,098 |
Huarong Finance II Co. Ltd. |
|
|
|
480,000 |
|
|
|
3.750 |
|
|
05/29/24 |
|
505,200 |
|
|
|
200,000 |
|
|
|
5.500 |
|
|
01/16/25 |
|
225,593 |
Intercontinental Exchange,
Inc.(a) |
|
|
|
350,000 |
|
|
|
3.000 |
|
|
06/15/50 |
|
370,136 |
JAB Holdings
B.V.(a)(b) |
|
|
|
250,000 |
|
|
|
2.200 |
|
|
11/23/30 |
|
250,645 |
Mastercard,
Inc.(a) |
|
|
|
300,000 |
|
|
|
3.300 |
|
|
03/26/27 |
|
342,126 |
Nasdaq, Inc.(a) |
|
|
|
100,000 |
|
|
|
3.250 |
|
|
04/28/50 |
|
109,291 |
Nationstar Mortgage Holdings,
Inc.(a)(b) |
|
|
|
279,000 |
|
|
|
5.125 |
|
|
12/15/30 |
|
291,555 |
OneMain Finance
Corp.(a) |
|
|
|
509,000 |
|
|
|
4.000 |
|
|
09/15/30 |
|
526,179 |
Raymond James Financial,
Inc.(a) |
|
|
|
75,000 |
|
|
|
4.650 |
|
|
04/01/30 |
|
92,052 |
Visa, Inc.(a) |
|
|
|
100,000 |
|
|
|
2.050 |
|
|
04/15/30 |
|
106,769 |
|
|
|
15,000 |
|
|
|
4.150 |
|
|
12/14/35 |
|
19,457 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,510,338 |
|
Electrical 2.7% |
AEP Transmission Co.
LLC(a) |
|
|
|
50,000 |
|
|
|
3.650 |
|
|
04/01/50 |
|
60,389 |
Alliant Energy Finance
LLC(a)(b) |
|
|
|
375,000 |
|
|
|
3.750 |
|
|
06/15/23 |
|
401,944 |
|
|
|
100,000 |
|
|
|
4.250 |
|
|
06/15/28 |
|
115,919 |
Ameren Corp.(a) |
|
|
|
125,000 |
|
|
|
3.500 |
|
|
01/15/31 |
|
143,959 |
American Electric Power Co.,
Inc.(a) |
|
|
|
250,000 |
|
|
|
2.300 |
|
|
03/01/30 |
|
260,840 |
Appalachian Power
Co.(a) |
|
|
|
30,000 |
|
|
|
3.700 |
|
|
05/01/50 |
|
36,020 |
Berkshire Hathaway Energy
Co.(a) |
|
|
|
225,000 |
|
|
|
3.250 |
|
|
04/15/28 |
|
256,430 |
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Electrical (continued) |
Berkshire Hathaway Energy
Co.(a) (continued) |
$ |
|
|
400,000 |
|
|
|
3.700 |
%(b) |
|
07/15/30 |
|
$ 473,504 |
|
|
|
20,000 |
|
|
|
4.450 |
|
|
01/15/49 |
|
26,250 |
Calpine
Corp.(a)(b) |
|
|
|
625,000 |
|
|
|
5.000 |
|
|
02/01/31 |
|
653,125 |
|
|
|
645,000 |
|
|
|
3.750 |
|
|
03/01/31 |
|
636,937 |
Dominion Energy, Inc. |
|
|
|
675,000 |
|
|
|
3.071 |
(e) |
|
08/15/24 |
|
728,878 |
|
|
|
225,000 |
|
|
|
3.375 |
(a) |
|
04/01/30 |
|
256,172 |
Exelon Corp.(a) |
|
|
|
325,000 |
|
|
|
4.050 |
|
|
04/15/30 |
|
384,566 |
|
|
|
50,000 |
|
|
|
4.700 |
|
|
04/15/50 |
|
66,193 |
Exelon Generation Co.
LLC(a) |
|
|
|
35,000 |
|
|
|
3.250 |
|
|
06/01/25 |
|
38,202 |
FirstEnergy
Corp.(a) |
|
|
|
700,000 |
|
|
|
2.650 |
|
|
03/01/30 |
|
699,619 |
|
|
|
325,000 |
|
|
|
2.250 |
|
|
09/01/30 |
|
313,262 |
|
|
|
25,000 |
|
|
|
4.850 |
|
|
07/15/47 |
|
31,048 |
NRG Energy,
Inc.(a)(b) |
|
|
|
675,000 |
|
|
|
3.750 |
|
|
06/15/24 |
|
738,180 |
|
|
|
319,000 |
|
|
|
3.375 |
|
|
02/15/29 |
|
326,576 |
|
|
|
852,000 |
|
|
|
3.625 |
|
|
02/15/31 |
|
876,495 |
Ohio Power
Co.(a) |
|
|
|
200,000 |
|
|
|
2.600 |
|
|
04/01/30 |
|
218,284 |
Pacific Gas & Electric
Co.(a) |
|
|
|
250,000 |
|
|
|
2.100 |
|
|
08/01/27 |
|
254,243 |
|
|
|
425,000 |
|
|
|
2.500 |
|
|
02/01/31 |
|
424,792 |
|
|
|
125,000 |
|
|
|
3.300 |
|
|
08/01/40 |
|
125,131 |
|
|
|
35,000 |
|
|
|
4.750 |
|
|
02/15/44 |
|
39,133 |
|
|
|
30,000 |
|
|
|
4.950 |
|
|
07/01/50 |
|
35,546 |
|
|
|
275,000 |
|
|
|
3.500 |
|
|
08/01/50 |
|
272,500 |
Sempra Energy(a) |
|
|
|
35,000 |
|
|
|
3.550 |
|
|
06/15/24 |
|
38,109 |
Southern California Edison
Co.(a) |
|
|
|
725,000 |
|
|
|
3.700 |
|
|
08/01/25 |
|
812,594 |
|
|
|
450,000 |
|
|
|
4.200 |
|
|
03/01/29 |
|
527,382 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Electrical (continued) |
Southern Power
Co.(a) |
$ |
|
|
60,000 |
|
|
|
4.950 |
% |
|
12/15/46 |
|
$ 71,995 |
Southwestern Electric Power
Co.(a) |
|
|
|
35,000 |
|
|
|
2.750 |
|
|
10/01/26 |
|
37,930 |
Talen Energy Supply
LLC(a)(b) |
|
|
|
700,000 |
|
|
|
7.625 |
|
|
06/01/28 |
|
754,250 |
The Southern
Co.(a) |
|
|
|
1,050,000 |
|
|
|
3.250 |
|
|
07/01/26 |
|
1,177,239 |
Virginia Electric and Power
Co.(a) |
|
|
|
500,000 |
|
|
|
2.450 |
|
|
12/15/50 |
|
503,410 |
Vistra Operations Co.
LLC(a)(b) |
|
|
|
1,175,000 |
|
|
|
3.550 |
|
|
07/15/24 |
|
1,269,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,086,046 |
|
Electrical Components &
Equipment(a)(b) 0.2% |
Energizer Holdings, Inc. |
|
|
|
1,075,000 |
|
|
|
7.750 |
|
|
01/15/27 |
|
1,194,594 |
|
Electronics(a)(b)
0.1% |
Sensata Technologies, Inc. |
|
|
|
276,000 |
|
|
|
3.750 |
|
|
02/15/31 |
|
284,970 |
|
Engineering & Construction(a)
0.3% |
AECOM |
|
|
|
310,000 |
|
|
|
5.125 |
|
|
03/15/27 |
|
344,100 |
Mexico City Airport Trust |
|
|
|
400,000 |
|
|
|
4.250 |
|
|
10/31/26 |
|
424,000 |
|
|
|
250,000 |
|
|
|
3.875 |
(b) |
|
04/30/28 |
|
258,125 |
|
|
|
310,000 |
|
|
|
5.500 |
(b) |
|
07/31/47 |
|
323,950 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,350,175 |
|
Entertainment(a)(b)
0.4% |
Cinemark USA, Inc. |
|
|
|
665,000 |
|
|
|
8.750 |
|
|
05/01/25 |
|
718,200 |
WMG Acquisition Corp. |
|
|
|
1,141,000 |
|
|
|
3.875 |
|
|
07/15/30 |
|
1,209,460 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,927,660 |
|
Environmental(a)
0.5% |
GFL Environmental,
Inc.(b) |
|
|
|
400,000 |
|
|
|
3.750 |
|
|
08/01/25 |
|
408,500 |
|
|
|
1,268,000 |
|
|
|
3.500 |
|
|
09/01/28 |
|
1,293,360 |
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Environmental(a)
(continued) |
Republic Services, Inc. |
$ |
|
|
675,000 |
|
|
|
1.750 |
% |
|
02/15/32 |
|
$ 676,478 |
Waste Management, Inc. |
|
|
|
250,000 |
|
|
|
1.150 |
|
|
03/15/28 |
|
249,898 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,628,236 |
|
Food & Drug Retailing(a)
0.9% |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(b) |
|
|
|
1,321,000 |
|
|
|
3.500 |
|
|
03/15/29 |
|
1,330,907 |
BRF SA |
|
|
|
210,000 |
|
|
|
4.875 |
|
|
01/24/30 |
|
227,916 |
Conagra Brands, Inc. |
|
|
|
35,000 |
|
|
|
4.300 |
|
|
05/01/24 |
|
39,160 |
Kraft Heinz Foods
Co.(b) |
|
|
|
1,122,000 |
|
|
|
4.250 |
|
|
03/01/31 |
|
1,249,028 |
Post Holdings,
Inc.(b) |
|
|
|
450,000 |
|
|
|
5.750 |
|
|
03/01/27 |
|
477,000 |
Sysco Corp. |
|
|
|
75,000 |
|
|
|
6.600 |
|
|
04/01/40 |
|
109,447 |
|
|
|
275,000 |
|
|
|
6.600 |
|
|
04/01/50 |
|
421,569 |
The JM Smucker Co. |
|
|
|
225,000 |
|
|
|
2.375 |
|
|
03/15/30 |
|
238,626 |
US Foods,
Inc.(b) |
|
|
|
374,000 |
|
|
|
6.250 |
|
|
04/15/25 |
|
399,713 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,493,366 |
|
Food Service(a)(b)
0.1% |
Aramark Services, Inc. |
|
|
|
343,000 |
|
|
|
6.375 |
|
|
05/01/25 |
|
367,868 |
|
Gaming(a)
0.1% |
MGM Resorts International |
|
|
|
678,000 |
|
|
|
4.750 |
|
|
10/15/28 |
|
722,070 |
|
Gas(a) 0.1% |
NiSource, Inc. |
|
|
|
100,000 |
|
|
|
3.600 |
|
|
05/01/30 |
|
115,749 |
The East Ohio Gas
Co.(b) |
|
|
|
150,000 |
|
|
|
1.300 |
|
|
06/15/25 |
|
153,061 |
|
|
|
125,000 |
|
|
|
2.000 |
|
|
06/15/30 |
|
129,143 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
397,953 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Healthcare Providers & Services 1.4% |
Abbott
Laboratories(a) |
$ |
|
|
50,000 |
|
|
|
4.750 |
% |
|
11/30/36 |
|
$ 68,882 |
Boston Scientific
Corp.(a) |
|
|
|
65,000 |
|
|
|
3.450 |
|
|
03/01/24 |
|
70,366 |
Centene Corp.(a) |
|
|
|
1,050,000 |
|
|
|
3.000 |
|
|
10/15/30 |
|
1,109,650 |
CommonSpirit
Health(a) |
|
|
|
635,000 |
|
|
|
3.910 |
|
|
10/01/50 |
|
706,662 |
DaVita,
Inc.(a)(b) |
|
|
|
555,000 |
|
|
|
3.750 |
|
|
02/15/31 |
|
560,550 |
DENTSPLY SIRONA,
Inc.(a) |
|
|
|
350,000 |
|
|
|
3.250 |
|
|
06/01/30 |
|
389,599 |
DH Europe Finance II
S.a.r.l.(a) |
|
|
|
700,000 |
|
|
|
2.200 |
|
|
11/15/24 |
|
742,007 |
|
|
|
275,000 |
|
|
|
2.600 |
|
|
11/15/29 |
|
300,627 |
Hologic,
Inc.(a)(b) |
|
|
|
450,000 |
|
|
|
3.250 |
|
|
02/15/29 |
|
458,438 |
Stryker Corp.(a) |
|
|
|
850,000 |
|
|
|
1.950 |
|
|
06/15/30 |
|
873,689 |
Tenet Healthcare Corp. |
|
|
|
500,000 |
|
|
|
6.750 |
|
|
06/15/23 |
|
536,250 |
|
|
|
150,000 |
|
|
|
7.500 |
(a)(b) |
|
04/01/25 |
|
164,250 |
Thermo Fisher Scientific,
Inc.(a) |
|
|
|
250,000 |
|
|
|
4.497 |
|
|
03/25/30 |
|
312,103 |
Zimmer Biomet Holdings,
Inc.(a) |
|
|
|
65,000 |
|
|
|
3.550 |
|
|
04/01/25 |
|
71,820 |
|
|
|
800,000 |
|
|
|
3.550 |
|
|
03/20/30 |
|
907,328 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,272,221 |
|
Household Products(a)
0.0% |
Kimberly-Clark Corp. |
|
|
|
100,000 |
|
|
|
3.100 |
|
|
03/26/30 |
|
114,987 |
|
|
|
10,000 |
|
|
|
2.875 |
|
|
02/07/50 |
|
11,221 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
126,208 |
|
Insurance 1.3% |
American International Group, Inc. |
|
|
|
150,000 |
|
|
|
4.875 |
|
|
06/01/22 |
|
159,299 |
|
|
|
100,000 |
|
|
|
4.125 |
|
|
02/15/24 |
|
110,628 |
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Insurance (continued) |
American International Group, Inc. (continued) |
$ |
|
|
1,075,000 |
|
|
|
3.900 |
%(a) |
|
04/01/26 |
|
$ 1,225,855 |
|
|
|
375,000 |
|
|
|
4.200 |
(a) |
|
04/01/28 |
|
444,844 |
|
|
|
650,000 |
|
|
|
3.400 |
(a) |
|
06/30/30 |
|
743,606 |
Arch Capital Finance
LLC(a) |
|
|
|
1,000,000 |
|
|
|
4.011 |
|
|
12/15/26 |
|
1,160,150 |
Great-West Lifeco Finance 2018
LP(a)(b) |
|
|
|
325,000 |
|
|
|
4.047 |
|
|
05/17/28 |
|
380,854 |
Marsh & McLennan Cos.,
Inc.(a) |
|
|
|
575,000 |
|
|
|
4.375 |
|
|
03/15/29 |
|
699,999 |
New York Life Insurance
Co.(a)(b) |
|
|
|
275,000 |
|
|
|
3.750 |
|
|
05/15/50 |
|
326,780 |
Reinsurance Group of America,
Inc.(a) |
|
|
|
65,000 |
|
|
|
3.900 |
|
|
05/15/29 |
|
74,522 |
Teachers Insurance & Annuity Association of America(b) |
|
|
|
295,000 |
|
|
|
4.900 |
|
|
09/15/44 |
|
397,784 |
Willis North America,
Inc.(a) |
|
|
|
205,000 |
|
|
|
2.950 |
|
|
09/15/29 |
|
223,946 |
XLIT Ltd. |
|
|
|
775,000 |
|
|
|
4.450 |
|
|
03/31/25 |
|
884,864 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,833,131 |
|
Internet(a)
0.6% |
Amazon.com, Inc. |
|
|
|
20,000 |
|
|
|
3.800 |
|
|
12/05/24 |
|
22,479 |
|
|
|
440,000 |
|
|
|
3.875 |
|
|
08/22/37 |
|
547,826 |
Booking Holdings, Inc. |
|
|
|
175,000 |
|
|
|
4.100 |
|
|
04/13/25 |
|
198,674 |
Expedia Group, Inc. |
|
|
|
300,000 |
|
|
|
3.600 |
(b) |
|
12/15/23 |
|
320,115 |
|
|
|
125,000 |
|
|
|
4.625 |
(b) |
|
08/01/27 |
|
139,405 |
|
|
|
70,000 |
|
|
|
3.800 |
|
|
02/15/28 |
|
74,825 |
GrubHub Holdings,
Inc.(b) |
|
|
|
495,000 |
|
|
|
5.500 |
|
|
07/01/27 |
|
518,513 |
Prosus NV(b) |
|
|
|
200,000 |
|
|
|
4.027 |
|
|
08/03/50 |
|
207,500 |
|
|
|
200,000 |
|
|
|
3.832 |
|
|
02/08/51 |
|
196,400 |
TD Ameritrade Holding Corp. |
|
|
|
55,000 |
|
|
|
3.300 |
|
|
04/01/27 |
|
61,959 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Internet(a)
(continued) |
Uber Technologies,
Inc.(b) |
$ |
|
|
650,000 |
|
|
|
7.500 |
% |
|
05/15/25 |
|
$ 701,187 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,988,883 |
|
Iron/Steel 0.2% |
ArcelorMittal SA |
|
|
|
325,000 |
|
|
|
4.250 |
|
|
07/16/29 |
|
362,300 |
Steel Dynamics,
Inc.(a) |
|
|
|
150,000 |
|
|
|
2.400 |
|
|
06/15/25 |
|
159,638 |
|
|
|
275,000 |
|
|
|
1.650 |
|
|
10/15/27 |
|
282,827 |
Vale Overseas Ltd. |
|
|
|
134,000 |
|
|
|
6.250 |
|
|
08/10/26 |
|
166,076 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
970,841 |
|
Lodging(a)
0.5% |
Hilton Domestic Operating Co., Inc. |
|
|
|
1,204,000 |
|
|
|
4.875 |
|
|
01/15/30 |
|
1,321,390 |
|
|
|
500,000 |
|
|
|
4.000 |
(b) |
|
05/01/31 |
|
525,000 |
MGM Resorts International |
|
|
|
545,000 |
|
|
|
6.750 |
|
|
05/01/25 |
|
589,962 |
|
|
|
150,000 |
|
|
|
5.500 |
|
|
04/15/27 |
|
167,063 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,603,415 |
|
Machinery-Diversified(a)
0.3% |
Otis Worldwide Corp. |
|
|
|
175,000 |
|
|
|
2.293 |
|
|
04/05/27 |
|
187,082 |
|
|
|
1,275,000 |
|
|
|
2.565 |
|
|
02/15/30 |
|
1,368,228 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,555,310 |
|
Media 2.7% |
Charter Communications Operating LLC/Charter Communications Operating Capital(a) |
|
|
|
1,012,000 |
|
|
|
4.500 |
|
|
02/01/24 |
|
1,123,492 |
|
|
|
1,900,000 |
|
|
|
4.908 |
|
|
07/23/25 |
|
2,208,978 |
|
|
|
25,000 |
|
|
|
6.484 |
|
|
10/23/45 |
|
35,468 |
Comcast Corp. |
|
|
|
615,000 |
|
|
|
3.700 |
(a) |
|
04/15/24 |
|
677,939 |
|
|
|
225,000 |
|
|
|
3.100 |
(a) |
|
04/01/25 |
|
247,433 |
|
|
|
550,000 |
|
|
|
3.950 |
(a) |
|
10/15/25 |
|
631,488 |
|
|
|
256,000 |
|
|
|
3.300 |
(a) |
|
02/01/27 |
|
288,763 |
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Media (continued) |
Comcast Corp. (continued) |
$ |
|
|
550,000 |
|
|
|
3.300 |
%(a) |
|
04/01/27 |
|
$ 625,499 |
|
|
|
350,000 |
|
|
|
3.150 |
(a) |
|
02/15/28 |
|
393,169 |
|
|
|
375,000 |
|
|
|
4.150 |
(a) |
|
10/15/28 |
|
449,760 |
|
|
|
25,000 |
|
|
|
6.500 |
|
|
11/15/35 |
|
38,611 |
|
|
|
75,000 |
|
|
|
3.750 |
(a) |
|
04/01/40 |
|
90,353 |
|
|
|
75,000 |
|
|
|
4.700 |
(a) |
|
10/15/48 |
|
104,309 |
Cox Communications,
Inc.(a)(b) |
|
|
|
50,000 |
|
|
|
3.350 |
|
|
09/15/26 |
|
56,085 |
|
|
|
30,000 |
|
|
|
3.500 |
|
|
08/15/27 |
|
33,916 |
CSC Holdings
LLC(a)(b) |
|
|
|
243,000 |
|
|
|
3.375 |
|
|
02/15/31 |
|
239,659 |
Diamond Sports Group LLC/Diamond Sports Finance Co.(a)(b) |
|
|
|
420,000 |
|
|
|
5.375 |
|
|
08/15/26 |
|
341,250 |
Discovery Communications
LLC(a) |
|
|
|
15,000 |
|
|
|
4.900 |
|
|
03/11/26 |
|
17,676 |
|
|
|
50,000 |
|
|
|
5.200 |
|
|
09/20/47 |
|
64,896 |
Entercom Media
Corp.(a)(b) |
|
|
|
400,000 |
|
|
|
7.250 |
|
|
11/01/24 |
|
401,000 |
|
|
|
675,000 |
|
|
|
6.500 |
|
|
05/01/27 |
|
685,125 |
Fox Corp.(a) |
|
|
|
365,000 |
|
|
|
4.030 |
|
|
01/25/24 |
|
401,752 |
iHeartCommunications,
Inc.(a)(b) |
|
|
|
300,000 |
|
|
|
4.750 |
|
|
01/15/28 |
|
309,000 |
NBCUniversal Media LLC |
|
|
|
458,000 |
|
|
|
4.450 |
|
|
01/15/43 |
|
599,508 |
Scripps Escrow II,
Inc.(a)(b) |
|
|
|
490,000 |
|
|
|
3.875 |
|
|
01/15/29 |
|
510,825 |
TEGNA,
Inc.(a)(b) |
|
|
|
950,000 |
|
|
|
4.625 |
|
|
03/15/28 |
|
974,937 |
The Walt Disney Co. |
|
|
|
1,125,000 |
|
|
|
4.000 |
|
|
10/01/23 |
|
1,225,586 |
|
|
|
35,000 |
|
|
|
3.350 |
|
|
03/24/25 |
|
38,797 |
|
|
|
45,000 |
|
|
|
6.650 |
|
|
11/15/37 |
|
70,841 |
Time Warner Cable
LLC(a) |
|
|
|
30,000 |
|
|
|
5.875 |
|
|
11/15/40 |
|
39,815 |
ViacomCBS, Inc. |
|
|
|
10,000 |
|
|
|
6.875 |
|
|
04/30/36 |
|
14,605 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Media (continued) |
Virgin Media Finance
PLC(a)(b) |
$ |
|
|
950,000 |
|
|
|
5.000 |
% |
|
07/15/30 |
|
$ 986,812 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,927,347 |
|
Mining 0.5% |
Freeport-McMoRan,
Inc.(a) |
|
|
|
950,000 |
|
|
|
4.625 |
|
|
08/01/30 |
|
1,035,500 |
Glencore Finance Canada
Ltd.(b) |
|
|
|
650,000 |
|
|
|
4.250 |
|
|
10/25/22 |
|
691,717 |
Glencore Funding
LLC(a)(b) |
|
|
|
300,000 |
|
|
|
4.125 |
|
|
03/12/24 |
|
329,166 |
|
|
|
65,000 |
|
|
|
4.000 |
|
|
03/27/27 |
|
73,512 |
Newcrest Finance Pty
Ltd.(a)(b) |
|
|
|
150,000 |
|
|
|
3.250 |
|
|
05/13/30 |
|
166,275 |
Teck Resources
Ltd.(a) |
|
|
|
250,000 |
|
|
|
3.900 |
|
|
07/15/30 |
|
278,160 |
Vedanta Resources Finance II
PLC(a)(b) |
|
|
|
200,000 |
|
|
|
13.875 |
|
|
01/21/24 |
|
210,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,784,455 |
|
Miscellaneous Manufacturing 0.1% |
General Electric Co. |
|
|
|
75,000 |
|
|
|
2.700 |
|
|
10/09/22 |
|
77,924 |
|
|
|
125,000 |
|
|
|
3.450 |
(a) |
|
05/01/27 |
|
140,987 |
|
|
|
175,000 |
|
|
|
3.625 |
(a) |
|
05/01/30 |
|
199,397 |
|
|
|
30,000 |
|
|
|
5.875 |
|
|
01/14/38 |
|
40,661 |
|
|
|
55,000 |
|
|
|
6.875 |
|
|
01/10/39 |
|
80,892 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
539,861 |
|
Office(a)(b)
0.2% |
Xerox Holdings Corp. |
|
|
|
1,215,000 |
|
|
|
5.000 |
|
|
08/15/25 |
|
1,287,900 |
|
Oil Field Services 1.5% |
BP Capital Markets America,
Inc.(a) |
|
|
|
60,000 |
|
|
|
3.543 |
|
|
04/06/27 |
|
68,238 |
|
|
|
225,000 |
|
|
|
4.234 |
|
|
11/06/28 |
|
268,497 |
Chevron Corp.(a) |
|
|
|
65,000 |
|
|
|
2.895 |
|
|
03/03/24 |
|
69,712 |
Devon Energy
Corp.(a) |
|
|
|
227,000 |
|
|
|
5.850 |
|
|
12/15/25 |
|
266,716 |
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Oil Field Services (continued) |
Devon Energy Corp.(a)
(continued) |
$ |
|
|
225,000 |
|
|
|
5.600 |
% |
|
07/15/41 |
|
$ 274,545 |
Exxon Mobil
Corp.(a) |
|
|
|
35,000 |
|
|
|
3.176 |
|
|
03/15/24 |
|
37,770 |
|
|
|
45,000 |
|
|
|
4.227 |
|
|
03/19/40 |
|
55,944 |
Gazprom PJSC Via Gaz Capital SA |
|
|
|
230,000 |
|
|
|
5.150 |
(b) |
|
02/11/26 |
|
261,769 |
|
|
|
240,000 |
|
|
|
7.288 |
|
|
08/16/37 |
|
351,975 |
Gazprom PJSC Via Gaz Finance
PLC(b) |
|
|
|
280,000 |
|
|
|
3.250 |
|
|
02/25/30 |
|
288,838 |
Halliburton
Co.(a) |
|
|
|
2,000 |
|
|
|
3.800 |
|
|
11/15/25 |
|
2,243 |
Lukoil Securities
B.V.(b) |
|
|
|
210,000 |
|
|
|
3.875 |
|
|
05/06/30 |
|
227,077 |
Marathon Petroleum
Corp.(a) |
|
|
|
625,000 |
|
|
|
4.500 |
|
|
05/01/23 |
|
678,844 |
Occidental Petroleum
Corp.(a) |
|
|
|
850,000 |
|
|
|
2.900 |
|
|
08/15/24 |
|
817,062 |
Petrobras Global Finance B.V. |
|
|
|
20,000 |
|
|
|
5.999 |
|
|
01/27/28 |
|
23,400 |
|
|
|
20,000 |
|
|
|
5.093 |
|
|
01/15/30 |
|
22,300 |
Petroleos de Venezuela SA |
|
|
|
4,280,000 |
|
|
|
6.000 |
|
|
10/28/22 |
|
113,420 |
|
|
|
1,110,000 |
|
|
|
5.375 |
|
|
04/12/27 |
|
35,520 |
Petroleos
Mexicanos(a)(b) |
|
|
|
180,000 |
|
|
|
6.875 |
|
|
10/16/25 |
|
196,857 |
Phillips 66 |
|
|
|
375,000 |
|
|
|
3.700 |
|
|
04/06/23 |
|
401,632 |
|
|
|
100,000 |
|
|
|
3.850 |
(a) |
|
04/09/25 |
|
112,660 |
|
|
|
200,000 |
|
|
|
1.300 |
(a) |
|
02/15/26 |
|
203,348 |
|
|
|
60,000 |
|
|
|
4.650 |
(a) |
|
11/15/34 |
|
72,203 |
Schlumberger Holdings
Corp.(a)(b) |
|
|
|
30,000 |
|
|
|
4.300 |
|
|
05/01/29 |
|
34,917 |
Shell International Finance B.V. |
|
|
|
35,000 |
|
|
|
2.000 |
(a) |
|
11/07/24 |
|
36,874 |
|
|
|
35,000 |
|
|
|
6.375 |
|
|
12/15/38 |
|
54,559 |
Suncor Energy, Inc. |
|
|
|
225,000 |
|
|
|
2.800 |
|
|
05/15/23 |
|
236,779 |
|
|
|
450,000 |
|
|
|
3.100 |
(a) |
|
05/15/25 |
|
492,916 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Oil Field Services (continued) |
Sunoco LP/Sunoco Finance
Corp.(a)(b) |
$ |
|
|
630,000 |
|
|
|
4.500 |
% |
|
05/15/29 |
|
$ 654,412 |
Total Capital International
SA(a) |
|
|
|
45,000 |
|
|
|
3.127 |
|
|
05/29/50 |
|
48,938 |
Valero Energy Corp. |
|
|
|
650,000 |
|
|
|
2.700 |
|
|
04/15/23 |
|
678,665 |
|
|
|
350,000 |
|
|
|
2.850 |
(a) |
|
04/15/25 |
|
373,412 |
WPX Energy,
Inc.(a) |
|
|
|
340,000 |
|
|
|
5.875 |
|
|
06/15/28 |
|
369,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,831,792 |
|
Packaging(a)
0.1% |
Ball Corp. |
|
|
|
239,000 |
|
|
|
2.875 |
|
|
08/15/30 |
|
238,403 |
Berry Global,
Inc.(b) |
|
|
|
375,000 |
|
|
|
1.570 |
|
|
01/15/26 |
|
378,345 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
616,748 |
|
Pharmaceuticals 2.6% |
AbbVie, Inc.(a) |
|
|
|
60,000 |
|
|
|
3.850 |
|
|
06/15/24 |
|
66,070 |
|
|
|
30,000 |
|
|
|
4.550 |
|
|
03/15/35 |
|
37,954 |
|
|
|
650,000 |
|
|
|
4.050 |
|
|
11/21/39 |
|
785,343 |
|
|
|
25,000 |
|
|
|
4.875 |
|
|
11/14/48 |
|
33,979 |
|
|
|
750,000 |
|
|
|
4.250 |
|
|
11/21/49 |
|
942,142 |
AstraZeneca PLC |
|
|
|
45,000 |
|
|
|
6.450 |
|
|
09/15/37 |
|
69,051 |
Bausch Health Americas,
Inc.(a)(b) |
|
|
|
200,000 |
|
|
|
9.250 |
|
|
04/01/26 |
|
222,750 |
Bausch Health Cos.,
Inc.(a)(b) |
|
|
|
650,000 |
|
|
|
9.000 |
|
|
12/15/25 |
|
719,062 |
|
|
|
95,000 |
|
|
|
5.000 |
|
|
01/30/28 |
|
97,613 |
|
|
|
95,000 |
|
|
|
5.250 |
|
|
01/30/30 |
|
99,275 |
Bayer US Finance II
LLC(a)(b) |
|
|
|
950,000 |
|
|
|
3.875 |
|
|
12/15/23 |
|
1,035,452 |
Becton Dickinson &
Co.(a) |
|
|
|
30,000 |
|
|
|
3.363 |
|
|
06/06/24 |
|
32,535 |
|
|
|
580,000 |
|
|
|
3.700 |
|
|
06/06/27 |
|
664,083 |
|
|
|
372,000 |
|
|
|
4.685 |
|
|
12/15/44 |
|
480,155 |
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Pharmaceuticals (continued) |
Becton Dickinson & Co.(a)
(continued) |
$ |
|
|
200,000 |
|
|
|
4.669 |
% |
|
06/06/47 |
|
$ 261,602 |
|
|
|
25,000 |
|
|
|
3.794 |
|
|
05/20/50 |
|
29,684 |
Bristol-Myers Squibb
Co.(a) |
|
|
|
65,000 |
|
|
|
3.625 |
|
|
05/15/24 |
|
71,278 |
|
|
|
1,345,000 |
|
|
|
3.875 |
|
|
08/15/25 |
|
1,533,972 |
|
|
|
300,000 |
|
|
|
3.900 |
|
|
02/20/28 |
|
355,701 |
|
|
|
75,000 |
|
|
|
4.250 |
|
|
10/26/49 |
|
100,974 |
Cigna Corp.(a) |
|
|
|
525,000 |
|
|
|
2.400 |
|
|
03/15/30 |
|
558,012 |
|
|
|
475,000 |
|
|
|
3.400 |
|
|
03/15/50 |
|
532,423 |
CVS Health
Corp.(a) |
|
|
|
950,000 |
|
|
|
3.375 |
|
|
08/12/24 |
|
1,038,312 |
|
|
|
195,000 |
|
|
|
2.625 |
|
|
08/15/24 |
|
208,892 |
|
|
|
450,000 |
|
|
|
3.875 |
|
|
07/20/25 |
|
509,481 |
|
|
|
150,000 |
|
|
|
5.125 |
|
|
07/20/45 |
|
201,003 |
|
|
|
175,000 |
|
|
|
4.250 |
|
|
04/01/50 |
|
218,585 |
GlaxoSmithKline Capital
PLC(a) |
|
|
|
25,000 |
|
|
|
3.000 |
|
|
06/01/24 |
|
27,006 |
HLF Financing S.a.r.l. LLC/Herbalife International, Inc.(a)(b) |
|
|
|
235,000 |
|
|
|
7.250 |
|
|
08/15/26 |
|
248,512 |
McKesson
Corp.(a) |
|
|
|
65,000 |
|
|
|
3.796 |
|
|
03/15/24 |
|
71,276 |
Mylan, Inc.(a) |
|
|
|
60,000 |
|
|
|
5.400 |
|
|
11/29/43 |
|
79,256 |
Pfizer, Inc. |
|
|
|
750,000 |
|
|
|
3.450 |
(a) |
|
03/15/29 |
|
875,272 |
|
|
|
200,000 |
|
|
|
2.625 |
(a) |
|
04/01/30 |
|
221,764 |
|
|
|
25,000 |
|
|
|
4.400 |
|
|
05/15/44 |
|
33,629 |
Takeda Pharmaceutical Co.
Ltd.(a) |
|
|
|
680,000 |
|
|
|
2.050 |
|
|
03/31/30 |
|
695,014 |
Wyeth LLC |
|
|
|
45,000 |
|
|
|
5.950 |
|
|
04/01/37 |
|
67,702 |
Zoetis, Inc.(a) |
|
|
|
50,000 |
|
|
|
4.450 |
|
|
08/20/48 |
|
66,802 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,291,616 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Pipelines 2.2% |
Antero Midstream Partners LP/Antero Midstream Finance Corp.(a)(b) |
$ |
|
|
340,000 |
|
|
|
5.750 |
% |
|
03/01/27 |
|
$ 333,200 |
Energy Transfer Operating
LP(a) |
|
|
|
350,000 |
|
|
|
4.650 |
|
|
06/01/21 |
|
352,240 |
|
|
|
875,000 |
|
|
|
4.200 |
|
|
09/15/23 |
|
943,171 |
|
|
|
755,000 |
|
|
|
5.500 |
|
|
06/01/27 |
|
886,695 |
|
|
|
550,000 |
|
|
|
5.250 |
|
|
04/15/29 |
|
641,723 |
Enterprise Products Operating
LLC(a) |
|
|
|
30,000 |
|
|
|
3.750 |
|
|
02/15/25 |
|
33,608 |
(3M USD LIBOR + 2.778%) |
|
|
|
475,000 |
|
|
|
3.003 |
(d) |
|
06/01/67 |
|
409,156 |
EQM Midstream Partners
LP(a) |
|
|
|
435,000 |
|
|
|
4.000 |
|
|
08/01/24 |
|
445,875 |
Galaxy Pipeline Assets Bidco
Ltd.(b) |
|
|
|
200,000 |
|
|
|
2.625 |
|
|
03/31/36 |
|
207,000 |
Genesis Energy LP/Genesis Energy Finance Corp.(a) |
|
|
|
260,000 |
|
|
|
6.500 |
|
|
10/01/25 |
|
250,900 |
Kinder Morgan Energy Partners
LP(a) |
|
|
|
1,025,000 |
|
|
|
3.500 |
|
|
09/01/23 |
|
1,097,631 |
Kinder Morgan, Inc. |
|
|
|
500 |
|
|
|
7.750 |
|
|
01/15/32 |
|
726 |
|
|
|
40,000 |
|
|
|
3.250 |
(a) |
|
08/01/50 |
|
40,058 |
MPLX LP(a) |
|
|
|
50,000 |
|
|
|
4.250 |
|
|
12/01/27 |
|
58,537 |
|
|
|
225,000 |
|
|
|
4.800 |
|
|
02/15/29 |
|
270,308 |
|
|
|
200,000 |
|
|
|
4.500 |
|
|
04/15/38 |
|
229,062 |
Phillips 66 Partners
LP(a) |
|
|
|
30,000 |
|
|
|
3.750 |
|
|
03/01/28 |
|
32,619 |
Plains All American Pipeline LP/PAA Finance Corp.(a) |
|
|
|
600,000 |
|
|
|
3.650 |
|
|
06/01/22 |
|
618,174 |
|
|
|
425,000 |
|
|
|
3.850 |
|
|
10/15/23 |
|
453,811 |
Sabine Pass Liquefaction
LLC(a) |
|
|
|
800,000 |
|
|
|
6.250 |
|
|
03/15/22 |
|
841,880 |
|
|
|
300,000 |
|
|
|
5.625 |
|
|
04/15/23 |
|
329,133 |
Sunoco Logistics Partners Operations LP(a) |
|
|
|
200,000 |
|
|
|
4.250 |
|
|
04/01/24 |
|
216,370 |
|
|
|
35,000 |
|
|
|
4.000 |
|
|
10/01/27 |
|
38,272 |
|
|
|
75,000 |
|
|
|
5.400 |
|
|
10/01/47 |
|
83,805 |
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Pipelines (continued) |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(a)(b) |
$ |
|
|
700,000 |
|
|
|
6.000 |
% |
|
12/31/30 |
|
$ 721,000 |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.(a) |
|
|
|
130,000 |
|
|
|
6.500 |
|
|
07/15/27 |
|
141,050 |
The Williams Cos.,
Inc.(a) |
|
|
|
915,000 |
|
|
|
3.600 |
|
|
03/15/22 |
|
944,518 |
|
|
|
65,000 |
|
|
|
4.300 |
|
|
03/04/24 |
|
71,716 |
|
|
|
450,000 |
|
|
|
3.900 |
|
|
01/15/25 |
|
499,721 |
Western Midstream Operating
LP(a) |
|
|
|
100,000 |
|
|
|
5.450 |
|
|
04/01/44 |
|
101,000 |
|
|
|
75,000 |
|
|
|
5.300 |
|
|
03/01/48 |
|
74,063 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,367,022 |
|
Real Estate Investment Trust 3.0% |
Agree LP(a) |
|
|
|
175,000 |
|
|
|
2.900 |
|
|
10/01/30 |
|
185,250 |
Alexandria Real Estate Equities,
Inc.(a) |
|
|
|
325,000 |
|
|
|
3.800 |
|
|
04/15/26 |
|
374,192 |
|
|
|
380,000 |
|
|
|
3.375 |
|
|
08/15/31 |
|
435,389 |
American Campus Communities Operating Partnership LP(a) |
|
|
|
800,000 |
|
|
|
3.750 |
|
|
04/15/23 |
|
844,160 |
|
|
|
175,000 |
|
|
|
3.875 |
|
|
01/30/31 |
|
196,105 |
American Tower
Corp.(a) |
|
|
|
925,000 |
|
|
|
3.375 |
|
|
05/15/24 |
|
1,006,890 |
|
|
|
500,000 |
|
|
|
2.100 |
|
|
06/15/30 |
|
513,230 |
Boston Properties
LP(a) |
|
|
|
75,000 |
|
|
|
4.125 |
|
|
05/15/21 |
|
75,302 |
Camden Property
Trust(a) |
|
|
|
65,000 |
|
|
|
3.150 |
|
|
07/01/29 |
|
73,197 |
Crown Castle International Corp. |
|
|
|
575,000 |
|
|
|
5.250 |
|
|
01/15/23 |
|
628,849 |
|
|
|
1,275,000 |
|
|
|
3.150 |
(a) |
|
07/15/23 |
|
1,356,217 |
|
|
|
65,000 |
|
|
|
3.100 |
(a) |
|
11/15/29 |
|
71,631 |
|
|
|
75,000 |
|
|
|
3.300 |
(a) |
|
07/01/30 |
|
84,106 |
|
|
|
50,000 |
|
|
|
4.150 |
(a) |
|
07/01/50 |
|
60,445 |
Duke Realty
LP(a) |
|
|
|
300,000 |
|
|
|
1.750 |
|
|
07/01/30 |
|
303,588 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Real Estate Investment Trust (continued) |
Healthcare Realty Trust,
Inc.(a) |
$ |
|
|
175,000 |
|
|
|
2.050 |
% |
|
03/15/31 |
|
$ 175,157 |
Healthpeak Properties,
Inc.(a) |
|
|
|
65,000 |
|
|
|
3.500 |
|
|
07/15/29 |
|
73,903 |
Kilroy Realty
LP(a) |
|
|
|
500,000 |
|
|
|
4.750 |
|
|
12/15/28 |
|
588,650 |
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.(a)(b) |
|
|
|
813,000 |
|
|
|
3.875 |
|
|
02/15/29 |
|
827,227 |
Mid-America Apartments
LP(a) |
|
|
|
325,000 |
|
|
|
1.700 |
|
|
02/15/31 |
|
324,821 |
MPT Operating Partnership LP/MPT Finance Corp.(a) |
|
|
|
1,340,000 |
|
|
|
3.500 |
|
|
03/15/31 |
|
1,383,751 |
National Retail Properties,
Inc.(a) |
|
|
|
235,000 |
|
|
|
3.900 |
|
|
06/15/24 |
|
254,540 |
|
|
|
400,000 |
|
|
|
4.000 |
|
|
11/15/25 |
|
446,756 |
Regency Centers
LP(a) |
|
|
|
700,000 |
|
|
|
2.950 |
|
|
09/15/29 |
|
746,396 |
Simon Property Group
LP(a) |
|
|
|
20,000 |
|
|
|
3.375 |
|
|
10/01/24 |
|
21,750 |
Spirit Realty
LP(a) |
|
|
|
725,000 |
|
|
|
4.000 |
|
|
07/15/29 |
|
812,094 |
Trust Fibra Uno
1401(a)(b) |
|
|
|
300,000 |
|
|
|
5.250 |
|
|
12/15/24 |
|
332,250 |
UDR, Inc.(a) |
|
|
|
150,000 |
|
|
|
2.100 |
|
|
08/01/32 |
|
152,561 |
|
|
|
775,000 |
|
|
|
1.900 |
|
|
03/15/33 |
|
774,349 |
VEREIT Operating Partnership
LP(a) |
|
|
|
800,000 |
|
|
|
4.625 |
|
|
11/01/25 |
|
921,840 |
|
|
|
200,000 |
|
|
|
3.400 |
|
|
01/15/28 |
|
220,728 |
|
|
|
400,000 |
|
|
|
2.850 |
|
|
12/15/32 |
|
417,800 |
Welltower,
Inc.(a) |
|
|
|
65,000 |
|
|
|
3.625 |
|
|
03/15/24 |
|
70,881 |
Weyerhaeuser Co. |
|
|
|
50,000 |
|
|
|
7.375 |
|
|
03/15/32 |
|
74,807 |
WP Carey,
Inc.(a) |
|
|
|
155,000 |
|
|
|
4.600 |
|
|
04/01/24 |
|
172,689 |
|
|
|
105,000 |
|
|
|
4.000 |
|
|
02/01/25 |
|
116,118 |
|
|
|
425,000 |
|
|
|
3.850 |
|
|
07/15/29 |
|
482,341 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,599,960 |
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Retailing 1.4% |
1011778 BC ULC/New Red Finance,
Inc.(a)(b) |
$ |
|
|
1,240,000 |
|
|
|
3.500 |
% |
|
02/15/29 |
|
$ 1,240,000 |
|
|
|
447,000 |
|
|
|
4.000 |
|
|
10/15/30 |
|
450,352 |
AutoNation,
Inc.(a) |
|
|
|
225,000 |
|
|
|
4.750 |
|
|
06/01/30 |
|
270,792 |
Burlington Coat Factory Warehouse Corp.(a)(b) |
|
|
|
538,000 |
|
|
|
6.250 |
|
|
04/15/25 |
|
571,625 |
Dollar Tree,
Inc.(a) |
|
|
|
525,000 |
|
|
|
4.000 |
|
|
05/15/25 |
|
592,599 |
Group 1 Automotive,
Inc.(a)(b) |
|
|
|
115,000 |
|
|
|
4.000 |
|
|
08/15/28 |
|
117,588 |
IRB Holding
Corp.(a)(b) |
|
|
|
254,000 |
|
|
|
7.000 |
|
|
06/15/25 |
|
276,225 |
Lowes Cos.,
Inc.(a) |
|
|
|
450,000 |
|
|
|
3.000 |
|
|
10/15/50 |
|
481,882 |
Lowes Cos.,
Inc.(a) |
|
|
|
650,000 |
|
|
|
1.700 |
|
|
10/15/30 |
|
656,669 |
McDonalds
Corp.(a) |
|
|
|
75,000 |
|
|
|
4.450 |
|
|
09/01/48 |
|
97,625 |
|
|
|
175,000 |
|
|
|
4.200 |
|
|
04/01/50 |
|
224,072 |
Ross Stores,
Inc.(a) |
|
|
|
6,000 |
|
|
|
4.700 |
|
|
04/15/27 |
|
7,091 |
Starbucks
Corp.(a) |
|
|
|
850,000 |
|
|
|
3.800 |
|
|
08/15/25 |
|
966,934 |
Target Corp. |
|
|
|
65,000 |
|
|
|
3.500 |
|
|
07/01/24 |
|
72,004 |
The Home Depot,
Inc.(a) |
|
|
|
65,000 |
|
|
|
3.750 |
|
|
02/15/24 |
|
71,269 |
|
|
|
275,000 |
|
|
|
3.900 |
|
|
12/06/28 |
|
330,811 |
Tractor Supply
Co.(a) |
|
|
|
400,000 |
|
|
|
1.750 |
|
|
11/01/30 |
|
401,892 |
Walgreens Boots Alliance,
Inc.(a) |
|
|
|
275,000 |
|
|
|
4.100 |
|
|
04/15/50 |
|
291,335 |
Walmart, Inc.(a) |
|
|
|
65,000 |
|
|
|
3.300 |
|
|
04/22/24 |
|
70,718 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,191,483 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Savings & Loans(a)(b)(d)
0.1% |
Nationwide Building Society (3M USD LIBOR + 1.855%) |
$ |
|
|
400,000 |
|
|
|
3.960 |
% |
|
07/18/30 |
|
$ 465,928 |
|
Semiconductors 2.2% |
Applied Materials,
Inc.(a) |
|
|
|
275,000 |
|
|
|
1.750 |
|
|
06/01/30 |
|
285,150 |
|
|
|
15,000 |
|
|
|
4.350 |
|
|
04/01/47 |
|
20,778 |
Broadcom Corp./Broadcom Cayman Finance Ltd.(a) |
|
|
|
500,000 |
|
|
|
3.125 |
|
|
01/15/25 |
|
540,425 |
|
|
|
800,000 |
|
|
|
3.875 |
|
|
01/15/27 |
|
898,944 |
|
|
|
53,000 |
|
|
|
3.500 |
|
|
01/15/28 |
|
58,318 |
Broadcom,
Inc.(a) |
|
|
|
1,200,000 |
|
|
|
4.700 |
|
|
04/15/25 |
|
1,375,824 |
|
|
|
2,331,000 |
|
|
|
3.459 |
|
|
09/15/26 |
|
2,585,685 |
Lam Research
Corp.(a) |
|
|
|
375,000 |
|
|
|
1.900 |
|
|
06/15/30 |
|
389,085 |
Microchip Technology, Inc. |
|
|
|
525,000 |
|
|
|
3.922 |
|
|
06/01/21 |
|
532,516 |
|
|
|
625,000 |
|
|
|
2.670 |
(b) |
|
09/01/23 |
|
654,381 |
NXP B.V./NXP Funding
LLC(b) |
|
|
|
1,325,000 |
|
|
|
3.875 |
|
|
09/01/22 |
|
1,397,968 |
NXP B.V./NXP Funding LLC/NXP USA,
Inc.(a)(b) |
|
|
|
275,000 |
|
|
|
3.400 |
|
|
05/01/30 |
|
311,790 |
ON Semiconductor
Corp.(a)(b) |
|
|
|
860,000 |
|
|
|
3.875 |
|
|
09/01/28 |
|
893,325 |
Qorvo, Inc.(a) |
|
|
|
600,000 |
|
|
|
4.375 |
|
|
10/15/29 |
|
660,000 |
|
|
|
725,000 |
|
|
|
3.375 |
(b) |
|
04/01/31 |
|
746,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,350,939 |
|
Software(a)
0.9% |
Adobe, Inc. |
|
|
|
30,000 |
|
|
|
3.250 |
|
|
02/01/25 |
|
33,080 |
|
|
|
450,000 |
|
|
|
2.150 |
|
|
02/01/27 |
|
483,890 |
|
|
|
600,000 |
|
|
|
2.300 |
|
|
02/01/30 |
|
647,982 |
Fidelity National Information Services, Inc. |
|
|
|
60,000 |
|
|
|
4.250 |
|
|
05/15/28 |
|
71,171 |
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Software(a)
(continued) |
Fiserv, Inc. |
$ |
|
|
55,000 |
|
|
|
3.850 |
% |
|
06/01/25 |
|
$ 62,104 |
|
|
|
750,000 |
|
|
|
3.200 |
|
|
07/01/26 |
|
839,633 |
Intuit, Inc. |
|
|
|
175,000 |
|
|
|
1.350 |
|
|
07/15/27 |
|
178,876 |
J2 Global,
Inc.(b) |
|
|
|
1,045,000 |
|
|
|
4.625 |
|
|
10/15/30 |
|
1,097,678 |
Oracle Corp. |
|
|
|
30,000 |
|
|
|
3.850 |
|
|
07/15/36 |
|
36,263 |
|
|
|
30,000 |
|
|
|
3.800 |
|
|
11/15/37 |
|
36,041 |
ServiceNow, Inc. |
|
|
|
975,000 |
|
|
|
1.400 |
|
|
09/01/30 |
|
950,820 |
VMware, Inc. |
|
|
|
35,000 |
|
|
|
3.900 |
|
|
08/21/27 |
|
39,510 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,477,048 |
|
Technology - Hardware(a)
0.0% |
QUALCOMM, Inc. |
|
|
|
25,000 |
|
|
|
4.800 |
|
|
05/20/45 |
|
35,443 |
|
Telecommunication Services 3.3% |
AT&T,
Inc.(a) |
|
|
|
400,000 |
|
|
|
4.450 |
|
|
04/01/24 |
|
446,464 |
|
|
|
2,175,000 |
|
|
|
2.300 |
|
|
06/01/27 |
|
2,318,028 |
|
|
|
100,000 |
|
|
|
1.650 |
|
|
02/01/28 |
|
102,159 |
|
|
|
625,000 |
|
|
|
2.750 |
|
|
06/01/31 |
|
667,437 |
|
|
|
694,000 |
|
|
|
2.550 |
(b) |
|
12/01/33 |
|
713,474 |
|
|
|
40,000 |
|
|
|
5.250 |
|
|
03/01/37 |
|
51,718 |
|
|
|
175,000 |
|
|
|
4.900 |
|
|
08/15/37 |
|
218,738 |
|
|
|
450,000 |
|
|
|
3.500 |
|
|
06/01/41 |
|
483,030 |
|
|
|
225,000 |
|
|
|
5.450 |
|
|
03/01/47 |
|
303,215 |
|
|
|
25,000 |
|
|
|
4.500 |
|
|
03/09/48 |
|
29,790 |
Bell Canada(a) |
|
|
|
55,000 |
|
|
|
4.464 |
|
|
04/01/48 |
|
73,093 |
British Telecommunications PLC |
|
|
|
25,000 |
|
|
|
9.625 |
|
|
12/15/30 |
|
41,350 |
Level 3 Financing,
Inc.(a)(b) |
|
|
|
645,000 |
|
|
|
4.250 |
|
|
07/01/28 |
|
661,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Telecommunication Services (continued) |
Sprint Capital Corp. |
$ |
|
|
10,000 |
|
|
|
6.875 |
% |
|
11/15/28 |
|
$ 13,188 |
T-Mobile USA,
Inc.(a)(b) |
|
|
|
625,000 |
|
|
|
3.500 |
|
|
04/15/25 |
|
690,753 |
|
|
|
375,000 |
|
|
|
1.500 |
|
|
02/15/26 |
|
384,143 |
|
|
|
1,050,000 |
|
|
|
3.750 |
|
|
04/15/27 |
|
1,193,957 |
|
|
|
1,175,000 |
|
|
|
2.050 |
|
|
02/15/28 |
|
1,221,941 |
|
|
|
1,100,000 |
|
|
|
3.875 |
|
|
04/15/30 |
|
1,273,178 |
|
|
|
60,000 |
|
|
|
4.375 |
|
|
04/15/40 |
|
72,873 |
|
|
|
325,000 |
|
|
|
3.000 |
|
|
02/15/41 |
|
336,216 |
Telefonica Emisiones SA |
|
|
|
150,000 |
|
|
|
5.462 |
|
|
02/16/21 |
|
150,849 |
|
|
|
325,000 |
|
|
|
4.570 |
|
|
04/27/23 |
|
355,180 |
Verizon Communications, Inc. |
|
|
|
925,000 |
|
|
|
3.376 |
|
|
02/15/25 |
|
1,027,222 |
|
|
|
630,000 |
|
|
|
4.329 |
|
|
09/21/28 |
|
757,455 |
|
|
|
575,000 |
|
|
|
3.150 |
(a) |
|
03/22/30 |
|
644,448 |
|
|
|
50,000 |
|
|
|
4.125 |
|
|
08/15/46 |
|
61,314 |
|
|
|
925,000 |
|
|
|
4.862 |
|
|
08/21/46 |
|
1,241,405 |
|
|
|
18,000 |
|
|
|
5.012 |
|
|
04/15/49 |
|
24,923 |
Vodafone Group PLC |
|
|
|
1,175,000 |
|
|
|
3.750 |
|
|
01/16/24 |
|
1,284,228 |
|
|
|
30,000 |
|
|
|
5.000 |
|
|
05/30/38 |
|
39,166 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,882,060 |
|
Transportation(a)
0.1% |
Canadian Pacific Railway Co. |
|
|
|
200,000 |
|
|
|
2.050 |
|
|
03/05/30 |
|
209,736 |
CSX Corp. |
|
|
|
65,000 |
|
|
|
3.250 |
|
|
06/01/27 |
|
73,386 |
|
|
|
25,000 |
|
|
|
3.800 |
|
|
04/15/50 |
|
30,832 |
Union Pacific Corp. |
|
|
|
5,000 |
|
|
|
3.799 |
|
|
10/01/51 |
|
6,123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
320,077 |
|
TOTAL CORPORATE OBLIGATIONS (Cost $274,688,790) |
|
$295,007,870 |
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Mortgage-Backed Obligations 47.1% |
Collateralized Mortgage Obligations 4.3% |
Interest Only(f)
1.7% |
FHLMC REMIC Series 4314, Class
SE(d) (-1x 1M USD LIBOR + 6.050%) |
$ |
|
|
541,408 |
|
|
|
5.891 |
% |
|
03/15/44 |
|
$ 87,437 |
FHLMC REMIC Series 4320, Class
SD(d) (-1x 1M USD LIBOR + 6.100%) |
|
|
|
2,766,122 |
|
|
|
5.941 |
|
|
07/15/39 |
|
546,188 |
FHLMC REMIC Series 4583, Class
ST(d) (-1x 1M USD LIBOR + 6.000%) |
|
|
|
1,050,827 |
|
|
|
5.841 |
|
|
05/15/46 |
|
181,886 |
FHLMC REMIC Series 4905, Class
SA(d) (-1x 1M USD LIBOR + 6.100%) |
|
|
|
678,263 |
|
|
|
5.952 |
|
|
08/25/49 |
|
119,232 |
FHLMC REMIC Series 4936, Class
ES(d) (-1x 1M USD LIBOR + 6.000%) |
|
|
|
195,711 |
|
|
|
5.852 |
|
|
12/25/49 |
|
25,869 |
FHLMC REMIC Series 4936, Class
PS(d) (-1x 1M USD LIBOR + 6.000%) |
|
|
|
535,333 |
|
|
|
5.852 |
|
|
12/25/49 |
|
70,445 |
FHLMC REMIC Series 4980, Class KI |
|
|
|
5,430,822 |
|
|
|
4.500 |
|
|
06/25/50 |
|
743,556 |
FHLMC REMIC Series 4989, Class EI |
|
|
|
505,168 |
|
|
|
4.000 |
|
|
07/25/50 |
|
68,689 |
FHLMC REMIC Series 4998, Class GI |
|
|
|
1,827,741 |
|
|
|
4.000 |
|
|
08/25/50 |
|
254,296 |
FHLMC REMIC Series 5009, Class DI |
|
|
|
1,403,203 |
|
|
|
2.000 |
|
|
09/25/50 |
|
112,445 |
FHLMC REMIC Series 5020, Class IH |
|
|
|
1,317,848 |
|
|
|
3.000 |
|
|
08/25/50 |
|
156,404 |
FHLMC STRIPS Series 304, Class C45 |
|
|
|
158,716 |
|
|
|
3.000 |
|
|
12/15/27 |
|
8,894 |
FNMA REMIC Series 2011-124, Class
SC(d) (-1x 1M USD LIBOR + 6.550%) |
|
|
|
254,214 |
|
|
|
6.402 |
|
|
12/25/41 |
|
46,266 |
FNMA REMIC Series 2012-5, Class
SA(d) (-1x 1M USD LIBOR + 5.950%) |
|
|
|
376,668 |
|
|
|
5.802 |
|
|
02/25/42 |
|
63,846 |
FNMA REMIC Series 2012-88, Class
SB(d) (-1x 1M USD LIBOR + 6.670%) |
|
|
|
258,440 |
|
|
|
6.522 |
|
|
07/25/42 |
|
43,925 |
FNMA REMIC Series 2014-6, Class
SA(d) (-1x 1M USD LIBOR + 6.600%) |
|
|
|
308,139 |
|
|
|
6.452 |
|
|
02/25/44 |
|
56,907 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
Interest Only(f)
(continued) |
FNMA REMIC Series 2015-34, Class
LS(d) (-1x 1M USD LIBOR + 6.100%) |
$ |
|
|
660,853 |
|
|
|
5.952 |
% |
|
06/25/45 |
|
$ 133,530 |
FNMA REMIC Series 2016-69, Class
BS(d) (-1x 1M USD LIBOR + 6.100%) |
|
|
|
1,720,284 |
|
|
|
5.952 |
|
|
10/25/46 |
|
349,707 |
FNMA REMIC Series 2017-31, Class
SG(d) (-1x 1M USD LIBOR + 6.100%) |
|
|
|
786,828 |
|
|
|
5.952 |
|
|
05/25/47 |
|
150,062 |
FNMA REMIC Series 2017-86, Class
SB(d) (-1x 1M USD LIBOR + 6.150%) |
|
|
|
599,850 |
|
|
|
6.002 |
|
|
11/25/47 |
|
108,242 |
FNMA REMIC Series 2018-17, Class
CS(d) (-1x 1M USD LIBOR + 3.450%) |
|
|
|
1,260,394 |
|
|
|
2.500 |
|
|
03/25/48 |
|
79,598 |
FNMA REMIC Series 2019-41, Class
SB(d) (-1x 1M USD LIBOR + 6.050%) |
|
|
|
682,360 |
|
|
|
5.902 |
|
|
08/25/49 |
|
139,684 |
FNMA REMIC Series 2020-45, Class AI |
|
|
|
767,460 |
|
|
|
4.000 |
|
|
07/25/50 |
|
97,810 |
FNMA REMIC Series 2020-45, Class EI |
|
|
|
590,136 |
|
|
|
5.000 |
|
|
07/25/50 |
|
90,972 |
FNMA REMIC Series 2020-49, Class
KS(d) (-1x 1M USD LIBOR + 6.100%) |
|
|
|
687,625 |
|
|
|
5.952 |
|
|
07/25/50 |
|
136,402 |
FNMA REMIC Series 2020-60, Class KI |
|
|
|
1,922,290 |
|
|
|
2.000 |
|
|
09/25/50 |
|
158,160 |
FNMA REMIC Series 2020-62, Class GI |
|
|
|
947,063 |
|
|
|
4.000 |
|
|
06/25/48 |
|
144,620 |
GNMA REMIC Series 2010-101, Class
S(d) (-1x 1M USD LIBOR + 6.000%) |
|
|
|
261,719 |
|
|
|
5.848 |
|
|
08/20/40 |
|
51,472 |
GNMA REMIC Series 2010-20, Class
SE(d) (-1x 1M USD LIBOR + 6.250%) |
|
|
|
597,126 |
|
|
|
6.098 |
|
|
02/20/40 |
|
120,224 |
GNMA REMIC Series 2013-134, Class
DS(d) (-1x 1M USD LIBOR + 6.100%) |
|
|
|
80,214 |
|
|
|
5.948 |
|
|
09/20/43 |
|
15,969 |
GNMA REMIC Series 2013-152, Class
SG(d) (-1x 1M USD LIBOR + 6.150%) |
|
|
|
249,882 |
|
|
|
5.998 |
|
|
06/20/43 |
|
49,884 |
GNMA REMIC Series 2013-181, Class
SA(d) (-1x 1M USD LIBOR + 6.100%) |
|
|
|
361,208 |
|
|
|
5.948 |
|
|
11/20/43 |
|
71,104 |
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
Interest Only(f)
(continued) |
GNMA REMIC Series 2014-132, Class
SL(d) (-1x 1M USD LIBOR + 6.100%) |
$ |
|
|
377,263 |
|
|
|
5.948 |
% |
|
10/20/43 |
|
$ 54,757 |
GNMA REMIC Series 2014-133, Class
BS(d) (-1x 1M USD LIBOR + 5.600%) |
|
|
|
207,712 |
|
|
|
5.448 |
|
|
09/20/44 |
|
36,443 |
GNMA REMIC Series 2014-162, Class
SA(d) (-1x 1M USD LIBOR + 5.600%) |
|
|
|
186,167 |
|
|
|
5.448 |
|
|
11/20/44 |
|
31,016 |
GNMA REMIC Series 2015-110, Class
MS(d) (-1x 1M USD LIBOR + 5.710%) |
|
|
|
1,278,660 |
|
|
|
5.558 |
|
|
08/20/45 |
|
223,027 |
GNMA REMIC Series 2015-111, Class IM |
|
|
|
545,046 |
|
|
|
4.000 |
|
|
08/20/45 |
|
59,364 |
GNMA REMIC Series 2015-119, Class
SN(d) (-1x 1M USD LIBOR + 6.250%) |
|
|
|
256,362 |
|
|
|
6.098 |
|
|
08/20/45 |
|
46,683 |
GNMA REMIC Series 2015-123, Class
SP(d) (-1x 1M USD LIBOR + 6.250%) |
|
|
|
304,377 |
|
|
|
6.098 |
|
|
09/20/45 |
|
58,487 |
GNMA REMIC Series 2015-167, Class
AS(d) (-1x 1M USD LIBOR + 6.250%) |
|
|
|
191,624 |
|
|
|
6.098 |
|
|
11/20/45 |
|
33,556 |
GNMA REMIC Series 2015-168, Class
SD(d) (-1x 1M USD LIBOR + 6.200%) |
|
|
|
137,989 |
|
|
|
6.048 |
|
|
11/20/45 |
|
27,837 |
GNMA REMIC Series 2015-57, Class
AS(d) (-1x 1M USD LIBOR + 5.600%) |
|
|
|
1,084,339 |
|
|
|
5.448 |
|
|
04/20/45 |
|
182,069 |
GNMA REMIC Series 2016-109, Class IH |
|
|
|
771,092 |
|
|
|
4.000 |
|
|
10/20/45 |
|
87,379 |
GNMA REMIC Series 2016-27, Class IA |
|
|
|
362,300 |
|
|
|
4.000 |
|
|
06/20/45 |
|
32,834 |
GNMA REMIC Series 2018-105, Class
SC(d) (-1x 1M USD LIBOR + 6.200%) |
|
|
|
281,792 |
|
|
|
6.048 |
|
|
08/20/48 |
|
43,201 |
GNMA REMIC Series 2018-122, Class
HS(d) (-1x 1M USD LIBOR + 6.200%) |
|
|
|
818,542 |
|
|
|
6.048 |
|
|
09/20/48 |
|
145,286 |
GNMA REMIC Series 2018-122, Class
SE(d) (-1x 1M USD LIBOR + 6.200%) |
|
|
|
606,414 |
|
|
|
6.048 |
|
|
09/20/48 |
|
94,218 |
GNMA REMIC Series 2018-124, Class
SN(d) (-1x 1M USD LIBOR + 6.200%) |
|
|
|
702,741 |
|
|
|
6.048 |
|
|
09/20/48 |
|
123,131 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
Interest Only(f)
(continued) |
GNMA REMIC Series 2018-137, Class
SN(d) (-1x 1M USD LIBOR + 6.150%) |
$ |
|
|
655,043 |
|
|
|
5.998 |
% |
|
10/20/48 |
|
$ 101,352 |
GNMA REMIC Series 2018-139, Class
SQ(d) (-1x 1M USD LIBOR + 6.150%) |
|
|
|
512,152 |
|
|
|
5.998 |
|
|
10/20/48 |
|
76,193 |
GNMA REMIC Series 2018-72, Class IB |
|
|
|
417,508 |
|
|
|
4.000 |
|
|
04/20/46 |
|
54,469 |
GNMA REMIC Series 2019-1, Class
SN(d) (-1x 1M USD LIBOR + 6.050%) |
|
|
|
200,049 |
|
|
|
5.898 |
|
|
01/20/49 |
|
29,524 |
GNMA REMIC Series 2019-128, Class IO |
|
|
|
1,026,653 |
|
|
|
4.000 |
|
|
10/20/49 |
|
121,524 |
GNMA REMIC Series 2019-129, Class AI |
|
|
|
551,198 |
|
|
|
3.500 |
|
|
10/20/49 |
|
61,419 |
GNMA REMIC Series 2019-151, Class IA |
|
|
|
1,985,463 |
|
|
|
3.500 |
|
|
12/20/49 |
|
214,512 |
GNMA REMIC Series 2019-151, Class NI |
|
|
|
1,569,746 |
|
|
|
3.500 |
|
|
10/20/49 |
|
140,117 |
GNMA REMIC Series 2019-20, Class
SF(d) (-1x 1M USD LIBOR + 3.790%) |
|
|
|
400,266 |
|
|
|
3.638 |
|
|
02/20/49 |
|
33,987 |
GNMA REMIC Series 2019-6, Class
SA(d) (-1x 1M USD LIBOR + 6.050%) |
|
|
|
196,438 |
|
|
|
5.898 |
|
|
01/20/49 |
|
30,640 |
GNMA REMIC Series 2019-97, Class
SC(d) (-1x 1M USD LIBOR + 6.100%) |
|
|
|
603,780 |
|
|
|
5.948 |
|
|
08/20/49 |
|
92,195 |
GNMA REMIC Series 2019-98, Class
SC(d) (-1x 1M USD LIBOR + 6.050%) |
|
|
|
677,810 |
|
|
|
5.898 |
|
|
08/20/49 |
|
105,839 |
GNMA REMIC Series 2020-11, Class
SA(d) (-1x 1M USD LIBOR + 6.050%) |
|
|
|
1,198,120 |
|
|
|
5.898 |
|
|
02/20/50 |
|
201,358 |
GNMA REMIC Series 2020-11, Class
SN(d) (-1x 1M USD LIBOR + 6.050%) |
|
|
|
456,319 |
|
|
|
5.898 |
|
|
01/20/50 |
|
73,601 |
GNMA REMIC Series 2020-146, Class KI |
|
|
|
2,099,955 |
|
|
|
2.500 |
|
|
10/20/50 |
|
204,298 |
GNMA REMIC Series 2020-151, Class HI |
|
|
|
1,291,797 |
|
|
|
2.500 |
|
|
10/20/50 |
|
73,701 |
GNMA REMIC Series 2020-151, Class MI |
|
|
|
994,413 |
|
|
|
2.500 |
|
|
10/20/50 |
|
119,083 |
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
Interest Only(f)
(continued) |
GNMA REMIC Series 2020-173, Class AI |
$ |
|
|
1,297,029 |
|
|
|
2.500 |
% |
|
11/20/50 |
|
$ 80,667 |
GNMA REMIC Series 2020-51, Class ID |
|
|
|
756,459 |
|
|
|
3.500 |
|
|
04/20/50 |
|
70,516 |
GNMA REMIC Series 2020-55, Class
AS(d) (-1x 1M USD LIBOR + 6.050%) |
|
|
|
1,155,396 |
|
|
|
5.898 |
|
|
04/20/50 |
|
199,419 |
GNMA REMIC Series 2020-55, Class IO |
|
|
|
1,769,182 |
|
|
|
3.500 |
|
|
04/20/50 |
|
200,073 |
GNMA REMIC Series 2020-61, Class GI |
|
|
|
1,489,205 |
|
|
|
5.000 |
|
|
05/20/50 |
|
152,941 |
GNMA REMIC Series 2020-61, Class
SF(d) (-1x 1M USD LIBOR + 6.440%) |
|
|
|
394,846 |
|
|
|
6.288 |
|
|
07/20/43 |
|
77,119 |
GNMA REMIC Series 2020-78, Class DI |
|
|
|
2,417,082 |
|
|
|
4.000 |
|
|
06/20/50 |
|
311,823 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,589,383 |
|
Regular Floater(d)
0.0% |
FNMA REMIC Series 2011-63, Class FG (1M USD LIBOR + 0.450%) |
|
|
|
76,140 |
|
|
|
0.598 |
|
|
07/25/41 |
|
77,115 |
|
Sequential Fixed Rate 0.1% |
FNMA REMIC Series 2005-70, Class PA |
|
|
|
38,901 |
|
|
|
5.500 |
|
|
08/25/35 |
|
44,668 |
FNMA REMIC Series 2011-52, Class GB |
|
|
|
308,798 |
|
|
|
5.000 |
|
|
06/25/41 |
|
353,388 |
FNMA REMIC Series 2012-111, Class B |
|
|
|
25,711 |
|
|
|
7.000 |
|
|
10/25/42 |
|
31,628 |
FNMA REMIC Series 2012-153, Class B |
|
|
|
69,131 |
|
|
|
7.000 |
|
|
07/25/42 |
|
86,891 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
516,575 |
|
Sequential Floating Rate(d)
2.5% |
Alternative Loan Trust Series 2006-OC8, Class 2A3 (1M USD LIBOR +
0.500%) |
|
|
|
1,804,952 |
|
|
|
0.648 |
|
|
11/25/36 |
|
1,590,321 |
Connecticut Avenue Securities Trust Series 2018-R07, Class 1M2(b) (1M USD LIBOR + 2.400%) |
|
|
|
338,674 |
|
|
|
2.548 |
|
|
04/25/31 |
|
338,250 |
Connecticut Avenue Securities Trust Series 2019-R02, Class 1M2(b) (1M USD LIBOR + 2.300%) |
|
|
|
610,855 |
|
|
|
2.448 |
|
|
08/25/31 |
|
608,890 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
Sequential Floating Rate(d)
(continued) |
Connecticut Avenue Securities Trust Series 2020-R01, Class 1M2(b) (1M USD LIBOR + 2.050%) |
$ |
|
|
50,000 |
|
|
|
2.198 |
% |
|
01/25/40 |
|
$ 49,624 |
FHLMC REMIC Series 2020-DNA3, Class
M2(b) (1M USD LIBOR + 3.000%) |
|
|
|
195,000 |
|
|
|
3.148 |
|
|
06/25/50 |
|
196,060 |
FHLMC STACR Remic Trust Series 2020-DNA1, Class M2(b) (1M USD LIBOR + 1.700%) |
|
|
|
970,000 |
|
|
|
1.848 |
|
|
01/25/50 |
|
962,670 |
FHLMC STACR REMIC Trust Series 2020-DNA2, Class M2(b) (1M USD LIBOR + 1.850%) |
|
|
|
125,000 |
|
|
|
1.998 |
|
|
02/25/50 |
|
124,209 |
FHLMC STACR REMIC Trust Series 2020-DNA3, Class B1(b) (1M USD LIBOR + 5.100%) |
|
|
|
705,000 |
|
|
|
5.248 |
|
|
06/25/50 |
|
729,649 |
FHLMC STACR REMIC Trust Series 2020-DNA4, Class B1(b) (1M USD LIBOR + 6.000%) |
|
|
|
465,000 |
|
|
|
6.148 |
|
|
08/25/50 |
|
490,533 |
FHLMC STACR REMIC Trust Series 2020-DNA4, Class M2(b) (1M USD LIBOR + 3.750%) |
|
|
|
295,000 |
|
|
|
3.898 |
|
|
08/25/50 |
|
297,625 |
FHLMC STACR REMIC Trust Series 2020-DNA5, Class B1(b) (SOFR30A + 4.800%) |
|
|
|
713,000 |
|
|
|
4.882 |
|
|
10/25/50 |
|
735,394 |
FHLMC STACR REMIC Trust Series 2020-DNA6, Class B1(b) (SOFR30A + 3.000%) |
|
|
|
612,000 |
|
|
|
3.077 |
|
|
12/25/50 |
|
612,482 |
FHLMC STACR REMIC Trust Series 2020-HQA4, Class M2(b) (1M USD LIBOR + 3.150%) |
|
|
|
665,000 |
|
|
|
3.298 |
|
|
09/25/50 |
|
671,138 |
FHLMC STACR REMIC Trust Series 2020-HQA5, Class B1(b) (SOFR30A + 4.000%) |
|
|
|
161,000 |
|
|
|
4.082 |
|
|
11/25/50 |
|
165,421 |
FNMA Series 2013-C01, Class M2 (1M USD LIBOR + 5.250%) |
|
|
|
98,289 |
|
|
|
5.398 |
|
|
10/25/23 |
|
100,299 |
FNMA Series 2014-C01, Class M2 (1M USD LIBOR + 4.400%) |
|
|
|
524,918 |
|
|
|
4.548 |
|
|
01/25/24 |
|
528,120 |
GNMA REMIC Series 2019-4, Class SJ (-1x 1M USD LIBOR + 6.050%) |
|
|
|
755,838 |
|
|
|
5.898 |
|
|
01/20/49 |
|
119,279 |
GNMA REMIC Series 2019-69, Class S (-1x 1M USD LIBOR + 3.270%) |
|
|
|
1,416,109 |
|
|
|
3.118 |
|
|
06/20/49 |
|
108,818 |
Harben Finance PLC Series 2017-1X, Class A (3M GBP LIBOR +
0.800%) |
GBP |
|
|
707,931 |
|
|
|
0.851 |
|
|
08/20/56 |
|
967,780 |
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
Sequential Floating Rate(d)
(continued) |
London Wall Mortgage Capital PLC Series 2017-FL1, Class A (3M GBP LIBOR +
0.850%) |
GBP |
|
|
583,406 |
|
|
|
0.898 |
% |
|
11/15/49 |
|
$ 796,933 |
Stratton Mortgage Funding PLC Series 2019-1, Class A (3M SONIA IR +
1.200%) |
|
|
|
1,301,031 |
|
|
|
1.254 |
|
|
05/25/51 |
|
1,782,152 |
Tower Bridge Funding No. 2 PLC, Class A (3M GBP LIBOR + 0.900%) |
|
|
|
708,432 |
|
|
|
0.934 |
|
|
03/20/56 |
|
969,265 |
Wells Fargo Mortgage Backed Securities Trust Series 2019-3, Class A1(b) |
$ |
|
|
175,936 |
|
|
|
3.500 |
|
|
07/25/49 |
|
180,612 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,125,524 |
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
$ 22,308,597 |
|
Commercial Mortgage-Backed
Securities(b) 0.5% |
Sequential Fixed Rate 0.4% |
Banc of America Commercial Mortgage Trust Series 2016-UBS10, Class
D |
$ |
|
|
500,000 |
|
|
|
3.000 |
% |
|
07/15/49 |
|
$ 395,995 |
Cantor Commercial Real Estate Lending Series 2019-CF2, Class E |
|
|
|
500,000 |
|
|
|
2.500 |
|
|
11/15/52 |
|
367,610 |
Citigroup Commercial Mortgage Trust Series 2020-GC46, Class D |
|
|
|
650,000 |
|
|
|
2.600 |
|
|
02/15/53 |
|
551,669 |
COMM 2017-COR2 Mortgage Trust Series 2017-COR2, Class D |
|
|
|
350,000 |
|
|
|
3.000 |
|
|
09/10/50 |
|
312,444 |
CSAIL 2020-C19 Commercial Mortgage Trust Series 2020-C19, Class E |
|
|
|
387,000 |
|
|
|
2.500 |
|
|
03/15/53 |
|
303,524 |
GS Mortgage Securities Trust Series 2019-GC42, Class D |
|
|
|
200,000 |
|
|
|
2.800 |
|
|
09/01/52 |
|
185,672 |
Wells Fargo Commercial Mortgage Trust Series 2017-RC1, Class D |
|
|
|
150,000 |
|
|
|
3.250 |
|
|
01/15/60 |
|
113,123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,230,037 |
|
Sequential Floating Rate 0.1% |
Bancorp Commercial Mortgage Trust Series 2018-CRE4, Class A(d) (1M USD LIBOR + 0.900%) |
|
|
|
33,727 |
|
|
|
1.059 |
|
|
09/15/35 |
|
33,589 |
BANK 2018-BNK10 Series 2018-BN10, Class D |
|
|
|
200,000 |
|
|
|
2.600 |
|
|
02/15/61 |
|
157,966 |
Barclays Commercial Mortgage Trust Series 2017-C1 Class D(d) |
|
|
|
150,000 |
|
|
|
3.507 |
|
|
02/15/50 |
|
134,160 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
Sequential Floating Rate (continued) |
CSAIL 2018-C14 Commercial Mortgage Trust Series 2018-C14, Class D(d) |
$ |
|
|
250,000 |
|
|
|
4.891 |
% |
|
11/15/51 |
|
$ 224,128 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
549,843 |
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
|
$ 2,779,880 |
|
Federal Agencies 42.3% |
Adjustable Rate FHLMC(d)
0.0% |
$ |
|
|
23,375 |
|
|
|
2.297 |
% |
|
09/01/35 |
|
$ 24,622 |
|
FHLMC 1.0% |
|
|
|
93,260 |
|
|
|
6.000 |
|
|
08/01/27 |
|
103,916 |
|
|
|
10,189 |
|
|
|
5.000 |
|
|
08/01/33 |
|
11,634 |
|
|
|
1,814 |
|
|
|
5.000 |
|
|
09/01/33 |
|
2,071 |
|
|
|
2,446 |
|
|
|
5.000 |
|
|
10/01/33 |
|
2,793 |
|
|
|
2,518 |
|
|
|
5.000 |
|
|
11/01/34 |
|
2,882 |
|
|
|
141,615 |
|
|
|
5.000 |
|
|
12/01/34 |
|
162,064 |
|
|
|
3,606 |
|
|
|
5.000 |
|
|
07/01/35 |
|
4,126 |
|
|
|
529 |
|
|
|
5.000 |
|
|
11/01/35 |
|
605 |
|
|
|
28,290 |
|
|
|
5.000 |
|
|
03/01/39 |
|
32,216 |
|
|
|
4,404 |
|
|
|
5.000 |
|
|
05/01/39 |
|
5,015 |
|
|
|
13,810 |
|
|
|
5.000 |
|
|
04/01/40 |
|
15,928 |
|
|
|
2,809 |
|
|
|
5.000 |
|
|
08/01/40 |
|
3,239 |
|
|
|
34,867 |
|
|
|
4.000 |
|
|
02/01/41 |
|
38,466 |
|
|
|
753 |
|
|
|
5.000 |
|
|
04/01/41 |
|
868 |
|
|
|
2,388 |
|
|
|
5.000 |
|
|
06/01/41 |
|
2,751 |
|
|
|
1,012,076 |
|
|
|
4.000 |
|
|
03/01/48 |
|
1,087,427 |
|
|
|
1,069,485 |
|
|
|
4.000 |
|
|
04/01/48 |
|
1,140,699 |
|
|
|
2,331,993 |
|
|
|
4.500 |
|
|
08/01/48 |
|
2,607,106 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,223,806 |
|
GNMA 24.4% |
|
|
|
26,516 |
|
|
|
5.500 |
|
|
11/15/32 |
|
29,683 |
|
|
|
16,973 |
|
|
|
5.500 |
|
|
01/15/33 |
|
18,520 |
|
|
|
30,549 |
|
|
|
5.500 |
|
|
02/15/33 |
|
34,588 |
|
|
|
32,528 |
|
|
|
5.500 |
|
|
03/15/33 |
|
36,788 |
|
|
|
38,332 |
|
|
|
5.500 |
|
|
07/15/33 |
|
43,510 |
|
|
|
14,609 |
|
|
|
5.500 |
|
|
08/15/33 |
|
16,345 |
|
|
|
8,477 |
|
|
|
5.500 |
|
|
09/15/33 |
|
9,459 |
|
|
|
18,887 |
|
|
|
5.500 |
|
|
04/15/34 |
|
21,047 |
|
|
|
7,723 |
|
|
|
5.500 |
|
|
05/15/34 |
|
8,370 |
|
|
|
146,339 |
|
|
|
5.500 |
|
|
09/15/34 |
|
166,645 |
|
|
|
155,237 |
|
|
|
5.500 |
|
|
12/15/34 |
|
176,582 |
|
|
|
102,686 |
|
|
|
5.500 |
|
|
01/15/35 |
|
117,255 |
|
|
|
467 |
|
|
|
5.500 |
|
|
05/15/36 |
|
515 |
|
|
|
5,061 |
|
|
|
4.000 |
|
|
02/20/41 |
|
5,598 |
|
|
|
7,901 |
|
|
|
4.000 |
|
|
11/20/41 |
|
8,730 |
|
|
|
1,314 |
|
|
|
4.000 |
|
|
01/20/42 |
|
1,452 |
|
|
|
4,209 |
|
|
|
4.000 |
|
|
04/20/42 |
|
4,651 |
|
|
|
2,576 |
|
|
|
4.000 |
|
|
10/20/42 |
|
2,839 |
|
|
|
719,330 |
|
|
|
4.000 |
|
|
08/20/43 |
|
791,663 |
|
|
|
4,242 |
|
|
|
4.000 |
|
|
03/20/44 |
|
4,669 |
|
|
|
5,134 |
|
|
|
4.000 |
|
|
05/20/44 |
|
5,640 |
|
|
|
357,125 |
|
|
|
4.000 |
|
|
11/20/44 |
|
392,366 |
|
|
|
82,988 |
|
|
|
4.000 |
|
|
12/20/44 |
|
91,177 |
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
|
Value |
|
Mortgage-Backed Obligations (continued) |
GNMA (continued) |
$ |
|
|
23,470 |
|
|
|
4.000 |
% |
|
|
05/20/45 |
|
|
$ 25,742 |
|
|
|
90,254 |
|
|
|
4.000 |
|
|
|
07/20/45 |
|
|
98,991 |
|
|
|
510,897 |
|
|
|
4.000 |
|
|
|
01/20/46 |
|
|
559,397 |
|
|
|
800,572 |
|
|
|
3.500 |
|
|
|
04/20/47 |
|
|
860,462 |
|
|
|
2,414,493 |
|
|
|
4.500 |
|
|
|
05/20/48 |
|
|
2,612,930 |
|
|
|
3,554,545 |
|
|
|
4.500 |
|
|
|
08/20/48 |
|
|
3,841,123 |
|
|
|
443,689 |
|
|
|
5.000 |
|
|
|
08/20/48 |
|
|
486,401 |
|
|
|
1,411,212 |
|
|
|
4.500 |
|
|
|
09/20/48 |
|
|
1,524,988 |
|
|
|
364,894 |
|
|
|
5.000 |
|
|
|
09/20/48 |
|
|
400,021 |
|
|
|
3,353,905 |
|
|
|
5.000 |
|
|
|
10/20/48 |
|
|
3,675,728 |
|
|
|
1,968,856 |
|
|
|
5.000 |
|
|
|
11/20/48 |
|
|
2,154,701 |
|
|
|
1,963,856 |
|
|
|
5.000 |
|
|
|
12/20/48 |
|
|
2,149,229 |
|
|
|
4,293,117 |
|
|
|
4.500 |
|
|
|
01/20/49 |
|
|
4,633,539 |
|
|
|
3,820,555 |
|
|
|
5.000 |
|
|
|
01/20/49 |
|
|
4,177,307 |
|
|
|
1,604,090 |
|
|
|
4.000 |
|
|
|
02/20/49 |
|
|
1,717,394 |
|
|
|
2,049,146 |
|
|
|
4.000 |
|
|
|
03/20/49 |
|
|
2,193,246 |
|
|
|
88,407 |
|
|
|
4.500 |
|
|
|
03/20/49 |
|
|
95,390 |
|
|
|
313,756 |
|
|
|
5.000 |
|
|
|
03/20/49 |
|
|
342,710 |
|
|
|
1,534,518 |
|
|
|
4.000 |
|
|
|
05/20/49 |
|
|
1,640,989 |
|
|
|
2,349,799 |
|
|
|
4.500 |
|
|
|
10/20/49 |
|
|
2,530,636 |
|
|
|
2,802,936 |
|
|
|
4.500 |
|
|
|
12/20/49 |
|
|
3,004,922 |
|
|
|
915,576 |
|
|
|
4.500 |
|
|
|
03/20/50 |
|
|
979,950 |
|
|
|
952,717 |
|
|
|
4.500 |
|
|
|
04/20/50 |
|
|
1,021,372 |
|
|
|
53,000,000 |
|
|
|
2.000 |
|
|
|
TBA-30yr |
(g) |
|
55,422,073 |
|
|
|
18,000,000 |
|
|
|
2.500 |
|
|
|
TBA-30yr |
(g) |
|
19,044,124 |
|
|
|
8,000,000 |
|
|
|
3.000 |
|
|
|
TBA-30yr |
(g) |
|
8,364,756 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
125,546,213 |
|
UMBS 7.7% |
|
|
|
608 |
|
|
|
6.000 |
|
|
|
06/01/21 |
|
|
613 |
|
|
|
2,221 |
|
|
|
5.500 |
|
|
|
09/01/23 |
|
|
2,300 |
|
|
|
1,451 |
|
|
|
5.500 |
|
|
|
10/01/23 |
|
|
1,503 |
|
|
|
910 |
|
|
|
5.500 |
|
|
|
05/01/25 |
|
|
923 |
|
|
|
7,417 |
|
|
|
4.500 |
|
|
|
02/01/39 |
|
|
8,307 |
|
|
|
4,938 |
|
|
|
4.500 |
|
|
|
04/01/39 |
|
|
5,547 |
|
|
|
7,034 |
|
|
|
4.500 |
|
|
|
08/01/39 |
|
|
7,894 |
|
|
|
96,375 |
|
|
|
4.500 |
|
|
|
12/01/39 |
|
|
108,135 |
|
|
|
98,067 |
|
|
|
4.500 |
|
|
|
06/01/40 |
|
|
109,607 |
|
|
|
34,441 |
|
|
|
4.500 |
|
|
|
08/01/41 |
|
|
38,495 |
|
|
|
57,178 |
|
|
|
3.000 |
|
|
|
12/01/42 |
|
|
62,642 |
|
|
|
128,143 |
|
|
|
3.000 |
|
|
|
01/01/43 |
|
|
140,421 |
|
|
|
35,286 |
|
|
|
3.000 |
|
|
|
02/01/43 |
|
|
38,703 |
|
|
|
13,099 |
|
|
|
3.000 |
|
|
|
03/01/43 |
|
|
14,367 |
|
|
|
196,228 |
|
|
|
3.000 |
|
|
|
04/01/43 |
|
|
215,228 |
|
|
|
32,839 |
|
|
|
3.000 |
|
|
|
05/01/43 |
|
|
36,018 |
|
|
|
46,204 |
|
|
|
3.000 |
|
|
|
06/01/43 |
|
|
50,677 |
|
|
|
14,735 |
|
|
|
3.000 |
|
|
|
07/01/43 |
|
|
16,175 |
|
|
|
38,949 |
|
|
|
5.000 |
|
|
|
06/01/44 |
|
|
44,000 |
|
|
|
17,844 |
|
|
|
3.500 |
|
|
|
03/01/45 |
|
|
19,145 |
|
|
|
551,899 |
|
|
|
3.000 |
|
|
|
04/01/45 |
|
|
593,092 |
|
|
|
1,687,461 |
|
|
|
4.500 |
|
|
|
04/01/45 |
|
|
1,926,670 |
|
|
|
193,352 |
|
|
|
4.500 |
|
|
|
05/01/45 |
|
|
220,882 |
|
|
|
930,370 |
|
|
|
4.500 |
|
|
|
06/01/45 |
|
|
1,038,363 |
|
|
|
430,869 |
|
|
|
4.000 |
|
|
|
11/01/45 |
|
|
469,568 |
|
|
|
128,923 |
|
|
|
4.000 |
|
|
|
03/01/46 |
|
|
140,286 |
|
|
|
81,761 |
|
|
|
4.000 |
|
|
|
06/01/46 |
|
|
88,844 |
|
|
|
22,368 |
|
|
|
4.000 |
|
|
|
08/01/46 |
|
|
24,306 |
|
|
|
141,697 |
|
|
|
4.000 |
|
|
|
10/01/46 |
|
|
153,972 |
|
|
|
144,340 |
|
|
|
4.000 |
|
|
|
06/01/47 |
|
|
158,214 |
|
|
|
754,223 |
|
|
|
4.500 |
|
|
|
07/01/47 |
|
|
830,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
UMBS (continued) |
$ |
|
|
323,731 |
|
|
|
4.500 |
% |
|
11/01/47 |
|
$ 357,280 |
|
|
|
398,509 |
|
|
|
4.000 |
|
|
12/01/47 |
|
438,308 |
|
|
|
1,195,381 |
|
|
|
4.000 |
|
|
01/01/48 |
|
1,313,644 |
|
|
|
2,352,709 |
|
|
|
4.000 |
|
|
02/01/48 |
|
2,579,140 |
|
|
|
1,756,106 |
|
|
|
4.000 |
|
|
03/01/48 |
|
1,923,141 |
|
|
|
1,220,410 |
|
|
|
4.000 |
|
|
06/01/48 |
|
1,339,623 |
|
|
|
808,775 |
|
|
|
4.000 |
|
|
08/01/48 |
|
882,976 |
|
|
|
600,260 |
|
|
|
4.500 |
|
|
09/01/48 |
|
670,907 |
|
|
|
2,759,573 |
|
|
|
5.000 |
|
|
11/01/48 |
|
3,145,724 |
|
|
|
2,811,177 |
|
|
|
4.500 |
|
|
01/01/49 |
|
3,043,646 |
|
|
|
3,000,000 |
|
|
|
3.000 |
|
|
09/01/49 |
|
3,237,978 |
|
|
|
6,243,655 |
|
|
|
5.000 |
|
|
10/01/49 |
|
6,916,495 |
|
|
|
1,967,657 |
|
|
|
3.000 |
|
|
07/01/50 |
|
2,078,606 |
|
|
|
994,317 |
|
|
|
3.000 |
|
|
08/01/50 |
|
1,050,443 |
|
|
|
4,000,000 |
|
|
|
3.000 |
|
|
12/01/50 |
|
4,312,304 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
39,855,612 |
|
UMBS, 30 Year, Single Family(g)
9.2% |
|
|
|
9,000,000 |
|
|
|
3.500 |
|
|
TBA-30yr |
|
9,514,690 |
|
|
|
11,000,000 |
|
|
|
2.000 |
|
|
TBA-30yr |
|
11,434,793 |
|
|
|
5,000,000 |
|
|
|
2.500 |
|
|
TBA-30yr |
|
5,272,459 |
|
|
|
12,000,000 |
|
|
|
3.000 |
|
|
TBA-30yr |
|
12,572,334 |
|
|
|
7,000,000 |
|
|
|
4.500 |
|
|
TBA-30yr |
|
7,586,250 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
TBA-30yr |
|
1,106,562 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
47,487,088 |
|
TOTAL FEDERAL AGENCIES |
|
$ 218,137,341 |
|
TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $237,645,311) |
|
$ 243,225,818 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency Debenture(h) 0.0% |
Israel Government AID Bond |
$ |
|
|
40,000 |
|
|
|
5.500 |
% |
|
09/18/33 |
|
$ 58,777 |
(Cost $38,576) |
|
Asset-Backed Securities(d) 7.0% |
Collateralized Loan Obligations 5.0% |
AGL CLO 3 Ltd. Series 2020-3A, Class
A(b) (3M USD LIBOR + 1.300%) |
$ |
|
|
1,300,000 |
|
|
|
1.537 |
% |
|
01/15/33 |
|
$ 1,300,819 |
AMMC CLO 15 Ltd. Series 2014-15A, Class DRR(b) (3M USD LIBOR + 3.400%) |
|
|
|
750,000 |
|
|
|
3.637 |
|
|
01/15/32 |
|
729,084 |
Benefit Street Partners CLO V-B Ltd. Series 2018-5BA, Class A1A(b) (3M USD LIBOR + 1.090%) |
|
|
|
2,009,000 |
|
|
|
1.308 |
|
|
04/20/31 |
|
1,998,861 |
Crown City CLO I Series 2020-1A, Class A2(b) (3M USD LIBOR + 2.550%) |
|
|
|
1,200,000 |
|
|
|
2.857 |
|
|
07/20/30 |
|
1,203,230 |
Crown City CLO I Series 2020-1A, Class B(b) (3M USD LIBOR + 3.030%) |
|
|
|
1,000,000 |
|
|
|
3.337 |
|
|
07/20/30 |
|
1,000,134 |
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Asset-Backed Securities(d) (continued) |
Collateralized Loan Obligations (continued) |
Halseypoint CLO 2 Ltd. Series 2020-2A, Class A1(b) (3M USD LIBOR + 1.860%) |
$ |
|
|
2,350,000 |
|
|
|
2.078 |
% |
|
07/20/31 |
|
$ 2,357,297 |
Halseypoint CLO 3 Ltd. Series 2020-3A, Class A1A(b) (3M USD LIBOR + 1.450%) |
|
|
|
1,675,000 |
|
|
|
1.629 |
|
|
11/30/32 |
|
1,681,357 |
KREF Ltd. Series 2018-FL1, Class
A(b) (1M USD LIBOR + 1.100%) |
|
|
|
1,950,000 |
|
|
|
1.253 |
|
|
06/15/36 |
|
1,946,643 |
Magnetite XXIV Ltd. Series 2019-24A, Class A(b) (3M USD LIBOR + 1.330%) |
|
|
|
2,000,000 |
|
|
|
1.567 |
|
|
01/15/33 |
|
2,002,948 |
Marble Point CLO XIV Ltd. Series 2018-2A, Class A1(b) (3M USD LIBOR + 1.330%) |
|
|
|
3,000,000 |
|
|
|
1.548 |
|
|
01/20/32 |
|
2,997,438 |
MidOcean Credit CLO Series 2018-8X, Class A2 (3M USD LIBOR +
1.300%) |
|
|
|
500,000 |
|
|
|
1.524 |
|
|
02/20/31 |
|
497,661 |
Mill City Mortgage Loan Trust Series 2017-2, Class A3(b) |
|
|
|
298,102 |
|
|
|
2.928 |
|
|
07/25/59 |
|
310,655 |
Mountain View CLO LLC Series 2016-1A, Class AR(b) (3M USD LIBOR + 1.360%) |
|
|
|
1,200,000 |
|
|
|
1.589 |
|
|
04/14/33 |
|
1,199,996 |
Orec Ltd. Series 2018-CRE1, Class
A(b) (1M USD LIBOR + 1.180%) |
|
|
|
1,475,000 |
|
|
|
1.339 |
|
|
06/15/36 |
|
1,450,937 |
Steele Creek CLO Ltd. Series 2019-1A, Class D(b) (3M USD LIBOR + 4.100%) |
|
|
|
1,350,000 |
|
|
|
4.337 |
|
|
04/15/32 |
|
1,350,445 |
TICP CLO VIII Ltd. Trust Series 2017-8A, Class A1(b) (1M USD LIBOR + 1.230%) |
|
|
|
2,000,000 |
|
|
|
1.448 |
|
|
10/20/30 |
|
2,000,050 |
Whitehorse Ltd. Series 2014-9A, Class AR(b) (3M USD LIBOR + 1.160%) |
|
|
|
496,043 |
|
|
|
1.378 |
|
|
07/17/26 |
|
495,845 |
Zais CLO Ltd. Series 2020-15A, Class A1(b) (3M USD LIBOR + 2.555%) |
|
|
|
1,275,000 |
|
|
|
2.777 |
|
|
07/28/30 |
|
1,283,339 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,806,739 |
|
Home Equity 0.4% |
Credit Suisse First Boston Mortgage Securities Corp. Series 2001-HE17, Class A1 (1M
USD LIBOR + 0.620%) |
|
|
|
832 |
|
|
|
0.768 |
|
|
01/25/32 |
|
798 |
GMAC Mortgage Home Equity Loan Trust Series 2007-HE3, Class 2A1 |
|
|
|
17,513 |
|
|
|
7.000 |
|
|
09/25/37 |
|
17,774 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Asset-Backed Securities(d) (continued) |
Home Equity (continued) |
Home Equity Asset Trust Series 2002-1, Class A4 (1M USD LIBOR +
0.600%) |
$ |
|
|
257 |
|
|
|
0.748 |
% |
|
11/25/32 |
|
$ 219 |
Home Equity Loan Trust Series 2007-FRE1, Class 2AV3 (1M USD LIBOR +
0.230%) |
|
|
|
1,108,145 |
|
|
|
0.378 |
|
|
04/25/37 |
|
1,023,840 |
Morgan Stanley Mortgage Loan Trust Series 2007-7AX, Class 1A (1M USD LIBOR +
0.220%) |
|
|
|
2,795,812 |
|
|
|
0.368 |
|
|
04/25/37 |
|
1,027,108 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,069,739 |
|
Student Loan 1.6% |
AccessLex Institute Series 2004-1, Class A2 (3M USD LIBOR +
0.210%) |
|
|
|
531,524 |
|
|
|
0.435 |
|
|
09/26/33 |
|
518,864 |
Navient Student Loan Trust Series 2017-2A, Class A(b) (1M USD LIBOR + 1.050%) |
|
|
|
3,203,264 |
|
|
|
1.198 |
|
|
12/27/66 |
|
3,231,323 |
PHEAA Student Loan Trust Series 2016-1A, Class A(b) (1M USD LIBOR + 1.150%) |
|
|
|
1,279,849 |
|
|
|
1.298 |
|
|
09/25/65 |
|
1,292,758 |
SLM Student Loan Trust Series 2005-4, Class A3 (3M USD LIBOR +
0.120%) |
|
|
|
152,111 |
|
|
|
0.335 |
|
|
01/25/27 |
|
150,771 |
SLM Student Loan Trust Series 2005-5, Class A4 (3M USD LIBOR +
0.140%) |
|
|
|
886,712 |
|
|
|
0.355 |
|
|
10/25/28 |
|
881,382 |
SLM Student Loan Trust Series 2007-7, Class A4 (3M USD LIBOR +
0.330%) |
|
|
|
652,841 |
|
|
|
0.545 |
|
|
01/25/22 |
|
622,704 |
SLM Student Loan Trust Series 2008-2, Class A3 (3M USD LIBOR +
0.750%) |
|
|
|
184,439 |
|
|
|
0.965 |
|
|
04/25/23 |
|
178,969 |
SLM Student Loan Trust Series 2008-4, Class A4 (3M USD LIBOR +
1.650%) |
|
|
|
423,588 |
|
|
|
1.865 |
|
|
07/25/22 |
|
422,097 |
SLM Student Loan Trust Series 2008-5, Class A4 (3M USD LIBOR +
1.700%) |
|
|
|
718,918 |
|
|
|
1.915 |
|
|
07/25/23 |
|
723,544 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,022,412 |
|
TOTAL ASSET-BACKED SECURITIES (Cost $35,531,515) |
|
$ 35,898,890 |
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Foreign Debt Obligations 1.5% |
Sovereign 1.5% |
Dominican
Republic(b) |
$ |
|
|
150,000 |
|
|
|
4.500 |
% |
|
01/30/30 |
|
$ 162,328 |
|
|
|
310,000 |
|
|
|
6.400 |
|
|
06/05/49 |
|
363,959 |
|
|
|
200,000 |
|
|
|
5.875 |
|
|
01/30/60 |
|
219,250 |
Mexico Government International Bond |
|
|
|
200,000 |
|
|
|
4.500 |
|
|
04/22/29 |
|
234,500 |
Republic of Abu
Dhabi(b) |
|
|
|
480,000 |
|
|
|
3.875 |
|
|
04/16/50 |
|
583,050 |
Republic of Brazil |
|
|
|
200,000 |
|
|
|
3.875 |
|
|
06/12/30 |
|
211,000 |
Republic of
Colombia(a) |
|
|
|
230,000 |
|
|
|
3.000 |
|
|
01/30/30 |
|
241,644 |
|
|
|
330,000 |
|
|
|
3.125 |
|
|
04/15/31 |
|
350,295 |
|
|
|
470,000 |
|
|
|
4.125 |
|
|
05/15/51 |
|
522,170 |
Republic of
Ecuador(b) |
|
|
|
41,572 |
|
|
|
0.000 |
(i) |
|
07/31/30 |
|
19,643 |
|
|
|
34,740 |
|
|
|
0.500 |
(e) |
|
07/31/30 |
|
22,320 |
Republic of
Egypt(b) |
|
|
|
200,000 |
|
|
|
4.550 |
|
|
11/20/23 |
|
207,063 |
|
|
|
620,000 |
|
|
|
8.875 |
|
|
05/29/50 |
|
726,756 |
Republic of Indonesia |
EUR |
|
|
250,000 |
|
|
|
2.150 |
(b) |
|
07/18/24 |
|
324,501 |
$ |
|
|
200,000 |
|
|
|
3.850 |
|
|
10/15/30 |
|
232,188 |
Republic of
Peru(a) |
|
|
|
280,000 |
|
|
|
2.780 |
|
|
12/01/60 |
|
281,820 |
|
|
|
170,000 |
|
|
|
3.230 |
|
|
07/28/21 |
|
169,915 |
Republic of
Qatar(b) |
|
|
|
200,000 |
|
|
|
4.400 |
|
|
04/16/50 |
|
260,000 |
Republic of Romania |
EUR |
|
|
20,000 |
|
|
|
2.875 |
|
|
03/11/29 |
|
27,579 |
|
|
|
500,000 |
|
|
|
3.624 |
(b) |
|
05/26/30 |
|
727,645 |
$ |
|
|
130,000 |
|
|
|
3.000 |
(b) |
|
02/14/31 |
|
139,141 |
EUR |
|
|
70,000 |
|
|
|
2.000 |
(b) |
|
01/28/32 |
|
89,551 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Foreign Debt Obligations (continued) |
Sovereign (continued) |
Republic of Romania (continued) |
EUR |
|
|
80,000 |
|
|
|
3.375 |
%(b) |
|
01/28/50 |
|
$ 112,147 |
|
|
|
70,000 |
|
|
|
3.375 |
|
|
01/28/50 |
|
98,129 |
$ |
|
|
230,000 |
|
|
|
4.000 |
(b) |
|
02/14/51 |
|
250,125 |
Ukraine Government
Bond(b) |
|
|
|
430,000 |
|
|
|
7.253 |
|
|
03/15/33 |
|
468,700 |
United Mexican
States(a) |
|
|
|
624,000 |
|
|
|
3.771 |
|
|
05/24/61 |
|
648,804 |
|
TOTAL FOREIGN DEBT OBLIGATIONS (Cost $6,835,582) |
|
$ 7,694,223 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal Debt Obligations 1.0% |
California 0.3% |
California State GO Bonds Build America Taxable Series 2009(a) |
$ |
|
|
210,000 |
|
|
|
7.550 |
% |
|
04/01/39 |
|
$ 368,718 |
East Bay Municipal Utility Disrtict Water System RB Build America SubSeries
2010 |
|
|
|
900,000 |
|
|
|
5.874 |
|
|
06/01/40 |
|
1,352,583 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,721,301 |
|
Illinois 0.3% |
Illinois State GO Bonds Build America Series 2010 |
|
|
|
115,000 |
|
|
|
6.630 |
|
|
02/01/35 |
|
131,750 |
|
|
|
730,000 |
|
|
|
7.350 |
|
|
07/01/35 |
|
870,350 |
Illinois State GO Bonds Taxable-Pension Series 2003 |
|
|
|
530,000 |
|
|
|
5.100 |
|
|
06/01/33 |
|
570,391 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,572,491 |
|
New York 0.3% |
New York State Metropolitan Transportation Authority RB Refunding Subseries 2002
G-1B |
|
|
|
800,000 |
|
|
|
5.175 |
|
|
11/15/49 |
|
937,416 |
Port Authority of New York & New Jersey Consolidated Bonds - 192 Series
2015 |
|
|
|
375,000 |
|
|
|
4.810 |
|
|
10/15/65 |
|
519,945 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,457,361 |
|
Ohio 0.1% |
American Municipal Power-Ohio, Inc. RB Build America Taxable Series
2010 |
|
|
|
250,000 |
|
|
|
6.270 |
|
|
02/15/50 |
|
354,972 |
|
TOTAL MUNICIPAL DEBT OBLIGATIONS (Cost $4,175,709) |
|
$ 5,106,125 |
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
U.S. Treasury Obligations 9.1% |
United States Treasury
Bonds(j) |
$ |
|
|
1,100,000 |
|
|
|
3.625 |
% |
|
02/15/44 |
|
$ 1,556,156 |
|
|
|
3,510,000 |
|
|
|
2.250 |
|
|
08/15/49 |
|
4,015,111 |
|
|
|
7,860,000 |
|
|
|
1.625 |
|
|
11/15/50 |
|
7,819,472 |
United States Treasury Inflation Indexed Notes(j) |
|
|
|
1,245,519 |
|
|
|
0.125 |
|
|
07/15/22 |
|
1,284,411 |
United States Treasury Notes |
|
|
|
|
|
16,060,000 |
|
|
|
0.250 |
|
|
12/31/25 |
|
16,070,037 |
|
|
|
60,000 |
|
|
|
1.625 |
(j) |
|
09/30/26 |
|
63,947 |
|
|
|
15,920,000 |
|
|
|
0.625 |
|
|
12/31/27 |
|
15,895,125 |
|
|
|
40,000 |
|
|
|
0.625 |
(j) |
|
05/15/30 |
|
39,094 |
|
TOTAL U.S. TREASURY OBLIGATIONS (Cost $46,176,310) |
|
$ 46,743,353 |
|
|
|
|
Shares |
|
|
Dividend Rate |
|
Value |
|
Investment Company(k) 0.2% |
Goldman Sachs Financial Square Government Fund - Institutional Shares |
1,314,005 |
|
|
|
0.026% |
|
$ 1,314,005 |
(Cost $1,314,005) |
|
TOTAL INVESTMENTS 123.1% (Cost $606,405,798) |
|
$ 635,049,061 |
|
LIABILITIES IN EXCESS OF
OTHER ASSETS (23.1)% |
|
(119,283,157) |
|
NET ASSETS 100.0% |
|
$ 515,765,904 |
|
|
|
|
|
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. |
|
|
(c) |
|
Pay-in-kind securities. |
|
|
(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 December 31,
2020. |
|
|
(e) |
|
Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on December 31, 2020. |
|
|
(f) |
|
Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. |
|
|
(g) |
|
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 $130,318,041 which represents approximately 25.3% of the Funds net assets as of December 31,
2020. |
|
|
|
|
|
(h) |
|
Guaranteed by the United States Government until maturity. Total market value for these securities amounts to $58,777, which represents approximately 0.0% of the Funds net assets as of December 31, 2020. |
|
|
(i) |
|
Issued with a zero coupon. Income is recognized through the accretion of discount. |
|
|
(j) |
|
All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. |
|
|
(k) |
|
Represents an affiliated issuer.
|
|
|
|
|
Currency Abbreviations: |
AUD |
|
Australian Dollar |
BRL |
|
Brazilian Real |
CAD |
|
Canadian Dollar |
CHF |
|
Swiss Franc |
CNH |
|
Chinese Yuan Renminbi Offshore |
CNY |
|
Chinese Yuan Renminbi |
COP |
|
Colombian Peso |
EUR |
|
Euro |
GBP |
|
British Pound |
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 |
PHP |
|
Philippine Peso |
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 |
CMT |
|
Constant Maturity Treasury Indexes |
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 |
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 |
NIBOR |
|
Norwegian Interbank Offered Rate |
NZDOR |
|
New Zealand Dollar Offered Rate |
PLC |
|
Public Limited Company |
RB |
|
Revenue Bond |
REMIC |
|
Real Estate Mortgage Investment Conduit |
SOFR |
|
Secured Overnight Funding Rate |
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)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS At December 31, 2020, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Currency Purchased |
|
|
Currency Sold |
|
|
Settlement Date |
|
Unrealized Gain |
|
|
|
MS & Co. Int. PLC |
|
AUD |
|
|
629,278 |
|
|
EUR |
|
|
389,253 |
|
|
03/17/21 |
|
$ |
9,080 |
|
|
|
AUD |
|
|
3,783,000 |
|
|
NZD |
|
|
3,993,384 |
|
|
03/17/21 |
|
|
44,190 |
|
|
|
AUD |
|
|
3,502,241 |
|
|
USD |
|
|
2,675,246 |
|
|
03/11/21 |
|
|
26,411 |
|
|
|
AUD |
|
|
1,352,614 |
|
|
USD |
|
|
1,022,972 |
|
|
03/17/21 |
|
|
20,490 |
|
|
|
BRL |
|
|
4,001,852 |
|
|
USD |
|
|
756,583 |
|
|
01/05/21 |
|
|
13,958 |
|
|
|
BRL |
|
|
2,363,466 |
|
|
USD |
|
|
454,263 |
|
|
02/02/21 |
|
|
555 |
|
|
|
CAD |
|
|
3,562,883 |
|
|
USD |
|
|
2,788,980 |
|
|
03/17/21 |
|
|
10,645 |
|
|
|
CHF |
|
|
821,963 |
|
|
USD |
|
|
930,257 |
|
|
03/17/21 |
|
|
329 |
|
|
|
CNH |
|
|
15,558,034 |
|
|
USD |
|
|
2,371,950 |
|
|
03/17/21 |
|
|
8,237 |
|
|
|
COP |
|
|
8,522,428,565 |
|
|
USD |
|
|
2,354,405 |
|
|
01/29/21 |
|
|
140,949 |
|
|
|
EUR |
|
|
362,296 |
|
|
JPY |
|
|
45,638,115 |
|
|
03/17/21 |
|
|
987 |
|
|
|
EUR |
|
|
1,137,146 |
|
|
PLN |
|
|
5,135,665 |
|
|
03/17/21 |
|
|
16,413 |
|
|
|
EUR |
|
|
10,986,506 |
|
|
USD |
|
|
12,976,733 |
|
|
01/21/21 |
|
|
452,092 |
|
|
|
EUR |
|
|
11,258,899 |
|
|
USD |
|
|
13,668,592 |
|
|
03/17/21 |
|
|
110,081 |
|
|
|
GBP |
|
|
350,136 |
|
|
EUR |
|
|
386,764 |
|
|
03/17/21 |
|
|
5,719 |
|
|
|
GBP |
|
|
1,895,221 |
|
|
USD |
|
|
2,460,472 |
|
|
01/13/21 |
|
|
131,562 |
|
|
|
GBP |
|
|
1,568,867 |
|
|
USD |
|
|
2,095,466 |
|
|
03/17/21 |
|
|
51,000 |
|
|
|
IDR |
|
|
36,366,067,613 |
|
|
USD |
|
|
2,560,531 |
|
|
01/06/21 |
|
|
48,413 |
|
|
|
IDR |
|
|
11,366,567,015 |
|
|
USD |
|
|
800,181 |
|
|
03/05/21 |
|
|
12,917 |
|
|
|
ILS |
|
|
2,472,196 |
|
|
USD |
|
|
760,055 |
|
|
03/17/21 |
|
|
10,326 |
|
|
|
INR |
|
|
480,166,339 |
|
|
USD |
|
|
6,460,656 |
|
|
01/27/21 |
|
|
95,784 |
|
|
|
JPY |
|
|
888,542,304 |
|
|
USD |
|
|
8,540,301 |
|
|
03/17/21 |
|
|
72,770 |
|
|
|
JPY |
|
|
164,632,535 |
|
|
USD |
|
|
1,590,775 |
|
|
03/18/21 |
|
|
5,109 |
|
|
|
KRW |
|
|
6,761,805,547 |
|
|
USD |
|
|
6,033,453 |
|
|
01/08/21 |
|
|
181,847 |
|
|
|
KRW |
|
|
4,096,487,980 |
|
|
USD |
|
|
3,606,254 |
|
|
01/15/21 |
|
|
159,167 |
|
|
|
KRW |
|
|
4,096,487,980 |
|
|
USD |
|
|
3,674,442 |
|
|
02/19/21 |
|
|
90,695 |
|
|
|
MXN |
|
|
23,188,257 |
|
|
USD |
|
|
1,138,226 |
|
|
03/17/21 |
|
|
16,868 |
|
|
|
NOK |
|
|
1,560,609 |
|
|
EUR |
|
|
147,964 |
|
|
03/17/21 |
|
|
882 |
|
|
|
NOK |
|
|
39,089,056 |
|
|
USD |
|
|
4,442,242 |
|
|
03/17/21 |
|
|
115,376 |
|
|
|
NZD |
|
|
5,273,819 |
|
|
USD |
|
|
3,709,868 |
|
|
03/17/21 |
|
|
85,872 |
|
|
|
PHP |
|
|
22,813,088 |
|
|
USD |
|
|
472,987 |
|
|
01/15/21 |
|
|
1,620 |
|
|
|
PHP |
|
|
43,608,438 |
|
|
USD |
|
|
906,052 |
|
|
02/08/21 |
|
|
242 |
|
|
|
RUB |
|
|
14,352,074 |
|
|
USD |
|
|
186,671 |
|
|
01/25/21 |
|
|
6,723 |
|
|
|
RUB |
|
|
81,927,248 |
|
|
USD |
|
|
1,058,316 |
|
|
02/08/21 |
|
|
43,869 |
|
|
|
SEK |
|
|
7,888,679 |
|
|
EUR |
|
|
778,948 |
|
|
03/17/21 |
|
|
6,339 |
|
|
|
SEK |
|
|
39,781,000 |
|
|
USD |
|
|
4,724,965 |
|
|
02/26/21 |
|
|
113,047 |
|
|
|
SEK |
|
|
3,929,070 |
|
|
USD |
|
|
475,151 |
|
|
03/17/21 |
|
|
2,801 |
|
|
|
SGD |
|
|
1,816,878 |
|
|
USD |
|
|
1,360,585 |
|
|
03/17/21 |
|
|
14,287 |
|
|
|
THB |
|
|
107,334,033 |
|
|
USD |
|
|
3,562,435 |
|
|
03/17/21 |
|
|
20,592 |
|
|
|
TRY |
|
|
3,832,663 |
|
|
USD |
|
|
455,495 |
|
|
01/11/21 |
|
|
58,365 |
|
|
|
TRY |
|
|
4,415,851 |
|
|
USD |
|
|
552,804 |
|
|
01/19/21 |
|
|
37,474 |
|
|
|
TRY |
|
|
3,017,908 |
|
|
USD |
|
|
379,123 |
|
|
01/25/21 |
|
|
23,386 |
|
|
|
TRY |
|
|
12,520,176 |
|
|
USD |
|
|
1,541,901 |
|
|
03/17/21 |
|
|
92,087 |
|
|
|
TWD |
|
|
26,482,208 |
|
|
USD |
|
|
935,996 |
|
|
01/04/21 |
|
|
6,891 |
|
|
|
TWD |
|
|
64,233,458 |
|
|
USD |
|
|
2,285,047 |
|
|
02/05/21 |
|
|
13,904 |
|
|
|
TWD |
|
|
13,211,010 |
|
|
USD |
|
|
467,448 |
|
|
02/17/21 |
|
|
6,386 |
|
|
|
TWD |
|
|
12,682,921 |
|
|
USD |
|
|
456,056 |
|
|
03/05/21 |
|
|
324 |
|
|
|
USD |
|
|
530,080 |
|
|
CAD |
|
|
673,007 |
|
|
03/11/21 |
|
|
1,255 |
|
|
|
USD |
|
|
455,919 |
|
|
CNH |
|
|
2,979,980 |
|
|
03/17/21 |
|
|
19 |
|
|
|
USD |
|
|
432,921 |
|
|
JPY |
|
|
44,629,396 |
|
|
03/17/21 |
|
|
307 |
|
|
|
USD |
|
|
1,276,032 |
|
|
KRW |
|
|
1,384,499,555 |
|
|
01/08/21 |
|
|
3,430 |
|
|
|
USD |
|
|
80,431 |
|
|
KRW |
|
|
87,434,475 |
|
|
02/19/21 |
|
|
69 |
|
|
|
USD |
|
|
377,036 |
|
|
MXN |
|
|
7,529,388 |
|
|
03/17/21 |
|
|
1,969 |
|
|
|
USD |
|
|
758,547 |
|
|
THB |
|
|
22,606,849 |
|
|
03/17/21 |
|
|
3,885 |
|
|
|
USD |
|
|
2,047,105 |
|
|
TWD |
|
|
57,056,177 |
|
|
02/05/21 |
|
|
5,033 |
|
|
|
USD |
|
|
188,355 |
|
|
ZAR |
|
|
2,781,326 |
|
|
03/17/21 |
|
|
946 |
|
|
|
ZAR |
|
|
14,669,955 |
|
|
USD |
|
|
974,625 |
|
|
03/17/21 |
|
|
13,855 |
|
|
|
TOTAL |
|
$ |
2,417,829 |
|
|
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Currency Purchased |
|
|
Currency Sold |
|
|
Settlement Date |
|
Unrealized Loss |
|
|
|
MS & Co. Int. PLC |
|
CAD |
|
|
1,011,000 |
|
|
USD |
|
|
796,293 |
|
|
03/11/21 |
|
$ |
(1,886 |
) |
|
|
EUR |
|
|
388,420 |
|
|
GBP |
|
|
348,856 |
|
|
03/17/21 |
|
|
(1,942 |
) |
|
|
EUR |
|
|
1,944,374 |
|
|
NOK |
|
|
20,791,463 |
|
|
03/17/21 |
|
|
(44,667 |
) |
|
|
EUR |
|
|
389,557 |
|
|
NZD |
|
|
670,790 |
|
|
03/17/21 |
|
|
(6,049 |
) |
|
|
HUF |
|
|
176,884,384 |
|
|
EUR |
|
|
496,367 |
|
|
03/17/21 |
|
|
(11,654 |
) |
|
|
MXN |
|
|
27,823,188 |
|
|
USD |
|
|
1,389,975 |
|
|
03/17/21 |
|
|
(3,997 |
) |
|
|
PLN |
|
|
1,772,709 |
|
|
EUR |
|
|
395,582 |
|
|
03/17/21 |
|
|
(9,417 |
) |
|
|
PLN |
|
|
3,075,647 |
|
|
USD |
|
|
835,663 |
|
|
03/17/21 |
|
|
(12,064 |
) |
|
|
SEK |
|
|
8,723,075 |
|
|
EUR |
|
|
870,000 |
|
|
03/17/21 |
|
|
(3,589 |
) |
|
|
TWD |
|
|
52,136,866 |
|
|
USD |
|
|
1,870,190 |
|
|
02/05/21 |
|
|
(4,182 |
) |
|
|
TWD |
|
|
13,266,607 |
|
|
USD |
|
|
476,188 |
|
|
02/17/21 |
|
|
(361 |
) |
|
|
USD |
|
|
1,849,512 |
|
|
AUD |
|
|
2,421,248 |
|
|
03/11/21 |
|
|
(18,260 |
) |
|
|
USD |
|
|
4,721,080 |
|
|
AUD |
|
|
6,295,374 |
|
|
03/17/21 |
|
|
(135,426 |
) |
|
|
USD |
|
|
762,762 |
|
|
BRL |
|
|
4,001,852 |
|
|
01/05/21 |
|
|
(7,779 |
) |
|
|
USD |
|
|
6,354,634 |
|
|
CAD |
|
|
8,129,933 |
|
|
03/17/21 |
|
|
(33,664 |
) |
|
|
USD |
|
|
636,138 |
|
|
CHF |
|
|
564,524 |
|
|
03/03/21 |
|
|
(2,710 |
) |
|
|
USD |
|
|
1,381,833 |
|
|
CNH |
|
|
9,047,245 |
|
|
03/17/21 |
|
|
(2,284 |
) |
|
|
USD |
|
|
2,457,514 |
|
|
COP |
|
|
8,534,525,310 |
|
|
01/29/21 |
|
|
(41,383 |
) |
|
|
USD |
|
|
16,670,508 |
|
|
EUR |
|
|
14,070,091 |
|
|
01/21/21 |
|
|
(527,389 |
) |
|
|
USD |
|
|
6,361,670 |
|
|
EUR |
|
|
5,249,011 |
|
|
03/17/21 |
|
|
(62,085 |
) |
|
|
USD |
|
|
6,914,582 |
|
|
GBP |
|
|
5,368,014 |
|
|
01/13/21 |
|
|
(427,080 |
) |
|
|
USD |
|
|
2,603,684 |
|
|
GBP |
|
|
1,928,512 |
|
|
03/17/21 |
|
|
(34,833 |
) |
|
|
USD |
|
|
2,571,051 |
|
|
IDR |
|
|
36,366,067,613 |
|
|
01/06/21 |
|
|
(37,893 |
) |
|
|
USD |
|
|
1,886,594 |
|
|
ILS |
|
|
6,131,712 |
|
|
03/17/21 |
|
|
(24,158 |
) |
|
|
USD |
|
|
5,779,837 |
|
|
INR |
|
|
428,536,569 |
|
|
01/27/21 |
|
|
(71,626 |
) |
|
|
USD |
|
|
1,408,622 |
|
|
JPY |
|
|
145,920,878 |
|
|
03/17/21 |
|
|
(5,859 |
) |
|
|
USD |
|
|
1,284,520 |
|
|
JPY |
|
|
132,937,506 |
|
|
03/18/21 |
|
|
(4,126 |
) |
|
|
USD |
|
|
6,637,756 |
|
|
KRW |
|
|
7,457,609,790 |
|
|
01/08/21 |
|
|
(217,111 |
) |
|
|
USD |
|
|
3,674,672 |
|
|
KRW |
|
|
4,096,487,980 |
|
|
01/15/21 |
|
|
(90,748 |
) |
|
|
USD |
|
|
667,749 |
|
|
MXN |
|
|
13,576,135 |
|
|
03/17/21 |
|
|
(8,528 |
) |
|
|
USD |
|
|
1,466,128 |
|
|
NOK |
|
|
12,849,265 |
|
|
03/01/21 |
|
|
(32,172 |
) |
|
|
USD |
|
|
5,502,695 |
|
|
NOK |
|
|
47,956,366 |
|
|
03/17/21 |
|
|
(88,811 |
) |
|
|
USD |
|
|
4,286,125 |
|
|
NZD |
|
|
6,050,645 |
|
|
03/17/21 |
|
|
(68,722 |
) |
|
|
USD |
|
|
476,731 |
|
|
RUB |
|
|
36,161,795 |
|
|
01/25/21 |
|
|
(10,547 |
) |
|
|
USD |
|
|
943,445 |
|
|
RUB |
|
|
71,544,490 |
|
|
02/08/21 |
|
|
(19,058 |
) |
|
|
USD |
|
|
4,953,070 |
|
|
SEK |
|
|
41,701,485 |
|
|
02/26/21 |
|
|
(118,504 |
) |
|
|
USD |
|
|
7,529,691 |
|
|
SEK |
|
|
63,661,826 |
|
|
03/17/21 |
|
|
(214,454 |
) |
|
|
USD |
|
|
1,517,176 |
|
|
SGD |
|
|
2,017,406 |
|
|
03/17/21 |
|
|
(9,440 |
) |
|
|
USD |
|
|
1,448,017 |
|
|
THB |
|
|
43,661,556 |
|
|
03/17/21 |
|
|
(9,495 |
) |
|
|
USD |
|
|
546,826 |
|
|
TRY |
|
|
4,551,204 |
|
|
01/11/21 |
|
|
(63,372 |
) |
|
|
USD |
|
|
902,403 |
|
|
TRY |
|
|
7,228,811 |
|
|
01/19/21 |
|
|
(63,892 |
) |
|
|
USD |
|
|
255,196 |
|
|
TRY |
|
|
2,061,349 |
|
|
01/25/21 |
|
|
(19,733 |
) |
|
|
USD |
|
|
940,001 |
|
|
TWD |
|
|
26,482,208 |
|
|
01/04/21 |
|
|
(2,886 |
) |
|
|
USD |
|
|
463,172 |
|
|
TWD |
|
|
13,079,501 |
|
|
02/05/21 |
|
|
(4,951 |
) |
|
|
USD |
|
|
663,837 |
|
|
ZAR |
|
|
9,900,419 |
|
|
03/17/21 |
|
|
(3,267 |
) |
|
|
ZAR |
|
|
2,819,520 |
|
|
USD |
|
|
190,214 |
|
|
03/17/21 |
|
|
(231 |
) |
|
|
TOTAL |
|
$ |
(2,582,285 |
) |
|
|
FORWARD SALES CONTRACTS At December 31, 2020, the Fund had the following forward sales contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Interest Rate |
|
|
Maturity Date(a) |
|
Settlement Date |
|
|
Principal Amount |
|
|
Value |
|
|
|
GNMA |
|
|
4.000 |
% |
|
TBA-30yr |
|
|
01/21/21 |
|
|
$ |
(3,000,000 |
) |
|
$ |
(3,198,047 |
) |
UMBS, 30 Year, Single Family |
|
|
4.000 |
% |
|
TBA-30yr |
|
|
01/14/21 |
|
|
|
(5,000,000 |
) |
|
$ |
(5,339,453 |
) |
|
|
TOTAL (Proceeds Receivable: $8,522,578) |
|
|
$ |
(8,537,500 |
) |
|
|
(a) |
|
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. |
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FUTURES CONTRACTS At December 31, 2020, 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 |
|
|
102 |
|
|
|
03/22/21 |
|
|
$ |
21,783,375 |
|
|
$ |
(141,726 |
) |
10 Year U.S. Treasury Notes |
|
|
241 |
|
|
|
03/22/21 |
|
|
|
33,276,828 |
|
|
|
23,239 |
|
20 Year U.S. Treasury Bonds |
|
|
140 |
|
|
|
03/22/21 |
|
|
|
24,246,250 |
|
|
|
(187,831 |
) |
|
|
Total |
|
|
$ |
(306,318 |
) |
|
|
Short position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Australian 10 Year Government Bonds |
|
|
(11) |
|
|
|
03/15/21 |
|
|
|
(1,248,577 |
) |
|
|
(432 |
) |
Ultra 10 Year U.S. Treasury Notes |
|
|
(98) |
|
|
|
03/22/21 |
|
|
|
(15,323,219 |
) |
|
|
41,131 |
|
2 Year U.S. Treasury Notes |
|
|
(69) |
|
|
|
03/31/21 |
|
|
|
(15,247,383 |
) |
|
|
(10,176 |
) |
5 Year U.S. Treasury Notes |
|
|
(311) |
|
|
|
03/31/21 |
|
|
|
(39,237,023 |
) |
|
|
(32,665 |
) |
|
|
Total |
|
|
$ |
(2,142 |
) |
|
|
TOTAL FUTURES CONTRACTS |
|
|
$ |
(308,460 |
) |
|
|
SWAP CONTRACTS At December 31, 2020, 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) |
|
|
|
0.250%(a) |
|
3M WIBOR(b) |
|
12/16/21 |
|
PLN |
18,330 |
|
|
$ |
(5,097 |
) |
|
$ |
(874 |
) |
|
$ |
(4,223 |
) |
1M BID Average(a) |
|
4.12%(a) |
|
01/03/22 |
|
BRL |
1,300 |
|
|
|
6,124 |
|
|
|
3,860 |
|
|
|
2,264 |
|
1M BID Average(a) |
|
4.230(a) |
|
01/02/23 |
|
|
6,130 |
|
|
|
8,565 |
|
|
|
(3,932 |
) |
|
|
12,497 |
|
Mexico Interbank TIIE 28
Days(c) |
|
4.400(c) |
|
03/15/23 |
|
MXN |
117,130 |
(d) |
|
|
12,143 |
|
|
|
1,481 |
|
|
|
10,662 |
|
6M EURO(e) |
|
(0.250)(f) |
|
03/17/23 |
|
EUR |
3,710 |
(d) |
|
|
24,659 |
|
|
|
26,983 |
|
|
|
(2,324 |
) |
2.500(b) |
|
3M CNY(b) |
|
03/17/23 |
|
CNY |
11,840 |
(d) |
|
|
(22 |
) |
|
|
7,532 |
|
|
|
(7,554 |
) |
6M WIBOR(e) |
|
0.345(f) |
|
06/16/23 |
|
PLN |
3,830 |
(d) |
|
|
2,103 |
|
|
|
(4,199 |
) |
|
|
6,302 |
|
3M JIBAR(b) |
|
4.000(b) |
|
06/16/23 |
|
ZAR |
16,216 |
(d) |
|
|
5,118 |
|
|
|
(230 |
) |
|
|
5,348 |
|
6M CDOR(e) |
|
0.700(e) |
|
11/18/23 |
|
CAD |
29,930 |
(d) |
|
|
26,560 |
|
|
|
602 |
|
|
|
25,958 |
|
1M BID Average(a) |
|
4.930(a) |
|
01/02/24 |
|
BRL |
1,840 |
|
|
|
4,477 |
|
|
|
(801 |
) |
|
|
5,278 |
|
6M CDOR(e) |
|
0.750(e) |
|
03/17/24 |
|
CAD |
22,320 |
(d) |
|
|
62,469 |
|
|
|
27,707 |
|
|
|
34,762 |
|
0.250(e) |
|
3M LIBOR(b) |
|
03/17/24 |
|
$ |
16,590 |
(d) |
|
|
4,037 |
|
|
|
22,022 |
|
|
|
(17,985 |
) |
1M LIBOR + 0.900%(b) |
|
3M LIBOR(b) |
|
07/25/24 |
|
|
41,260 |
|
|
|
(13,851 |
) |
|
|
13,848 |
|
|
|
(27,699 |
) |
6M CDOR(e) |
|
0.810(e) |
|
09/30/24 |
|
CAD |
27,540 |
(d) |
|
|
(14,292 |
) |
|
|
2,476 |
|
|
|
(16,768 |
) |
6M CDOR(e) |
|
0.960(e) |
|
11/09/24 |
|
|
66,310 |
(d) |
|
|
93,102 |
|
|
|
52,071 |
|
|
|
41,031 |
|
0.000(b) |
|
3M LIBOR(b) |
|
11/10/24 |
|
$ |
24,480 |
|
|
|
(21,197 |
) |
|
|
23 |
|
|
|
(21,220 |
) |
6M CDOR(e) |
|
0.812(e) |
|
11/17/24 |
|
CAD |
34,000 |
(d) |
|
|
39,898 |
|
|
|
(11,074 |
) |
|
|
50,972 |
|
0.400(e) |
|
3M LIBOR(b) |
|
11/17/24 |
|
$ |
26,180 |
(d) |
|
|
(39,671 |
) |
|
|
9,481 |
|
|
|
(49,152 |
) |
6M AUDOR(e) |
|
0.553(e) |
|
05/16/25 |
|
AUD |
4,640 |
(d) |
|
|
14,516 |
|
|
|
(283,086 |
) |
|
|
297,602 |
|
(0.500)(f) |
|
6M EURO(f) |
|
05/18/25 |
|
EUR |
3,440 |
(d) |
|
|
(11,147 |
) |
|
|
(9,513 |
) |
|
|
(1,634 |
) |
6M AUDOR(e) |
|
0.500(e) |
|
11/25/25 |
|
AUD |
28,450 |
(d) |
|
|
(34,069 |
) |
|
|
(23,259 |
) |
|
|
(10,810 |
) |
6M WIBOR(e) |
|
0.750(f) |
|
12/16/25 |
|
PLN |
3,690 |
|
|
|
7,462 |
|
|
|
(773 |
) |
|
|
8,235 |
|
Mexico Interbank TIIE 28
Days(c) |
|
4.900(c) |
|
03/11/26 |
|
MXN |
32,530 |
(d) |
|
|
11,257 |
|
|
|
770 |
|
|
|
10,487 |
|
3M STIBOR(b) |
|
0.000(f) |
|
03/17/26 |
|
SEK |
153,770 |
(d) |
|
|
(141,562 |
) |
|
|
(88,283 |
) |
|
|
(53,279 |
) |
3M LIBOR(b) |
|
0.500(e) |
|
03/17/26 |
|
$ |
250 |
(d) |
|
|
496 |
|
|
|
171 |
|
|
|
325 |
|
6M NIBOR(e) |
|
0.750(f) |
|
03/17/26 |
|
NOK |
95,630 |
(d) |
|
|
(127,373 |
) |
|
|
(74,050 |
) |
|
|
(53,323 |
) |
3M JIBAR(b) |
|
5.250(b) |
|
03/17/26 |
|
ZAR |
45,030 |
(d) |
|
|
47,962 |
|
|
|
4,880 |
|
|
|
43,082 |
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (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) |
|
|
|
(0.250)%(f) |
|
|
6M EURO(e) |
|
|
|
03/17/26 |
|
|
EUR |
7,630 |
(d) |
|
$ |
(96,569 |
) |
|
$ |
(103,486 |
) |
|
$ |
6,917 |
|
(0.500)(f) |
|
|
6M EURO(f) |
|
|
|
03/17/26 |
|
|
|
20,130 |
(d) |
|
|
(93,835 |
) |
|
|
(138,399 |
) |
|
|
44,564 |
|
6M CHFOR(e) |
|
|
(0.500)%(f) |
|
|
|
03/17/28 |
|
|
CHF |
9,630 |
(d) |
|
|
(58,514 |
) |
|
|
(41,885 |
) |
|
|
(16,629 |
) |
(0.500)(f) |
|
|
6M EURO(f) |
|
|
|
03/17/28 |
|
|
EUR |
8,770 |
(d) |
|
|
(9,939 |
) |
|
|
(35,370 |
) |
|
|
25,431 |
|
6M AUDOR(e) |
|
|
0.920(e) |
|
|
|
09/04/28 |
|
|
AUD |
34,330 |
(d) |
|
|
(166,658 |
) |
|
|
(60,308 |
) |
|
|
(106,350 |
) |
3M NZDOR(b) |
|
|
1.750(e) |
|
|
|
03/19/30 |
|
|
NZD |
1,210 |
(d) |
|
|
17,402 |
|
|
|
23,818 |
|
|
|
(6,416 |
) |
6M AUDOR(e) |
|
|
1.750(e) |
|
|
|
03/19/30 |
|
|
AUD |
3,100 |
(d) |
|
|
35,168 |
|
|
|
28,033 |
|
|
|
7,135 |
|
0.250(e) |
|
|
6M JYOR(e) |
|
|
|
03/19/30 |
|
|
JPY |
163,600 |
(d) |
|
|
(12,916 |
) |
|
|
(11,107 |
) |
|
|
(1,809 |
) |
6M EURO(e) |
|
|
0.050(f) |
|
|
|
05/21/30 |
|
|
EUR |
12,910 |
(d) |
|
|
153,568 |
|
|
|
29,747 |
|
|
|
123,821 |
|
3M LIBOR(b) |
|
|
1.750(e) |
|
|
|
06/18/30 |
|
|
$ |
3,650 |
(d) |
|
|
70,151 |
|
|
|
77,267 |
|
|
|
(7,116 |
) |
0.750(f) |
|
|
3M STIBOR(b) |
|
|
|
06/18/30 |
|
|
SEK |
14,310 |
(d) |
|
|
(13,875 |
) |
|
|
(20,524 |
) |
|
|
6,649 |
|
0.250(f) |
|
|
6M EURO(e) |
|
|
|
06/18/30 |
|
|
EUR |
11,620 |
(d) |
|
|
(280,213 |
) |
|
|
(805,171 |
) |
|
|
524,958 |
|
1.000(e) |
|
|
6M GBP(e) |
|
|
|
06/18/30 |
|
|
GBP |
2,400 |
(d) |
|
|
(71,547 |
) |
|
|
(68,388 |
) |
|
|
(3,159 |
) |
3M KWCDC(b) |
|
|
1.179(b) |
|
|
|
09/11/30 |
|
|
KRW |
1,932,190 |
(d) |
|
|
(21,677 |
) |
|
|
(17,293 |
) |
|
|
(4,384 |
) |
(0.100)(f) |
|
|
6M CHFOR(e) |
|
|
|
09/17/30 |
|
|
CHF |
1,440 |
(d) |
|
|
4,929 |
|
|
|
(618 |
) |
|
|
5,547 |
|
6M AUDOR(e) |
|
|
1.240(e) |
|
|
|
10/28/30 |
|
|
AUD |
10,770 |
(d) |
|
|
(132,356 |
) |
|
|
(116,179 |
) |
|
|
(16,177 |
) |
1.240(f) |
|
|
3M NIBOR(e) |
|
|
|
10/29/30 |
|
|
NOK |
91,340 |
(d) |
|
|
188,729 |
|
|
|
(171,157 |
) |
|
|
359,886 |
|
6M AUDOR(e) |
|
|
1.250(e) |
|
|
|
11/09/30 |
|
|
AUD |
13,670 |
(d) |
|
|
(166,652 |
) |
|
|
(191,431 |
) |
|
|
24,779 |
|
1.430(e) |
|
|
6M CDOR(e) |
|
|
|
11/09/30 |
|
|
CAD |
13,310 |
(d) |
|
|
(55,480 |
) |
|
|
(39,572 |
) |
|
|
(15,908 |
) |
1.190(e) |
|
|
3M LIBOR(b) |
|
|
|
11/10/30 |
|
|
$ |
9,690 |
(d) |
|
|
105,173 |
|
|
|
68,545 |
|
|
|
36,628 |
|
0.144(e) |
|
|
6M JYOR(e) |
|
|
|
11/13/30 |
|
|
JPY |
2,163,360 |
(d) |
|
|
(24,069 |
) |
|
|
(84,722 |
) |
|
|
60,653 |
|
3M LIBOR(b) |
|
|
1.245(e) |
|
|
|
11/24/30 |
|
|
$ |
12,660 |
(d) |
|
|
(107,284 |
) |
|
|
(14,230 |
) |
|
|
(93,054 |
) |
6M CHFOR(e) |
|
|
(0.250)(e) |
|
|
|
03/17/31 |
|
|
CHF |
1,700 |
(d) |
|
|
3,851 |
|
|
|
6,785 |
|
|
|
(2,934 |
) |
6M EURO(e) |
|
|
0.000(e) |
|
|
|
03/17/31 |
|
|
EUR |
2,060 |
(d) |
|
|
65,642 |
|
|
|
57,427 |
|
|
|
8,215 |
|
0.000(f) |
|
|
6M EURO(e) |
|
|
|
03/17/31 |
|
|
|
1,720 |
(d) |
|
|
(54,808 |
) |
|
|
(54,281 |
) |
|
|
(527 |
) |
6M NIBOR(e) |
|
|
1.000(f) |
|
|
|
03/18/31 |
|
|
NOK |
24,370 |
(d) |
|
|
(84,024 |
) |
|
|
(86,239 |
) |
|
|
2,215 |
|
6M CDOR(e) |
|
|
1.500(e) |
|
|
|
03/19/31 |
|
|
CAD |
2,870 |
(d) |
|
|
(15,522 |
) |
|
|
(9,480 |
) |
|
|
(6,042 |
) |
1.543(e) |
|
|
3M LIBOR(b) |
|
|
|
11/25/35 |
|
|
$ |
13,910 |
(d) |
|
|
139,773 |
|
|
|
3,959 |
|
|
|
135,814 |
|
0.260(f) |
|
|
6M EURO(e) |
|
|
|
05/21/40 |
|
|
EUR |
6,160 |
(d) |
|
|
3,848 |
|
|
|
(45,035 |
) |
|
|
48,883 |
|
3M LIBOR(e) |
|
|
1.750(b) |
|
|
|
06/19/40 |
|
|
$ |
3,120 |
(d) |
|
|
(2,914 |
) |
|
|
19,372 |
|
|
|
(22,286 |
) |
0.750(f) |
|
|
6M EURO(e) |
|
|
|
06/19/40 |
|
|
EUR |
3,410 |
(d) |
|
|
(208,607 |
) |
|
|
(399,080 |
) |
|
|
190,473 |
|
0.250(f) |
|
|
6M EURO(e) |
|
|
|
03/17/41 |
|
|
|
130 |
(d) |
|
|
(7,996 |
) |
|
|
(7,946 |
) |
|
|
(50 |
) |
0.500(e) |
|
|
6M JYOR(e) |
|
|
|
03/19/41 |
|
|
JPY |
71,150 |
(d) |
|
|
846 |
|
|
|
(918 |
) |
|
|
1,764 |
|
3M LIBOR(b) |
|
|
1.750(e) |
|
|
|
06/20/50 |
|
|
$ |
5,770 |
(d) |
|
|
52,007 |
|
|
|
78,152 |
|
|
|
(26,145 |
) |
0.500(f) |
|
|
6M EURO(e) |
|
|
|
06/20/50 |
|
|
EUR |
3,170 |
(d) |
|
|
(226,268 |
) |
|
|
(285,411 |
) |
|
|
59,143 |
|
0.500(e) |
|
|
6M JYOR(e) |
|
|
|
06/20/50 |
|
|
JPY |
87,330 |
(d) |
|
|
12,298 |
|
|
|
247 |
|
|
|
12,051 |
|
0.000(f) |
|
|
6M EURO(e) |
|
|
|
03/17/51 |
|
|
EUR |
2,630 |
(d) |
|
|
(26,920 |
) |
|
|
(21,373 |
) |
|
|
(5,547 |
) |
|
|
TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,122,591 |
) |
|
$ |
(2,762,418 |
) |
|
$ |
1,639,827 |
|
|
|
(a) |
|
Payments made at maturity. |
(b) |
|
Payments made quarterly. |
(c) |
|
Payments made monthly. |
(d) |
|
Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to December 31, 2020. |
(e) |
|
Payments made semi-annually. |
(f) |
|
Payments made annually. |
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Obligation/Index |
|
Financing Rate Paid by the Fund |
|
Credit Spread at December 31, 2020(a) |
|
Counterparty |
|
Termination Date |
|
|
Notional Amount (000s) |
|
|
Value |
|
|
Upfront Premiums (Received) Paid |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
Protection Purchased: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Peoples Republic of China,
7.500%, 10/28/27 |
|
(1.000)%(b) |
|
0.057% |
|
Barclays Bank PLC |
|
|
06/20/21 |
|
|
$ |
80 |
|
|
$ |
(385 |
) |
|
$ |
68 |
|
|
$ |
(453 |
) |
Peoples Republic of China, 7.500%,
10/28/27 |
|
(1.000)(b) |
|
0.064 |
|
Barclays Bank PLC |
|
|
12/20/21 |
|
|
|
690 |
|
|
|
(6,571 |
) |
|
|
(531 |
) |
|
|
(6,040 |
) |
Peoples Republic of China, 7.500%,
10/28/27 |
|
(1.000)(b) |
|
0.057 |
|
BofA Securities LLC |
|
|
06/20/21 |
|
|
|
670 |
|
|
|
(3,221 |
) |
|
|
732 |
|
|
|
(3,953 |
) |
Peoples Republic of China, 7.500%, 10/28/27 |
|
(1.000)(b) |
|
0.057 |
|
Citibank NA |
|
|
06/20/21 |
|
|
|
560 |
|
|
|
(2,692 |
) |
|
|
489 |
|
|
|
(3,181 |
) |
Peoples Republic of China, 7.500%, 10/28/27 |
|
(1.000)(b) |
|
0.072 |
|
Citibank NA |
|
|
06/20/22 |
|
|
|
80 |
|
|
|
(1,129 |
) |
|
|
(354 |
) |
|
|
(775 |
) |
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Obligation/Index |
|
Financing Rate Paid by the Fund |
|
|
Credit Spread at December 31, 2020(a) |
|
|
Counterparty |
|
Termination Date |
|
|
Notional Amount (000s) |
|
|
Value |
|
|
Upfront Premiums (Received) Paid |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
Protection Purchased: (continued) |
|
Peoples Republic of China, 7.500%, 10/28/27 |
|
|
(1.000)%(b) |
|
|
|
0.057% |
|
|
Deutsche Bank AG (London) |
|
|
06/20/21 |
|
|
$ |
460 |
|
|
$ |
(2,212 |
) |
|
$ |
500 |
|
|
$ |
(2,712 |
) |
Peoples Republic of China, 7.500%, 10/28/27 |
|
|
(1.000)(b) |
|
|
|
0.057 |
|
|
JPMorgan Securities, Inc. |
|
|
06/20/21 |
|
|
|
10 |
|
|
|
(48 |
) |
|
|
9 |
|
|
|
(57 |
) |
Peoples Republic of China, 7.500%, 10/28/27 |
|
|
(1.000)(b) |
|
|
|
0.072 |
|
|
JPMorgan Securities, Inc. |
|
|
06/20/22 |
|
|
|
140 |
|
|
|
(1,976 |
) |
|
|
(449 |
) |
|
|
(1,527 |
) |
Protection Sold: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Markit CMBX Series 8 |
|
|
3.000(c) |
|
|
|
7.961 |
|
|
Citibank NA |
|
|
10/17/57 |
|
|
|
700 |
|
|
|
(111,920 |
) |
|
|
(192,236 |
) |
|
|
80,316 |
|
Markit CMBX Series 10 |
|
|
3.000(c) |
|
|
|
5.517 |
|
|
MS & Co. Int. PLC |
|
|
11/17/59 |
|
|
|
600 |
|
|
|
(73,993 |
) |
|
|
(113,486 |
) |
|
|
39,493 |
|
Markit CMBX Series 11 |
|
|
3.000(c) |
|
|
|
4.368 |
|
|
Citibank NA |
|
|
11/18/54 |
|
|
|
900 |
|
|
|
(70,581 |
) |
|
|
(140,489 |
) |
|
|
69,908 |
|
Markit CMBX Series 11 |
|
|
3.000(c) |
|
|
|
4.368 |
|
|
JPMorgan Securities, Inc. |
|
|
11/18/54 |
|
|
|
350 |
|
|
|
(27,477 |
) |
|
|
(107,768 |
) |
|
|
80,291 |
|
Markit CMBX Series 11 |
|
|
3.000(c) |
|
|
|
4.368 |
|
|
MS & Co. Int. PLC |
|
|
11/18/54 |
|
|
|
1,000 |
|
|
|
(78,422 |
) |
|
|
(282,656 |
) |
|
|
204,234 |
|
|
|
TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(380,627 |
) |
|
$ |
(836,171 |
) |
|
$ |
455,544 |
|
|
|
(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. |
(c) |
|
Payments made monthly. |
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Referenced Obligation/ Index |
|
Financing Rate Received/(Paid) by the Fund(a) |
|
Credit Spread at December 31, 2020(b) |
|
|
Termination Date |
|
|
Notional Amount
(000s) |
|
|
Value |
|
|
Upfront Premiums (Received) Paid |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
Protection Purchased: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE CD ITXEB |
|
(1.000)% |
|
|
0.480 |
% |
|
|
12/20/25 |
|
|
EUR |
7,650 |
|
|
$ |
(246,117 |
) |
|
$ |
(184,644 |
) |
|
$ |
(61,473 |
) |
Protection Sold: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CDX.NA.IG Index 28 |
|
1.000 |
|
|
0.437 |
|
|
|
06/20/22 |
|
|
$ |
11,100 |
|
|
|
96,104 |
|
|
|
112,494 |
|
|
|
(16,390 |
) |
CDX.NA.IG Index 34 |
|
1.000 |
|
|
0.418 |
|
|
|
06/20/23 |
|
|
|
7,575 |
|
|
|
111,128 |
|
|
|
79,938 |
|
|
|
31,190 |
|
CDX.NA.IG Index 34 |
|
1.000 |
|
|
0.629 |
|
|
|
06/20/25 |
|
|
|
3,325 |
|
|
|
55,282 |
|
|
|
42,496 |
|
|
|
12,786 |
|
General Electric Co. 2.700%, 10/09/22 |
|
1.000 |
|
|
0.687 |
|
|
|
06/20/24 |
|
|
|
1,125 |
|
|
|
12,544 |
|
|
|
(13,328 |
) |
|
|
25,872 |
|
General Electric Co. 2.700%, 10/09/22 |
|
1.000 |
|
|
0.770 |
|
|
|
12/20/24 |
|
|
|
475 |
|
|
|
4,453 |
|
|
|
(6,001 |
) |
|
|
10,454 |
|
ICE CD ITXEX |
|
5.000 |
|
|
2.440 |
|
|
|
12/20/25 |
|
|
EUR |
2,350 |
|
|
|
343,652 |
|
|
|
217,337 |
|
|
|
126,315 |
|
Prudential Financial, Inc., 3.500%, 05/15/24 |
|
1.000 |
|
|
0.359 |
|
|
|
06/20/24 |
|
|
$ |
825 |
|
|
|
18,672 |
|
|
|
9,654 |
|
|
|
9,018 |
|
Republic of Indonesia, 5.875%, 03/13/20 |
|
1.000 |
|
|
0.449 |
|
|
|
06/20/24 |
|
|
|
2,430 |
|
|
|
47,285 |
|
|
|
5,197 |
|
|
|
42,088 |
|
State of Qatar, 9.750%, 06/15/30 |
|
1.000 |
|
|
0.237 |
|
|
|
06/20/24 |
|
|
|
210 |
|
|
|
5,661 |
|
|
|
3,184 |
|
|
|
2,477 |
|
State of Qatar, 9.750%, 06/15/30 |
|
1.000 |
|
|
0.270 |
|
|
|
12/20/24 |
|
|
|
100 |
|
|
|
2,946 |
|
|
|
1,675 |
|
|
|
1,271 |
|
The Boeing Co., 8.750%, 08/15/21 |
|
1.000 |
|
|
1.073 |
|
|
|
06/20/24 |
|
|
|
500 |
|
|
|
(1,079 |
) |
|
|
7,524 |
|
|
|
(8,603 |
) |
|
|
TOTAL |
|
|
$ |
450,531 |
|
|
$ |
275,526 |
|
|
$ |
175,005 |
|
|
|
(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 BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference
Obligation/Index |
|
Financing Rate Paid by the Fund(a) |
|
Counterparty |
|
Termination Date(b) |
|
Notional Amount
(000s) |
|
Unrealized Appreciation/ (Depreciation)* |
|
|
|
IBOXHY Index |
|
0.000% |
|
Barclays Bank PLC |
|
03/22/21 |
|
$ 7 |
|
$ |
146,282 |
|
|
|
(a) |
|
Payments made quarterly. |
(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 market value. |
PURCHASED AND WRITTEN OPTIONS CONTRACTS At December 31, 2020, 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 |
|
|
Market Value |
|
|
Premiums Paid (Received) by Portfolio |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
Purchased option contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Calls |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3M IRS |
|
JPMorgan Securities, Inc. |
|
|
0.783 |
% |
|
|
02/16/2021 |
|
|
|
2,250,000 |
|
|
$ |
2,250,000 |
|
|
$ |
6,684 |
|
|
$ |
11,222 |
|
|
$ |
(4,538 |
) |
3Y IRS |
|
JPMorgan Securities, Inc. |
|
|
0.700 |
|
|
|
11/14/2022 |
|
|
|
10,200,000 |
|
|
|
10,200,000 |
|
|
|
107,646 |
|
|
|
103,239 |
|
|
|
4,407 |
|
6M IRS |
|
JPMorgan Securities, Inc. |
|
|
1.100 |
|
|
|
03/17/2021 |
|
|
|
20,000,000 |
|
|
|
20,000,000 |
|
|
|
40,676 |
|
|
|
240,000 |
|
|
|
(199,324 |
) |
3M IRS |
|
MS & Co. Int. PLC |
|
|
0.610 |
|
|
|
01/15/2021 |
|
|
|
2,600,000 |
|
|
|
2,600,000 |
|
|
|
119 |
|
|
|
14,170 |
|
|
|
(14,051 |
) |
3M IRS |
|
MS & Co. Int. PLC |
|
|
0.825 |
|
|
|
02/12/2021 |
|
|
|
2,620,000 |
|
|
|
2,620,000 |
|
|
|
10,265 |
|
|
|
13,886 |
|
|
|
(3,621 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
37,670,000 |
|
|
$ |
37,670,000 |
|
|
$ |
165,390 |
|
|
$ |
382,517 |
|
|
$ |
(217,127 |
) |
|
|
Puts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6M IRS |
|
JPMorgan Securities, Inc. |
|
|
0.555 |
|
|
|
06/17/2021 |
|
|
|
20,710,000 |
|
|
|
20,710,000 |
|
|
|
89,271 |
|
|
|
92,497 |
|
|
|
(3,226 |
) |
|
|
Total purchased option contracts |
|
|
|
58,380,000 |
|
|
$ |
58,380,000 |
|
|
$ |
254,660 |
|
|
$ |
475,014 |
|
|
$ |
(220,353 |
) |
|
|
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
OVER-THE-COUNTER INTEREST RATE SWAPTIONS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Counterparty |
|
Exercise Rate |
|
|
Expiration Date |
|
|
Number of Contracts |
|
|
Notional Amount |
|
|
Market Value |
|
|
Premiums Paid (Received) by Portfolio |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
Written option contracts |
|
Calls |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3M IRS |
|
BofA Securities LLC |
|
|
0.293 |
% |
|
|
02/16/2021 |
|
|
|
(2,750,000 |
) |
|
$ |
(2,750,000 |
) |
|
$ |
(9,146 |
) |
|
$ |
(10,348 |
) |
|
$ |
1,202 |
|
1M IRS |
|
Citibank NA |
|
|
0.958 |
|
|
|
01/29/2021 |
|
|
|
(3,780,000 |
) |
|
|
(3,780,000 |
) |
|
|
(30,639 |
) |
|
|
(25,373 |
) |
|
|
(5,266 |
) |
3M IRS |
|
Citibank NA |
|
|
0.000 |
|
|
|
03/08/2021 |
|
|
|
(830,000 |
) |
|
|
(830,000 |
) |
|
|
(28,330 |
) |
|
|
(27,740 |
) |
|
|
(590 |
) |
3M IRS |
|
Citibank NA |
|
|
0.261 |
|
|
|
02/12/2021 |
|
|
|
(3,190,000 |
) |
|
|
(3,190,000 |
) |
|
|
(15,694 |
) |
|
|
(12,656 |
) |
|
|
(3,038 |
) |
1M IRS |
|
Deutsche Bank AG (London) |
|
|
0.914 |
|
|
|
01/14/2021 |
|
|
|
(3,780,000 |
) |
|
|
(3,780,000 |
) |
|
|
(14,096 |
) |
|
|
(26,933 |
) |
|
|
12,837 |
|
3M IRS |
|
Deutsche Bank AG (London) |
|
|
0.280 |
|
|
|
01/06/2021 |
|
|
|
(19,900,000 |
) |
|
|
(19,900,000 |
) |
|
|
(4 |
) |
|
|
(21,890 |
) |
|
|
21,886 |
|
3M IRS |
|
Deutsche Bank AG (London) |
|
|
0.310 |
|
|
|
01/20/2021 |
|
|
|
(19,930,000 |
) |
|
|
(19,930,000 |
) |
|
|
(3,005 |
) |
|
|
(22,919 |
) |
|
|
19,914 |
|
1M IRS |
|
JPMorgan Securities, Inc. |
|
|
0.242 |
|
|
|
01/11/2021 |
|
|
|
(3,350,000 |
) |
|
|
(3,350,000 |
) |
|
|
(11,849 |
) |
|
|
(14,503 |
) |
|
|
2,654 |
|
3M IRS |
|
JPMorgan Securities, Inc. |
|
|
0.020 |
|
|
|
03/10/2021 |
|
|
|
(1,390,000 |
) |
|
|
(1,390,000 |
) |
|
|
(42,540 |
) |
|
|
(44,374 |
) |
|
|
1,834 |
|
3Y IRS |
|
JPMorgan Securities, Inc. |
|
|
1.060 |
|
|
|
11/14/2022 |
|
|
|
(2,000,000 |
) |
|
|
(2,000,000 |
) |
|
|
(90,113 |
) |
|
|
(103,884 |
) |
|
|
13,771 |
|
6M IRS |
|
JPMorgan Securities, Inc. |
|
|
0.700 |
|
|
|
03/17/2021 |
|
|
|
(20,000,000 |
) |
|
|
(20,000,000 |
) |
|
|
(6,624 |
) |
|
|
(91,300 |
) |
|
|
84,676 |
|
6M IRS |
|
JPMorgan Securities, Inc. |
|
|
0.900 |
|
|
|
03/17/2021 |
|
|
|
(20,000,000 |
) |
|
|
(20,000,000 |
) |
|
|
(16,994 |
) |
|
|
(160,000 |
) |
|
|
143,006 |
|
1M IRS |
|
MS & Co. Int. PLC |
|
|
0.251 |
|
|
|
01/29/2021 |
|
|
|
(3,350,000 |
) |
|
|
(3,350,000 |
) |
|
|
(15,536 |
) |
|
|
(13,646 |
) |
|
|
(1,890 |
) |
1M IRS |
|
MS & Co. Int. PLC |
|
|
0.265 |
|
|
|
01/18/2021 |
|
|
|
(3,350,000 |
) |
|
|
(3,350,000 |
) |
|
|
(8,063 |
) |
|
|
(13,930 |
) |
|
|
5,867 |
|
1M IRS |
|
MS & Co. Int. PLC |
|
|
0.948 |
|
|
|
01/29/2021 |
|
|
|
(3,780,000 |
) |
|
|
(3,780,000 |
) |
|
|
(28,583 |
) |
|
|
(25,232 |
) |
|
|
(3,351 |
) |
1M IRS |
|
MS & Co. Int. PLC |
|
|
0.955 |
|
|
|
01/21/2021 |
|
|
|
(3,780,000 |
) |
|
|
(3,780,000 |
) |
|
|
(25,519 |
) |
|
|
(25,231 |
) |
|
|
(288 |
) |
3M IRS |
|
MS & Co. Int. PLC |
|
|
0.000 |
|
|
|
03/08/2021 |
|
|
|
(550,000 |
) |
|
|
(550,000 |
) |
|
|
(18,773 |
) |
|
|
(18,312 |
) |
|
|
(461 |
) |
3M IRS |
|
MS & Co. Int. PLC |
|
|
0.021 |
|
|
|
03/02/2021 |
|
|
|
(1,380,000 |
) |
|
|
(1,380,000 |
) |
|
|
(51,844 |
) |
|
|
(45,682 |
) |
|
|
(6,162 |
) |
|
|
3M IRS |
|
MS & Co. Int. PLC |
|
|
0.390 |
|
|
|
01/15/2021 |
|
|
|
(3,170,000 |
) |
|
|
(3,170,000 |
) |
|
|
(157 |
) |
|
|
(12,912 |
) |
|
|
12,755 |
|
4M IRS |
|
MS & Co. Int. PLC |
|
|
0.250 |
|
|
|
01/14/2021 |
|
|
|
(4,680,000 |
) |
|
|
(4,680,000 |
) |
|
|
(14,440 |
) |
|
|
(42,306 |
) |
|
|
27,866 |
|
1M IRS |
|
UBS AG |
|
|
0.250 |
|
|
|
01/04/2021 |
|
|
|
(3,350,000 |
) |
|
|
(3,350,000 |
) |
|
|
(7,272 |
) |
|
|
(13,886 |
) |
|
|
6,614 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(128,290,000 |
) |
|
$ |
(128,290,000 |
) |
|
$ |
(439,220 |
) |
|
$ |
(773,057 |
) |
|
$ |
333,836 |
|
|
|
Puts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1M IRS |
|
Citibank NA |
|
|
0.958 |
|
|
|
01/29/2021 |
|
|
|
(3,780,000 |
) |
|
|
(3,780,000 |
) |
|
|
(22,228 |
) |
|
|
(25,373 |
) |
|
|
3,145 |
|
1M IRS |
|
Deutsche Bank AG (London) |
|
|
0.914 |
|
|
|
01/14/2021 |
|
|
|
(3,780,000 |
) |
|
|
(3,780,000 |
) |
|
|
(19,987 |
) |
|
|
(26,932 |
) |
|
|
6,945 |
|
3M IRS |
|
Deutsche Bank AG (London) |
|
|
0.480 |
|
|
|
01/06/2021 |
|
|
|
(19,900,000 |
) |
|
|
(19,900,000 |
) |
|
|
(1,686 |
) |
|
|
(50,248 |
) |
|
|
48,562 |
|
3M IRS |
|
Deutsche Bank AG (London) |
|
|
0.510 |
|
|
|
01/20/2021 |
|
|
|
(19,930,000 |
) |
|
|
(19,930,000 |
) |
|
|
(9,020 |
) |
|
|
(55,804 |
) |
|
|
46,784 |
|
1M IRS |
|
JPMorgan Securities, Inc. |
|
|
0.242 |
|
|
|
01/11/2021 |
|
|
|
(3,350,000 |
) |
|
|
(3,350,000 |
) |
|
|
(2,000 |
) |
|
|
(14,503 |
) |
|
|
12,503 |
|
6M IRS |
|
JPMorgan Securities, Inc. |
|
|
0.659 |
|
|
|
06/17/2021 |
|
|
|
(20,710,000 |
) |
|
|
(20,710,000 |
) |
|
|
(56,727 |
) |
|
|
(56,207 |
) |
|
|
(520 |
) |
6M IRS |
|
JPMorgan Securities, Inc. |
|
|
0.763 |
|
|
|
06/17/2021 |
|
|
|
(20,710,000 |
) |
|
|
(20,710,000 |
) |
|
|
(36,837 |
) |
|
|
(36,290 |
) |
|
|
(547 |
) |
GOLDMAN SACHS BOND FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
OVER-THE-COUNTER INTEREST RATE SWAPTIONS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Counterparty |
|
Exercise Rate |
|
|
Expiration Date |
|
|
Number of Contracts |
|
|
Notional Amount |
|
|
Market Value |
|
|
Premiums Paid (Received) by Portfolio |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
Written option contracts (continued) |
|
Puts (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1M IRS |
|
MS & Co. Int. PLC |
|
|
0.251 |
% |
|
|
01/29/2021 |
|
|
|
(3,350,000 |
) |
|
$ |
(3,350,000 |
) |
|
$ |
(11,145 |
) |
|
$ |
(13,646 |
) |
|
$ |
2,501 |
|
1M IRS |
|
MS & Co. Int. PLC |
|
|
0.265 |
|
|
|
01/18/2021 |
|
|
|
(3,350,000 |
) |
|
|
(3,350,000 |
) |
|
|
(8,465 |
) |
|
|
(13,930 |
) |
|
|
5,465 |
|
1M IRS |
|
MS & Co. Int. PLC |
|
|
0.948 |
|
|
|
01/29/2021 |
|
|
|
(3,780,000 |
) |
|
|
(3,780,000 |
) |
|
|
(23,864 |
) |
|
|
(25,231 |
) |
|
|
1,367 |
|
1M IRS |
|
MS & Co. Int. PLC |
|
|
0.955 |
|
|
|
01/21/2021 |
|
|
|
(3,780,000 |
) |
|
|
(3,780,000 |
) |
|
|
(17,114 |
) |
|
|
(25,231 |
) |
|
|
8,117 |
|
4M IRS |
|
MS & Co. Int. PLC |
|
|
0.000 |
|
|
|
01/14/2021 |
|
|
|
(4,680,000 |
) |
|
|
(4,680,000 |
) |
|
|
(120 |
) |
|
|
(14,692 |
) |
|
|
14,572 |
|
6M IRS |
|
UBS AG |
|
|
0.250 |
|
|
|
01/04/2021 |
|
|
|
(3,350,000 |
) |
|
|
(3,350,000 |
) |
|
|
(229 |
) |
|
|
(13,886 |
) |
|
|
13,657 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(114,450,000 |
) |
|
$ |
(114,450,000 |
) |
|
$ |
(209,422 |
) |
|
$ |
(371,973 |
) |
|
$ |
162,551 |
|
|
|
Total written option contracts |
|
|
|
|
|
|
|
(242,740,000 |
) |
|
$ |
(242,740,000 |
) |
|
$ |
(648,643 |
) |
|
$ |
(1,145,030 |
) |
|
$ |
496,387 |
|
|
|
TOTAL |
|
|
|
|
|
|
|
(184,360,000 |
) |
|
$ |
(184,360,000 |
) |
|
$ |
(393,982 |
) |
|
$ |
(670,016 |
) |
|
$ |
276,034 |
|
|
|
|
|
|
|
|
|
Abbreviations: |
|
|
1M BID Avg |
|
1 month Brazilian Interbank Deposit Average |
1M IRS |
|
1 Month Interest Rate Swaption |
1Y IRS |
|
1 Year Interest Rate Swaption |
2M IRS |
|
2 Month Interest Rate Swaption |
3M IRS |
|
3 Month Interest Rate Swaption |
4M IRS |
|
4 Month Interest Rate Swaption |
6M IRS |
|
6 Month Interest Rate Swaption |
BofA Securities LLC |
|
Bank of America Securities LLC |
CDX.NA.IG Index 28 |
|
CDX North America Investment Grade Index 28 |
CDX.NA.IG Index 34 |
|
CDX North America Investment Grade Index 34 |
IBOXHY Index |
|
Markit iBoxx USD Liquid High Yield Index |
ICE CD ITXEB |
|
iTraxx Europe Index |
ICE CD ITXEX |
|
iTraxx Europe Crossover Index |
MS & Co. Int. PLC |
|
Morgan Stanley & Co. International PLC |
|
|
|
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations 40.6% |
Aerospace & Defense 0.9% |
Northrop Grumman
Corp.(a) |
$ |
|
|
1,925,000 |
|
|
|
2.930 |
% |
|
01/15/25 |
|
$ 2,094,169 |
|
|
|
2,750,000 |
|
|
|
3.250 |
|
|
01/15/28 |
|
3,110,910 |
|
|
|
105,000 |
|
|
|
4.030 |
|
|
10/15/47 |
|
131,035 |
|
|
|
2,275,000 |
|
|
|
5.250 |
|
|
05/01/50 |
|
3,373,438 |
Raytheon Technologies Corp. |
|
|
|
1,775,000 |
|
|
|
3.950 |
(a) |
|
08/16/25 |
|
2,035,801 |
|
|
|
775,000 |
|
|
|
4.125 |
(a) |
|
11/16/28 |
|
923,722 |
|
|
|
800,000 |
|
|
|
5.700 |
|
|
04/15/40 |
|
1,170,936 |
|
|
|
350,000 |
|
|
|
4.050 |
(a) |
|
05/04/47 |
|
435,222 |
|
|
|
200,000 |
|
|
|
4.625 |
(a) |
|
11/16/48 |
|
271,740 |
The Boeing
Co.(a) |
|
|
|
1,575,000 |
|
|
|
3.450 |
|
|
11/01/28 |
|
1,693,093 |
|
|
|
300,000 |
|
|
|
3.250 |
|
|
02/01/35 |
|
306,264 |
|
|
|
275,000 |
|
|
|
3.375 |
|
|
06/15/46 |
|
268,890 |
|
|
|
100,000 |
|
|
|
3.625 |
|
|
03/01/48 |
|
100,898 |
|
|
|
100,000 |
|
|
|
3.850 |
|
|
11/01/48 |
|
103,401 |
|
|
|
2,725,000 |
|
|
|
5.805 |
|
|
05/01/50 |
|
3,748,019 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,767,538 |
|
Agriculture(a)
0.4% |
Altria Group, Inc. |
|
|
|
1,775,000 |
|
|
|
3.800 |
|
|
02/14/24 |
|
1,938,229 |
Archer-Daniels-Midland Co. |
|
|
|
525,000 |
|
|
|
3.250 |
|
|
03/27/30 |
|
606,669 |
BAT Capital Corp. |
|
|
|
1,685,000 |
|
|
|
3.222 |
|
|
08/15/24 |
|
1,824,232 |
|
|
|
2,550,000 |
|
|
|
2.259 |
|
|
03/25/28 |
|
2,635,756 |
|
|
|
425,000 |
|
|
|
4.758 |
|
|
09/06/49 |
|
488,716 |
|
|
|
225,000 |
|
|
|
5.282 |
|
|
04/02/50 |
|
277,268 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,770,870 |
|
Automotive 0.2% |
Ford Motor Credit Co. LLC |
|
|
|
1,200,000 |
|
|
|
5.875 |
|
|
08/02/21 |
|
1,225,490 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Automotive (continued) |
General Motors Co. |
$ |
|
|
1,425,000 |
|
|
|
5.400 |
% |
|
10/02/23 |
|
$ 1,600,517 |
|
|
|
550,000 |
|
|
|
4.000 |
|
|
04/01/25 |
|
609,686 |
|
|
|
200,000 |
|
|
|
5.950 |
(a) |
|
04/01/49 |
|
269,510 |
General Motors Financial Co.,
Inc.(a) |
|
|
|
675,000 |
|
|
|
4.300 |
|
|
07/13/25 |
|
756,898 |
|
|
|
300,000 |
|
|
|
5.650 |
|
|
01/17/29 |
|
371,424 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,833,525 |
|
Banks 9.9% |
ABN AMRO Bank NV(a)(b) (-1x 5
year EUR Swap + 4.674%) |
EUR |
|
|
1,600,000 |
|
|
|
4.375 |
|
|
12/31/99 |
|
2,077,392 |
Banco Santander SA |
$ |
|
|
2,400,000 |
|
|
|
2.746 |
|
|
05/28/25 |
|
2,565,360 |
|
|
|
400,000 |
|
|
|
4.250 |
|
|
04/11/27 |
|
463,636 |
|
|
|
800,000 |
|
|
|
3.306 |
|
|
06/27/29 |
|
899,424 |
|
|
|
800,000 |
|
|
|
2.749 |
|
|
12/03/30 |
|
824,928 |
Bank of America Corp. |
|
|
|
4,810,000 |
|
|
|
4.200 |
|
|
08/26/24 |
|
5,384,891 |
|
|
|
5,000,000 |
|
|
|
4.183 |
(a) |
|
11/25/27 |
|
5,801,700 |
|
|
|
350,000 |
|
|
|
6.110 |
|
|
01/29/37 |
|
509,478 |
(3M USD LIBOR + 0.990%) |
|
|
|
225,000 |
|
|
|
2.496 |
(a)(b) |
|
02/13/31 |
|
238,660 |
(3M USD LIBOR + 1.190%) |
|
|
|
1,325,000 |
|
|
|
2.884 |
(a)(b) |
|
10/22/30 |
|
1,449,232 |
(3M USD LIBOR + 1.370%) |
|
|
|
1,550,000 |
|
|
|
3.593 |
(a)(b) |
|
07/21/28 |
|
1,761,172 |
(SOFR + 1.370%) |
|
|
|
5,725,000 |
|
|
|
1.922 |
(a)(b) |
|
10/24/31 |
|
5,798,852 |
(SOFR + 1.530%) |
|
|
|
3,725,000 |
|
|
|
1.898 |
(a)(b) |
|
07/23/31 |
|
3,767,465 |
(SOFR + 2.150%) |
|
|
|
11,075,000 |
|
|
|
2.592 |
(a)(b) |
|
04/29/31 |
|
11,866,530 |
Barclays
PLC(a)(b) |
(3M USD LIBOR + 1.400%) |
|
|
|
2,725,000 |
|
|
|
4.610 |
|
|
02/15/23 |
|
2,844,409 |
(3M USD LIBOR + 2.452%) |
|
|
|
2,600,000 |
|
|
|
2.852 |
|
|
05/07/26 |
|
2,792,478 |
BNP Paribas
SA(c) |
|
|
|
3,825,000 |
|
|
|
3.500 |
|
|
03/01/23 |
|
4,066,090 |
|
|
|
900,000 |
|
|
|
3.375 |
|
|
01/09/25 |
|
985,437 |
(5 year USD Swap + 4.149%) |
|
|
|
650,000 |
|
|
|
6.625 |
(a)(b) |
|
12/31/99 |
|
709,722 |
(SOFR + 2.074%) |
|
|
|
1,325,000 |
|
|
|
2.219 |
(a)(b) |
|
06/09/26 |
|
1,386,692 |
BPCE SA(c) |
|
|
|
2,250,000 |
|
|
|
4.000 |
|
|
09/12/23 |
|
2,448,697 |
|
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Banks (continued) |
$ |
|
|
1,150,000 |
|
|
|
4.625 |
% |
|
09/12/28 |
|
$ 1,385,336 |
(SOFR + 1.520%) |
|
|
|
1,675,000 |
|
|
|
1.652 |
(a)(b) |
|
10/06/26 |
|
1,712,721 |
Capital One
NA(a) |
|
|
|
1,700,000 |
|
|
|
2.650 |
|
|
08/08/22 |
|
1,757,222 |
CIT Bank NA(a)(b)(SOFR +
1.715%) |
|
|
|
1,500,000 |
|
|
|
2.969 |
|
|
09/27/25 |
|
1,563,405 |
CIT Group,
Inc.(a) |
|
|
|
224,000 |
|
|
|
4.750 |
|
|
02/16/24 |
|
244,720 |
Citigroup, Inc. |
|
|
|
2,595,000 |
|
|
|
3.500 |
|
|
05/15/23 |
|
2,780,880 |
|
|
|
2,500,000 |
|
|
|
4.600 |
|
|
03/09/26 |
|
2,931,125 |
|
|
|
3,175,000 |
|
|
|
3.400 |
|
|
05/01/26 |
|
3,581,971 |
|
|
|
2,450,000 |
|
|
|
4.450 |
|
|
09/29/27 |
|
2,891,906 |
|
|
|
4,925,000 |
|
|
|
4.125 |
|
|
07/25/28 |
|
5,756,094 |
(3M USD LIBOR + 1.023%) |
|
|
|
1,795,000 |
|
|
|
4.044 |
(a)(b) |
|
06/01/24 |
|
1,949,280 |
(SOFR + 1.422%) |
|
|
|
1,375,000 |
|
|
|
2.976 |
(a)(b) |
|
11/05/30 |
|
1,513,380 |
(SOFR + 3.914%) |
|
|
|
1,425,000 |
|
|
|
4.412 |
(a)(b) |
|
03/31/31 |
|
1,727,485 |
Credit Agricole
SA(c) |
|
|
|
1,050,000 |
|
|
|
3.250 |
|
|
10/04/24 |
|
1,144,794 |
(5 year USD Swap + 4.319%) |
|
|
|
600,000 |
|
|
|
6.875 |
(a)(b) |
|
12/31/99 |
|
667,668 |
(SOFR + 1.676%) |
|
|
|
1,275,000 |
|
|
|
1.907 |
(a)(b) |
|
06/16/26 |
|
1,320,543 |
Credit Suisse AG |
|
|
|
1,175,000 |
|
|
|
2.950 |
|
|
04/09/25 |
|
1,288,352 |
Credit Suisse Group AG |
|
|
|
683,000 |
|
|
|
4.550 |
|
|
04/17/26 |
|
803,652 |
|
|
|
1,400,000 |
|
|
|
4.282 |
(a)(c) |
|
01/09/28 |
|
1,621,494 |
(3M USD LIBOR + 1.410%) |
|
|
|
1,675,000 |
|
|
|
3.869 |
(a)(b)(c) |
|
01/12/29 |
|
1,895,397 |
(SOFR + 3.730%) |
|
|
|
1,925,000 |
|
|
|
4.194 |
(a)(b)(c) |
|
04/01/31 |
|
2,263,550 |
Deutsche Bank
AG(a)(b) |
(SOFR + 1.870%) |
|
|
|
1,725,000 |
|
|
|
2.129 |
|
|
11/24/26 |
|
1,765,296 |
(SOFR + 2.159%) |
|
|
|
1,075,000 |
|
|
|
2.222 |
|
|
09/18/24 |
|
1,105,261 |
Erste Group Bank AG(a)(b) (5
year EUR Swap + 6.204%) |
EUR |
|
|
1,400,000 |
|
|
|
6.500 |
|
|
12/31/99 |
|
1,906,312 |
Fifth Third
Bancorp(a) |
|
|
|
1,235,000 |
|
|
|
2.375 |
|
|
01/28/25 |
|
1,313,682 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Banks (continued) |
HSBC Holdings PLC |
$ |
|
|
600,000 |
|
|
|
4.950 |
% |
|
03/31/30 |
|
$ 749,838 |
(3M USD LIBOR + 1.000%) |
|
|
|
850,000 |
|
|
|
1.220 |
(a)(b) |
|
05/18/24 |
|
855,780 |
(3M USD LIBOR + 1.055%) |
|
|
|
1,200,000 |
|
|
|
3.262 |
(a)(b) |
|
03/13/23 |
|
1,238,976 |
(3M USD LIBOR + 1.211%) |
|
|
|
1,625,000 |
|
|
|
3.803 |
(a)(b) |
|
03/11/25 |
|
1,774,143 |
(SOFR + 1.538%) |
|
|
|
3,625,000 |
|
|
|
1.645 |
(a)(b) |
|
04/18/26 |
|
3,709,499 |
Huntington Bancshares,
Inc.(a) |
|
|
|
1,625,000 |
|
|
|
4.000 |
|
|
05/15/25 |
|
1,840,085 |
ING Groep NV(a)(b)(c) (1 Year
CMT + 1.100%) |
|
|
|
3,400,000 |
|
|
|
1.400 |
|
|
07/01/26 |
|
3,453,414 |
JPMorgan Chase &
Co.(a)(b) |
(3M USD LIBOR + 0.730%) |
|
|
|
640,000 |
|
|
|
3.559 |
|
|
04/23/24 |
|
685,350 |
(3M USD LIBOR + 0.890%) |
|
|
|
650,000 |
|
|
|
3.797 |
|
|
07/23/24 |
|
704,002 |
(3M USD LIBOR + 0.945%) |
|
|
|
1,400,000 |
|
|
|
3.509 |
|
|
01/23/29 |
|
1,598,856 |
(3M USD LIBOR + 1.000%) |
|
|
|
3,025,000 |
|
|
|
4.023 |
|
|
12/05/24 |
|
3,333,943 |
(3M USD LIBOR + 1.245%) |
|
|
|
2,275,000 |
|
|
|
3.960 |
|
|
01/29/27 |
|
2,615,067 |
(3M USD LIBOR + 1.337%) |
|
|
|
2,150,000 |
|
|
|
3.782 |
|
|
02/01/28 |
|
2,469,253 |
(3M USD LIBOR + 1.360%) |
|
|
|
800,000 |
|
|
|
3.882 |
|
|
07/24/38 |
|
971,816 |
(3M USD LIBOR + 3.800%) |
|
|
|
2,250,000 |
|
|
|
4.014 |
|
|
12/29/49 |
|
2,248,898 |
(SOFR + 2.040%) |
|
|
|
4,625,000 |
|
|
|
2.522 |
|
|
04/22/31 |
|
4,960,682 |
(SOFR + 2.515%) |
|
|
|
925,000 |
|
|
|
2.956 |
|
|
05/13/31 |
|
1,012,431 |
(SOFR + 3.125%) |
|
|
|
2,350,000 |
|
|
|
4.600 |
|
|
12/31/99 |
|
2,423,978 |
(SOFR + 3.790%) |
|
|
|
275,000 |
|
|
|
4.493 |
|
|
03/24/31 |
|
338,940 |
Mitsubishi UFJ Financial Group, Inc. |
|
|
|
1,700,000 |
|
|
|
3.751 |
|
|
07/18/39 |
|
2,051,883 |
Morgan Stanley, Inc. |
|
|
|
2,200,000 |
|
|
|
4.875 |
|
|
11/01/22 |
|
2,371,446 |
|
|
|
525,000 |
|
|
|
3.875 |
|
|
04/29/24 |
|
580,997 |
|
|
|
3,300,000 |
|
|
|
3.700 |
|
|
10/23/24 |
|
3,673,857 |
|
|
|
700,000 |
|
|
|
4.000 |
|
|
07/23/25 |
|
800,485 |
|
|
|
4,000,000 |
|
|
|
3.950 |
|
|
04/23/27 |
|
4,624,880 |
(3M USD LIBOR + 0.847%) |
|
|
|
550,000 |
|
|
|
3.737 |
(a)(b) |
|
04/24/24 |
|
591,679 |
(3M USD LIBOR + 1.628%) |
|
|
|
1,150,000 |
|
|
|
4.431 |
(a)(b) |
|
01/23/30 |
|
1,401,275 |
(SOFR + 0.720%) |
|
|
|
5,100,000 |
|
|
|
0.985 |
(a)(b) |
|
12/10/26 |
|
5,140,035 |
|
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Banks (continued) |
(SOFR + 1.034%) |
$ |
|
|
2,625,000 |
|
|
|
1.794 |
%(a)(b) |
|
02/13/32 |
|
$ 2,640,199 |
(SOFR + 1.143%) |
|
|
|
8,575,000 |
|
|
|
2.699 |
(a)(b) |
|
01/22/31 |
|
9,325,312 |
(SOFR + 1.152%) |
|
|
|
1,050,000 |
|
|
|
2.720 |
(a)(b) |
|
07/22/25 |
|
1,123,143 |
(SOFR + 3.120%) |
|
|
|
1,325,000 |
|
|
|
3.622 |
(a)(b) |
|
04/01/31 |
|
1,538,895 |
Natwest Group PLC |
|
|
|
1,336,000 |
|
|
|
3.875 |
|
|
09/12/23 |
|
1,448,785 |
(3M USD LIBOR + 1.480%) |
|
|
|
1,883,000 |
|
|
|
3.498 |
(a)(b) |
|
05/15/23 |
|
1,958,452 |
(3M USD LIBOR + 1.550%) |
|
|
|
2,100,000 |
|
|
|
4.519 |
(a)(b) |
|
06/25/24 |
|
2,292,738 |
(3M USD LIBOR + 1.762%) |
|
|
|
400,000 |
|
|
|
4.269 |
(a)(b) |
|
03/22/25 |
|
441,940 |
(5 Year CMT + 2.100%) |
|
|
|
500,000 |
|
|
|
3.754 |
(a)(b) |
|
11/01/29 |
|
530,625 |
Santander UK PLC |
|
|
|
2,325,000 |
|
|
|
2.875 |
|
|
06/18/24 |
|
2,489,587 |
Standard Chartered
PLC(a)(b)(c) (3M USD LIBOR + 1.150%) |
|
|
|
3,008,000 |
|
|
|
4.247 |
|
|
01/20/23 |
|
3,117,642 |
State Street Corp.(a)(b) (SOFR
+ 2.650%) |
|
|
|
100,000 |
|
|
|
3.152 |
|
|
03/30/31 |
|
113,978 |
Truist Bank(a) |
|
|
|
1,250,000 |
|
|
|
2.250 |
|
|
03/11/30 |
|
1,311,563 |
UBS Group AG(c) |
|
|
|
2,550,000 |
|
|
|
4.125 |
|
|
09/24/25 |
|
2,919,801 |
Wells Fargo & Co. |
|
|
|
1,135,000 |
|
|
|
3.750 |
(a) |
|
01/24/24 |
|
1,238,977 |
|
|
|
2,700,000 |
|
|
|
3.000 |
|
|
10/23/26 |
|
2,991,168 |
|
|
|
4,150,000 |
|
|
|
4.300 |
|
|
07/22/27 |
|
4,867,742 |
(3M USD LIBOR + 4.240%) |
|
|
|
325,000 |
|
|
|
5.013 |
(a)(b) |
|
04/04/51 |
|
461,110 |
Westpac Banking Corp.(a)(b) (5
Year CMT + 2.000%) |
|
|
|
700,000 |
|
|
|
4.110 |
|
|
07/24/34 |
|
794,899 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
205,361,815 |
|
Beverages 1.4% |
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.(a) |
|
|
|
850,000 |
|
|
|
4.700 |
|
|
02/01/36 |
|
1,077,383 |
|
|
|
6,675,000 |
|
|
|
4.900 |
|
|
02/01/46 |
|
8,681,505 |
Anheuser-Busch InBev Worldwide, Inc. |
|
|
|
2,000,000 |
|
|
|
4.750 |
(a) |
|
01/23/29 |
|
2,465,440 |
|
|
|
400,000 |
|
|
|
4.950 |
|
|
01/15/42 |
|
523,520 |
|
|
|
3,275,000 |
|
|
|
4.600 |
(a) |
|
04/15/48 |
|
4,128,039 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Beverages (continued) |
$ |
|
|
475,000 |
|
|
|
5.550 |
%(a) |
|
01/23/49 |
|
$ 672,534 |
|
|
|
925,000 |
|
|
|
4.500 |
(a) |
|
06/01/50 |
|
1,165,324 |
Bacardi
Ltd.(a)(c) |
|
|
|
1,500,000 |
|
|
|
5.300 |
|
|
05/15/48 |
|
2,070,825 |
Constellation Brands,
Inc.(a) |
|
|
|
1,375,000 |
|
|
|
4.400 |
|
|
11/15/25 |
|
1,599,097 |
|
|
|
625,000 |
|
|
|
3.700 |
|
|
12/06/26 |
|
715,713 |
|
|
|
1,075,000 |
|
|
|
3.600 |
|
|
02/15/28 |
|
1,226,392 |
|
|
|
1,425,000 |
|
|
|
3.150 |
|
|
08/01/29 |
|
1,585,911 |
Keurig Dr Pepper,
Inc.(a) |
|
|
|
1,400,000 |
|
|
|
4.057 |
|
|
05/25/23 |
|
1,520,666 |
|
|
|
225,000 |
|
|
|
5.085 |
|
|
05/25/48 |
|
315,178 |
|
|
|
350,000 |
|
|
|
3.800 |
|
|
05/01/50 |
|
417,844 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,165,371 |
|
Biotechnology(a)(c)
0.1% |
Royalty Pharma PLC |
|
|
|
1,475,000 |
|
|
|
1.200 |
|
|
09/02/25 |
|
1,497,774 |
|
Building Materials(a)
0.4% |
Carrier Global Corp. |
|
|
|
3,375,000 |
|
|
|
2.493 |
|
|
02/15/27 |
|
3,639,870 |
|
|
|
4,900,000 |
|
|
|
2.722 |
|
|
02/15/30 |
|
5,235,846 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,875,716 |
|
Chemicals 0.8% |
Air Products & Chemicals,
Inc.(a) |
|
|
|
175,000 |
|
|
|
2.800 |
|
|
05/15/50 |
|
192,052 |
Air Products and Chemicals,
Inc.(a) |
|
|
|
625,000 |
|
|
|
2.050 |
|
|
05/15/30 |
|
666,938 |
CNAC HK Finbridge Co. Ltd. |
|
|
|
200,000 |
|
|
|
3.875 |
|
|
06/19/29 |
|
202,188 |
DuPont de Nemours,
Inc.(a) |
|
|
|
925,000 |
|
|
|
4.205 |
|
|
11/15/23 |
|
1,021,089 |
|
|
|
975,000 |
|
|
|
4.493 |
|
|
11/15/25 |
|
1,138,663 |
|
|
|
75,000 |
|
|
|
5.419 |
|
|
11/15/48 |
|
108,500 |
Ecolab, Inc. |
|
|
|
133,000 |
|
|
|
5.500 |
|
|
12/08/41 |
|
191,430 |
|
|
|
231,000 |
|
|
|
3.950 |
(a) |
|
12/01/47 |
|
295,899 |
|
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Chemicals (continued) |
Huntsman International
LLC(a) |
$ |
|
|
850,000 |
|
|
|
4.500 |
% |
|
05/01/29 |
|
$ 981,649 |
Nutrition & Biosciences,
Inc.(a)(c) |
|
|
|
2,300,000 |
|
|
|
1.832 |
|
|
10/15/27 |
|
2,368,954 |
|
|
|
4,025,000 |
|
|
|
2.300 |
|
|
11/01/30 |
|
4,137,941 |
|
|
|
950,000 |
|
|
|
3.268 |
|
|
11/15/40 |
|
1,019,055 |
Syngenta Finance
NV(c) |
|
|
|
2,590,000 |
|
|
|
3.933 |
|
|
04/23/21 |
|
2,609,244 |
The Sherwin-Williams
Co.(a) |
|
|
|
325,000 |
|
|
|
3.125 |
|
|
06/01/24 |
|
351,367 |
|
|
|
1,900,000 |
|
|
|
3.450 |
|
|
06/01/27 |
|
2,155,151 |
|
|
|
100,000 |
|
|
|
3.300 |
|
|
05/15/50 |
|
111,812 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,551,932 |
|
Commercial Services 0.8% |
CoStar Group,
Inc.(a)(c) |
|
|
|
2,225,000 |
|
|
|
2.800 |
|
|
07/15/30 |
|
2,309,194 |
DP World PLC |
|
|
|
100,000 |
|
|
|
6.850 |
(c) |
|
07/02/37 |
|
136,969 |
|
|
|
200,000 |
|
|
|
5.625 |
|
|
09/25/48 |
|
254,750 |
Global Payments,
Inc.(a) |
|
|
|
875,000 |
|
|
|
2.650 |
|
|
02/15/25 |
|
937,352 |
|
|
|
550,000 |
|
|
|
3.200 |
|
|
08/15/29 |
|
610,577 |
IHS Markit
Ltd.(a) |
|
|
|
2,800,000 |
|
|
|
4.000 |
(c) |
|
03/01/26 |
|
3,199,616 |
|
|
|
1,775,000 |
|
|
|
4.250 |
|
|
05/01/29 |
|
2,136,656 |
PayPal Holdings,
Inc.(a) |
|
|
|
3,825,000 |
|
|
|
1.650 |
|
|
06/01/25 |
|
4,000,491 |
|
|
|
3,000,000 |
|
|
|
2.650 |
|
|
10/01/26 |
|
3,295,980 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,881,585 |
|
Computers(a)
1.2% |
Amdocs Ltd. |
|
|
|
1,225,000 |
|
|
|
2.538 |
|
|
06/15/30 |
|
1,288,553 |
Apple, Inc. |
|
|
|
4,050,000 |
|
|
|
2.450 |
|
|
08/04/26 |
|
4,413,123 |
Dell International LLC/EMC
Corp.(c) |
|
|
|
1,625,000 |
|
|
|
5.450 |
|
|
06/15/23 |
|
1,797,364 |
|
|
|
875,000 |
|
|
|
5.850 |
|
|
07/15/25 |
|
1,047,384 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Computers(a)
(continued) |
$ |
|
|
2,351,000 |
|
|
|
6.020 |
% |
|
06/15/26 |
|
$ 2,868,643 |
|
|
|
176,000 |
|
|
|
5.300 |
|
|
10/01/29 |
|
215,635 |
|
|
|
200,000 |
|
|
|
6.200 |
|
|
07/15/30 |
|
258,768 |
|
|
|
1,000,000 |
|
|
|
8.100 |
|
|
07/15/36 |
|
1,469,400 |
Hewlett Packard Enterprise Co. |
|
|
|
2,400,000 |
|
|
|
2.250 |
|
|
04/01/23 |
|
2,492,208 |
|
|
|
4,325,000 |
|
|
|
4.450 |
|
|
10/02/23 |
|
4,762,474 |
|
|
|
1,775,000 |
|
|
|
4.650 |
|
|
10/01/24 |
|
2,017,429 |
|
|
|
1,782,000 |
|
|
|
4.900 |
|
|
10/15/25 |
|
2,085,831 |
|
|
|
410,000 |
|
|
|
6.350 |
|
|
10/15/45 |
|
541,007 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,257,819 |
|
Diversified Financial Services 1.6% |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
|
|
|
2,075,000 |
|
|
|
4.625 |
|
|
07/01/22 |
|
2,181,427 |
|
|
|
1,450,000 |
|
|
|
3.300 |
(a) |
|
01/23/23 |
|
1,511,248 |
|
|
|
900,000 |
|
|
|
4.875 |
(a) |
|
01/16/24 |
|
984,384 |
|
|
|
965,000 |
|
|
|
6.500 |
(a) |
|
07/15/25 |
|
1,153,580 |
Air Lease
Corp.(a) |
|
|
|
2,250,000 |
|
|
|
2.300 |
|
|
02/01/25 |
|
2,328,750 |
|
|
|
1,625,000 |
|
|
|
3.375 |
|
|
07/01/25 |
|
1,755,422 |
|
|
|
1,700,000 |
|
|
|
2.875 |
|
|
01/15/26 |
|
1,798,243 |
|
|
|
2,200,000 |
|
|
|
3.750 |
|
|
06/01/26 |
|
2,426,446 |
Ally Financial,
Inc.(a) |
|
|
|
975,000 |
|
|
|
1.450 |
|
|
10/02/23 |
|
995,124 |
American Express
Co.(a) |
|
|
|
555,000 |
|
|
|
2.500 |
|
|
07/30/24 |
|
593,101 |
|
|
|
700,000 |
|
|
|
3.625 |
|
|
12/05/24 |
|
778,022 |
(3M USD LIBOR + 3.285%) |
|
|
|
1,010,000 |
|
|
|
3.502 |
(b) |
|
12/29/49 |
|
993,587 |
Avolon Holdings Funding
Ltd.(a)(c) |
|
|
|
975,000 |
|
|
|
3.950 |
|
|
07/01/24 |
|
1,029,795 |
|
|
|
2,125,000 |
|
|
|
2.875 |
|
|
02/15/25 |
|
2,163,059 |
|
|
|
1,050,000 |
|
|
|
4.250 |
|
|
04/15/26 |
|
1,134,546 |
Capital One Financial Corp. |
|
|
|
1,050,000 |
|
|
|
3.500 |
|
|
06/15/23 |
|
1,125,810 |
|
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Diversified Financial Services (continued) |
$ |
|
|
1,110,000 |
|
|
|
3.300 |
%(a) |
|
10/30/24 |
|
$ 1,219,790 |
GE Capital International Funding Co. |
|
|
|
3,500,000 |
|
|
|
3.373 |
|
|
11/15/25 |
|
3,890,880 |
|
|
|
800,000 |
|
|
|
4.418 |
|
|
11/15/35 |
|
953,888 |
Huarong Finance 2017 Co. Ltd. |
|
|
|
200,000 |
|
|
|
4.750 |
|
|
04/27/27 |
|
222,813 |
|
|
|
200,000 |
|
|
|
4.250 |
|
|
11/07/27 |
|
218,563 |
Huarong Finance 2019 Co.
Ltd.(a) |
|
|
|
590,000 |
|
|
|
3.875 |
|
|
11/13/29 |
|
627,244 |
Huarong Finance II Co. Ltd. |
|
|
|
500,000 |
|
|
|
3.750 |
|
|
05/29/24 |
|
526,250 |
Intercontinental Exchange,
Inc.(a) |
|
|
|
1,100,000 |
|
|
|
3.000 |
|
|
06/15/50 |
|
1,163,283 |
JAB Holdings
B.V.(a)(c) |
|
|
|
500,000 |
|
|
|
2.200 |
|
|
11/23/30 |
|
501,290 |
Mastercard,
Inc.(a) |
|
|
|
850,000 |
|
|
|
3.300 |
|
|
03/26/27 |
|
969,357 |
Nasdaq, Inc.(a) |
|
|
|
350,000 |
|
|
|
3.250 |
|
|
04/28/50 |
|
382,518 |
Raymond James Financial,
Inc.(a) |
|
|
|
275,000 |
|
|
|
4.650 |
|
|
04/01/30 |
|
337,524 |
Visa, Inc.(a) |
|
|
|
325,000 |
|
|
|
2.050 |
|
|
04/15/30 |
|
346,999 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
34,312,943 |
|
Electrical 1.8% |
AEP Transmission Co.
LLC(a) |
|
|
|
225,000 |
|
|
|
3.650 |
|
|
04/01/50 |
|
271,748 |
Alliant Energy Finance
LLC(a)(c) |
|
|
|
825,000 |
|
|
|
3.750 |
|
|
06/15/23 |
|
884,276 |
|
|
|
225,000 |
|
|
|
4.250 |
|
|
06/15/28 |
|
260,818 |
Ameren Corp.(a) |
|
|
|
400,000 |
|
|
|
3.500 |
|
|
01/15/31 |
|
460,668 |
American Electric Power Co.,
Inc.(a) |
|
|
|
850,000 |
|
|
|
2.300 |
|
|
03/01/30 |
|
886,856 |
Arizona Public Service
Co.(a) |
|
|
|
1,175,000 |
|
|
|
2.950 |
|
|
09/15/27 |
|
1,293,181 |
Avangrid,
Inc.(a) |
|
|
|
925,000 |
|
|
|
3.200 |
|
|
04/15/25 |
|
1,013,458 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Electrical (continued) |
Berkshire Hathaway Energy
Co.(a) |
$ |
|
|
400,000 |
|
|
|
3.250 |
% |
|
04/15/28 |
|
$ 455,876 |
|
|
|
1,275,000 |
|
|
|
3.700 |
(c) |
|
07/15/30 |
|
1,509,294 |
|
|
|
250,000 |
|
|
|
4.250 |
(c) |
|
10/15/50 |
|
322,138 |
Dominion Energy, Inc. |
|
|
|
1,650,000 |
|
|
|
3.071 |
(d) |
|
08/15/24 |
|
1,781,703 |
|
|
|
725,000 |
|
|
|
3.375 |
(a) |
|
04/01/30 |
|
825,442 |
Duke Energy
Corp.(a) |
|
|
|
2,100,000 |
|
|
|
3.150 |
|
|
08/15/27 |
|
2,351,433 |
Emera US Finance
LP(a) |
|
|
|
950,000 |
|
|
|
2.700 |
|
|
06/15/21 |
|
957,477 |
Enel Finance International
NV(c) |
|
|
|
1,375,000 |
|
|
|
2.875 |
|
|
05/25/22 |
|
1,418,821 |
Entergy Corp.(a) |
|
|
|
1,025,000 |
|
|
|
2.950 |
|
|
09/01/26 |
|
1,130,544 |
Exelon Corp.(a) |
|
|
|
1,125,000 |
|
|
|
3.497 |
|
|
06/01/22 |
|
1,170,067 |
|
|
|
1,000,000 |
|
|
|
4.050 |
|
|
04/15/30 |
|
1,183,280 |
|
|
|
125,000 |
|
|
|
4.700 |
|
|
04/15/50 |
|
165,483 |
FirstEnergy
Corp.(a) |
|
|
|
2,175,000 |
|
|
|
2.650 |
|
|
03/01/30 |
|
2,173,817 |
|
|
|
1,125,000 |
|
|
|
2.250 |
|
|
09/01/30 |
|
1,084,369 |
Florida Power & Light
Co.(a) |
|
|
|
832,000 |
|
|
|
4.125 |
|
|
02/01/42 |
|
1,057,314 |
NRG Energy,
Inc.(a)(c) |
|
|
|
1,625,000 |
|
|
|
3.750 |
|
|
06/15/24 |
|
1,777,100 |
Ohio Power
Co.(a) |
|
|
|
675,000 |
|
|
|
2.600 |
|
|
04/01/30 |
|
736,709 |
Pacific Gas & Electric
Co.(a) |
|
|
|
850,000 |
|
|
|
2.100 |
|
|
08/01/27 |
|
864,425 |
|
|
|
1,475,000 |
|
|
|
2.500 |
|
|
02/01/31 |
|
1,474,277 |
|
|
|
500,000 |
|
|
|
3.300 |
|
|
08/01/40 |
|
500,525 |
|
|
|
1,025,000 |
|
|
|
3.500 |
|
|
08/01/50 |
|
1,015,683 |
Southern California Edison
Co.(a) |
|
|
|
1,075,000 |
|
|
|
4.200 |
|
|
03/01/29 |
|
1,259,857 |
The Southern
Co.(a) |
|
|
|
1,730,000 |
|
|
|
3.250 |
|
|
07/01/26 |
|
1,939,641 |
Virginia Electric and Power
Co.(a) |
|
|
|
1,925,000 |
|
|
|
2.450 |
|
|
12/15/50 |
|
1,938,128 |
|
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Electrical (continued) |
Vistra Operations Co.
LLC(a)(c) |
$ |
|
|
3,350,000 |
|
|
|
3.550 |
% |
|
07/15/24 |
|
$ 3,618,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
37,782,408 |
|
Engineering & Construction(a)
0.1% |
Mexico City Airport Trust |
|
|
|
400,000 |
|
|
|
4.250 |
|
|
10/31/26 |
|
424,000 |
|
|
|
440,000 |
|
|
|
3.875 |
(c) |
|
04/30/28 |
|
454,300 |
|
|
|
200,000 |
|
|
|
5.500 |
(c) |
|
10/31/46 |
|
208,750 |
|
|
|
420,000 |
|
|
|
5.500 |
|
|
07/31/47 |
|
438,900 |
|
|
|
340,000 |
|
|
|
5.500 |
(c) |
|
07/31/47 |
|
355,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,881,250 |
|
Environmental(a)
0.2% |
Republic Services, Inc. |
|
|
|
1,650,000 |
|
|
|
2.500 |
|
|
08/15/24 |
|
1,760,616 |
|
|
|
2,525,000 |
|
|
|
1.750 |
|
|
02/15/32 |
|
2,530,530 |
Waste Management, Inc. |
|
|
|
925,000 |
|
|
|
1.150 |
|
|
03/15/28 |
|
924,621 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,215,767 |
|
Food & Drug Retailing(a)
0.4% |
Mars, Inc.(c) |
|
|
|
525,000 |
|
|
|
2.700 |
|
|
04/01/25 |
|
568,013 |
|
|
|
925,000 |
|
|
|
3.200 |
|
|
04/01/30 |
|
1,061,687 |
Smithfield Foods,
Inc.(c) |
|
|
|
2,350,000 |
|
|
|
2.650 |
|
|
10/03/21 |
|
2,392,746 |
Sysco Corp. |
|
|
|
225,000 |
|
|
|
6.600 |
|
|
04/01/40 |
|
328,340 |
|
|
|
875,000 |
|
|
|
6.600 |
|
|
04/01/50 |
|
1,341,358 |
The JM Smucker Co. |
|
|
|
700,000 |
|
|
|
2.375 |
|
|
03/15/30 |
|
742,392 |
Tyson Foods, Inc. |
|
|
|
1,250,000 |
|
|
|
3.900 |
|
|
09/28/23 |
|
1,361,738 |
|
|
|
|
|
|
|
|
|
|
|
|
7,796,274 |
|
Gas(a) 0.2% |
NiSource, Inc. |
|
|
|
2,500,000 |
|
|
|
3.490 |
|
|
05/15/27 |
|
2,833,975 |
|
|
|
325,000 |
|
|
|
3.600 |
|
|
05/01/30 |
|
376,184 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Gas(a)
(continued) |
The East Ohio Gas
Co.(c) |
$ |
|
|
525,000 |
|
|
|
1.300 |
% |
|
06/15/25 |
|
$ 535,715 |
|
|
|
525,000 |
|
|
|
2.000 |
|
|
06/15/30 |
|
542,399 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,288,273 |
|
Hand/Machine Tools(a)
0.1% |
Stanley Black & Decker, Inc. |
|
|
|
1,400,000 |
|
|
|
4.250 |
|
|
11/15/28 |
|
1,700,188 |
Healthcare Providers &
Services(a) 1.1% |
Banner Health |
|
|
|
1,840,000 |
|
|
|
2.338 |
|
|
01/01/30 |
|
1,960,169 |
Centene Corp. |
|
|
|
2,850,000 |
|
|
|
4.250 |
|
|
12/15/27 |
|
3,033,369 |
CommonSpirit Health |
$ |
|
|
2,385,000 |
|
|
|
3.910 |
|
|
10/01/50 |
|
2,654,155 |
DENTSPLY SIRONA, Inc. |
|
|
|
1,125,000 |
|
|
|
3.250 |
|
|
06/01/30 |
|
1,252,282 |
DH Europe Finance II S.a.r.l. |
|
|
|
1,725,000 |
|
|
|
2.200 |
|
|
11/15/24 |
|
1,828,517 |
|
|
|
625,000 |
|
|
|
2.600 |
|
|
11/15/29 |
|
683,244 |
|
|
|
1,225,000 |
|
|
|
3.250 |
|
|
11/15/39 |
|
1,394,185 |
Rush Obligated Group |
|
|
|
850,000 |
|
|
|
3.922 |
|
|
11/15/29 |
|
1,003,065 |
Stanford Health Care |
|
|
|
975,000 |
|
|
|
3.310 |
|
|
08/15/30 |
|
1,109,754 |
Stryker Corp. |
|
|
|
575,000 |
|
|
|
2.625 |
|
|
03/15/21 |
|
576,380 |
|
|
|
475,000 |
|
|
|
3.375 |
|
|
11/01/25 |
|
531,268 |
|
|
|
2,825,000 |
|
|
|
1.950 |
|
|
06/15/30 |
|
2,903,733 |
Thermo Fisher Scientific, Inc. |
|
|
|
775,000 |
|
|
|
4.497 |
|
|
03/25/30 |
|
967,518 |
|
|
|
300,000 |
|
|
|
4.100 |
|
|
08/15/47 |
|
400,695 |
Zimmer Biomet Holdings, Inc. |
|
|
|
2,475,000 |
|
|
|
3.550 |
|
|
03/20/30 |
|
2,807,046 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,105,380 |
|
Household Products(a)
0.0% |
Kimberly-Clark Corp. |
|
|
|
350,000 |
|
|
|
3.100 |
|
|
03/26/30 |
|
402,455 |
|
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Insurance 1.0% |
AIA Group
Ltd.(a)(c) |
$ |
|
|
875,000 |
|
|
|
3.900 |
% |
|
04/06/28 |
|
$ 998,734 |
American International Group, Inc. |
|
|
|
474,000 |
|
|
|
4.875 |
|
|
06/01/22 |
|
503,383 |
|
|
|
300,000 |
|
|
|
4.125 |
|
|
02/15/24 |
|
331,884 |
|
|
|
3,875,000 |
|
|
|
3.900 |
(a) |
|
04/01/26 |
|
4,418,779 |
|
|
|
2,075,000 |
|
|
|
3.400 |
(a) |
|
06/30/30 |
|
2,373,821 |
Arch Capital Finance
LLC(a) |
|
|
|
1,200,000 |
|
|
|
4.011 |
|
|
12/15/26 |
|
1,392,180 |
Arch Capital Group Ltd. |
|
|
|
1,125,000 |
|
|
|
7.350 |
|
|
05/01/34 |
|
1,712,115 |
Berkshire Hathaway Finance
Corp.(a) |
|
|
|
2,075,000 |
|
|
|
1.850 |
|
|
03/12/30 |
|
2,187,320 |
Great-West Lifeco Finance 2018
LP(a)(c) |
|
|
|
1,125,000 |
|
|
|
4.047 |
|
|
05/17/28 |
|
1,318,342 |
Marsh & McLennan Cos.,
Inc.(a) |
|
|
|
1,325,000 |
|
|
|
4.375 |
|
|
03/15/29 |
|
1,613,042 |
New York Life Insurance
Co.(a)(c) |
|
|
|
925,000 |
|
|
|
3.750 |
|
|
05/15/50 |
|
1,099,168 |
Principal Financial Group,
Inc.(a) |
|
|
|
2,250,000 |
|
|
|
2.125 |
|
|
06/15/30 |
|
2,351,610 |
Willis North America,
Inc.(a) |
|
|
|
700,000 |
|
|
|
2.950 |
|
|
09/15/29 |
|
764,694 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,065,072 |
|
Internet(a)
0.6% |
Amazon.com, Inc. |
|
|
|
2,300,000 |
|
|
|
5.200 |
|
|
12/03/25 |
|
2,796,662 |
|
|
|
1,300,000 |
|
|
|
4.800 |
|
|
12/05/34 |
|
1,788,059 |
|
|
|
525,000 |
|
|
|
3.875 |
|
|
08/22/37 |
|
653,656 |
Booking Holdings, Inc. |
|
|
|
575,000 |
|
|
|
4.100 |
|
|
04/13/25 |
|
652,786 |
Expedia Group, Inc. |
|
|
|
1,025,000 |
|
|
|
3.600 |
(c) |
|
12/15/23 |
|
1,093,726 |
|
|
|
2,850,000 |
|
|
|
4.500 |
|
|
08/15/24 |
|
3,104,562 |
|
|
|
475,000 |
|
|
|
4.625 |
(c) |
|
08/01/27 |
|
529,739 |
|
|
|
825,000 |
|
|
|
3.800 |
|
|
02/15/28 |
|
881,867 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Internet(a)
(continued) |
Prosus NV(c) |
$ |
|
|
420,000 |
|
|
|
3.680 |
% |
|
01/21/30 |
|
$ 455,963 |
EUR |
|
|
100,000 |
|
|
|
2.031 |
|
|
08/03/32 |
|
127,052 |
$ |
|
|
230,000 |
|
|
|
4.027 |
|
|
08/03/50 |
|
238,625 |
|
|
|
210,000 |
|
|
|
3.832 |
|
|
02/08/51 |
|
206,220 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,528,917 |
|
Iron/Steel(a)
0.1% |
Steel Dynamics, Inc. |
|
|
|
490,000 |
|
|
|
2.400 |
|
|
06/15/25 |
|
521,483 |
|
|
|
1,075,000 |
|
|
|
1.650 |
|
|
10/15/27 |
|
1,105,594 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,627,077 |
|
Machinery-Diversified(a)
0.2% |
Otis Worldwide Corp. |
|
|
|
625,000 |
|
|
|
2.293 |
|
|
04/05/27 |
|
668,150 |
|
|
|
4,000,000 |
|
|
|
2.565 |
|
|
02/15/30 |
|
4,292,480 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,960,630 |
|
Media 1.7% |
Charter Communications Operating LLC/Charter Communications Operating Capital(a) |
|
|
|
8,750,000 |
|
|
|
4.908 |
|
|
07/23/25 |
|
10,172,925 |
|
|
|
6,675,000 |
|
|
|
3.750 |
|
|
02/15/28 |
|
7,483,142 |
Comcast Corp.(a) |
|
|
|
1,275,000 |
|
|
|
3.700 |
|
|
04/15/24 |
|
1,405,483 |
|
|
|
725,000 |
|
|
|
3.100 |
|
|
04/01/25 |
|
797,282 |
|
|
|
1,300,000 |
|
|
|
3.950 |
|
|
10/15/25 |
|
1,492,608 |
|
|
|
1,173,000 |
|
|
|
3.300 |
|
|
02/01/27 |
|
1,323,121 |
|
|
|
1,775,000 |
|
|
|
3.300 |
|
|
04/01/27 |
|
2,018,654 |
|
|
|
1,550,000 |
|
|
|
3.150 |
|
|
02/15/28 |
|
1,741,177 |
|
|
|
1,775,000 |
|
|
|
4.150 |
|
|
10/15/28 |
|
2,128,864 |
|
|
|
1,325,000 |
|
|
|
4.250 |
|
|
10/15/30 |
|
1,628,014 |
|
|
|
325,000 |
|
|
|
3.750 |
|
|
04/01/40 |
|
391,531 |
|
|
|
275,000 |
|
|
|
4.700 |
|
|
10/15/48 |
|
382,465 |
Fox Corp.(a) |
|
|
|
700,000 |
|
|
|
4.030 |
|
|
01/25/24 |
|
770,483 |
|
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Media (continued) |
$ |
|
|
600,000 |
|
|
|
5.476 |
% |
|
01/25/39 |
|
$ 823,806 |
The Walt Disney Co. |
|
|
|
1,800,000 |
|
|
|
2.200 |
|
|
01/13/28 |
|
1,921,446 |
Time Warner Cable
LLC(a) |
|
|
|
275,000 |
|
|
|
5.875 |
|
|
11/15/40 |
|
364,972 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
34,845,973 |
|
Mining 0.3% |
Glencore Funding
LLC(c) |
|
|
|
1,300,000 |
|
|
|
4.125 |
(a) |
|
03/12/24 |
|
1,426,386 |
|
|
|
1,181,000 |
|
|
|
4.625 |
|
|
04/29/24 |
|
1,322,649 |
Newcrest Finance Pty
Ltd.(a)(c) |
|
|
|
525,000 |
|
|
|
3.250 |
|
|
05/13/30 |
|
581,963 |
Newmont Corp.(a) |
|
|
|
2,050,000 |
|
|
|
2.250 |
|
|
10/01/30 |
|
2,160,556 |
Teck Resources
Ltd.(a) |
|
|
|
900,000 |
|
|
|
3.900 |
|
|
07/15/30 |
|
1,001,376 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,492,930 |
|
Miscellaneous Manufacturing 0.3% |
General Electric Co. |
|
|
|
225,000 |
|
|
|
2.700 |
|
|
10/09/22 |
|
233,773 |
|
|
|
450,000 |
|
|
|
3.450 |
(a) |
|
05/01/27 |
|
507,555 |
|
|
|
625,000 |
|
|
|
3.625 |
(a) |
|
05/01/30 |
|
712,131 |
|
|
|
700,000 |
|
|
|
5.875 |
|
|
01/14/38 |
|
948,759 |
|
|
|
550,000 |
|
|
|
4.250 |
(a) |
|
05/01/40 |
|
648,758 |
|
|
|
1,925,000 |
|
|
|
4.350 |
(a) |
|
05/01/50 |
|
2,326,189 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,377,165 |
|
Oil Field Services 1.1% |
BP Capital Markets America,
Inc.(a) |
|
|
|
1,125,000 |
|
|
|
3.224 |
|
|
04/14/24 |
|
1,216,046 |
|
|
|
475,000 |
|
|
|
4.234 |
|
|
11/06/28 |
|
566,827 |
Devon Energy
Corp.(a) |
|
|
|
514,000 |
|
|
|
5.850 |
|
|
12/15/25 |
|
603,929 |
|
|
|
180,000 |
|
|
|
5.600 |
|
|
07/15/41 |
|
219,636 |
Gazprom PJSC Via Gaz Capital
SA(c) |
|
|
|
990,000 |
|
|
|
5.150 |
|
|
02/11/26 |
|
1,126,744 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Oil Field Services (continued) |
Gazprom PJSC Via Gaz Finance
PLC(c) |
$ |
|
|
1,210,000 |
|
|
|
3.250 |
% |
|
02/25/30 |
|
$ 1,248,191 |
Lukoil Securities
B.V.(c) |
|
|
|
790,000 |
|
|
|
3.875 |
|
|
05/06/30 |
|
854,243 |
Marathon Petroleum
Corp.(a) |
|
|
|
2,050,000 |
|
|
|
4.500 |
|
|
05/01/23 |
|
2,226,607 |
|
|
|
600,000 |
|
|
|
3.625 |
|
|
09/15/24 |
|
652,638 |
|
|
|
375,000 |
|
|
|
3.800 |
|
|
04/01/28 |
|
418,080 |
Occidental Petroleum
Corp.(a) |
|
|
|
3,175,000 |
|
|
|
2.900 |
|
|
08/15/24 |
|
3,051,969 |
Ovintiv Exploration, Inc. |
|
|
|
1,649,000 |
|
|
|
5.625 |
|
|
07/01/24 |
|
1,770,614 |
Phillips 66 |
|
|
|
1,325,000 |
|
|
|
3.700 |
|
|
04/06/23 |
|
1,419,102 |
|
|
|
375,000 |
|
|
|
3.850 |
(a) |
|
04/09/25 |
|
422,475 |
|
|
|
725,000 |
|
|
|
1.300 |
(a) |
|
02/15/26 |
|
737,137 |
Suncor Energy, Inc. |
|
|
|
775,000 |
|
|
|
2.800 |
|
|
05/15/23 |
|
815,571 |
|
|
|
1,550,000 |
|
|
|
3.100 |
(a) |
|
05/15/25 |
|
1,697,823 |
Valero Energy Corp. |
|
|
|
2,175,000 |
|
|
|
2.700 |
|
|
04/15/23 |
|
2,270,917 |
|
|
|
1,150,000 |
|
|
|
2.850 |
(a) |
|
04/15/25 |
|
1,226,924 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,545,473 |
|
Packaging(a)(c)
0.1% |
Berry Global, Inc. |
|
|
|
1,475,000 |
|
|
|
1.570 |
|
|
01/15/26 |
|
1,488,157 |
|
Pharmaceutical(a)
0.1% |
Takeda Pharmaceutical Co. Ltd. |
|
|
|
2,400,000 |
|
|
|
2.050 |
|
|
03/31/30 |
|
2,452,992 |
|
Pharmaceuticals 2.6% |
AbbVie, Inc.(a) |
|
|
|
3,250,000 |
|
|
|
4.050 |
|
|
11/21/39 |
|
3,926,715 |
|
|
|
125,000 |
|
|
|
4.875 |
|
|
11/14/48 |
|
169,893 |
|
|
|
4,900,000 |
|
|
|
4.250 |
|
|
11/21/49 |
|
6,155,331 |
Bayer US Finance II
LLC(a)(c) |
|
|
|
850,000 |
|
|
|
3.875 |
|
|
12/15/23 |
|
926,457 |
|
|
|
1,475,000 |
|
|
|
4.250 |
|
|
12/15/25 |
|
1,687,444 |
|
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Pharmaceuticals (continued) |
Becton Dickinson &
Co.(a) |
$ |
|
|
1,364,000 |
|
|
|
2.894 |
% |
|
06/06/22 |
|
$ 1,407,839 |
|
|
|
2,200,000 |
|
|
|
3.363 |
|
|
06/06/24 |
|
2,385,878 |
|
|
|
1,000,000 |
|
|
|
3.700 |
|
|
06/06/27 |
|
1,144,970 |
|
|
|
2,225,000 |
|
|
|
2.823 |
|
|
05/20/30 |
|
2,446,009 |
|
|
|
1,250,000 |
|
|
|
4.669 |
|
|
06/06/47 |
|
1,635,012 |
|
|
|
175,000 |
|
|
|
3.794 |
|
|
05/20/50 |
|
207,786 |
Bristol-Myers Squibb
Co.(a) |
|
|
|
3,240,000 |
|
|
|
3.875 |
|
|
08/15/25 |
|
3,695,220 |
|
|
|
700,000 |
|
|
|
3.900 |
|
|
02/20/28 |
|
829,969 |
|
|
|
1,200,000 |
|
|
|
4.125 |
|
|
06/15/39 |
|
1,535,496 |
|
|
|
350,000 |
|
|
|
4.250 |
|
|
10/26/49 |
|
471,212 |
Cigna Corp.(a) |
|
|
|
5,100,000 |
|
|
|
4.125 |
|
|
11/15/25 |
|
5,871,477 |
|
|
|
1,650,000 |
|
|
|
2.400 |
|
|
03/15/30 |
|
1,753,752 |
|
|
|
3,475,000 |
|
|
|
3.400 |
|
|
03/15/50 |
|
3,895,093 |
CVS Health
Corp.(a) |
|
|
|
650,000 |
|
|
|
2.625 |
|
|
08/15/24 |
|
696,306 |
|
|
|
4,050,000 |
|
|
|
3.875 |
|
|
07/20/25 |
|
4,585,329 |
|
|
|
675,000 |
|
|
|
4.780 |
|
|
03/25/38 |
|
852,329 |
|
|
|
550,000 |
|
|
|
5.125 |
|
|
07/20/45 |
|
737,011 |
|
|
|
425,000 |
|
|
|
4.250 |
|
|
04/01/50 |
|
530,851 |
Elanco Animal Health, Inc. |
|
|
|
1,675,000 |
|
|
|
4.912 |
|
|
08/27/21 |
|
1,708,455 |
|
|
|
650,000 |
|
|
|
5.272 |
(a) |
|
08/28/23 |
|
709,233 |
Pfizer, Inc.(a) |
|
|
|
675,000 |
|
|
|
2.625 |
|
|
04/01/30 |
|
748,454 |
Zoetis, Inc.(a) |
|
|
|
3,850,000 |
|
|
|
2.000 |
|
|
05/15/30 |
|
3,984,134 |
|
|
|
100,000 |
|
|
|
4.450 |
|
|
08/20/48 |
|
133,603 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
54,831,258 |
|
Pipelines 1.8% |
Abu Dhabi Crude Oil Pipeline
LLC(c) |
|
|
|
1,190,000 |
|
|
|
4.600 |
|
|
11/02/47 |
|
1,481,178 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Pipelines (continued) |
Energy Transfer Operating
LP(a) |
$ |
|
|
1,375,000 |
|
|
|
4.650 |
% |
|
06/01/21 |
|
$ 1,383,800 |
|
|
|
775,000 |
|
|
|
5.200 |
|
|
02/01/22 |
|
803,249 |
|
|
|
1,950,000 |
|
|
|
4.200 |
|
|
09/15/23 |
|
2,101,924 |
|
|
|
1,700,000 |
|
|
|
2.900 |
|
|
05/15/25 |
|
1,798,022 |
|
|
|
50,000 |
|
|
|
4.950 |
|
|
06/15/28 |
|
57,543 |
|
|
|
1,225,000 |
|
|
|
5.250 |
|
|
04/15/29 |
|
1,429,293 |
|
|
|
375,000 |
|
|
|
5.300 |
|
|
04/15/47 |
|
411,698 |
Enterprise Products Operating
LLC(a) |
|
|
|
85,000 |
|
|
|
3.750 |
|
|
02/15/25 |
|
95,221 |
(3M USD LIBOR + 2.778%) |
|
|
|
2,460,000 |
|
|
|
3.003 |
(b) |
|
06/01/67 |
|
2,118,995 |
EQM Midstream Partners
LP(a) |
|
|
|
925,000 |
|
|
|
4.750 |
|
|
07/15/23 |
|
966,625 |
|
|
|
775,000 |
|
|
|
5.500 |
|
|
07/15/28 |
|
844,750 |
Galaxy Pipeline Assets Bidco
Ltd.(c) |
|
|
|
200,000 |
|
|
|
2.625 |
|
|
03/31/36 |
|
207,000 |
|
|
|
320,000 |
|
|
|
3.250 |
|
|
09/30/40 |
|
337,600 |
Kinder Morgan Energy Partners
LP(a) |
|
|
|
4,500,000 |
|
|
|
3.450 |
|
|
02/15/23 |
|
4,739,580 |
MPLX LP(a) |
|
|
|
2,151,000 |
|
|
|
3.375 |
|
|
03/15/23 |
|
2,277,522 |
|
|
|
2,225,000 |
|
|
|
2.650 |
|
|
08/15/30 |
|
2,335,204 |
|
|
|
275,000 |
|
|
|
4.500 |
|
|
04/15/38 |
|
314,960 |
|
|
|
645,000 |
|
|
|
5.500 |
|
|
02/15/49 |
|
846,498 |
Plains All American Pipeline LP/PAA Finance Corp.(a) |
|
|
|
525,000 |
|
|
|
3.650 |
|
|
06/01/22 |
|
540,902 |
|
|
|
1,100,000 |
|
|
|
3.850 |
|
|
10/15/23 |
|
1,174,569 |
|
|
|
875,000 |
|
|
|
3.800 |
|
|
09/15/30 |
|
937,099 |
Sabine Pass Liquefaction
LLC(a) |
|
|
|
1,475,000 |
|
|
|
6.250 |
|
|
03/15/22 |
|
1,552,216 |
|
|
|
1,650,000 |
|
|
|
5.625 |
|
|
03/01/25 |
|
1,925,385 |
|
|
|
1,025,000 |
|
|
|
5.000 |
|
|
03/15/27 |
|
1,209,315 |
The Williams Cos.,
Inc.(a) |
|
|
|
785,000 |
|
|
|
3.600 |
|
|
03/15/22 |
|
810,324 |
|
|
|
850,000 |
|
|
|
3.900 |
|
|
01/15/25 |
|
943,917 |
|
|
|
800,000 |
|
|
|
4.000 |
|
|
09/15/25 |
|
907,640 |
|
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Pipelines (continued) |
Western Midstream Operating
LP(a) |
$ |
|
|
1,125,000 |
|
|
|
4.100 |
% |
|
02/01/25 |
|
$ 1,153,125 |
|
|
|
475,000 |
|
|
|
3.950 |
|
|
06/01/25 |
|
484,500 |
|
|
|
225,000 |
|
|
|
5.450 |
|
|
04/01/44 |
|
227,250 |
|
|
|
165,000 |
|
|
|
5.300 |
|
|
03/01/48 |
|
162,938 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
36,579,842 |
|
Real Estate Investment Trust(a)
2.1% |
Agree LP |
|
|
|
600,000 |
|
|
|
2.900 |
|
|
10/01/30 |
|
635,142 |
Alexandria Real Estate Equities, Inc. |
|
|
|
750,000 |
|
|
|
3.800 |
|
|
04/15/26 |
|
863,520 |
|
|
|
800,000 |
|
|
|
3.375 |
|
|
08/15/31 |
|
916,608 |
American Campus Communities Operating Partnership LP |
|
|
|
2,575,000 |
|
|
|
3.750 |
|
|
04/15/23 |
|
2,717,140 |
|
|
|
650,000 |
|
|
|
3.875 |
|
|
01/30/31 |
|
728,390 |
American Homes 4 Rent LP |
|
|
|
723,000 |
|
|
|
4.900 |
|
|
02/15/29 |
|
872,849 |
American Tower Corp. |
|
|
|
2,100,000 |
|
|
|
3.375 |
|
|
05/15/24 |
|
2,285,913 |
|
|
|
1,750,000 |
|
|
|
2.400 |
|
|
03/15/25 |
|
1,863,750 |
|
|
|
1,750,000 |
|
|
|
2.100 |
|
|
06/15/30 |
|
1,796,305 |
Boston Properties LP |
|
|
|
325,000 |
|
|
|
4.125 |
|
|
05/15/21 |
|
326,307 |
Crown Castle International Corp. |
|
|
|
2,150,000 |
|
|
|
3.150 |
|
|
07/15/23 |
|
2,286,955 |
|
|
|
225,000 |
|
|
|
3.300 |
|
|
07/01/30 |
|
252,317 |
|
|
|
125,000 |
|
|
|
4.150 |
|
|
07/01/50 |
|
151,111 |
CubeSmart LP |
|
|
|
1,500,000 |
|
|
|
4.000 |
|
|
11/15/25 |
|
1,693,155 |
Digital Realty Trust LP |
|
|
|
1,525,000 |
|
|
|
2.750 |
|
|
02/01/23 |
|
1,591,551 |
Duke Realty LP |
|
|
|
1,075,000 |
|
|
|
1.750 |
|
|
07/01/30 |
|
1,087,857 |
Essex Portfolio LP |
|
|
|
875,000 |
|
|
|
3.000 |
|
|
01/15/30 |
|
967,129 |
Healthcare Realty Trust, Inc. |
|
|
|
625,000 |
|
|
|
2.050 |
|
|
03/15/31 |
|
625,563 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Real Estate Investment Trust(a)
(continued) |
Kilroy Realty LP |
$ |
|
|
1,500,000 |
|
|
|
3.800 |
% |
|
01/15/23 |
|
$ 1,567,305 |
|
|
|
1,025,000 |
|
|
|
4.750 |
|
|
12/15/28 |
|
1,206,732 |
Mid-America Apartments LP |
|
|
|
1,125,000 |
|
|
|
1.700 |
|
|
02/15/31 |
|
1,124,381 |
National Retail Properties, Inc. |
|
|
|
790,000 |
|
|
|
3.900 |
|
|
06/15/24 |
|
855,689 |
|
|
|
1,150,000 |
|
|
|
4.000 |
|
|
11/15/25 |
|
1,284,423 |
Regency Centers LP |
|
|
|
1,950,000 |
|
|
|
2.950 |
|
|
09/15/29 |
|
2,079,246 |
Spirit Realty LP |
|
|
|
1,900,000 |
|
|
|
4.000 |
|
|
07/15/29 |
|
2,128,247 |
|
|
|
1,200,000 |
|
|
|
3.400 |
|
|
01/15/30 |
|
1,301,172 |
UDR, Inc. |
|
|
|
475,000 |
|
|
|
2.100 |
|
|
08/01/32 |
|
483,108 |
Ventas Realty LP |
|
|
|
975,000 |
|
|
|
3.500 |
|
|
02/01/25 |
|
1,072,831 |
VEREIT Operating Partnership LP |
|
|
|
1,675,000 |
|
|
|
4.625 |
|
|
11/01/25 |
|
1,930,102 |
|
|
|
400,000 |
|
|
|
3.950 |
|
|
08/15/27 |
|
454,212 |
|
|
|
875,000 |
|
|
|
3.400 |
|
|
01/15/28 |
|
965,685 |
|
|
|
1,550,000 |
|
|
|
2.850 |
|
|
12/15/32 |
|
1,618,975 |
WP Carey, Inc. |
|
|
|
505,000 |
|
|
|
4.600 |
|
|
04/01/24 |
|
562,631 |
|
|
|
445,000 |
|
|
|
4.000 |
|
|
02/01/25 |
|
492,121 |
|
|
|
1,000,000 |
|
|
|
3.850 |
|
|
07/15/29 |
|
1,134,920 |
|
|
|
725,000 |
|
|
|
2.400 |
|
|
02/01/31 |
|
753,609 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
42,676,951 |
|
Retailing(a)
0.9% |
AutoNation, Inc. |
|
|
|
825,000 |
|
|
|
4.750 |
|
|
06/01/30 |
|
992,904 |
Dollar Tree, Inc. |
|
|
|
975,000 |
|
|
|
4.000 |
|
|
05/15/25 |
|
1,100,541 |
|
|
|
1,999,000 |
|
|
|
4.200 |
|
|
05/15/28 |
|
2,377,850 |
Lowes Cos., Inc. |
|
|
|
1,550,000 |
|
|
|
3.000 |
|
|
10/15/50 |
|
1,659,818 |
Lowes Cos., Inc. |
|
|
|
2,500,000 |
|
|
|
1.700 |
|
|
10/15/30 |
|
2,525,650 |
|
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Retailing(a)
(continued) |
McDonalds Corp. |
$ |
|
|
200,000 |
|
|
|
4.450 |
% |
|
09/01/48 |
|
$ 260,332 |
|
|
|
650,000 |
|
|
|
4.200 |
|
|
04/01/50 |
|
832,267 |
Starbucks Corp. |
|
|
|
1,850,000 |
|
|
|
3.800 |
|
|
08/15/25 |
|
2,104,504 |
The Home Depot, Inc. |
|
|
|
625,000 |
|
|
|
3.900 |
|
|
12/06/28 |
|
751,844 |
Tractor Supply Co. |
|
|
|
1,500,000 |
|
|
|
1.750 |
|
|
11/01/30 |
|
1,507,095 |
Walgreens Boots Alliance, Inc. |
|
|
|
3,050,000 |
|
|
|
4.100 |
|
|
04/15/50 |
|
3,231,170 |
Walmart, Inc. |
|
|
|
800,000 |
|
|
|
4.050 |
|
|
06/29/48 |
|
1,081,280 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,425,255 |
|
Savings & Loans(a)(b)(c)
0.1% |
Nationwide Building Society (3M USD LIBOR + 1.855%) |
|
|
|
975,000 |
|
|
|
3.960 |
|
|
07/18/30 |
|
1,135,700 |
|
Semiconductors 1.1% |
Applied Materials,
Inc.(a) |
|
|
|
975,000 |
|
|
|
1.750 |
|
|
06/01/30 |
|
1,010,987 |
Broadcom Corp./Broadcom Cayman Finance Ltd.(a) |
|
|
|
975,000 |
|
|
|
3.125 |
|
|
01/15/25 |
|
1,053,829 |
|
|
|
5,075,000 |
|
|
|
3.875 |
|
|
01/15/27 |
|
5,702,676 |
|
|
|
161,000 |
|
|
|
3.500 |
|
|
01/15/28 |
|
177,153 |
Broadcom,
Inc.(a) |
|
|
|
3,950,000 |
|
|
|
4.700 |
|
|
04/15/25 |
|
4,528,754 |
|
|
|
1,300,000 |
|
|
|
4.250 |
|
|
04/15/26 |
|
1,489,657 |
|
|
|
4,565,000 |
|
|
|
3.459 |
|
|
09/15/26 |
|
5,063,772 |
Lam Research
Corp.(a) |
|
|
|
1,175,000 |
|
|
|
1.900 |
|
|
06/15/30 |
|
1,219,133 |
Microchip Technology, Inc. |
|
|
|
1,025,000 |
|
|
|
3.922 |
|
|
06/01/21 |
|
1,039,675 |
NXP B.V./NXP Funding
LLC(c) |
|
|
|
225,000 |
|
|
|
4.625 |
|
|
06/01/23 |
|
246,146 |
NXP B.V./NXP Funding LLC/NXP USA,
Inc.(a)(c) |
|
|
|
825,000 |
|
|
|
3.400 |
|
|
05/01/30 |
|
935,368 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,467,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Software(a)
0.8% |
Adobe, Inc. |
$ |
|
|
1,400,000 |
|
|
|
2.150 |
% |
|
02/01/27 |
|
$ 1,505,434 |
|
|
|
1,850,000 |
|
|
|
2.300 |
|
|
02/01/30 |
|
1,997,944 |
Fiserv, Inc. |
|
|
|
2,775,000 |
|
|
|
2.750 |
|
|
07/01/24 |
|
2,980,239 |
|
|
|
1,825,000 |
|
|
|
3.200 |
|
|
07/01/26 |
|
2,043,106 |
|
|
|
1,075,000 |
|
|
|
4.200 |
|
|
10/01/28 |
|
1,282,013 |
Intuit, Inc. |
|
|
|
675,000 |
|
|
|
1.350 |
|
|
07/15/27 |
|
689,951 |
|
|
|
450,000 |
|
|
|
1.650 |
|
|
07/15/30 |
|
462,047 |
Oracle Corp. |
|
|
|
1,325,000 |
|
|
|
3.600 |
|
|
04/01/40 |
|
1,553,430 |
|
|
|
1,425,000 |
|
|
|
3.850 |
|
|
04/01/60 |
|
1,741,777 |
ServiceNow, Inc. |
|
|
|
3,400,000 |
|
|
|
1.400 |
|
|
09/01/30 |
|
3,315,680 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,571,621 |
|
Telecommunication Services 3.6% |
AT&T,
Inc.(a) |
|
|
|
6,700,000 |
|
|
|
2.300 |
|
|
06/01/27 |
|
7,140,592 |
|
|
|
325,000 |
|
|
|
1.650 |
|
|
02/01/28 |
|
332,017 |
|
|
|
6,300,000 |
|
|
|
4.350 |
|
|
03/01/29 |
|
7,510,419 |
|
|
|
3,075,000 |
|
|
|
2.750 |
|
|
06/01/31 |
|
3,283,793 |
|
|
|
6,170,000 |
|
|
|
2.550 |
(c) |
|
12/01/33 |
|
6,343,130 |
|
|
|
1,165,000 |
|
|
|
4.900 |
|
|
08/15/37 |
|
1,456,168 |
|
|
|
1,100,000 |
|
|
|
4.850 |
|
|
03/01/39 |
|
1,362,185 |
|
|
|
1,325,000 |
|
|
|
3.500 |
|
|
06/01/41 |
|
1,422,255 |
T-Mobile USA,
Inc.(a)(c) |
|
|
|
2,025,000 |
|
|
|
3.500 |
|
|
04/15/25 |
|
2,238,040 |
|
|
|
1,350,000 |
|
|
|
1.500 |
|
|
02/15/26 |
|
1,382,913 |
|
|
|
5,025,000 |
|
|
|
3.750 |
|
|
04/15/27 |
|
5,713,938 |
|
|
|
4,175,000 |
|
|
|
2.050 |
|
|
02/15/28 |
|
4,341,791 |
|
|
|
4,425,000 |
|
|
|
3.875 |
|
|
04/15/30 |
|
5,121,650 |
|
|
|
1,200,000 |
|
|
|
3.000 |
|
|
02/15/41 |
|
1,241,412 |
|
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Telecommunication Services (continued) |
Telefonica Emisiones SA |
$ |
|
|
1,375,000 |
|
|
|
4.570 |
% |
|
04/27/23 |
|
$ 1,502,683 |
|
|
|
1,200,000 |
|
|
|
4.665 |
|
|
03/06/38 |
|
1,445,292 |
Verizon Communications, Inc. |
|
|
|
5,066,000 |
|
|
|
4.329 |
|
|
09/21/28 |
|
6,090,902 |
|
|
|
625,000 |
|
|
|
3.875 |
(a) |
|
02/08/29 |
|
734,925 |
|
|
|
2,251,000 |
|
|
|
4.016 |
(a) |
|
12/03/29 |
|
2,670,451 |
|
|
|
1,750,000 |
|
|
|
3.150 |
(a) |
|
03/22/30 |
|
1,961,365 |
|
|
|
500,000 |
|
|
|
5.250 |
|
|
03/16/37 |
|
681,950 |
|
|
|
2,175,000 |
|
|
|
4.812 |
|
|
03/15/39 |
|
2,836,874 |
|
|
|
25,000 |
|
|
|
4.125 |
|
|
08/15/46 |
|
30,657 |
|
|
|
2,750,000 |
|
|
|
4.862 |
|
|
08/21/46 |
|
3,690,665 |
|
|
|
131,000 |
|
|
|
5.012 |
|
|
04/15/49 |
|
181,385 |
|
|
|
1,399,000 |
|
|
|
2.987 |
(a)(c) |
|
10/30/56 |
|
1,406,247 |
Vodafone Group PLC |
|
|
|
2,275,000 |
|
|
|
3.750 |
|
|
01/16/24 |
|
2,486,484 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
74,610,183 |
|
Transportation(a)
0.4% |
Burlington Northern Santa Fe LLC |
|
|
|
800,000 |
|
|
|
4.050 |
|
|
06/15/48 |
|
1,051,056 |
Canadian Pacific Railway Co. |
|
|
|
575,000 |
|
|
|
2.050 |
|
|
03/05/30 |
|
602,991 |
CSX Corp. |
|
|
|
2,250,000 |
|
|
|
3.800 |
|
|
04/15/50 |
|
2,774,903 |
United Parcel Service, Inc. |
|
|
|
1,950,000 |
|
|
|
5.300 |
|
|
04/01/50 |
|
2,942,433 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,371,383 |
Trucking & Leasing(c)
0.1% |
Penske Truck Leasing Co. LP/PTL Finance Corp. |
|
|
|
1,425,000 |
|
|
|
4.250 |
|
|
01/17/23 |
|
1,530,208 |
|
TOTAL CORPORATE OBLIGATIONS (Cost
$775,351,306) |
|
$ 843,032,820 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Debt Obligations 2.2% |
Sovereign 2.2% |
Abu Dhabi Government International Bond |
$ |
|
|
460,000 |
|
|
|
2.500 |
%(c) |
|
10/11/22 |
|
$ 475,999 |
|
|
|
420,000 |
|
|
|
3.125 |
(c) |
|
10/11/27 |
|
469,744 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Foreign Debt Obligations (continued) |
Sovereign (continued) |
$ |
|
|
240,000 |
|
|
|
4.125 |
%(c) |
|
10/11/47 |
|
$ 300,675 |
|
|
|
450,000 |
|
|
|
4.125 |
|
|
10/11/47 |
|
563,766 |
Japanese Government CPI Linked Bond |
JPY |
|
|
2,055,962,580 |
|
|
|
0.100 |
|
|
03/10/29 |
|
20,017,635 |
Kuwait International Government Bond |
$ |
|
|
4,120,000 |
|
|
|
3.500 |
|
|
03/20/27 |
|
4,690,362 |
Mexico Government International Bond |
|
|
|
450,000 |
|
|
|
4.500 |
|
|
04/22/29 |
|
527,625 |
|
|
|
240,000 |
|
|
|
3.250 |
(a) |
|
04/16/30 |
|
260,100 |
Perusahaan Penerbit SBSN |
|
|
|
2,030,000 |
|
|
|
4.550 |
|
|
03/29/26 |
|
2,346,553 |
Qatar Government International
Bond(c) |
|
|
|
280,000 |
|
|
|
3.750 |
|
|
04/16/30 |
|
328,737 |
Republic of
Colombia(a) |
|
|
|
930,000 |
|
|
|
4.500 |
|
|
03/15/29 |
|
1,074,150 |
|
|
|
470,000 |
|
|
|
5.200 |
|
|
05/15/49 |
|
594,109 |
|
|
|
830,000 |
|
|
|
4.125 |
|
|
05/15/51 |
|
922,130 |
Republic of Indonesia |
|
|
|
790,000 |
|
|
|
3.700 |
(c) |
|
01/08/22 |
|
813,947 |
|
|
|
200,000 |
|
|
|
5.875 |
|
|
01/15/24 |
|
230,000 |
EUR |
|
|
280,000 |
|
|
|
2.150 |
(c) |
|
07/18/24 |
|
363,441 |
$ |
|
|
420,000 |
|
|
|
4.125 |
(c) |
|
01/15/25 |
|
470,006 |
|
|
|
380,000 |
|
|
|
4.125 |
|
|
01/15/25 |
|
425,244 |
|
|
|
1,380,000 |
|
|
|
4.350 |
(c) |
|
01/08/27 |
|
1,607,269 |
Republic of
Peru(a) |
|
|
|
90,000 |
|
|
|
2.783 |
|
|
01/23/31 |
|
98,685 |
|
|
|
770,000 |
|
|
|
2.780 |
|
|
12/01/60 |
|
775,005 |
|
|
|
210,000 |
|
|
|
3.230 |
|
|
07/28/21 |
|
209,895 |
Republic of
Qatar(c) |
|
|
|
210,000 |
|
|
|
3.875 |
|
|
04/23/23 |
|
225,487 |
|
|
|
230,000 |
|
|
|
4.500 |
|
|
04/23/28 |
|
278,875 |
|
|
|
340,000 |
|
|
|
4.400 |
|
|
04/16/50 |
|
442,000 |
Republic of
Romania(c) |
EUR |
|
|
100,000 |
|
|
|
2.000 |
|
|
01/28/32 |
|
127,930 |
|
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Foreign Debt Obligations (continued) |
Sovereign (continued) |
EUR |
|
|
360,000 |
|
|
|
3.375 |
% |
|
01/28/50 |
|
$ 504,664 |
State of
Israel(e) |
|
|
|
200,000 |
|
|
|
4.500 |
|
|
04/03/20 |
|
264,500 |
United Mexican
States(a) |
|
|
|
200,000 |
|
|
|
4.750 |
|
|
04/27/32 |
|
240,375 |
United Mexican States |
EUR |
|
|
760,000 |
|
|
|
1.625 |
|
|
04/08/26 |
|
964,432 |
$ |
|
|
1,350,000 |
|
|
|
3.750 |
|
|
01/11/28 |
|
1,520,859 |
|
|
|
1,410,000 |
|
|
|
2.659 |
(a) |
|
05/24/31 |
|
1,450,185 |
|
|
|
1,960,000 |
|
|
|
3.771 |
(a) |
|
05/24/61 |
|
2,037,910 |
|
TOTAL FOREIGN DEBT OBLIGATIONS (Cost $42,350,486) |
|
$ 45,622,294 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities(b) 5.8% |
Collateralized Loan Obligations(c)
4.7% |
AGL CLO 3 Ltd. Series 2020-3A, Class A(3M USD LIBOR + 1.300%) |
$ |
|
|
4,100,000 |
|
|
|
1.537 |
% |
|
01/15/33 |
|
$ 4,102,583 |
Apidos CLO XXIII Series 2015-23A, Class AR(3M USD LIBOR +
1.220%) |
|
|
|
4,000,000 |
|
|
|
1.457 |
|
|
04/15/33 |
|
3,999,996 |
Catamaran CLO Ltd. Series 2013-1A, Class AR (3M USD LIBOR +
0.850%) |
|
|
|
3,972,035 |
|
|
|
1.067 |
|
|
01/27/28 |
|
3,954,359 |
Crown City CLO I Series 2020-1A, Class A2(3M USD LIBOR + 2.550%) |
|
|
|
4,600,000 |
|
|
|
2.857 |
|
|
07/20/30 |
|
4,612,383 |
Crown City CLO I Series 2020-1A, Class B (3M USD LIBOR + 3.030%) |
|
|
|
2,900,000 |
|
|
|
3.337 |
|
|
07/20/30 |
|
2,900,389 |
Cutwater Ltd. Series 2014-1A, Class A1AR(3M USD LIBOR + 1.250%) |
|
|
|
1,494,953 |
|
|
|
1.487 |
|
|
07/15/26 |
|
1,492,757 |
Elmwood CLO IV Ltd. Series 2020-1A, Class A (3M USD LIBOR +
1.240%) |
|
|
|
14,600,000 |
|
|
|
1.477 |
|
|
04/15/33 |
|
14,616,951 |
Galaxy XVIII CLO Ltd. Series 2018-28A, Class A2(3M USD LIBOR +
1.300%) |
|
|
|
6,000,000 |
|
|
|
1.537 |
|
|
07/15/31 |
|
6,000,162 |
Halseypoint CLO 2 Ltd. Series 2020-2A, Class B (3M USD LIBOR +
2.950%) |
|
|
|
3,900,000 |
|
|
|
3.168 |
|
|
07/20/31 |
|
3,937,374 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Asset-Backed Securities(b) (continued) |
Collateralized Loan Obligations(c)
(continued) |
Halseypoint CLO 3 Ltd. Series 2020-3A, Class A1A (3M USD LIBOR +
1.450%) |
$ |
|
|
6,250,000 |
|
|
|
1.629 |
% |
|
11/30/32 |
|
$ 6,273,719 |
KREF Ltd. Series 2018-FL1, Class A (1M USD LIBOR + 1.100%) |
|
|
|
4,200,000 |
|
|
|
1.253 |
|
|
06/15/36 |
|
4,192,770 |
Madison Park Funding XXX Ltd. Series 2018-30A, Class A (3M USD LIBOR +
0.750%) |
|
|
|
6,900,000 |
|
|
|
0.987 |
|
|
04/15/29 |
|
6,838,059 |
Mill City Mortgage Loan Trust Series 2017-2, Class A3 |
|
|
|
720,785 |
|
|
|
2.928 |
|
|
07/25/59 |
|
751,137 |
Mountain View CLO LLC Series 2016-1A, Class AR (3M USD LIBOR +
1.360%) |
|
|
|
3,500,000 |
|
|
|
1.589 |
|
|
04/14/33 |
|
3,499,989 |
OHA Credit Funding 3 Ltd. Series 2019-3A, Class A1 (3M USD LIBOR +
1.320%) |
|
|
|
2,150,000 |
|
|
|
1.538 |
|
|
07/20/32 |
|
2,151,666 |
OHA Credit Funding 5 Ltd. Series 2020-5A, Class A2A (3M USD LIBOR +
1.450%) |
|
|
|
2,000,000 |
|
|
|
1.668 |
|
|
04/18/33 |
|
2,003,630 |
Orec Ltd. Series 2018-CRE1, Class A (1M USD LIBOR + 1.180%) |
|
|
|
2,450,000 |
|
|
|
1.339 |
|
|
06/15/36 |
|
2,410,031 |
Palmer Square CLO Ltd. Series 2019-1A, Class A1 (3M USD LIBOR +
1.340%) |
|
|
|
6,000,000 |
|
|
|
1.561 |
|
|
11/14/32 |
|
6,008,418 |
Recette CLO Ltd. Series 2015-1A, Class AR (3M USD LIBOR +
0.920%) |
|
|
|
4,229,360 |
|
|
|
1.138 |
|
|
10/20/27 |
|
4,226,158 |
Towd Point Mortgage Trust Series 2019-4, Class M1B |
|
|
|
2,590,000 |
|
|
|
3.000 |
|
|
10/25/59 |
|
2,712,276 |
Venture CDO Ltd. Series 2020-39A, Class A1 (3M USD LIBOR +
1.280%) |
|
|
|
6,900,000 |
|
|
|
1.517 |
|
|
04/15/33 |
|
6,905,327 |
WhiteHorse VIII Ltd. Series 2014-1A, Class AR (3M USD LIBOR +
0.900%) |
|
|
|
179,953 |
|
|
|
1.114 |
|
|
05/01/26 |
|
179,860 |
Zais CLO Ltd. Series 2020-15A, Class A1 (3M USD LIBOR + 2.555%) |
|
|
|
3,250,000 |
|
|
|
2.777 |
|
|
07/28/30 |
|
3,271,255 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
97,041,249 |
|
Other(c)
0.7% |
Arbor Realty Commercial Real Estate Notes Ltd. Series 2018-FL1, Class A (1M
USD LIBOR + 1.150%) |
|
|
|
5,700,000 |
|
|
|
1.309 |
|
|
06/15/28 |
|
5,639,721 |
BSPRT Issuer Ltd. Series 2018 FL4, Class A (1M USD LIBOR +
1.050%) |
|
|
|
3,098,752 |
|
|
|
1.209 |
|
|
09/15/35 |
|
3,081,614 |
|
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Asset-Backed Securities (b) (continued) |
Other(c)
(continued) |
Dryden Senior Loan Fund Series 2019-76A, Class A1 (3M USD LIBOR +
1.330%) |
$ |
|
|
6,000,000 |
|
|
|
1.548 |
% |
|
10/20/32 |
|
$ 6,009,198 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,730,533 |
|
Student Loan 0.4% |
AccessLex Institute Series 2004-1, Class A2 (3M USD LIBOR +
0.210%) |
|
|
|
894,913 |
|
|
|
0.435 |
|
|
09/26/33 |
|
873,598 |
Educational Funding of the South, Inc. Series 2011-1, Class A2 (3M USD LIBOR +
0.650%) |
|
|
|
1,376,239 |
|
|
|
0.865 |
|
|
04/25/35 |
|
1,367,917 |
Higher Education Funding I Series 2014-1, Class A(c) (3M USD LIBOR + 1.050%) |
|
|
|
3,034,183 |
|
|
|
1.257 |
|
|
05/25/34 |
|
3,040,041 |
PHEAA Student Loan Trust Series 2016-1A, Class A(c) (1M USD LIBOR + 1.150%) |
|
|
|
2,513,988 |
|
|
|
1.298 |
|
|
09/25/65 |
|
2,539,345 |
SLC Student Loan Trust Series 2006-2, Class A5 (3M USD LIBOR +
0.100%) |
|
|
|
227,551 |
|
|
|
0.317 |
|
|
09/15/26 |
|
227,339 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,048,240 |
|
TOTAL ASSET-BACKED SECURITIES (Cost $119,729,031) |
|
$ 119,820,022 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed Obligations 33.6% |
Collateralized Mortgage Obligations 0.9% |
Inverse Floaters(b)
0.0% |
GNMA REMIC Series 2002-13, Class SB (-1x1M USD LIBOR + 37.567%) |
$ |
|
|
17,314 |
|
|
|
36.852 |
% |
|
02/16/32 |
|
$ 23,585 |
|
Sequential Fixed Rate 0.3% |
FHLMC REMIC Series 2020-DNA3, Class
M2(b)(c) (1M USD LIBOR + 3.000%) |
|
|
|
2,310,000 |
|
|
|
3.148 |
|
|
06/25/50 |
|
2,322,562 |
FHLMC REMIC Series 2755, Class ZA |
|
|
|
367,287 |
|
|
|
5.000 |
|
|
02/15/34 |
|
413,961 |
FHLMC REMIC Series 4246, Class PT |
|
|
|
161,770 |
|
|
|
6.500 |
|
|
02/15/36 |
|
191,767 |
FHLMC REMIC Series 4273, Class PD |
|
|
|
791,634 |
|
|
|
6.500 |
|
|
11/15/43 |
|
956,090 |
FHLMC STACR REMIC Trust Series 2020-DNA5, Class M2(b)(c) (SOFR30A + 2.800%) |
|
|
|
1,032,000 |
|
|
|
2.882 |
|
|
10/25/50 |
|
1,042,984 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
Sequential Fixed Rate (continued) |
FNMA REMIC Series 2011-52, Class GB |
$ |
|
|
713,666 |
|
|
|
5.000 |
% |
|
06/25/41 |
|
$ 816,720 |
FNMA REMIC Series 2011-99, Class DB |
|
|
|
703,813 |
|
|
|
5.000 |
|
|
10/25/41 |
|
803,438 |
FNMA REMIC Series 2012-111, Class B |
|
|
|
111,415 |
|
|
|
7.000 |
|
|
10/25/42 |
|
137,055 |
FNMA REMIC Series 2012-153, Class B |
|
|
|
391,744 |
|
|
|
7.000 |
|
|
07/25/42 |
|
492,379 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,176,956 |
|
Sequential Floating Rate(b)
0.6% |
Harben Finance PLC Series 2017-1X, Class A (3M GBP LIBOR +
0.800%) |
GBP |
|
|
1,608,164 |
|
|
|
0.851 |
|
|
08/20/56 |
|
2,198,447 |
HarborView Mortgage Loan Trust Series 2005-16, Class 2A1A (1M USD LIBOR +
0.480%) |
$ |
|
|
142,619 |
|
|
|
0.632 |
|
|
01/19/36 |
|
136,555 |
Impac CMB Trust Series 2004-08, Class 1A (1M USD LIBOR + 0.720%) |
|
|
|
144,698 |
|
|
|
0.868 |
|
|
10/25/34 |
|
138,744 |
London Wall Mortgage Capital PLC Series 2017-FL1, Class A (3M GBP LIBOR +
0.850%) |
GBP |
|
|
1,260,909 |
|
|
|
0.898 |
|
|
11/15/49 |
|
1,722,405 |
Stratton Mortgage Funding PLC Series 2019-1, Class A (3M SONIA IR +
1.200%) |
|
|
|
3,642,887 |
|
|
|
1.254 |
|
|
05/25/51 |
|
4,990,026 |
Tower Bridge Funding No. 2 PLC, Class A (3M GBP LIBOR + 0.900%) |
|
|
|
1,534,936 |
|
|
|
0.934 |
|
|
03/20/56 |
|
2,100,075 |
Washington Mutual Mortgage Pass-Through Certificates Trust Series 2002-AR19,
Class A7 (1 Year CMT + 2.592%) |
$ |
|
|
16,794 |
|
|
|
3.329 |
|
|
02/25/33 |
|
16,583 |
Wells Fargo Mortgage Backed Securities Trust Series 2019-3, Class A1(c) |
|
|
|
574,725 |
|
|
|
3.500 |
|
|
07/25/49 |
|
590,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,892,835 |
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
$ 19,093,376 |
|
Commercial Mortgage-Backed Securities 0.3% |
Sequential Fixed Rate 0.2% |
Bank Series 2019-BN21, Class A5 |
$ |
|
|
950,000 |
|
|
|
2.851 |
% |
|
10/17/52 |
|
$ 1,051,191 |
Cantor Commercial Real Estate Lending Series 2019-CF2, Class E(c) |
|
|
|
2,024,000 |
|
|
|
2.500 |
|
|
11/15/52 |
|
1,488,084 |
|
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
Sequential Fixed Rate (continued) |
CSAIL 2020-C19 Commercial Mortgage Trust Series 2020-C19, Class E(c) |
$ |
|
|
1,304,000 |
|
|
|
2.500 |
% |
|
03/15/53 |
|
$ 1,022,727 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,562,002 |
|
Sequential Floating Rate(b)(c)
0.1% |
Bancorp Commercial Mortgage Trust Series 2018-CRE4, Class A (1M USD LIBOR +
0.900%) |
|
|
|
77,572 |
|
|
|
1.059 |
|
|
09/15/35 |
|
77,255 |
DBJPM 16-C1 Mortgage Trust Series 2016-C1, Class D |
|
|
|
1,500,000 |
|
|
|
3.346 |
|
|
05/10/49 |
|
1,000,217 |
DBJPM 17-C6 Mortgage Trust Series 2017-C6, Class D |
|
|
|
1,757,000 |
|
|
|
3.234 |
|
|
06/10/50 |
|
1,543,990 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,621,462 |
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
|
$ 6,183,464 |
|
Federal Agencies 32.4% |
Adjustable Rate FNMA(b)
0.1% |
$ |
|
|
2,638 |
|
|
|
3.037 |
% |
|
06/01/33 |
|
$ 2,775 |
|
|
|
148,224 |
|
|
|
2.651 |
|
|
06/01/35 |
|
153,534 |
|
|
|
703,927 |
|
|
|
2.410 |
|
|
09/01/34 |
|
735,438 |
|
|
|
289,186 |
|
|
|
2.590 |
|
|
07/01/34 |
|
303,129 |
|
|
|
769,744 |
|
|
|
3.657 |
|
|
05/01/35 |
|
808,436 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,003,312 |
|
FHLMC 0.4% |
|
|
|
14,915 |
|
|
|
5.000 |
|
|
05/01/23 |
|
16,453 |
|
|
|
50,105 |
|
|
|
4.500 |
|
|
10/01/23 |
|
54,155 |
|
|
|
19,809 |
|
|
|
5.500 |
|
|
10/01/25 |
|
22,145 |
|
|
|
9,298 |
|
|
|
7.500 |
|
|
12/01/30 |
|
11,000 |
|
|
|
4,675 |
|
|
|
7.500 |
|
|
01/01/31 |
|
5,526 |
|
|
|
8,371 |
|
|
|
5.000 |
|
|
10/01/33 |
|
9,560 |
|
|
|
1,738 |
|
|
|
5.000 |
|
|
04/01/35 |
|
1,985 |
|
|
|
12,342 |
|
|
|
5.000 |
|
|
07/01/35 |
|
14,124 |
|
|
|
71,338 |
|
|
|
5.000 |
|
|
12/01/35 |
|
82,032 |
|
|
|
153,121 |
|
|
|
5.000 |
|
|
01/01/38 |
|
174,959 |
|
|
|
345,606 |
|
|
|
5.000 |
|
|
01/01/39 |
|
394,911 |
|
|
|
106,817 |
|
|
|
5.000 |
|
|
06/01/39 |
|
121,643 |
|
|
|
15,052 |
|
|
|
4.000 |
|
|
06/01/40 |
|
16,600 |
|
|
|
8,346 |
|
|
|
5.000 |
|
|
08/01/40 |
|
9,623 |
|
|
|
2,425 |
|
|
|
4.500 |
|
|
11/01/40 |
|
2,711 |
|
|
|
120,937 |
|
|
|
4.000 |
|
|
02/01/41 |
|
133,419 |
|
|
|
2,238 |
|
|
|
5.000 |
|
|
04/01/41 |
|
2,579 |
|
|
|
7,097 |
|
|
|
5.000 |
|
|
06/01/41 |
|
8,174 |
|
|
|
7,909 |
|
|
|
4.000 |
|
|
11/01/41 |
|
8,771 |
|
|
|
2,530,190 |
|
|
|
4.000 |
|
|
03/01/48 |
|
2,718,568 |
|
|
|
2,673,713 |
|
|
|
4.000 |
|
|
04/01/48 |
|
2,851,748 |
|
|
|
2,331,993 |
|
|
|
4.500 |
|
|
08/01/48 |
|
2,607,106 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,267,792 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
FNMA 0.0% |
$ |
|
|
15,005 |
|
|
|
8.000 |
% |
|
02/01/31 |
|
$ 17,605 |
|
|
|
14,446 |
|
|
|
7.000 |
|
|
03/01/31 |
|
15,711 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33,316 |
|
GNMA 17.6% |
|
|
|
6,061 |
|
|
|
6.000 |
|
|
11/15/38 |
|
7,189 |
|
|
|
40,819 |
|
|
|
5.000 |
|
|
07/15/40 |
|
43,191 |
|
|
|
76,506 |
|
|
|
5.000 |
|
|
01/15/41 |
|
83,620 |
|
|
|
5,061 |
|
|
|
4.000 |
|
|
02/20/41 |
|
5,598 |
|
|
|
7,901 |
|
|
|
4.000 |
|
|
11/20/41 |
|
8,730 |
|
|
|
1,314 |
|
|
|
4.000 |
|
|
01/20/42 |
|
1,452 |
|
|
|
4,209 |
|
|
|
4.000 |
|
|
04/20/42 |
|
4,651 |
|
|
|
2,576 |
|
|
|
4.000 |
|
|
10/20/42 |
|
2,839 |
|
|
|
42,873 |
|
|
|
4.000 |
|
|
08/20/43 |
|
47,184 |
|
|
|
4,242 |
|
|
|
4.000 |
|
|
03/20/44 |
|
4,669 |
|
|
|
5,134 |
|
|
|
4.000 |
|
|
05/20/44 |
|
5,640 |
|
|
|
357,125 |
|
|
|
4.000 |
|
|
11/20/44 |
|
392,366 |
|
|
|
23,470 |
|
|
|
4.000 |
|
|
05/20/45 |
|
25,742 |
|
|
|
3,366,267 |
|
|
|
4.000 |
|
|
07/20/45 |
|
3,692,143 |
|
|
|
55,654 |
|
|
|
4.000 |
|
|
10/20/45 |
|
60,938 |
|
|
|
1,601,144 |
|
|
|
3.500 |
|
|
04/20/47 |
|
1,720,924 |
|
|
|
377,647 |
|
|
|
4.500 |
|
|
02/20/48 |
|
410,809 |
|
|
|
1,030,430 |
|
|
|
4.500 |
|
|
04/20/48 |
|
1,118,659 |
|
|
|
2,814,757 |
|
|
|
4.500 |
|
|
05/20/48 |
|
3,046,089 |
|
|
|
4,433,936 |
|
|
|
4.500 |
|
|
08/20/48 |
|
4,791,413 |
|
|
|
2,551,209 |
|
|
|
5.000 |
|
|
08/20/48 |
|
2,796,807 |
|
|
|
18,212,126 |
|
|
|
4.500 |
|
|
09/20/48 |
|
19,680,442 |
|
|
|
1,095,010 |
|
|
|
5.000 |
|
|
09/20/48 |
|
1,200,424 |
|
|
|
3,353,905 |
|
|
|
5.000 |
|
|
10/20/48 |
|
3,675,728 |
|
|
|
11,120,715 |
|
|
|
5.000 |
|
|
11/20/48 |
|
12,170,426 |
|
|
|
6,184,893 |
|
|
|
5.000 |
|
|
12/20/48 |
|
6,768,700 |
|
|
|
6,630,639 |
|
|
|
4.500 |
|
|
01/20/49 |
|
7,156,415 |
|
|
|
10,434,850 |
|
|
|
5.000 |
|
|
01/20/49 |
|
11,409,223 |
|
|
|
6,951,057 |
|
|
|
4.000 |
|
|
02/20/49 |
|
7,442,040 |
|
|
|
6,147,438 |
|
|
|
4.000 |
|
|
03/20/49 |
|
6,579,736 |
|
|
|
1,841,262 |
|
|
|
4.500 |
|
|
03/20/49 |
|
1,986,689 |
|
|
|
3,435,226 |
|
|
|
5.000 |
|
|
03/20/49 |
|
3,752,239 |
|
|
|
5,115,058 |
|
|
|
4.000 |
|
|
05/20/49 |
|
5,469,963 |
|
|
|
4,642,367 |
|
|
|
4.500 |
|
|
10/20/49 |
|
4,999,636 |
|
|
|
12,011,794 |
|
|
|
4.500 |
|
|
12/20/49 |
|
12,877,394 |
|
|
|
15,563,877 |
|
|
|
4.500 |
|
|
03/20/50 |
|
16,658,181 |
|
|
|
162,000,000 |
|
|
|
2.000 |
|
|
TBA-30yr(f) |
|
169,404,459 |
|
|
|
19,000,000 |
|
|
|
2.500 |
|
|
TBA-30yr(f) |
|
20,102,821 |
|
|
|
2,000,000 |
|
|
|
3.500 |
|
|
TBA-30yr(f) |
|
2,119,408 |
|
|
|
32,000,000 |
|
|
|
3.000 |
|
|
TBA-30yr(f) |
|
33,459,024 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
365,183,601 |
|
UMBS 6.5% |
|
|
|
5,884 |
|
|
|
5.000 |
|
|
04/01/23 |
|
6,488 |
|
|
|
10,727 |
|
|
|
5.000 |
|
|
05/01/23 |
|
11,829 |
|
|
|
25,828 |
|
|
|
5.000 |
|
|
07/01/23 |
|
28,504 |
|
|
|
12,802 |
|
|
|
5.500 |
|
|
09/01/23 |
|
13,257 |
|
|
|
4,354 |
|
|
|
5.500 |
|
|
10/01/23 |
|
4,509 |
|
|
|
18,077 |
|
|
|
5.000 |
|
|
04/01/24 |
|
19,959 |
|
|
|
13,359 |
|
|
|
5.000 |
|
|
07/01/24 |
|
14,763 |
|
|
|
14,768 |
|
|
|
5.000 |
|
|
12/01/24 |
|
16,320 |
|
|
|
21,860 |
|
|
|
7.000 |
|
|
08/01/27 |
|
24,482 |
|
|
|
885 |
|
|
|
6.500 |
|
|
09/01/27 |
|
983 |
|
|
|
49,789 |
|
|
|
7.000 |
|
|
03/01/28 |
|
56,179 |
|
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
UMBS (continued) |
$ |
|
|
18,965 |
|
|
|
5.000 |
% |
|
04/01/28 |
|
$ 21,112 |
|
|
|
1,418 |
|
|
|
6.500 |
|
|
05/01/28 |
|
1,597 |
|
|
|
26,416 |
|
|
|
5.000 |
|
|
02/01/32 |
|
29,406 |
|
|
|
13,094 |
|
|
|
4.500 |
|
|
04/01/39 |
|
14,711 |
|
|
|
6,912 |
|
|
|
4.500 |
|
|
05/01/39 |
|
7,742 |
|
|
|
6,603 |
|
|
|
4.500 |
|
|
07/01/39 |
|
7,417 |
|
|
|
28,984 |
|
|
|
4.500 |
|
|
08/01/39 |
|
32,527 |
|
|
|
255,584 |
|
|
|
4.500 |
|
|
12/01/39 |
|
286,771 |
|
|
|
627,289 |
|
|
|
4.500 |
|
|
05/01/41 |
|
701,166 |
|
|
|
72,709 |
|
|
|
4.500 |
|
|
08/01/41 |
|
81,267 |
|
|
|
23,816 |
|
|
|
3.000 |
|
|
11/01/42 |
|
26,092 |
|
|
|
474,234 |
|
|
|
3.000 |
|
|
12/01/42 |
|
514,719 |
|
|
|
675,778 |
|
|
|
3.000 |
|
|
01/01/43 |
|
740,621 |
|
|
|
98,240 |
|
|
|
3.000 |
|
|
02/01/43 |
|
107,752 |
|
|
|
712,483 |
|
|
|
3.000 |
|
|
03/01/43 |
|
781,471 |
|
|
|
1,235,024 |
|
|
|
3.000 |
|
|
04/01/43 |
|
1,354,607 |
|
|
|
849,667 |
|
|
|
3.000 |
|
|
05/01/43 |
|
931,937 |
|
|
|
90,178 |
|
|
|
3.000 |
|
|
06/01/43 |
|
98,909 |
|
|
|
719,581 |
|
|
|
3.000 |
|
|
07/01/43 |
|
789,929 |
|
|
|
659,603 |
|
|
|
5.000 |
|
|
05/01/44 |
|
750,703 |
|
|
|
2,531,191 |
|
|
|
4.500 |
|
|
04/01/45 |
|
2,890,006 |
|
|
|
290,027 |
|
|
|
4.500 |
|
|
05/01/45 |
|
331,322 |
|
|
|
930,370 |
|
|
|
4.500 |
|
|
06/01/45 |
|
1,038,363 |
|
|
|
128,923 |
|
|
|
4.000 |
|
|
03/01/46 |
|
140,286 |
|
|
|
81,761 |
|
|
|
4.000 |
|
|
06/01/46 |
|
88,843 |
|
|
|
22,368 |
|
|
|
4.000 |
|
|
08/01/46 |
|
24,306 |
|
|
|
141,697 |
|
|
|
4.000 |
|
|
10/01/46 |
|
153,972 |
|
|
|
288,681 |
|
|
|
4.000 |
|
|
06/01/47 |
|
316,429 |
|
|
|
3,618,052 |
|
|
|
4.500 |
|
|
07/01/47 |
|
3,983,954 |
|
|
|
863,284 |
|
|
|
4.500 |
|
|
11/01/47 |
|
952,748 |
|
|
|
398,509 |
|
|
|
4.000 |
|
|
12/01/47 |
|
438,308 |
|
|
|
1,593,842 |
|
|
|
4.000 |
|
|
01/01/48 |
|
1,751,525 |
|
|
|
4,185,949 |
|
|
|
4.000 |
|
|
02/01/48 |
|
4,584,268 |
|
|
|
3,162,721 |
|
|
|
4.000 |
|
|
03/01/48 |
|
3,460,564 |
|
|
|
202,251 |
|
|
|
5.000 |
|
|
04/01/48 |
|
224,009 |
|
|
|
2,440,819 |
|
|
|
4.000 |
|
|
06/01/48 |
|
2,679,246 |
|
|
|
2,876,017 |
|
|
|
4.000 |
|
|
07/01/48 |
|
3,146,182 |
|
|
|
4,043,876 |
|
|
|
4.000 |
|
|
08/01/48 |
|
4,414,883 |
|
|
|
1,200,519 |
|
|
|
4.500 |
|
|
09/01/48 |
|
1,341,814 |
|
|
|
7,280,185 |
|
|
|
5.000 |
|
|
11/01/48 |
|
8,298,912 |
|
|
|
604,539 |
|
|
|
5.000 |
|
|
12/01/48 |
|
669,686 |
|
|
|
18,741,179 |
|
|
|
4.500 |
|
|
01/01/49 |
|
20,290,975 |
|
|
|
825,705 |
|
|
|
5.000 |
|
|
04/01/49 |
|
916,505 |
|
|
|
278,076 |
|
|
|
4.500 |
|
|
07/01/49 |
|
303,331 |
|
|
|
11,000,000 |
|
|
|
3.000 |
|
|
09/01/49 |
|
11,872,586 |
|
|
|
2,000,000 |
|
|
|
3.000 |
|
|
10/01/49 |
|
2,158,652 |
|
|
|
21,127,137 |
|
|
|
5.000 |
|
|
10/01/49 |
|
23,403,874 |
|
|
|
7,862,027 |
|
|
|
3.000 |
|
|
07/01/50 |
|
8,305,105 |
|
|
|
3,977,267 |
|
|
|
3.000 |
|
|
08/01/50 |
|
4,201,771 |
|
|
|
13,000,000 |
|
|
|
3.000 |
|
|
12/01/50 |
|
14,014,988 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
133,875,142 |
|
UMBS, 30 Year, Single Family(f)
7.8% |
|
|
|
39,000,000 |
|
|
|
3.500 |
|
|
TBA-30yr |
|
41,230,324 |
|
|
|
43,000,000 |
|
|
|
2.000 |
|
|
TBA-30yr |
|
44,699,644 |
|
|
|
22,000,000 |
|
|
|
3.000 |
|
|
TBA-30yr |
|
23,049,279 |
|
|
|
40,000,000 |
|
|
|
4.500 |
|
|
TBA-30yr |
|
43,350,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
UMBS, 30 Year, Single Family(f)
(continued) |
$ |
|
|
8,000,000 |
|
|
|
5.000 |
% |
|
TBA-30yr |
|
$ 8,852,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
161,181,747 |
|
TOTAL FEDERAL AGENCIES |
|
$ 671,544,910 |
|
TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $686,288,027) |
|
$ 696,821,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency Debentures 3.5% |
FHLB |
$ |
|
|
6,800,000 |
|
|
|
2.125 |
% |
|
06/09/23 |
|
$ 7,122,728 |
|
|
|
3,500,000 |
|
|
|
3.375 |
|
|
09/08/23 |
|
3,794,490 |
|
|
|
750,000 |
|
|
|
3.375 |
|
|
12/08/23 |
|
819,203 |
|
|
|
2,400,000 |
|
|
|
5.000 |
|
|
09/28/29 |
|
3,196,872 |
FHLMC |
|
|
|
31,620,000 |
|
|
|
0.375 |
|
|
09/23/25 |
|
31,565,297 |
FNMA |
|
|
|
3,700,000 |
|
|
|
1.875 |
|
|
09/24/26 |
|
3,999,404 |
|
|
|
4,200,000 |
|
|
|
6.250 |
|
|
05/15/29 |
|
5,983,404 |
Israel Government AID
Bond(g) |
|
|
|
1,200,000 |
|
|
|
5.500 |
|
|
12/04/23 |
|
1,381,116 |
|
|
|
2,400,000 |
|
|
|
5.500 |
|
|
04/26/24 |
|
2,808,960 |
|
|
|
4,700,000 |
|
|
|
5.500 |
|
|
09/18/33 |
|
6,906,321 |
Tennessee Valley Authority |
|
|
|
5,400,000 |
|
|
|
3.875 |
|
|
02/15/21 |
|
5,423,058 |
|
TOTAL AGENCY DEBENTURES (Cost $68,401,551) |
|
$ 73,000,853 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal Debt Obligations 1.2% |
California 0.3% |
California State GO Bonds Build America Taxable Series 2009(a) |
$ |
|
|
950,000 |
|
|
|
7.500 |
% |
|
04/01/34 |
|
$ 1,583,327 |
|
|
|
1,650,000 |
|
|
|
7.550 |
|
|
04/01/39 |
|
2,897,070 |
Fresno Unified School District GO Bonds Taxable Refunding Series 2020 |
|
|
|
355,000 |
|
|
|
1.162 |
|
|
08/01/26 |
|
357,098 |
Los Angeles Municipal Improvement Corp.RB Taxable Refunding Series C(a) |
|
|
|
245,000 |
|
|
|
1.831 |
|
|
11/01/29 |
|
246,083 |
Port Of Oakland RB Taxable Refunding Series R(a) |
|
|
|
55,000 |
|
|
|
2.099 |
|
|
05/01/30 |
|
56,135 |
|
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Municipal Debt Obligations (continued) |
California (continued) |
San Jose Financing Authority Lease RB Taxable Refunding Series A(a) |
$ |
|
|
345,000 |
|
|
|
1.812 |
% |
|
06/01/29 |
|
$ 346,404 |
|
|
|
195,000 |
|
|
|
1.862 |
|
|
06/01/30 |
|
194,807 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,680,924 |
|
Florida(a)
0.1% |
Florida State Board of Administration Finance Corp. RB Taxable Series
A |
|
|
|
1,640,000 |
|
|
|
2.154 |
|
|
07/01/30 |
|
1,725,641 |
|
Illinois 0.1% |
Illinois State GO Bonds Build America Series 2010(a) |
|
|
|
160,000 |
|
|
|
6.630 |
|
|
02/01/35 |
|
183,304 |
|
|
|
1,595,000 |
|
|
|
7.350 |
|
|
07/01/35 |
|
1,901,654 |
Illinois State GO Bonds Taxable-Pension Series 2003 |
|
|
|
1,170,000 |
|
|
|
5.100 |
|
|
06/01/33 |
|
1,259,166 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,344,124 |
|
New York 0.6% |
City of New York GO Bonds Taxable Refunding Series D(a) |
|
|
|
2,005,000 |
|
|
|
0.982 |
|
|
08/01/25 |
|
2,015,205 |
|
|
|
2,365,000 |
|
|
|
1.396 |
|
|
08/01/27 |
|
2,388,366 |
City of New York Transitional Finance Authority RB Taxable Series D-2(a) |
|
|
|
490,000 |
|
|
|
1.920 |
|
|
11/01/29 |
|
503,402 |
New York State Metropolitan Transportation Authority RB Refunding Subseries 2002
G-1B(a) |
|
|
|
2,670,000 |
|
|
|
5.175 |
|
|
11/15/49 |
|
3,128,626 |
New York State Urban Development Corp. RB Taxable Refunding Series F(a) |
|
|
|
490,000 |
|
|
|
1.000 |
|
|
03/15/26 |
|
491,524 |
Port Authority of New York & New Jersey RB Consolidated Bonds AAA - Series
2020 |
|
|
|
3,320,000 |
|
|
|
1.086 |
|
|
07/01/23 |
|
3,369,468 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,896,591 |
|
Ohio(a) 0.1% |
American Municipal Power-Ohio, Inc. RB Build America Taxable Series
2010 |
|
|
|
1,700,000 |
|
|
|
6.270 |
|
|
02/15/50 |
|
2,413,813 |
|
TOTAL MUNICIPAL DEBT OBLIGATIONS (Cost $21,743,843) |
|
$ 25,061,093 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
U.S. Treasury Obligations 23.9% |
United States Treasury Bonds |
$ |
|
|
6,530,000 |
|
|
|
4.250 |
%(h) |
|
05/15/39 |
|
$ 9,679,705 |
|
|
|
13,000,000 |
|
|
|
3.750 |
|
|
11/15/43 |
|
18,697,656 |
|
|
|
210,000 |
|
|
|
3.375 |
(h) |
|
05/15/44 |
|
286,978 |
|
|
|
15,240,000 |
|
|
|
2.875 |
|
|
11/15/46 |
|
19,461,956 |
|
|
|
1,820,000 |
|
|
|
3.375 |
|
|
11/15/48 |
|
2,554,825 |
|
|
|
74,830,000 |
|
|
|
2.375 |
|
|
11/15/49 |
|
87,866,789 |
|
|
|
1,570,000 |
|
|
|
2.000 |
(h) |
|
02/15/50 |
|
1,704,431 |
|
|
|
10,840,000 |
|
|
|
1.625 |
|
|
11/15/50 |
|
10,784,106 |
United States Treasury Inflation Indexed Notes(h) |
|
|
|
441,593 |
|
|
|
0.125 |
|
|
07/15/22 |
|
455,382 |
United States Treasury Notes |
|
|
|
10,780,000 |
|
|
|
2.375 |
|
|
03/15/22 |
|
11,070,134 |
|
|
|
135,850,000 |
|
|
|
0.125 |
|
|
08/31/22 |
|
135,850,000 |
|
|
|
19,650,000 |
|
|
|
2.625 |
|
|
02/28/23 |
|
20,700,047 |
|
|
|
2,630,000 |
|
|
|
2.000 |
(h) |
|
04/30/24 |
|
2,787,389 |
|
|
|
2,680,000 |
|
|
|
2.625 |
(h) |
|
03/31/25 |
|
2,944,441 |
|
|
|
22,870,000 |
|
|
|
0.250 |
|
|
12/31/25 |
|
22,884,294 |
|
|
|
39,030,000 |
|
|
|
1.625 |
(h) |
|
09/30/26 |
|
41,597,442 |
|
|
|
6,910,000 |
|
|
|
1.125 |
|
|
02/28/27 |
|
7,162,647 |
|
|
|
71,200,000 |
|
|
|
0.625 |
|
|
11/30/27 |
|
71,155,500 |
|
|
|
22,570,000 |
|
|
|
0.625 |
|
|
12/31/27 |
|
22,534,734 |
|
|
|
5,560,000 |
|
|
|
3.125 |
(h) |
|
11/15/28 |
|
6,579,913 |
|
TOTAL U.S. TREASURY OBLIGATIONS (Cost $494,069,105) |
|
$ 496,758,369 |
|
|
|
|
Shares |
|
|
Dividend Rate |
|
Value |
|
Investment Company(i)
17.8% |
Goldman Sachs Financial Square Government Fund Institutional
Shares |
368,202,603 |
|
|
|
0.026% |
|
$ 368,202,603 |
(Cost $368,202,603) |
|
TOTAL INVESTMENTS 128.6% (Cost $2,576,135,952) |
|
$2,668,319,804 |
|
LIABILITIES IN EXCESS OF
OTHER ASSETS (28.6)% |
|
(593,177,807) |
|
NET ASSETS 100.0% |
|
$2,075,141,997 |
|
|
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
(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 December 31,
2020. |
|
|
(c) |
|
Exempt from registration under Rule 144A of the Securities Act of 1933. |
|
|
(d) |
|
Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on December 31, 2020. |
|
|
(e) |
|
Actual maturity date is April 03, 2120. |
|
|
(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 $386,267,459 which represents approximately 18.6% of the Funds net assets as of December 31, 2020. |
|
|
(g) |
|
Guaranteed by the United States Government until maturity. Total market value for these securities amounts to $11,096,397, which represents approximately 0.5% of the Funds net assets as of December 31, 2020. |
|
|
(h) |
|
A portion of this 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 |
|
Investment Abbreviations: |
AUDOR |
|
Australian Dollar Offered Rate |
CDO |
|
Collateralized Debt Obligation |
CDOR |
|
Canadian Dollar Offered Rate |
CHFOR |
|
Swiss Franc Offered Rate |
CLO |
|
Collateralized Loan Obligation |
CMT |
|
Constant Maturity Treasury Indexes |
CPI |
|
Consumer Price Index |
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 |
NIBOR |
|
Norwegian Interbank Offered Rate |
NZDOR |
|
New Zealand Dollar Offered Rate |
PLC |
|
Public Limited Company |
RB |
|
Revenue Bond |
REMIC |
|
Real Estate Mortgage Investment Conduit |
SOFR |
|
Secured Overnight Funding Rate |
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)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS At December 31, 2020, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Currency Purchased |
|
|
Currency Sold |
|
|
Settlement Date |
|
|
Unrealized Gain |
|
|
|
Citibank NA |
|
|
EUR |
|
|
|
14,430,844 |
|
|
|
USD |
|
|
|
17,519,694 |
|
|
|
03/17/21 |
|
|
$ |
140,814 |
|
JPMorgan Securities, Inc. |
|
|
JPY |
|
|
|
1,059,494,050 |
|
|
|
USD |
|
|
|
10,194,059 |
|
|
|
03/17/21 |
|
|
|
76,129 |
|
MS & Co. Int. PLC |
|
|
CAD |
|
|
|
601,592 |
|
|
|
USD |
|
|
|
470,809 |
|
|
|
03/17/21 |
|
|
|
1,907 |
|
|
|
TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
218,850 |
|
|
|
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Currency Purchased |
|
|
Currency Sold |
|
|
Settlement Date |
|
|
Unrealized Loss |
|
|
|
Barclays Bank PLC |
|
|
USD |
|
|
|
188,312 |
|
|
|
AUD |
|
|
|
251,908 |
|
|
|
03/17/21 |
|
|
$ |
(6,019 |
) |
Citibank NA |
|
|
USD |
|
|
|
8,613,017 |
|
|
|
NOK |
|
|
|
75,093,560 |
|
|
|
03/17/21 |
|
|
|
(142,572 |
) |
|
|
|
USD |
|
|
|
9,517,322 |
|
|
|
SEK |
|
|
|
80,399,478 |
|
|
|
03/17/21 |
|
|
|
(262,876 |
) |
JPMorgan Securities, Inc. |
|
|
USD |
|
|
|
4,329,494 |
|
|
|
EUR |
|
|
|
3,577,620 |
|
|
|
01/21/21 |
|
|
|
(43,438 |
) |
MS & Co. Int. PLC |
|
|
USD |
|
|
|
20,551,973 |
|
|
|
JPY |
|
|
|
2,127,910,229 |
|
|
|
03/18/21 |
|
|
|
(75,175 |
) |
State Street Bank (London) |
|
|
USD |
|
|
|
8,948,885 |
|
|
|
CAD |
|
|
|
11,437,212 |
|
|
|
03/17/21 |
|
|
|
(38,190 |
) |
UBS AG (London) |
|
|
USD |
|
|
|
11,933,482 |
|
|
|
GBP |
|
|
|
9,264,349 |
|
|
|
01/13/21 |
|
|
|
(737,073 |
) |
Westpac Banking Corp. |
|
|
USD |
|
|
|
7,356,026 |
|
|
|
AUD |
|
|
|
9,834,812 |
|
|
|
03/17/21 |
|
|
|
(230,947 |
) |
|
|
|
USD |
|
|
|
7,390,701 |
|
|
|
NZD |
|
|
|
10,439,315 |
|
|
|
03/17/21 |
|
|
|
(122,815 |
) |
|
|
TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,659,105 |
) |
|
|
FORWARD SALES CONTRACTS At December 31, 2020, the Fund had the following forward sales contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Interest Rate |
|
Maturity Date(a) |
|
Settlement Date |
|
|
Principal Amount |
|
|
Value |
|
|
|
GNMA |
|
4.000% |
|
TBA-30yr |
|
|
01/21/21 |
|
|
$ |
(10,000,000 |
) |
|
$ |
(10,660,156 |
) |
UMBS, 30 Year, Single Family |
|
4.000 |
|
TBA-30yr |
|
|
01/14/21 |
|
|
|
(2,000,000 |
) |
|
|
(2,135,781 |
) |
|
|
TOTAL (Proceeds Receivable: $12,775,547) |
|
|
$ |
(12,795,937 |
) |
|
|
(a) |
|
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. |
FUTURES CONTRACTS At December 31, 2020, the Fund had the following futures
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Notional Amount |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
Long position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20 Year U.S. Treasury Bonds |
|
|
986 |
|
|
|
03/22/21 |
|
|
$ |
170,762,875 |
|
|
$ |
(630,946 |
) |
|
|
Short position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Japan 10 Year Government Bonds |
|
|
(13) |
|
|
|
03/15/21 |
|
|
|
(1,974,960,000 |
) |
|
|
15,059 |
|
Ultra Long U.S. Treasury Bonds |
|
|
(128) |
|
|
|
03/22/21 |
|
|
|
(27,336,000 |
) |
|
|
(4,135 |
) |
Ultra 10 Year U.S. Treasury Notes |
|
|
(692) |
|
|
|
03/22/21 |
|
|
|
(108,200,688 |
) |
|
|
258,581 |
|
5 Year U.S. Treasury Notes |
|
|
(223) |
|
|
|
03/31/21 |
|
|
|
(28,134,586 |
) |
|
|
(5,287 |
) |
|
|
Total |
|
|
$ |
264,218 |
|
|
|
TOTAL FUTURES CONTRACTS |
|
|
$ |
(366,728 |
) |
|
|
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
SWAP CONTRACTS At December 31, 2020, 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) |
|
6M CDOR(a) |
|
0.700(a) |
|
|
11/18/23 |
|
|
CAD |
39,960 |
(b) |
|
$35,462 |
|
$ |
804 |
|
|
$ |
34,658 |
|
6M CDOR(a) |
|
0.750(a) |
|
|
03/17/24 |
|
|
|
26,990 |
(b) |
|
75,539 |
|
|
33,504 |
|
|
|
42,035 |
|
0.250(a) |
|
3M LIBOR(c) |
|
|
03/17/24 |
|
|
$ |
24,500 |
(b) |
|
5,961 |
|
|
32,521 |
|
|
|
(26,560 |
) |
0.000(a) |
|
3M LIBOR(c) |
|
|
07/25/24 |
|
|
|
38,780 |
|
|
(13,019) |
|
|
13,033 |
|
|
|
(26,052 |
) |
6M CDOR(a) |
|
0.810(a) |
|
|
09/30/24 |
|
|
CAD |
36,660 |
(b) |
|
(19,026) |
|
|
3,295 |
|
|
|
(22,321 |
) |
6M CDOR(a) |
|
0.960(a) |
|
|
11/09/24 |
|
|
|
96,020 |
(b) |
|
134,816 |
|
|
36,586 |
|
|
|
98,230 |
|
0.000(c) |
|
3M LIBOR(c) |
|
|
11/10/24 |
|
|
$ |
23,010 |
|
|
(19,924) |
|
|
22 |
|
|
|
(19,946 |
) |
6M CDOR(a) |
|
0.812(a) |
|
|
11/17/24 |
|
|
CAD |
46,790 |
(b) |
|
54,906 |
|
|
(15,582 |
) |
|
|
70,488 |
|
0.400(a) |
|
3M LIBOR(c) |
|
|
11/17/24 |
|
|
$ |
37,780 |
(b) |
|
(57,248) |
|
|
13,662 |
|
|
|
(70,910 |
) |
6M AUDOR(a) |
|
0.553(a) |
|
|
05/16/25 |
|
|
AUD |
6,650 |
(b) |
|
20,805 |
|
|
(405,665 |
) |
|
|
426,470 |
|
(0.500)(d) |
|
6M EURO(d) |
|
|
05/18/25 |
|
|
EUR |
8,480 |
(b) |
|
(27,478) |
|
|
(23,451 |
) |
|
|
(4,027 |
) |
6M AUDOR(a) |
|
0.500(a) |
|
|
11/25/25 |
|
|
AUD |
39,110 |
(b) |
|
(46,835) |
|
|
(32,578 |
) |
|
|
(14,257 |
) |
3M STIBOR(c) |
|
0.000(d) |
|
|
03/17/26 |
|
|
SEK |
182,580 |
(b) |
|
(168,085) |
|
|
(108,163 |
) |
|
|
(59,922 |
) |
3M NIBOR(a) |
|
0.750(d) |
|
|
03/17/26 |
|
|
NOK |
58,020 |
(b) |
|
(77,279) |
|
|
(44,927 |
) |
|
|
(32,352 |
) |
0.500(a) |
|
3M LIBOR(c) |
|
|
03/17/26 |
|
|
$ |
300 |
(b) |
|
(595) |
|
|
(259 |
) |
|
|
(336 |
) |
(0.500)(d) |
|
6M EURO(d) |
|
|
03/17/26 |
|
|
EUR |
27,640 |
(b) |
|
(128,842) |
|
|
(190,032 |
) |
|
|
61,190 |
|
6M CHFOR(a) |
|
(0.500)(d) |
|
|
03/17/28 |
|
|
CHF |
10,460 |
(b) |
|
(63,557) |
|
|
(46,707 |
) |
|
|
(16,850 |
) |
(0.500)(d) |
|
6M EURO(d) |
|
|
03/17/28 |
|
|
EUR |
10,920 |
(b) |
|
(12,376) |
|
|
(44,870 |
) |
|
|
32,494 |
|
6M AUDOR(a) |
|
0.920(a) |
|
|
09/04/28 |
|
|
AUD |
45,740 |
(b) |
|
(222,049) |
|
|
(84,406 |
) |
|
|
(137,643 |
) |
3M NZDOR(c) |
|
1.750(a) |
|
|
03/19/30 |
|
|
NZD |
2,950 |
(b) |
|
42,425 |
|
|
47,865 |
|
|
|
(5,440 |
) |
6M AUDOR(a) |
|
1.750(a) |
|
|
03/19/30 |
|
|
AUD |
5,120 |
(b) |
|
58,084 |
|
|
50,115 |
|
|
|
7,969 |
|
0.250(a) |
|
6M JYOR(a) |
|
|
03/19/30 |
|
|
JPY |
182,370 |
(b) |
|
(14,398) |
|
|
(12,381 |
) |
|
|
(2,017 |
) |
6M EURO(a) |
|
0.050(d) |
|
|
05/21/30 |
|
|
EUR |
17,670 |
(b) |
|
210,191 |
|
|
49,395 |
|
|
|
160,796 |
|
3M LIBOR(c) |
|
1.750(a) |
|
|
06/18/30 |
|
|
$ |
8,010 |
(b) |
|
153,946 |
|
|
197,117 |
|
|
|
(43,171 |
) |
0.750(d) |
|
3M STIBOR(c) |
|
|
06/18/30 |
|
|
SEK |
15,230 |
(b) |
|
(14,767) |
|
|
(20,497 |
) |
|
|
5,730 |
|
0.250(d) |
|
6M EURO(a) |
|
|
06/18/30 |
|
|
EUR |
21,250 |
(b) |
|
(512,439) |
|
|
(1,508,794 |
) |
|
|
996,355 |
|
1.000(a) |
|
6M GBP(a) |
|
|
06/18/30 |
|
|
GBP |
2,820 |
(b) |
|
(84,068) |
|
|
(80,356 |
) |
|
|
(3,712 |
) |
(0.100)(d) |
|
6M CHFOR(a) |
|
|
09/17/30 |
|
|
CHF |
3,140 |
(b) |
|
10,749 |
|
|
(2,378 |
) |
|
|
13,127 |
|
6M AUDOR(a) |
|
1.240(a) |
|
|
10/28/30 |
|
|
AUD |
15,040 |
(b) |
|
(184,832) |
|
|
(160,823 |
) |
|
|
(24,009 |
) |
1.240(d) |
|
3M NIBOR(a) |
|
|
10/29/30 |
|
|
NOK |
127,270 |
(b) |
|
262,969 |
|
|
(241,503 |
) |
|
|
504,472 |
|
6M AUDOR(a) |
|
1.250(a) |
|
|
11/09/30 |
|
|
AUD |
19,730 |
(b) |
|
(240,531) |
|
|
(261,524 |
) |
|
|
20,993 |
|
1.430(a) |
|
6M CDOR(a) |
|
|
11/09/30 |
|
|
CAD |
19,350 |
(b) |
|
(80,656) |
|
|
(19,678 |
) |
|
|
(60,978 |
) |
1.190(a) |
|
3M LIBOR(c) |
|
|
11/10/30 |
|
|
$ |
14,010 |
(b) |
|
152,061 |
|
|
100,796 |
|
|
|
51,265 |
|
0.144(a) |
|
6M JYOR(a) |
|
|
11/13/30 |
|
|
JPY |
2,855,910 |
(b) |
|
(31,774) |
|
|
(114,609 |
) |
|
|
82,835 |
|
3M LIBOR(c) |
|
1.245(a) |
|
|
11/24/30 |
|
|
$ |
19,480 |
(b) |
|
(165,077) |
|
|
(37,060 |
) |
|
|
(128,017 |
) |
6M EURO(a) |
|
0.000(d) |
|
|
03/17/31 |
|
|
EUR |
2,460 |
(b) |
|
78,388 |
|
|
73,189 |
|
|
|
5,199 |
|
3M LIBOR(c) |
|
0.750(a) |
|
|
03/17/31 |
|
|
$ |
300 |
(b) |
|
(5,930) |
|
|
(6,021 |
) |
|
|
91 |
|
3M NIBOR(a) |
|
1.000(d) |
|
|
03/18/31 |
|
|
NOK |
41,680 |
(b) |
|
(143,707) |
|
|
(194,187 |
) |
|
|
50,480 |
|
6M CDOR(a) |
|
1.500(a) |
|
|
03/19/31 |
|
|
CAD |
7,520 |
(b) |
|
(40,671) |
|
|
(74,279 |
) |
|
|
33,608 |
|
1.543(a) |
|
3M LIBOR(c) |
|
|
11/25/35 |
|
|
$ |
21,440 |
(b) |
|
215,438 |
|
|
27,321 |
|
|
|
188,117 |
|
0.260(d) |
|
6M EURO(a) |
|
|
05/21/40 |
|
|
EUR |
8,450 |
(b) |
|
5,279 |
|
|
(61,176 |
) |
|
|
66,455 |
|
3M LIBOR(c) |
|
1.750(a) |
|
|
06/19/40 |
|
|
$ |
4,400 |
(b) |
|
(4,110) |
|
|
15,232 |
|
|
|
(19,342 |
) |
0.750(d) |
|
6M EURO(a) |
|
|
06/19/40 |
|
|
EUR |
4,640 |
(b) |
|
(283,853) |
|
|
(529,623 |
) |
|
|
245,770 |
|
0.500(a) |
|
6M JYOR(a) |
|
|
03/19/41 |
|
|
JPY |
101,170 |
(b) |
|
1,203 |
|
|
(1,266 |
) |
|
|
2,469 |
|
3M LIBOR(c) |
|
1.750(a) |
|
|
06/20/50 |
|
|
$ |
8,340 |
(b) |
|
75,172 |
|
|
109,166 |
|
|
|
(33,994 |
) |
0.500(d) |
|
6M EURO(a) |
|
|
06/20/50 |
|
|
EUR |
4,260 |
(b) |
|
(304,069) |
|
|
(378,972 |
) |
|
|
74,903 |
|
0.500(a) |
|
6M JYOR(a) |
|
|
06/20/50 |
|
|
JPY |
116,060 |
(b) |
|
16,344 |
|
|
(1,904 |
) |
|
|
18,248 |
|
0.000(d) |
|
6M EURO(a) |
|
|
03/17/51 |
|
|
EUR |
3,350 |
(b) |
|
(34,290) |
|
|
(29,350 |
) |
|
|
(4,940 |
) |
|
|
TOTAL |
|
|
|
|
|
|
|
|
|
|
|
$(1,391,747) |
|
$ |
(3,929,398 |
) |
|
$ |
2,537,651 |
|
|
|
(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 December 31, 2020. |
(c) |
|
Payments made quarterly. |
(d) |
|
Payments made annually. |
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Obligation/ Index |
|
Financing RatePaid by the Fund(a) |
|
Credit Spread at December 31, 2020(b) |
|
Counterparty |
|
Termination Date |
|
|
Notional Amount (000s) |
|
|
Value |
|
|
Upfront Premiums (Received) Paid |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
Protection Sold: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Markit CMBX Series 11(a) |
|
3.000% |
|
4.368% |
|
Bank of New York Mellon |
|
|
11/18/54 |
|
|
$ |
3,350 |
|
|
$ |
(262,716 |
) |
|
$ |
(522,930 |
) |
|
$ |
260,214 |
|
Markit CMBX Series 8(a) |
|
3.000 |
|
7.961 |
|
Bank of New York Mellon |
|
|
10/17/57 |
|
|
|
2,450 |
|
|
|
(391,717 |
) |
|
|
(672,825 |
) |
|
|
281,108 |
|
Markit CMBX Series 10(a) |
|
3.000 |
|
5.517 |
|
Bank of New York Mellon |
|
|
11/17/59 |
|
|
|
900 |
|
|
|
(110,990 |
) |
|
|
(157,422 |
) |
|
|
46,432 |
|
Markit CMBX Series 11(a) |
|
3.000 |
|
4.368 |
|
JPMorgan Securities, Inc. |
|
|
11/18/54 |
|
|
|
1,100 |
|
|
|
(86,357 |
) |
|
|
(338,699 |
) |
|
|
252,342 |
|
Markit CMBX Series 11(a) |
|
3.000 |
|
4.368 |
|
MS & Co. Int. PLC |
|
|
11/18/54 |
|
|
|
1,100 |
|
|
|
(86,265 |
) |
|
|
(310,922 |
) |
|
|
224,657 |
|
|
|
TOTAL |
|
|
$ |
(938,045 |
) |
|
$ |
(2,002,798 |
) |
|
$ |
1,064,753 |
|
|
|
(a) |
|
Payments made monthly. |
(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 December 31,
2020(b) |
|
Termination Date |
|
Notional Amount
(000s) |
|
Value |
|
|
Upfront Premiums (Received) Paid |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
Protection Sold: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CDX.NA.IG Index 28 |
|
1.000% |
|
0.437% |
|
06/20/22 |
|
$ 33,100 |
|
$ |
286,581 |
|
|
$ |
335,362 |
|
|
$ |
(48,781 |
) |
CDX.NA.IG Index 34 |
|
1.000 |
|
0.418 |
|
06/20/23 |
|
25,375 |
|
|
372,261 |
|
|
|
267,780 |
|
|
|
104,481 |
|
CDX.NA.IG Index 34 |
|
1.000 |
|
0.629 |
|
06/20/25 |
|
130,600 |
|
|
2,170,971 |
|
|
|
1,545,441 |
|
|
|
625,530 |
|
CDX.NA.IG Index 35 |
|
1.000 |
|
0.500 |
|
12/20/25 |
|
57,625 |
|
|
1,429,137 |
|
|
|
1,383,330 |
|
|
|
45,807 |
|
General Electric Co. 2.700%, 10/09/22 |
|
1.000 |
|
0.687 |
|
06/20/24 |
|
2,825 |
|
|
31,498 |
|
|
|
(33,469 |
) |
|
|
64,967 |
|
General Electric Co. 2.700%, 10/09/22 |
|
1.000 |
|
0.770 |
|
12/20/24 |
|
1,225 |
|
|
11,483 |
|
|
|
(15,478 |
) |
|
|
26,961 |
|
Kingdom of Saudi Arabia, 2.375%, 10/26/21 |
|
1.000 |
|
0.501 |
|
12/20/24 |
|
1,080 |
|
|
21,749 |
|
|
|
11,359 |
|
|
|
10,390 |
|
Kingdom of Saudi Arabia, 2.375%, 10/26/21 |
|
1.000 |
|
0.670 |
|
12/20/25 |
|
5,030 |
|
|
83,451 |
|
|
|
28,867 |
|
|
|
54,584 |
|
Prudential Financial, Inc., 3.500%, 05/15/24 |
|
1.000 |
|
0.359 |
|
06/20/24 |
|
2,950 |
|
|
66,770 |
|
|
|
34,512 |
|
|
|
32,258 |
|
Republic of Chile, 3.875%, 08/05/20 |
|
1.000 |
|
0.320 |
|
12/20/24 |
|
1,000 |
|
|
27,423 |
|
|
|
16,804 |
|
|
|
10,619 |
|
Republic of Chile, 3.875%, 08/05/20 |
|
1.000 |
|
0.454 |
|
12/20/25 |
|
5,120 |
|
|
140,143 |
|
|
|
106,486 |
|
|
|
33,657 |
|
Republic of Colombia, 10.375%, 01/28/33 |
|
1.000 |
|
0.554 |
|
06/20/24 |
|
3,580 |
|
|
56,657 |
|
|
|
(11,048 |
) |
|
|
67,705 |
|
Republic of Colombia, 10.375%, 01/28/33 |
|
1.000 |
|
0.882 |
|
12/20/25 |
|
2,450 |
|
|
14,913 |
|
|
|
15,546 |
|
|
|
(633 |
) |
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Referenced
Obligation/Index |
|
Financing Rate Received/(Paid) by the Fun(a) |
|
Credit Spread at December 31,
2020(b) |
|
|
Termination Date |
|
|
Notional Amount
(000s) |
|
Value |
|
|
Upfront Premiums (Received) Paid |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
Protection Sold: (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Republic of Indonesia, 5.875%, 03/13/20 |
|
1.000% |
|
|
0.449% |
|
|
|
06/20/24 |
|
|
$ 2,160 |
|
$ |
42,031 |
|
|
$ |
8,866 |
|
|
$ |
33,165 |
|
Republic of Indonesia, 5.875%, 03/13/20 |
|
1.000 |
|
|
0.693 |
|
|
|
12/20/25 |
|
|
3,850 |
|
|
59,150 |
|
|
|
58,057 |
|
|
|
1,093 |
|
Republic of Peru, 8.750%, 11/21/33 |
|
1.000 |
|
|
0.564 |
|
|
|
12/20/25 |
|
|
6,110 |
|
|
133,512 |
|
|
|
66,534 |
|
|
|
66,978 |
|
Republic of the Philippines, 10.625%, 03/16/25 |
|
1.000 |
|
|
0.358 |
|
|
|
12/20/25 |
|
|
4,530 |
|
|
145,402 |
|
|
|
95,300 |
|
|
|
50,102 |
|
Russian Federation, 7.500%, 03/31/30 |
|
1.000 |
|
|
0.687 |
|
|
|
12/20/24 |
|
|
1,000 |
|
|
12,709 |
|
|
|
3,149 |
|
|
|
9,560 |
|
Russian Federation, 7.500%, 03/31/30 |
|
1.000 |
|
|
0.881 |
|
|
|
12/20/25 |
|
|
5,070 |
|
|
31,207 |
|
|
|
58,817 |
|
|
|
(27,610 |
) |
State of Qatar, 9.750%, 06/15/30 |
|
1.000 |
|
|
0.270 |
|
|
|
12/20/24 |
|
|
170 |
|
|
5,008 |
|
|
|
2,851 |
|
|
|
2,157 |
|
State of Qatar, 9.750%, 06/15/30 |
|
1.000 |
|
|
0.391 |
|
|
|
12/20/25 |
|
|
4,350 |
|
|
132,938 |
|
|
|
96,850 |
|
|
|
36,088 |
|
The Boeing Co., 8.750%, 08/15/21 |
|
1.000 |
|
|
1.073 |
|
|
|
06/20/24 |
|
|
1,225 |
|
|
(2,644 |
) |
|
|
18,444 |
|
|
|
(21,088 |
) |
United Mexican States, 4.150%, 03/28/27 |
|
1.000 |
|
|
0.812 |
|
|
|
12/20/25 |
|
|
6,530 |
|
|
62,379 |
|
|
|
(126,500 |
) |
|
|
188,879 |
|
|
|
TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
5,334,729 |
|
|
$ |
3,967,860 |
|
|
$ |
1,366,869 |
|
|
|
(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. |
PURCHASED AND WRITTEN OPTIONS CONTRACTS At December 31, 2020, 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 |
|
|
Market
Value |
|
|
Premiums Paid (Received) by Portfolio |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
Purchased option contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Calls |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3M IRS |
|
JPMorgan Securities, Inc. |
|
$ |
0.783 |
|
|
|
02/16/2021 |
|
|
|
3,040,000 |
|
|
$ |
3,040,000 |
|
|
$ |
9,031 |
|
|
$ |
15,162 |
|
|
$ |
(6,131 |
) |
3Y IRS |
|
JPMorgan Securities, Inc. |
|
|
0.700 |
|
|
|
11/14/2022 |
|
|
|
13,700,000 |
|
|
|
13,700,000 |
|
|
|
144,583 |
|
|
|
138,664 |
|
|
|
5,919 |
|
6M IRS |
|
JPMorgan Securities, Inc. |
|
|
1.100 |
|
|
|
03/17/2021 |
|
|
|
26,000,000 |
|
|
|
26,000,000 |
|
|
|
52,879 |
|
|
|
312,000 |
|
|
|
(259,121 |
) |
3M IRS |
|
MS & Co. Int. PLC |
|
|
0.610 |
|
|
|
01/15/2021 |
|
|
|
3,620,000 |
|
|
|
3,620,000 |
|
|
|
165 |
|
|
|
19,729 |
|
|
|
(19,564 |
) |
3M IRS |
|
MS & Co. Int. PLC |
|
|
0.825 |
|
|
|
02/12/2021 |
|
|
|
3,530,000 |
|
|
|
3,530,000 |
|
|
|
13,830 |
|
|
|
18,709 |
|
|
|
(4,879 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
49,890,000 |
|
|
|
49,890,000 |
|
|
|
220,488 |
|
|
|
504,264 |
|
|
|
(283,776 |
) |
|
|
Puts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6M IRS |
|
JPMorgan Securities, Inc. |
|
|
0.555 |
|
|
|
06/17/2021 |
|
|
|
29,540,000 |
|
|
$ |
29,540,000 |
|
|
$ |
127,332 |
|
|
$ |
131,934 |
|
|
$ |
(4,602 |
) |
|
|
Total purchased option contracts |
|
|
|
|
|
|
|
79,430,000 |
|
|
|
79,430,000 |
|
|
$ |
347,820 |
|
|
$ |
636,198 |
|
|
$ |
(288,378 |
) |
|
|
Written option contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Calls |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6M IRS |
|
UBS AG (London) |
|
|
0.250 |
|
|
|
01/04/2021 |
|
|
|
(4,670,000) |
|
|
|
(4,670,000 |
) |
|
|
(10,139 |
) |
|
|
(19,358 |
) |
|
|
9,219 |
|
3M IRS |
|
BofA Securities LLC |
|
|
0.293 |
|
|
|
02/16/2021 |
|
|
|
(3,710,000) |
|
|
|
(3,710,000 |
) |
|
|
(12,339 |
) |
|
|
(13,960 |
) |
|
|
1,621 |
|
1M IRS |
|
Citibank NA |
|
|
0.958 |
|
|
|
01/29/2021 |
|
|
|
(5,070,000) |
|
|
|
(5,070,000 |
) |
|
|
(41,096 |
) |
|
|
(34,032 |
) |
|
|
(7,064 |
) |
3M IRS |
|
Citibank NA |
|
|
0.000 |
|
|
|
03/08/2021 |
|
|
|
(1,180,000) |
|
|
|
(1,180,000 |
) |
|
|
(40,277 |
) |
|
|
(39,438 |
) |
|
|
(839 |
) |
GOLDMAN SACHS CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OVER-THE-COUNTER INTEREST RATE SWAPTIONS (continued) |
|
Description |
|
Counterparty |
|
Exercise Rate |
|
|
Expiration Date |
|
|
Number of Contracts |
|
|
Notional Amount |
|
|
Market Value |
|
|
Premiums Paid (Received) by Portfolio |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
Written option contracts (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3M IRS |
|
Citibank NA |
|
$ |
0.261 |
|
|
|
02/12/2021 |
|
|
|
(4,300,000 |
) |
|
$ |
(4,300,000 |
) |
|
$ |
(21,155 |
) |
|
$ |
(17,060 |
) |
|
$ |
(4,095 |
) |
1M IRS |
|
Deutsche Bank AG (London) |
|
|
0.914 |
|
|
|
01/14/2021 |
|
|
|
(5,070,000 |
) |
|
|
(5,070,000 |
) |
|
|
(18,906 |
) |
|
|
(36,124 |
) |
|
|
17,218 |
|
3M IRS |
|
Deutsche Bank AG (London) |
|
|
0.280 |
|
|
|
01/06/2021 |
|
|
|
(26,900,000 |
) |
|
|
(26,900,000 |
) |
|
|
(5 |
) |
|
|
(29,590 |
) |
|
|
29,585 |
|
3M IRS |
|
Deutsche Bank AG (London) |
|
|
0.310 |
|
|
|
01/20/2021 |
|
|
|
(27,000,000 |
) |
|
|
(27,000,000 |
) |
|
|
(4,072 |
) |
|
|
(31,050 |
) |
|
|
26,978 |
|
1M IRS |
|
JPMorgan Securities, Inc. |
|
|
0.242 |
|
|
|
01/11/2021 |
|
|
|
(4,670,000 |
) |
|
|
(4,670,000 |
) |
|
|
(16,517 |
) |
|
|
(20,217 |
) |
|
|
3,700 |
|
3M IRS |
|
JPMorgan Securities, Inc. |
|
|
0.020 |
|
|
|
03/10/2021 |
|
|
|
(1,960,000 |
) |
|
|
(1,960,000 |
) |
|
|
(59,985 |
) |
|
|
(62,573 |
) |
|
|
2,588 |
|
3Y IRS |
|
JPMorgan Securities, Inc. |
|
|
1.060 |
|
|
|
11/14/2022 |
|
|
|
(2,700,000 |
) |
|
|
(2,700,000 |
) |
|
|
(121,653 |
) |
|
|
(140,244 |
) |
|
|
18,591 |
|
6M IRS |
|
JPMorgan Securities, Inc. |
|
|
0.700 |
|
|
|
03/17/2021 |
|
|
|
(26,000,000 |
) |
|
|
(26,000,000 |
) |
|
|
(8,611 |
) |
|
|
(118,690 |
) |
|
|
110,079 |
|
6M IRS |
|
JPMorgan Securities, Inc. |
|
|
0.900 |
|
|
|
03/17/2021 |
|
|
|
(26,000,000 |
) |
|
|
(26,000,000 |
) |
|
|
(22,092 |
) |
|
|
(208,000 |
) |
|
|
185,908 |
|
1M IRS |
|
MS & Co. Int. PLC |
|
|
0.251 |
|
|
|
01/29/2021 |
|
|
|
(4,670,000 |
) |
|
|
(4,670,000 |
) |
|
|
(21,656 |
) |
|
|
(19,022 |
) |
|
|
(2,634 |
) |
1M IRS |
|
MS & Co. Int. PLC |
|
|
0.265 |
|
|
|
01/18/2021 |
|
|
|
(4,670,000 |
) |
|
|
(4,670,000 |
) |
|
|
(11,240 |
) |
|
|
(19,419 |
) |
|
|
8,179 |
|
1M IRS |
|
MS & Co. Int. PLC |
|
|
0.955 |
|
|
|
01/21/2021 |
|
|
|
(5,070,000 |
) |
|
|
(5,070,000 |
) |
|
|
(34,228 |
) |
|
|
(33,842 |
) |
|
|
(386 |
) |
3M IRS |
|
MS & Co. Int. PLC |
|
|
0.000 |
|
|
|
03/08/2021 |
|
|
|
(780,000 |
) |
|
|
(780,000 |
) |
|
|
(26,624 |
) |
|
|
(25,970 |
) |
|
|
(654 |
) |
3M IRS |
|
MS & Co. Int. PLC |
|
|
0.021 |
|
|
|
03/02/2021 |
|
|
|
(1,890,000 |
) |
|
|
(1,890,000 |
) |
|
|
(71,003 |
) |
|
|
(62,564 |
) |
|
|
(8,439 |
) |
3M IRS |
|
MS & Co. Int. PLC |
|
|
0.390 |
|
|
|
01/15/2021 |
|
|
|
(4,410,000 |
) |
|
|
(4,410,000 |
) |
|
|
(219 |
) |
|
|
(17,963 |
) |
|
|
17,744 |
|
3M IRS |
|
MS & Co. Int. PLC |
|
|
0.948 |
|
|
|
01/29/2021 |
|
|
|
(5,070,000 |
) |
|
|
(5,070,000 |
) |
|
|
(38,336 |
) |
|
|
(33,842 |
) |
|
|
(4,494 |
) |
4M IRS |
|
MS & Co. Int. PLC |
|
|
0.250 |
|
|
|
01/14/2021 |
|
|
|
(6,190,000 |
) |
|
|
(6,190,000 |
) |
|
|
(19,097 |
) |
|
|
(55,955 |
) |
|
|
36,858 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(171,980,000 |
) |
|
$ |
(171,980,000 |
) |
|
$ |
(599,250 |
) |
|
$ |
(1,038,913 |
) |
|
$ |
439,663 |
|
|
|
Puts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.250 |
|
|
|
01/04/2021 |
|
|
|
(4,670,000 |
) |
|
$ |
(4,670,000 |
) |
|
$ |
(319 |
) |
|
$ |
(19,358 |
) |
|
$ |
19,039 |
|
6M IRS |
|
UBS AG (London) |
|
|
0.958 |
|
|
|
01/29/2021 |
|
|
|
(5,070,000 |
) |
|
|
(5,070,000 |
) |
|
|
(29,814 |
) |
|
|
(34,032 |
) |
|
|
4,218 |
|
1M IRS |
|
Deutsche Bank AG (London) |
|
|
0.914 |
|
|
|
01/14/2021 |
|
|
|
(5,070,000 |
) |
|
|
(5,070,000 |
) |
|
|
(26,809 |
) |
|
|
(36,124 |
) |
|
|
9,315 |
|
3M IRS |
|
Deutsche Bank AG (London) |
|
|
0.480 |
|
|
|
01/06/2021 |
|
|
|
(26,900,000 |
) |
|
|
(26,900,000 |
) |
|
|
(2,279 |
) |
|
|
(67,923 |
) |
|
|
65,644 |
|
3M IRS |
|
Deutsche Bank AG (London) |
|
|
0.510 |
|
|
|
01/20/2021 |
|
|
|
(27,000,000 |
) |
|
|
(27,000,000 |
) |
|
|
(12,220 |
) |
|
|
(75,600 |
) |
|
|
63,380 |
|
1M IRS |
|
JPMorgan Securities, Inc. |
|
|
0.242 |
|
|
|
01/11/2021 |
|
|
|
(4,670,000 |
) |
|
|
(4,670,000 |
) |
|
|
(2,788 |
) |
|
|
(20,217 |
) |
|
|
17,429 |
|
6M IRS |
|
JPMorgan Securities, Inc. |
|
|
0.659 |
|
|
|
06/17/2021 |
|
|
|
(29,540,000 |
) |
|
|
(29,540,000 |
) |
|
|
(80,913 |
) |
|
|
(80,172 |
) |
|
|
(741 |
) |
6M IRS |
|
JPMorgan Securities, Inc. |
|
|
0.763 |
|
|
|
06/17/2021 |
|
|
|
(29,540,000 |
) |
|
|
(29,540,000 |
) |
|
|
(52,543 |
) |
|
|
(51,763 |
) |
|
|
(780 |
) |
1M IRS |
|
MS & Co. Int. PLC |
|
|
0.251 |
|
|
|
01/29/2021 |
|
|
|
(4,670,000 |
) |
|
|
(4,670,000 |
) |
|
|
(15,536 |
) |
|
|
(19,022 |
) |
|
|
3,486 |
|
1M IRS |
|
MS & Co. Int. PLC |
|
|
0.265 |
|
|
|
01/18/2021 |
|
|
|
(4,670,000 |
) |
|
|
(4,670,000 |
) |
|
|
(11,801 |
) |
|
|
(19,419 |
) |
|
|
7,618 |
|
1M IRS |
|
MS & Co. Int. PLC |
|
|
0.955 |
|
|
|
01/21/2021 |
|
|
|
(5,070,000 |
) |
|
|
(5,070,000 |
) |
|
|
(22,955 |
) |
|
|
(33,842 |
) |
|
|
10,887 |
|
3M IRS |
|
MS & Co. Int. PLC |
|
|
0.948 |
|
|
|
01/29/2021 |
|
|
|
(5,070,000 |
) |
|
|
(5,070,000 |
) |
|
|
(32,008 |
) |
|
|
(33,842 |
) |
|
|
1,834 |
|
4M IRS |
|
MS & Co. Int. PLC |
|
|
0.000 |
|
|
|
01/14/2021 |
|
|
|
(6,190,000 |
) |
|
|
(6,190,000 |
) |
|
|
(158 |
) |
|
|
(19,431 |
) |
|
|
19,273 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(158,130,000 |
) |
|
$ |
(158,130,000 |
) |
|
$ |
(290,143 |
) |
|
$ |
(510,745 |
) |
|
$ |
220,602 |
|
|
|
Total written option contracts |
|
|
|
|
|
|
|
(330,110,000 |
) |
|
$ |
(330,110,000 |
) |
|
$ |
(889,393 |
) |
|
$ |
(1,549,658 |
) |
|
$ |
660,265 |
|
|
|
TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
(250,680,000 |
) |
|
$ |
(250,680,000 |
) |
|
$ |
(541,573 |
) |
|
$ |
(913,460 |
) |
|
$ |
371,887 |
|
|
|
|
|
|
|
|
|
Abbreviations: |
|
|
1M IRS 1 Month Interest Rate Swaptions |
|
|
3M IRS 3 Month Interest Rate Swaptions |
|
|
4M IRS 4 Month Interest Rate Swaptions |
|
|
6M IRS 6 Month Interest Rate Swaptions |
|
|
CDX.NA.IG Index 28-CDX North America Investment Grade Index 28 |
|
|
MS & Co. Int. PLC-Morgan Stanley & Co. International PLC |
|
|
|
|
|
|
|
|
GOLDMAN SACHS GLOBAL CORE FIXED INCOME FUND
Schedule of Investments
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Foreign Sovereign Debt Obligations 31.9% |
British Pound 1.1% |
United Kingdom Gilt |
GBP |
|
|
1,020,000 |
|
|
|
1.750 |
% |
|
07/22/57 |
|
$ 1,875,544 |
United Kingdom Treasury |
|
|
|
1,820,000 |
|
|
|
3.500 |
|
|
01/22/45 |
|
4,014,866 |
|
|
|
710,000 |
|
|
|
3.500 |
|
|
07/22/68 |
|
2,110,142 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,000,552 |
|
Canadian Dollar 1.2% |
British Columbia Province of Canada |
CAD |
|
|
2,600,000 |
|
|
|
2.850 |
|
|
06/18/25 |
|
2,242,957 |
|
|
|
2,000,000 |
|
|
|
4.950 |
|
|
06/18/40 |
|
2,367,429 |
Ontario Province of Canada |
|
|
|
1,700,000 |
|
|
|
2.600 |
|
|
06/02/25 |
|
1,447,277 |
|
|
|
2,300,000 |
|
|
|
4.650 |
|
|
06/02/41 |
|
2,637,998 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,695,661 |
|
Chinese Yuan 4.6% |
Agricultural Development Bank of China |
CNY |
|
|
12,220,000 |
|
|
|
3.740 |
|
|
07/12/29 |
|
1,880,938 |
|
|
|
32,800,000 |
|
|
|
2.960 |
|
|
04/17/30 |
|
4,736,773 |
China Development Bank |
|
|
|
26,490,000 |
|
|
|
3.500 |
|
|
08/13/26 |
|
4,069,381 |
|
|
|
7,420,000 |
|
|
|
4.040 |
|
|
04/10/27 |
|
1,171,455 |
|
|
|
590,000 |
|
|
|
3.650 |
|
|
05/21/29 |
|
90,110 |
|
|
|
10,700,000 |
|
|
|
3.450 |
|
|
09/20/29 |
|
1,606,673 |
|
|
|
27,380,000 |
|
|
|
3.090 |
|
|
06/18/30 |
|
3,991,673 |
China Government Bond |
|
|
|
18,480,000 |
|
|
|
3.250 |
|
|
06/06/26 |
|
2,863,197 |
|
|
|
19,000,000 |
|
|
|
2.850 |
|
|
06/04/27 |
|
2,849,097 |
|
|
|
22,460,000 |
|
|
|
3.250 |
|
|
11/22/28 |
|
3,446,307 |
|
|
|
8,400,000 |
|
|
|
3.290 |
|
|
05/23/29 |
|
1,291,681 |
|
|
|
2,890,000 |
|
|
|
4.080 |
|
|
10/22/48 |
|
462,765 |
|
|
|
20,750,000 |
|
|
|
3.860 |
|
|
07/22/49 |
|
3,206,217 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Foreign Sovereign Debt Obligations (continued) |
Chinese Yuan (continued) |
China Government Bond (continued) |
CNY |
|
|
2,790,000 |
|
|
|
3.390 |
% |
|
03/16/50 |
|
$ 396,420 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,062,687 |
|
Euro 6.0% |
French Republic Government Bond OAT |
EUR |
|
|
1,700,000 |
|
|
|
4.500 |
|
|
04/25/41 |
|
3,936,065 |
|
|
|
890,000 |
|
|
|
3.250 |
|
|
05/25/45 |
|
1,879,898 |
|
|
|
800,000 |
|
|
|
1.750 |
(a) |
|
05/25/66 |
|
1,487,579 |
Ireland Government Bond |
|
|
|
1,120,000 |
|
|
|
0.200 |
|
|
10/18/30 |
|
1,437,673 |
Italy Buoni Poliennali Del Tesoro |
|
|
|
4,710,000 |
|
|
|
0.950 |
|
|
03/15/23 |
|
5,926,303 |
|
|
|
1,750,000 |
|
|
|
2.950 |
(a) |
|
09/01/38 |
|
2,790,349 |
|
|
|
1,000,000 |
|
|
|
2.800 |
(a) |
|
03/01/67 |
|
1,638,110 |
Italy Certificati di Credito del Tesoro(b) (-1x6M Euribor + 1.850%) |
|
|
|
4,320,000 |
|
|
|
1.518 |
|
|
01/15/25 |
|
5,578,506 |
Kingdom of
Belgium(a) |
|
|
|
250,000 |
|
|
|
2.150 |
|
|
06/22/66 |
|
516,288 |
Portugal Obrigacoes do Tesouro
OT(a) |
|
|
|
1,200,000 |
|
|
|
1.950 |
|
|
06/15/29 |
|
1,720,181 |
Republic of Austria Government
Bond(a) |
|
|
|
450,000 |
|
|
|
1.500 |
|
|
11/02/86 |
|
928,521 |
|
|
|
280,000 |
|
|
|
0.850 |
(c) |
|
12/31/99 |
|
452,298 |
|
|
|
280,000 |
|
|
|
2.100 |
(d) |
|
12/31/99 |
|
762,131 |
Republic of
Indonesia(a) |
|
|
|
650,000 |
|
|
|
2.625 |
|
|
06/14/23 |
|
840,129 |
|
|
|
240,000 |
|
|
|
2.150 |
|
|
07/18/24 |
|
311,521 |
Republic of
Romania(a) |
|
|
|
70,000 |
|
|
|
2.000 |
|
|
01/28/32 |
|
89,551 |
|
|
|
400,000 |
|
|
|
3.375 |
|
|
01/28/50 |
|
560,737 |
Spain Government
Bond(a) |
|
|
|
2,075,000 |
|
|
|
5.900 |
|
|
07/30/26 |
|
3,431,476 |
|
|
|
3,250,000 |
|
|
|
1.500 |
|
|
04/30/27 |
|
4,432,553 |
|
|
|
890,000 |
|
|
|
1.250 |
|
|
10/31/30 |
|
1,215,523 |
|
|
|
1,110,000 |
|
|
|
3.450 |
|
|
07/30/66 |
|
2,454,580 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
42,389,972 |
|
GOLDMAN SACHS GLOBAL CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Foreign Sovereign Debt Obligations (continued) |
Indonesian Rupiah 0.2% |
Republic of Indonesia |
IDR |
|
|
12,964,000,000 |
|
|
|
8.750 |
% |
|
05/15/31 |
|
$ 1,088,792 |
|
Israeli Shekel 0.1% |
Israel Government Bond |
ILS |
|
|
2,430,000 |
|
|
|
2.000 |
|
|
03/31/27 |
|
829,984 |
|
Japanese Yen 14.3% |
Government of Japan |
JPY |
|
|
2,923,200,000 |
|
|
|
0.100 |
|
|
12/01/22 |
|
28,432,795 |
|
|
|
807,250,000 |
|
|
|
0.100 |
|
|
01/01/23 |
|
7,853,126 |
|
|
|
758,250,000 |
|
|
|
0.100 |
|
|
09/20/24 |
|
7,406,550 |
|
|
|
596,200,000 |
|
|
|
2.500 |
|
|
09/20/34 |
|
7,581,565 |
|
|
|
367,900,000 |
|
|
|
0.400 |
|
|
03/20/39 |
|
3,584,722 |
|
|
|
130,600,000 |
|
|
|
0.300 |
|
|
12/20/39 |
|
1,244,630 |
|
|
|
735,050,000 |
|
|
|
0.400 |
|
|
09/20/40 |
|
7,120,065 |
|
|
|
90,700,000 |
|
|
|
1.400 |
|
|
09/20/45 |
|
1,058,534 |
|
|
|
395,000,000 |
|
|
|
0.600 |
|
|
09/20/50 |
|
3,783,094 |
|
|
|
337,900,000 |
|
|
|
0.500 |
|
|
03/20/60 |
|
3,074,398 |
Japan Treasury Discount
Bill(e) |
|
|
|
1,815,550,000 |
|
|
|
0.000 |
|
|
03/29/21 |
|
17,587,388 |
Japanese Government CPI Linked Bond |
|
|
|
1,242,468,737 |
|
|
|
0.100 |
|
|
03/10/29 |
|
12,097,149 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100,824,016 |
|
Russian Ruble 0.1% |
Russian Federation Bond |
RUB |
|
|
26,160,000 |
|
|
|
7.050 |
|
|
01/19/28 |
|
381,254 |
|
Singapore Dollar 0.2% |
Singapore Government Bond |
SGD |
|
|
2,150,000 |
|
|
|
2.750 |
|
|
07/01/23 |
|
1,722,351 |
|
South Korean Won 0.9% |
Inflation Linked Korea Treasury Bond |
KRW |
|
|
1,836,600,366 |
|
|
|
1.000 |
|
|
06/10/26 |
|
1,725,918 |
Korea Treasury Bond |
|
|
|
2,598,070,000 |
|
|
|
1.875 |
|
|
06/10/29 |
|
2,421,425 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Foreign Sovereign Debt Obligations (continued) |
South Korean Won (continued) |
Korea Treasury Bond (continued) |
KRW |
|
|
2,641,660,000 |
|
|
|
1.375 |
% |
|
12/10/29 |
|
$ 2,356,180 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,503,523 |
|
Thai Baht 1.0% |
Thailand Government Bond |
THB |
|
|
126,490,000 |
|
|
|
1.875 |
|
|
06/17/22 |
|
4,314,170 |
|
|
|
76,900,000 |
|
|
|
2.400 |
|
|
12/17/23 |
|
2,711,706 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,025,876 |
|
United States Dollar 2.2% |
Abu Dhabi Government International Bond |
|
|
|
500,000 |
|
|
|
3.125 |
(a) |
|
10/11/27 |
|
559,219 |
|
|
|
600,000 |
|
|
|
4.125 |
(a) |
|
10/11/47 |
|
751,687 |
|
|
|
1,370,000 |
|
|
|
4.125 |
|
|
10/11/47 |
|
1,716,353 |
Republic of
Colombia(f) |
|
|
|
210,000 |
|
|
|
4.125 |
|
|
05/15/51 |
|
233,310 |
Republic of Indonesia |
|
|
|
970,000 |
|
|
|
5.875 |
|
|
01/15/24 |
|
1,115,500 |
|
|
|
200,000 |
|
|
|
4.125 |
(a) |
|
01/15/25 |
|
223,813 |
|
|
|
4,340,000 |
|
|
|
4.125 |
|
|
01/15/25 |
|
4,856,731 |
|
|
|
790,000 |
|
|
|
3.850 |
(a) |
|
07/18/27 |
|
900,847 |
Republic of
Peru(f) |
|
|
|
400,000 |
|
|
|
2.780 |
|
|
12/01/60 |
|
402,600 |
|
|
|
200,000 |
|
|
|
3.230 |
(g) |
|
07/28/21 |
|
199,900 |
Republic of
Qatar(a) |
|
|
|
1,820,000 |
|
|
|
5.103 |
|
|
04/23/48 |
|
2,557,100 |
United Mexican
States(f) |
|
|
|
780,000 |
|
|
|
2.659 |
|
|
05/24/31 |
|
802,230 |
|
|
|
811,000 |
|
|
|
3.771 |
|
|
05/24/61 |
|
843,237 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,162,527 |
|
TOTAL FOREIGN SOVEREIGN DEBT OBLIGATIONS (Cost $203,607,532) |
|
$ 224,687,195 |
|
GOLDMAN SACHS GLOBAL CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations 43.0% |
Aerospace & Defense(f)
0.9% |
Airbus SE |
EUR |
|
|
550,000 |
|
|
|
2.000 |
% |
|
04/07/28 |
|
$ 751,482 |
|
|
|
500,000 |
|
|
|
2.375 |
|
|
04/07/32 |
|
723,718 |
|
|
|
550,000 |
|
|
|
2.375 |
|
|
06/09/40 |
|
803,548 |
General Dynamics Corp. |
$ |
|
|
200,000 |
|
|
|
4.250 |
|
|
04/01/50 |
|
272,202 |
Northrop Grumman Corp. |
|
|
|
1,700,000 |
|
|
|
2.930 |
|
|
01/15/25 |
|
1,849,396 |
|
|
|
1,100,000 |
|
|
|
3.250 |
|
|
01/15/28 |
|
1,244,364 |
|
|
|
150,000 |
|
|
|
5.250 |
|
|
05/01/50 |
|
222,424 |
Raytheon Technologies Corp. |
|
|
|
27,000 |
|
|
|
3.650 |
|
|
08/16/23 |
|
29,110 |
The Boeing Co. |
|
|
|
225,000 |
|
|
|
3.250 |
|
|
02/01/35 |
|
229,698 |
|
|
|
225,000 |
|
|
|
3.375 |
|
|
06/15/46 |
|
220,000 |
|
|
|
80,000 |
|
|
|
3.625 |
|
|
03/01/48 |
|
80,718 |
|
|
|
80,000 |
|
|
|
3.850 |
|
|
11/01/48 |
|
82,721 |
|
|
|
80,000 |
|
|
|
5.805 |
|
|
05/01/50 |
|
110,034 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,619,415 |
|
Agriculture(f)
0.4% |
Altria Group, Inc. |
EUR |
|
|
200,000 |
|
|
|
3.125 |
|
|
06/15/31 |
|
291,332 |
Archer-Daniels-Midland Co. |
$ |
|
|
400,000 |
|
|
|
3.250 |
|
|
03/27/30 |
|
462,224 |
BAT Capital Corp. |
|
|
|
50,000 |
|
|
|
3.557 |
|
|
08/15/27 |
|
55,722 |
|
|
|
1,450,000 |
|
|
|
2.259 |
|
|
03/25/28 |
|
1,498,763 |
|
|
|
500,000 |
|
|
|
5.282 |
|
|
04/02/50 |
|
616,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,924,191 |
|
Automotive 0.2% |
General Motors Financial Co.,
Inc.(f) |
|
|
|
200,000 |
|
|
|
5.650 |
|
|
01/17/29 |
|
247,616 |
Volkswagen Leasing GmbH |
EUR |
|
|
600,000 |
|
|
|
1.625 |
|
|
08/15/25 |
|
778,685 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,026,301 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Banks 12.8% |
ABN AMRO Bank
NV(b)(f) |
(-1x 5 Year EUR Swap + 4.674%) |
EUR |
|
|
500,000 |
|
|
|
4.375 |
% |
|
09/22/49 |
|
$ 649,185 |
(5 year EUR Swap + 2.450%) |
|
|
|
700,000 |
|
|
|
2.875 |
|
|
01/18/28 |
|
899,845 |
AIB Group
PLC(b)(f) |
(-1X 5 year EUR Swap + 3.300%) |
|
|
|
675,000 |
|
|
|
2.875 |
|
|
05/30/31 |
|
878,049 |
(3M USD LIBOR + 1.874%) |
$ |
|
|
2,250,000 |
|
|
|
4.263 |
(a) |
|
04/10/25 |
|
2,456,482 |
Australia & New Zealand Banking Group Ltd.(a)(b)(f) (5 Year CMT + 1.288%) |
|
|
|
750,000 |
|
|
|
2.950 |
|
|
07/22/30 |
|
792,255 |
Banco de Sabadell SA |
EUR |
|
|
400,000 |
|
|
|
0.875 |
|
|
03/05/23 |
|
497,344 |
Banco Santander SA |
$ |
|
|
800,000 |
|
|
|
2.706 |
|
|
06/27/24 |
|
853,368 |
|
|
|
400,000 |
|
|
|
3.306 |
|
|
06/27/29 |
|
449,712 |
|
|
|
1,600,000 |
|
|
|
3.490 |
|
|
05/28/30 |
|
1,795,232 |
EUR |
|
|
500,000 |
|
|
|
1.625 |
|
|
10/22/30 |
|
638,880 |
$ |
|
|
800,000 |
|
|
|
2.749 |
|
|
12/03/30 |
|
824,928 |
Bank of America Corp. |
|
|
|
750,000 |
|
|
|
5.875 |
|
|
02/07/42 |
|
1,136,730 |
(3M USD LIBOR + 0.810%) |
|
|
|
2,900,000 |
|
|
|
3.366 |
(b)(f) |
|
01/23/26 |
|
3,194,350 |
(3M USD LIBOR + 3.150%) |
|
|
|
600,000 |
|
|
|
4.083 |
(b)(f) |
|
03/20/51 |
|
758,724 |
(SOFR + 2.150%) |
|
|
|
2,200,000 |
|
|
|
2.592 |
(b)(f) |
|
04/29/31 |
|
2,357,234 |
Barclays PLC(f) |
|
|
|
900,000 |
|
|
|
3.684 |
|
|
01/10/23 |
|
927,432 |
(3M USD LIBOR + 1.400%) |
|
|
|
800,000 |
|
|
|
4.610 |
(b) |
|
02/15/23 |
|
835,056 |
BNP Paribas SA |
|
|
|
1,450,000 |
|
|
|
3.375 |
(a) |
|
01/09/25 |
|
1,587,649 |
|
|
|
1,250,000 |
|
|
|
3.375 |
|
|
01/09/25 |
|
1,368,663 |
(-1X 3M Euribor + 0.950%) |
EUR |
|
|
900,000 |
|
|
|
0.500 |
(b)(f) |
|
09/01/28 |
|
1,110,425 |
(3M Euribor + 1.800%) |
|
|
|
1,100,000 |
|
|
|
2.125 |
(b)(f) |
|
01/23/27 |
|
1,472,969 |
(5 year EUR Swap + 1.830%) |
|
|
|
300,000 |
|
|
|
2.625 |
(b)(f) |
|
10/14/27 |
|
381,173 |
(5 year USD Swap + 1.483%) |
$ |
|
|
950,000 |
|
|
|
4.375 |
(a)(b)(f) |
|
03/01/33 |
|
1,085,803 |
(5 year USD Swap + 4.149%) |
|
|
|
200,000 |
|
|
|
6.625 |
(a)(b)(f) |
|
03/25/49 |
|
218,376 |
|
GOLDMAN SACHS GLOBAL CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Banks (continued) |
(SOFR + 2.074%) |
$ |
|
|
550,000 |
|
|
|
2.219 |
%(a)(b)(f) |
|
06/09/26 |
|
$ 575,608 |
BPCE SA(a) |
|
|
|
2,350,000 |
|
|
|
4.000 |
|
|
09/12/23 |
|
2,557,528 |
(SOFR + 1.520%) |
|
|
|
1,000,000 |
|
|
|
1.652 |
(b)(f) |
|
10/06/26 |
|
1,022,520 |
CaixaBank SA |
EUR |
|
|
400,000 |
|
|
|
1.125 |
|
|
05/17/24 |
|
507,669 |
(-1X 3M Euribor + 0.850%) |
|
|
|
900,000 |
|
|
|
0.375 |
(b)(f) |
|
11/18/26 |
|
1,103,113 |
Citigroup, Inc. |
$ |
|
|
1,210,000 |
|
|
|
3.500 |
|
|
05/15/23 |
|
1,296,672 |
GBP |
|
|
600,000 |
|
|
|
2.750 |
(f) |
|
01/24/24 |
|
873,964 |
(3M USD LIBOR + 1.023%) |
|
|
|
830,000 |
|
|
|
4.044 |
(b)(f) |
|
06/01/24 |
|
901,339 |
(SOFR + 0.686%) |
|
|
|
2,250,000 |
|
|
|
0.776 |
(b)(f) |
|
10/30/24 |
|
2,265,502 |
(SOFR + 2.107%) |
|
|
|
1,600,000 |
|
|
|
2.572 |
(b)(f) |
|
06/03/31 |
|
1,704,656 |
(SOFR + 2.750%) |
|
|
|
1,700,000 |
|
|
|
3.106 |
(b)(f) |
|
04/08/26 |
|
1,860,055 |
(SOFR + 3.914%) |
|
|
|
700,000 |
|
|
|
4.412 |
(b)(f) |
|
03/31/31 |
|
848,589 |
Citizens Bank
NA(f) |
|
|
|
250,000 |
|
|
|
3.250 |
|
|
02/14/22 |
|
257,465 |
Commerzbank AG |
EUR |
|
|
550,000 |
|
|
|
4.000 |
|
|
03/23/26 |
|
751,603 |
Commonwealth Bank of
Australia(a)(b)(f) (5 Year CMT + 2.050%) |
$ |
|
|
1,000,000 |
|
|
|
3.610 |
|
|
09/12/34 |
|
1,098,080 |
Cooperatieve Rabobank UA |
EUR |
|
|
550,000 |
|
|
|
3.875 |
|
|
07/25/23 |
|
738,185 |
Credit Agricole
SA(a) |
|
|
|
300,000 |
|
|
|
3.750 |
|
|
04/24/23 |
|
322,083 |
(SOFR + 1.676%) |
|
|
|
300,000 |
|
|
|
1.907 |
(b)(f) |
|
06/16/26 |
|
310,716 |
Credit Suisse AG |
|
|
|
1,000,000 |
|
|
|
2.950 |
|
|
04/09/25 |
|
1,096,470 |
Credit Suisse Group
AG(a)(b)(f) |
(3M USD LIBOR + 1.410%) |
|
|
|
2,800,000 |
|
|
|
3.869 |
|
|
01/12/29 |
|
3,168,424 |
(SOFR + 1.560%) |
|
|
|
1,550,000 |
|
|
|
2.593 |
|
|
09/11/25 |
|
1,631,313 |
Deutsche Bank AG |
|
|
|
100,000 |
|
|
|
3.125 |
|
|
01/13/21 |
|
100,049 |
(SOFR + 1.870%) |
|
|
|
275,000 |
|
|
|
2.129 |
(b)(f) |
|
11/24/26 |
|
281,424 |
(SOFR + 2.159%) |
|
|
|
600,000 |
|
|
|
2.222 |
(b)(f) |
|
09/18/24 |
|
616,890 |
Erste Group Bank AG(b)(f) (5
Year EUR Swap + 6.204%) |
EUR |
|
|
600,000 |
|
|
|
6.500 |
|
|
04/15/49 |
|
816,991 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Banks (continued) |
Fifth Third
Bancorp(f) |
$ |
|
|
575,000 |
|
|
|
2.375 |
% |
|
01/28/25 |
|
$ 611,633 |
HSBC Holdings PLC |
|
|
|
200,000 |
|
|
|
4.250 |
|
|
08/18/25 |
|
226,870 |
|
|
|
450,000 |
|
|
|
4.950 |
|
|
03/31/30 |
|
562,379 |
(3M USD LIBOR + 1.211%) |
|
|
|
2,150,000 |
|
|
|
3.803 |
(b)(f) |
|
03/11/25 |
|
2,347,327 |
JPMorgan Chase &
Co.(f) |
|
|
|
3,200,000 |
|
|
|
3.625 |
|
|
12/01/27 |
|
3,635,680 |
(3M USD LIBOR + 0.730%) |
|
|
|
305,000 |
|
|
|
3.559 |
(b) |
|
04/23/24 |
|
326,612 |
(3M USD LIBOR + 0.890%) |
|
|
|
300,000 |
|
|
|
3.797 |
(b) |
|
07/23/24 |
|
324,924 |
(SOFR + 2.040%) |
|
|
|
750,000 |
|
|
|
2.522 |
(b) |
|
04/22/31 |
|
804,435 |
(SOFR + 2.515%) |
|
|
|
750,000 |
|
|
|
2.956 |
(b) |
|
05/13/31 |
|
820,890 |
JPMorgan Chase Bank
NA(a)(b) |
IDR |
|
|
22,222,000,000 |
|
|
|
7.500 |
|
|
06/17/35 |
|
1,741,036 |
Kreditanstalt fuer
Wiederaufbau(h) |
EUR |
|
|
3,000,000 |
|
|
|
0.625 |
|
|
01/07/28 |
|
3,960,382 |
Macquarie Group Ltd. |
|
|
|
350,000 |
|
|
|
0.625 |
|
|
02/03/27 |
|
438,442 |
(3M USD LIBOR + 1.372%) |
$ |
|
|
380,000 |
|
|
|
3.763 |
(a)(b)(f) |
|
11/28/28 |
|
422,176 |
Morgan Stanley,
Inc.(b)(f)(SOFR + 3.120%) |
|
|
|
1,100,000 |
|
|
|
3.622 |
|
|
04/01/31 |
|
1,277,573 |
Natwest Group PLC |
|
|
|
200,000 |
|
|
|
3.875 |
|
|
09/12/23 |
|
216,884 |
(3M USD LIBOR + 1.480%) |
|
|
|
1,200,000 |
|
|
|
3.498 |
(b)(f) |
|
05/15/23 |
|
1,248,084 |
Regions Financial
Corp.(f) |
|
|
|
210,000 |
|
|
|
3.800 |
|
|
08/14/23 |
|
228,127 |
Santander UK Group Holdings
PLC(b)(f) (1 year CMT + 1.250%) |
|
|
|
1,000,000 |
|
|
|
1.532 |
|
|
08/21/26 |
|
1,016,480 |
Santander UK PLC |
|
|
|
225,000 |
|
|
|
2.875 |
|
|
06/18/24 |
|
240,928 |
Societe Generale SA |
EUR |
|
|
1,700,000 |
|
|
|
1.750 |
|
|
03/22/29 |
|
2,280,976 |
(-1X 3M Euribor + 1.280%) |
|
|
|
400,000 |
|
|
|
0.875 |
(b)(f) |
|
09/22/28 |
|
504,331 |
(1 year CMT + 1.100%) |
$ |
|
|
1,500,000 |
|
|
|
1.488 |
(a)(b)(f) |
|
12/14/26 |
|
1,513,515 |
The Huntington National
Bank(f) |
|
|
|
1,950,000 |
|
|
|
3.250 |
|
|
05/14/21 |
|
1,966,010 |
|
|
|
300,000 |
|
|
|
1.800 |
|
|
02/03/23 |
|
307,923 |
|
GOLDMAN SACHS GLOBAL CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Banks (continued) |
The PNC Financial Services Group,
Inc.(f) |
$ |
|
|
600,000 |
|
|
|
3.500 |
% |
|
01/23/24 |
|
$ 653,970 |
UniCredit SpA |
EUR |
|
|
500,000 |
|
|
|
1.800 |
|
|
01/20/30 |
|
638,758 |
(-1X 3M Euribor + 2.550%) |
|
|
|
350,000 |
|
|
|
2.200 |
(b)(f) |
|
07/22/27 |
|
454,173 |
Wells Fargo &
Co.(b)(f) |
(3M USD LIBOR + 4.240%) |
$ |
|
|
625,000 |
|
|
|
5.013 |
|
|
04/04/51 |
|
886,750 |
(SOFR + 2.000%) |
|
|
|
2,450,000 |
|
|
|
2.188 |
|
|
04/30/26 |
|
2,578,135 |
(SOFR + 2.100%) |
|
|
|
2,050,000 |
|
|
|
2.393 |
|
|
06/02/28 |
|
2,180,728 |
Westpac Banking
Corp.(b)(f) |
(5 year CMT + 1.350%) |
|
|
|
1,200,000 |
|
|
|
2.894 |
|
|
02/04/30 |
|
1,258,488 |
(5 year CMT + 1.750%) |
|
|
|
475,000 |
|
|
|
2.668 |
|
|
11/15/35 |
|
489,540 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
90,040,931 |
|
Beverages(f)
2.5% |
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. |
|
|
|
750,000 |
|
|
|
4.900 |
|
|
02/01/46 |
|
975,450 |
Anheuser-Busch InBev Worldwide, Inc. |
|
|
|
500,000 |
|
|
|
4.150 |
|
|
01/23/25 |
|
569,245 |
|
|
|
2,300,000 |
|
|
|
4.750 |
|
|
01/23/29 |
|
2,835,256 |
|
|
|
700,000 |
|
|
|
4.600 |
|
|
04/15/48 |
|
882,329 |
Bacardi Ltd.(a) |
|
|
|
1,200,000 |
|
|
|
4.700 |
|
|
05/15/28 |
|
1,422,336 |
Constellation Brands, Inc. |
|
|
|
1,500,000 |
|
|
|
3.200 |
|
|
02/15/23 |
|
1,585,470 |
|
|
|
1,500,000 |
|
|
|
4.400 |
|
|
11/15/25 |
|
1,744,470 |
|
|
|
1,550,000 |
|
|
|
2.875 |
|
|
05/01/30 |
|
1,697,870 |
Diageo Capital PLC |
|
|
|
1,950,000 |
|
|
|
2.000 |
|
|
04/29/30 |
|
2,033,830 |
Keurig Dr Pepper, Inc. |
|
|
|
3,250,000 |
|
|
|
4.417 |
|
|
05/25/25 |
|
3,747,250 |
|
|
|
50,000 |
|
|
|
5.085 |
|
|
05/25/48 |
|
70,040 |
|
|
|
200,000 |
|
|
|
3.800 |
|
|
05/01/50 |
|
238,768 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,802,314 |
|
Biotechnology(f)
0.2% |
Biogen, Inc. |
|
|
|
1,600,000 |
|
|
|
2.250 |
|
|
05/01/30 |
|
1,663,408 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Building Materials(a)
0.3% |
Carrier Global Corp. |
$ |
|
|
650,000 |
|
|
|
2.493 |
% |
|
02/15/27 |
|
$ 701,012 |
|
|
|
900,000 |
|
|
|
2.722 |
|
|
02/15/30 |
|
961,686 |
|
|
|
300,000 |
|
|
|
3.377 |
|
|
04/05/40 |
|
328,608 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,991,306 |
|
Chemicals 0.6% |
CNAC HK Finbridge Co. Ltd. |
|
|
|
330,000 |
|
|
|
3.875 |
|
|
06/19/29 |
|
333,609 |
DuPont de Nemours,
Inc.(f) |
|
|
|
600,000 |
|
|
|
4.493 |
|
|
11/15/25 |
|
700,716 |
Nutrition & Biosciences,
Inc.(a)(f) |
|
|
|
450,000 |
|
|
|
1.230 |
|
|
10/01/25 |
|
455,283 |
|
|
|
200,000 |
|
|
|
1.832 |
|
|
10/15/27 |
|
205,996 |
|
|
|
475,000 |
|
|
|
2.300 |
|
|
11/01/30 |
|
488,329 |
|
|
|
150,000 |
|
|
|
3.268 |
|
|
11/15/40 |
|
160,904 |
|
|
|
400,000 |
|
|
|
3.468 |
|
|
12/01/50 |
|
433,364 |
Sasol Financing International Ltd. |
|
|
|
560,000 |
|
|
|
4.500 |
|
|
11/14/22 |
|
571,200 |
Syngenta Finance
NV(a)(f) |
|
|
|
550,000 |
|
|
|
4.441 |
|
|
04/24/23 |
|
576,240 |
|
|
|
400,000 |
|
|
|
4.892 |
|
|
04/24/25 |
|
429,080 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,354,721 |
|
Commercial Services 0.3% |
DP World Crescent Ltd. |
|
|
|
200,000 |
|
|
|
4.848 |
|
|
09/26/28 |
|
232,500 |
DP World PLC |
|
|
|
390,000 |
|
|
|
5.625 |
|
|
09/25/48 |
|
496,762 |
PayPal Holdings,
Inc.(f) |
|
|
|
1,000,000 |
|
|
|
2.300 |
|
|
06/01/30 |
|
1,071,310 |
|
|
|
500,000 |
|
|
|
3.250 |
|
|
06/01/50 |
|
574,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,374,872 |
|
Computers(f)
1.1% |
Dell International LLC/EMC
Corp.(a) |
|
|
|
1,250,000 |
|
|
|
6.020 |
|
|
06/15/26 |
|
1,525,225 |
|
|
|
1,075,000 |
|
|
|
4.900 |
|
|
10/01/26 |
|
1,269,403 |
|
GOLDMAN SACHS GLOBAL CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Computers(f)
(continued) |
$ |
|
|
275,000 |
|
|
|
5.300 |
% |
|
10/01/29 |
|
$ 336,930 |
|
|
|
75,000 |
|
|
|
6.200 |
|
|
07/15/30 |
|
97,038 |
Hewlett Packard Enterprise Co. |
|
|
|
1,200,000 |
|
|
|
4.450 |
|
|
10/02/23 |
|
1,321,380 |
|
|
|
300,000 |
|
|
|
4.650 |
|
|
10/01/24 |
|
340,974 |
|
|
|
1,850,000 |
|
|
|
4.900 |
|
|
10/15/25 |
|
2,165,425 |
|
|
|
250,000 |
|
|
|
6.350 |
|
|
10/15/45 |
|
329,882 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,386,257 |
|
Diversified Financial Services 1.9% |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
|
|
|
282,000 |
|
|
|
3.500 |
(f) |
|
05/26/22 |
|
291,204 |
|
|
|
2,149,000 |
|
|
|
4.625 |
|
|
07/01/22 |
|
2,259,222 |
AIG Global
Funding(a) |
|
|
|
224,000 |
|
|
|
2.300 |
|
|
07/01/22 |
|
230,384 |
Air Lease
Corp.(f) |
|
|
|
1,150,000 |
|
|
|
3.250 |
|
|
03/01/25 |
|
1,226,245 |
|
|
|
575,000 |
|
|
|
2.875 |
|
|
01/15/26 |
|
608,229 |
American Express
Co.(f) |
|
|
|
255,000 |
|
|
|
2.500 |
|
|
07/30/24 |
|
272,506 |
Avolon Holdings Funding
Ltd.(a)(f) |
|
|
|
400,000 |
|
|
|
3.950 |
|
|
07/01/24 |
|
422,480 |
Capital One Financial
Corp.(f) |
|
|
|
505,000 |
|
|
|
3.300 |
|
|
10/30/24 |
|
554,950 |
GE Capital Funding
LLC(a)(f) |
|
|
|
550,000 |
|
|
|
4.400 |
|
|
05/15/30 |
|
647,674 |
GE Capital International Funding Co. |
|
|
|
1,350,000 |
|
|
|
3.373 |
|
|
11/15/25 |
|
1,500,768 |
|
|
|
1,350,000 |
|
|
|
4.418 |
|
|
11/15/35 |
|
1,609,686 |
Huarong Finance II Co. Ltd. |
|
|
|
380,000 |
|
|
|
3.750 |
|
|
05/29/24 |
|
399,950 |
|
|
|
370,000 |
|
|
|
5.000 |
|
|
11/19/25 |
|
416,366 |
|
|
|
200,000 |
|
|
|
4.625 |
|
|
06/03/26 |
|
222,563 |
|
|
|
200,000 |
|
|
|
4.875 |
|
|
11/22/26 |
|
226,562 |
Intercontinental Exchange,
Inc.(f) |
|
|
|
1,150,000 |
|
|
|
1.850 |
|
|
09/15/32 |
|
1,157,797 |
JAB Holdings B.V. |
EUR |
|
|
1,000,000 |
|
|
|
1.000 |
|
|
12/20/27 |
|
1,274,523 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,321,109 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Electrical 1.2% |
AEP Transmission Co.
LLC(f) |
$ |
|
|
150,000 |
|
|
|
3.650 |
% |
|
04/01/50 |
|
$ 181,166 |
Ameren Corp.(f) |
|
|
|
150,000 |
|
|
|
2.500 |
|
|
09/15/24 |
|
159,845 |
Berkshire Hathaway Energy
Co.(a)(f) |
|
|
|
25,000 |
|
|
|
4.250 |
|
|
10/15/50 |
|
32,214 |
CMS Energy Corp.(b)(f) (5 year
CMT + 2.900%) |
|
|
|
550,000 |
|
|
|
3.750 |
|
|
12/01/50 |
|
561,951 |
Dominion Energy,
Inc.(f) |
|
|
|
2,200,000 |
|
|
|
3.375 |
|
|
04/01/30 |
|
2,504,788 |
DTE Energy Co. |
|
|
|
498,000 |
|
|
|
2.250 |
|
|
11/01/22 |
|
515,305 |
Duke Energy Carolinas
LLC(f) |
|
|
|
700,000 |
|
|
|
3.200 |
|
|
08/15/49 |
|
792,939 |
E.ON International Finance B.V. |
GBP |
|
|
250,000 |
|
|
|
6.125 |
|
|
07/06/39 |
|
578,839 |
Electricite de France
SA(a)(f) |
$ |
|
|
1,450,000 |
|
|
|
4.500 |
|
|
09/21/28 |
|
1,724,688 |
Pacific Gas & Electric
Co.(f) |
|
|
|
250,000 |
|
|
|
2.500 |
|
|
02/01/31 |
|
249,877 |
|
|
|
100,000 |
|
|
|
3.300 |
|
|
08/01/40 |
|
100,105 |
|
|
|
200,000 |
|
|
|
3.500 |
|
|
08/01/50 |
|
198,182 |
Sempra Energy(f) |
|
|
|
700,000 |
|
|
|
3.400 |
|
|
02/01/28 |
|
797,797 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,397,696 |
|
Electrical Components &
Equipment(f) 0.2% |
Emerson Electric Co. |
|
|
|
1,600,000 |
|
|
|
1.950 |
|
|
10/15/30 |
|
1,687,904 |
Engineering & Construction(f)
0.4% |
Aeroports de Paris |
EUR |
|
|
900,000 |
|
|
|
1.000 |
|
|
01/05/29 |
|
1,167,202 |
Mexico City Airport Trust |
$ |
|
|
540,000 |
|
|
|
3.875 |
(a) |
|
04/30/28 |
|
557,550 |
|
|
|
200,000 |
|
|
|
5.500 |
(a) |
|
10/31/46 |
|
208,750 |
|
|
|
430,000 |
|
|
|
5.500 |
(a) |
|
07/31/47 |
|
449,350 |
|
|
|
200,000 |
|
|
|
5.500 |
|
|
07/31/47 |
|
209,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,591,852 |
|
GOLDMAN SACHS GLOBAL CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Food & Drug Retailing 0.2% |
General Mills,
Inc.(f) |
$ |
|
|
500,000 |
|
|
|
2.875 |
% |
|
04/15/30 |
|
$ 554,565 |
The JM Smucker Co. |
|
|
|
225,000 |
|
|
|
3.000 |
|
|
03/15/22 |
|
231,786 |
The Kroger
Co.(f) |
|
|
|
275,000 |
|
|
|
3.950 |
|
|
01/15/50 |
|
332,274 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,118,625 |
|
Gas(f) 0.2% |
NiSource, Inc. |
|
|
|
1,025,000 |
|
|
|
3.600 |
|
|
05/01/30 |
|
1,186,427 |
The East Ohio Gas
Co.(a) |
|
|
|
200,000 |
|
|
|
2.000 |
|
|
06/15/30 |
|
206,628 |
|
|
|
200,000 |
|
|
|
3.000 |
|
|
06/15/50 |
|
214,856 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,607,911 |
|
Hand/Machine Tools(f)
0.1% |
Snap-on, Inc. |
|
|
|
900,000 |
|
|
|
3.100 |
|
|
05/01/50 |
|
1,014,498 |
|
Healthcare Providers &
Services(f) 1.4% |
Anthem, Inc. |
|
|
|
1,925,000 |
|
|
|
2.250 |
|
|
05/15/30 |
|
2,031,915 |
DENTSPLY SIRONA, Inc. |
|
|
|
775,000 |
|
|
|
3.250 |
|
|
06/01/30 |
|
862,684 |
DH Europe Finance II S.a.r.l. |
EUR |
|
|
300,000 |
|
|
|
0.450 |
|
|
03/18/28 |
|
373,381 |
|
|
|
800,000 |
|
|
|
0.750 |
|
|
09/18/31 |
|
1,006,767 |
Medtronic Global Holdings SCA |
|
|
|
400,000 |
|
|
|
0.250 |
|
|
07/02/25 |
|
496,005 |
|
|
|
300,000 |
|
|
|
2.250 |
|
|
03/07/39 |
|
454,329 |
|
|
|
150,000 |
|
|
|
1.500 |
|
|
07/02/39 |
|
204,086 |
Smith & Nephew PLC |
$ |
|
|
1,825,000 |
|
|
|
2.032 |
|
|
10/14/30 |
|
1,855,970 |
Stryker Corp. |
|
|
|
1,700,000 |
|
|
|
1.950 |
|
|
06/15/30 |
|
1,747,379 |
Thermo Fisher Scientific, Inc. |
|
|
|
200,000 |
|
|
|
4.497 |
|
|
03/25/30 |
|
249,682 |
EUR |
|
|
400,000 |
|
|
|
1.875 |
|
|
10/01/49 |
|
564,852 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,847,050 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Insurance 1.6% |
American International Group, Inc. |
$ |
|
|
200,000 |
|
|
|
4.875 |
% |
|
06/01/22 |
|
$ 212,398 |
|
|
|
150,000 |
|
|
|
4.125 |
|
|
02/15/24 |
|
165,942 |
|
|
|
2,150,000 |
|
|
|
3.900 |
(f) |
|
04/01/26 |
|
2,451,709 |
|
|
|
1,900,000 |
|
|
|
3.400 |
(f) |
|
06/30/30 |
|
2,173,619 |
Aviva PLC(b)(f) |
(5 Year EUR Swap + 5.130%) |
EUR |
|
|
450,000 |
|
|
|
6.125 |
|
|
07/05/43 |
|
628,180 |
(5 Year UK Government Bond + 2.850%) |
GBP |
|
|
450,000 |
|
|
|
6.125 |
|
|
11/14/36 |
|
761,281 |
AXA SA(b)(f) (3M Euribor
+ 3.200%) |
EUR |
|
|
550,000 |
|
|
|
3.250 |
|
|
05/28/49 |
|
785,158 |
Helvetia Europe SA(b)(f) (-1X
5 year EUR Swap + 3.950%) |
|
|
|
550,000 |
|
|
|
2.750 |
|
|
09/30/41 |
|
740,267 |
La Mondiale
SAM(f) |
|
|
|
600,000 |
|
|
|
0.750 |
|
|
04/20/26 |
|
741,031 |
|
|
|
600,000 |
|
|
|
2.125 |
|
|
06/23/31 |
|
775,789 |
Legal & General Group
PLC(b)(f) (-1X 5 year UK Government Bond + 4.050%) |
GBP |
|
|
500,000 |
|
|
|
3.750 |
% |
|
11/26/49 |
|
$747,462 |
M&G PLC(b)(f) (5 year UK
Government Bond + 3.724%) |
|
|
|
100,000 |
|
|
|
6.340 |
|
|
12/19/63 |
|
181,042 |
MetLife, Inc. |
$ |
|
|
110,000 |
|
|
|
3.600 |
|
|
04/10/24 |
|
121,116 |
New York Life Insurance
Co.(a)(f) |
|
|
|
450,000 |
|
|
|
3.750 |
|
|
05/15/50 |
|
534,731 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,019,725 |
|
Internet(f)
0.3% |
Expedia Group, Inc. |
|
|
|
1,150,000 |
|
|
|
3.250 |
|
|
02/15/30 |
|
1,191,941 |
Prosus NV(a) |
|
|
|
210,000 |
|
|
|
3.680 |
|
|
01/21/30 |
|
227,981 |
|
|
|
200,000 |
|
|
|
4.027 |
|
|
08/03/50 |
|
207,500 |
|
|
|
200,000 |
|
|
|
3.832 |
|
|
02/08/51 |
|
196,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,823,822 |
|
GOLDMAN SACHS GLOBAL CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Iron/Steel(f)
0.2% |
Steel Dynamics, Inc. |
$ |
|
|
1,275,000 |
|
|
|
1.650 |
% |
|
10/15/27 |
|
$ 1,311,287 |
|
Lodging(f)
0.3% |
Marriott International, Inc. |
|
|
|
1,500,000 |
|
|
|
4.650 |
|
|
12/01/28 |
|
1,729,545 |
|
Machinery-Diversified(f)
0.2% |
Otis Worldwide Corp. |
|
|
|
900,000 |
|
|
|
2.565 |
|
|
02/15/30 |
|
965,808 |
|
|
|
550,000 |
|
|
|
3.112 |
|
|
02/15/40 |
|
599,566 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,565,374 |
|
Media 1.5% |
Charter Communications Operating LLC/Charter Communications Operating Capital(f) |
|
|
|
900,000 |
|
|
|
4.500 |
|
|
02/01/24 |
|
999,153 |
|
|
|
3,400,000 |
|
|
|
4.908 |
|
|
07/23/25 |
|
3,952,908 |
|
|
|
650,000 |
|
|
|
4.800 |
|
|
03/01/50 |
|
771,816 |
Comcast Corp. |
|
|
|
1,000,000 |
|
|
|
3.700 |
(f) |
|
04/15/24 |
|
1,102,340 |
|
|
|
750,000 |
|
|
|
3.950 |
(f) |
|
10/15/25 |
|
861,120 |
|
|
|
800,000 |
|
|
|
5.650 |
|
|
06/15/35 |
|
1,145,400 |
|
|
|
900,000 |
|
|
|
3.750 |
(f) |
|
04/01/40 |
|
1,084,239 |
|
|
|
350,000 |
|
|
|
4.700 |
(f) |
|
10/15/48 |
|
486,773 |
The Walt Disney
Co.(f) |
|
|
|
50,000 |
|
|
|
4.700 |
|
|
03/23/50 |
|
70,852 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,474,601 |
|
Mining(a)
0.5% |
Glencore Funding LLC |
|
|
|
1,400,000 |
|
|
|
4.125 |
|
|
05/30/23 |
|
1,511,006 |
|
|
|
650,000 |
|
|
|
4.125 |
(f) |
|
03/12/24 |
|
713,193 |
|
|
|
775,000 |
|
|
|
4.875 |
(f) |
|
03/12/29 |
|
931,697 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,155,896 |
|
Miscellaneous Manufacturing 0.2% |
General Electric Co. |
|
|
|
100,000 |
|
|
|
2.700 |
|
|
10/09/22 |
|
103,899 |
|
|
|
300,000 |
|
|
|
6.750 |
|
|
03/15/32 |
|
420,297 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Miscellaneous Manufacturing (continued) |
$ |
|
|
750,000 |
|
|
|
4.350 |
%(f) |
|
05/01/50 |
|
$ 906,308 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,430,504 |
|
Multi-National 0.8% |
European Investment Bank |
EUR |
|
|
3,400,000 |
|
|
|
0.875 |
|
|
01/14/28 |
|
4,575,949 |
|
|
|
770,000 |
|
|
|
1.000 |
|
|
11/14/42 |
|
1,162,622 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,738,571 |
|
Oil Field Services 0.9% |
BP Capital Markets America,
Inc.(f) |
$ |
|
|
700,000 |
|
|
|
3.790 |
|
|
02/06/24 |
|
765,254 |
BP Capital Markets PLC |
|
|
|
250,000 |
|
|
|
3.814 |
|
|
02/10/24 |
|
274,425 |
(-1X 5 year EUR Swap + 3.880%) |
EUR |
|
|
400,000 |
|
|
|
3.250 |
(b)(f) |
|
03/22/49 |
|
521,048 |
(-1X 5 year EUR Swap + 4.120%) |
|
|
|
400,000 |
|
|
|
3.625 |
(b)(f) |
|
03/22/49 |
|
535,259 |
Devon Energy
Corp.(f) |
$ |
|
|
100,000 |
|
|
|
5.850 |
|
|
12/15/25 |
|
117,496 |
Gazprom PJSC Via Gaz Capital SA |
|
|
|
310,000 |
|
|
|
5.150 |
(a) |
|
02/11/26 |
|
352,819 |
|
|
|
210,000 |
|
|
|
5.150 |
|
|
02/11/26 |
|
239,006 |
|
|
|
240,000 |
|
|
|
8.625 |
(i) |
|
04/28/34 |
|
375,300 |
|
|
|
310,000 |
|
|
|
7.288 |
|
|
08/16/37 |
|
454,634 |
Gazprom PJSC Via Gaz Finance
PLC(a) |
|
|
|
400,000 |
|
|
|
3.250 |
|
|
02/25/30 |
|
412,625 |
Occidental Petroleum Corp. |
|
|
|
300,000 |
|
|
|
5.550 |
(f) |
|
03/15/26 |
|
312,750 |
|
|
|
250,000 |
|
|
|
6.450 |
|
|
09/15/36 |
|
261,250 |
Phillips 66(f) |
|
|
|
250,000 |
|
|
|
3.850 |
|
|
04/09/25 |
|
281,650 |
|
|
|
200,000 |
|
|
|
1.300 |
|
|
02/15/26 |
|
203,348 |
Suncor Energy,
Inc.(f) |
|
|
|
900,000 |
|
|
|
3.100 |
|
|
05/15/25 |
|
985,833 |
Total Capital International
SA(f) |
|
|
|
350,000 |
|
|
|
3.461 |
|
|
07/12/49 |
|
405,927 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,498,624 |
|
Pharmaceuticals 3.4% |
AbbVie, Inc. |
|
|
|
620,000 |
|
|
|
2.300 |
|
|
11/21/22 |
|
642,636 |
|
GOLDMAN SACHS GLOBAL CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Pharmaceuticals (continued) |
AbbVie, Inc. (continued) |
$ |
|
|
300,000 |
|
|
|
3.750 |
%(f) |
|
11/14/23 |
|
$ 326,973 |
|
|
|
1,350,000 |
|
|
|
2.600 |
(f) |
|
11/21/24 |
|
1,446,619 |
|
|
|
1,350,000 |
|
|
|
2.950 |
(f) |
|
11/21/26 |
|
1,494,760 |
|
|
|
200,000 |
|
|
|
4.250 |
(f) |
|
11/14/28 |
|
239,966 |
|
|
|
1,200,000 |
|
|
|
3.200 |
(f) |
|
11/21/29 |
|
1,350,996 |
|
|
|
550,000 |
|
|
|
4.050 |
(f) |
|
11/21/39 |
|
664,521 |
|
|
|
625,000 |
|
|
|
4.875 |
(f) |
|
11/14/48 |
|
849,463 |
|
|
|
1,700,000 |
|
|
|
4.250 |
(f) |
|
11/21/49 |
|
2,135,523 |
Bayer US Finance II
LLC(a)(f) |
|
|
|
750,000 |
|
|
|
3.875 |
|
|
12/15/23 |
|
817,463 |
|
|
|
1,000,000 |
|
|
|
4.250 |
|
|
12/15/25 |
|
1,144,030 |
Becton Dickinson &
Co.(f) |
|
|
|
3,275,000 |
|
|
|
3.363 |
|
|
06/06/24 |
|
3,551,705 |
|
|
|
1,000,000 |
|
|
|
3.700 |
|
|
06/06/27 |
|
1,144,970 |
Bristol-Myers Squibb
Co.(f) |
|
|
|
50,000 |
|
|
|
4.250 |
|
|
10/26/49 |
|
67,316 |
Cigna Corp.(f) |
|
|
|
698,000 |
|
|
|
3.750 |
|
|
07/15/23 |
|
753,798 |
|
|
|
675,000 |
|
|
|
2.400 |
|
|
03/15/30 |
|
717,444 |
|
|
|
600,000 |
|
|
|
4.900 |
|
|
12/15/48 |
|
822,696 |
CVS Health
Corp.(f) |
|
|
|
123,000 |
|
|
|
3.700 |
|
|
03/09/23 |
|
131,541 |
|
|
|
300,000 |
|
|
|
2.625 |
|
|
08/15/24 |
|
321,372 |
|
|
|
1,875,000 |
|
|
|
1.875 |
|
|
02/28/31 |
|
1,897,669 |
|
|
|
100,000 |
|
|
|
5.050 |
|
|
03/25/48 |
|
135,252 |
|
|
|
600,000 |
|
|
|
4.250 |
|
|
04/01/50 |
|
749,436 |
Takeda Pharmaceutical Co.
Ltd.(f) |
EUR |
|
|
500,000 |
|
|
|
1.375 |
|
|
07/09/32 |
|
656,264 |
|
|
|
500,000 |
|
|
|
2.000 |
|
|
07/09/40 |
|
693,922 |
Upjohn Finance
B.V.(f) |
|
|
|
800,000 |
|
|
|
1.908 |
|
|
06/23/32 |
|
1,080,877 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,837,212 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Pipelines 0.9% |
Abu Dhabi Crude Oil Pipeline
LLC(a) |
$ |
|
|
1,260,000 |
|
|
|
4.600 |
% |
|
11/02/47 |
|
$ 1,568,306 |
Energy Transfer Operating
LP(f) |
|
|
|
250,000 |
|
|
|
5.250 |
|
|
04/15/29 |
|
291,692 |
Enterprise Products Operating
LLC(f) |
|
|
|
500,000 |
|
|
|
3.750 |
|
|
02/15/25 |
|
560,125 |
|
|
|
100,000 |
|
|
|
4.150 |
|
|
10/16/28 |
|
118,510 |
EQM Midstream Partners
LP(f) |
|
|
|
225,000 |
|
|
|
4.750 |
|
|
07/15/23 |
|
235,125 |
Galaxy Pipeline Assets Bidco
Ltd.(a) |
|
|
|
200,000 |
|
|
|
2.625 |
|
|
03/31/36 |
|
207,000 |
MPLX LP(f) |
|
|
|
250,000 |
|
|
|
4.500 |
|
|
04/15/38 |
|
286,328 |
|
|
|
150,000 |
|
|
|
5.500 |
|
|
02/15/49 |
|
196,860 |
Sabine Pass Liquefaction
LLC(f) |
|
|
|
1,500,000 |
|
|
|
5.625 |
|
|
03/01/25 |
|
1,750,350 |
Sunoco Logistics Partners Operations LP(f) |
|
|
|
250,000 |
|
|
|
5.300 |
|
|
04/01/44 |
|
269,313 |
The Williams Cos.,
Inc.(f) |
|
|
|
550,000 |
|
|
|
3.600 |
|
|
03/15/22 |
|
567,743 |
|
|
|
450,000 |
|
|
|
3.900 |
|
|
01/15/25 |
|
499,720 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,551,072 |
|
Real Estate(f)
0.2% |
Logicor Financing S.a.r.l. |
EUR |
|
|
600,000 |
|
|
|
2.250 |
|
|
05/13/25 |
|
792,861 |
|
|
|
550,000 |
|
|
|
3.250 |
|
|
11/13/28 |
|
790,412 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,583,273 |
|
Real Estate Investment Trust(f)
1.5% |
Alexandria Real Estate Equities, Inc. |
$ |
|
|
500,000 |
|
|
|
3.375 |
|
|
08/15/31 |
|
572,880 |
American Tower Corp. |
|
|
|
400,000 |
|
|
|
3.800 |
|
|
08/15/29 |
|
464,400 |
|
|
|
1,500,000 |
|
|
|
2.900 |
|
|
01/15/30 |
|
1,634,430 |
Healthpeak Properties, Inc. |
|
|
|
200,000 |
|
|
|
3.250 |
|
|
07/15/26 |
|
225,914 |
National Retail Properties, Inc. |
|
|
|
375,000 |
|
|
|
3.900 |
|
|
06/15/24 |
|
406,181 |
Prologis Euro Finance LLC |
EUR |
|
|
500,000 |
|
|
|
1.000 |
|
|
02/06/35 |
|
641,507 |
Prologis LP |
$ |
|
|
1,000,000 |
|
|
|
2.250 |
|
|
04/15/30 |
|
1,071,580 |
|
GOLDMAN SACHS GLOBAL CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Real Estate Investment Trust(f)
(continued) |
Simon Property Group LP |
$ |
|
|
576,000 |
|
|
|
2.750 |
% |
|
06/01/23 |
|
$ 603,740 |
VEREIT Operating Partnership LP |
|
|
|
900,000 |
|
|
|
4.625 |
|
|
11/01/25 |
|
1,037,070 |
|
|
|
200,000 |
|
|
|
3.400 |
|
|
01/15/28 |
|
220,728 |
|
|
|
300,000 |
|
|
|
2.850 |
|
|
12/15/32 |
|
313,350 |
WEA Finance LLC/Westfield UK & Europe Finance PLC(a) |
|
|
|
400,000 |
|
|
|
3.750 |
|
|
09/17/24 |
|
422,492 |
WP Carey, Inc. |
|
|
|
240,000 |
|
|
|
4.600 |
|
|
04/01/24 |
|
267,389 |
|
|
|
170,000 |
|
|
|
4.000 |
|
|
02/01/25 |
|
188,001 |
|
|
|
625,000 |
|
|
|
2.400 |
|
|
02/01/31 |
|
649,663 |
WPC Eurobond B.V. |
EUR |
|
|
1,200,000 |
|
|
|
1.350 |
|
|
04/15/28 |
|
1,527,141 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,246,466 |
|
Retailing(f)
0.4% |
Dollar Tree, Inc. |
$ |
|
|
650,000 |
|
|
|
4.000 |
|
|
05/15/25 |
|
733,694 |
McDonalds Corp. |
|
|
|
125,000 |
|
|
|
4.200 |
|
|
04/01/50 |
|
160,051 |
|
Walgreens Boots Alliance, Inc. |
|
|
|
1,850,000 |
|
|
|
3.200 |
|
|
04/15/30 |
|
2,003,162 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,896,907 |
|
Savings & Loans(a)(b)(f)
0.1% |
Nationwide Building Society |
(3M USD LIBOR + 1.181%) |
|
|
|
200,000 |
|
|
|
3.622 |
|
|
04/26/23 |
|
207,734 |
(3M USD LIBOR + 1.855%) |
|
|
|
500,000 |
|
|
|
3.960 |
|
|
07/18/30 |
|
582,410 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
790,144 |
|
Semiconductors(f)
1.2% |
Broadcom, Inc. |
|
|
|
1,850,000 |
|
|
|
3.625 |
|
|
10/15/24 |
|
2,031,319 |
|
|
|
1,050,000 |
|
|
|
4.700 |
|
|
04/15/25 |
|
1,203,846 |
|
|
|
1,850,000 |
|
|
|
4.250 |
|
|
04/15/26 |
|
2,119,896 |
|
|
|
2,443,000 |
|
|
|
3.459 |
|
|
09/15/26 |
|
2,709,922 |
NXP B.V./NXP Funding LLC/NXP USA,
Inc.(a) |
|
|
|
450,000 |
|
|
|
3.400 |
|
|
05/01/30 |
|
510,201 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,575,184 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Software(f)
0.4% |
Fidelity National Information Services, Inc. |
EUR |
|
|
400,000 |
|
|
|
0.750 |
% |
|
05/21/23 |
|
$ 498,521 |
GBP |
|
|
250,000 |
|
|
|
2.602 |
|
|
05/21/25 |
|
372,401 |
EUR |
|
|
550,000 |
|
|
|
0.625 |
|
|
12/03/25 |
|
691,185 |
Fiserv, Inc. |
$ |
|
|
650,000 |
|
|
|
3.200 |
|
|
07/01/26 |
|
727,681 |
Intuit, Inc. |
|
|
|
350,000 |
|
|
|
1.650 |
|
|
07/15/30 |
|
359,370 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,649,158 |
|
Supranational(h)
0.2% |
FMS Wertmanagement |
GBP |
|
|
1,100,000 |
|
|
|
1.375 |
|
|
03/07/25 |
|
1,582,863 |
|
Telecommunication Services 2.9% |
AT&T,
Inc.(f) |
$ |
|
|
250,000 |
|
|
|
3.000 |
|
|
06/30/22 |
|
258,633 |
|
|
|
1,879,000 |
|
|
|
2.550 |
(a) |
|
12/01/33 |
|
1,931,725 |
EUR |
|
|
600,000 |
|
|
|
1.800 |
|
|
09/14/39 |
|
780,590 |
$ |
|
|
100,000 |
|
|
|
4.350 |
|
|
06/15/45 |
|
115,275 |
|
|
|
100,000 |
|
|
|
4.850 |
|
|
07/15/45 |
|
124,344 |
|
|
|
550,000 |
|
|
|
5.450 |
|
|
03/01/47 |
|
741,191 |
|
|
|
600,000 |
|
|
|
4.500 |
|
|
03/09/48 |
|
714,954 |
Deutsche Telekom
AG(a)(f) |
|
|
|
200,000 |
|
|
|
3.625 |
|
|
01/21/50 |
|
230,546 |
Deutsche Telekom International Finance B.V.(a)(f) |
|
|
|
500,000 |
|
|
|
2.485 |
|
|
09/19/23 |
|
523,145 |
|
|
|
1,300,000 |
|
|
|
4.375 |
|
|
06/21/28 |
|
1,540,422 |
T-Mobile USA,
Inc.(a)(f) |
|
|
|
500,000 |
|
|
|
3.500 |
|
|
04/15/25 |
|
552,602 |
|
|
|
900,000 |
|
|
|
3.750 |
|
|
04/15/27 |
|
1,023,392 |
|
|
|
1,250,000 |
|
|
|
3.875 |
|
|
04/15/30 |
|
1,446,794 |
|
|
|
950,000 |
|
|
|
2.550 |
|
|
02/15/31 |
|
996,850 |
|
|
|
550,000 |
|
|
|
3.000 |
|
|
02/15/41 |
|
568,980 |
Telefonica Emisiones
SA(f) |
EUR |
|
|
500,000 |
|
|
|
1.788 |
|
|
03/12/29 |
|
686,433 |
|
GOLDMAN SACHS GLOBAL CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Telecommunication Services (continued) |
Verizon Communications, Inc. |
$ |
|
|
350,000 |
|
|
|
2.625 |
% |
|
08/15/26 |
|
$ 383,250 |
|
|
|
3,084,000 |
|
|
|
4.329 |
|
|
09/21/28 |
|
3,707,924 |
|
|
|
64,000 |
|
|
|
5.012 |
|
|
04/15/49 |
|
88,616 |
|
|
|
300,000 |
|
|
|
4.000 |
(f) |
|
03/22/50 |
|
363,402 |
|
|
|
676,000 |
|
|
|
2.987 |
(a)(f) |
|
10/30/56 |
|
679,502 |
Vodafone Group PLC |
|
|
|
1,550,000 |
|
|
|
3.750 |
|
|
01/16/24 |
|
1,694,088 |
|
|
|
1,000,000 |
|
|
|
4.375 |
|
|
05/30/28 |
|
1,199,220 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,351,878 |
|
Trading Companies &
Distributors(f) 0.2% |
Blackstone Property Partners Europe Holdings S.a.r.l. |
EUR |
|
|
450,000 |
|
|
|
2.200 |
|
|
07/24/25 |
|
589,286 |
|
|
|
600,000 |
|
|
|
1.750 |
|
|
03/12/29 |
|
772,183 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,361,469 |
|
Water(f)
0.2% |
American Water Capital Corp. |
$ |
|
|
1,100,000 |
|
|
|
2.800 |
|
|
05/01/30 |
|
1,212,959 |
|
|
|
300,000 |
|
|
|
3.450 |
|
|
05/01/50 |
|
354,243 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,567,202 |
|
TOTAL CORPORATE OBLIGATIONS (Cost $274,692,790) |
|
$302,511,138 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities(b) 6.8% |
Collateralized Loan Obligations(a)
4.9% |
AGL CLO 3 Ltd. Series 2020-3A, Class A (3M USD LIBOR + 1.300%) |
$ |
|
|
2,100,000 |
|
|
|
1.537 |
% |
|
01/15/33 |
|
$ 2,101,323 |
Apidos CLO XXIII Series 2015-23A, Class AR (3M USD LIBOR +
1.220%) |
|
|
|
2,100,000 |
|
|
|
1.457 |
|
|
04/15/33 |
|
2,099,998 |
Catamaran CLO Ltd. Series 2013-1A, Class AR (3M USD LIBOR +
0.850%) |
|
|
|
3,018,747 |
|
|
|
1.067 |
|
|
01/27/28 |
|
3,005,313 |
Elmwood CLO IV Ltd. Series 2020-1A, Class A (3M USD LIBOR +
1.240%) |
|
|
|
5,300,000 |
|
|
|
1.477 |
|
|
04/15/33 |
|
5,306,153 |
Madison Park Funding XII Ltd. Series 2014-12A, Class AR (3M USD LIBOR +
1.260%) |
|
|
|
327,156 |
|
|
|
1.478 |
|
|
07/20/26 |
|
327,204 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Asset-Backed Securities(b) (continued) |
Collateralized Loan Obligations(a)
(continued) |
Madison Park Funding XXX Ltd. Series 2018-30A, Class A (3M USD LIBOR +
0.750%) |
$ |
|
|
5,300,000 |
|
|
|
0.987 |
% |
|
04/15/29 |
|
$ 5,252,422 |
Magnetite XXIV Ltd. Series 2019-24A, Class A (3M USD LIBOR +
1.330%) |
|
|
|
1,400,000 |
|
|
|
1.567 |
|
|
01/15/33 |
|
1,402,064 |
Mill City Mortgage Loan Trust Series 2017-2, Class A3 |
|
|
|
440,479 |
|
|
|
2.928 |
|
|
07/25/59 |
|
459,028 |
Mountain View CLO LLC Series 2016-1A, Class AR (3M USD LIBOR +
1.360%) |
|
|
|
1,800,000 |
|
|
|
1.589 |
|
|
04/14/33 |
|
1,799,995 |
Steele Creek CLO Ltd. Series 2019-1A, Class D (3M USD LIBOR +
4.100%) |
|
|
|
1,400,000 |
|
|
|
4.337 |
|
|
04/15/32 |
|
1,400,462 |
Towd Point Mortgage Trust Series 2019-4, Class M1B |
|
|
|
870,000 |
|
|
|
3.000 |
|
|
10/25/59 |
|
911,073 |
Trinitas CLO II Ltd. Series 2014-2A, Class A1R (3M USD LIBOR +
1.180%) |
|
|
|
80,157 |
|
|
|
1.417 |
|
|
07/15/26 |
|
80,155 |
Tryon Park CLO Ltd. Series 2013-1A, Class A1SR (3M USD LIBOR +
0.890%) |
|
|
|
3,700,000 |
|
|
|
1.127 |
|
|
04/15/29 |
|
3,680,438 |
Venture 36 CLO Ltd. Series 2019-36A, Class D (3M USD LIBOR +
4.150%) |
|
|
|
900,000 |
|
|
|
4.368 |
|
|
04/20/32 |
|
901,973 |
Venture CDO Ltd. Series 2020-39A, Class A1 (3M USD LIBOR +
1.280%) |
|
|
|
3,475,000 |
|
|
|
1.517 |
|
|
04/15/33 |
|
3,477,683 |
Voya CLO Ltd. Series 2019-1A, Class AR (3M USD LIBOR + 1.060%) |
|
|
|
2,100,000 |
|
|
|
1.297 |
|
|
04/15/31 |
|
2,086,869 |
WhiteHorse VIII Ltd. Series 2014-1A, Class AR (3M USD LIBOR +
0.900%) |
|
|
|
83,978 |
|
|
|
1.114 |
|
|
05/01/26 |
|
83,934 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
34,376,087 |
|
Home Equity 0.0% |
GMAC Mortgage Home Equity Loan Trust Series 2007-HE3, Class 2A1 |
|
|
|
37,946 |
|
|
|
7.000 |
|
|
09/25/37 |
|
38,511 |
|
Student Loans 1.9% |
ECMC Group Student Loan Trust Series 2017-1A, Class A(a) (1M USD LIBOR + 1.200%) |
|
|
|
2,934,538 |
|
|
|
1.348 |
|
|
12/27/66 |
|
2,947,243 |
Educational Services of America, Inc. Series 2015-2, Class A(a) (1M USD LIBOR + 1.000%) |
|
|
|
692,087 |
|
|
|
1.148 |
|
|
12/25/56 |
|
691,393 |
|
GOLDMAN SACHS GLOBAL CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Asset-Backed Securities (b) (continued) |
Student Loans (continued) |
Higher Education Funding I Series 2014-1, Class A(a) (3M USD LIBOR + 1.050%) |
$ |
|
|
2,494,773 |
|
|
|
1.257 |
% |
|
05/25/34 |
|
$ 2,499,589 |
Knowledgeworks Foundation Student Loan Series 2010-1, Class A (3M USD LIBOR +
0.950%) |
|
|
|
264,843 |
|
|
|
1.157 |
|
|
02/25/42 |
|
263,392 |
Navient Student Loan Trust Series 2017-2A, Class A(a) (1M USD LIBOR + 1.050%) |
|
|
|
4,601,053 |
|
|
|
1.198 |
|
|
12/27/66 |
|
4,641,355 |
Nelnet Student Loan Trust Series 2011-1A, Class A(a) (1M USD LIBOR + 0.850%) |
|
|
|
171,201 |
|
|
|
0.998 |
|
|
02/25/48 |
|
170,695 |
PHEAA Student Loan Trust Series 2016-1A, Class A(a) (1M USD LIBOR + 1.150%) |
|
|
|
2,056,900 |
|
|
|
1.298 |
|
|
09/25/65 |
|
2,077,646 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,291,313 |
|
TOTAL ASSET-BACKED SECURITIES (Cost $47,626,978) |
|
$ 47,705,911 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed Obligations 22.7% |
Collateralized Mortgage Obligations 1.9% |
Interest Only(j)
1.2% |
FHLMC REMIC Series 3852, Class
SW(b) (-1x 1M USD LIBOR + 6.000%) |
$ |
|
|
272,089 |
|
|
|
5.841 |
% |
|
05/15/41 |
|
$ 40,901 |
FHLMC REMIC Series 4314, Class
SE(b) (-1x 1M USD LIBOR + 6.050%) |
|
|
|
248,606 |
|
|
|
5.891 |
|
|
03/15/44 |
|
40,150 |
FHLMC REMIC Series 4320, Class
SD(b) (-1x 1M USD LIBOR + 6.100%) |
|
|
|
200,373 |
|
|
|
5.941 |
|
|
07/15/39 |
|
39,565 |
FHLMC REMIC Series 4583, Class
ST(b) (-1x 1M USD LIBOR + 6.000%) |
|
|
|
856,985 |
|
|
|
5.841 |
|
|
05/15/46 |
|
148,334 |
FHLMC REMIC Series 4792, Class
SA(b) (-1x 1M USD LIBOR + 6.200%) |
|
|
|
490,240 |
|
|
|
6.041 |
|
|
05/15/48 |
|
57,596 |
FHLMC REMIC Series 4936, Class
ES(b) (-1x 1M USD LIBOR + 6.000%) |
|
|
|
219,339 |
|
|
|
5.852 |
|
|
12/25/49 |
|
28,992 |
FHLMC REMIC Series 4980, Class KI |
|
|
|
2,365,772 |
|
|
|
4.500 |
|
|
06/25/50 |
|
323,908 |
FHLMC REMIC Series 4991, Class IE |
|
|
|
1,243,599 |
|
|
|
5.000 |
|
|
07/25/50 |
|
162,962 |
FHLMC REMIC Series 4998, Class GI |
|
|
|
1,740,706 |
|
|
|
4.000 |
|
|
08/25/50 |
|
242,186 |
FHLMC REMIC Series 5002, Class
SJ(b) (-1x 1M USD LIBOR + 6.100%) |
|
|
|
2,062,576 |
|
|
|
5.952 |
|
|
07/25/50 |
|
384,883 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
Interest Only(j)
(continued) |
FHLMC REMIC Series 5009, Class DI |
$ |
|
|
1,324,702 |
|
|
|
2.000 |
% |
|
09/25/50 |
|
$ 106,154 |
FHLMC REMIC Series 5012, Class DI |
|
|
|
340,538 |
|
|
|
4.000 |
|
|
09/25/50 |
|
47,484 |
FHLMC REMIC Series 5020, Class IH |
|
|
|
1,406,361 |
|
|
|
3.000 |
|
|
08/25/50 |
|
166,909 |
FHLMC STRIPS Series 304, Class C45 |
|
|
|
190,459 |
|
|
|
3.000 |
|
|
12/15/27 |
|
10,673 |
FNMA REMIC Series 2011-124, Class
SC(b) (-1x 1M USD LIBOR + 6.550%) |
|
|
|
261,691 |
|
|
|
6.402 |
|
|
12/25/41 |
|
47,627 |
FNMA REMIC Series 2012-5, Class
SA(b) (-1x 1M USD LIBOR + 5.950%) |
|
|
|
376,668 |
|
|
|
5.802 |
|
|
02/25/42 |
|
63,846 |
FNMA REMIC Series 2014-6, Class
SA(b) (-1x 1M USD LIBOR + 6.600%) |
|
|
|
319,344 |
|
|
|
6.452 |
|
|
02/25/44 |
|
58,976 |
FNMA REMIC Series 2015-34, Class
LS(b) (-1x 1M USD LIBOR + 6.100%) |
|
|
|
1,138,135 |
|
|
|
5.952 |
|
|
06/25/45 |
|
229,969 |
FNMA REMIC Series 2017-31, Class
SG(b) (-1x 1M USD LIBOR + 6.100%) |
|
|
|
660,809 |
|
|
|
5.952 |
|
|
05/25/47 |
|
126,028 |
FNMA REMIC Series 2017-86, Class
SB(b) (-1x 1M USD LIBOR + 6.150%) |
|
|
|
509,873 |
|
|
|
6.002 |
|
|
11/25/47 |
|
92,006 |
FNMA REMIC Series 2018-17, Class
CS(b) (-1x 1M USD LIBOR + 3.450%) |
|
|
|
2,083,351 |
|
|
|
2.500 |
|
|
03/25/48 |
|
131,570 |
FNMA REMIC Series 2018-38, Class
SG(b) (-1x 1M USD LIBOR + 6.200%) |
|
|
|
199,561 |
|
|
|
6.052 |
|
|
06/25/48 |
|
26,386 |
FNMA REMIC Series 2019-41, Class
SB(b) (-1x 1M USD LIBOR + 6.050%) |
|
|
|
1,020,811 |
|
|
|
5.902 |
|
|
08/25/49 |
|
208,967 |
FNMA REMIC Series 2020-45, Class AI |
|
|
|
802,763 |
|
|
|
4.000 |
|
|
07/25/50 |
|
102,309 |
FNMA REMIC Series 2020-60, Class KI |
|
|
|
2,004,716 |
|
|
|
2.000 |
|
|
09/25/50 |
|
164,942 |
|
GOLDMAN SACHS GLOBAL CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
Interest Only(j)
(continued) |
FNMA REMIC Series 2020-60, Class NI |
$ |
|
|
316,259 |
|
|
|
4.000 |
% |
|
09/25/50 |
|
$ 44,190 |
GNMA REMIC Series 2010-101, Class
S(b) (-1x 1M USD LIBOR + 6.000%) |
|
|
|
557,461 |
|
|
|
5.848 |
|
|
08/20/40 |
|
109,634 |
GNMA REMIC Series 2010-20, Class
SE(b) (-1x 1M USD LIBOR + 6.250%) |
|
|
|
450,324 |
|
|
|
6.098 |
|
|
02/20/40 |
|
90,668 |
GNMA REMIC Series 2013-124, Class
CS(b) (-1x 1M USD LIBOR + 6.050%) |
|
|
|
470,822 |
|
|
|
5.898 |
|
|
08/20/43 |
|
95,639 |
GNMA REMIC Series 2013-134, Class
DS(b) (-1x 1M USD LIBOR + 6.100%) |
|
|
|
97,101 |
|
|
|
5.948 |
|
|
09/20/43 |
|
19,331 |
GNMA REMIC Series 2013-152, Class
SG(b) (-1x 1M USD LIBOR + 6.150%) |
|
|
|
174,521 |
|
|
|
5.998 |
|
|
06/20/43 |
|
34,840 |
GNMA REMIC Series 2013-152, Class
TS(b) (-1x 1M USD LIBOR + 6.100%) |
|
|
|
161,191 |
|
|
|
5.948 |
|
|
06/20/43 |
|
32,760 |
GNMA REMIC Series 2013-181, Class
SA(b) (-1x 1M USD LIBOR + 6.100%) |
|
|
|
596,211 |
|
|
|
5.948 |
|
|
11/20/43 |
|
117,364 |
GNMA REMIC Series 2014-117, Class
SJ(b) (-1x 1M USD LIBOR + 5.600%) |
|
|
|
1,344,233 |
|
|
|
5.448 |
|
|
08/20/44 |
|
224,269 |
GNMA REMIC Series 2014-132, Class
SL(b) (-1x 1M USD LIBOR + 6.100%) |
|
|
|
377,263 |
|
|
|
5.948 |
|
|
10/20/43 |
|
54,757 |
GNMA REMIC Series 2014-133, Class
BS(b) (-1x 1M USD LIBOR + 5.600%) |
|
|
|
207,712 |
|
|
|
5.448 |
|
|
09/20/44 |
|
36,443 |
GNMA REMIC Series 2014-158, Class
SA(b) (-1x 1M USD LIBOR + 5.600%) |
|
|
|
636,592 |
|
|
|
5.447 |
|
|
10/16/44 |
|
112,688 |
GNMA REMIC Series 2015-110, Class
MS(b) (-1x 1M USD LIBOR + 5.710%) |
|
|
|
1,129,978 |
|
|
|
5.558 |
|
|
08/20/45 |
|
197,094 |
GNMA REMIC Series 2015-111, Class IM |
|
|
|
537,476 |
|
|
|
4.000 |
|
|
08/20/45 |
|
58,539 |
GNMA REMIC Series 2015-123, Class
SP(b) (-1x 1M USD LIBOR + 6.250%) |
|
|
|
304,377 |
|
|
|
6.098 |
|
|
09/20/45 |
|
58,487 |
GNMA REMIC Series 2015-129, Class IC |
|
|
|
216,798 |
|
|
|
4.500 |
|
|
09/16/45 |
|
33,785 |
GNMA REMIC Series 2015-167, Class
AS(b) (-1x 1M USD LIBOR + 6.250%) |
|
|
|
191,624 |
|
|
|
6.098 |
|
|
11/20/45 |
|
33,556 |
GNMA REMIC Series 2015-168, Class
SD(b) (-1x 1M USD LIBOR + 6.200%) |
|
|
|
137,989 |
|
|
|
6.048 |
|
|
11/20/45 |
|
27,837 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
Interest Only(j)
(continued) |
GNMA REMIC Series 2015-57, Class
AS(b) (-1x 1M USD LIBOR + 5.600%) |
$ |
|
|
922,949 |
|
|
|
5.448 |
% |
|
04/20/45 |
|
$ 154,970 |
GNMA REMIC Series 2016-1, Class
ST(b) (-1x 1M USD LIBOR + 6.200%) |
|
|
|
246,353 |
|
|
|
6.048 |
|
|
01/20/46 |
|
41,713 |
GNMA REMIC Series 2016-138, Class GI |
|
|
|
579,458 |
|
|
|
4.000 |
|
|
10/20/46 |
|
71,828 |
GNMA REMIC Series 2016-27, Class IA |
|
|
|
308,846 |
|
|
|
4.000 |
|
|
06/20/45 |
|
27,990 |
GNMA REMIC Series 2018-105, Class
SC(b) (-1x 1M USD LIBOR + 6.200%) |
|
|
|
338,150 |
|
|
|
6.048 |
|
|
08/20/48 |
|
51,842 |
GNMA REMIC Series 2018-122, Class
SE(b) (-1x 1M USD LIBOR + 6.200%) |
|
|
|
766,638 |
|
|
|
6.048 |
|
|
09/20/48 |
|
119,112 |
GNMA REMIC Series 2018-137, Class
SN(b) (-1x 1M USD LIBOR + 6.150%) |
|
|
|
828,115 |
|
|
|
5.998 |
|
|
10/20/48 |
|
128,130 |
GNMA REMIC Series 2018-139, Class
SQ(b) (-1x 1M USD LIBOR + 6.150%) |
|
|
|
508,997 |
|
|
|
5.998 |
|
|
10/20/48 |
|
75,723 |
GNMA REMIC Series 2018-147, Class
SA(b) (-1x 1M USD LIBOR + 6.200%) |
|
|
|
706,345 |
|
|
|
6.048 |
|
|
10/20/48 |
|
116,173 |
GNMA REMIC Series 2018-72, Class IB |
|
|
|
678,450 |
|
|
|
4.000 |
|
|
04/20/46 |
|
88,513 |
GNMA REMIC Series 2019-1, Class SN (-1x 1M USD LIBOR + 6.050%) |
|
|
|
405,426 |
|
|
|
5.898 |
|
|
01/20/49 |
|
59,834 |
GNMA REMIC Series 2019-110, Class
SD(b) (-1x 1M USD LIBOR + 6.100%) |
|
|
|
992,929 |
|
|
|
5.948 |
|
|
09/20/49 |
|
152,890 |
GNMA REMIC Series 2019-110, Class
SE(b) (-1x 1M USD LIBOR + 6.100%) |
|
|
|
999,574 |
|
|
|
5.948 |
|
|
09/20/49 |
|
143,239 |
GNMA REMIC Series 2019-128, Class IO |
|
|
|
710,760 |
|
|
|
4.000 |
|
|
10/20/49 |
|
84,132 |
GNMA REMIC Series 2019-129, Class AI |
|
|
|
1,102,396 |
|
|
|
3.500 |
|
|
10/20/49 |
|
122,837 |
GNMA REMIC Series 2019-151, Class IA |
|
|
|
3,368,471 |
|
|
|
3.500 |
|
|
12/20/49 |
|
363,934 |
GNMA REMIC Series 2019-151, Class NI |
|
|
|
1,667,584 |
|
|
|
3.500 |
|
|
10/20/49 |
|
148,850 |
|
GOLDMAN SACHS GLOBAL CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
Interest Only(j)
(continued) |
GNMA REMIC Series 2019-20, Class
SF(b) (-1x 1M USD LIBOR + 3.790%) |
$ |
|
|
1,079,992 |
|
|
|
3.638 |
% |
|
02/20/49 |
|
$ 91,702 |
GNMA REMIC Series 2019-4, Class
SJ(b) (-1x 1M USD LIBOR + 6.050%) |
|
|
|
978,092 |
|
|
|
5.898 |
|
|
01/20/49 |
|
154,352 |
GNMA REMIC Series 2019-69, Class S (-1x 1M USD LIBOR + 3.270%) |
|
|
|
1,234,556 |
|
|
|
3.118 |
|
|
06/20/49 |
|
94,867 |
GNMA REMIC Series 2019-78, Class SE (-1x 1M USD LIBOR + 6.100%) |
|
|
|
295,636 |
|
|
|
5.948 |
|
|
06/20/49 |
|
44,550 |
GNMA REMIC Series 2019-97, Class
SC(b) (-1x 1M USD LIBOR + 6.100%) |
|
|
|
773,542 |
|
|
|
5.948 |
|
|
08/20/49 |
|
118,117 |
GNMA REMIC Series 2019-98, Class
SC(b) (-1x 1M USD LIBOR + 6.050%) |
|
|
|
1,016,715 |
|
|
|
5.898 |
|
|
08/20/49 |
|
158,759 |
GNMA REMIC Series 2020-11, Class
SN(b) (-1x 1M USD LIBOR + 6.050%) |
|
|
|
1,549,764 |
|
|
|
5.898 |
|
|
01/20/50 |
|
249,966 |
GNMA REMIC Series 2020-146, Class KI |
|
|
|
1,889,960 |
|
|
|
2.500 |
|
|
10/20/50 |
|
183,868 |
GNMA REMIC Series 2020-173, Class AI |
|
|
|
1,197,258 |
|
|
|
2.500 |
|
|
11/20/50 |
|
74,462 |
GNMA REMIC Series 2020-55, Class
AS(b) (-1x 1M USD LIBOR + 6.050%) |
|
|
|
947,785 |
|
|
|
5.898 |
|
|
04/20/50 |
|
163,586 |
GNMA REMIC Series 2020-55, Class IO |
|
|
|
2,067,075 |
|
|
|
3.500 |
|
|
04/20/50 |
|
233,761 |
GNMA REMIC Series 2020-61, Class
SF(b) (-1x 1M USD LIBOR + 6.440%) |
|
|
|
1,582,541 |
|
|
|
6.288 |
|
|
07/20/43 |
|
309,095 |
GNMA REMIC Series 2020-78, Class DI |
|
|
|
2,223,715 |
|
|
|
4.000 |
|
|
06/20/50 |
|
286,877 |
GNMA REMIC Series 2020-78, Class
SD(b) (-1x 1M USD LIBOR + 6.150%) |
|
|
|
444,407 |
|
|
|
5.998 |
|
|
06/20/50 |
|
68,103 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,618,979 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
Sequential Fixed Rate 0.2% |
FNMA REMIC Series 2011-52, Class GB |
$ |
|
|
308,798 |
% |
|
|
5.000 |
|
|
06/25/41 |
|
$ 353,388 |
FNMA REMIC Series 2011-99, Class DB |
|
|
|
289,805 |
|
|
|
5.000 |
|
|
10/25/41 |
|
330,827 |
FNMA REMIC Series 2012-111, Class B |
|
|
|
34,281 |
|
|
|
7.000 |
|
|
10/25/42 |
|
42,171 |
FNMA REMIC Series 2012-153, Class B |
|
|
|
138,262 |
|
|
|
7.000 |
|
|
07/25/42 |
|
173,781 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
900,167 |
|
Sequential Floating Rate(b)
0.5% |
Countrywide Alternative Loan Trust Series 2005-38, Class A1(12M MTA +
1.500%) |
|
|
|
60,968 |
|
|
|
2.109 |
|
|
09/25/35 |
|
52,848 |
Countrywide Alternative Loan Trust Series 2006-OA1, Class 2A1 (1M USD LIBOR +
0.420%) |
|
|
|
204,594 |
|
|
|
0.572 |
|
|
03/20/46 |
|
162,282 |
Countrywide Home Loan Mortgage Pass-Through Trust Series 2004-HYB5, Class
2A1 |
|
|
|
13,137 |
|
|
|
2.918 |
|
|
04/20/35 |
|
12,965 |
Harben Finance PLC Series 2017-1X, Class A (3M GBP LIBOR +
0.800%) |
GBP |
|
|
739,873 |
|
|
|
0.851 |
|
|
08/20/56 |
|
1,011,446 |
Harborview Mortgage Loan Trust Series 2006-6, Class 3A1A |
|
|
|
$279,032 |
|
|
|
3.651 |
|
|
08/19/36 |
|
272,132 |
London Wall Mortgage Capital PLC Series 2017-FL1, Class A (3M GBP LIBOR +
0.850%) |
GBP |
|
|
639,864 |
|
|
|
0.898 |
|
|
11/15/49 |
|
874,056 |
Residential Accredit Loans, Inc. Series 2005-QO5, Class A1(12M MTA +
1.000%) |
|
|
|
$444,817 |
|
|
|
1.609 |
|
|
01/25/46 |
|
423,648 |
Sequoia Mortgage Trust Series 2004-10, Class A3A(6M USD LIBOR +
0.660%) |
|
|
|
50,396 |
|
|
|
0.918 |
|
|
11/20/34 |
|
48,247 |
Tower Bridge Funding No. 2 PLC, Class A (3M GBP LIBOR + 0.900%) |
GBP |
|
|
590,360 |
|
|
|
0.934 |
|
|
03/20/56 |
|
807,721 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,665,345 |
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
$ 13,184,491 |
|
GOLDMAN SACHS GLOBAL CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
Commercial Mortgage-Backed Securities 0.7% |
Bank Series 2017-BNK4, Class
C(b) |
$ |
|
|
900,000 |
|
|
|
4.372 |
% |
|
05/15/50 |
|
$ 970,238 |
Bank Series 2018-BK15, Class
D(a) |
|
|
|
290,000 |
|
|
|
3.000 |
|
|
11/15/61 |
|
229,108 |
BANK Series 2018-BNK14, Class
D(a) |
|
|
|
350,000 |
|
|
|
3.000 |
|
|
09/15/60 |
|
298,599 |
BANK Series 2019-BNK19, Class
D(a) |
|
|
|
200,000 |
|
|
|
3.000 |
|
|
08/15/61 |
|
187,420 |
Benchmark Mortgage Trust Series 2018-B6, Class D(a)(b) |
|
|
|
400,000 |
|
|
|
3.118 |
|
|
10/10/51 |
|
379,001 |
Benchmark Mortgage Trust Series 2019-B13, Class D(a) |
|
|
|
450,000 |
|
|
|
2.500 |
|
|
08/15/57 |
|
412,115 |
Citigroup Commercial Mortgage Trust Series 2017-P7, Class D(a) |
|
|
|
200,000 |
|
|
|
3.250 |
|
|
04/14/50 |
|
168,427 |
Citigroup Commercial Mortgage Trust Series 2017-P8, Class D(a) |
|
|
|
400,000 |
|
|
|
3.000 |
|
|
09/15/50 |
|
324,269 |
GS Mortgage Securities Trust Series 2019-GC42, Class D(a) |
|
|
|
300,000 |
|
|
|
2.800 |
|
|
09/01/52 |
|
278,507 |
JPMBD Commercial Mortgage Series 2017-C7, Class D(a) |
|
|
|
250,000 |
|
|
|
3.000 |
|
|
10/15/50 |
|
196,835 |
Wells Fargo Commercial Mortgage Trust Series 2017-C38, Class D(a) |
|
|
|
500,000 |
|
|
|
3.000 |
|
|
07/15/50 |
|
444,255 |
Wells Fargo Commercial Mortgage Trust Series 2019-C53, Class B(b) |
|
|
|
1,300,000 |
|
|
|
3.514 |
|
|
10/15/52 |
|
1,450,994 |
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
|
$ 5,339,768 |
|
Federal Agencies 20.1% |
FHLMC 0.0% |
|
|
|
2,294 |
|
|
|
5.000 |
|
|
01/01/33 |
|
2,616 |
|
|
|
208 |
|
|
|
5.000 |
|
|
06/01/33 |
|
238 |
|
|
|
3,269 |
|
|
|
5.000 |
|
|
07/01/33 |
|
3,733 |
|
|
|
4,348 |
|
|
|
5.000 |
|
|
08/01/33 |
|
4,965 |
|
|
|
709 |
|
|
|
5.000 |
|
|
10/01/33 |
|
810 |
|
|
|
2,316 |
|
|
|
5.000 |
|
|
11/01/33 |
|
2,643 |
|
|
|
1,003 |
|
|
|
5.000 |
|
|
12/01/33 |
|
1,146 |
|
|
|
3,034 |
|
|
|
5.000 |
|
|
02/01/34 |
|
3,466 |
|
|
|
1,257 |
|
|
|
5.000 |
|
|
03/01/34 |
|
1,438 |
|
|
|
2,559 |
|
|
|
5.000 |
|
|
04/01/34 |
|
2,929 |
|
|
|
3,372 |
|
|
|
5.000 |
|
|
05/01/34 |
|
3,850 |
|
|
|
52,634 |
|
|
|
5.000 |
|
|
06/01/34 |
|
60,112 |
|
|
|
868 |
|
|
|
5.000 |
|
|
11/01/34 |
|
993 |
|
|
|
13,466 |
|
|
|
5.000 |
|
|
04/01/35 |
|
15,375 |
|
|
|
426 |
|
|
|
5.000 |
|
|
11/01/35 |
|
486 |
|
|
|
7,210 |
|
|
|
5.000 |
|
|
02/01/37 |
|
8,297 |
|
|
|
243 |
|
|
|
5.000 |
|
|
11/01/37 |
|
278 |
|
|
|
16,263 |
|
|
|
5.000 |
|
|
01/01/40 |
|
18,759 |
|
|
|
11,289 |
|
|
|
4.000 |
|
|
06/01/40 |
|
12,450 |
|
|
|
90,703 |
|
|
|
4.000 |
|
|
02/01/41 |
|
100,065 |
|
|
|
5,932 |
|
|
|
4.000 |
|
|
11/01/41 |
|
6,578 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
251,227 |
|
GNMA 13.6% |
|
|
|
357,125 |
|
|
|
4.000 |
|
|
11/20/44 |
|
392,366 |
|
|
|
33,581 |
|
|
|
4.000 |
|
|
05/20/45 |
|
36,831 |
|
|
|
816,991 |
|
|
|
4.000 |
|
|
07/20/45 |
|
896,081 |
|
|
|
589,925 |
|
|
|
4.000 |
|
|
01/20/46 |
|
645,928 |
|
|
|
283,102 |
|
|
|
4.500 |
|
|
02/20/48 |
|
307,961 |
|
|
|
91,213 |
|
|
|
4.500 |
|
|
03/20/48 |
|
99,022 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
GNMA (continued) |
$ |
|
|
343,477 |
|
|
|
4.500 |
% |
|
04/20/48 |
|
$ 372,886 |
|
|
|
790,843 |
|
|
|
4.500 |
|
|
05/20/48 |
|
855,839 |
|
|
|
1,077,135 |
|
|
|
4.500 |
|
|
08/20/48 |
|
1,163,977 |
|
|
|
665,533 |
|
|
|
5.000 |
|
|
08/20/48 |
|
729,602 |
|
|
|
4,025,435 |
|
|
|
4.500 |
|
|
09/20/48 |
|
4,349,978 |
|
|
|
729,787 |
|
|
|
5.000 |
|
|
09/20/48 |
|
800,042 |
|
|
|
810,489 |
|
|
|
5.000 |
|
|
10/20/48 |
|
888,260 |
|
|
|
3,400,246 |
|
|
|
5.000 |
|
|
11/20/48 |
|
3,721,203 |
|
|
|
1,390,208 |
|
|
|
5.000 |
|
|
12/20/48 |
|
1,521,433 |
|
|
|
4,354,195 |
|
|
|
4.500 |
|
|
01/20/49 |
|
4,699,460 |
|
|
|
2,488,687 |
|
|
|
5.000 |
|
|
01/20/49 |
|
2,721,073 |
|
|
|
1,604,090 |
|
|
|
4.000 |
|
|
02/20/49 |
|
1,717,394 |
|
|
|
1,536,859 |
|
|
|
4.000 |
|
|
03/20/49 |
|
1,644,934 |
|
|
|
818,770 |
|
|
|
4.500 |
|
|
03/20/49 |
|
883,439 |
|
|
|
1,315,960 |
|
|
|
5.000 |
|
|
03/20/49 |
|
1,437,401 |
|
|
|
2,046,023 |
|
|
|
4.000 |
|
|
05/20/49 |
|
2,187,985 |
|
|
|
3,133,039 |
|
|
|
4.500 |
|
|
10/20/49 |
|
3,374,153 |
|
|
|
755,459 |
|
|
|
4.500 |
|
|
12/20/49 |
|
809,899 |
|
|
|
915,576 |
|
|
|
4.500 |
|
|
03/20/50 |
|
979,951 |
|
|
|
42,000,000 |
|
|
|
2.000 |
|
|
TBA-30yr(k) |
|
43,920,234 |
|
|
|
9,000,000 |
|
|
|
2.500 |
|
|
TBA-30yr(k) |
|
9,522,062 |
|
|
|
5,000,000 |
|
|
|
3.000 |
|
|
TBA-30yr(k) |
|
5,227,972 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
95,907,366 |
|
UMBS 4.2% |
|
|
|
243,362 |
|
|
|
5.000 |
|
|
06/01/23 |
|
268,369 |
|
|
|
48,342 |
|
|
|
5.000 |
|
|
01/01/24 |
|
53,302 |
|
|
|
42,525 |
|
|
|
5.000 |
|
|
01/01/25 |
|
46,895 |
|
|
|
263,376 |
|
|
|
4.500 |
|
|
07/01/36 |
|
294,394 |
|
|
|
22,201 |
|
|
|
4.500 |
|
|
12/01/36 |
|
24,815 |
|
|
|
20,578 |
|
|
|
4.500 |
|
|
05/01/38 |
|
23,046 |
|
|
|
19,177 |
|
|
|
4.500 |
|
|
05/01/39 |
|
21,491 |
|
|
|
11,723 |
|
|
|
4.500 |
|
|
06/01/39 |
|
13,156 |
|
|
|
7,034 |
|
|
|
4.500 |
|
|
08/01/39 |
|
7,894 |
|
|
|
12,514 |
|
|
|
4.500 |
|
|
09/01/39 |
|
14,004 |
|
|
|
14,933 |
|
|
|
4.500 |
|
|
10/01/39 |
|
16,711 |
|
|
|
6,194 |
|
|
|
4.500 |
|
|
03/01/40 |
|
6,931 |
|
|
|
91,302 |
|
|
|
4.500 |
|
|
04/01/40 |
|
102,047 |
|
|
|
7,437 |
|
|
|
4.500 |
|
|
12/01/40 |
|
8,312 |
|
|
|
80,202 |
|
|
|
4.500 |
|
|
01/01/41 |
|
89,640 |
|
|
|
24,735 |
|
|
|
4.500 |
|
|
04/01/41 |
|
27,649 |
|
|
|
46,623 |
|
|
|
4.500 |
|
|
06/01/41 |
|
52,114 |
|
|
|
32,532 |
|
|
|
4.500 |
|
|
07/01/41 |
|
36,363 |
|
|
|
51,970 |
|
|
|
4.500 |
|
|
08/01/41 |
|
58,089 |
|
|
|
167,939 |
|
|
|
4.500 |
|
|
09/01/41 |
|
187,718 |
|
|
|
119,787 |
|
|
|
4.500 |
|
|
10/01/41 |
|
133,894 |
|
|
|
113,759 |
|
|
|
4.500 |
|
|
11/01/41 |
|
127,157 |
|
|
|
68,599 |
|
|
|
4.500 |
|
|
12/01/41 |
|
76,678 |
|
|
|
80,308 |
|
|
|
4.500 |
|
|
01/01/42 |
|
89,766 |
|
|
|
8,755 |
|
|
|
4.500 |
|
|
03/01/42 |
|
9,950 |
|
|
|
30,829 |
|
|
|
4.500 |
|
|
04/01/42 |
|
34,651 |
|
|
|
77,464 |
|
|
|
3.000 |
|
|
12/01/42 |
|
84,868 |
|
|
|
188,367 |
|
|
|
3.000 |
|
|
01/01/43 |
|
206,429 |
|
|
|
251,857 |
|
|
|
3.000 |
|
|
04/01/43 |
|
276,244 |
|
|
|
465,185 |
|
|
|
4.500 |
|
|
06/01/45 |
|
519,181 |
|
|
|
2,252,466 |
|
|
|
4.500 |
|
|
11/01/47 |
|
2,486,598 |
|
|
|
5,506,450 |
|
|
|
4.000 |
|
|
01/01/48 |
|
6,021,965 |
|
|
|
929,789 |
|
|
|
4.500 |
|
|
07/01/48 |
|
1,007,259 |
|
|
|
600,260 |
|
|
|
4.500 |
|
|
09/01/48 |
|
670,907 |
|
|
|
438,520 |
|
|
|
5.000 |
|
|
11/01/48 |
|
499,882 |
|
GOLDMAN SACHS GLOBAL CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
UMBS (continued) |
$ |
|
|
946,914 |
|
|
|
4.500 |
% |
|
02/01/49 |
|
$ 1,025,219 |
|
|
|
2,830,609 |
|
|
|
4.500 |
|
|
06/01/49 |
|
3,063,801 |
|
|
|
4,736,229 |
|
|
|
5.000 |
|
|
10/01/49 |
|
5,246,622 |
|
|
|
1,919,650 |
|
|
|
5.000 |
|
|
12/01/49 |
|
2,130,986 |
|
|
|
4,000,000 |
|
|
|
3.000 |
|
|
12/01/50 |
|
4,312,304 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,377,301 |
|
UMBS, 30 Year, Single Family(k)
2.3% |
|
|
|
2,000,000 |
|
|
|
2.000 |
|
|
TBA-30yr |
|
2,079,053 |
|
|
|
9,000,000 |
|
|
|
3.000 |
|
|
TBA-30yr |
|
9,429,250 |
|
|
|
1,000,000 |
|
|
|
4.500 |
|
|
TBA-30yr |
|
1,083,750 |
|
|
|
3,000,000 |
|
|
|
5.000 |
|
|
TBA-30yr |
|
3,319,688 |
|
|
|
|
|
|
|
|
|
|
|
|
15,911,741 |
TOTAL FEDERAL AGENCIES |
|
$141,447,635 |
|
TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $157,494,429) |
|
$159,971,894 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency Debenture 0.3% |
FHLMC |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
|
|
1,160,000 |
|
|
|
6.750 |
% |
|
03/15/31 |
|
$ 1,786,481 |
(Cost $1,433,697) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Obligations 0.9% |
United States Treasury Notes |
$ |
|
|
3,280,000 |
|
|
|
0.125 |
% |
|
06/30/22 |
|
$ 3,280,384 |
|
|
|
2,740,000 |
|
|
|
3.125 |
|
|
11/15/28 |
|
3,242,619 |
|
TOTAL U.S. TREASURY OBLIGATIONS (Cost $6,540,362) |
|
$ 6,523,003 |
|
|
|
|
Shares |
|
|
Dividend Rate |
|
Value |
|
Investment Company(l) 1.5% |
Goldman Sachs Financial Square Government Fund - Institutional Shares |
|
|
|
10,254,446 |
|
|
|
0.026 |
% |
|
|
|
$ 10,254,446 |
(Cost $10,254,446) |
|
TOTAL INVESTMENTS 107.1% (Cost $701,650,234) |
|
$753,440,068 |
|
LIABILITIES IN EXCESS OF OTHER ASSETS (7.1)% |
|
(49,693,247) |
|
NET ASSETS 100.0% |
|
$703,746,821 |
|
|
|
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
|
|
(a) |
|
Exempt from registration under Rule 144A of the Securities Act of 1933. |
|
|
(b) |
|
Variable 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 December 31,
2020. |
|
|
(c) |
|
Actual maturity date is June 30, 2120. |
|
|
(d) |
|
Actual maturity date is September 20, 2117. |
|
|
(e) |
|
Issued with a zero coupon. Income is recognized through the accretion of discount. |
|
|
(f) |
|
Security with Call features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
|
|
(g) |
|
Actual maturity date is July 28, 2121. |
|
|
(h) |
|
Guaranteed by a foreign government until maturity. |
|
|
(i) |
|
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 December 31, 2020. |
|
|
(j) |
|
Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. |
|
|
(k) |
|
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 $74,582,009 which represents approximately 10.6% of the Funds net assets as of December 31, 2020. |
|
|
(l) |
|
Represents an affiliated issuer. |
|
|
|
|
Currency Abbreviations: |
AUD |
|
Australian Dollar |
BRL |
|
Brazilian Real |
CAD |
|
Canadian Dollar |
CHF |
|
Swiss Franc |
CNH |
|
Chinese Yuan Renminbi Offshore |
CNY |
|
Chinese Yuan Renminbi |
COP |
|
Colombian Peso |
EUR |
|
Euro |
GBP |
|
British Pound |
HUF |
|
Hungarian Forint |
IDR |
|
Indonesian Rupiah |
ILS |
|
Israeli Shekel |
INR |
|
Indian Rupee |
JPY |
|
Japanese Yen |
KRW |
|
South Korean Won |
MXN |
|
Mexican Peso |
MYR |
|
Malaysian Ringgit |
NOK |
|
Norwegian Krone |
NZD |
|
New Zealand Dollar |
PHP |
|
Philippine Peso |
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 |
CDO |
|
Collateralized Debt Obligation |
CDOR |
|
Canadian Dollar Offered Rate |
CHFOR |
|
Swiss Franc Offered Rate |
CLO |
|
Collateralized Loan Obligation |
CMT |
|
Constant Maturity Treasury Indexes |
CPI |
|
Consumer Price Index |
GOLDMAN SACHS GLOBAL CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
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 |
JIBAR |
|
Johannesburg Interbank Agreed Rate |
JYOR |
|
Japanese Yen Offered Rate |
KLIBOR |
|
Kuala Lumpur Interbank 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 |
PLC |
|
Public Limited Company |
REMIC |
|
Real Estate Mortgage Investment Conduit |
SOFR |
|
Secured Overnight Funding Rate |
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 GLOBAL CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS At December 31, 2020, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Currency Purchased |
|
|
Currency Sold |
|
|
Settlement Date |
|
Unrealized Gain |
|
|
|
MS & Co. Int. PLC |
|
AUD |
|
|
630,895 |
|
|
EUR |
|
|
390,253 |
|
|
03/17/21 |
|
$ |
9,105 |
|
|
|
AUD |
|
|
3,825,000 |
|
|
NZD |
|
|
4,037,720 |
|
|
03/17/21 |
|
|
44,682 |
|
|
|
AUD |
|
|
1,295,822 |
|
|
USD |
|
|
980,529 |
|
|
03/17/21 |
|
|
19,120 |
|
|
|
BRL |
|
|
4,033,952 |
|
|
USD |
|
|
762,653 |
|
|
01/05/21 |
|
|
14,070 |
|
|
|
BRL |
|
|
2,493,613 |
|
|
USD |
|
|
479,277 |
|
|
02/02/21 |
|
|
585 |
|
|
|
CAD |
|
|
3,382,668 |
|
|
USD |
|
|
2,648,006 |
|
|
03/17/21 |
|
|
10,010 |
|
|
|
CHF |
|
|
827,177 |
|
|
USD |
|
|
936,157 |
|
|
03/17/21 |
|
|
331 |
|
|
|
CNH |
|
|
15,636,764 |
|
|
USD |
|
|
2,383,954 |
|
|
03/17/21 |
|
|
8,277 |
|
|
|
COP |
|
|
9,045,278,559 |
|
|
USD |
|
|
2,497,946 |
|
|
01/29/21 |
|
|
150,500 |
|
|
|
EUR |
|
|
363,225 |
|
|
JPY |
|
|
45,755,136 |
|
|
03/17/21 |
|
|
989 |
|
|
|
EUR |
|
|
1,166,143 |
|
|
PLN |
|
|
5,267,079 |
|
|
03/17/21 |
|
|
16,709 |
|
|
|
EUR |
|
|
12,752,955 |
|
|
USD |
|
|
15,478,747 |
|
|
03/17/21 |
|
|
128,356 |
|
|
|
GBP |
|
|
352,829 |
|
|
EUR |
|
|
389,739 |
|
|
03/17/21 |
|
|
5,763 |
|
|
|
GBP |
|
|
936,887 |
|
|
USD |
|
|
1,249,055 |
|
|
01/13/21 |
|
|
32,295 |
|
|
|
GBP |
|
|
1,619,562 |
|
|
USD |
|
|
2,162,987 |
|
|
03/17/21 |
|
|
52,835 |
|
|
|
IDR |
|
|
82,121,845,865 |
|
|
USD |
|
|
5,793,650 |
|
|
01/06/21 |
|
|
97,868 |
|
|
|
IDR |
|
|
11,282,825,374 |
|
|
USD |
|
|
794,285 |
|
|
03/05/21 |
|
|
12,822 |
|
|
|
ILS |
|
|
2,487,853 |
|
|
USD |
|
|
764,869 |
|
|
03/17/21 |
|
|
10,392 |
|
|
|
INR |
|
|
506,067,968 |
|
|
USD |
|
|
6,809,205 |
|
|
01/27/21 |
|
|
100,910 |
|
|
|
JPY |
|
|
1,003,218,978 |
|
|
USD |
|
|
9,620,764 |
|
|
03/17/21 |
|
|
103,923 |
|
|
|
KRW |
|
|
7,145,743,215 |
|
|
USD |
|
|
6,374,219 |
|
|
01/08/21 |
|
|
193,987 |
|
|
|
KRW |
|
|
4,421,642,420 |
|
|
USD |
|
|
3,892,496 |
|
|
01/15/21 |
|
|
171,801 |
|
|
|
KRW |
|
|
4,421,642,420 |
|
|
USD |
|
|
3,966,097 |
|
|
02/19/21 |
|
|
97,894 |
|
|
|
MXN |
|
|
23,269,724 |
|
|
USD |
|
|
1,142,224 |
|
|
03/17/21 |
|
|
16,929 |
|
|
|
NOK |
|
|
1,644,967 |
|
|
EUR |
|
|
155,962 |
|
|
03/17/21 |
|
|
930 |
|
|
|
NOK |
|
|
31,180,474 |
|
|
USD |
|
|
3,545,167 |
|
|
03/17/21 |
|
|
90,343 |
|
|
|
NZD |
|
|
5,467,513 |
|
|
USD |
|
|
3,846,122 |
|
|
03/17/21 |
|
|
89,026 |
|
|
|
PHP |
|
|
22,861,318 |
|
|
USD |
|
|
473,987 |
|
|
01/15/21 |
|
|
1,623 |
|
|
|
PHP |
|
|
44,224,937 |
|
|
USD |
|
|
918,861 |
|
|
02/08/21 |
|
|
245 |
|
|
|
RUB |
|
|
14,505,573 |
|
|
USD |
|
|
188,667 |
|
|
01/25/21 |
|
|
6,795 |
|
|
|
RUB |
|
|
79,902,203 |
|
|
USD |
|
|
1,031,744 |
|
|
02/08/21 |
|
|
43,197 |
|
|
|
SEK |
|
|
7,908,959 |
|
|
EUR |
|
|
780,950 |
|
|
03/17/21 |
|
|
6,356 |
|
|
|
SEK |
|
|
3,945,613 |
|
|
USD |
|
|
477,151 |
|
|
03/17/21 |
|
|
2,813 |
|
|
|
SGD |
|
|
1,913,722 |
|
|
USD |
|
|
1,433,127 |
|
|
03/17/21 |
|
|
15,030 |
|
|
|
THB |
|
|
115,413,127 |
|
|
USD |
|
|
3,830,485 |
|
|
03/17/21 |
|
|
22,238 |
|
|
|
TRY |
|
|
3,883,204 |
|
|
USD |
|
|
461,502 |
|
|
01/11/21 |
|
|
59,134 |
|
|
|
TRY |
|
|
7,496,140 |
|
|
USD |
|
|
923,431 |
|
|
01/19/21 |
|
|
78,598 |
|
|
|
TRY |
|
|
3,058,989 |
|
|
USD |
|
|
384,292 |
|
|
01/25/21 |
|
|
23,696 |
|
|
|
TRY |
|
|
11,629,523 |
|
|
USD |
|
|
1,432,300 |
|
|
03/17/21 |
|
|
85,451 |
|
|
|
TWD |
|
|
26,765,538 |
|
|
USD |
|
|
946,024 |
|
|
01/04/21 |
|
|
6,951 |
|
|
|
TWD |
|
|
65,076,636 |
|
|
USD |
|
|
2,315,049 |
|
|
02/05/21 |
|
|
14,081 |
|
|
|
TWD |
|
|
13,323,924 |
|
|
USD |
|
|
471,443 |
|
|
02/17/21 |
|
|
6,440 |
|
|
|
TWD |
|
|
13,406,070 |
|
|
USD |
|
|
482,059 |
|
|
03/05/21 |
|
|
343 |
|
|
|
USD |
|
|
8,771,792 |
|
|
CAD |
|
|
11,136,492 |
|
|
03/11/21 |
|
|
21,139 |
|
|
|
USD |
|
|
481,915 |
|
|
CNH |
|
|
3,149,892 |
|
|
03/17/21 |
|
|
20 |
|
|
|
USD |
|
|
458,611 |
|
|
JPY |
|
|
47,277,733 |
|
|
03/17/21 |
|
|
325 |
|
|
|
USD |
|
|
18,995 |
|
|
JPY |
|
|
1,957,397 |
|
|
03/18/21 |
|
|
21 |
|
|
|
USD |
|
|
17,622,980 |
|
|
JPY |
|
|
1,816,009,334 |
|
|
03/29/21 |
|
|
16,595 |
|
|
|
USD |
|
|
475,869 |
|
|
KRW |
|
|
516,079,724 |
|
|
01/08/21 |
|
|
1,500 |
|
|
|
USD |
|
|
85,204 |
|
|
KRW |
|
|
92,622,897 |
|
|
02/19/21 |
|
|
73 |
|
|
|
USD |
|
|
380,036 |
|
|
MXN |
|
|
7,589,281 |
|
|
03/17/21 |
|
|
1,985 |
|
|
|
USD |
|
|
763,551 |
|
|
THB |
|
|
22,755,984 |
|
|
03/17/21 |
|
|
3,911 |
|
|
|
USD |
|
|
2,238,035 |
|
|
TWD |
|
|
62,384,620 |
|
|
02/05/21 |
|
|
5,256 |
|
|
|
USD |
|
|
189,346 |
|
|
ZAR |
|
|
2,795,964 |
|
|
03/17/21 |
|
|
952 |
|
|
|
ZAR |
|
|
16,224,429 |
|
|
USD |
|
|
1,076,037 |
|
|
03/17/21 |
|
$ |
17,186 |
|
|
|
TOTAL |
|
$ |
1,922,406 |
|
|
|
GOLDMAN SACHS GLOBAL CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Currency Purchased |
|
|
Currency Sold |
|
|
Settlement Date |
|
Unrealized Loss |
|
|
|
MS & Co. Int. PLC |
|
EUR |
|
|
390,417 |
|
|
GBP |
|
|
350,649 |
|
|
03/17/21 |
|
$ |
(1,952 |
) |
|
|
EUR |
|
|
1,950,374 |
|
|
NOK |
|
|
20,855,500 |
|
|
03/17/21 |
|
|
(44,789 |
) |
|
|
EUR |
|
|
392,554 |
|
|
NZD |
|
|
675,950 |
|
|
03/17/21 |
|
|
(6,095 |
) |
|
|
HUF |
|
|
178,248,535 |
|
|
EUR |
|
|
500,196 |
|
|
03/17/21 |
|
|
(11,744 |
) |
|
|
MXN |
|
|
32,677,786 |
|
|
USD |
|
|
1,632,545 |
|
|
03/17/21 |
|
|
(4,741 |
) |
|
|
PLN |
|
|
1,777,277 |
|
|
EUR |
|
|
396,602 |
|
|
03/17/21 |
|
|
(9,442 |
) |
|
|
PLN |
|
|
3,134,147 |
|
|
USD |
|
|
851,558 |
|
|
03/17/21 |
|
|
(12,294 |
) |
|
|
SEK |
|
|
8,733,102 |
|
|
EUR |
|
|
871,000 |
|
|
03/17/21 |
|
|
(3,594 |
) |
|
|
TWD |
|
|
52,561,022 |
|
|
USD |
|
|
1,885,416 |
|
|
02/05/21 |
|
|
(4,228 |
) |
|
|
TWD |
|
|
13,294,478 |
|
|
USD |
|
|
477,189 |
|
|
02/17/21 |
|
|
(362 |
) |
|
|
USD |
|
|
5,470,054 |
|
|
AUD |
|
|
7,298,509 |
|
|
03/17/21 |
|
|
(160,312 |
) |
|
|
USD |
|
|
768,882 |
|
|
BRL |
|
|
4,033,952 |
|
|
01/05/21 |
|
|
(7,842 |
) |
|
|
USD |
|
|
6,685,025 |
|
|
CAD |
|
|
8,550,417 |
|
|
03/17/21 |
|
|
(33,678 |
) |
|
|
USD |
|
|
32,434,564 |
|
|
CNH |
|
|
214,882,232 |
|
|
02/24/21 |
|
|
(492,230 |
) |
|
|
USD |
|
|
1,413,717 |
|
|
CNH |
|
|
9,255,803 |
|
|
03/17/21 |
|
|
(2,307 |
) |
|
|
USD |
|
|
2,487,093 |
|
|
COP |
|
|
8,636,851,430 |
|
|
01/29/21 |
|
|
(41,766 |
) |
|
|
USD |
|
|
86,578,495 |
|
|
EUR |
|
|
73,073,639 |
|
|
01/21/21 |
|
|
(2,739,540 |
) |
|
|
USD |
|
|
6,079,549 |
|
|
EUR |
|
|
5,016,233 |
|
|
03/17/21 |
|
|
(59,332 |
) |
|
|
USD |
|
|
15,225,679 |
|
|
GBP |
|
|
11,820,188 |
|
|
01/13/21 |
|
|
(940,416 |
) |
|
|
USD |
|
|
2,615,864 |
|
|
GBP |
|
|
1,937,512 |
|
|
03/17/21 |
|
|
(34,968 |
) |
|
|
USD |
|
|
5,708,327 |
|
|
IDR |
|
|
82,121,845,864 |
|
|
01/06/21 |
|
|
(183,190 |
) |
|
|
USD |
|
|
3,191,720 |
|
|
IDR |
|
|
45,500,526,772 |
|
|
04/05/21 |
|
|
(54,234 |
) |
|
|
USD |
|
|
722,506 |
|
|
ILS |
|
|
2,364,014 |
|
|
03/09/21 |
|
|
(14,056 |
) |
|
|
USD |
|
|
2,043,018 |
|
|
ILS |
|
|
6,640,116 |
|
|
03/17/21 |
|
|
(26,161 |
) |
|
|
USD |
|
|
5,782,288 |
|
|
INR |
|
|
428,717,373 |
|
|
01/27/21 |
|
|
(71,642 |
) |
|
|
USD |
|
|
1,412,565 |
|
|
JPY |
|
|
146,328,882 |
|
|
03/17/21 |
|
|
(5,872 |
) |
|
|
USD |
|
|
82,882,725 |
|
|
JPY |
|
|
8,581,511,585 |
|
|
03/18/21 |
|
|
(303,168 |
) |
|
|
USD |
|
|
14,497,090 |
|
|
KRW |
|
|
16,287,829,067 |
|
|
01/08/21 |
|
|
(474,316 |
) |
|
|
USD |
|
|
3,966,346 |
|
|
KRW |
|
|
4,421,642,420 |
|
|
01/15/21 |
|
|
(97,951 |
) |
|
|
USD |
|
|
671,792 |
|
|
MXN |
|
|
13,658,128 |
|
|
03/17/21 |
|
|
(8,572 |
) |
|
|
USD |
|
|
5,444,936 |
|
|
NOK |
|
|
47,848,030 |
|
|
03/17/21 |
|
|
(133,940 |
) |
|
|
USD |
|
|
5,064,482 |
|
|
NZD |
|
|
7,193,833 |
|
|
03/17/21 |
|
|
(113,155 |
) |
|
|
USD |
|
|
478,734 |
|
|
RUB |
|
|
36,313,735 |
|
|
01/25/21 |
|
|
(10,591 |
) |
|
|
USD |
|
|
947,439 |
|
|
RUB |
|
|
71,848,375 |
|
|
02/08/21 |
|
|
(19,153 |
) |
|
|
USD |
|
|
8,707,332 |
|
|
SEK |
|
|
73,753,831 |
|
|
03/17/21 |
|
|
(264,455 |
) |
|
|
USD |
|
|
1,564,313 |
|
|
SGD |
|
|
2,092,415 |
|
|
03/02/21 |
|
|
(19,010 |
) |
|
|
USD |
|
|
1,525,174 |
|
|
SGD |
|
|
2,028,039 |
|
|
03/17/21 |
|
|
(9,487 |
) |
|
|
USD |
|
|
8,409,235 |
|
|
THB |
|
|
253,437,719 |
|
|
03/17/21 |
|
|
(51,027 |
) |
|
|
USD |
|
|
571,528 |
|
|
TRY |
|
|
4,764,303 |
|
|
01/11/21 |
|
|
(67,240 |
) |
|
|
USD |
|
|
984,308 |
|
|
TRY |
|
|
7,888,536 |
|
|
01/19/21 |
|
|
(70,174 |
) |
|
|
USD |
|
|
364,001 |
|
|
TRY |
|
|
2,940,222 |
|
|
01/25/21 |
|
|
(28,147 |
) |
|
|
USD |
|
|
950,053 |
|
|
TWD |
|
|
26,765,538 |
|
|
01/04/21 |
|
|
(2,922 |
) |
|
|
USD |
|
|
468,173 |
|
|
TWD |
|
|
13,220,749 |
|
|
02/05/21 |
|
|
(5,005 |
) |
|
|
USD |
|
|
667,833 |
|
|
ZAR |
|
|
9,960,216 |
|
|
03/17/21 |
|
|
(3,298 |
) |
|
|
ZAR |
|
|
2,834,359 |
|
|
USD |
|
|
191,215 |
|
|
03/17/21 |
|
|
(233 |
) |
|
|
TOTAL |
|
$ |
(6,648,631 |
) |
|
|
GOLDMAN SACHS GLOBAL CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FORWARD SALES CONTRACTS At December 31, 2020, the Fund had the following forward sales contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Interest Rate |
|
Maturity Date(a) |
|
Settlement Date |
|
Principal Amount |
|
|
Value |
|
|
|
GNMA (Proceeds Receivable: $(4,257,500)) |
|
4.000% |
|
TBA-30yr |
|
01/21/21 |
|
$ |
(4,000,000 |
) |
|
$ |
(4,264,062 |
) |
|
|
(a) |
|
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. |
FUTURES CONTRACTS At December 31, 2020, 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 |
|
41 |
|
03/15/21 |
|
$ |
3,712,095 |
|
|
$ |
2,637 |
|
Australian 10 Year Government Bonds |
|
56 |
|
03/15/21 |
|
|
6,356,394 |
|
|
|
(4,687 |
) |
Canada 10 Year Government Bonds |
|
64 |
|
03/22/21 |
|
|
7,496,583 |
|
|
|
(543 |
) |
Euro Buxl 30 Year Bonds |
|
5 |
|
03/08/21 |
|
|
1,375,822 |
|
|
|
11,231 |
|
French 10 Year Government Bonds |
|
65 |
|
03/08/21 |
|
|
13,329,302 |
|
|
|
37,200 |
|
Italian 10 Year Government Bonds |
|
34 |
|
03/08/21 |
|
|
6,313,903 |
|
|
|
28,835 |
|
Japan 10 Year Government Bonds |
|
2 |
|
03/15/21 |
|
|
2,942,618 |
|
|
|
(1,654 |
) |
Ultra Long U.S. Treasury Bonds |
|
3 |
|
03/22/21 |
|
|
640,687 |
|
|
|
389 |
|
2 Year German Euro-Schatz |
|
233 |
|
03/08/21 |
|
|
31,958,458 |
|
|
|
(20,318 |
) |
5 Year German Euro-Bobl |
|
84 |
|
03/08/21 |
|
|
13,871,983 |
|
|
|
(3,599 |
) |
10 Year German Euro-Bund |
|
47 |
|
03/08/21 |
|
|
10,199,654 |
|
|
|
23,462 |
|
10 Year U.K. Long Gilt |
|
81 |
|
03/29/21 |
|
|
15,013,436 |
|
|
|
161,307 |
|
10 Year U.S. Treasury Notes |
|
228 |
|
03/22/21 |
|
|
31,481,812 |
|
|
|
43,771 |
|
20 Year U.S. Treasury Bonds |
|
178 |
|
03/22/21 |
|
|
30,827,375 |
|
|
|
(262,860 |
) |
|
|
Total |
|
|
$ |
15,171 |
|
|
|
Short position contracts: |
|
|
|
|
|
Ultra 10 Year U.S. Treasury Notes |
|
(239) |
|
03/22/21 |
|
|
(37,369,891 |
) |
|
|
90,074 |
|
2 Year U.S. Treasury Notes |
|
(187) |
|
03/31/21 |
|
|
(41,322,617 |
) |
|
|
(35,509 |
) |
5 Year U.S. Treasury Notes |
|
(436) |
|
03/31/21 |
|
|
(55,007,531 |
) |
|
|
(48,596 |
) |
|
|
Total |
|
|
|
|
|
|
|
|
|
$ |
5,969 |
|
|
|
TOTAL FUTURES CONTRACTS |
|
|
|
|
|
|
|
|
|
$ |
21,140 |
|
|
|
SWAP CONTRACTS At December 31, 2020, 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 |
|
|
Unrealized Appreciation/ (Depreciation)(*) |
|
|
|
3M KLIBOR(a) |
|
3.565% |
|
JPMorgan Securities, Inc. |
|
03/14/24 |
|
MYR 10,040 |
|
$ |
122,501 |
|
|
$ |
122,501 |
|
|
|
(a) |
|
Payments made quarterly. |
(*) |
|
There are no upfront payments on the swap contract, therefore the unrealized gain on the swap contracts is equal to their market value. |
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) |
|
|
|
0.250(b) |
|
3M WIBOR(a) |
|
12/16/21 |
|
PLN |
33,570 |
|
|
$ |
(9,335 |
) |
|
$ |
(1,602 |
) |
|
$ |
(7,733 |
) |
1M BID Average(c) |
|
4.230(c) |
|
01/02/23 |
|
BRL |
6,035 |
|
|
|
8,432 |
|
|
|
(1,230 |
) |
|
|
9,662 |
|
Mexico Ib TIIE 28 Days(b) |
|
4.400(a) |
|
03/15/23 |
|
MXN |
130,830 |
(d) |
|
|
13,563 |
|
|
|
1,712 |
|
|
|
11,851 |
|
6M EURO(f) |
|
(0.250)(e) |
|
03/17/23 |
|
EUR |
6,740 |
(d) |
|
|
44,797 |
|
|
|
48,278 |
|
|
|
(3,481 |
) |
2.500(a) |
|
3M CNY(a) |
|
03/17/23 |
|
CNY |
20,510 |
(d) |
|
|
(38 |
) |
|
|
13,042 |
|
|
|
(13,080 |
) |
6M WIBOR(f) |
|
0.345(e) |
|
06/16/23 |
|
PLN |
8,725 |
(d) |
|
|
4,791 |
|
|
|
(9,567 |
) |
|
|
14,358 |
|
3M JIBAR(a) |
|
4.000(a) |
|
06/16/23 |
|
ZAR |
29,660 |
(d) |
|
|
9,361 |
|
|
|
(419 |
) |
|
|
9,780 |
|
6M CDOR(f) |
|
0.700(f) |
|
11/18/23 |
|
CAD |
29,800 |
(d) |
|
|
26,445 |
|
|
|
599 |
|
|
|
25,846 |
|
1M BID Average(b) |
|
4.930(b) |
|
01/02/24 |
|
BRL |
7,560 |
|
|
|
18,396 |
|
|
|
(965 |
) |
|
|
19,361 |
|
6M CDOR(f) |
|
0.750(f) |
|
03/17/24 |
|
CAD |
24,500 |
(d) |
|
|
68,571 |
|
|
|
30,413 |
|
|
|
38,158 |
|
0.250(f) |
|
3M LIBOR(a) |
|
03/17/24 |
|
$ |
15,050 |
(d) |
|
|
3,662 |
|
|
|
19,977 |
|
|
|
(16,315 |
) |
GOLDMAN SACHS GLOBAL CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (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) |
|
|
|
0.000(a) |
|
3M LIBOR(a) |
|
|
07/25/24 |
|
|
$ |
47,120 |
|
|
$ |
(15,818 |
) |
|
$ |
15,823 |
|
|
$ |
(31,641 |
) |
6M CDOR(f) |
|
0.810(f) |
|
|
09/30/24 |
|
|
CAD |
28,780 |
(d) |
|
|
(14,936 |
) |
|
|
2,587 |
|
|
|
(17,523 |
) |
6M CDOR(f) |
|
0.960(f) |
|
|
11/09/24 |
|
|
|
64,910 |
(d) |
|
|
91,136 |
|
|
|
24,798 |
|
|
|
66,338 |
|
0.000(a) |
|
3M LIBOR(a) |
|
|
11/10/24 |
|
|
$ |
27,960 |
|
|
|
(24,211 |
) |
|
|
27 |
|
|
|
(24,238 |
) |
6M CDOR(f) |
|
0.812(f) |
|
|
11/17/24 |
|
|
CAD |
34,050 |
(d) |
|
|
39,956 |
|
|
|
(11,099 |
) |
|
|
51,055 |
|
0.400(f) |
|
3M LIBOR(a) |
|
|
11/17/24 |
|
|
$ |
26,220 |
(d) |
|
|
(39,731 |
) |
|
|
9,476 |
|
|
|
(49,207 |
) |
6M EURO(f) |
|
0.080(e) |
|
|
01/15/25 |
|
|
EUR |
4,960 |
|
|
|
145,323 |
|
|
|
23,082 |
|
|
|
122,241 |
|
0.080(e) |
|
6M EURO(f) |
|
|
01/15/25 |
|
|
|
4,960 |
|
|
|
9,500 |
|
|
|
(206 |
) |
|
|
9,706 |
|
6M AUDOR(f) |
|
0.553(f) |
|
|
05/16/25 |
|
|
AUD |
4,630 |
(d) |
|
|
14,485 |
|
|
|
(282,476 |
) |
|
|
296,961 |
|
(0.500)(e) |
|
6M EURO(e) |
|
|
05/18/25 |
|
|
EUR |
4,950 |
(d) |
|
|
(16,039 |
) |
|
|
(13,689 |
) |
|
|
(2,350 |
) |
6M AUDOR(f) |
|
0.500(f) |
|
|
11/25/25 |
|
|
AUD |
28,280 |
(d) |
|
|
(33,866 |
) |
|
|
(23,118 |
) |
|
|
(10,748 |
) |
(f) |
|
0.750(f) |
|
|
12/16/25 |
|
|
THB |
82,200 |
|
|
|
15,971 |
|
|
|
(1,154 |
) |
|
|
17,125 |
|
6M WIBOR(f) |
|
0.750(e) |
|
|
12/16/25 |
|
|
PLN |
6,750 |
|
|
|
13,651 |
|
|
|
(1,414 |
) |
|
|
15,065 |
|
Mexico Interbank TIIE 28
Days(c) |
|
4.900(c) |
|
|
03/11/26 |
|
|
MXN |
6,440 |
(d) |
|
|
2,229 |
|
|
|
152 |
|
|
|
2,077 |
|
6M CHFOR(f) |
|
(0.500)(e) |
|
|
03/17/26 |
|
|
CHF |
3,580 |
(d) |
|
|
9,175 |
|
|
|
10,082 |
|
|
|
(907 |
) |
3M STIBOR(a) |
|
0.000(e) |
|
|
03/17/26 |
|
|
SEK |
148,480 |
(d) |
|
|
(136,692 |
) |
|
|
(87,962 |
) |
|
|
(48,730 |
) |
6M GBP(f) |
|
0.250(f) |
|
|
03/17/26 |
|
|
GBP |
1,760 |
(d) |
|
|
4,853 |
|
|
|
(1,124 |
) |
|
|
5,977 |
|
3M NIBOR(f) |
|
0.750(e) |
|
|
03/17/26 |
|
|
NOK |
92,650 |
(d) |
|
|
(123,404 |
) |
|
|
(71,743 |
) |
|
|
(51,661 |
) |
3M JIBAR(a) |
|
5.250(a) |
|
|
03/17/26 |
|
|
ZAR |
77,025 |
(d) |
|
|
82,040 |
|
|
|
8,449 |
|
|
|
73,591 |
|
(0.250)(e) |
|
6M EURO(f) |
|
|
03/17/26 |
|
|
EUR |
8,490 |
(d) |
|
|
(107,454 |
) |
|
|
(114,654 |
) |
|
|
7,200 |
|
(0.500)(e) |
|
6M EURO(e) |
|
|
03/17/26 |
|
|
|
21,320 |
(d) |
|
|
(99,382 |
) |
|
|
(146,580 |
) |
|
|
47,198 |
|
6M EURO(f) |
|
(0.250)(e) |
|
|
03/17/28 |
|
|
|
3,340 |
(d) |
|
|
38,807 |
|
|
|
40,039 |
|
|
|
(1,232 |
) |
6M CHFOR(f) |
|
(0.500)(e) |
|
|
03/17/28 |
|
|
CHF |
9,220 |
(d) |
|
|
(56,023 |
) |
|
|
(41,170 |
) |
|
|
(14,853 |
) |
(0.500)(e) |
|
6M EURO(e) |
|
|
03/17/28 |
|
|
EUR |
8,100 |
(d) |
|
|
(9,180 |
) |
|
|
(33,283 |
) |
|
|
24,103 |
|
1.500(e) |
|
6M EURO(f) |
|
|
06/21/28 |
|
|
|
5,050 |
(d) |
|
|
(575,159 |
) |
|
|
(59,157 |
) |
|
|
(516,002 |
) |
6M AUDOR(f) |
|
0.920(f) |
|
|
09/04/28 |
|
|
AUD |
34,270 |
(d) |
|
|
(166,367 |
) |
|
|
(52,574 |
) |
|
|
(113,793 |
) |
3M NZDOR(a) |
|
1.750(f) |
|
|
03/19/30 |
|
|
NZD |
2,110 |
(d) |
|
|
30,345 |
|
|
|
33,769 |
|
|
|
(3,424 |
) |
6M AUDOR(f) |
|
1.750(f) |
|
|
03/19/30 |
|
|
AUD |
3,800 |
(d) |
|
|
43,109 |
|
|
|
36,819 |
|
|
|
6,290 |
|
0.250(f) |
|
6M JYOR(f) |
|
|
03/19/30 |
|
|
JPY |
130,600 |
(d) |
|
|
(10,311 |
) |
|
|
(8,866 |
) |
|
|
(1,445 |
) |
6M EURO(f) |
|
0.050(e) |
|
|
05/21/30 |
|
|
EUR |
13,330 |
(d) |
|
|
158,565 |
|
|
|
20,761 |
|
|
|
137,804 |
|
3M LIBOR(a) |
|
1.750(f) |
|
|
06/18/30 |
|
|
$ |
5,490 |
(d) |
|
|
105,514 |
|
|
|
136,346 |
|
|
|
(30,832 |
) |
0.750(e) |
|
3M STIBOR(a) |
|
|
06/18/30 |
|
|
SEK |
11,720 |
(d) |
|
|
(11,363 |
) |
|
|
(17,267 |
) |
|
|
5,904 |
|
0.250(e) |
|
6M EURO(f) |
|
|
06/18/30 |
|
|
EUR |
15,710 |
(d) |
|
|
(378,843 |
) |
|
|
(1,163,686 |
) |
|
|
784,843 |
|
1.000(f) |
|
6M GBP(f) |
|
|
06/18/30 |
|
|
GBP |
2,030 |
(d) |
|
|
(60,517 |
) |
|
|
(57,845 |
) |
|
|
(2,672 |
) |
3M KWCDC(a) |
|
1.000(a) |
|
|
09/16/30 |
|
|
KRW |
2,402,600 |
|
|
|
(56,184 |
) |
|
|
(3,610 |
) |
|
|
(52,574 |
) |
(0.100)(e) |
|
6M CHFOR(f) |
|
|
09/17/30 |
|
|
CHF |
2,350 |
(d) |
|
|
8,045 |
|
|
|
(668 |
) |
|
|
8,713 |
|
6M AUDOR(f) |
|
1.240(f) |
|
|
10/28/30 |
|
|
AUD |
10,630 |
(d) |
|
|
(130,636 |
) |
|
|
(115,688 |
) |
|
|
(14,948 |
) |
1.240(e) |
|
3M NIBOR(f) |
|
|
10/29/30 |
|
|
NOK |
89,980 |
(d) |
|
|
185,919 |
|
|
|
(165,794 |
) |
|
|
351,713 |
|
6M AUDOR(f) |
|
1.250(f) |
|
|
11/09/30 |
|
|
AUD |
13,560 |
(d) |
|
|
(165,311 |
) |
|
|
(192,786 |
) |
|
|
27,475 |
|
1.430(f) |
|
6M CDOR(f) |
|
|
11/09/30 |
|
|
CAD |
13,070 |
(d) |
|
|
(54,479 |
) |
|
|
(14,680 |
) |
|
|
(39,799 |
) |
1.190(f) |
|
3M LIBOR(a) |
|
|
11/10/30 |
|
|
$ |
9,620 |
(d) |
|
|
104,413 |
|
|
|
67,731 |
|
|
|
36,682 |
|
0.144(f) |
|
6M JYOR(f) |
|
|
11/13/30 |
|
|
JPY |
2,181,280 |
(d) |
|
|
(24,269 |
) |
|
|
(84,959 |
) |
|
|
60,690 |
|
3M LIBOR(a) |
|
1.245(f) |
|
|
11/24/30 |
|
|
$ |
12,440 |
(d) |
|
|
(105,419 |
) |
|
|
(13,983 |
) |
|
|
(91,436 |
) |
6M CHFOR(f) |
|
(0.250)(f) |
|
|
03/17/31 |
|
|
CHF |
2,210 |
(d) |
|
|
5,005 |
|
|
|
8,820 |
|
|
|
(3,815 |
) |
3M LIBOR(f) |
|
0.750(a) |
|
|
03/17/31 |
|
|
$ |
10 |
(d) |
|
|
(198 |
) |
|
|
(201 |
) |
|
|
3 |
|
0.000(e) |
|
6M EURO(f) |
|
|
03/17/31 |
|
|
EUR |
2,640 |
(d) |
|
|
(84,124 |
) |
|
|
(92,372 |
) |
|
|
8,248 |
|
0.500(f) |
|
6M GBP(f) |
|
|
03/17/31 |
|
|
GBP |
3,360 |
(d) |
|
|
(40,995 |
) |
|
|
(6,603 |
) |
|
|
(34,392 |
) |
3M NIBOR(f) |
|
1.000(e) |
|
|
03/18/31 |
|
|
NOK |
27,990 |
(d) |
|
|
(96,506 |
) |
|
|
(136,482 |
) |
|
|
39,976 |
|
6M CDOR(f) |
|
1.500(f) |
|
|
03/19/31 |
|
|
CAD |
5,450 |
(d) |
|
|
(29,476 |
) |
|
|
(49,000 |
) |
|
|
19,524 |
|
1.543(f) |
|
3M LIBOR(a) |
|
|
11/25/35 |
|
|
$ |
13,680 |
(d) |
|
|
137,462 |
|
|
|
3,899 |
|
|
|
133,563 |
|
0.000(e) |
|
6M EURO(f) |
|
|
03/17/36 |
|
|
EUR |
760 |
(d) |
|
|
(10,117 |
) |
|
|
(9,491 |
) |
|
|
(626 |
) |
0.260(e) |
|
6M EURO(f) |
|
|
05/21/40 |
|
|
|
6,360 |
(d) |
|
|
3,973 |
|
|
|
(48,642 |
) |
|
|
52,615 |
|
3M LIBOR(f) |
|
1.750(a) |
|
|
06/19/40 |
|
|
$ |
3,120 |
(d) |
|
|
(2,914 |
) |
|
|
21,213 |
|
|
|
(24,127 |
) |
0.750(e) |
|
6M EURO(f) |
|
|
06/19/40 |
|
|
EUR |
3,410 |
(d) |
|
|
(208,607 |
) |
|
|
(410,674 |
) |
|
|
202,067 |
|
6M GBP(f) |
|
0.500(f) |
|
|
03/17/41 |
|
|
GBP |
1,080 |
(d) |
|
|
(22,458 |
) |
|
|
(45,424 |
) |
|
|
22,966 |
|
0.250(e) |
|
6M EURO(f) |
|
|
03/17/41 |
|
|
EUR |
530 |
(d) |
|
|
(32,599 |
) |
|
|
(31,259 |
) |
|
|
(1,340 |
) |
0.500(f) |
|
6M JYOR(f) |
|
|
03/19/41 |
|
|
JPY |
75,430 |
(d) |
|
|
897 |
|
|
|
(927 |
) |
|
|
1,824 |
|
3M LIBOR(a) |
|
1.750(f) |
|
|
06/20/50 |
|
|
$ |
5,720 |
(d) |
|
|
51,557 |
|
|
|
77,955 |
|
|
|
(26,398 |
) |
0.500(e) |
|
6M EURO(f) |
|
|
06/20/50 |
|
|
EUR |
3,180 |
(d) |
|
|
(226,982 |
) |
|
|
(289,696 |
) |
|
|
62,714 |
|
0.500(f) |
|
6M JYOR(f) |
|
|
06/20/50 |
|
|
JPY |
84,810 |
(d) |
|
|
11,943 |
|
|
|
(131 |
) |
|
|
12,074 |
|
6M GBP(f) |
|
0.500(f) |
|
|
03/17/51 |
|
|
GBP |
1,150 |
(d) |
|
|
(34,950 |
) |
|
|
(71,243 |
) |
|
|
36,293 |
|
0.000(e) |
|
6M EURO(f) |
|
|
03/17/51 |
|
|
EUR |
2,790 |
(d) |
|
|
(28,558 |
) |
|
|
(21,833 |
) |
|
|
(6,725 |
) |
|
|
TOTAL |
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,731,560 |
) |
|
$ |
(3,353,147 |
) |
|
$ |
1,621,587 |
|
|
|
(a) |
|
Payments made monthly. |
GOLDMAN SACHS GLOBAL CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
(b) |
|
Payments made at semi-annually. |
(c) |
|
Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to December 31, 2020. |
(d) |
|
Payments made annually |
(e) |
|
Payments made quarterly. |
(f) |
|
Payments made maturity. |
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference
Obligation/Index |
|
Financing Rate Paid by the Fund(a) |
|
|
Credit Spread at December 31, 2020(b) |
|
|
Counterparty |
|
Termination Date |
|
|
Notional Amount (000s) |
|
|
Value |
|
|
Upfront Premiums (Received) Paid |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
Protection Purchased: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Peoples Republic of China, 7.500%, 10/28/27 |
|
|
(1.000) |
|
|
|
0.064% |
|
|
Barclays Bank PLC |
|
|
12/20/21 |
|
|
$ |
460 |
|
|
$ |
(4,380 |
) |
|
$ |
(354 |
) |
|
$ |
(4,026 |
) |
Peoples Republic of China, 7.500%, 10/28/27 |
|
|
(1.000) |
|
|
|
0.057 |
|
|
Deutsche Bank AG (London) |
|
|
06/20/21 |
|
|
|
100 |
|
|
|
(481 |
) |
|
|
(2 |
) |
|
|
(479 |
) |
Protection Sold: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Markit CMBX Series 11 |
|
|
3.000 |
|
|
|
4.368 |
|
|
MS & Co. Int. PLC |
|
|
11/18/54 |
|
|
|
3,400 |
|
|
|
(266,787 |
) |
|
|
(641,561 |
) |
|
|
374,774 |
|
Markit CMBX Series 8 |
|
|
3.000 |
|
|
|
7.961 |
|
|
MS & Co. Int. PLC |
|
|
10/17/57 |
|
|
|
1,250 |
|
|
|
(200,036 |
) |
|
|
(301,631 |
) |
|
|
101,595 |
|
Markit CMBX Series 10 |
|
|
3.000 |
|
|
|
5.517 |
|
|
MS & Co. Int. PLC |
|
|
11/17/59 |
|
|
|
1,550 |
|
|
|
(191,441 |
) |
|
|
(307,707 |
) |
|
|
116,266 |
|
|
|
TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(663,125 |
) |
|
$ |
(1,251,255 |
) |
|
$ |
588,130 |
|
|
|
(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 December 31, 2020(b) |
|
|
Termination Date |
|
Notional Amount (000s) |
|
|
Value |
|
|
Upfront Premiums (Received) Paid |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
Protection Sold: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CDX.NA.IG Index 28 |
|
|
1.000% |
|
|
|
0.437% |
|
|
06/20/22 |
|
$ |
22,525 |
|
|
$ |
195,022 |
|
|
$ |
239,213 |
|
|
$ |
(44,191 |
) |
CDX.NA.IG Index 34 |
|
|
1.000 |
|
|
|
0.418 |
|
|
06/20/23 |
|
|
18,450 |
|
|
|
271,035 |
|
|
|
182,814 |
|
|
|
88,221 |
|
CDX.NA.IG Index 34 |
|
|
1.000 |
|
|
|
0.629 |
|
|
06/20/25 |
|
|
14,100 |
|
|
|
234,037 |
|
|
|
135,709 |
|
|
|
98,328 |
|
CDX.NA.IG Index 35 |
|
|
1.000 |
|
|
|
0.500 |
|
|
12/20/25 |
|
|
9,625 |
|
|
|
238,706 |
|
|
|
229,007 |
|
|
|
9,699 |
|
Kingdom of Saudi Arabia, 2.375%, 10/26/21 |
|
|
1.000 |
|
|
|
0.432 |
|
|
06/20/24 |
|
|
1,130 |
|
|
|
22,709 |
|
|
|
3,743 |
|
|
|
18,966 |
|
Republic of Chile, 3.875%, 08/05/20 |
|
|
1.000 |
|
|
|
0.320 |
|
|
12/20/24 |
|
|
1,000 |
|
|
|
27,423 |
|
|
|
20,096 |
|
|
|
7,327 |
|
Republic of Colombia, 10.375%, 01/28/33 |
|
|
1.000 |
|
|
|
0.554 |
|
|
06/20/24 |
|
|
2,950 |
|
|
|
46,687 |
|
|
|
(7,578 |
) |
|
|
54,265 |
|
Republic of Indonesia, 5.875%, 03/13/20 |
|
|
1.000 |
|
|
|
0.449 |
|
|
06/20/24 |
|
|
110 |
|
|
|
2,140 |
|
|
|
(173 |
) |
|
|
2,313 |
|
Republic of Peru, 8.750%, 11/21/33 |
|
|
1.000 |
|
|
|
0.357 |
|
|
06/20/24 |
|
|
20 |
|
|
|
455 |
|
|
|
340 |
|
|
|
115 |
|
Russian Federation, 7.500%, 03/31/30 |
|
|
1.000 |
|
|
|
0.687 |
|
|
12/20/24 |
|
|
1,580 |
|
|
|
20,080 |
|
|
|
7,467 |
|
|
|
12,613 |
|
Unibail-Rodamco-Westfield SE, 2.375%, 02/25/21 |
|
|
1.000 |
|
|
|
1.079 |
|
|
06/20/24 |
|
EUR |
1,200 |
|
|
|
(3,524 |
) |
|
|
17,285 |
|
|
|
(20,809 |
) |
United Mexican States, 4.150%, 03/28/27 |
|
|
1.000 |
|
|
|
0.497 |
|
|
06/20/24 |
|
$ |
320 |
|
|
|
5,703 |
|
|
|
(3,286 |
) |
|
|
8,989 |
|
|
|
TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,060,473 |
|
|
$ |
824,637 |
|
|
$ |
235,836 |
|
|
|
(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 CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
PURCHASED AND WRITTEN OPTIONS CONTRACTS At December 31, 2020, 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 |
|
|
Market Value |
|
|
Premiums Paid (Received) by Fund |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
Purchased option contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Puts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6M IRS |
|
JPMorgan Securities, Inc. |
|
0.555% |
|
06/17/2021 |
|
|
22,050,000 |
|
|
$ |
22,050,000 |
|
|
$ |
95,047 |
|
|
$ |
98,482 |
|
|
$ |
(3,435 |
) |
3M IRS |
|
JPMorgan Securities, Inc. |
|
0.783 |
|
02/16/2021 |
|
|
3,470,000 |
|
|
|
3,470,000 |
|
|
|
10,308 |
|
|
|
17,306 |
|
|
|
(6,998 |
) |
3Y IRS |
|
JPMorgan Securities, Inc. |
|
0.700 |
|
11/14/2022 |
|
|
10,100,000 |
|
|
|
10,100,000 |
|
|
|
106,590 |
|
|
|
102,227 |
|
|
|
4,363 |
|
6M IRS |
|
JPMorgan Securities, Inc. |
|
1.100 |
|
03/17/2021 |
|
|
21,000,000 |
|
|
|
21,000,000 |
|
|
|
42,710 |
|
|
|
252,000 |
|
|
|
(209,290 |
) |
|
|
Total purchased option contracts |
|
|
|
|
|
|
|
|
60,650,000 |
|
|
|
$ 60,650,000 |
|
|
$ |
270,444 |
|
|
$ |
491,374 |
|
|
$ |
(220,930 |
) |
|
|
Written option contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3M IRS |
|
MS & Co. Int. PLC |
|
0.825 |
|
02/12/2021 |
|
|
4,030,000 |
|
|
|
4,030,000 |
|
|
|
15,789 |
|
|
|
21,359 |
|
|
|
(5,570 |
) |
Calls |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1M IRS |
|
|
|
0.250 |
|
01/04/2021 |
|
|
(3,320,000 |
) |
|
|
(3,320,000 |
) |
|
|
(7,208 |
) |
|
|
(13,762 |
) |
|
|
6,554 |
|
3M IRS |
|
BofA Securities LLC |
|
0.293 |
|
02/16/2021 |
|
|
(4,230,000 |
) |
|
|
(4,230,000 |
) |
|
|
(14,068 |
) |
|
|
(15,917 |
) |
|
|
1,849 |
|
1M IRS |
|
Citibank NA |
|
0.958 |
|
01/29/2021 |
|
|
(3,970,000 |
) |
|
|
(3,970,000 |
) |
|
|
(32,180 |
) |
|
|
(26,649 |
) |
|
|
(5,531 |
) |
3M IRS |
|
Citibank NA |
|
0.000 |
|
03/08/2021 |
|
|
(830,000 |
) |
|
|
(830,000 |
) |
|
|
(28,330 |
) |
|
|
(27,740 |
) |
|
|
(590 |
) |
3M IRS |
|
Citibank NA |
|
0.261 |
|
02/12/2021 |
|
|
(4,910,000 |
) |
|
|
(4,910,000 |
) |
|
|
(24,155 |
) |
|
|
(19,479 |
) |
|
|
(4,676 |
) |
1M IRS |
|
Deutsche Bank AG (London) |
|
0.914 |
|
01/14/2021 |
|
|
(3,970,000 |
) |
|
|
(3,970,000 |
) |
|
|
(14,803 |
) |
|
|
(28,286 |
) |
|
|
13,483 |
|
3M IRS |
|
Deutsche Bank AG (London) |
|
0.280 |
|
01/06/2021 |
|
|
(21,200,000 |
) |
|
|
(21,200,000 |
) |
|
|
(4 |
) |
|
|
(23,320 |
) |
|
|
23,316 |
|
3M IRS |
|
Deutsche Bank AG (London) |
|
0.310 |
|
01/20/2021 |
|
|
(21,220,000 |
) |
|
|
(21,220,000 |
) |
|
|
(3,200 |
) |
|
|
(24,403 |
) |
|
|
21,203 |
|
GOLDMAN SACHS GLOBAL CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
OVER-THE-COUNTER INTEREST RATE SWAPTIONS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Counterparty |
|
Exercise Rate |
|
Expiration Date |
|
Number of Contracts |
|
|
Notional Amount |
|
|
Market Value |
|
|
Premiums Paid (Received) by Fund |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
Written option contracts (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Calls (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1M IRS |
|
JPMorgan Securities, Inc. |
|
0.242% |
|
01/11/2021 |
|
|
(3,320,000 |
) |
|
$ |
(3,320,000 |
) |
|
$ |
(11,742 |
) |
|
$ |
(14,373 |
) |
|
$ |
2,631 |
|
3M IRS |
|
JPMorgan Securities, Inc. |
|
0.020 |
|
03/10/2021 |
|
|
(1,370,000 |
) |
|
|
(1,370,000 |
) |
|
|
(41,928 |
) |
|
|
(43,736 |
) |
|
|
1,808 |
|
3Y IRS |
|
JPMorgan Securities, Inc. |
|
1.060 |
|
11/14/2022 |
|
|
(2,000,000 |
) |
|
|
(2,000,000 |
) |
|
|
(90,113 |
) |
|
|
(103,884 |
) |
|
|
13,771 |
|
6M IRS |
|
JPMorgan Securities, Inc. |
|
0.700 |
|
03/17/2021 |
|
|
(21,000,000 |
) |
|
|
(21,000,000 |
) |
|
|
(6,955 |
) |
|
|
(95,865 |
) |
|
|
88,910 |
|
6M IRS |
|
JPMorgan Securities, Inc. |
|
0.900 |
|
03/17/2021 |
|
|
(21,000,000 |
) |
|
|
(21,000,000 |
) |
|
|
(17,844 |
) |
|
|
(168,000 |
) |
|
|
150,156 |
|
1M IRS |
|
MS & Co. Int. PLC |
|
0.251 |
|
01/29/2021 |
|
|
(3,320,000 |
) |
|
|
(3,320,000 |
) |
|
|
(15,396 |
) |
|
|
(13,523 |
) |
|
|
(1,873 |
) |
1M IRS |
|
MS & Co. Int. PLC |
|
0.265 |
|
01/18/2021 |
|
|
(3,320,000 |
) |
|
|
(3,320,000 |
) |
|
|
(7,992 |
) |
|
|
(13,806 |
) |
|
|
5,814 |
|
1M IRS |
|
MS & Co. Int. PLC |
|
0.948 |
|
01/29/2021 |
|
|
(3,970,000 |
) |
|
|
(3,970,000 |
) |
|
|
(30,019 |
) |
|
|
(26,500 |
) |
|
|
(3,519 |
) |
1M IRS |
|
MS & Co. Int. PLC |
|
0.955 |
|
01/21/2021 |
|
|
(3,970,000 |
) |
|
|
(3,970,000 |
) |
|
|
(26,802 |
) |
|
|
(26,500 |
) |
|
|
(302 |
) |
3M IRS |
|
MS & Co. Int. PLC |
|
0.000 |
|
03/08/2021 |
|
|
(550,000 |
) |
|
|
(550,000 |
) |
|
|
(18,773 |
) |
|
|
(18,312 |
) |
|
|
(461 |
) |
3M IRS |
|
MS & Co. Int. PLC |
|
0.021 |
|
03/02/2021 |
|
|
(1,370,000 |
) |
|
|
(1,370,000 |
) |
|
|
(51,468 |
) |
|
|
(45,349 |
) |
|
|
(6,119 |
) |
4M IRS |
|
MS & Co. Int. PLC |
|
0.250 |
|
01/14/2021 |
|
|
(4,930,000 |
) |
|
|
(4,930,000 |
) |
|
|
(15,211 |
) |
|
|
(44,566 |
) |
|
|
29,355 |
|
|
|
|
|
|
|
|
|
|
|
|
(133,770,000 |
) |
|
$ |
(133,770,000 |
) |
|
$ |
(458,191 |
) |
|
$ |
(793,970 |
) |
|
|
$335,779 |
|
|
|
Puts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.250 |
|
01/04/2021 |
|
|
(3,320,000 |
) |
|
|
(3,320,000 |
) |
|
|
(227 |
) |
|
|
(13,762 |
) |
|
|
13,535 |
|
1M IRS |
|
Citibank NA |
|
0.958 |
|
01/29/2021 |
|
|
(3,970,000 |
) |
|
|
(3,970,000 |
) |
|
|
(23,346 |
) |
|
|
(26,649 |
) |
|
|
3,303 |
|
1M IRS |
|
Deutsche Bank AG (London) |
|
0.914 |
|
01/14/2021 |
|
|
(3,970,000 |
) |
|
|
(3,970,000 |
) |
|
|
(20,992 |
) |
|
|
(28,286 |
) |
|
|
7,294 |
|
3M IRS |
|
Deutsche Bank AG (London) |
|
0.480 |
|
01/06/2021 |
|
|
(21,200,000 |
) |
|
|
(21,200,000 |
) |
|
|
(1,796 |
) |
|
|
(53,530 |
) |
|
|
51,734 |
|
3M IRS |
|
Deutsche Bank AG (London) |
|
0.510 |
|
01/20/2021 |
|
|
(21,220,000 |
) |
|
|
(21,220,000 |
) |
|
|
(9,604 |
) |
|
|
(59,416 |
) |
|
|
49,812 |
|
1M IRS |
|
JPMorgan Securities, Inc. |
|
0.242 |
|
01/11/2021 |
|
|
(3,320,000 |
) |
|
|
(3,320,000 |
) |
|
|
(1,982 |
) |
|
|
(14,373 |
) |
|
|
12,391 |
|
6M IRS |
|
JPMorgan Securities, Inc. |
|
0.659 |
|
06/17/2021 |
|
|
(22,050,000 |
) |
|
|
(22,050,000 |
) |
|
|
(60,397 |
) |
|
|
(59,844 |
) |
|
|
(553 |
) |
6M IRS |
|
JPMorgan Securities, Inc. |
|
0.763 |
|
06/17/2021 |
|
|
(22,050,000 |
) |
|
|
(22,050,000 |
) |
|
|
(39,220 |
) |
|
|
(38,638 |
) |
|
|
(582 |
) |
1M IRS |
|
MS & Co. Int. PLC |
|
0.251 |
|
01/29/2021 |
|
|
(3,320,000 |
) |
|
|
(3,320,000 |
) |
|
|
(11,045 |
) |
|
|
(13,523 |
) |
|
|
2,478 |
|
1M IRS |
|
MS & Co. Int. PLC |
|
0.265 |
|
01/18/2021 |
|
|
(3,320,000 |
) |
|
|
(3,320,000 |
) |
|
|
(8,389 |
) |
|
|
(13,805 |
) |
|
|
5,416 |
|
1M IRS |
|
MS & Co. Int. PLC |
|
0.948 |
|
01/29/2021 |
|
|
(3,970,000 |
) |
|
|
(3,970,000 |
) |
|
|
(25,064 |
) |
|
|
(26,500 |
) |
|
|
1,436 |
|
1M IRS |
|
MS & Co. Int. PLC |
|
0.955 |
|
01/21/2021 |
|
|
(3,970,000 |
) |
|
|
(3,970,000 |
) |
|
|
(17,975 |
) |
|
|
(26,500 |
) |
|
|
8,525 |
|
4M IRS |
|
MS & Co. Int. PLC |
|
0.000 |
|
01/14/2021 |
|
|
(4,930,000 |
) |
|
|
(4,930,000 |
) |
|
|
(126 |
) |
|
|
(15,476 |
) |
|
|
15,350 |
|
|
|
|
|
|
|
|
|
|
|
|
(120,610,000 |
) |
|
$ |
(120,610,000 |
) |
|
$ |
(220,163 |
) |
|
$ |
(390,302 |
) |
|
$ |
170,139 |
|
|
|
Total written option contracts |
|
|
|
|
|
|
|
|
(254,380,000 |
) |
|
$ |
(254,380,000 |
) |
|
$ |
(678,354 |
) |
|
$ |
(1,184,272 |
) |
|
$ |
505,918 |
|
|
|
TOTAL |
|
|
|
|
|
|
|
|
(193,730,000 |
) |
|
$ |
(193,730,000 |
) |
|
$ |
(407,910 |
) |
|
$ |
(692,898 |
) |
|
$ |
284,988 |
|
|
|
GOLDMAN SACHS GLOBAL CORE FIXED INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
|
|
|
|
Abbreviations: |
|
|
1M BID Avg |
|
1 month Brazilian Interbank Deposit Average |
3M IRS |
|
3 Months Interest Rate Swaptions |
6M IRS |
|
6 Months Interest Rate Swaptions |
18M IRS |
|
18 Months Interest Rate Swaptions |
1Y IRS |
|
3 Year Interest Rate Swaptions |
Mexico IB TIIE 28D |
|
Mexico Interbank TIIE 28 Days |
CDX.NA.IG Index 28 |
|
CDX North America Investment Grade Index 28 |
MS & Co. Int. PLC |
|
Morgan Stanley & Co. International PLC |
|
GOLDMAN SACHS INCOME FUND
Schedule of Investments
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Bank Loans(a) 2.7% |
Building Materials(b)
0.1% |
CP Atlas Buyer, Inc. (3M LIBOR + 4.500%) |
$ |
|
|
100,000 |
|
|
|
5.250 |
% |
|
11/23/27 |
|
$ 100,125 |
|
Chemicals(b)
0.1% |
Starfruit Finco B.V. (1M LIBOR + 3.000%) |
|
|
|
69,456 |
|
|
|
3.153 |
|
|
10/01/25 |
|
68,645 |
|
Commercial Services(b)
0.4% |
Trico Group LLC(2M LIBOR + 7.500%) |
|
|
|
138,309 |
|
|
|
8.500 |
|
|
02/02/24 |
|
137,618 |
TruGreen LP(c) (1M LIBOR
+ 8.500%) |
|
|
|
310,000 |
|
|
|
9.250 |
|
|
11/02/28 |
|
310,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
447,618 |
|
Computers(b)
0.1% |
Redstone Buyer LLC (3M LIBOR + 5.000%) |
|
|
|
75,000 |
|
|
|
6.000 |
|
|
09/01/27 |
|
75,211 |
|
Diversified Financial Services(d)
0.2% |
Syncapay, Inc |
|
|
|
225,000 |
|
|
|
7.500 |
|
|
12/10/27 |
|
216,000 |
|
Diversified Manufacturing(b)
0.1% |
AI Aqua Merger Sub, Inc. (6M LIBOR + 3.250%) |
|
|
|
29,770 |
|
|
|
4.250 |
|
|
12/13/23 |
|
29,509 |
(1M LIBOR + 3.250%) |
|
|
|
19,845 |
|
|
|
4.250 |
|
|
12/13/23 |
|
19,697 |
Camelot U.S. Acquisition 1 Co. (1M LIBOR + 3.000%) |
|
|
|
75,000 |
|
|
|
4.000 |
|
|
10/30/26 |
|
74,929 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
124,135 |
|
Entertainment(b)
0.1% |
AMC Entertainment Holdings, Inc. (3M LIBOR + 2.000%) |
|
|
|
189,291 |
|
|
|
3.254 |
|
|
04/22/26 |
|
121,099 |
Playtika Holding Corp.(6M LIBOR + 6.000%) |
|
|
|
61,750 |
|
|
|
7.000 |
|
|
12/10/24 |
|
62,052 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
183,151 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Bank Loans (a) (continued) |
Healthcare Providers &
Services(b) 0.3% |
Conservice Midco LLC(3M LIBOR + 4.250%) |
$ |
|
|
199,500 |
|
|
|
4.503 |
|
|
05/13/27 |
|
$ 199,500 |
Envision Healthcare Corp. (1M LIBOR + 3.750%) |
|
|
|
49,495 |
|
|
|
3.897 |
|
|
10/10/25 |
|
41,137 |
|
Health Care Providers &
Services(b) 0.1% |
Pluto Acquisition I, Inc.(3M LIBOR + 5.000%) |
|
|
|
150,000 |
|
|
|
5.500 |
% |
|
06/22/26 |
|
150,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
390,637 |
|
Household Products(d)
0.1% |
Kronos Acquisition Holdings, Inc. |
|
|
|
150,000 |
|
|
|
5.250 |
|
|
12/17/26 |
|
149,813 |
|
Pipelines(b)(c)
0.1% |
Centurion Pipeline Co. LLC (1M LIBOR + 4.250%) |
|
|
|
90,000 |
|
|
|
4.147 |
|
|
09/29/25 |
|
89,550 |
|
Technology - Software/Services 0.9% |
AppLovin Corp.(b) (1M LIBOR
+ 4.000%) |
|
|
|
24,812 |
|
|
|
4.147 |
|
|
08/15/25 |
|
24,735 |
Cardtronics USA, Inc.(b) (1M
LIBOR + 4.000%) |
|
|
|
24,875 |
|
|
|
5.000 |
|
|
06/29/27 |
|
24,833 |
Epicor Software Corp.(b) (1M
LIBOR + 4.250%) |
|
|
|
124,688 |
|
|
|
5.250 |
|
|
07/30/27 |
|
125,285 |
(1M LIBOR + 7.750%) |
|
|
|
50,000 |
|
|
|
8.750 |
|
|
07/31/28 |
|
52,032 |
GlobalLogic Holdings, Inc.(b)
(1M LIBOR + 3.750%) |
|
|
|
99,750 |
|
|
|
4.500 |
|
|
09/14/27 |
|
99,251 |
Mitchell International,
Inc.(b) (1M LIBOR + 4.250%) |
|
|
|
149,625 |
|
|
|
4.750 |
|
|
11/29/24 |
|
149,550 |
|
Media(b)
0.2% |
Syndigo LLC |
(6M LIBOR + 4.500%) |
|
|
|
225,000 |
|
|
|
5.250 |
|
|
12/15/27 |
|
223,313 |
(6M LIBOR + 8.000%) |
|
|
|
50,000 |
|
|
|
8.750 |
|
|
12/15/28 |
|
49,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
272,813 |
|
Virtusa Corp.(d) |
|
|
|
380,000 |
|
|
|
0.000 |
|
|
12/09/27 |
|
377,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,125,649 |
|
GOLDMAN SACHS INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Bank Loans (a) (continued) |
Telecommunication Services(b)
0.1% |
Hoya Midco LLC(6M LIBOR + 3.500%) |
$ |
|
114,610 |
|
|
4.500 |
% |
|
06/30/24 |
|
$ 107,662 |
Intelsat Jackson Holdings SA (3M LIBOR + 5.500%) |
|
|
10,453 |
|
|
6.500 |
|
|
07/13/22 |
|
10,646 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
118,308 |
|
Textiles(b)
0.1% |
Canada Goose, Inc. (3M LIBOR + 4.250%) |
|
|
75,000 |
|
|
5.000 |
|
|
10/07/27 |
|
74,906 |
|
TOTAL BANK LOANS (Cost $3,131,795) |
|
$ 3,163,748 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Obligations 77.8% |
Advertising(e)(f)
0.1% |
Terrier Media Buyer, Inc. |
$ |
|
127,000 |
|
|
8.875 |
% |
|
12/15/27 |
|
$ 140,018 |
|
Aerospace & Defense 1.2% |
Bombardier,
Inc.(e)(f) |
|
|
85,000 |
|
|
7.500 |
|
|
12/01/24 |
|
80,750 |
Howmet Aerospace, Inc. |
|
|
11,000 |
|
|
6.875 |
(e) |
|
05/01/25 |
|
12,925 |
|
|
220,000 |
|
|
5.950 |
|
|
02/01/37 |
|
270,050 |
The Boeing
Co.(e) |
|
|
175,000 |
|
|
4.875 |
|
|
05/01/25 |
|
199,318 |
|
|
90,000 |
|
|
5.150 |
|
|
05/01/30 |
|
108,945 |
|
|
25,000 |
|
|
3.250 |
|
|
02/01/35 |
|
25,522 |
|
|
90,000 |
|
|
5.805 |
|
|
05/01/50 |
|
123,788 |
TransDigm,
Inc.(e) |
|
|
320,000 |
|
|
6.500 |
|
|
05/15/25 |
|
329,200 |
|
|
13,000 |
|
|
6.250 |
(f) |
|
03/15/26 |
|
13,845 |
|
|
70,000 |
|
|
6.375 |
|
|
06/15/26 |
|
72,625 |
|
|
130,000 |
|
|
5.500 |
|
|
11/15/27 |
|
136,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,373,468 |
|
Agriculture 0.2% |
MHP Lux SA |
|
|
200,000 |
|
|
6.950 |
|
|
04/03/26 |
|
219,312 |
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Airlines(e)(f)
0.1% |
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd. |
$ |
|
158,000 |
|
|
6.500 |
% |
|
06/20/27 |
|
$ 170,245 |
|
Automotive 2.3% |
Adient US
LLC(e)(f) |
|
|
113,000 |
|
|
7.000 |
|
|
05/15/26 |
|
122,464 |
Allison Transmission,
Inc.(e)(f) |
|
|
158,000 |
|
|
3.750 |
|
|
01/30/31 |
|
161,160 |
Clarios Global LP/Clarios US Finance Co.(e)(f) |
|
|
60,000 |
|
|
6.250 |
|
|
05/15/26 |
|
64,350 |
Dana, Inc.(e) |
|
|
55,000 |
|
|
5.625 |
|
|
06/15/28 |
|
59,194 |
Dealer Tire LLC/DT Issuer
LLC(e)(f) |
|
|
269,000 |
|
|
8.000 |
|
|
02/01/28 |
|
284,804 |
Ford Motor Co. |
|
|
100,000 |
|
|
9.000 |
(e) |
|
04/22/25 |
|
122,851 |
|
|
130,000 |
|
|
4.750 |
|
|
01/15/43 |
|
131,950 |
Ford Motor Credit Co.
LLC(e) |
|
|
275,000 |
|
|
5.125 |
|
|
06/16/25 |
|
298,312 |
|
|
330,000 |
|
|
3.375 |
|
|
11/13/25 |
|
337,802 |
General Motors Co. |
|
|
25,000 |
|
|
5.400 |
|
|
10/02/23 |
|
28,079 |
|
|
175,000 |
|
|
6.125 |
(e) |
|
10/01/25 |
|
212,460 |
General Motors Financial Co.,
Inc.(e) |
|
|
50,000 |
|
|
3.250 |
|
|
01/05/23 |
|
52,418 |
|
|
150,000 |
|
|
5.650 |
|
|
01/17/29 |
|
185,712 |
Meritor,
Inc.(e)(f) |
|
|
91,000 |
|
|
6.250 |
|
|
06/01/25 |
|
98,052 |
|
|
316,000 |
|
|
4.500 |
|
|
12/15/28 |
|
323,110 |
The Goodyear Tire & Rubber
Co.(e) |
|
|
153,000 |
|
|
5.125 |
|
|
11/15/23 |
|
153,191 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2,635,909 |
|
Banks 13.2% |
Banco de Bogota SA |
|
|
700,000 |
|
|
6.250 |
|
|
05/12/26 |
|
810,250 |
Banco do Brasil SA(b)(e)(10
Year CMT + 4.398%) |
|
|
400,000 |
|
|
6.250 |
|
|
04/15/49 |
|
409,625 |
|
GOLDMAN SACHS INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Banks (continued) |
Banco Mercantil del Norte
SA(e) (10 Year CMT + 5.353%) |
$ |
|
400,000 |
|
|
7.625 |
(b)% |
|
01/10/49 |
|
$ 452,000 |
|
|
200,000 |
|
|
6.875 |
|
|
07/06/49 |
|
210,375 |
Banco Santander SA |
|
|
400,000 |
|
|
2.749 |
|
|
12/03/30 |
|
412,464 |
Bank of America Corp. |
|
|
125,000 |
|
|
4.200 |
|
|
08/26/24 |
|
139,940 |
|
|
175,000 |
|
|
3.248 |
(e) |
|
10/21/27 |
|
195,878 |
|
|
275,000 |
|
|
4.183 |
(e) |
|
11/25/27 |
|
319,093 |
(3M USD LIBOR + 1.310%) |
|
|
100,000 |
|
|
4.271 |
(b)(e) |
|
07/23/29 |
|
118,943 |
(3M USD LIBOR + 1.190%) |
|
|
125,000 |
|
|
2.884 |
(b)(e) |
|
10/22/30 |
|
136,720 |
(3M USD LIBOR + 0.990%) |
|
|
50,000 |
|
|
2.496 |
(b)(e) |
|
02/13/31 |
|
53,036 |
(SOFR + 2.150%) |
|
|
550,000 |
|
|
2.592 |
(b)(e) |
|
04/29/31 |
|
589,308 |
(SOFR + 1.530%) |
|
|
200,000 |
|
|
1.898 |
(b)(e) |
|
07/23/31 |
|
202,280 |
Barclays PLC(b)(e) (3M USD
LIBOR + 2.452%) |
|
|
225,000 |
|
|
2.852 |
|
|
05/07/26 |
|
241,657 |
BBVA Bancomer SA(b)(e)(5 Year
CMT + 2.650%) |
|
|
200,000 |
|
|
5.125 |
|
|
01/18/33 |
|
216,000 |
BNP Paribas
SA(f) |
|
|
200,000 |
|
|
3.375 |
|
|
01/09/25 |
|
218,986 |
CIT Group, Inc.(b)(e)(SOFR
+ 3.827%) |
|
|
573,000 |
|
|
3.929 |
|
|
06/19/24 |
|
605,947 |
Citigroup, Inc. |
|
|
525,000 |
|
|
3.400 |
|
|
05/01/26 |
|
592,294 |
|
|
125,000 |
|
|
4.300 |
|
|
11/20/26 |
|
145,834 |
|
|
275,000 |
|
|
4.125 |
|
|
07/25/28 |
|
321,406 |
(SOFR + 1.422%) |
|
|
100,000 |
|
|
2.976 |
(b)(e) |
|
11/05/30 |
|
110,064 |
(SOFR + 3.914%) |
|
|
75,000 |
|
|
4.412 |
(b)(e) |
|
03/31/31 |
|
90,920 |
Credit Bank of Moscow Via CBOM Finance PLC(f) |
|
|
200,000 |
|
|
4.700 |
|
|
01/29/25 |
|
204,250 |
Credit Suisse Group AG |
|
|
250,000 |
|
|
4.550 |
|
|
04/17/26 |
|
294,162 |
(5 Year CMT + 4.889%) |
|
|
200,000 |
|
|
5.250 |
(b)(e)(f) |
|
02/11/49 |
|
212,500 |
(5 Year CMT + 3.554%) |
|
|
325,000 |
|
|
4.500 |
(b)(e)(f) |
|
09/03/49 |
|
326,625 |
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Banks (continued) |
Deutsche Bank AG(b)(e)(SOFR
+ 2.159%) |
$ |
|
150,000 |
|
|
2.222 |
% |
|
09/18/24 |
|
$ 154,223 |
First Horizon
Corp.(e) |
|
|
25,000 |
|
|
4.000 |
|
|
05/26/25 |
|
27,899 |
Freedom Mortgage
Corp.(e)(f) |
|
|
440,000 |
|
|
7.625 |
|
|
05/01/26 |
|
462,000 |
HSBC Holdings PLC(b)(e)(SOFR
+ 1.538%) |
|
|
200,000 |
|
|
1.645 |
|
|
04/18/26 |
|
204,662 |
Huntington Bancshares,
Inc.(e) |
|
|
50,000 |
|
|
2.625 |
|
|
08/06/24 |
|
53,411 |
ING Groep NV(b)(e)(f)(1 Year
CMT + 1.100%) |
|
|
200,000 |
|
|
1.400 |
|
|
07/01/26 |
|
203,142 |
Itau Unibanco Holding SA(b)(e)
(5 Year CMT + 3.981%) |
|
|
200,000 |
|
|
6.125 |
|
|
12/12/49 |
|
204,687 |
JPMorgan Chase & Co.(e)
(SOFR + 1.160%) |
|
|
150,000 |
|
|
2.301 |
(b) |
|
10/15/25 |
|
159,236 |
(3M USD LIBOR + 1.245%) |
|
|
500,000 |
|
|
3.960 |
(b) |
|
01/29/27 |
|
574,740 |
|
|
500,000 |
|
|
3.625 |
|
|
12/01/27 |
|
568,075 |
(3M USD LIBOR + 0.945%) |
|
|
225,000 |
|
|
3.509 |
(b) |
|
01/23/29 |
|
256,959 |
(SOFR + 2.040%) |
|
|
50,000 |
|
|
2.522 |
(b) |
|
04/22/31 |
|
53,629 |
(SOFR + 2.515%) |
|
|
50,000 |
|
|
2.956 |
(b) |
|
05/13/31 |
|
54,726 |
(3M USD LIBOR + 3.800%) |
|
|
40,000 |
|
|
4.014 |
(b) |
|
02/01/49 |
|
39,980 |
(SOFR + 3.125%) |
|
|
150,000 |
|
|
4.600 |
(b) |
|
02/01/49 |
|
154,722 |
Morgan Stanley, Inc. (SOFR + 1.152%) |
|
|
175,000 |
|
|
2.720 |
(b)(e) |
|
07/22/25 |
|
187,191 |
|
|
300,000 |
|
|
3.950 |
|
|
04/23/27 |
|
346,866 |
(3M USD LIBOR + 1.628%) |
|
|
100,000 |
|
|
4.431 |
(b)(e) |
|
01/23/30 |
|
121,850 |
(SOFR + 1.143%) |
|
|
600,000 |
|
|
2.699 |
(b)(e) |
|
01/22/31 |
|
652,500 |
(SOFR + 1.034%) |
|
|
100,000 |
|
|
1.794 |
(b)(e) |
|
02/13/32 |
|
100,579 |
Natwest Group PLC(b)(e) (3M
USD LIBOR + 1.550%) |
|
|
250,000 |
|
|
4.519 |
|
|
06/25/24 |
|
272,945 |
(3M USD LIBOR + 1.762%) |
|
|
225,000 |
|
|
4.269 |
|
|
03/22/25 |
|
248,591 |
OTP Bank Nyrt(b)(e) (-1x 5M
EURIBOR ICE Swap + 3.200%) |
EUR |
|
200,000 |
|
|
2.875 |
|
|
07/15/29 |
|
247,766 |
Truist Financial
Corp.(b)(e)(10 Year CMT + 4.349%) |
$ |
|
316,000 |
|
|
5.100 |
|
|
03/01/49 |
|
360,916 |
|
GOLDMAN SACHS INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Banks (continued) |
Turkiye Vakiflar Bankasi TAO |
$ |
|
210,000 |
|
|
6.000 |
% |
|
11/01/22 |
|
$ 209,344 |
|
|
200,000 |
|
|
8.125 |
|
|
03/28/24 |
|
213,562 |
|
|
200,000 |
|
|
6.500 |
(f) |
|
01/08/26 |
|
204,750 |
UniCredit SpA(b)(e)(f) (5 Year
CMT + 4.750%) |
|
|
440,000 |
|
|
5.459 |
|
|
06/30/35 |
|
481,306 |
Wells Fargo & Co. |
|
|
25,000 |
|
|
3.000 |
|
|
10/23/26 |
|
27,696 |
|
|
300,000 |
|
|
4.300 |
|
|
07/22/27 |
|
351,885 |
|
|
125,000 |
|
|
4.150 |
(e) |
|
01/24/29 |
|
148,094 |
Yapi ve Kredi Bankasi
A/S(b)(e)(f) (5 Year USD Swap + 11.245%) |
|
|
200,000 |
|
|
13.875 |
|
|
01/15/49 |
|
223,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
15,201,489 |
|
Beverages(e)
1.7% |
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. |
|
|
625,000 |
|
|
3.650 |
|
|
02/01/26 |
|
706,675 |
|
|
150,000 |
|
|
4.700 |
|
|
02/01/36 |
|
190,126 |
Anheuser-Busch InBev Worldwide, Inc. |
|
|
250,000 |
|
|
4.750 |
|
|
01/23/29 |
|
308,180 |
|
|
150,000 |
|
|
4.600 |
|
|
04/15/48 |
|
189,071 |
Constellation Brands, Inc. |
|
|
175,000 |
|
|
3.700 |
|
|
12/06/26 |
|
200,399 |
|
|
100,000 |
|
|
3.150 |
|
|
08/01/29 |
|
111,292 |
Keurig Dr Pepper, Inc. |
|
|
176,000 |
|
|
3.200 |
|
|
05/01/30 |
|
199,549 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1,905,292 |
|
Biotechnology(e)(f)
0.0% |
Royalty Pharma PLC |
|
|
50,000 |
|
|
1.200 |
|
|
09/02/25 |
|
50,772 |
|
Building Materials(e)
1.7% |
Builders FirstSource,
Inc.(f) |
|
|
95,000 |
|
|
5.000 |
|
|
03/01/30 |
|
102,838 |
Carrier Global Corp. |
|
|
375,000 |
|
|
2.722 |
|
|
02/15/30 |
|
400,702 |
Cornerstone Building Brands,
Inc.(f) |
|
|
477,000 |
|
|
6.125 |
|
|
01/15/29 |
|
508,005 |
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Building Materials(e)
(continued) |
CP Atlas Buyer,
Inc.(f) |
$ |
|
265,000 |
|
|
7.000 |
% |
|
12/01/28 |
|
$ 275,600 |
JELD-WEN,
Inc.(f) |
|
|
200,000 |
|
|
4.875 |
|
|
12/15/27 |
|
213,000 |
Standard Industries,
Inc.(f) |
|
|
344,000 |
|
|
4.375 |
|
|
07/15/30 |
|
368,108 |
Summit Materials LLC/Summit Materials Finance Corp.(f) |
|
|
57,000 |
|
|
5.250 |
|
|
01/15/29 |
|
59,850 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1,928,103 |
|
Chemicals(e)
2.8% |
Avient Corp.(f) |
|
|
122,000 |
|
|
5.750 |
|
|
05/15/25 |
|
129,625 |
Axalta Coating Systems
LLC(f) |
|
|
250,000 |
|
|
3.375 |
|
|
02/15/29 |
|
250,312 |
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B B.V.(f) |
|
|
150,000 |
|
|
4.750 |
|
|
06/15/27 |
|
158,813 |
Element Solutions,
Inc.(f) |
|
|
52,000 |
|
|
3.875 |
|
|
09/01/28 |
|
53,170 |
HB Fuller Co. |
|
|
80,000 |
|
|
4.250 |
|
|
10/15/28 |
|
82,200 |
Hexion, Inc.(f) |
|
|
160,000 |
|
|
7.875 |
|
|
07/15/27 |
|
171,400 |
Ingevity
Corp.(f) |
|
|
125,000 |
|
|
3.875 |
|
|
11/01/28 |
|
125,313 |
Kraton Polymers LLC/Kraton Polymers Capital Corp.(f) |
|
|
140,000 |
|
|
7.000 |
|
|
04/15/25 |
|
147,350 |
|
|
85,000 |
|
|
4.250 |
|
|
12/15/25 |
|
86,700 |
LYB International Finance III LLC |
|
|
100,000 |
|
|
2.875 |
|
|
05/01/25 |
|
108,483 |
Minerals Technologies,
Inc.(f) |
|
|
315,000 |
|
|
5.000 |
|
|
07/01/28 |
|
329,175 |
Nutrition & Biosciences,
Inc.(f) |
|
|
175,000 |
|
|
1.832 |
|
|
10/15/27 |
|
180,247 |
|
|
275,000 |
|
|
2.300 |
|
|
11/01/30 |
|
282,716 |
OCI NV(f) |
|
|
200,000 |
|
|
5.250 |
|
|
11/01/24 |
|
207,750 |
Rayonier AM Products,
Inc.(f) |
|
|
30,000 |
|
|
7.625 |
|
|
01/15/26 |
|
31,275 |
|
GOLDMAN SACHS INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Chemicals(e)
(continued) |
Sasol Financing USA LLC |
$ |
|
200,000 |
|
|
6.500 |
% |
|
09/27/28 |
|
$ 216,500 |
The Sherwin-Williams Co. |
|
|
125,000 |
|
|
3.125 |
|
|
06/01/24 |
|
135,141 |
|
|
175,000 |
|
|
2.950 |
|
|
08/15/29 |
|
193,408 |
Valvoline,
Inc.(f) |
|
|
90,000 |
|
|
3.625 |
|
|
06/15/31 |
|
92,475 |
WR Grace &
Co-Conn(f) |
|
|
240,000 |
|
|
4.875 |
|
|
06/15/27 |
|
253,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3,235,253 |
|
Commercial Services 2.0% |
CoStar Group,
Inc.(e)(f) |
|
|
75,000 |
|
|
2.800 |
|
|
07/15/30 |
|
77,838 |
DP World Crescent
Ltd.(e) |
|
|
200,000 |
|
|
3.750 |
|
|
01/30/30 |
|
217,500 |
DP World PLC |
|
|
200,000 |
|
|
5.625 |
|
|
09/25/48 |
|
254,750 |
Global Payments,
Inc.(e) |
|
|
75,000 |
|
|
3.200 |
|
|
08/15/29 |
|
83,260 |
IHS Markit
Ltd.(e) |
|
|
50,000 |
|
|
3.625 |
|
|
05/01/24 |
|
54,539 |
|
|
75,000 |
|
|
4.250 |
|
|
05/01/29 |
|
90,281 |
Jaguar Holding Co. II/PPD Development LP(e)(f) |
|
|
50,000 |
|
|
4.625 |
|
|
06/15/25 |
|
52,438 |
|
|
124,000 |
|
|
5.000 |
|
|
06/15/28 |
|
132,990 |
Mersin Uluslararasi Liman Isletmeciligi A/S(e) |
|
|
400,000 |
|
|
5.375 |
|
|
11/15/24 |
|
424,375 |
MPH Acquisition Holdings
LLC(e)(f) |
|
|
275,000 |
|
|
5.750 |
|
|
11/01/28 |
|
269,500 |
PayPal Holdings,
Inc.(e) |
|
|
200,000 |
|
|
2.650 |
|
|
10/01/26 |
|
219,732 |
Quanta Services,
Inc.(e) |
|
|
61,000 |
|
|
2.900 |
|
|
10/01/30 |
|
65,452 |
Refinitiv US Holdings,
Inc.(e)(f) |
|
|
90,000 |
|
|
8.250 |
|
|
11/15/26 |
|
98,100 |
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc.(e)(f) |
|
|
55,000 |
|
|
4.625 |
|
|
11/01/26 |
|
56,925 |
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Commercial Services (continued) |
Techem Verwaltungsgesellschaft 674
MBH(e) |
EUR |
|
200,000 |
|
|
6.000 |
% |
|
07/30/26 |
|
$ 255,708 |
|
|
2,353,388 |
|
Computers(e)
1.8% |
Amdocs Ltd. |
$ |
|
75,000 |
|
|
2.538 |
|
|
06/15/30 |
|
78,891 |
Austin BidCo,
Inc.(f) |
|
|
62,000 |
|
|
7.125 |
|
|
12/15/28 |
|
64,790 |
Booz Allen Hamilton,
Inc.(f) |
|
|
148,000 |
|
|
3.875 |
|
|
09/01/28 |
|
152,255 |
Dell International LLC/EMC
Corp.(f) |
|
|
340,000 |
|
|
4.000 |
|
|
07/15/24 |
|
374,898 |
|
|
325,000 |
|
|
6.020 |
|
|
06/15/26 |
|
396,558 |
Hewlett Packard Enterprise Co. |
|
|
225,000 |
|
|
4.900 |
|
|
10/15/25 |
|
263,363 |
|
|
200,000 |
|
|
1.750 |
|
|
04/01/26 |
|
207,262 |
|
|
25,000 |
|
|
6.350 |
|
|
10/15/45 |
|
32,988 |
Seagate HDD
Cayman(f) |
|
|
392,000 |
|
|
3.125 |
|
|
07/15/29 |
|
390,040 |
Unisys Corp.(f) |
|
|
80,000 |
|
|
6.875 |
|
|
11/01/27 |
|
87,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2,048,445 |
|
Cosmetics/Personal Care(e)
0.4% |
Coty, Inc. |
EUR |
|
350,000 |
|
|
4.000 |
|
|
04/15/23 |
|
408,508 |
|
Distribution & Wholesale(e)(f)
0.3% |
Core & Main Holdings
LP(g)(PIK 9.375%, Cash 8.625%) |
$ |
|
147,000 |
|
|
8.625 |
|
|
09/15/24 |
|
149,756 |
H&E Equipment Services, Inc. |
|
|
205,000 |
|
|
3.875 |
|
|
12/15/28 |
|
206,025 |
|
|
|
|
|
|
|
|
|
|
|
|
|
355,781 |
|
Diversified Financial Services(e)
4.1% |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
|
|
150,000 |
|
|
4.875 |
|
|
01/16/24 |
|
164,064 |
|
|
175,000 |
|
|
6.500 |
|
|
07/15/25 |
|
209,198 |
AG Issuer LLC(f) |
|
|
228,000 |
|
|
6.250 |
|
|
03/01/28 |
|
232,560 |
|
GOLDMAN SACHS INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Diversified Financial Services(e)
(continued) |
Air Lease Corp. |
$ |
|
75,000 |
|
|
2.875 |
% |
|
01/15/26 |
|
$ 79,334 |
|
|
320,000 |
|
|
3.750 |
|
|
06/01/26 |
|
352,938 |
Ally Financial, Inc. |
|
|
50,000 |
|
|
1.450 |
|
|
10/02/23 |
|
51,032 |
American Express Co.(b) (3M
USD LIBOR + 3.285%) |
|
|
25,000 |
|
|
3.502 |
|
|
03/15/49 |
|
24,594 |
Avolon Holdings Funding
Ltd.(f) |
|
|
60,000 |
|
|
3.950 |
|
|
07/01/24 |
|
63,372 |
|
|
100,000 |
|
|
2.875 |
|
|
02/15/25 |
|
101,791 |
|
|
50,000 |
|
|
4.250 |
|
|
04/15/26 |
|
54,026 |
Global Aircraft Leasing Co.
Ltd.(f)(g)(PIK 7.250%, Cash 6.500%) |
|
|
88,081 |
|
|
6.500 |
|
|
09/15/24 |
|
77,952 |
JAB Holdings
B.V.(f) |
|
|
250,000 |
|
|
2.200 |
|
|
11/23/30 |
|
250,645 |
LD Holdings Group
LLC(f) |
|
|
380,000 |
|
|
6.500 |
|
|
11/01/25 |
|
396,150 |
Nationstar Mortgage Holdings,
Inc.(f) |
|
|
295,000 |
|
|
5.500 |
|
|
08/15/28 |
|
308,629 |
|
|
78,000 |
|
|
5.125 |
|
|
12/15/30 |
|
81,510 |
Navient Corp. |
|
|
455,000 |
|
|
5.000 |
|
|
03/15/27 |
|
458,412 |
NFP Corp.(f) |
|
|
662,000 |
|
|
6.875 |
|
|
08/15/28 |
|
705,030 |
OneMain Finance Corp. |
|
|
164,000 |
|
|
4.000 |
|
|
09/15/30 |
|
169,535 |
PennyMac Financial Services,
Inc.(f) |
|
|
476,000 |
|
|
5.375 |
|
|
10/15/25 |
|
502,180 |
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc.(f) |
|
|
299,000 |
|
|
3.875 |
|
|
03/01/31 |
|
307,363 |
United Shore Financial Services
LLC(f) |
|
|
175,000 |
|
|
5.500 |
|
|
11/15/25 |
|
183,313 |
|
|
|
|
|
|
|
|
|
|
|
|
|
4,773,628 |
|
Electrical(e)
2.1% |
AES Panama Generation Holdings SRL |
|
|
400,000 |
|
|
4.375 |
|
|
05/31/30 |
|
431,875 |
American Electric Power Co., Inc. |
|
|
25,000 |
|
|
2.300 |
|
|
03/01/30 |
|
26,084 |
Calpine Corp.(f) |
|
|
415,000 |
|
|
3.750 |
|
|
03/01/31 |
|
409,812 |
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Electrical(e)
(continued) |
FirstEnergy Corp. |
$ |
|
75,000 |
|
|
2.650 |
% |
|
03/01/30 |
|
$ 74,959 |
NextEra Energy Capital Holdings, Inc. |
|
|
125,000 |
|
|
3.550 |
|
|
05/01/27 |
|
142,492 |
NRG Energy,
Inc.(f) |
|
|
66,000 |
|
|
3.375 |
|
|
02/15/29 |
|
67,567 |
|
|
177,000 |
|
|
3.625 |
|
|
02/15/31 |
|
182,089 |
Pacific Gas & Electric Co. |
|
|
25,000 |
|
|
2.100 |
|
|
08/01/27 |
|
25,424 |
|
|
50,000 |
|
|
2.500 |
|
|
02/01/31 |
|
49,976 |
|
|
25,000 |
|
|
3.300 |
|
|
08/01/40 |
|
25,026 |
|
|
50,000 |
|
|
3.500 |
|
|
08/01/50 |
|
49,546 |
Pattern Energy Operations LP/Pattern Energy Operations, Inc.(f) |
|
|
105,000 |
|
|
4.500 |
|
|
08/15/28 |
|
110,775 |
Pike Corp.(f) |
|
|
380,000 |
|
|
5.500 |
|
|
09/01/28 |
|
399,950 |
Sempra Energy |
|
|
50,000 |
|
|
3.400 |
|
|
02/01/28 |
|
56,986 |
The Southern Co. |
|
|
120,000 |
|
|
3.250 |
|
|
07/01/26 |
|
134,542 |
Virginia Electric and Power Co. |
|
|
100,000 |
|
|
2.450 |
|
|
12/15/50 |
|
100,682 |
Vistra Operations Co.
LLC(f) |
|
|
50,000 |
|
|
3.550 |
|
|
07/15/24 |
|
54,000 |
|
|
60,000 |
|
|
4.300 |
|
|
07/15/29 |
|
67,992 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2,409,777 |
|
Electrical Components &
Equipment(e)(f) 0.2% |
Energizer Holdings, Inc. |
|
|
250,000 |
|
|
4.750 |
|
|
06/15/28 |
|
262,500 |
|
Electronics(e)(f)
0.2% |
Sensata Technologies, Inc. |
|
|
254,000 |
|
|
3.750 |
|
|
02/15/31 |
|
262,255 |
|
Engineering & Construction(e)
1.2% |
Aeropuerto Internacional de Tocumen SA |
|
|
400,000 |
|
|
5.625 |
|
|
05/18/36 |
|
465,000 |
|
GOLDMAN SACHS INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Engineering & Construction(e)
(continued) |
IHS Netherlands Holdco B.V. |
$ |
|
200,000 |
|
|
7.125 |
% |
|
03/18/25 |
|
$ 209,812 |
|
|
200,000 |
|
|
8.000 |
|
|
09/18/27 |
|
215,500 |
KBR, Inc.(f) |
|
|
71,000 |
|
|
4.750 |
|
|
09/30/28 |
|
74,018 |
Mexico City Airport Trust |
|
|
400,000 |
|
|
5.500 |
|
|
10/31/46 |
|
417,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1,381,830 |
|
Entertainment(f)
1.3% |
Lions Gate Capital Holdings
LLC(e) |
|
|
130,000 |
|
|
5.875 |
|
|
11/01/24 |
|
131,950 |
Live Nation Entertainment, Inc. |
|
|
150,000 |
|
|
2.000 |
|
|
02/15/25 |
|
157,974 |
|
|
50,000 |
|
|
6.500 |
(e) |
|
05/15/27 |
|
55,750 |
|
|
200,000 |
|
|
3.750 |
(e) |
|
01/15/28 |
|
202,000 |
Motion Bondco
DAC(e) |
|
|
400,000 |
|
|
6.625 |
|
|
11/15/27 |
|
415,000 |
SeaWorld Parks & Entertainment, Inc.(e) |
|
|
210,000 |
|
|
9.500 |
|
|
08/01/25 |
|
227,325 |
Six Flags Entertainment
Corp.(e) |
|
|
260,000 |
|
|
5.500 |
|
|
04/15/27 |
|
267,475 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1,457,474 |
|
Environmental(e)
0.7% |
GFL Environmental,
Inc.(f) |
|
|
242,000 |
|
|
4.000 |
|
|
08/01/28 |
|
242,000 |
Republic Services, Inc. |
|
|
125,000 |
|
|
1.750 |
|
|
02/15/32 |
|
125,274 |
Waste Management, Inc. |
|
|
50,000 |
|
|
1.150 |
|
|
03/15/28 |
|
49,979 |
Waste Pro USA,
Inc.(f) |
|
|
349,000 |
|
|
5.500 |
|
|
02/15/26 |
|
355,980 |
|
|
|
|
|
|
|
|
|
|
|
|
|
773,233 |
|
Food & Drug Retailing 1.4% |
BRF SA(e) |
|
|
400,000 |
|
|
4.875 |
|
|
01/24/30 |
|
434,125 |
Kraft Heinz Foods Co. |
|
|
115,000 |
|
|
5.000 |
(e) |
|
07/15/35 |
|
138,478 |
|
|
330,000 |
|
|
6.875 |
|
|
01/26/39 |
|
455,764 |
|
|
101,000 |
|
|
5.500 |
(e)(f) |
|
06/01/50 |
|
126,971 |
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Food & Drug Retailing (continued) |
Post Holdings,
Inc.(e)(f) |
$ |
|
22,000 |
|
|
4.625 |
% |
|
04/15/30 |
|
$ 23,100 |
Sysco Corp.(e) |
|
|
125,000 |
|
|
3.300 |
|
|
07/15/26 |
|
138,975 |
|
|
25,000 |
|
|
6.600 |
|
|
04/01/50 |
|
38,325 |
United Natural Foods,
Inc.(e)(f) |
|
|
265,000 |
|
|
6.750 |
|
|
10/15/28 |
|
276,262 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1,632,000 |
|
Gaming(e)
0.8% |
Boyd Gaming Corp. |
|
|
281,000 |
|
|
4.750 |
|
|
12/01/27 |
|
291,889 |
MGM Resorts International |
|
|
143,000 |
|
|
4.750 |
|
|
10/15/28 |
|
152,295 |
Station Casinos
LLC(f) |
|
|
128,000 |
|
|
4.500 |
|
|
02/15/28 |
|
128,640 |
Wynn Macau
Ltd.(f) |
|
|
365,000 |
|
|
5.625 |
|
|
08/26/28 |
|
382,540 |
|
|
|
|
|
|
|
|
|
|
|
|
|
955,364 |
|
Gas(e) 0.0% |
NiSource, Inc. |
|
|
50,000 |
|
|
3.490 |
|
|
05/15/27 |
|
56,680 |
|
Healthcare Providers & Services 1.6% |
Acadia Healthcare Co,
Inc.(e)(f) |
|
|
410,000 |
|
|
5.000 |
|
|
04/15/29 |
|
435,625 |
CHS/Community Health Systems,
Inc.(e)(f) |
|
|
40,000 |
|
|
8.000 |
|
|
03/15/26 |
|
43,200 |
DaVita,
Inc.(e)(f) |
|
|
387,000 |
|
|
3.750 |
|
|
02/15/31 |
|
390,870 |
DENTSPLY SIRONA,
Inc.(e) |
|
|
50,000 |
|
|
3.250 |
|
|
06/01/30 |
|
55,657 |
DH Europe Finance II
S.a.r.l.(e) |
|
|
50,000 |
|
|
2.600 |
|
|
11/15/29 |
|
54,660 |
HCA, Inc. |
|
|
50,000 |
|
|
5.375 |
|
|
02/01/25 |
|
56,062 |
Lifepoint Health,
Inc.(e)(f) |
|
|
260,000 |
|
|
5.375 |
|
|
01/15/29 |
|
261,001 |
Molina Healthcare,
Inc.(e)(f) |
|
|
70,000 |
|
|
3.875 |
|
|
11/15/30 |
|
74,200 |
Stryker Corp.(e) |
|
|
50,000 |
|
|
1.950 |
|
|
06/15/30 |
|
51,394 |
|
GOLDMAN SACHS INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Healthcare Providers & Services (continued) |
Tenet Healthcare Corp. |
$ |
|
131,000 |
|
|
6.750 |
% |
|
06/15/23 |
|
$ 140,497 |
|
|
96,000 |
|
|
6.125 |
(e)(f) |
|
10/01/28 |
|
99,960 |
The Providence Service
Corp.(e)(f) |
|
|
57,000 |
|
|
5.875 |
|
|
11/15/25 |
|
60,135 |
Thermo Fisher Scientific,
Inc.(e) |
|
|
50,000 |
|
|
4.497 |
|
|
03/25/30 |
|
62,420 |
Zimmer Biomet Holdings,
Inc.(e) |
|
|
50,000 |
|
|
3.550 |
|
|
03/20/30 |
|
56,708 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1,842,389 |
|
Home Builders(e)
0.2% |
Mattamy Group
Corp.(f) |
|
|
42,000 |
|
|
4.625 |
|
|
03/01/30 |
|
44,310 |
Taylor Morrison Communities,
Inc.(f) |
|
|
63,000 |
|
|
5.125 |
|
|
08/01/30 |
|
70,560 |
TRI Pointe Group, Inc. |
|
|
86,000 |
|
|
5.700 |
|
|
06/15/28 |
|
97,072 |
|
|
|
|
|
|
|
|
|
|
|
|
|
211,942 |
|
Household Products(e)
0.6% |
Central Garden & Pet Co. |
|
|
140,000 |
|
|
4.125 |
|
|
10/15/30 |
|
146,300 |
Kronos Acquisition Holdings,
Inc.(f) |
|
|
269,000 |
|
|
9.000 |
|
|
08/15/23 |
|
275,389 |
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc.(f) |
|
|
206,000 |
|
|
7.000 |
|
|
12/31/27 |
|
215,527 |
|
|
|
|
|
|
|
|
|
|
|
|
|
637,216 |
|
Housewares(e)
0.0% |
Newell Brands, Inc. |
|
|
38,000 |
|
|
4.700 |
|
|
04/01/26 |
|
41,895 |
|
Insurance(e)
1.1% |
Acrisure LLC/Acrisure Finance,
Inc.(f) |
|
|
60,000 |
|
|
8.125 |
|
|
02/15/24 |
|
63,525 |
|
|
60,000 |
|
|
10.125 |
|
|
08/01/26 |
|
68,625 |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer(f) |
|
|
119,000 |
|
|
6.750 |
|
|
10/15/27 |
|
126,586 |
American International Group, Inc. |
|
|
50,000 |
|
|
3.900 |
|
|
04/01/26 |
|
57,017 |
|
|
175,000 |
|
|
4.200 |
|
|
04/01/28 |
|
207,594 |
|
|
75,000 |
|
|
3.400 |
|
|
06/30/30 |
|
85,801 |
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Insurance(e)
(continued) |
Arch Capital Finance LLC |
$ |
|
55,000 |
|
|
4.011 |
% |
|
12/15/26 |
|
$ 63,808 |
AssuredPartners,
Inc.(f) |
|
|
70,000 |
|
|
5.625 |
|
|
01/15/29 |
|
73,062 |
Equitable Holdings, Inc. |
|
|
60,000 |
|
|
4.350 |
|
|
04/20/28 |
|
70,838 |
HUB International
Ltd.(f) |
|
|
212,000 |
|
|
7.000 |
|
|
05/01/26 |
|
220,480 |
NMI Holdings,
Inc.(f) |
|
|
242,000 |
|
|
7.375 |
|
|
06/01/25 |
|
269,830 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1,307,166 |
|
Internet(e)
2.0% |
Adevinta ASA(f) |
EUR |
|
100,000 |
|
|
2.625 |
|
|
11/15/25 |
|
124,851 |
ANGI Group
LLC(f) |
$ |
|
85,000 |
|
|
3.875 |
|
|
08/15/28 |
|
85,638 |
Arches Buyer,
Inc.(f) |
|
|
77,000 |
|
|
6.125 |
|
|
12/01/28 |
|
79,503 |
Booking Holdings, Inc. |
|
|
90,000 |
|
|
4.100 |
|
|
04/13/25 |
|
102,175 |
|
|
72,000 |
|
|
4.625 |
|
|
04/13/30 |
|
89,272 |
Expedia Group, Inc. |
|
|
100,000 |
|
|
4.500 |
|
|
08/15/24 |
|
108,932 |
|
|
180,000 |
|
|
6.250 |
(f) |
|
05/01/25 |
|
208,751 |
|
|
167,000 |
|
|
4.625 |
(f) |
|
08/01/27 |
|
186,245 |
Getty Images,
Inc.(f) |
|
|
358,000 |
|
|
9.750 |
|
|
03/01/27 |
|
379,480 |
Match Group Holdings II
LLC(f) |
|
|
3,000 |
|
|
4.125 |
|
|
08/01/30 |
|
3,098 |
Prosus NV |
|
|
400,000 |
|
|
3.680 |
|
|
01/21/30 |
|
434,250 |
EUR |
|
120,000 |
|
|
2.031 |
(f) |
|
08/03/32 |
|
152,462 |
Twitter, Inc.(f) |
$ |
|
60,000 |
|
|
3.875 |
|
|
12/15/27 |
|
63,900 |
|
GOLDMAN SACHS INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Internet(e)
(continued) |
Uber Technologies,
Inc.(f) |
$ |
|
155,000 |
|
|
7.500 |
% |
|
05/15/25 |
|
$ 167,206 |
|
|
110,000 |
|
|
6.250 |
|
|
01/15/28 |
|
119,625 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2,305,388 |
|
Iron/Steel(e)
0.5% |
Cleveland-Cliffs, Inc. |
|
|
155,000 |
|
|
4.875 |
(f) |
|
01/15/24 |
|
157,712 |
|
|
126,000 |
|
|
5.750 |
|
|
03/01/25 |
|
127,575 |
Metinvest B.V. |
|
|
200,000 |
|
|
8.500 |
|
|
04/23/26 |
|
222,625 |
Steel Dynamics, Inc. |
|
|
10,000 |
|
|
2.400 |
|
|
06/15/25 |
|
10,643 |
|
|
25,000 |
|
|
1.650 |
|
|
10/15/27 |
|
25,712 |
Vale Overseas Ltd. |
|
|
60,000 |
|
|
3.750 |
|
|
07/08/30 |
|
66,656 |
|
|
|
|
|
|
|
|
|
|
|
|
|
610,923 |
|
Leisure Time(e)(f)
0.7% |
NCL Corp., Ltd. |
|
|
275,000 |
|
|
3.625 |
|
|
12/15/24 |
|
253,000 |
|
|
205,000 |
|
|
5.875 |
|
|
03/15/26 |
|
216,019 |
Sabre GLBL, Inc. |
|
|
251,000 |
|
|
9.250 |
|
|
04/15/25 |
|
298,690 |
|
|
|
|
|
|
|
|
|
|
|
|
|
767,709 |
|
Lodging(e)
1.1% |
Fortune Star BVI Ltd. |
|
|
400,000 |
|
|
6.750 |
|
|
07/02/23 |
|
420,875 |
Hilton Domestic Operating Co., Inc. |
|
|
150,000 |
|
|
4.875 |
|
|
01/15/30 |
|
164,625 |
|
|
94,000 |
|
|
4.000 |
(f) |
|
05/01/31 |
|
98,700 |
Marriott International, Inc. |
|
|
45,000 |
|
|
4.625 |
|
|
06/15/30 |
|
52,772 |
Marriott Ownership Resorts, Inc. |
|
|
394,000 |
|
|
4.750 |
|
|
01/15/28 |
|
399,910 |
Wyndham Destinations,
Inc.(f) |
|
|
28,000 |
|
|
6.625 |
|
|
07/31/26 |
|
31,920 |
|
|
90,000 |
|
|
4.625 |
|
|
03/01/30 |
|
94,950 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1,263,752 |
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Machinery-Diversified(e)
0.7% |
Husky III Holding
Ltd.(f)(g) |
$ |
|
30,000 |
|
|
13.000 |
% |
|
02/15/25 |
|
$ 32,625 |
Otis Worldwide Corp. |
|
|
325,000 |
|
|
2.565 |
|
|
02/15/30 |
|
348,764 |
Titan Acquisition Ltd./Titan Co-Borrower LLC(f) |
|
|
401,000 |
|
|
7.750 |
|
|
04/15/26 |
|
417,040 |
|
|
|
|
|
|
|
|
|
|
|
|
|
798,429 |
|
Media 4.1% |
Charter Communications Operating LLC/Charter Communications Operating Capital(e) |
|
|
975,000 |
|
|
4.908 |
|
|
07/23/25 |
|
1,133,554 |
|
|
225,000 |
|
|
3.750 |
|
|
02/15/28 |
|
252,241 |
Comcast Corp.(e) |
|
|
100,000 |
|
|
4.150 |
|
|
10/15/28 |
|
119,936 |
|
|
200,000 |
|
|
4.250 |
|
|
10/15/30 |
|
245,738 |
DISH DBS Corp. |
|
|
253,000 |
|
|
7.750 |
|
|
07/01/26 |
|
282,727 |
|
|
180,000 |
|
|
7.375 |
(e) |
|
07/01/28 |
|
191,700 |
Entercom Media
Corp.(e)(f) |
|
|
237,000 |
|
|
6.500 |
|
|
05/01/27 |
|
240,555 |
GCI LLC(e)(f) |
|
|
295,000 |
|
|
4.750 |
|
|
10/15/28 |
|
314,175 |
Gray Television,
Inc.(e)(f) |
|
|
180,000 |
|
|
7.000 |
|
|
05/15/27 |
|
197,100 |
iHeartCommunications,
Inc.(e) |
|
|
55,000 |
|
|
8.375 |
|
|
05/01/27 |
|
58,713 |
Radiate Holdco LLC/Radiate Finance, Inc.(e)(f) |
|
|
364,000 |
|
|
6.500 |
|
|
09/15/28 |
|
382,200 |
Scripps Escrow II,
Inc.(e)(f) |
|
|
130,000 |
|
|
5.375 |
|
|
01/15/31 |
|
136,500 |
Scripps Escrow,
Inc.(e)(f) |
|
|
115,000 |
|
|
5.875 |
|
|
07/15/27 |
|
119,887 |
TEGNA,
Inc.(e)(f) |
|
|
50,000 |
|
|
4.625 |
|
|
03/15/28 |
|
51,313 |
Townsquare Media,
Inc.(e)(f) |
|
|
210,000 |
|
|
6.875 |
|
|
02/01/26 |
|
219,450 |
Virgin Media Finance
PLC(e)(f) |
EUR |
|
400,000 |
|
|
3.750 |
|
|
07/15/30 |
|
499,655 |
|
GOLDMAN SACHS INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Media (continued) |
Virgin Media Vendor Financing Notes III DAC(e)(f) |
GBP |
|
100,000 |
|
|
4.875 |
% |
|
07/15/28 |
|
$ 139,506 |
Ziggo Bond Co.
B.V.(e)(f) |
EUR |
|
100,000 |
|
|
3.375 |
|
|
02/28/30 |
|
122,591 |
|
|
|
|
|
|
|
|
|
|
|
|
|
4,707,541 |
|
Mining(e)
0.9% |
Arconic Corp.(f) |
$ |
|
52,000 |
|
|
6.125 |
|
|
02/15/28 |
|
55,900 |
Constellium
SE(f) |
|
|
250,000 |
|
|
5.625 |
|
|
06/15/28 |
|
268,750 |
Freeport-McMoRan, Inc. |
|
|
200,000 |
|
|
5.400 |
|
|
11/14/34 |
|
250,000 |
Glencore Funding
LLC(f) |
|
|
225,000 |
|
|
4.125 |
|
|
03/12/24 |
|
246,874 |
Hudbay Minerals,
Inc.(f) |
|
|
105,000 |
|
|
6.125 |
|
|
04/01/29 |
|
113,663 |
Novelis Corp.(f) |
|
|
100,000 |
|
|
4.750 |
|
|
01/30/30 |
|
106,875 |
Teck Resources Ltd. |
|
|
25,000 |
|
|
3.900 |
|
|
07/15/30 |
|
27,816 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1,069,878 |
|
Miscellaneous Manufacturing 0.7% |
General Electric Co. |
|
|
50,000 |
|
|
3.375 |
|
|
03/11/24 |
|
54,209 |
|
|
250,000 |
|
|
3.625 |
(e) |
|
05/01/30 |
|
284,853 |
|
|
125,000 |
|
|
5.875 |
|
|
01/14/38 |
|
169,421 |
(3M USD LIBOR + 3.330%) |
|
|
342,000 |
|
|
5.000 |
(b)(e) |
|
03/15/49 |
|
317,017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
825,500 |
|
Office(e)(f)
0.1% |
Xerox Holdings Corp. |
|
|
55,000 |
|
|
5.000 |
|
|
08/15/25 |
|
58,300 |
|
Oil Field Services 2.8% |
Antero Resources
Corp.(e) |
|
|
170,000 |
|
|
5.125 |
|
|
12/01/22 |
|
170,000 |
BP Capital Markets
PLC(e) |
|
|
150,000 |
|
|
3.279 |
|
|
09/19/27 |
|
168,658 |
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Oil Field Services (continued) |
Cenovus Energy, Inc. |
$ |
|
80,000 |
|
|
5.375 |
%(e) |
|
07/15/25 |
|
$ 90,181 |
|
|
85,000 |
|
|
6.750 |
|
|
11/15/39 |
|
110,797 |
Continental Resources,
Inc.(e)(f) |
|
|
215,000 |
|
|
5.750 |
|
|
01/15/31 |
|
238,650 |
Devon Energy
Corp.(e) |
|
|
55,000 |
|
|
5.850 |
|
|
12/15/25 |
|
64,623 |
|
|
25,000 |
|
|
5.600 |
|
|
07/15/41 |
|
30,505 |
DNO ASA(e)(f) |
|
|
100,000 |
|
|
8.750 |
|
|
05/31/23 |
|
95,500 |
EQT Corp.(e) |
|
|
215,000 |
|
|
7.875 |
|
|
02/01/25 |
|
245,100 |
Gazprom PJSC via Gaz Finance
PLC(e)(f) |
|
|
320,000 |
|
|
4.599 |
|
|
10/26/49 |
|
332,400 |
Laredo Petroleum,
Inc.(e) |
|
|
40,000 |
|
|
9.500 |
|
|
01/15/25 |
|
35,200 |
Leviathan Bond
Ltd.(e)(f) |
|
|
370,000 |
|
|
5.750 |
|
|
06/30/23 |
|
393,858 |
Marathon Petroleum
Corp.(e) |
|
|
50,000 |
|
|
3.800 |
|
|
04/01/28 |
|
55,744 |
Nabors Industries,
Inc.(e)(f) |
|
|
22,000 |
|
|
9.000 |
|
|
02/01/25 |
|
21,175 |
Occidental Petroleum
Corp.(e) |
|
|
55,000 |
|
|
2.700 |
|
|
02/15/23 |
|
54,794 |
|
|
95,000 |
|
|
8.000 |
|
|
07/15/25 |
|
107,350 |
|
|
200,000 |
|
|
5.550 |
|
|
03/15/26 |
|
208,500 |
|
|
100,000 |
|
|
6.625 |
|
|
09/01/30 |
|
108,375 |
Phillips 66(e) |
|
|
25,000 |
|
|
1.300 |
|
|
02/15/26 |
|
25,419 |
SEPLAT Petroleum Development Co.
PLC(e) |
|
|
200,000 |
|
|
9.250 |
|
|
04/01/23 |
|
205,312 |
Suncor Energy,
Inc.(e) |
|
|
25,000 |
|
|
3.100 |
|
|
05/15/25 |
|
27,384 |
Sunoco LP/Sunoco Finance
Corp.(e)(f) |
|
|
135,000 |
|
|
4.500 |
|
|
05/15/29 |
|
140,231 |
Transocean Poseidon
Ltd.(e)(f) |
|
|
80,000 |
|
|
6.875 |
|
|
02/01/27 |
|
72,800 |
USA Compression Partners LP/USA Compression Finance Corp.(e) |
|
|
223,000 |
|
|
6.875 |
|
|
04/01/26 |
|
233,592 |
|
GOLDMAN SACHS INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Oil Field Services (continued) |
Valero Energy Corp. |
$ |
|
25,000 |
|
|
2.700 |
% |
|
04/15/23 |
|
$ 26,103 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3,262,251 |
|
Packaging 1.0% |
Berry Global,
Inc.(e)(f) |
|
|
75,000 |
|
|
1.570 |
|
|
01/15/26 |
|
75,669 |
Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC(e)(f) |
|
|
228,000 |
|
|
6.000 |
|
|
09/15/28 |
|
234,555 |
Pactiv LLC |
|
|
285,000 |
|
|
8.375 |
|
|
04/15/27 |
|
333,450 |
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu(e)(f) |
|
|
88,000 |
|
|
4.000 |
|
|
10/15/27 |
|
89,870 |
Sealed Air
Corp.(f) |
|
|
113,000 |
|
|
6.875 |
|
|
07/15/33 |
|
149,160 |
Trivium Packaging Finance
B.V.(e)(f) |
|
|
200,000 |
|
|
8.500 |
|
|
08/15/27 |
|
219,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1,102,454 |
|
Pharmaceuticals(e)
2.7% |
AbbVie, Inc. |
|
|
325,000 |
|
|
3.200 |
|
|
11/21/29 |
|
365,895 |
|
|
150,000 |
|
|
4.250 |
|
|
11/21/49 |
|
188,428 |
AdaptHealth
LLC(f) |
|
|
65,000 |
|
|
6.125 |
|
|
08/01/28 |
|
69,875 |
|
|
120,000 |
|
|
4.625 |
|
|
08/01/29 |
|
123,300 |
Bausch Health Cos.,
Inc.(f) |
|
|
175,000 |
|
|
9.000 |
|
|
12/15/25 |
|
193,594 |
|
|
35,000 |
|
|
5.000 |
|
|
01/30/28 |
|
35,963 |
|
|
389,000 |
|
|
5.250 |
|
|
02/15/31 |
|
406,505 |
Becton Dickinson & Co. |
|
|
175,000 |
|
|
3.700 |
|
|
06/06/27 |
|
200,370 |
|
|
25,000 |
|
|
2.823 |
|
|
05/20/30 |
|
27,483 |
|
|
75,000 |
|
|
4.685 |
|
|
12/15/44 |
|
96,805 |
Bristol-Myers Squibb Co. |
|
|
150,000 |
|
|
3.900 |
|
|
02/20/28 |
|
177,850 |
Cigna Corp. |
|
|
400,000 |
|
|
2.400 |
|
|
03/15/30 |
|
425,152 |
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Pharmaceuticals(e)
(continued) |
CVS Health Corp. |
$ |
|
125,000 |
|
|
3.375 |
% |
|
08/12/24 |
|
$ 136,620 |
|
|
100,000 |
|
|
3.875 |
|
|
07/20/25 |
|
113,218 |
|
|
100,000 |
|
|
3.250 |
|
|
08/15/29 |
|
112,569 |
|
|
100,000 |
|
|
3.750 |
|
|
04/01/30 |
|
116,551 |
Herbalife Nutrition Ltd./HLF Financing, Inc.(f) |
|
|
107,000 |
|
|
7.875 |
|
|
09/01/25 |
|
116,630 |
HLF Financing S.a.r.l. LLC/Herbalife International, Inc.(f) |
|
|
152,000 |
|
|
7.250 |
|
|
08/15/26 |
|
160,740 |
Zoetis, Inc. |
|
|
50,000 |
|
|
2.000 |
|
|
05/15/30 |
|
51,742 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3,119,290 |
|
Pipelines(e)
2.5% |
Antero Midstream Partners LP/Antero Midstream Finance Corp. |
|
|
60,000 |
|
|
5.375 |
|
|
09/15/24 |
|
58,500 |
DCP Midstream Operating LP |
|
|
115,000 |
|
|
5.625 |
|
|
07/15/27 |
|
127,363 |
Energy Transfer Operating LP |
|
|
60,000 |
|
|
4.050 |
|
|
03/15/25 |
|
65,687 |
|
|
175,000 |
|
|
5.250 |
|
|
04/15/29 |
|
204,185 |
EnLink Midstream Partners LP |
|
|
40,000 |
|
|
4.400 |
|
|
04/01/24 |
|
39,550 |
Genesis Energy LP/Genesis Energy Finance Corp. |
|
|
176,000 |
|
|
7.750 |
|
|
02/01/28 |
|
168,520 |
Global Partners LP/GLP Finance
Corp.(f) |
|
|
145,000 |
|
|
6.875 |
|
|
01/15/29 |
|
157,325 |
MPLX LP |
|
|
135,000 |
|
|
4.000 |
|
|
03/15/28 |
|
155,361 |
|
|
75,000 |
|
|
2.650 |
|
|
08/15/30 |
|
78,715 |
NuStar Logistics LP |
|
|
145,000 |
|
|
6.000 |
|
|
06/01/26 |
|
155,875 |
|
|
185,000 |
|
|
6.375 |
|
|
10/01/30 |
|
209,050 |
ONEOK, Inc. |
|
|
50,000 |
|
|
6.350 |
|
|
01/15/31 |
|
64,178 |
Plains All American Pipeline LP/PAA Finance Corp. |
|
|
60,000 |
|
|
3.850 |
|
|
10/15/23 |
|
64,067 |
|
|
150,000 |
|
|
3.800 |
|
|
09/15/30 |
|
160,645 |
Sabine Pass Liquefaction LLC |
|
|
265,000 |
|
|
5.625 |
|
|
04/15/23 |
|
290,734 |
|
GOLDMAN SACHS INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Pipelines(e)
(continued) |
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. |
$ |
|
100,000 |
|
|
5.500 |
% |
|
08/15/22 |
|
$ 90,000 |
|
|
170,000 |
|
|
5.750 |
|
|
04/15/25 |
|
109,225 |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(f) |
|
|
150,000 |
|
|
5.500 |
|
|
09/15/24 |
|
152,625 |
|
|
140,000 |
|
|
6.000 |
|
|
12/31/30 |
|
144,200 |
Targa Resources Partners LP/Targa Resources Partners Finance Corp. |
|
|
95,000 |
|
|
5.375 |
|
|
02/01/27 |
|
99,513 |
|
|
160,000 |
|
|
4.875 |
(f) |
|
02/01/31 |
|
173,600 |
The Williams Cos., Inc. |
|
|
60,000 |
|
|
4.550 |
|
|
06/24/24 |
|
67,160 |
Western Midstream Operating LP |
|
|
50,000 |
|
|
4.100 |
|
|
02/01/25 |
|
51,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2,887,328 |
|
Real Estate(e)
0.8% |
NE Property B.V. |
EUR |
|
200,000 |
|
|
3.375 |
|
|
07/14/27 |
|
265,098 |
Realogy Group LLC/Realogy Co-Issuer Corp.(f) |
$ |
|
90,000 |
|
|
4.875 |
|
|
06/01/23 |
|
91,800 |
|
|
140,000 |
|
|
9.375 |
|
|
04/01/27 |
|
155,050 |
|
|
31,000 |
|
|
7.625 |
|
|
06/15/25 |
|
33,558 |
The Howard Hughes
Corp.(f) |
|
|
303,000 |
|
|
5.375 |
|
|
08/01/28 |
|
324,210 |
|
|
|
|
|
|
|
|
|
|
|
|
|
869,716 |
|
Real Estate Investment Trust(e)
1.8% |
Agree LP |
|
|
25,000 |
|
|
2.900 |
|
|
10/01/30 |
|
26,464 |
Alexandria Real Estate Equities, Inc. |
|
|
115,000 |
|
|
3.800 |
|
|
04/15/26 |
|
132,406 |
American Campus Communities Operating Partnership LP |
|
|
75,000 |
|
|
3.875 |
|
|
01/30/31 |
|
84,045 |
American Tower Corp. |
|
|
125,000 |
|
|
3.375 |
|
|
05/15/24 |
|
136,066 |
Crown Castle International Corp. |
|
|
175,000 |
|
|
4.450 |
|
|
02/15/26 |
|
202,594 |
|
|
150,000 |
|
|
3.300 |
|
|
07/01/30 |
|
168,211 |
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Real Estate Investment Trust(e)
(continued) |
Duke Realty LP |
$ |
|
25,000 |
|
|
1.750 |
% |
|
07/01/30 |
|
$ 25,299 |
MPT Operating Partnership LP/MPT Finance Corp. |
|
|
255,000 |
|
|
3.500 |
|
|
03/15/31 |
|
263,326 |
Regency Centers LP |
|
|
60,000 |
|
|
2.950 |
|
|
09/15/29 |
|
63,977 |
Service Properties Trust |
|
|
89,000 |
|
|
7.500 |
|
|
09/15/25 |
|
103,469 |
|
|
144,000 |
|
|
4.750 |
|
|
10/01/26 |
|
142,287 |
Spirit Realty LP |
|
|
60,000 |
|
|
4.000 |
|
|
07/15/29 |
|
67,208 |
Trust Fibra Uno |
|
|
200,000 |
|
|
4.869 |
|
|
01/15/30 |
|
228,125 |
UDR, Inc. |
|
|
150,000 |
|
|
1.900 |
|
|
03/15/33 |
|
149,874 |
VEREIT Operating Partnership LP |
|
|
55,000 |
|
|
4.875 |
|
|
06/01/26 |
|
64,533 |
|
|
25,000 |
|
|
3.400 |
|
|
01/15/28 |
|
27,591 |
|
|
50,000 |
|
|
2.850 |
|
|
12/15/32 |
|
52,225 |
WP Carey, Inc. |
|
|
75,000 |
|
|
4.250 |
|
|
10/01/26 |
|
86,269 |
|
|
60,000 |
|
|
3.850 |
|
|
07/15/29 |
|
68,095 |
|
|
25,000 |
|
|
2.400 |
|
|
02/01/31 |
|
25,987 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2,118,051 |
|
Retailing 3.3% |
1011778 BC ULC/New Red Finance,
Inc.(e)(f) |
|
|
753,000 |
|
|
4.000 |
|
|
10/15/30 |
|
758,647 |
AutoNation,
Inc.(e) |
|
|
50,000 |
|
|
4.750 |
|
|
06/01/30 |
|
60,176 |
Beacon Roofing Supply,
Inc.(e)(f) |
|
|
205,000 |
|
|
4.875 |
|
|
11/01/25 |
|
210,125 |
Burlington Coat Factory Warehouse Corp.(e)(f) |
|
|
92,000 |
|
|
6.250 |
|
|
04/15/25 |
|
97,750 |
Burlington Stores,
Inc.(f) |
|
|
79,000 |
|
|
2.250 |
|
|
04/15/25 |
|
109,778 |
Dollar Tree,
Inc.(e) |
|
|
225,000 |
|
|
4.000 |
|
|
05/15/25 |
|
253,971 |
eG Global Finance
PLC(e) |
EUR |
|
250,000 |
|
|
4.375 |
|
|
02/07/25 |
|
299,781 |
|
GOLDMAN SACHS INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Retailing (continued) |
Group 1 Automotive,
Inc.(e)(f) |
$ |
|
70,000 |
|
|
4.000 |
% |
|
08/15/28 |
|
$ 71,575 |
IRB Holding
Corp.(e)(f) |
|
|
159,000 |
|
|
7.000 |
|
|
06/15/25 |
|
172,913 |
|
|
343,000 |
|
|
6.750 |
|
|
02/15/26 |
|
354,147 |
Ken Garff Automotive
LLC(e)(f) |
|
|
190,000 |
|
|
4.875 |
|
|
09/15/28 |
|
197,600 |
L Brands,
Inc.(e)(f) |
|
|
88,000 |
|
|
6.875 |
|
|
07/01/25 |
|
95,480 |
LBM Acquisition
LLC(e)(f) |
|
|
190,000 |
|
|
6.250 |
|
|
01/15/29 |
|
197,600 |
Lowes Cos.,
Inc.(e) |
|
|
300,000 |
|
|
1.300 |
|
|
04/15/28 |
|
302,004 |
|
|
225,000 |
|
|
1.700 |
|
|
10/15/30 |
|
227,308 |
Specialty Building Products Holdings LLC/SBP Finance Corp.(e)(f) |
|
|
215,000 |
|
|
6.375 |
|
|
09/30/26 |
|
226,288 |
Tractor Supply
Co.(e) |
|
|
75,000 |
|
|
1.750 |
|
|
11/01/30 |
|
75,355 |
Yum! Brands,
Inc.(e)(f) |
|
|
2,000 |
|
|
7.750 |
|
|
04/01/25 |
|
2,215 |
|
|
88,000 |
|
|
4.750 |
|
|
01/15/30 |
|
96,470 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3,809,183 |
|
Semiconductors(e)
2.0% |
Amkor Technology,
Inc.(f) |
|
|
145,000 |
|
|
6.625 |
|
|
09/15/27 |
|
157,325 |
AMS AG(f) |
EUR |
|
200,000 |
|
|
6.000 |
|
|
07/31/25 |
|
258,694 |
$ |
|
203,000 |
|
|
7.000 |
|
|
07/31/25 |
|
218,479 |
Broadcom Corp./Broadcom Cayman Finance Ltd. |
|
|
185,000 |
|
|
3.625 |
|
|
01/15/24 |
|
200,120 |
|
|
100,000 |
|
|
3.875 |
|
|
01/15/27 |
|
112,368 |
|
|
400,000 |
|
|
3.500 |
|
|
01/15/28 |
|
440,132 |
Broadcom, Inc. |
|
|
375,000 |
|
|
3.459 |
|
|
09/15/26 |
|
415,972 |
Lam Research Corp. |
|
|
75,000 |
|
|
1.900 |
|
|
06/15/30 |
|
77,817 |
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Semiconductors(e)
(continued) |
NXP B.V./NXP Funding LLC/NXP USA,
Inc.(f) |
$ |
|
165,000 |
|
|
3.875 |
% |
|
06/18/26 |
|
$ 188,709 |
|
|
100,000 |
|
|
3.400 |
|
|
05/01/30 |
|
113,378 |
Qorvo, Inc. |
|
|
100,000 |
|
|
4.375 |
|
|
10/15/29 |
|
110,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2,292,994 |
|
Software(e)
1.0% |
Black Knight InfoServ
LLC(f) |
|
|
100,000 |
|
|
3.625 |
|
|
09/01/28 |
|
102,000 |
BY Crown Parent LLC/BY Bond Finance, Inc.(f) |
|
|
25,000 |
|
|
4.250 |
|
|
01/31/26 |
|
25,625 |
Castle US Holding
Corp.(f) |
|
|
277,000 |
|
|
9.500 |
|
|
02/15/28 |
|
277,000 |
Fiserv, Inc. |
|
|
115,000 |
|
|
3.200 |
|
|
07/01/26 |
|
128,744 |
Intuit, Inc. |
|
|
25,000 |
|
|
1.350 |
|
|
07/15/27 |
|
25,554 |
|
|
25,000 |
|
|
1.650 |
|
|
07/15/30 |
|
25,669 |
J2 Global,
Inc.(f) |
|
|
305,000 |
|
|
4.625 |
|
|
10/15/30 |
|
320,375 |
ServiceNow, Inc. |
|
|
125,000 |
|
|
1.400 |
|
|
09/01/30 |
|
121,900 |
Solera LLC/Solera Finance,
Inc.(f) |
|
|
90,000 |
|
|
10.500 |
|
|
03/01/24 |
|
93,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1,120,017 |
|
Telecommunication Services 5.0% |
Altice France
SA(e)(f) |
EUR |
|
100,000 |
|
|
2.125 |
|
|
02/15/25 |
|
118,195 |
AT&T,
Inc.(e) |
$ |
|
300,000 |
|
|
2.300 |
|
|
06/01/27 |
|
319,728 |
|
|
75,000 |
|
|
1.650 |
|
|
02/01/28 |
|
76,619 |
|
|
100,000 |
|
|
2.750 |
|
|
06/01/31 |
|
106,790 |
|
|
202,000 |
|
|
2.550 |
(f) |
|
12/01/33 |
|
207,668 |
|
|
175,000 |
|
|
4.900 |
|
|
08/15/37 |
|
218,738 |
Avaya,
Inc.(e)(f) |
|
|
440,000 |
|
|
6.125 |
|
|
09/15/28 |
|
464,200 |
CommScope,
Inc.(e)(f) |
|
|
85,000 |
|
|
7.125 |
|
|
07/01/28 |
|
90,312 |
|
GOLDMAN SACHS INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Telecommunication Services (continued) |
Frontier Communications
Corp.(e)(f) |
$ |
|
83,000 |
|
|
5.000 |
% |
|
05/01/28 |
|
$ 86,528 |
Intelsat Jackson Holdings
SA(e)(h) |
|
|
180,000 |
|
|
5.500 |
|
|
08/01/23 |
|
121,050 |
Millicom International Cellular
SA(e)(f) |
|
|
260,000 |
|
|
4.500 |
|
|
04/27/31 |
|
280,231 |
MTN Mauritius Investments Ltd. |
|
|
400,000 |
|
|
6.500 |
|
|
10/13/26 |
|
457,250 |
PPF Telecom Group
B.V.(e) |
EUR |
|
400,000 |
|
|
2.125 |
|
|
01/31/25 |
|
498,223 |
Sprint Capital Corp. |
$ |
|
125,000 |
|
|
8.750 |
|
|
03/15/32 |
|
197,187 |
T-Mobile USA,
Inc.(e)(f) |
|
|
25,000 |
|
|
1.500 |
|
|
02/15/26 |
|
25,610 |
|
|
150,000 |
|
|
3.750 |
|
|
04/15/27 |
|
170,565 |
|
|
250,000 |
|
|
2.050 |
|
|
02/15/28 |
|
259,987 |
|
|
250,000 |
|
|
3.875 |
|
|
04/15/30 |
|
289,359 |
|
|
48,000 |
|
|
4.500 |
|
|
04/15/50 |
|
59,407 |
Telecom Italia
SpA(e) |
EUR |
|
175,000 |
|
|
2.875 |
|
|
01/28/26 |
|
226,003 |
Telesat Canada/Telesat
LLC(e)(f) |
$ |
|
95,000 |
|
|
6.500 |
|
|
10/15/27 |
|
99,275 |
VEON Holdings
B.V.(e)(f) |
|
|
410,000 |
|
|
3.375 |
|
|
11/25/27 |
|
422,300 |
Verizon Communications, Inc. |
|
|
50,000 |
|
|
3.376 |
|
|
02/15/25 |
|
55,526 |
|
|
275,000 |
|
|
4.329 |
|
|
09/21/28 |
|
330,635 |
|
|
275,000 |
|
|
3.150 |
(e) |
|
03/22/30 |
|
308,214 |
Vmed O2 UK Financing I
PLC(e)(f) |
|
|
292,000 |
|
|
4.250 |
|
|
01/31/31 |
|
297,840 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,787,440 |
|
Toys/Games/Hobbies(e)(f)
0.0% |
Mattel, Inc. |
|
|
38,000 |
|
|
5.875 |
|
|
12/15/27 |
|
42,180 |
|
Transportation 0.6% |
FedEx Corp.(e) |
|
|
225,000 |
|
|
3.300 |
|
|
03/15/27 |
|
252,032 |
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Corporate Obligations (continued) |
Transportation (continued) |
MV24 Capital B.V. |
$ |
|
378,528 |
|
|
6.748 |
% |
|
06/01/34 |
|
$ 415,198 |
XPO Logistics,
Inc.(e)(f) |
|
|
3,000 |
|
|
6.250 |
|
|
05/01/25 |
|
3,221 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
670,451 |
|
Trucking & Leasing(e)(f)
0.2% |
Fortress Transportation & Infrastructure Investors LLC |
|
|
208,000 |
|
|
6.500 |
|
|
10/01/25 |
|
218,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
218,400 |
|
TOTAL CORPORATE OBLIGATIONS (Cost $86,022,314) |
|
$ 89,738,507 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed Obligations 16.1% |
Collateralized Mortgage Obligations 1.5% |
Interest Only(i)
1.5% |
FHLMC REMIC Series 4991, Class IE |
$ |
|
948,184 |
|
|
5.000 |
% |
|
07/25/50 |
|
$ 124,250 |
FHLMC REMIC Series 5002, Class
SJ(b) (-1x 1M USD LIBOR + 6.100%) |
|
|
600,993 |
|
|
5.952 |
|
|
07/25/50 |
|
112,147 |
FNMA REMIC Series 2017-86, Class
SB(b) (-1x 1M USD LIBOR + 6.150%) |
|
|
291,501 |
|
|
6.002 |
|
|
11/25/47 |
|
52,601 |
FNMA REMIC Series 2020-45, Class AI |
|
|
399,846 |
|
|
4.000 |
|
|
07/25/50 |
|
50,959 |
FNMA REMIC Series 2020-60, Class KI |
|
|
717,895 |
|
|
2.000 |
|
|
09/25/50 |
|
59,066 |
GNMA REMIC Series 2014-117, Class
SJ(b) (-1x 1M USD LIBOR + 5.600%) |
|
|
1,151,606 |
|
|
5.448 |
|
|
08/20/44 |
|
192,132 |
GNMA REMIC Series 2015-112, Class
SB(b) (-1x 1M USD LIBOR + 5.740%) |
|
|
735,695 |
|
|
5.588 |
|
|
08/20/45 |
|
125,161 |
GNMA REMIC Series 2018-124, Class
SN(b) (-1x 1M USD LIBOR + 6.200%) |
|
|
289,843 |
|
|
6.048 |
|
|
09/20/48 |
|
50,785 |
GNMA REMIC Series 2019-52, Class
SK(b) (-1x 1M USD LIBOR + 6.050%) |
|
|
326,630 |
|
|
5.898 |
|
|
04/20/49 |
|
44,804 |
GNMA REMIC Series 2020-11, Class
SA(b) (-1x 1M USD LIBOR + 6.050%) |
|
|
378,353 |
|
|
5.898 |
|
|
02/20/50 |
|
63,587 |
GNMA REMIC Series 2020-146, Class KI |
|
|
944,980 |
|
|
2.500 |
|
|
10/20/50 |
|
91,934 |
|
GOLDMAN SACHS INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
Interest Only (continued) |
GNMA REMIC Series 2020-151, Class HI |
$ |
|
|
397,476 |
|
|
|
2.500 |
% |
|
10/20/50 |
|
$ 22,677 |
GNMA REMIC Series 2020-173, Class AI |
|
|
|
1,696,115 |
|
|
|
2.500 |
|
|
11/20/50 |
|
105,487 |
GNMA REMIC Series 2020-55, Class
AS(b) (-1x 1M USD LIBOR + 6.050%) |
|
|
|
604,777 |
|
|
|
5.898 |
|
|
04/20/50 |
|
104,384 |
GNMA REMIC Series 2020-55, Class IO |
|
|
|
1,498,404 |
|
|
|
3.500 |
|
|
04/20/50 |
|
169,451 |
GNMA REMIC Series 2020-61, Class GI |
|
|
|
506,310 |
|
|
|
5.000 |
|
|
05/20/50 |
|
51,998 |
GNMA REMIC Series 2020-61, Class
SF(b) (-1x 1M USD LIBOR + 6.440%) |
|
|
|
582,002 |
|
|
|
6.288 |
|
|
07/20/43 |
|
113,674 |
GNMA REMIC Series 2020-7, Class GI |
|
|
|
232,365 |
|
|
|
4.000 |
|
|
01/20/50 |
|
22,323 |
GNMA REMIC Series 2020-78, Class DI |
|
|
|
537,345 |
|
|
|
4.000 |
|
|
06/20/50 |
|
69,322 |
GNMA REMIC Series 2020-78, Class
SD(b) (-1x 1M USD LIBOR + 6.150%) |
|
|
|
608,837 |
|
|
|
5.998 |
|
|
06/20/50 |
|
93,301 |
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
$ 1,720,043 |
|
Federal Agencies(j)
14.6% |
***Unknown Category*** 6.3% |
$ |
|
|
7,000,000 |
|
|
|
2.000 |
% |
|
TBA-30yr |
|
$ 7,319,199 |
|
GNMA 1.9% |
|
|
|
1,000,000 |
|
|
|
2.500 |
|
|
TBA-30yr |
|
1,058,697 |
|
|
|
1,000,000 |
|
|
|
4.500 |
|
|
TBA-30yr |
|
1,073,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,131,822 |
|
UMBS, 30 Year, Single Family 6.4% |
|
|
|
6,000,000 |
|
|
|
2.000 |
|
|
TBA-30yr |
|
6,237,160 |
|
|
|
1,000,000 |
|
|
|
5.000 |
|
|
TBA-30yr |
|
1,106,562 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,343,722 |
|
TOTAL FEDERAL AGENCIES |
|
$ 16,794,743 |
|
TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $18,454,271) |
|
$ 18,514,786 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Foreign Debt Obligations 10.0% |
Sovereign 10.0% |
Dominican Republic |
$ |
|
|
640,000 |
|
|
|
5.500 |
% |
|
01/27/25 |
|
$ 721,800 |
|
|
|
200,000 |
|
|
|
5.950 |
|
|
01/25/27 |
|
233,313 |
|
|
|
240,000 |
|
|
|
4.875 |
(f) |
|
09/23/32 |
|
264,525 |
Finance Department Government of Sharjah(f) |
|
|
|
200,000 |
|
|
|
4.000 |
|
|
07/28/50 |
|
202,750 |
Jamaica Government International Bond |
|
|
|
400,000 |
|
|
|
7.875 |
|
|
07/28/45 |
|
571,875 |
Kingdom of
Bahrain(f) |
|
|
|
200,000 |
|
|
|
7.375 |
|
|
05/14/30 |
|
237,187 |
Kingdom of
Morocco(f) |
|
|
|
310,000 |
|
|
|
3.000 |
|
|
12/15/32 |
|
313,875 |
Mexico Government International Bond |
|
|
|
540,000 |
|
|
|
4.500 |
|
|
04/22/29 |
|
633,150 |
Perusahaan Penerbit SBSN Indonesia III |
|
|
|
550,000 |
|
|
|
4.150 |
|
|
03/29/27 |
|
630,609 |
Republic of Abu
Dhabi(f) |
|
|
|
200,000 |
|
|
|
3.875 |
|
|
04/16/50 |
|
242,937 |
Republic of
Angola(f) |
|
|
|
200,000 |
|
|
|
8.250 |
|
|
05/09/28 |
|
191,938 |
Republic of
Argentina(e) |
|
|
|
13,920 |
|
|
|
1.000 |
|
|
07/09/29 |
|
6,055 |
|
|
|
455,900 |
|
|
|
0.125 |
(k) |
|
07/09/30 |
|
185,323 |
Republic of Belarus Ministry of Finance(f) |
|
|
|
200,000 |
|
|
|
5.875 |
|
|
02/24/26 |
|
205,000 |
Republic of
Colombia(e) |
|
|
|
200,000 |
|
|
|
4.500 |
|
|
03/15/29 |
|
231,000 |
|
|
|
200,000 |
|
|
|
4.125 |
|
|
05/15/51 |
|
222,200 |
Republic of
Ecuador(f) |
|
|
|
34,036 |
|
|
|
0.000 |
(l) |
|
07/31/30 |
|
16,082 |
|
|
|
40,000 |
|
|
|
0.500 |
(k) |
|
07/31/30 |
|
25,700 |
|
|
|
46,400 |
|
|
|
0.500 |
(k) |
|
07/31/40 |
|
23,374 |
Republic of Egypt |
|
|
|
200,000 |
|
|
|
8.875 |
(f) |
|
05/29/50 |
|
234,438 |
EUR |
|
|
180,000 |
|
|
|
4.750 |
|
|
04/11/25 |
|
229,105 |
|
|
|
200,000 |
|
|
|
4.750 |
|
|
04/16/26 |
|
253,492 |
|
|
|
200,000 |
|
|
|
5.625 |
|
|
04/16/30 |
|
254,943 |
|
GOLDMAN SACHS INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Foreign Debt Obligations (continued) |
Sovereign (continued) |
Republic of Ivory
Coast(f) |
EUR |
|
|
500,000 |
|
|
|
4.875 |
% |
|
01/30/32 |
|
$ 626,859 |
Republic of Lebanon |
$ |
|
|
10,000 |
|
|
|
6.200 |
(h) |
|
02/26/25 |
|
1,200 |
|
|
|
10,000 |
|
|
|
6.750 |
(h) |
|
11/29/27 |
|
1,200 |
|
|
|
20,000 |
|
|
|
6.850 |
(h) |
|
05/25/29 |
|
2,400 |
|
|
|
110,000 |
|
|
|
6.650 |
(h) |
|
02/26/30 |
|
13,200 |
|
|
|
10,000 |
|
|
|
8.250 |
|
|
05/17/34 |
|
1,300 |
Republic of Nigeria |
|
|
|
400,000 |
|
|
|
7.625 |
|
|
11/21/25 |
|
459,125 |
Republic of Paraguay |
|
|
|
200,000 |
|
|
|
4.700 |
|
|
03/27/27 |
|
232,750 |
|
|
|
200,000 |
|
|
|
4.950 |
(e) |
|
04/28/31 |
|
241,500 |
Republic of
Peru(e) |
|
|
|
400,000 |
|
|
|
2.783 |
|
|
01/23/31 |
|
438,600 |
Republic of Romania |
EUR |
|
|
290,000 |
|
|
|
2.875 |
|
|
03/11/29 |
|
399,892 |
|
|
|
30,000 |
|
|
|
2.625 |
(f) |
|
12/02/40 |
|
38,986 |
Republic of South Africa |
$ |
|
|
300,000 |
|
|
|
4.665 |
|
|
01/17/24 |
|
322,500 |
Republic of Turkey |
|
|
|
200,000 |
|
|
|
7.250 |
|
|
12/23/23 |
|
218,250 |
|
|
|
200,000 |
|
|
|
6.125 |
|
|
10/24/28 |
|
213,000 |
|
|
|
200,000 |
|
|
|
7.625 |
|
|
04/26/29 |
|
231,000 |
|
|
|
200,000 |
|
|
|
4.875 |
|
|
04/16/43 |
|
175,000 |
Republic of
Uzbekistan(f) |
|
|
|
200,000 |
|
|
|
3.700 |
|
|
11/25/30 |
|
210,500 |
Russian Federation Bond |
|
|
|
200,000 |
|
|
|
4.750 |
|
|
05/27/26 |
|
231,100 |
Trinidad & Tobago Government International Bond(e) |
|
|
|
400,000 |
|
|
|
4.500 |
|
|
06/26/30 |
|
429,500 |
Ukraine Government Bond |
|
|
|
190,000 |
|
|
|
7.750 |
|
|
09/01/23 |
|
209,000 |
|
|
|
200,000 |
|
|
|
7.750 |
|
|
09/01/24 |
|
221,813 |
|
|
|
200,000 |
|
|
|
7.750 |
|
|
09/01/26 |
|
225,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Foreign Debt Obligations (continued) |
Sovereign (continued) |
United Mexican
States(e) |
|
|
|
200,000 |
|
|
|
2.659 |
% |
|
05/24/31 |
|
$ 205,700 |
|
TOTAL FOREIGN DEBT OBLIGATIONS (Cost $10,876,465) |
|
$ 11,480,796 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Obligations 3.1% |
United States Treasury Bond |
$ |
|
|
700,000 |
|
|
|
1.625 |
% |
|
11/15/50 |
|
$ 696,391 |
United States Treasury Notes |
|
|
|
1,450,000 |
|
|
|
0.250 |
|
|
12/31/25 |
|
1,450,906 |
|
|
|
1,440,000 |
|
|
|
0.625 |
|
|
12/31/27 |
|
1,437,750 |
|
TOTAL U.S. TREASURY OBLIGATIONS (Cost $3,577,207) |
|
$ 3,585,047 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
Dividend Rate |
|
Value |
|
Investment Company(m) 2.6% |
Goldman Sachs Financial Square Government Fund - Institutional Shares |
|
|
|
3,026,836 |
|
|
|
|
|
|
0.026% |
|
$ 3,026,836 |
(Cost $3,026,836) |
|
TOTAL INVESTMENTS 112.3% (Cost
$125,088,888) |
|
$ 129,509,720 |
|
LIABILITIES IN EXCESS OF
OTHER ASSETS (12.3)% |
|
(14,175,664) |
|
NET ASSETS 100.0% |
|
$ 115,334,056 |
|
|
|
|
|
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. As bank loan positions may involve multiple underlying tranches for which the aggregate position is presented, the stated interest rate
represents the weighted average interest rate of all contracts on December 31, 2020. 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 December 31,
2020. |
|
|
(c) |
|
Significant unobservable inputs were used in the valuation of this portfolio security; i.e., Level 3. |
|
|
(d) |
|
This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
GOLDMAN SACHS INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
(e) |
|
Security with Call features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
|
|
(f) |
|
Exempt from registration under Rule 144A of the Securities Act of 1933. |
|
|
(g) |
|
Pay-in-kind securities. |
|
|
(h) |
|
Security is currently in default and/or non-income producing. |
|
|
(i) |
|
Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. |
|
|
(j) |
|
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 $16,794,743 which represents approximately 14.6% of the Funds net assets as of December 31, 2020. |
|
|
(k) |
|
Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on December 31, 2020. |
|
|
(l) |
|
Issued with a zero coupon. Income is recognized through the accretion of discount. |
|
|
(m) |
|
Represents an affiliated issuer. |
|
|
|
|
Currency Abbreviations: |
EUR |
|
Euro |
GBP |
|
British Pound |
USD |
|
U.S. Dollar |
Investment Abbreviations: |
BP |
|
British Pound Offered Rate |
CMT |
|
Constant Maturity Treasury Indexes |
EURO |
|
Euro Offered Rate |
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 |
MTN |
|
Medium Term Note |
PLC |
|
Public Limited Company |
REMIC |
|
Real Estate Mortgage Investment Conduit |
SOFR |
|
Secured Overnight Funding Rate |
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 INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS At December 31, 2020, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Currency Purchased |
|
|
Currency Sold |
|
|
Settlement Date |
|
|
Unrealized Gain |
|
|
|
JPMorgan Securities, Inc. |
|
USD |
|
|
250,880 |
|
|
EUR |
|
|
204,853 |
|
|
|
01/21/21 |
|
|
$ |
488 |
|
|
|
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Currency Purchased |
|
|
Currency Sold |
|
|
Settlement Date |
|
|
Unrealized Loss |
|
|
|
JPMorgan Securities, Inc. |
|
USD |
|
|
4,840,141 |
|
|
|
EUR |
|
|
|
4,078,577 |
|
|
|
01/21/21 |
|
|
|
(145,113 |
) |
USD |
|
|
|
|
128,811 |
|
|
|
GBP |
|
|
|
100,000 |
|
|
|
01/13/21 |
|
|
|
(7,955 |
) |
|
|
TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(153,068 |
) |
|
|
FUTURES CONTRACTS At December 31, 2020, 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 |
|
|
10 |
|
|
|
03/22/21 |
|
|
$ |
2,135,625 |
|
|
$ |
(4,916 |
) |
2 Year U.S. Treasury Notes |
|
|
7 |
|
|
|
03/31/21 |
|
|
|
1,546,836 |
|
|
|
1,260 |
|
10 Year U.S. Treasury Notes |
|
|
112 |
|
|
|
03/22/21 |
|
|
|
15,464,750 |
|
|
|
17,813 |
|
20 Year U.S. Treasury Bonds |
|
|
28 |
|
|
|
03/22/21 |
|
|
|
4,849,250 |
|
|
|
(33,656 |
) |
|
|
Total |
|
|
$ |
(19,499 |
) |
|
|
Short position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ultra 10 Year U.S. Treasury Notes |
|
|
(34) |
|
|
|
03/22/21 |
|
|
|
(5,316,219 |
) |
|
|
8,040 |
|
5 Year U.S. Treasury Notes |
|
|
(18) |
|
|
|
03/31/21 |
|
|
|
(2,270,953 |
) |
|
|
(590 |
) |
10 Year German Euro-Bund |
|
|
(1) |
|
|
|
03/08/21 |
|
|
|
(217,014 |
) |
|
|
(502 |
) |
|
|
Total |
|
|
$ |
6,948 |
|
|
|
TOTAL FUTURES CONTRACTS |
|
|
$ |
(12,551 |
) |
|
|
SWAP CONTRACTS At December 31, 2020, 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) |
|
|
|
(0.250)(b) |
|
6M EURO(c) |
|
|
03/17/24 |
|
|
|
EUR |
|
|
|
960 |
|
|
$ |
(9,079 |
) |
|
$ |
(9,824 |
) |
|
$ |
745 |
|
(0.250)(b) |
|
6M EURO (c) |
|
|
03/17/25 |
|
|
|
|
|
|
|
230 |
|
|
|
(2,636 |
) |
|
|
(2,847 |
) |
|
|
211 |
|
(0.250)(b) |
|
6M EURO (c) |
|
|
03/17/26 |
|
|
|
|
|
|
|
780 |
|
|
|
(9,872 |
) |
|
|
(10,534 |
) |
|
|
662 |
|
(0.250)(b) |
|
6M EURO(c) |
|
|
03/17/28 |
|
|
|
|
|
|
|
330 |
|
|
|
(3,834 |
) |
|
|
(3,957 |
) |
|
|
123 |
|
0.000(b) |
|
6M EURO(c) |
|
|
03/17/31 |
|
|
|
|
|
|
|
930 |
|
|
|
(29,635 |
) |
|
|
(28,907 |
) |
|
|
(728 |
) |
6M EURO(c) |
|
0.250(b) |
|
|
03/17/41 |
|
|
|
|
|
|
|
40 |
|
|
|
2,460 |
|
|
|
2,372 |
|
|
|
88 |
|
0.000(b) |
|
6M EURO(c) |
|
|
03/17/51 |
|
|
|
|
|
|
|
20 |
|
|
|
(205 |
) |
|
|
(58 |
) |
|
|
(147 |
) |
|
|
TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(52,801 |
) |
|
$ |
(53,755 |
) |
|
$ |
954 |
|
|
|
(a) |
|
Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to December 31, 2020. |
(b) |
|
Payments made annually. |
(c) |
|
Payments made semi-annually. |
GOLDMAN SACHS INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (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 December 31, 2020(b) |
|
|
Termination Date |
|
|
Notional Amount (000s) |
|
Value |
|
|
Upfront Premiums (Received) Paid |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
Protection Sold: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CDX.NA.HY Index 34 |
|
|
5.000 |
% |
|
|
2.758 |
% |
|
|
06/20/25 |
|
|
$ 46 |
|
$ |
4,319 |
|
|
$ |
(1,631 |
) |
|
$ |
5,950 |
|
CDX.NA.IG Index 28 |
|
|
1.000 |
|
|
|
0.437 |
|
|
|
06/20/22 |
|
|
625 |
|
|
5,411 |
|
|
|
6,336 |
|
|
|
(925 |
) |
CDX.NA.IG Index 33 |
|
|
1.000 |
|
|
|
0.580 |
|
|
|
12/20/24 |
|
|
2,900 |
|
|
48,840 |
|
|
|
52,502 |
|
|
|
(3,662 |
) |
CDX.NA.IG Index 34 |
|
|
1.000 |
|
|
|
0.629 |
|
|
|
06/20/25 |
|
|
15,350 |
|
|
255,211 |
|
|
|
170,045 |
|
|
|
85,166 |
|
CDX.NA.IG Index 34 |
|
|
1.000 |
|
|
|
0.418 |
|
|
|
06/20/23 |
|
|
425 |
|
|
6,235 |
|
|
|
4,487 |
|
|
|
1,748 |
|
Nabors Industries, Inc., 5.750%, 01/02/25 |
|
|
1.000 |
|
|
|
13.818 |
|
|
|
12/20/22 |
|
|
74 |
|
|
(16,334 |
) |
|
|
(29,698 |
) |
|
|
13,364 |
|
|
|
TOTAL |
|
$ |
303,682 |
|
|
$ |
202,041 |
|
|
$ |
101,641 |
|
|
|
(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: |
|
|
CDX.NA.IG Index 28 |
|
CDX North America Investment Grade Index 28 |
CDX.NA.IG Index 33 |
|
CDX North America Investment Grade Index 33 |
CDX.NA.IG Index 34 |
|
CDX North America Investment Grade Index 34 |
CDX.NA.HY Index 34 |
|
CDX North America Investment Grade Index 34 |
|
|
|
|
GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND
Schedule of Investments
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Secured Debt Obligations 34.1% |
Bank Loans(a)
22.2% |
Advertising(b)(c)
0.4% |
Terrier Media Buyer, Inc. (B+/B1) (1M LIBOR + 4.250%) |
$ |
|
|
470,250 |
|
|
|
4.397 |
% |
|
12/17/26 |
|
$ 470,104 |
|
Aerospace & Defense(b)
0.9% |
TransDigm, Inc. (B+/Ba3) (1M LIBOR + 2.250%) |
|
|
|
1,116,486 |
|
|
|
2.397 |
|
|
12/09/25 |
|
1,092,649 |
|
Automotive 1.6% |
Adient US LLC (B+/Ba3) (1M LIBOR + 4.250%) |
|
|
|
535,980 |
|
|
|
4.414 |
(b) |
|
05/06/24 |
|
535,085 |
GT Polaris, Inc. (NR/NR) |
|
|
|
100,000 |
|
|
|
5.000 |
|
|
09/24/27 |
|
100,275 |
Navistar International Corp. (BB-/Ba2) (1M LIBOR + 3.500%) |
|
|
|
1,221,411 |
|
|
|
3.660 |
(b) |
|
11/06/24 |
|
1,218,663 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,854,023 |
|
Building Materials 0.3% |
CP Atlas Buyer, Inc. (B/B2)(b)
(3M LIBOR + 4.500%) |
|
|
|
75,000 |
|
|
|
5.250 |
|
|
11/23/27 |
|
75,094 |
CP Atlas Buyer, Inc.
(B/WR) |
|
|
|
25,000 |
|
|
|
5.250 |
|
|
11/23/27 |
|
25,031 |
Packers Holdings LLC (B-/B2) |
|
|
|
100,000 |
|
|
|
4.750 |
|
|
12/04/24 |
|
99,938 |
Potters Industries, LLC (B/B3) |
|
|
|
190,000 |
|
|
|
4.750 |
|
|
12/14/27 |
|
190,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
390,063 |
|
Chemicals(b)
1.1% |
Consolidated Energy Finance SA (B+/B1) (1M LIBOR + 2.500%) |
|
|
|
297,195 |
|
|
|
2.645 |
|
|
05/07/25 |
|
283,450 |
Illuminate Buyer LLC (B+/B1) (1 Week LIBOR + 4.000%) |
|
|
|
523,688 |
|
|
|
4.147 |
|
|
06/30/27 |
|
523,468 |
INEOS Enterprises Holdings US Finco LLC (BB/B1) (3M LIBOR +
3.500%) |
|
|
|
168,797 |
|
|
|
4.500 |
|
|
08/28/26 |
|
167,690 |
Oxbow Carbon LLC (BB-/B1) (1M LIBOR + 4.250%) |
|
|
|
296,250 |
|
|
|
5.000 |
|
|
10/17/25 |
|
295,509 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,270,117 |
|
Commercial Services(b)
1.2% |
Amentum Government Services Holdings LLC (B/B1) |
|
|
|
350,000 |
|
|
|
5.500 |
|
|
01/29/27 |
|
351,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Secured Debt Obligations (continued) |
Commercial Services(b)
(continued) |
Garda World Security Corp.
(B/B1)(b) (1M LIBOR + 4.750%) |
$ |
|
|
382,008 |
|
|
|
4.990 |
% |
|
10/30/26 |
|
$ 382,008 |
Sabert Corp. (B/B2)(b) (1M
LIBOR + 4.500%) |
|
|
|
266,169 |
|
|
|
5.500 |
|
|
12/10/26 |
|
265,059 |
Trico Group LLC (B/B3)(b) (2M
LIBOR + 7.500%) |
|
|
|
365,616 |
|
|
|
8.500 |
|
|
02/02/24 |
|
363,788 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,362,605 |
|
Consumer Cyclical Services(b)
0.9% |
AI Aqua Merger Sub, Inc. (B/B2) |
(1M LIBOR + 3.250%) |
133,194 |
|
|
|
|
|
|
4.250 |
|
|
12/13/23 |
|
132,195 |
(3M LIBOR + 4.250%) |
416,790 |
|
|
|
|
|
|
5.250 |
(c) |
|
12/13/23 |
|
416,790 |
Allied Universal Holding Co. LLC (B-/B3) (1M LIBOR + 4.250%) |
|
|
|
548,460 |
|
|
|
4.397 |
|
|
07/10/26 |
|
545,603 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,094,588 |
|
Diversified Manufacturing(b)
0.6% |
Apex Tool Group LLC (CCC+/B3) (1M LIBOR + 5.250%) |
|
|
|
674,308 |
|
|
|
6.500 |
|
|
08/01/24 |
|
665,232 |
|
Energy-Oil & Gas Services &
Equipment(b) 0.5% |
Apergy Corp. (BBB-/Ba2) (3M LIBOR + 5.000%) |
|
|
|
536,250 |
|
|
|
6.000 |
|
|
06/03/27 |
|
544,294 |
|
Entertainment(b)
0.5% |
Allen Media LLC (BB-/Ba3)(c)
(3M LIBOR + 5.500%) |
|
|
|
387,014 |
|
|
|
5.754 |
|
|
02/10/27 |
|
384,916 |
Alterra Mountain Co. (B/B2) (1M LIBOR + 4.500%) |
|
|
|
99,749 |
|
|
|
5.500 |
|
|
08/01/26 |
|
100,123 |
AMC Entertainment Holdings, Inc. (CCC/Caa2) (3M LIBOR + 3.000%) |
|
|
|
198,485 |
|
|
|
3.230 |
|
|
04/22/26 |
|
126,980 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
612,019 |
|
Food(b) 0.3% |
Chobani LLC (B-/B1) (1M LIBOR + 3.500%) |
|
|
|
249,375 |
|
|
|
4.500 |
|
|
10/20/27 |
|
248,502 |
Shearers Foods, Inc. (B-/B2) (3M LIBOR + 4.000%) |
|
|
|
99,750 |
|
|
|
4.750 |
|
|
09/23/27 |
|
99,719 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
348,221 |
|
Gaming(b)
0.9% |
Caesars Resort Collection LLC (B+/B1) (1M LIBOR + 2.750%) |
|
|
|
1,103,147 |
|
|
|
2.897 |
|
|
12/23/24 |
|
1,080,952 |
|
GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND
Schedule of Investments
(continued)
December
31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Secured Debt Obligations (continued) |
Health Care(b)
0.2% |
Athenahealth, Inc. (B/B2) (3M LIBOR + 4.500%) |
$ |
|
|
254,375 |
|
|
|
4.648 |
% |
|
02/11/26 |
|
$ 253,675 |
|
Health Care - Services(b)
0.8% |
Help At Home, Inc. (B-/B1) (3M LIBOR + 5.000%) |
|
|
|
155,388 |
|
|
|
6.000 |
|
|
10/29/27 |
|
154,028 |
Kindred Healthcare LLC (B+/B3) (1M LIBOR + 5.000%) |
|
|
|
757,563 |
|
|
|
5.188 |
|
|
07/02/25 |
|
755,669 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
909,697 |
|
Household Products 0.3% |
Energizer Holdings, Inc. (BB+/Ba1) |
|
|
|
100,000 |
|
|
|
0.000 |
(d) |
|
12/22/27 |
|
99,813 |
(3M LIBOR + 2.250%) |
|
|
|
75,000 |
|
|
|
2.750 |
(b) |
|
12/22/27 |
|
74,860 |
Kronos Acquisition Holdings, Inc. (B-/B2)(d) |
|
|
|
150,000 |
|
|
|
0.000 |
|
|
12/17/26 |
|
149,812 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
324,485 |
|
Insurance(b)
0.5% |
HUB International Ltd. (B/B2) (3M LIBOR + 2.750%) |
|
|
|
552,479 |
|
|
|
2.965 |
|
|
04/25/25 |
|
541,949 |
|
Media - Cable 0.7% |
CSC Holdings LLC (BB/Ba3)(b)
(1M LIBOR + 2.250%) |
|
|
|
304,270 |
|
|
|
2.409 |
|
|
07/17/25 |
|
299,271 |
Vertical Midco GmbH (NR/NR) |
|
|
|
548,625 |
|
|
|
4.478 |
|
|
07/30/27 |
|
550,485 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
849,756 |
|
Media - Non Cable 1.5% |
Cambium Learning Group, Inc.
(B-/B2)(b) (3M LIBOR + 4.500%) |
|
|
|
249,364 |
|
|
|
4.754 |
|
|
12/18/25 |
|
247,556 |
Cumulus Media New Holdings, Inc. (B/B2)(b) (3M LIBOR + 3.750%) |
|
|
|
50,965 |
|
|
|
4.750 |
|
|
03/31/26 |
|
49,988 |
iHeartCommunications, Inc. (B+/B1)(b) |
(1M LIBOR + 3.000%) |
|
|
|
159,545 |
|
|
|
3.147 |
|
|
05/01/26 |
|
156,753 |
(1M LIBOR + 4.000%) |
|
|
|
316,063 |
|
|
|
4.750 |
|
|
05/01/26 |
|
315,800 |
Lions Gate Capital Holdings LLC (B+/Ba2)(b) (1M LIBOR + 2.250%) |
|
|
|
391,558 |
|
|
|
2.397 |
|
|
03/24/25 |
|
385,196 |
Nexstar Broadcasting, Inc.
(BB/Ba3)(b) (3M LIBOR + 2.750%) |
|
|
|
503,387 |
|
|
|
2.905 |
|
|
09/18/26 |
|
499,425 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Secured Debt Obligations (continued) |
Media - Non Cable (continued) |
The E.W. Scripps Co.
(BB-/Ba3)(d) |
$ |
|
|
125,000 |
|
|
|
3.750 |
% |
|
01/07/28 |
|
$ 125,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,779,718 |
|
Packaging(b)
2.2% |
BWAY Holding Co. (B-/B3) (3M LIBOR + 3.250%) |
|
|
|
943,570 |
|
|
|
3.480 |
|
|
04/03/24 |
|
909,366 |
Flex Acquisition Co., Inc.
(B/B2)(c) (3M LIBOR + 3.000%) |
|
|
|
539,089 |
|
|
|
4.000 |
|
|
12/29/23 |
|
535,553 |
LABL, Inc. (B/B2) (1M LIBOR + 4.500%) |
|
|
|
258,346 |
|
|
|
4.647 |
|
|
07/01/26 |
|
258,103 |
Reynolds Group Holdings, Inc. (B+/B1) |
(1M LIBOR + 2.750%) |
|
|
|
191,426 |
|
|
|
2.897 |
|
|
02/05/23 |
|
190,469 |
(1M LIBOR + 3.250%) |
|
|
|
150,000 |
|
|
|
3.397 |
|
|
02/05/26 |
|
148,687 |
Trident TPI Holdings, Inc. (B-/B2) (3M LIBOR + 3.000%) |
|
|
|
511,383 |
|
|
|
4.000 |
|
|
10/17/24 |
|
503,825 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,546,003 |
|
Pharmaceuticals(b)
0.5% |
Bausch Health Cos., Inc. (BB/Ba2) (1M LIBOR + 3.000%) |
|
|
|
295,421 |
|
|
|
3.148 |
|
|
06/02/25 |
|
294,130 |
Milano Acquisition Corp. (B+/B2) (3M LIBOR + 4.000%) |
|
|
|
300,000 |
|
|
|
4.750 |
|
|
10/01/27 |
|
299,499 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
593,629 |
|
Pipelines(b)(c)
0.1% |
Centurion Pipeline Co. LLC (BB/B1) (1M LIBOR + 4.250%) |
|
|
|
170,000 |
|
|
|
4.147 |
|
|
09/29/25 |
|
169,150 |
|
Publishing 0.1% |
Nielsen Finance LLC (NR/NR) |
|
|
|
74,625 |
|
|
|
4.750 |
|
|
06/04/25 |
|
74,983 |
|
Real Estate Investment Trust(b)
0.2% |
Redstone Buyer LLC (B/B1) (2M LIBOR + 5.000%) |
|
|
|
200,000 |
|
|
|
6.000 |
|
|
09/01/27 |
|
200,562 |
|
Retailing 0.4% |
Harbor Freight Tools USA, Inc. (BB-/Ba3)(b) (1M LIBOR + 3.250%) |
|
|
|
150,000 |
|
|
|
4.000 |
|
|
10/19/27 |
|
149,750 |
LBM Acquisition LLC
(B/B2)(d) |
|
|
|
49,844 |
|
|
|
0.000 |
|
|
12/09/27 |
|
49,792 |
|
|
|
224,299 |
|
|
|
0.000 |
|
|
12/09/27 |
|
224,066 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
423,608 |
|
GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND
Schedule of Investments
(continued)
December
31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Secured Debt Obligations (continued) |
Software 0.5% |
Banff Merger Sub, Inc.
(B-/B2)(b) (1M LIBOR + 4.250%) |
$ |
|
|
148,861 |
|
|
|
4.397 |
% |
|
10/02/25 |
|
$ 148,073 |
Cloudera, Inc. (BB-/Ba3)(b)
(3M LIBOR + 2.500%) |
|
|
|
100,000 |
|
|
|
3.250 |
|
|
12/22/27 |
|
99,750 |
Virtusa Corp.
(B+/B2)(d) |
|
|
|
300,000 |
|
|
|
0.000 |
|
|
12/09/27 |
|
297,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
545,573 |
|
Technolgy- Software(b)
2.9% |
Ahead Data Blue LLC (B/B1) (3M LIBOR + 5.000%) |
|
|
|
275,000 |
|
|
|
6.000 |
|
|
10/18/27 |
|
269,929 |
Cardtronics USA, Inc. (BB+/Ba2) (1M LIBOR + 4.000%) |
|
|
|
99,500 |
|
|
|
5.000 |
|
|
06/29/27 |
|
99,334 |
Castle US Holding Corp. (B-/B2) (3M LIBOR + 3.750%) |
|
|
|
298,125 |
|
|
|
4.004 |
|
|
01/29/27 |
|
291,882 |
CommScope, Inc. (B/Ba3) (1M LIBOR + 3.250%) |
|
|
|
341,366 |
|
|
|
3.397 |
|
|
04/06/26 |
|
338,379 |
DCert Buyer, Inc. (B-/B2) (1M LIBOR + 4.000%) |
|
|
|
593,515 |
|
|
|
4.147 |
|
|
10/16/26 |
|
592,138 |
Epicor Software Corp. (B-/B2) (1M LIBOR + 4.250%) |
|
|
|
548,625 |
|
|
|
5.250 |
|
|
07/30/27 |
|
551,253 |
GlobalLogic Holdings, Inc. (B/B2) (1M LIBOR + 3.750%) |
|
|
|
174,563 |
|
|
|
4.500 |
|
|
09/14/27 |
|
173,690 |
Mitchell International, Inc. (B-/B2) (1M LIBOR + 4.250%) |
|
|
|
448,875 |
|
|
|
4.750 |
|
|
11/29/24 |
|
448,650 |
The Ultimate Software Group, Inc. (B/B1) (3M LIBOR + 4.000%) |
|
|
|
74,813 |
|
|
|
4.750 |
|
|
05/04/26 |
|
75,144 |
VS Buyer LLC (B-/B1) (1M LIBOR + 3.250%) |
|
|
|
545,875 |
|
|
|
3.397 |
|
|
02/28/27 |
|
542,463 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,382,862 |
|
Technology(b)
0.2% |
Allegro Microsystems, Inc.
(BB/B1)(c) (1M LIBOR + 4.25%) |
|
|
|
7,692 |
|
|
|
4.500 |
|
|
09/30/27 |
|
7,673 |
Syndigo LLC (B-/B2)(6M LIBOR + 4.500%) |
|
|
|
225,000 |
|
|
|
5.250 |
|
|
12/15/27 |
|
223,313 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
230,986 |
|
Technology- Software(b)
0.1% |
Camelot U.S. Acquisition 1 Co. (B/B2) (1M LIBOR + 3.000%) |
|
|
|
100,000 |
|
|
|
4.000 |
|
|
10/30/26 |
|
99,906 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Secured Debt Obligations (continued) |
Telecommunications 1.6% |
Adevinta ASA
(NR/Ba3)(d) |
$ |
|
|
100,000 |
|
|
|
0.000 |
% |
|
10/22/27 |
|
$ 99,844 |
CCI Buyer, Inc.
(B-/B1)(d) |
|
|
|
150,000 |
|
|
|
4.750 |
|
|
12/10/27 |
|
149,749 |
CNT Holdings I Corp. (B/B2)(b)
(6M LIBOR + 3.750%) |
|
|
|
100,000 |
|
|
|
4.500 |
|
|
11/08/27 |
|
99,828 |
MH Sub I LLC (B/B2)(b) (1M
LIBOR + 3.750%) |
|
|
|
164,362 |
|
|
|
4.750 |
|
|
09/13/24 |
|
163,705 |
Perforce Software, Inc.
(B-/B2)(b) (1M LIBOR + 3.750%) |
|
|
|
735,986 |
|
|
|
3.897 |
|
|
07/01/26 |
|
720,346 |
PUG LLC (B-/B3)(b) (1M LIBOR
+ 3.500%) |
|
|
|
677,160 |
|
|
|
3.647 |
|
|
02/12/27 |
|
644,433 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,877,905 |
|
Telecommunications-Wirelines(b)
0.2% |
Zayo Group Holdings, Inc. (B/B1) (1M LIBOR + 3.000%) |
|
|
|
222,697 |
|
|
|
3.147 |
|
|
03/09/27 |
|
221,027 |
|
TOTAL BANK LOANS |
|
|
|
|
$ 25,810,341 |
|
Other Secured Debt Obligations(e)
11.9% |
Airlines(f)
0.2% |
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd.
(NR/Baa3) |
$ |
|
|
206,000 |
|
|
|
6.500 |
% |
|
06/20/27 |
|
$ 221,965 |
|
Commercial Services(f)
0.5% |
Allied Universal Holdco LLC/Allied Universal Finance Corp. (B-/B3) |
|
|
|
297,000 |
|
|
|
6.625 |
|
|
07/15/26 |
|
315,562 |
APX Group, Inc. (B-/B3) |
|
|
|
233,000 |
|
|
|
6.750 |
|
|
02/15/27 |
|
250,475 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
566,037 |
|
Electric(f)
0.5% |
Calpine Corp. (BB+/Ba2) |
|
|
|
580,000 |
|
|
|
3.750 |
|
|
03/01/31 |
|
572,750 |
|
Entertainment(f)
0.3% |
AMC Entertainment Holdings, Inc. (CCC/Caa2) |
|
|
|
254,000 |
|
|
|
10.500 |
|
|
04/15/25 |
|
180,340 |
WMG Acquisition Corp. (BB/Ba3) |
|
|
|
197,000 |
|
|
|
3.000 |
|
|
02/15/31 |
|
193,060 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
373,400 |
|
GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND
Schedule of Investments
(continued)
December
31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Secured Debt Obligations (continued) |
Environmental(f)
0.4% |
GFL Environmental, Inc. (BB-/Ba3) |
$ |
|
|
20,000 |
|
|
|
5.125 |
% |
|
12/15/26 |
|
$ 21,275 |
|
|
|
393,000 |
|
|
|
3.500 |
|
|
09/01/28 |
|
400,860 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
422,135 |
|
Food(f) 0.3% |
US Foods, Inc. (BB-/B3) |
|
|
|
281,000 |
|
|
|
6.250 |
|
|
04/15/25 |
|
300,319 |
|
Health Care - Services 1.6% |
Legacy LifePoint Health LLC
(B/B1)(e)(f) |
|
|
|
300,000 |
|
|
|
6.750 |
|
|
04/15/25 |
|
319,500 |
Tenet Healthcare Corp.
(NR/B1)(f) |
|
|
|
156,000 |
|
|
|
4.625 |
|
|
09/01/24 |
|
159,120 |
Tenet Healthcare Corp. (BB-/B1) |
|
|
|
557,000 |
|
|
|
4.625 |
|
|
07/15/24 |
|
570,925 |
|
|
|
350,000 |
|
|
|
7.500 |
(f) |
|
04/01/25 |
|
383,250 |
|
|
|
454,000 |
|
|
|
4.875 |
(f) |
|
01/01/26 |
|
473,295 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,906,090 |
|
Internet(f)
0.6% |
Arches Buyer, Inc. (B/B1) |
|
|
|
370,000 |
|
|
|
4.250 |
|
|
06/01/28 |
|
374,625 |
Cablevision Lightpath LLC (B+/B1) |
|
|
|
272,000 |
|
|
|
3.875 |
|
|
09/15/27 |
|
273,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
648,325 |
|
Leisure Time(f)
0.2% |
Carnival Corp. (BB-/B1) |
|
|
|
180,000 |
|
|
|
9.875 |
|
|
08/01/27 |
|
207,225 |
|
Media(f)
1.3% |
Diamond Sports Group LLC/Diamond Sports Finance Co. (BB-/Ba3) |
|
|
|
525,000 |
|
|
|
5.375 |
|
|
08/15/26 |
|
426,562 |
Scripps Escrow II, Inc. (BB-/Ba3) |
|
|
|
160,000 |
|
|
|
3.875 |
|
|
01/15/29 |
|
166,800 |
Sinclair Television Group, Inc. (BB/Ba2) |
|
|
|
470,000 |
|
|
|
4.125 |
|
|
12/01/30 |
|
480,575 |
UPC Holding B.V. (B/B3) |
|
|
|
200,000 |
|
|
|
5.500 |
|
|
01/15/28 |
|
210,250 |
Vertical US New Co., Inc. (B/B1) |
|
|
|
200,000 |
|
|
|
5.250 |
|
|
07/15/27 |
|
210,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,494,937 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Secured Debt Obligations (continued) |
Metals & Mining(f)
0.9% |
Cleveland-Cliffs, Inc. (B/B2) |
$ |
|
|
185,000 |
|
|
|
4.875 |
% |
|
01/15/24 |
|
$ 188,238 |
|
|
|
219,000 |
|
|
|
9.875 |
|
|
10/17/25 |
|
256,777 |
|
|
|
250,000 |
|
|
|
6.750 |
|
|
03/15/26 |
|
268,125 |
Mauser Packaging Solutions Holding Co. (B-/B3) |
|
|
|
345,000 |
|
|
|
5.500 |
|
|
04/15/24 |
|
350,175 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,063,315 |
|
Oil Field Services(f)
0.1% |
Transocean Phoenix 2 Ltd. (CCC+/NR) |
|
|
|
12,000 |
|
|
|
7.750 |
|
|
10/15/24 |
|
11,700 |
Transocean Poseidon Ltd. (CCC+/Caa1) |
|
|
|
120,000 |
|
|
|
6.875 |
|
|
02/01/27 |
|
109,200 |
Transocean Proteus Ltd. (CCC+/NR) |
|
|
|
39,000 |
|
|
|
6.250 |
|
|
12/01/24 |
|
36,563 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
157,463 |
|
Oil, Gas & Consumable Fuels(f)
0.4% |
Transocean Sentry Ltd. (CCC+/Caa1) |
|
|
|
541,813 |
|
|
|
5.375 |
|
|
05/15/23 |
|
493,049 |
|
Packaging(f)
0.4% |
LABL Escrow Issuer LLC (B/B2) |
|
|
|
229,000 |
|
|
|
6.750 |
|
|
07/15/26 |
|
246,175 |
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu
(B+/B1) |
|
|
|
186,000 |
|
|
|
4.000 |
|
|
10/15/27 |
|
189,953 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
436,128 |
|
Pharmaceuticals(f)
0.1% |
Bausch Health Cos., Inc. (BB/Ba2) |
|
|
|
125,000 |
|
|
|
5.500 |
|
|
11/01/25 |
|
128,750 |
|
Pipelines(f)
0.3% |
Cheniere Energy, Inc. (BB/Ba3) |
|
|
|
385,000 |
|
|
|
4.625 |
|
|
10/15/28 |
|
406,175 |
|
Real Estate Investment Trust(f)
0.1% |
Realogy Group LLC/Realogy Co.-Issuer Corp. (B/B3) |
|
|
|
97,000 |
|
|
|
7.625 |
|
|
06/15/25 |
|
105,003 |
|
Retailing(f)
1.5% |
1011778 BC ULC/New Red Finance, Inc. (B+/B2) |
|
|
|
383,000 |
|
|
|
4.375 |
|
|
01/15/28 |
|
394,969 |
|
GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND
Schedule of Investments
(continued)
December
31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Secured Debt Obligations (continued) |
Retailing(f)
(continued) |
1011778 BC ULC/New Red Finance, Inc. (B+/B2) |
$ |
|
|
621,000 |
|
|
|
4.000 |
% |
|
10/15/30 |
|
$ 625,657 |
1011778 BC ULC/New Red Finance, Inc. (BB+/Ba2) |
|
|
|
50,000 |
|
|
|
5.750 |
|
|
04/15/25 |
|
53,438 |
IRB Holding Corp. (B/B2) |
|
|
|
272,000 |
|
|
|
7.000 |
|
|
06/15/25 |
|
295,800 |
Specialty Building Products Holdings LLC/SBP Finance Corp. (B-/B3) |
|
|
|
336,000 |
|
|
|
6.375 |
|
|
09/30/26 |
|
353,640 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,723,504 |
|
Software(f)
1.3% |
Camelot Finance SA (B/B2) |
|
|
|
1,098,000 |
|
|
|
4.500 |
|
|
11/01/26 |
|
1,144,665 |
LogMeIn, Inc. (B-/B1) |
|
|
|
380,000 |
|
|
|
5.500 |
|
|
09/01/27 |
|
396,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,540,815 |
|
Telecommunications(f)
0.2% |
Frontier Communications Corp. (B+/B3) |
|
|
|
230,000 |
|
|
|
5.000 |
|
|
05/01/28 |
|
239,775 |
|
Telecommunications-Wirelines(f)
0.7% |
Altice France SA (B/B2) |
|
|
|
791,000 |
|
|
|
7.375 |
|
|
05/01/26 |
|
832,527 |
|
TOTAL OTHER SECURED DEBT OBLIGATIONS |
|
$ 13,839,687 |
|
TOTAL SECURED DEBT OBLIGATIONS (Cost $39,090,075) |
|
$ 39,650,028 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unsecured Debt Obligations 57.4% |
Advertising(e)
1.0% |
Lamar Media Corp. (BB-/NR) |
$ |
|
|
250,000 |
|
|
|
4.000 |
% |
|
02/15/30 |
|
$ 259,375 |
Outfront Media Capital LLC/Outfront Media Capital Corp. (B+/B2)(f) |
|
|
|
100,000 |
|
|
|
6.250 |
|
|
06/15/25 |
|
105,750 |
|
|
|
574,000 |
|
|
|
4.625 |
|
|
03/15/30 |
|
584,762 |
Terrier Media Buyer, Inc. (CCC+/Caa1)(f) |
|
|
|
201,000 |
|
|
|
8.875 |
|
|
12/15/27 |
|
221,603 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,171,490 |
|
Aerospace & Defense 2.2% |
Bombardier, Inc.
(CCC/Caa3)(f) |
|
|
|
252,000 |
|
|
|
8.750 |
|
|
12/01/21 |
|
260,820 |
|
|
|
471,000 |
|
|
|
6.000 |
(e) |
|
10/15/22 |
|
461,580 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Unsecured Debt Obligations (continued) |
Aerospace & Defense (continued) |
The Boeing Co.
(BBB-/Baa2)(e) |
$ |
|
|
215,000 |
|
|
|
2.750 |
% |
|
02/01/26 |
|
$ 226,593 |
|
|
|
215,000 |
|
|
|
3.625 |
|
|
02/01/31 |
|
235,440 |
TransDigm UK Holdings PLC
(B-/B3)(e) |
|
|
|
625,000 |
|
|
|
6.875 |
|
|
05/15/26 |
|
660,937 |
Triumph Group, Inc.
(CCC-/Ca)(e) |
|
|
|
393,000 |
|
|
|
5.250 |
|
|
06/01/22 |
|
374,824 |
|
|
|
428,000 |
|
|
|
7.750 |
|
|
08/15/25 |
|
391,085 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,611,279 |
|
Auto Components(e)(f)
0.6% |
Ashtead Capital, Inc. (BBB-/Baa3) |
|
|
|
681,000 |
|
|
|
4.375 |
|
|
08/15/27 |
|
719,633 |
|
Automotive(e)
3.2% |
Adient Global Holdings Ltd.
(B/B3)(f) |
|
|
|
559,000 |
|
|
|
4.875 |
|
|
08/15/26 |
|
571,578 |
Allison Transmission, Inc.
(NR/Ba3)(f) |
|
|
|
224,000 |
|
|
|
3.750 |
|
|
01/30/31 |
|
228,480 |
Dana, Inc. (BB-/B2) |
|
|
|
325,000 |
|
|
|
5.625 |
|
|
06/15/28 |
|
349,781 |
Dealer Tire LLC/DT Issuer LLC (CCC/Caa1)(f) |
|
|
|
230,000 |
|
|
|
8.000 |
|
|
02/01/28 |
|
243,513 |
Ford Motor Co. (BB+/Ba2) |
|
|
|
89,000 |
|
|
|
9.000 |
|
|
04/22/25 |
|
109,337 |
Ford Motor Credit Co. LLC (BB+/Ba2) |
|
|
|
284,000 |
|
|
|
4.063 |
|
|
11/01/24 |
|
296,056 |
|
|
|
250,000 |
|
|
|
5.125 |
|
|
06/16/25 |
|
271,193 |
|
|
|
470,000 |
|
|
|
3.375 |
|
|
11/13/25 |
|
481,112 |
|
|
|
375,000 |
|
|
|
4.125 |
|
|
08/17/27 |
|
392,931 |
Meritor, Inc.
(BB-/B1)(f) |
|
|
|
196,000 |
|
|
|
6.250 |
|
|
06/01/25 |
|
211,190 |
Navistar International Corp. (CCC+/B3)(f) |
|
|
|
262,000 |
|
|
|
6.625 |
|
|
11/01/25 |
|
273,135 |
Tesla, Inc.
(BB/B3)(f) |
|
|
|
258,000 |
|
|
|
5.300 |
|
|
08/15/25 |
|
268,965 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,697,271 |
|
GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND
Schedule of Investments
(continued)
December
31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Unsecured Debt Obligations (continued) |
Banks(e)(f)
0.2% |
Freedom Mortgage Corp. (B-/B2) |
$ |
|
|
250,000 |
|
|
|
7.625 |
% |
|
05/01/26 |
|
$ 262,500 |
|
Building Materials(e)
1.5% |
Builders FirstSource, Inc. (B+/B3)(f) |
|
|
|
203,000 |
|
|
|
5.000 |
|
|
03/01/30 |
|
219,747 |
Cornerstone Building Brands, Inc. (B-/Caa1)(f) |
|
|
|
223,000 |
|
|
|
6.125 |
|
|
01/15/29 |
|
237,495 |
CP Atlas Buyer, Inc.
(CCC+/Caa2)(f) |
|
|
|
140,000 |
|
|
|
7.000 |
|
|
12/01/28 |
|
145,600 |
Griffon Corp. (B+/B2) |
|
|
|
317,000 |
|
|
|
5.750 |
|
|
03/01/28 |
|
335,227 |
Standard Industries, Inc.
(BBB-/Ba2)(f) |
|
|
|
191,000 |
|
|
|
5.000 |
|
|
02/15/27 |
|
200,073 |
Summit Materials LLC/Summit Materials Finance Corp. (BB/B2)(f) |
|
|
|
546,000 |
|
|
|
5.250 |
|
|
01/15/29 |
|
573,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,711,442 |
|
Chemicals(e)(f)
1.8% |
Axalta Coating Systems LLC (BB-/B1) |
|
|
|
310,000 |
|
|
|
3.375 |
|
|
02/15/29 |
|
310,388 |
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B B.V.
(BB-/B1) |
|
|
|
183,000 |
|
|
|
4.750 |
|
|
06/15/27 |
|
193,751 |
Element Solutions, Inc. (BB-/B2) |
|
|
|
294,000 |
|
|
|
3.875 |
|
|
09/01/28 |
|
300,615 |
Ingevity Corp. (NR/Ba3) |
|
|
|
280,000 |
|
|
|
3.875 |
|
|
11/01/28 |
|
280,700 |
Kraton Polymers LLC/Kraton Polymers Capital Corp. (BB-/B2) |
|
|
|
110,000 |
|
|
|
4.250 |
|
|
12/15/25 |
|
112,200 |
The Chemours Co. (B/B1) |
|
|
|
315,000 |
|
|
|
5.750 |
|
|
11/15/28 |
|
321,300 |
Valvoline, Inc. (BB-/Ba3) |
|
|
|
140,000 |
|
|
|
3.625 |
|
|
06/15/31 |
|
143,850 |
WR Grace & Co-Conn (BB-/Ba3) |
|
|
|
414,000 |
|
|
|
4.875 |
|
|
06/15/27 |
|
436,770 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,099,574 |
|
Commercial Services(e)(f)
1.8% |
Gartner, Inc. (BB/Ba3) |
|
|
|
250,000 |
|
|
|
4.500 |
|
|
07/01/28 |
|
264,375 |
|
|
|
190,000 |
|
|
|
3.750 |
|
|
10/01/30 |
|
200,213 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Unsecured Debt Obligations (continued) |
Commercial Services(e)(f)
(continued) |
MPH Acquisition Holdings LLC (B-/B3) |
$ |
|
|
260,000 |
|
|
|
5.750 |
% |
|
11/01/28 |
|
$ 254,800 |
Nielsen Finance LLC/Nielsen Finance Co. (BB-/B2) |
|
|
|
128,000 |
|
|
|
5.000 |
|
|
04/15/22 |
|
128,320 |
|
|
|
260,000 |
|
|
|
5.625 |
|
|
10/01/28 |
|
281,450 |
Ritchie Bros Auctioneers, Inc. (BB+/Ba3) |
|
|
|
253,000 |
|
|
|
5.375 |
|
|
01/15/25 |
|
259,957 |
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc. (B/Ba3) |
|
|
|
360,000 |
|
|
|
4.625 |
|
|
11/01/26 |
|
372,600 |
The Nielsen Co. Luxembourg S.a.r.l. (BB-/B2) |
|
|
|
297,000 |
|
|
|
5.000 |
|
|
02/01/25 |
|
305,167 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,066,882 |
|
Computers(e)(f)
0.9% |
Austin BidCo, Inc. (CCC+/NR) |
|
|
|
79,000 |
|
|
|
7.125 |
|
|
12/15/28 |
|
82,555 |
Booz Allen Hamilton, Inc. (BB-/Ba2) |
|
|
|
678,000 |
|
|
|
3.875 |
|
|
09/01/28 |
|
697,493 |
Science Applications International Corp. (BB-/B1) |
|
|
|
275,000 |
|
|
|
4.875 |
|
|
04/01/28 |
|
289,781 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,069,829 |
|
Distribution & Wholesale(e)(f)
0.2% |
Core & Main LP (CCC+/Caa2) |
|
|
|
179,000 |
|
|
|
6.125 |
|
|
08/15/25 |
|
183,923 |
|
Diversified Financial Services(e)
2.8% |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (BBB/Baa3) |
|
|
|
150,000 |
|
|
|
6.500 |
|
|
07/15/25 |
|
179,313 |
Avolon Holdings Funding, Ltd. (BBB-/Baa3)(f) |
|
|
|
749,000 |
|
|
|
4.375 |
|
|
05/01/26 |
|
809,205 |
Global Aircraft Leasing Co. Ltd. (NR/B1)(f)(g)(PIK 7.250%, Cash 6.500%) |
|
|
|
194,815 |
|
|
|
6.500 |
|
|
09/15/24 |
|
172,411 |
LD Holdings Group LLC
(B-/B2)(f) |
|
|
|
205,000 |
|
|
|
6.500 |
|
|
11/01/25 |
|
213,712 |
Nationstar Mortgage Holdings, Inc. (B/B2)(f) |
|
|
|
240,000 |
|
|
|
5.500 |
|
|
08/15/28 |
|
251,088 |
|
|
|
87,000 |
|
|
|
5.125 |
|
|
12/15/30 |
|
90,915 |
|
GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND
Schedule of Investments
(continued)
December
31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Unsecured Debt Obligations (continued) |
Diversified Financial Services(e)
(continued) |
NFP Corp.
(CCC+/Caa2)(f) |
$ |
|
|
453,000 |
|
|
|
6.875 |
% |
|
08/15/28 |
|
$ 482,445 |
OneMain Finance Corp. (BB-/Ba3) |
|
|
|
264,000 |
|
|
|
8.875 |
|
|
06/01/25 |
|
298,650 |
|
|
|
115,000 |
|
|
|
4.000 |
|
|
09/15/30 |
|
118,881 |
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc. (BB/Ba1)(f) |
|
|
|
139,000 |
|
|
|
3.625 |
|
|
03/01/29 |
|
141,933 |
|
|
|
209,000 |
|
|
|
3.875 |
|
|
03/01/31 |
|
214,846 |
United Shore Financial Services LLC (NR/Ba3)(f) |
|
|
|
250,000 |
|
|
|
5.500 |
|
|
11/15/25 |
|
261,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,235,274 |
|
Electrical(e)(f)
1.0% |
Clearway Energy Operating LLC (BB/Ba2) |
|
|
|
246,000 |
|
|
|
4.750 |
|
|
03/15/28 |
|
263,835 |
NRG Energy, Inc. (BB+/Ba2) |
|
|
|
102,000 |
|
|
|
3.375 |
|
|
02/15/29 |
|
104,423 |
|
|
|
271,000 |
|
|
|
3.625 |
|
|
02/15/31 |
|
278,791 |
Pike Corp. (CCC+/B3) |
|
|
|
510,000 |
|
|
|
5.500 |
|
|
09/01/28 |
|
536,775 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,183,824 |
|
Electrical Components &
Equipment(e)(f) 0.5% |
Energizer Holdings, Inc. (B+/B2) |
|
|
|
310,000 |
|
|
|
4.375 |
|
|
03/31/29 |
|
320,850 |
Wesco Distribution, Inc. (BB-/B2) |
|
|
|
204,000 |
|
|
|
7.125 |
|
|
06/15/25 |
|
223,635 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
544,485 |
|
Engineering & Construction(e)
1.1% |
AECOM (BB/Ba3) |
|
|
|
84,000 |
|
|
|
5.875 |
|
|
10/15/24 |
|
92,820 |
|
|
|
446,000 |
|
|
|
5.125 |
|
|
03/15/27 |
|
495,060 |
KBR, Inc.
(B+/B1)(f) |
|
|
|
351,000 |
|
|
|
4.750 |
|
|
09/30/28 |
|
365,918 |
MasTec, Inc.
(BB/Ba2)(f) |
|
|
|
287,000 |
|
|
|
4.500 |
|
|
08/15/28 |
|
300,991 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,254,789 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Unsecured Debt Obligations (continued) |
Entertainment(e)(f)
0.1% |
Caesars Resort Collection LLC/CRC Finco, Inc. (CCC+/Caa1) |
$ |
|
|
82,000 |
|
|
|
5.250 |
% |
|
10/15/25 |
|
$ 82,820 |
Environmental(e)(f)
0.6% |
Stericycle, Inc. (BB-/NR) |
|
|
|
339,000 |
|
|
|
5.375 |
|
|
07/15/24 |
|
353,408 |
|
|
|
284,000 |
|
|
|
3.875 |
|
|
01/15/29 |
|
291,810 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
645,218 |
|
Food & Drug Retailing(e)(f)
1.6% |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC
(BB-/B1) |
|
|
|
401,000 |
|
|
|
4.625 |
|
|
01/15/27 |
|
424,057 |
|
|
|
403,000 |
|
|
|
3.500 |
|
|
03/15/29 |
|
406,022 |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC
(BB-/B1) |
|
|
|
325,000 |
|
|
|
4.875 |
|
|
02/15/30 |
|
356,688 |
Post Holdings, Inc. (B+/B2) |
|
|
|
360,000 |
|
|
|
4.625 |
|
|
04/15/30 |
|
378,000 |
United Natural Foods, Inc. (CCC+/B3) |
|
|
|
284,000 |
|
|
|
6.750 |
|
|
10/15/28 |
|
296,070 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,860,837 |
|
Forest Products&Paper(e)(f)
0.2% |
Clearwater Paper Corp. (BB-/Ba3) |
|
|
|
285,000 |
|
|
|
4.750 |
|
|
08/15/28 |
|
294,975 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
294,975 |
|
Gaming(e)(f)
0.2% |
Boyd Gaming Corp. (B-/Caa1) |
|
|
|
250,000 |
|
|
|
8.625 |
|
|
06/01/25 |
|
278,125 |
|
Healthcare Providers &
Services(e) 2.4% |
Centene Corp. (BBB-/Ba1) |
|
|
|
424,000 |
|
|
|
4.250 |
|
|
12/15/27 |
|
451,280 |
Charles River Laboratories International, Inc. (BB/Ba2)(f) |
|
|
|
553,000 |
|
|
|
5.500 |
|
|
04/01/26 |
|
576,502 |
|
|
|
290,000 |
|
|
|
4.250 |
|
|
05/01/28 |
|
304,863 |
DaVita, Inc.
(B+/Ba3)(f) |
|
|
|
405,000 |
|
|
|
3.750 |
|
|
02/15/31 |
|
409,050 |
Encompass Health Corp. (B+/B1) |
|
|
|
360,000 |
|
|
|
4.500 |
|
|
02/01/28 |
|
376,200 |
|
GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND
Schedule of Investments
(continued)
December
31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Unsecured Debt Obligations (continued) |
Healthcare Providers &
Services(e) (continued) |
HCA, Inc. (BB-/Ba2) |
$ |
|
|
399,000 |
|
|
|
3.500 |
% |
|
09/01/30 |
|
$ 420,446 |
Surgery Center Holdings, Inc. (CCC/Caa2)(f) |
|
|
|
86,000 |
|
|
|
6.750 |
|
|
07/01/25 |
|
87,290 |
Syneos Health, Inc.
(BB-/B2)(f) |
|
|
|
189,000 |
|
|
|
3.625 |
|
|
01/15/29 |
|
189,473 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,815,104 |
|
Home Builders(e)
1.1% |
Brookfield Residential Properties, Inc./Brookfield Residential US Corp.
(B+/B1)(f) |
|
|
|
372,000 |
|
|
|
4.875 |
|
|
02/15/30 |
|
384,555 |
Mattamy Group Corp.
(BB/B1)(f) |
|
|
|
298,000 |
|
|
|
4.625 |
|
|
03/01/30 |
|
314,390 |
Taylor Morrison Communities, Inc. (BB/Ba3)(f) |
|
|
|
132,000 |
|
|
|
5.125 |
|
|
08/01/30 |
|
147,840 |
TRI Pointe Group, Inc. (BB-/Ba3) |
|
|
|
308,000 |
|
|
|
5.250 |
|
|
06/01/27 |
|
334,180 |
|
|
|
68,000 |
|
|
|
5.700 |
|
|
06/15/28 |
|
76,755 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,257,720 |
|
Household Products(e)(f)
0.2% |
Prestige Brands, Inc. (B+/B3) |
|
|
|
191,000 |
|
|
|
5.125 |
|
|
01/15/28 |
|
203,893 |
|
Insurance(e)(f)
0.6% |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer
(CCC+/Caa2) |
|
|
|
564,000 |
|
|
|
6.750 |
|
|
10/15/27 |
|
599,955 |
AssuredPartners, Inc. (CCC+/Caa2) |
|
|
|
55,000 |
|
|
|
5.625 |
|
|
01/15/29 |
|
57,406 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
657,361 |
|
Internet 3.7% |
Arches Buyer, Inc.
(CCC+/Caa1)(e)(f) |
|
|
|
45,000 |
|
|
|
6.125 |
|
|
12/01/28 |
|
46,463 |
GrubHub Holdings, Inc.
(BB-/B1)(e)(f) |
|
|
|
715,000 |
|
|
|
5.500 |
|
|
07/01/27 |
|
748,962 |
Match Group Holdings II LLC
(BB/Ba3)(e)(f) |
|
|
|
241,000 |
|
|
|
5.000 |
|
|
12/15/27 |
|
253,050 |
|
|
|
492,000 |
|
|
|
4.625 |
|
|
06/01/28 |
|
516,600 |
|
|
|
248,000 |
|
|
|
5.625 |
|
|
02/15/29 |
|
269,700 |
|
|
|
653,000 |
|
|
|
4.125 |
|
|
08/01/30 |
|
674,222 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Unsecured Debt Obligations (continued) |
Internet (continued) |
Netflix, Inc. (BB/Ba3) |
$ |
|
|
204,000 |
|
|
|
3.625 |
%(e)(f) |
|
06/15/25 |
|
$ 217,005 |
|
|
|
425,000 |
|
|
|
5.875 |
|
|
11/15/28 |
|
507,875 |
|
|
|
50,000 |
|
|
|
4.875 |
(e)(f) |
|
06/15/30 |
|
57,500 |
Twitter, Inc.
(BB+/Ba2)(e)(f) |
|
|
|
277,000 |
|
|
|
3.875 |
|
|
12/15/27 |
|
295,005 |
Uber Technologies, Inc.
(CCC+/B3)(e)(f) |
|
|
|
350,000 |
|
|
|
7.500 |
|
|
05/15/25 |
|
377,563 |
|
|
|
270,000 |
|
|
|
6.250 |
|
|
01/15/28 |
|
293,625 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,257,570 |
|
Leisure Time(e)(f)
0.5% |
Carnival Corp. (B/B2) |
|
|
|
245,000 |
|
|
|
7.625 |
|
|
03/01/26 |
|
266,744 |
NCL Corp., Ltd. (B/Caa1) |
|
|
|
280,000 |
|
|
|
5.875 |
|
|
03/15/26 |
|
295,050 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
561,794 |
|
Lodging(e)
0.3% |
Hilton Domestic Operating Co., Inc. (BB/Ba2)(f) |
|
|
|
162,000 |
|
|
|
4.000 |
|
|
05/01/31 |
|
170,100 |
Marriott International, Inc. (BBB-/Baa3) |
|
|
|
157,000 |
|
|
|
4.625 |
|
|
06/15/30 |
|
184,117 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
354,217 |
|
Machinery - Construction &
Mining(e)(f) 0.2% |
BWX Technologies, Inc. (BB/Ba3) |
|
|
|
210,000 |
|
|
|
4.125 |
|
|
06/30/28 |
|
218,663 |
|
Media(e)
8.6% |
Cable One, Inc.
(BB-/B2)(f) |
|
|
|
533,000 |
|
|
|
4.000 |
|
|
11/15/30 |
|
552,987 |
CCO Holdings LLC/CCO Holdings Capital Corp. (BB/B1)(f) |
|
|
|
1,330,000 |
|
|
|
4.750 |
|
|
03/01/30 |
|
1,433,075 |
|
|
|
700,000 |
|
|
|
4.500 |
|
|
08/15/30 |
|
745,500 |
|
|
|
425,000 |
|
|
|
4.250 |
|
|
02/01/31 |
|
447,844 |
|
|
|
209,000 |
|
|
|
4.500 |
|
|
05/01/32 |
|
223,108 |
|
GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND
Schedule of Investments
(continued)
December
31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Unsecured Debt Obligations (continued) |
Media(e)
(continued) |
CSC Holdings LLC
(B/B3)(f) |
$ |
|
|
1,141,000 |
|
|
|
5.750 |
% |
|
01/15/30 |
|
$ 1,249,395 |
|
|
|
682,000 |
|
|
|
4.625 |
|
|
12/01/30 |
|
710,132 |
DISH DBS Corp. (B-/B2) |
|
|
|
450,000 |
|
|
|
7.375 |
|
|
07/01/28 |
|
479,250 |
GCI LLC
(B/B3)(f) |
|
|
|
387,000 |
|
|
|
4.750 |
|
|
10/15/28 |
|
412,155 |
Gray Television, Inc.
(B+/B3)(f) |
|
|
|
312,000 |
|
|
|
4.750 |
|
|
10/15/30 |
|
317,460 |
Nexstar Broadcasting, Inc.
(B/B3)(f) |
|
|
|
404,000 |
|
|
|
4.750 |
|
|
11/01/28 |
|
421,675 |
Scripps Escrow II, Inc. (CCC+/Caa1)(f) |
|
|
|
110,000 |
|
|
|
5.375 |
|
|
01/15/31 |
|
115,500 |
Sinclair Television Group, Inc.
(B/B2)(f) |
|
|
|
300,000 |
|
|
|
5.875 |
|
|
03/15/26 |
|
308,625 |
Sirius XM Radio, Inc.
(BB/Ba3)(f) |
|
|
|
238,000 |
|
|
|
5.500 |
|
|
07/01/29 |
|
261,800 |
|
|
|
416,000 |
|
|
|
4.125 |
|
|
07/01/30 |
|
442,000 |
TEGNA, Inc. (BB-/Ba3) |
|
|
|
79,000 |
|
|
|
4.750 |
(f) |
|
03/15/26 |
|
84,036 |
|
|
|
450,000 |
|
|
|
4.625 |
(f) |
|
03/15/28 |
|
461,813 |
|
|
|
1,030,000 |
|
|
|
5.000 |
|
|
09/15/29 |
|
1,086,650 |
Ziggo Bond Co. B.V.
(B-/B3)(f) |
|
|
|
200,000 |
|
|
|
5.125 |
|
|
02/28/30 |
|
210,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,963,505 |
|
Mining(e)(f)
0.5% |
Alcoa Nederland Holding B.V. (BB+/Ba1) |
|
|
|
350,000 |
|
|
|
5.500 |
|
|
12/15/27 |
|
381,063 |
Hudbay Minerals, Inc. (B/B3) |
|
|
|
200,000 |
|
|
|
6.125 |
|
|
04/01/29 |
|
216,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
597,563 |
|
Oil Field Services(e)
5.9% |
Archrock Partners LP/Archrock Partners Finance Corp. (B+/B2)(f) |
|
|
|
677,000 |
|
|
|
6.250 |
|
|
04/01/28 |
|
704,080 |
Cenovus Energy, Inc. (BBB-/Baa3) |
|
|
|
385,000 |
|
|
|
5.375 |
|
|
07/15/25 |
|
433,995 |
CNX Resources Corp.
(NR/B3)(f) |
|
|
|
170,000 |
|
|
|
6.000 |
|
|
01/15/29 |
|
173,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Unsecured Debt Obligations (continued) |
Oil Field Services(e)
(continued) |
CNX Resources Corp.
(BB-/B3)(f) |
$ |
|
|
417,000 |
|
|
|
7.250 |
% |
|
03/14/27 |
|
$ 447,232 |
Continental Resources, Inc. (BB+/Ba1u)(f) |
|
|
|
310,000 |
|
|
|
5.750 |
|
|
01/15/31 |
|
344,100 |
CrownRock LP/CrownRock Finance, Inc. (BB-/B2)(f) |
|
|
|
821,000 |
|
|
|
5.625 |
|
|
10/15/25 |
|
837,420 |
Indigo Natural Resources LLC
(BB-/B3)(f) |
|
|
|
193,000 |
|
|
|
6.875 |
|
|
02/15/26 |
|
197,343 |
Laredo Petroleum, Inc. (B-/Caa1) |
|
|
|
245,000 |
|
|
|
10.125 |
|
|
01/15/28 |
|
208,250 |
Nabors Industries, Ltd.
(CCC-/Caa1)(f) |
|
|
|
895,000 |
|
|
|
7.500 |
|
|
01/15/28 |
|
613,075 |
Noble Holding International Ltd. (NR/WR)(f)(h) |
|
|
|
541,000 |
|
|
|
7.875 |
|
|
02/01/26 |
|
214,371 |
Occidental Petroleum Corp. (BB-/Ba2) |
|
|
|
290,000 |
|
|
|
8.000 |
|
|
07/15/25 |
|
327,700 |
|
|
|
215,000 |
|
|
|
5.500 |
|
|
12/01/25 |
|
223,063 |
|
|
|
375,000 |
|
|
|
6.625 |
|
|
09/01/30 |
|
406,406 |
Parsley Energy LLC/Parsley Finance Corp. (BB/Ba3)(f) |
|
|
|
697,000 |
|
|
|
5.375 |
|
|
01/15/25 |
|
713,554 |
Sunoco LP/Sunoco Finance Corp. (BB-/B1)(f) |
|
|
|
145,000 |
|
|
|
4.500 |
|
|
05/15/29 |
|
150,619 |
WPX Energy, Inc. (BBB-/B1) |
|
|
|
152,000 |
|
|
|
5.250 |
|
|
10/15/27 |
|
160,930 |
|
|
|
395,000 |
|
|
|
5.875 |
|
|
06/15/28 |
|
429,562 |
|
|
|
326,000 |
|
|
|
4.500 |
|
|
01/15/30 |
|
347,190 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,932,290 |
|
Packaging(e)
1.3% |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (B/Caa1)(f) |
|
|
|
702,000 |
|
|
|
5.250 |
|
|
08/15/27 |
|
735,345 |
Silgan Holdings, Inc. (BB/Ba3) |
|
|
|
234,000 |
|
|
|
4.125 |
|
|
02/01/28 |
|
242,775 |
Trident TPI Holdings, Inc. (CCC+/Caa2)(f) |
|
|
|
526,000 |
|
|
|
9.250 |
|
|
08/01/24 |
|
560,847 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,538,967 |
|
Pharmaceuticals 1.7% |
AdaptHealth LLC
(B/B1)(e)(f) |
|
|
|
165,000 |
|
|
|
6.125 |
|
|
08/01/28 |
|
177,375 |
|
|
|
75,000 |
|
|
|
4.625 |
|
|
08/01/29 |
|
77,062 |
|
GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND
Schedule of Investments
(continued)
December
31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Unsecured Debt Obligations (continued) |
Pharmaceuticals (continued) |
Bausch Health Cos., Inc.
(B/B3)(e)(f) |
$ |
|
|
148,000 |
|
|
|
6.250 |
% |
|
02/15/29 |
|
$ 160,210 |
|
|
|
400,000 |
|
|
|
5.250 |
|
|
02/15/31 |
|
418,000 |
Teva Pharmaceutical Finance Netherlands III B.V. (BB-/Ba2) |
|
|
|
1,212,000 |
|
|
|
2.800 |
|
|
07/21/23 |
|
1,199,880 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,032,527 |
|
Pipelines(e)
2.5% |
Buckeye Partners LP
(BB/B1)(f) |
|
|
|
424,000 |
|
|
|
4.500 |
|
|
03/01/28 |
|
436,190 |
Cheniere Energy Partners LP (BB/Ba2) |
|
|
|
669,000 |
|
|
|
4.500 |
|
|
10/01/29 |
|
705,795 |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. (BB-/B1)(f) |
|
|
|
178,000 |
|
|
|
5.625 |
|
|
05/01/27 |
|
176,220 |
EQM Midstream Partners LP
(BB-/Ba3)(f) |
|
|
|
190,000 |
|
|
|
6.500 |
|
|
07/01/27 |
|
213,750 |
Global Partners LP/GLP Finance Corp. (B+/B2)(f) |
|
|
|
245,000 |
|
|
|
6.875 |
|
|
01/15/29 |
|
265,825 |
NuStar Logistics LP (BB-/Ba3) |
|
|
|
240,000 |
|
|
|
5.750 |
|
|
10/01/25 |
|
255,600 |
Rattler Midstream LP
(BBB-/Ba3)(f) |
|
|
|
330,000 |
|
|
|
5.625 |
|
|
07/15/25 |
|
348,572 |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. (BB-/B1)(f) |
|
|
|
220,000 |
|
|
|
6.000 |
|
|
12/31/30 |
|
226,600 |
Targa Resources Partners LP/Targa Resources Partners Finance Corp. (BB/Ba3)(f) |
|
|
|
295,000 |
|
|
|
4.875 |
|
|
02/01/31 |
|
320,075 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,948,627 |
|
Real Estate(e)(f)
0.1% |
The Howard Hughes Corp. (BB-/Ba3) |
|
|
|
158,000 |
|
|
|
5.375 |
|
|
08/01/28 |
|
169,060 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
169,060 |
|
Real Estate Investment Trust(e)
1.5% |
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. (BB-/B1)(f) |
|
|
|
189,000 |
|
|
|
4.625 |
|
|
06/15/25 |
|
201,049 |
MPT Operating Partnership LP/MPT Finance Corp. (BBB-/Ba1) |
|
|
|
180,000 |
|
|
|
3.500 |
|
|
03/15/31 |
|
185,877 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Unsecured Debt Obligations (continued) |
Real Estate Investment Trust(e)
(continued) |
SBA Communications Corp. (BB-/B1) |
$ |
|
|
787,000 |
|
|
|
4.000 |
% |
|
10/01/22 |
|
$ 794,870 |
Service Properties Trust (BB/Ba1) |
|
|
|
73,000 |
|
|
|
7.500 |
|
|
09/15/25 |
|
84,867 |
VICI Properties LP/VICI Note Co., Inc. (BB/Ba3)(f) |
|
|
|
94,000 |
|
|
|
3.500 |
|
|
02/15/25 |
|
95,880 |
|
|
|
80,000 |
|
|
|
3.750 |
|
|
02/15/27 |
|
81,800 |
|
|
|
250,000 |
|
|
|
4.125 |
|
|
08/15/30 |
|
263,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,707,468 |
|
Retailing(e)
1.8% |
Asbury Automotive Group, Inc. (BB/B1) |
|
|
|
185,000 |
|
|
|
4.500 |
|
|
03/01/28 |
|
192,863 |
|
|
|
230,000 |
|
|
|
4.750 |
|
|
03/01/30 |
|
244,950 |
Carvana Co.
(CCC+/Caa2)(f) |
|
|
|
290,000 |
|
|
|
5.875 |
|
|
10/01/28 |
|
300,150 |
Group 1 Automotive, Inc. (BB+/Ba2)(f) |
|
|
|
225,000 |
|
|
|
4.000 |
|
|
08/15/28 |
|
230,062 |
Ken Garff Automotive LLC
(B/B1)(f) |
|
|
|
230,000 |
|
|
|
4.875 |
|
|
09/15/28 |
|
239,200 |
LBM Acquisition LLC
(CCC+/Caa1)(f) |
|
|
|
215,000 |
|
|
|
6.250 |
|
|
01/15/29 |
|
223,600 |
Lithia Motors, Inc.
(BB/Ba2)(f) |
|
|
|
345,000 |
|
|
|
4.375 |
|
|
01/15/31 |
|
369,150 |
Yum! Brands, Inc. (B+/B1) |
|
|
|
349,000 |
|
|
|
3.625 |
|
|
03/15/31 |
|
352,490 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,152,465 |
|
Semiconductors(e)(f)
0.2% |
Qorvo, Inc. (BB+/Ba1) |
|
|
|
210,000 |
|
|
|
3.375 |
|
|
04/01/31 |
|
216,300 |
|
Software(e)(f)
0.7% |
Castle US Holding Corp. (CCC/Caa2) |
|
|
|
64,000 |
|
|
|
9.500 |
|
|
02/15/28 |
|
64,000 |
Fair Isaac Corp. (BB+/Ba2) |
|
|
|
343,000 |
|
|
|
4.000 |
|
|
06/15/28 |
|
360,150 |
Open Text Corp. (BB/Ba2) |
|
|
|
255,000 |
|
|
|
3.875 |
|
|
02/15/28 |
|
261,375 |
|
GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND
Schedule of Investments
(continued)
December
31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount |
|
|
Interest Rate |
|
|
Maturity Date |
|
Value |
|
Unsecured Debt Obligations (continued) |
Software(e)(f)
(continued) |
PTC, Inc. (BB/Ba3) |
$ |
|
|
136,000 |
|
|
|
4.000 |
% |
|
02/15/28 |
|
$ 142,290 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
827,815 |
|
Telecommunication Services(e)
1.7% |
CenturyLink, Inc.
(BB-/B2)(f) |
|
|
|
195,000 |
|
|
|
5.125 |
|
|
12/15/26 |
|
204,750 |
QualityTech LP/QTS Finance Corp. (BB/Ba3)(f) |
|
|
|
230,000 |
|
|
|
3.875 |
|
|
10/01/28 |
|
234,025 |
Sprint Corp. (BB/B1) |
|
|
|
396,000 |
|
|
|
7.625 |
|
|
03/01/26 |
|
491,040 |
T-Mobile USA, Inc. (BB/Ba3) |
|
|
|
175,000 |
|
|
|
6.000 |
|
|
04/15/24 |
|
176,750 |
ViaSat, Inc.
(B/Caa1)(f) |
|
|
|
824,000 |
|
|
|
5.625 |
|
|
09/15/25 |
|
840,480 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,947,045 |
|
Transportation(e)(f)
0.4% |
Cargo Aircraft Management, Inc. (B+/Ba3) |
|
|
|
342,000 |
|
|
|
4.750 |
|
|
02/01/28 |
|
351,832 |
XPO Logistics, Inc. (BB-/Ba3) |
|
|
|
141,000 |
|
|
|
6.750 |
|
|
08/15/24 |
|
149,813 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
501,645 |
|
TOTAL UNSECURED DEBT OBLIGATIONS (Cost $63,706,173) |
|
$ 66,835,769 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Obligation(i) 3.4% |
United States Treasury Bill |
$ |
|
|
4,000,000 |
|
|
|
0.000 |
% |
|
04/15/21 |
|
$ 3,999,145 |
(Cost $3,998,889) |
|
|
|
|
Shares |
|
|
Description |
|
Value |
|
Common Stock* 0.0% |
Oil, Gas & Consumable Fuels 0.0% |
1,141,924 |
|
|
|
Prairie Provident Resources, Inc. (Cost $2,946,424) |
|
$ 17,942 |
|
|
|
|
Shares |
|
|
Dividend Rate |
|
Value |
|
Investment Company(j) 3.6% |
Goldman Sachs Financial Square Government Fund Institutional
Shares |
4,190,279 |
|
|
|
0.026% |
|
$ 4,190,279 |
(Cost $4,190,279) |
|
TOTAL INVESTMENTS 98.5% (Cost $113,931,840) |
|
$114,693,163 |
|
OTHER ASSETS IN EXCESS OF LIABILITIES 1.5% |
|
1,745,659 |
|
NET ASSETS 100.0% |
|
$116,438,822 |
|
|
|
|
|
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. As bank loan positions may involve multiple underlying tranches for which the aggregate position is presented, the stated interest rate
represents the weighted average interest rate of all contracts on December 31, 2020. 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 December 31,
2020. |
|
|
(c) |
|
Significant unobservable inputs were used in the valuation of this portfolio security; i.e., Level 3. |
|
|
(d) |
|
This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
|
|
(e) |
|
Security with Call features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
|
|
(f) |
|
Exempt from registration under Rule 144A of the Securities Act of 1933. |
|
|
(g) |
|
Pay-in-kind securities. |
|
|
(h) |
|
Security is currently in default and/or non-income producing. |
|
|
(i) |
|
Issued with a zero coupon. Income is recognized through the accretion of discount. |
|
|
(j) |
|
Represents an affiliated issuer. |
|
Security ratings disclosed, if any, are obtained from Standard & Poors/Moodys Investors Service and are unaudited. A description of the ratings is available in the Funds Statement of Additional
Information. |
|
|
|
|
Investment Abbreviations: |
CP |
|
Commercial Paper |
LIBOR |
|
London Interbank Offered Rate |
LLC |
|
Limited Liability Company |
LP |
|
Limited Partnership |
PLC |
|
Public Limited Company |
WR |
|
Withdrawn Rating |
|
GOLDMAN SACHS LONG SHORT CREDIT STRATEGIES FUND
Schedule of Investments
(continued)
December
31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
UNFUNDED LOAN COMMITMENTS At December 31, 2020, 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) |
|
|
|
Help At Home, Inc. (B-/B1)10/29/2027, due 10/29/27 |
|
$ 19,612 |
|
|
$19,440 |
|
|
$ |
116 |
|
|
|
TOTAL |
|
|
|
|
|
|
|
$ |
116 |
|
|
|
SWAP CONTRACTS At December 31, 2020, 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) |
|
|
|
0.500% |
|
3M LIBOR |
|
03/17/28 |
|
$3,750 |
|
$ |
48,639 |
|
|
$ |
51,017 |
|
|
$ |
(2,378 |
) |
|
|
(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 December 31, 2020. |
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACT
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Referenced Obligation/ Index |
|
Financing Rate Received/(Paid) by the Fund(a) |
|
Credit Spread at December 31, 2020(b) |
|
|
Termination Date |
|
|
Notional Amount
(000s) |
|
|
Value |
|
|
Upfront Premiums (Received) Paid |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
Protection Purchased: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CDX.NA.HY Index 35 |
|
(5.000)% |
|
|
2.938 |
|
|
|
Credit Suisse International (London) |
|
|
|
12/20/25 |
|
|
|
25,000 |
|
|
$ |
(2,363,147 |
) |
|
$ |
(989,011 |
) |
|
$ |
(1,374,136 |
) |
|
|
(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 35 CDX North America High Yield Index 35 |
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Bank Loans(a) 2.4% |
Building Materials(b)
0.1% |
CPG International, Inc. (3M LIBOR + 3.750%) |
$ |
|
|
1,580,669 |
|
|
|
4.750 |
% |
|
05/05/24 |
|
$ 1,578,298 |
|
Chemicals(b)
0.4% |
Momentive Performance Materials, Inc. (1M LIBOR + 3.250%) |
|
|
|
2,304,900 |
|
|
|
3.400 |
|
|
05/15/24 |
|
2,270,326 |
Starfruit Finco B.V. (1M LIBOR + 3.000%) |
|
|
|
1,675,020 |
|
|
|
3.150 |
|
|
10/01/25 |
|
1,655,473 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,925,799 |
|
Consumer Cyclical Services -
Business(b) 0.3% |
Asurion LLC (3M LIBOR + 3.250%) |
|
|
|
2,681,228 |
|
|
|
3.490 |
|
|
12/23/26 |
|
2,650,930 |
|
Entertainment(c)
0.2% |
AMC Entertainment Holdings, Inc. |
|
|
|
2,961,389 |
|
|
|
0.000 |
|
|
04/22/26 |
|
1,894,548 |
|
Food & Drug Retailers(b)
0.0% |
B&G Foods, Inc. (1M LIBOR + 2.500%) |
|
|
|
454,208 |
|
|
|
2.650 |
|
|
10/10/26 |
|
452,909 |
|
Health Care - Services(b)
0.2% |
MPH Acquisition Holdings LLC (3M LIBOR + 2.750%) |
|
|
|
1,707,847 |
|
|
|
3.750 |
|
|
06/07/23 |
|
1,698,249 |
|
Health Care - Services(b)
0.2% |
Sotera Health Holdings LLC (3M LIBOR + 4.500%) |
|
|
|
1,650,605 |
|
|
|
5.500 |
|
|
12/11/26 |
|
1,655,425 |
|
Media - Broadcasting & Radio(b)
0.1% |
Getty Images, Inc. (1M LIBOR + 4.500%) |
|
|
|
920,952 |
|
|
|
4.650 |
|
|
02/19/26 |
|
904,835 |
|
Media - Cable(b)
0.2% |
CSC Holdings LLC (1M LIBOR + 2.250%) |
|
|
|
1,964,377 |
|
|
|
2.410 |
|
|
07/17/25 |
|
1,932,102 |
|
Media - Non Cable(b)
0.1% |
Terrier Media Buyer, Inc. (1M LIBOR + 4.250%) |
|
|
|
495,000 |
|
|
|
4.400 |
|
|
12/17/26 |
|
494,847 |
|
Real Estate Investment Trust(b)
0.2% |
Brookfield Property REIT, Inc. (1M LIBOR + 3.000%) |
|
|
|
2,050,000 |
|
|
|
3.150 |
|
|
08/28/23 |
|
1,942,375 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Bank Loans(a) (continued) |
Services Cyclical - Business
Services(b) 0.3% |
Travelport Finance (Luxembourg) S.a.r.l. |
(3M LIBOR + 1.500%) |
$ |
|
|
1,725,529 |
|
|
|
8.000 |
% |
|
02/28/25 |
|
$ 1,698,835 |
(3M LIBOR + 5.000%) |
|
|
|
1,452,362 |
|
|
|
5.220 |
|
|
05/29/26 |
|
980,039 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,678,874 |
|
Technology - Software/Services(b)
0.1% |
The Ultimate Software Group, Inc. (1M LIBOR + 3.750%) |
|
|
|
913,438 |
|
|
|
3.900 |
|
|
05/04/26 |
|
912,013 |
|
Telecommunication Services(b)
0.0% |
Intelsat Jackson Holdings SA (3M LIBOR + 5.500%) |
|
|
|
413,374 |
|
|
|
6.500 |
|
|
07/13/22 |
|
421,022 |
|
TOTAL BANK LOANS (Cost $23,665,786) |
|
$ 23,142,226 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Obligations 48.8% |
Advertising(d)(e)
0.2% |
Outfront Media Capital LLC/Outfront Media Capital Corp. |
$ |
|
|
665,000 |
|
|
|
5.000 |
% |
|
08/15/27 |
|
$ 683,287 |
Terrier Media Buyer, Inc. |
|
|
|
800,000 |
|
|
|
8.875 |
|
|
12/15/27 |
|
882,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,565,287 |
|
Aerospace & Defense(e)
0.6% |
The Boeing Co. |
|
|
|
2,200,000 |
|
|
|
5.150 |
|
|
05/01/30 |
|
2,663,100 |
TransDigm, Inc. |
|
|
|
1,685,000 |
|
|
|
6.500 |
|
|
05/15/25 |
|
1,733,444 |
|
|
|
1,250,000 |
|
|
|
5.500 |
|
|
11/15/27 |
|
1,312,500 |
Triumph Group, Inc. |
|
|
|
450,000 |
|
|
|
7.750 |
|
|
08/15/25 |
|
411,187 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,120,231 |
|
Agriculture(e)
0.2% |
BAT Capital Corp. |
|
|
|
1,500,000 |
|
|
|
4.906 |
|
|
04/02/30 |
|
1,811,550 |
|
Airlines(d)(e)
0.1% |
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets
Ltd. |
|
|
|
870,000 |
|
|
|
6.500 |
|
|
06/20/27 |
|
937,425 |
|
Automotive 0.8% |
Adient US
LLC(d)(e) |
|
|
|
980,000 |
|
|
|
7.000 |
|
|
05/15/26 |
|
1,062,075 |
|
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Corporate Obligations (continued) |
Automotive (continued) |
Clarios Global LP/Clarios US Finance Co.(d)(e) |
$ |
|
|
1,570,000 |
|
|
|
8.500 |
% |
|
05/15/27 |
|
$ 1,703,450 |
Dana, Inc.(e) |
|
|
|
515,000 |
|
|
|
5.375 |
|
|
11/15/27 |
|
545,900 |
Ford Motor
Co.(e) |
|
|
|
1,666,000 |
|
|
|
9.000 |
|
|
04/22/25 |
|
2,046,691 |
Ford Motor Credit Co. LLC |
|
|
|
542,000 |
|
|
|
3.813 |
|
|
10/12/21 |
|
548,767 |
Navistar International
Corp.(d)(e) |
|
|
|
460,000 |
|
|
|
6.625 |
|
|
11/01/25 |
|
479,550 |
Tesla,
Inc.(d)(e) |
|
|
|
1,085,000 |
|
|
|
5.300 |
|
|
08/15/25 |
|
1,131,112 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,517,545 |
|
Banks 4.3% |
ABN AMRO Bank NV(b)(e) (-1x 5
Year EUR Swap + 4.674%) |
EUR |
|
|
800,000 |
|
|
|
4.375 |
|
|
12/31/99 |
|
1,038,696 |
AIB Group PLC(b)(e) (-1x 5
Year EUR Swap + 6.629%) |
|
|
|
725,000 |
|
|
|
6.250 |
|
|
12/31/99 |
|
978,438 |
Banco do Brasil
SA(b)(e) |
(10 Year CMT + 4.398%) |
$ |
|
|
1,550,000 |
|
|
|
6.250 |
|
|
10/29/49 |
|
1,587,297 |
(10 Year CMT + 6.362%) |
|
|
|
230,000 |
|
|
|
9.000 |
|
|
06/29/49 |
|
256,522 |
Banco Santander SA |
|
|
|
600,000 |
|
|
|
2.749 |
|
|
12/03/30 |
|
618,696 |
(-1x 5 Year EUR Swap + 4.534%) |
EUR |
|
|
200,000 |
|
|
|
4.375 |
(b)(e) |
|
12/31/99 |
|
244,330 |
Bank of America
Corp.(b)(e) |
(3M USD LIBOR + 0.990%) |
$ |
|
|
3,750,000 |
|
|
|
2.496 |
|
|
02/13/31 |
|
3,977,662 |
(SOFR + 2.150%) |
|
|
|
4,775,000 |
|
|
|
2.592 |
|
|
04/29/31 |
|
5,116,269 |
BPCE SA(d) |
|
|
|
675,000 |
|
|
|
4.875 |
|
|
04/01/26 |
|
796,554 |
CIT Bank NA(b)(e) (SOFR +
1.715%) |
|
|
|
1,850,000 |
|
|
|
2.969 |
|
|
09/27/25 |
|
1,928,199 |
Citigroup, Inc.(b)(e) (SOFR
+ 3.914%) |
|
|
|
3,925,000 |
|
|
|
4.412 |
|
|
03/31/31 |
|
4,758,160 |
Commerzbank AG(b)(e) (-1x 5
Year EUR Swap + 6.363%) |
EUR |
|
|
1,000,000 |
|
|
|
6.125 |
|
|
03/31/99 |
|
1,301,925 |
Credit Suisse Group
AG(b)(d)(e) |
(5 Year CMT + 4.889%) |
$ |
|
|
1,625,000 |
|
|
|
5.250 |
|
|
12/31/99 |
|
1,726,562 |
(SOFR + 3.730%) |
2,450,000 |
|
|
|
4.194 |
|
|
04/01/31 |
|
2,880,881 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Corporate Obligations (continued) |
Banks (continued) |
Deutsche Bank AG(b)(e) (SOFR
+ 1.870%) |
$ |
|
|
975,000 |
|
|
|
2.129 |
% |
|
11/24/26 |
|
$ 997,776 |
Erste Group Bank AG(b)(e) (5
Year EUR Swap + 6.204%) |
EUR |
|
|
800,000 |
|
|
|
6.500 |
|
|
12/31/99 |
|
1,089,321 |
HSBC Holdings PLC |
$ |
|
|
800,000 |
|
|
|
4.950 |
|
|
03/31/30 |
|
999,784 |
Intesa Sanpaolo SpA(b)(e) (-1x
5 Year EUR Swap + 6.086%) |
EUR |
|
|
250,000 |
|
|
|
5.875 |
|
|
12/31/99 |
|
341,680 |
Itau Unibanco Holding
SA(b)(d)(e) (5 Year CMT + 3.222%) |
$ |
|
|
860,000 |
|
|
|
4.625 |
|
|
12/31/99 |
|
844,144 |
JPMorgan Chase &
Co.(b)(e) |
(SOFR + 2.040%) |
|
|
|
1,250,000 |
|
|
|
2.522 |
|
|
04/22/31 |
|
1,340,725 |
(SOFR + 3.790%) |
|
|
|
425,000 |
|
|
|
4.493 |
|
|
03/24/31 |
|
523,817 |
Morgan Stanley,
Inc.(b)(e) |
(SOFR + 1.143%) |
|
|
|
2,975,000 |
|
|
|
2.699 |
|
|
01/22/31 |
|
3,235,312 |
(SOFR + 3.120%) |
|
|
|
1,975,000 |
|
|
|
3.622 |
|
|
04/01/31 |
|
2,293,824 |
Natwest Group PLC(b)(e) (5
Year CMT + 2.100%) |
|
|
|
675,000 |
|
|
|
3.754 |
|
|
11/01/29 |
|
716,344 |
QNB Finance Ltd. |
|
|
|
230,000 |
|
|
|
3.500 |
|
|
03/28/24 |
|
246,316 |
Societe Generale SA(b)(e) (5
Year USD Swap + 3.929%) |
|
|
|
450,000 |
|
|
|
6.750 |
|
|
12/31/99 |
|
505,125 |
Turkiye Vakiflar Bankasi TAO |
|
|
|
200,000 |
|
|
|
8.125 |
|
|
03/28/24 |
|
213,563 |
|
|
|
270,000 |
|
|
|
5.250 |
(d) |
|
02/05/25 |
|
265,781 |
|
|
|
530,000 |
|
|
|
6.500 |
(d) |
|
01/08/26 |
|
542,588 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
41,366,291 |
|
Beverages 0.6% |
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.(e) |
|
|
|
3,225,000 |
|
|
|
4.900 |
|
|
02/01/46 |
|
4,194,435 |
Anheuser-Busch InBev Worldwide, Inc. |
|
|
|
600,000 |
|
|
|
4.950 |
|
|
01/15/42 |
|
785,280 |
Keurig Dr Pepper,
Inc.(e) |
|
|
|
325,000 |
|
|
|
5.085 |
|
|
05/25/48 |
|
455,257 |
|
|
|
475,000 |
|
|
|
3.800 |
|
|
05/01/50 |
|
567,074 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,002,046 |
|
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Corporate Obligations (continued) |
Building Materials(e)
0.5% |
Cemex SAB de CV |
$ |
|
|
200,000 |
|
|
|
7.375 |
%(d) |
|
06/05/27 |
|
$ 227,188 |
|
|
|
200,000 |
|
|
|
5.450 |
|
|
11/19/29 |
|
219,750 |
|
|
|
350,000 |
|
|
|
5.200 |
(d) |
|
09/17/30 |
|
382,375 |
Cornerstone Building Brands,
Inc.(d) |
|
|
|
1,760,000 |
|
|
|
8.000 |
|
|
04/15/26 |
|
1,843,600 |
Griffon Corp. |
|
|
|
527,000 |
|
|
|
5.750 |
|
|
03/01/28 |
|
557,302 |
JELD-WEN,
Inc.(d) |
|
|
|
560,000 |
|
|
|
4.875 |
|
|
12/15/27 |
|
596,400 |
Summit Materials LLC/Summit Materials Finance Corp.(d) |
|
|
|
520,000 |
|
|
|
6.500 |
|
|
03/15/27 |
|
552,500 |
|
|
|
738,000 |
|
|
|
5.250 |
|
|
01/15/29 |
|
774,900 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,154,015 |
|
Chemicals 1.2% |
CNAC HK Finbridge Co. Ltd. |
|
|
|
420,000 |
|
|
|
3.875 |
|
|
06/19/29 |
|
424,594 |
Ingevity
Corp.(d)(e) |
|
|
|
1,025,000 |
|
|
|
3.875 |
|
|
11/01/28 |
|
1,027,563 |
Kraton Polymers LLC/Kraton Polymers Capital Corp.(d)(e) |
|
|
|
1,555,000 |
|
|
|
7.000 |
|
|
04/15/25 |
|
1,636,637 |
Nouryon Holding
B.V.(d)(e) |
|
|
|
1,330,000 |
|
|
|
8.000 |
|
|
10/01/26 |
|
1,418,112 |
OCI NV(d)(e) |
|
|
|
975,000 |
|
|
|
5.250 |
|
|
11/01/24 |
|
1,012,781 |
Sasol Financing International Ltd. |
|
|
|
4,008,000 |
|
|
|
4.500 |
|
|
11/14/22 |
|
4,088,160 |
The Chemours
Co.(e) |
|
|
|
490,000 |
|
|
|
7.000 |
|
|
05/15/25 |
|
507,763 |
|
|
|
550,000 |
|
|
|
5.375 |
|
|
05/15/27 |
|
583,000 |
Tronox Finance
PLC(d)(e) |
|
|
|
470,000 |
|
|
|
5.750 |
|
|
10/01/25 |
|
487,625 |
Tronox,
Inc.(d)(e) |
|
|
|
465,000 |
|
|
|
6.500 |
|
|
04/15/26 |
|
481,856 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,668,091 |
|
Commercial Services 1.4% |
Allied Universal Holdco LLC/Allied Universal Finance Corp.(d)(e) |
|
|
|
1,500,000 |
|
|
|
6.625 |
|
|
07/15/26 |
|
1,593,750 |
|
|
|
1,345,000 |
|
|
|
9.750 |
|
|
07/15/27 |
|
1,466,050 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Corporate Obligations (continued) |
Commercial Services (continued) |
DP World Crescent Ltd. |
$ |
|
|
200,000 |
|
|
|
4.848 |
% |
|
09/26/28 |
|
$ 232,500 |
|
|
|
200,000 |
|
|
|
3.875 |
|
|
07/18/29 |
|
219,500 |
DP World PLC |
|
|
|
200,000 |
|
|
|
5.625 |
|
|
09/25/48 |
|
254,750 |
Herc Holdings,
Inc.(d)(e) |
|
|
|
2,330,000 |
|
|
|
5.500 |
|
|
07/15/27 |
|
2,475,625 |
Prime Security Services Borrower LLC/Prime Finance, Inc.(d)(e) |
|
|
|
1,210,000 |
|
|
|
6.250 |
|
|
01/15/28 |
|
1,297,725 |
Sabre GLBL,
Inc.(d)(e) |
|
|
|
1,062,000 |
|
|
|
9.250 |
|
|
04/15/25 |
|
1,263,780 |
Service Corp.
International(e) |
|
|
|
780,000 |
|
|
|
3.375 |
|
|
08/15/30 |
|
807,300 |
The Nielsen Co. Luxembourg
S.a.r.l.(d)(e) |
|
|
|
1,485,000 |
|
|
|
5.000 |
|
|
02/01/25 |
|
1,525,837 |
United Rentals North America,
Inc.(e) |
|
|
|
1,070,000 |
|
|
|
3.875 |
|
|
02/15/31 |
|
1,123,500 |
Verscend Escrow
Corp.(d)(e) |
|
|
|
970,000 |
|
|
|
9.750 |
|
|
08/15/26 |
|
1,052,450 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,312,767 |
|
Computers(e)
1.4% |
Banff Merger Sub,
Inc.(d) |
|
|
|
485,000 |
|
|
|
9.750 |
|
|
09/01/26 |
|
521,375 |
Booz Allen Hamilton,
Inc.(d) |
|
|
|
1,355,000 |
|
|
|
3.875 |
|
|
09/01/28 |
|
1,393,956 |
Dell International LLC/EMC
Corp.(d) |
|
|
|
5,625,000 |
|
|
|
6.020 |
|
|
06/15/26 |
|
6,863,512 |
Hewlett Packard Enterprise Co. |
|
|
|
3,725,000 |
|
|
|
4.900 |
|
|
10/15/25 |
|
4,360,113 |
Presidio Holdings,
Inc.(d) |
|
|
|
315,000 |
|
|
|
8.250 |
|
|
02/01/28 |
|
347,681 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,486,637 |
|
Distribution & Wholesale(d)(e)
1.0% |
Core & Main Holdings LP(f)
(PIK 9.375%, Cash 8.625%) |
|
|
|
1,900,000 |
|
|
|
8.625 |
|
|
09/15/24 |
|
1,935,625 |
Core & Main LP |
|
|
|
912,000 |
|
|
|
6.125 |
|
|
08/15/25 |
|
937,080 |
H&E Equipment Services, Inc. |
|
|
|
1,055,000 |
|
|
|
3.875 |
|
|
12/15/28 |
|
1,060,275 |
Performance Food Group, Inc. |
|
|
|
358,000 |
|
|
|
6.875 |
|
|
05/01/25 |
|
383,060 |
|
|
|
1,900,000 |
|
|
|
5.500 |
|
|
10/15/27 |
|
2,004,500 |
|
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Corporate Obligations (continued) |
Distribution & Wholesale(d)(e)
(continued) |
Resideo Funding, Inc. |
$ |
|
|
1,650,000 |
|
|
|
6.125 |
% |
|
11/01/26 |
|
$ 1,741,275 |
Univar Solutions USA, Inc. |
|
|
|
550,000 |
|
|
|
5.125 |
|
|
12/01/27 |
|
578,875 |
Wolverine Escrow LLC |
|
|
|
460,000 |
|
|
|
8.500 |
|
|
11/15/24 |
|
432,400 |
|
|
|
460,000 |
|
|
|
9.000 |
|
|
11/15/26 |
|
432,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,505,490 |
|
Diversified Financial Services 2.6% |
AerCap Holdings NV(b)(e) (5
Year CMT + 4.535%) |
|
|
|
985,000 |
|
|
|
5.875 |
|
|
10/10/79 |
|
977,613 |
Air Lease Corp. |
|
|
|
575,000 |
|
|
|
3.500 |
|
|
01/15/22 |
|
591,100 |
|
|
|
1,625,000 |
|
|
|
2.875 |
(e) |
|
01/15/26 |
|
1,718,909 |
Avolon Holdings Funding,
Ltd.(d)(e) |
|
|
|
725,000 |
|
|
|
4.250 |
|
|
04/15/26 |
|
783,377 |
|
|
|
1,500,000 |
|
|
|
3.250 |
|
|
02/15/27 |
|
1,528,110 |
Global Aircraft Leasing Co.
Ltd.(d)(e)(f) (PIK 7.250%, Cash 6.500%) |
|
|
|
3,290,093 |
|
|
|
6.500 |
|
|
09/15/24 |
|
2,911,732 |
Huarong Finance 2017 Co. Ltd. |
|
|
|
250,000 |
|
|
|
4.250 |
|
|
11/07/27 |
|
273,203 |
Huarong Finance 2019 Co.
Ltd.(e) |
|
|
|
220,000 |
|
|
|
3.875 |
|
|
11/13/29 |
|
233,888 |
Huarong Finance II Co. Ltd. |
|
|
|
1,370,000 |
|
|
|
5.500 |
|
|
01/16/25 |
|
1,545,311 |
|
|
|
450,000 |
|
|
|
4.625 |
|
|
06/03/26 |
|
500,766 |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.(e) |
|
|
|
1,475,000 |
|
|
|
4.750 |
|
|
09/15/24 |
|
1,537,687 |
|
|
|
1,245,000 |
|
|
|
5.250 |
|
|
05/15/27 |
|
1,329,038 |
LPL Holdings,
Inc.(d)(e) |
|
|
|
825,000 |
|
|
|
4.625 |
|
|
11/15/27 |
|
853,875 |
Nationstar Mortgage Holdings,
Inc.(d)(e) |
|
|
|
2,016,000 |
|
|
|
5.500 |
|
|
08/15/28 |
|
2,109,139 |
Navient Corp. |
|
|
|
400,000 |
|
|
|
6.750 |
|
|
06/25/25 |
|
435,000 |
|
|
|
2,680,000 |
|
|
|
5.625 |
|
|
08/01/33 |
|
2,572,800 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Corporate Obligations (continued) |
Diversified Financial Services (continued) |
OneMain Finance
Corp.(e) |
$ |
|
|
2,755,000 |
|
|
|
5.375 |
% |
|
11/15/29 |
|
$ 3,092,487 |
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc.(d)(e) |
|
|
|
1,324,000 |
|
|
|
3.875 |
|
|
03/01/31 |
|
1,361,032 |
Raymond James Financial,
Inc.(e) |
|
|
|
400,000 |
|
|
|
4.650 |
|
|
04/01/30 |
|
490,944 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,846,011 |
|
Electrical(e)
0.9% |
Calpine Corp.(d) |
|
|
|
235,000 |
|
|
|
4.500 |
|
|
02/15/28 |
|
244,400 |
|
|
|
1,915,000 |
|
|
|
4.625 |
|
|
02/01/29 |
|
1,962,875 |
Exelon Corp. |
|
|
|
350,000 |
|
|
|
4.700 |
|
|
04/15/50 |
|
463,351 |
Pacific Gas & Electric Co. |
|
|
|
550,000 |
|
|
|
2.100 |
|
|
08/01/27 |
|
559,334 |
|
|
|
925,000 |
|
|
|
2.500 |
|
|
02/01/31 |
|
924,547 |
Talen Energy Supply
LLC(d) |
|
|
|
1,125,000 |
|
|
|
6.625 |
|
|
01/15/28 |
|
1,178,437 |
Vistra Operations Co.
LLC(d) |
|
|
|
3,336,000 |
|
|
|
3.550 |
|
|
07/15/24 |
|
3,602,880 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,935,824 |
|
Electrical Components &
Equipment(d)(e) 0.1% |
Energizer Holdings, Inc. |
|
|
|
500,000 |
|
|
|
7.750 |
|
|
01/15/27 |
|
555,625 |
|
|
|
230,000 |
|
|
|
4.750 |
|
|
06/15/28 |
|
241,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
797,125 |
|
Engineering & Construction(e)
0.7% |
KBR, Inc.(d) |
|
|
|
1,257,000 |
|
|
|
4.750 |
|
|
09/30/28 |
|
1,310,422 |
Mexico City Airport Trust |
|
|
|
200,000 |
|
|
|
4.250 |
|
|
10/31/26 |
|
212,000 |
|
|
|
320,000 |
|
|
|
4.250 |
(d) |
|
10/31/26 |
|
339,200 |
|
|
|
310,000 |
|
|
|
3.875 |
(d) |
|
04/30/28 |
|
320,075 |
|
|
|
468,000 |
|
|
|
5.500 |
|
|
10/31/46 |
|
488,475 |
|
|
|
690,000 |
|
|
|
5.500 |
(d) |
|
10/31/46 |
|
720,188 |
|
|
|
2,985,000 |
|
|
|
5.500 |
|
|
07/31/47 |
|
3,119,325 |
|
|
|
520,000 |
|
|
|
5.500 |
(d) |
|
07/31/47 |
|
543,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,053,085 |
|
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Corporate Obligations (continued) |
Entertainment(d)(e)
0.5% |
Cedar Fair LP/Canadas Wonderland Co/Magnum Management Corp./Millennium
Op |
$ |
|
|
703,000 |
|
|
|
5.500 |
% |
|
05/01/25 |
|
$ 734,635 |
Lions Gate Capital Holdings LLC |
|
|
|
470,000 |
|
|
|
6.375 |
|
|
02/01/24 |
|
481,750 |
|
|
|
565,000 |
|
|
|
5.875 |
|
|
11/01/24 |
|
573,475 |
Live Nation Entertainment, Inc. |
|
|
|
1,400,000 |
|
|
|
6.500 |
|
|
05/15/27 |
|
1,561,000 |
Motion Bondco DAC |
|
|
|
1,010,000 |
|
|
|
6.625 |
|
|
11/15/27 |
|
1,047,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,398,735 |
|
Environmental(d)(e)
0.5% |
GFL Environmental, Inc. |
|
|
|
115,000 |
|
|
|
5.125 |
|
|
12/15/26 |
|
122,331 |
|
|
|
930,000 |
|
|
|
8.500 |
|
|
05/01/27 |
|
1,034,625 |
Stericycle, Inc. |
|
|
|
1,000,000 |
|
|
|
5.375 |
|
|
07/15/24 |
|
1,042,500 |
Waste Pro USA, Inc. |
|
|
|
2,825,000 |
|
|
|
5.500 |
|
|
02/15/26 |
|
2,881,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,080,956 |
|
Food & Drug Retailing(e)
1.6% |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(d) |
|
|
|
500,000 |
|
|
|
7.500 |
|
|
03/15/26 |
|
556,875 |
|
|
|
875,000 |
|
|
|
4.625 |
|
|
01/15/27 |
|
925,313 |
|
|
|
870,000 |
|
|
|
5.875 |
|
|
02/15/28 |
|
945,037 |
|
|
|
577,000 |
|
|
|
4.875 |
|
|
02/15/30 |
|
633,258 |
B&G Foods, Inc. |
|
|
|
2,005,000 |
|
|
|
5.250 |
|
|
04/01/25 |
|
2,065,150 |
|
|
|
475,000 |
|
|
|
5.250 |
|
|
09/15/27 |
|
504,094 |
BRF SA |
|
|
|
600,000 |
|
|
|
4.875 |
|
|
01/24/30 |
|
651,188 |
Kraft Heinz Foods Co. |
|
|
|
734,000 |
|
|
|
4.375 |
|
|
06/01/46 |
|
794,497 |
|
|
|
1,970,000 |
|
|
|
4.875 |
(d) |
|
10/01/49 |
|
2,292,014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Corporate Obligations (continued) |
Food & Drug Retailing(e)
(continued) |
Lamb Weston Holdings,
Inc.(d) |
$ |
|
|
1,195,000 |
|
|
|
4.875 |
% |
|
05/15/28 |
|
$ 1,329,437 |
Post Holdings,
Inc.(d) |
|
|
|
775,000 |
|
|
|
5.500 |
|
|
12/15/29 |
|
845,719 |
Sysco Corp. |
|
|
|
650,000 |
|
|
|
6.600 |
|
|
04/01/40 |
|
948,538 |
|
|
|
1,600,000 |
|
|
|
6.600 |
|
|
04/01/50 |
|
2,452,768 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,943,888 |
|
Forest Products&Paper(e)
0.2% |
Mercer International, Inc. |
|
|
|
1,000,000 |
|
|
|
7.375 |
|
|
01/15/25 |
|
1,037,500 |
|
|
|
1,040,000 |
|
|
|
5.500 |
|
|
01/15/26 |
|
1,055,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,093,100 |
|
Gaming(d)(e)
0.2% |
Station Casinos LLC |
|
|
|
2,153,000 |
|
|
|
4.500 |
|
|
02/15/28 |
|
2,163,765 |
|
Healthcare Providers &
Services(e) 1.2% |
Acadia Healthcare Co., Inc. |
|
|
|
535,000 |
|
|
|
6.500 |
|
|
03/01/24 |
|
547,706 |
Centene Corp. |
|
|
|
1,550,000 |
|
|
|
4.750 |
|
|
01/15/25 |
|
1,590,842 |
|
|
|
850,000 |
|
|
|
3.375 |
|
|
02/15/30 |
|
895,858 |
DaVita, Inc.(d) |
$ |
|
|
2,425,000 |
|
|
|
3.750 |
|
|
02/15/31 |
|
2,449,250 |
Encompass Health Corp. |
|
|
|
1,100,000 |
|
|
|
4.500 |
|
|
02/01/28 |
|
1,149,500 |
Envision Healthcare
Corp.(d) |
|
|
|
1,175,000 |
|
|
|
8.750 |
|
|
10/15/26 |
|
728,500 |
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.(d) |
|
|
|
420,000 |
|
|
|
9.750 |
|
|
12/01/26 |
|
458,850 |
Select Medical
Corp.(d) |
|
|
|
1,200,000 |
|
|
|
6.250 |
|
|
08/15/26 |
|
1,290,000 |
Tenet Healthcare
Corp.(d) |
|
|
|
1,568,000 |
|
|
|
6.125 |
|
|
10/01/28 |
|
1,632,680 |
West Street Merger Sub,
Inc.(d) |
|
|
|
1,095,000 |
|
|
|
6.375 |
|
|
09/01/25 |
|
1,119,638 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,862,824 |
|
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Corporate Obligations (continued) |
Insurance(d)(e)
1.2% |
Acrisure LLC/Acrisure Finance, Inc. |
$ |
|
|
440,000 |
|
|
|
8.125 |
% |
|
02/15/24 |
|
$ 465,850 |
|
|
|
2,555,000 |
|
|
|
7.000 |
|
|
11/15/25 |
|
2,663,587 |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer |
|
|
|
1,700,000 |
|
|
|
6.750 |
|
|
10/15/27 |
|
1,808,375 |
GTCR AP Finance, Inc. |
|
|
|
1,375,000 |
|
|
|
8.000 |
|
|
05/15/27 |
|
1,493,594 |
HUB International Ltd. |
|
|
|
2,610,000 |
|
|
|
7.000 |
|
|
05/01/26 |
|
2,714,400 |
USI, Inc. |
|
|
|
2,250,000 |
|
|
|
6.875 |
|
|
05/01/25 |
|
2,309,063 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,454,869 |
|
Internet 1.2% |
GrubHub Holdings,
Inc.(d)(e) |
|
|
|
2,530,000 |
|
|
|
5.500 |
|
|
07/01/27 |
|
2,650,175 |
Match Group Holdings II
LLC(d)(e) |
|
|
|
2,597,000 |
|
|
|
4.625 |
|
|
06/01/28 |
|
2,726,850 |
Netflix, Inc. |
|
|
|
2,820,000 |
|
|
|
5.500 |
|
|
02/15/22 |
|
2,950,425 |
Prosus NV(d)(e) |
|
|
|
850,000 |
|
|
|
3.680 |
|
|
01/21/30 |
|
922,781 |
|
|
|
600,000 |
|
|
|
4.027 |
|
|
08/03/50 |
|
622,500 |
Twitter,
Inc.(d)(e) |
|
|
|
920,000 |
|
|
|
3.875 |
|
|
12/15/27 |
|
979,800 |
Uber Technologies,
Inc.(d)(e) |
|
|
|
430,000 |
|
|
|
8.000 |
|
|
11/01/26 |
|
467,625 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,320,156 |
|
Iron/Steel(e)
0.1% |
Cleveland-Cliffs, Inc. |
|
|
|
585,000 |
|
|
|
5.875 |
|
|
06/01/27 |
|
589,388 |
|
Leisure Time(d)(e)
0.1% |
Viking Cruises Ltd. |
|
|
|
520,000 |
|
|
|
5.875 |
|
|
09/15/27 |
|
504,400 |
|
Lodging(e)
0.4% |
Fortune Star BVI Ltd. |
|
|
|
200,000 |
|
|
|
5.250 |
|
|
03/23/22 |
|
202,188 |
Hilton Domestic Operating Co., Inc. |
|
|
|
110,000 |
|
|
|
5.375 |
(d) |
|
05/01/25 |
|
117,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Corporate Obligations (continued) |
Lodging(e)
(continued) |
Hilton Domestic Operating Co., Inc. (continued) |
$ |
|
|
261,000 |
|
|
|
5.750 |
%(d) |
|
05/01/28 |
|
$ 285,142 |
|
|
|
2,897,000 |
|
|
|
4.875 |
|
|
01/15/30 |
|
3,179,457 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,783,937 |
|
Machinery - Construction &
Mining(d)(e) 0.1% |
The Manitowoc Co., Inc. |
|
|
|
565,000 |
|
|
|
9.000 |
|
|
04/01/26 |
|
610,200 |
|
Machinery-Diversified(d)(e)
0.1% |
Titan Acquisition Ltd./Titan Co-Borrower LLC |
|
|
|
1,120,000 |
|
|
|
7.750 |
|
|
04/15/26 |
|
1,164,800 |
|
Media 3.8% |
Altice Financing
SA(d)(e) |
|
|
|
1,535,000 |
|
|
|
7.500 |
|
|
05/15/26 |
|
1,615,588 |
CCO Holdings LLC/CCO Holdings Capital Corp.(d)(e) |
|
|
|
2,395,000 |
|
|
|
4.250 |
|
|
02/01/31 |
|
2,523,731 |
Charter Communications Operating LLC/Charter Communications Operating Capital(e) |
|
|
|
7,325,000 |
|
|
|
4.908 |
|
|
07/23/25 |
|
8,516,191 |
Comcast Corp.(e) |
|
|
|
330,000 |
|
|
|
4.950 |
|
|
10/15/58 |
|
497,792 |
CSC Holdings
LLC(d)(e) |
|
|
|
1,000,000 |
|
|
|
5.750 |
|
|
01/15/30 |
|
1,095,000 |
|
|
|
1,320,000 |
|
|
|
3.375 |
|
|
02/15/31 |
|
1,301,850 |
Cumulus Media New Holdings,
Inc.(d)(e) |
|
|
|
1,278,000 |
|
|
|
6.750 |
|
|
07/01/26 |
|
1,303,560 |
Diamond Sports Group LLC/Diamond Sports Finance Co.(d)(e) |
|
|
|
875,000 |
|
|
|
5.375 |
|
|
08/15/26 |
|
710,938 |
|
|
|
2,340,000 |
|
|
|
6.625 |
|
|
08/15/27 |
|
1,415,700 |
DISH DBS Corp. |
|
|
|
1,540,000 |
|
|
|
5.875 |
|
|
07/15/22 |
|
1,607,375 |
|
|
|
470,000 |
|
|
|
5.875 |
|
|
11/15/24 |
|
491,738 |
|
|
|
450,000 |
|
|
|
7.750 |
|
|
07/01/26 |
|
502,875 |
|
|
|
1,140,000 |
|
|
|
7.375 |
(e) |
|
07/01/28 |
|
1,214,100 |
Entercom Media
Corp.(d)(e) |
|
|
|
2,705,000 |
|
|
|
7.250 |
|
|
11/01/24 |
|
2,711,762 |
iHeartCommunications,
Inc.(e) |
|
|
|
430,000 |
|
|
|
8.375 |
|
|
05/01/27 |
|
459,025 |
|
|
|
1,300,000 |
|
|
|
5.250 |
(d) |
|
08/15/27 |
|
1,365,000 |
|
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Corporate Obligations (continued) |
Media (continued) |
Nexstar Broadcasting,
Inc.(d)(e) |
$ |
|
|
1,350,000 |
|
|
|
5.625 |
% |
|
07/15/27 |
|
$ 1,449,563 |
Scripps Escrow II,
Inc.(d)(e) |
|
|
|
600,000 |
|
|
|
5.375 |
|
|
01/15/31 |
|
630,000 |
Scripps Escrow,
Inc.(d)(e) |
|
|
|
1,555,000 |
|
|
|
5.875 |
|
|
07/15/27 |
|
1,621,087 |
Sinclair Television Group,
Inc.(d)(e) |
|
|
|
470,000 |
|
|
|
5.500 |
|
|
03/01/30 |
|
488,800 |
Sirius XM Radio,
Inc.(d)(e) |
|
|
|
1,310,000 |
|
|
|
4.625 |
|
|
07/15/24 |
|
1,355,850 |
UPC Holding
B.V.(d)(e) |
|
|
|
465,000 |
|
|
|
5.500 |
|
|
01/15/28 |
|
488,831 |
Virgin Media Secured Finance
PLC(d)(e) |
|
|
|
2,575,000 |
|
|
|
5.500 |
|
|
05/15/29 |
|
2,781,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
36,147,356 |
|
Mining 0.6% |
Alcoa Nederland Holding
B.V.(d)(e) |
|
|
|
1,120,000 |
|
|
|
5.500 |
|
|
12/15/27 |
|
1,219,400 |
Constellium
SE(d)(e) |
|
|
|
485,000 |
|
|
|
5.625 |
|
|
06/15/28 |
|
521,375 |
First Quantum Minerals
Ltd.(d)(e) |
|
|
|
2,121,000 |
|
|
|
7.250 |
|
|
04/01/23 |
|
2,174,704 |
Novelis
Corp.(d)(e) |
|
|
|
950,000 |
|
|
|
4.750 |
|
|
01/30/30 |
|
1,015,312 |
Vedanta Resources Ltd. |
|
|
|
310,000 |
|
|
|
7.125 |
|
|
05/31/23 |
|
251,681 |
|
|
|
200,000 |
|
|
|
6.125 |
(e) |
|
08/09/24 |
|
142,438 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,324,910 |
|
Miscellaneous Manufacturing(e)
0.8% |
Bombardier,
Inc.(d) |
|
|
|
2,661,000 |
|
|
|
7.500 |
|
|
12/01/24 |
|
2,527,950 |
General Electric Co. |
|
|
|
950,000 |
|
|
|
3.450 |
|
|
05/01/27 |
|
1,071,505 |
|
|
|
1,350,000 |
|
|
|
3.625 |
|
|
05/01/30 |
|
1,538,204 |
|
|
|
1,175,000 |
|
|
|
4.250 |
|
|
05/01/40 |
|
1,385,983 |
|
|
|
1,225,000 |
|
|
|
4.350 |
|
|
05/01/50 |
|
1,480,302 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,003,944 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Corporate Obligations (continued) |
Oil Field Services 2.1% |
Apache Corp.(e) |
$ |
|
|
555,000 |
|
|
|
4.625 |
% |
|
11/15/25 |
|
$ 582,056 |
Cenovus Energy,
Inc.(e) |
|
|
|
1,890,000 |
|
|
|
5.375 |
|
|
07/15/25 |
|
2,130,521 |
Gazprom PJSC Via Gaz Capital
SA(d) |
|
|
|
4,280,000 |
|
|
|
5.150 |
|
|
02/11/26 |
|
4,871,175 |
Gazprom PJSC Via Gaz Finance
PLC(d) |
|
|
|
240,000 |
|
|
|
3.250 |
|
|
02/25/30 |
|
247,575 |
Lukoil Securities
B.V.(d) |
|
|
|
1,290,000 |
|
|
|
3.875 |
|
|
05/06/30 |
|
1,394,903 |
MEG Energy
Corp.(d)(e) |
|
|
|
345,000 |
|
|
|
7.000 |
|
|
03/31/24 |
|
347,588 |
|
|
|
490,000 |
|
|
|
7.125 |
|
|
02/01/27 |
|
504,700 |
Nabors Industries
Ltd.(d)(e) |
|
|
|
520,000 |
|
|
|
7.250 |
|
|
01/15/26 |
|
363,350 |
Nabors Industries, Inc. |
|
|
|
62,000 |
|
|
|
4.625 |
|
|
09/15/21 |
|
55,025 |
Occidental Petroleum
Corp.(e) |
|
|
|
1,410,000 |
|
|
|
8.000 |
|
|
07/15/25 |
|
1,593,300 |
|
|
|
1,100,000 |
|
|
|
6.625 |
|
|
09/01/30 |
|
1,192,125 |
Petrobras Global Finance B.V. |
|
|
|
200,000 |
|
|
|
5.999 |
|
|
01/27/28 |
|
234,000 |
|
|
|
42,000 |
|
|
|
5.093 |
|
|
01/15/30 |
|
46,830 |
Petroleos de Venezuela
SA(g) |
|
|
|
137,050,000 |
|
|
|
6.000 |
|
|
10/28/22 |
|
3,631,825 |
Petroleos
Mexicanos(d)(e) |
|
|
|
760,000 |
|
|
|
6.875 |
|
|
10/16/25 |
|
831,174 |
USA Compression Partners LP/USA Compression Finance Corp.(e) |
|
|
|
545,000 |
|
|
|
6.875 |
|
|
04/01/26 |
|
570,888 |
Valero Energy
Corp.(e) |
|
|
|
1,025,000 |
|
|
|
2.850 |
|
|
04/15/25 |
|
1,093,562 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,690,597 |
|
Packaging(e)
1.4% |
ARD Finance
SA(f) |
(PIK 5.750%, Cash 5.000%) |
EUR |
|
|
575,000 |
|
|
|
5.000 |
|
|
06/30/27 |
|
714,868 |
(PIK 7.250%, Cash 6.500%) |
$ |
|
|
2,400,000 |
|
|
|
6.500 |
(d) |
|
06/30/27 |
|
2,544,000 |
|
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Corporate Obligations (continued) |
Packaging(e)
(continued) |
Berry Global,
Inc.(d) |
$ |
|
|
1,495,000 |
|
|
|
4.500 |
% |
|
02/15/26 |
|
$ 1,528,638 |
Flex Acquisition Co.,
Inc.(d) |
|
|
|
1,095,000 |
|
|
|
6.875 |
|
|
01/15/25 |
|
1,110,056 |
|
|
|
480,000 |
|
|
|
7.875 |
|
|
07/15/26 |
|
505,200 |
LABL Escrow Issuer
LLC(d) |
|
|
|
450,000 |
|
|
|
6.750 |
|
|
07/15/26 |
|
483,750 |
|
|
|
465,000 |
|
|
|
10.500 |
|
|
07/15/27 |
|
523,125 |
Mauser Packaging Solutions Holding
Co.(d) |
|
|
|
2,010,000 |
|
|
|
7.250 |
|
|
04/15/25 |
|
2,040,150 |
Sealed Air
Corp.(d) |
|
|
|
500,000 |
|
|
|
4.000 |
|
|
12/01/27 |
|
532,500 |
Trivium Packaging Finance
B.V.(d) |
|
|
|
875,000 |
|
|
|
5.500 |
|
|
08/15/26 |
|
924,219 |
|
|
|
1,775,000 |
|
|
|
8.500 |
|
|
08/15/27 |
|
1,950,281 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,856,787 |
|
Pharmaceuticals(e)
1.7% |
AbbVie, Inc. |
|
|
|
8,725,000 |
|
|
|
3.200 |
|
|
11/21/29 |
|
9,822,867 |
|
|
|
175,000 |
|
|
|
4.875 |
|
|
11/14/48 |
|
237,850 |
|
|
|
300,000 |
|
|
|
4.250 |
|
|
11/21/49 |
|
376,857 |
Bausch Health Cos.,
Inc.(d) |
|
|
|
1,050,000 |
|
|
|
5.250 |
|
|
01/30/30 |
|
1,097,250 |
Cigna Corp. |
|
|
|
2,225,000 |
|
|
|
2.400 |
|
|
03/15/30 |
|
2,364,908 |
CVS Health Corp. |
|
|
|
975,000 |
|
|
|
4.250 |
|
|
04/01/50 |
|
1,217,833 |
HLF Financing S.a.r.l. LLC/Herbalife International, Inc.(d) |
|
|
|
535,000 |
|
|
|
7.250 |
|
|
08/15/26 |
|
565,762 |
Par Pharmaceutical,
Inc.(d) |
|
|
|
480,000 |
|
|
|
7.500 |
|
|
04/01/27 |
|
518,400 |
Zoetis, Inc. |
|
|
|
150,000 |
|
|
|
4.450 |
|
|
08/20/48 |
|
200,405 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,402,132 |
|
Pipelines 2.3% |
Buckeye Partners
LP(e) |
|
|
|
1,145,000 |
|
|
|
4.350 |
|
|
10/15/24 |
|
1,167,900 |
|
|
|
1,962,000 |
|
|
|
3.950 |
|
|
12/01/26 |
|
1,986,525 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Corporate Obligations (continued) |
Pipelines (continued) |
Cheniere Energy Partners
LP(e) |
$ |
|
|
2,000,000 |
|
|
|
4.500 |
% |
|
10/01/29 |
|
$ 2,110,000 |
Energy Transfer Operating
LP(e) |
|
|
|
6,075,000 |
|
|
|
3.600 |
|
|
02/01/23 |
|
6,353,903 |
Galaxy Pipeline Assets Bidco
Ltd.(d) |
|
|
|
240,000 |
|
|
|
2.625 |
|
|
03/31/36 |
|
248,400 |
|
|
|
430,000 |
|
|
|
3.250 |
|
|
09/30/40 |
|
453,650 |
Genesis Energy LP/Genesis Energy Finance Corp.(e) |
|
|
|
2,620,000 |
|
|
|
7.750 |
|
|
02/01/28 |
|
2,508,650 |
Global Partners LP/GLP Finance
Corp.(e) |
|
|
|
445,000 |
|
|
|
7.000 |
|
|
08/01/27 |
|
476,150 |
Plains All American Pipeline LP/PAA Finance Corp.(e) |
|
|
|
4,925,000 |
|
|
|
3.600 |
|
|
11/01/24 |
|
5,258,127 |
Sabine Pass Liquefaction
LLC(e) |
|
|
|
800,000 |
|
|
|
5.625 |
|
|
04/15/23 |
|
877,688 |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.(e) |
|
|
|
320,000 |
|
|
|
5.000 |
|
|
01/15/28 |
|
336,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,776,993 |
|
Pipelines(e)
0.1% |
EQM Midstream Partners LP |
|
|
|
1,085,000 |
|
|
|
4.000 |
|
|
08/01/24 |
|
1,112,125 |
|
Real Estate Investment Trust(e)
2.3% |
Crown Castle International Corp. |
|
|
|
875,000 |
|
|
|
3.300 |
|
|
07/01/30 |
|
981,234 |
|
|
|
525,000 |
|
|
|
4.150 |
|
|
07/01/50 |
|
634,667 |
Easy Tactic Ltd. |
|
|
|
200,000 |
|
|
|
8.625 |
|
|
02/27/24 |
|
176,438 |
Iron Mountain,
Inc.(d) |
|
|
|
2,085,000 |
|
|
|
5.250 |
|
|
07/15/30 |
|
2,251,800 |
|
|
|
3,230,000 |
|
|
|
4.500 |
|
|
02/15/31 |
|
3,359,200 |
Kaisa Group Holdings Ltd. |
|
|
|
230,000 |
|
|
|
11.250 |
|
|
04/16/25 |
|
235,031 |
MPT Operating Partnership LP/MPT Finance Corp. |
|
|
|
2,270,000 |
|
|
|
4.625 |
|
|
08/01/29 |
|
2,436,050 |
Realogy Group LLC/Realogy Co-Issuer Corp.(d) |
|
|
|
1,585,000 |
|
|
|
9.375 |
|
|
04/01/27 |
|
1,755,388 |
SBA Communications Corp. |
|
|
|
2,935,000 |
|
|
|
4.000 |
|
|
10/01/22 |
|
2,964,350 |
|
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Corporate Obligations (continued) |
Real Estate Investment Trust(e)
(continued) |
Spirit Realty LP |
$ |
|
|
3,750,000 |
|
|
|
3.200 |
% |
|
01/15/27 |
|
$ 3,983,287 |
Starwood Property Trust, Inc. |
|
|
|
1,550,000 |
|
|
|
5.000 |
|
|
12/15/21 |
|
1,571,313 |
Sunac China Holdings Ltd. |
|
|
|
240,000 |
|
|
|
8.350 |
|
|
04/19/23 |
|
252,675 |
VICI Properties LP/VICI Note Co.,
Inc.(d) |
|
|
|
718,000 |
|
|
|
3.500 |
|
|
02/15/25 |
|
732,360 |
WP Carey, Inc. |
|
|
|
370,000 |
|
|
|
4.600 |
|
|
04/01/24 |
|
412,224 |
|
|
|
345,000 |
|
|
|
4.000 |
|
|
02/01/25 |
|
381,532 |
Yuzhou Group Holdings Co. Ltd. |
|
|
|
200,000 |
|
|
|
7.700 |
|
|
02/20/25 |
|
214,313 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,341,862 |
|
Retailing(e)
1.6% |
Asbury Automotive Group, Inc. |
|
|
|
123,000 |
|
|
|
4.500 |
|
|
03/01/28 |
|
128,228 |
Beacon Roofing Supply,
Inc.(d) |
|
|
|
1,635,000 |
|
|
|
4.875 |
|
|
11/01/25 |
|
1,675,875 |
Burlington Coat Factory Warehouse Corp.(d) |
|
|
|
2,670,000 |
|
|
|
6.250 |
|
|
04/15/25 |
|
2,836,875 |
eG Global Finance
PLC(d) |
|
|
|
1,413,000 |
|
|
|
6.750 |
|
|
02/07/25 |
|
1,455,390 |
|
|
|
1,000,000 |
|
|
|
8.500 |
|
|
10/30/25 |
|
1,065,000 |
Group 1 Automotive,
Inc.(d) |
|
|
|
631,000 |
|
|
|
4.000 |
|
|
08/15/28 |
|
645,197 |
IRB Holding
Corp.(d) |
|
|
|
1,237,000 |
|
|
|
7.000 |
|
|
06/15/25 |
|
1,345,237 |
Penske Automotive Group, Inc. |
|
|
|
1,750,000 |
|
|
|
3.500 |
|
|
09/01/25 |
|
1,758,750 |
PetSmart,
Inc.(d) |
|
|
|
485,000 |
|
|
|
7.125 |
|
|
03/15/23 |
|
483,788 |
|
|
|
565,000 |
|
|
|
5.875 |
|
|
06/01/25 |
|
579,125 |
|
|
|
485,000 |
|
|
|
8.875 |
|
|
06/01/25 |
|
497,125 |
Walgreens Boots Alliance, Inc. |
|
|
|
2,625,000 |
|
|
|
4.100 |
|
|
04/15/50 |
|
2,780,925 |
Yum! Brands,
Inc.(d) |
|
|
|
72,000 |
|
|
|
7.750 |
|
|
04/01/25 |
|
79,740 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,331,255 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Corporate Obligations (continued) |
Semiconductors(e)
1.5% |
Broadcom Corp./Broadcom Cayman Finance Ltd. |
$ |
|
|
3,072,000 |
|
|
|
3.875 |
% |
|
01/15/27 |
|
$ 3,451,945 |
|
|
|
116,000 |
|
|
|
3.500 |
|
|
01/15/28 |
|
127,638 |
Broadcom, Inc. |
|
|
|
9,100,000 |
|
|
|
4.250 |
|
|
04/15/26 |
|
10,427,599 |
|
|
|
275,000 |
|
|
|
4.750 |
|
|
04/15/29 |
|
328,702 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,335,884 |
|
Software(d)(e)
0.9% |
Camelot Finance SA |
|
|
|
2,750,000 |
|
|
|
4.500 |
|
|
11/01/26 |
|
2,866,875 |
Castle US Holding Corp. |
|
|
|
1,085,000 |
|
|
|
9.500 |
|
|
02/15/28 |
|
1,085,000 |
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. |
|
|
|
2,902,000 |
|
|
|
5.750 |
|
|
03/01/25 |
|
2,952,785 |
Solera LLC/Solera Finance, Inc. |
|
|
|
1,000,000 |
|
|
|
10.500 |
|
|
03/01/24 |
|
1,035,000 |
The Dun & Bradstreet Corp. |
|
|
|
249,000 |
|
|
|
10.250 |
|
|
02/15/27 |
|
280,748 |
Veritas US, Inc./Veritas Bermuda Ltd. |
|
|
|
475,000 |
|
|
|
7.500 |
|
|
02/01/23 |
|
478,562 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,698,970 |
|
Telecommunication Services 4.9% |
Altice France Holding
SA(d)(e) |
|
|
|
1,865,000 |
|
|
|
10.500 |
|
|
05/15/27 |
|
2,095,794 |
Altice France
SA(d)(e) |
|
|
|
420,000 |
|
|
|
8.125 |
|
|
02/01/27 |
|
462,000 |
|
|
|
460,000 |
|
|
|
5.500 |
|
|
01/15/28 |
|
478,400 |
AT&T,
Inc.(e) |
|
|
|
1,025,000 |
|
|
|
1.650 |
|
|
02/01/28 |
|
1,047,130 |
|
|
|
3,850,000 |
|
|
|
4.350 |
|
|
03/01/29 |
|
4,589,700 |
|
|
|
1,250,000 |
|
|
|
2.250 |
|
|
02/01/32 |
|
1,270,062 |
|
|
|
6,655,000 |
|
|
|
2.550 |
(d) |
|
12/01/33 |
|
6,841,739 |
CenturyLink, Inc. |
|
|
|
1,680,000 |
|
|
|
5.800 |
|
|
03/15/22 |
|
1,764,000 |
|
|
|
445,000 |
|
|
|
5.625 |
(e) |
|
04/01/25 |
|
480,044 |
|
|
|
465,000 |
|
|
|
5.125 |
(d)(e) |
|
12/15/26 |
|
488,250 |
|
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Corporate Obligations (continued) |
Telecommunication Services (continued) |
Digicel Holdings Bermuda Ltd./Digicel International Finance Ltd.(d)(e) |
$ |
|
|
1,089,262 |
|
|
|
8.750 |
% |
|
05/25/24 |
|
$ 1,147,810 |
|
|
|
434,839 |
|
|
|
8.000 |
|
|
12/31/26 |
|
364,178 |
(PIK 7.000%, Cash 6.000%) |
|
|
|
577,462 |
|
|
|
13.000 |
(f) |
|
12/31/25 |
|
585,583 |
Intelsat Jackson Holdings
SA(d)(e)(g) |
|
|
|
2,900,000 |
|
|
|
8.000 |
|
|
02/15/24 |
|
2,961,625 |
SoftBank Group
Corp.(e) |
|
|
|
2,175,000 |
|
|
|
4.750 |
|
|
09/19/24 |
|
2,286,469 |
Sprint Capital Corp. |
|
|
|
1,610,000 |
|
|
|
8.750 |
|
|
03/15/32 |
|
2,539,775 |
T-Mobile USA,
Inc.(d)(e) |
|
|
|
2,575,000 |
|
|
|
3.500 |
|
|
04/15/25 |
|
2,845,903 |
|
|
|
7,575,000 |
|
|
|
3.750 |
|
|
04/15/27 |
|
8,613,548 |
Telecom Italia Capital SA |
|
|
|
950,000 |
|
|
|
7.200 |
|
|
07/18/36 |
|
1,280,125 |
|
|
|
315,000 |
|
|
|
7.721 |
|
|
06/04/38 |
|
436,275 |
Verizon Communications, Inc. |
|
|
|
1,612,000 |
|
|
|
4.329 |
|
|
09/21/28 |
|
1,938,124 |
|
|
|
925,000 |
|
|
|
3.150 |
(e) |
|
03/22/30 |
|
1,036,721 |
|
|
|
52,000 |
|
|
|
5.012 |
|
|
04/15/49 |
|
72,000 |
|
|
|
475,000 |
|
|
|
4.000 |
(e) |
|
03/22/50 |
|
575,386 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
46,200,641 |
|
Toys/Games/Hobbies(d)(e)
0.2% |
Mattel, Inc. |
|
|
|
1,310,000 |
|
|
|
5.875 |
|
|
12/15/27 |
|
1,454,100 |
|
Water(b)(e)
0.6% |
Thames Water Utilities Finance PLC (-1x 3M GBP LIBOR + 7.970%) |
GBP |
|
|
3,975,000 |
|
|
|
5.750 |
|
|
09/13/30 |
|
5,797,895 |
|
TOTAL CORPORATE OBLIGATIONS (Cost $480,553,102) |
|
$ 465,525,889 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed Obligations 60.0% |
Collateralized Mortgage Obligations 13.8% |
Interest Only(h)
5.3% |
FHLMC REMIC Series 3753, Class
SK(b) (-1x1M USD LIBOR + 6.050%) |
$ |
|
|
1,936,910 |
|
|
|
5.891 |
% |
|
11/15/38 |
|
$ 30,958 |
FHLMC REMIC Series 3852, Class
SW(b) (-1x 1M USD LIBOR + 6.000%) |
|
|
|
2,156,301 |
|
|
|
5.841 |
|
|
05/15/41 |
|
324,137 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
Interest Only(h)
(continued) |
FHLMC REMIC Series 4468, Class
SY(b) (-1x 1M USD LIBOR + 6.100%) |
$ |
|
|
7,973,949 |
|
|
|
5.941 |
% |
|
05/15/45 |
|
$ 1,702,997 |
FHLMC REMIC Series 4989, Class EI |
|
|
|
1,843,865 |
|
|
|
4.000 |
|
|
07/25/50 |
|
250,716 |
FHLMC REMIC Series 4991, Class IE |
|
|
|
16,785,405 |
|
|
|
5.000 |
|
|
07/25/50 |
|
2,199,565 |
FHLMC REMIC Series 5002, Class
SJ(b) (-1x 1M USD LIBOR + 6.100%) |
|
|
|
12,520,695 |
|
|
|
5.952 |
|
|
07/25/50 |
|
2,336,399 |
FHLMC REMIC Series 5009, Class DI |
|
|
|
6,466,509 |
|
|
|
2.000 |
|
|
09/25/50 |
|
518,191 |
FHLMC REMIC Series 5012, Class DI |
|
|
|
3,690,046 |
|
|
|
4.000 |
|
|
09/25/50 |
|
514,532 |
FHLMC REMIC Series 5020, Class IH |
|
|
|
963,800 |
|
|
|
3.000 |
|
|
08/25/50 |
|
114,385 |
FHLMC STRIPS Series 304, Class C45 |
|
|
|
12,858,874 |
|
|
|
3.000 |
|
|
12/15/27 |
|
720,613 |
FNMA REMIC Series 2011-100, Class
S(b) (-1x1M USD LIBOR + 6.450%) |
|
|
|
5,338,016 |
|
|
|
6.302 |
|
|
10/25/41 |
|
886,330 |
FNMA REMIC Series 2012-88, Class
SB(b) (-1x 1M USD LIBOR + 6.670%) |
|
|
|
5,168,801 |
|
|
|
6.522 |
|
|
07/25/42 |
|
878,501 |
FNMA REMIC Series 2017-104, Class
SB(b) (-1x1M USD LIBOR + 6.150%) |
|
|
|
2,049,308 |
|
|
|
6.002 |
|
|
01/25/48 |
|
347,953 |
FNMA REMIC Series 2017-69, Class
SG(b) (-1x1M USD LIBOR + 6.150%) |
|
|
|
2,771,055 |
|
|
|
6.002 |
|
|
09/25/47 |
|
511,721 |
FNMA REMIC Series 2017-86, Class
SB(b) (-1x 1M USD LIBOR + 6.150%) |
|
|
|
2,399,401 |
|
|
|
6.002 |
|
|
11/25/47 |
|
432,967 |
FNMA REMIC Series 2020-45, Class EI |
|
|
|
2,879,734 |
|
|
|
5.000 |
|
|
07/25/50 |
|
443,923 |
FNMA REMIC Series 2020-60, Class KI |
|
|
|
12,069,508 |
|
|
|
2.000 |
|
|
09/25/50 |
|
993,042 |
FNMA REMIC Series 2020-60, Class NI |
|
|
|
3,426,962 |
|
|
|
4.000 |
|
|
09/25/50 |
|
478,843 |
GNMA REMIC Series 2010-35, Class
DS(b) (-1x 1M USD LIBOR + 5.680%) |
|
|
|
5,576,774 |
|
|
|
5.528 |
|
|
03/20/40 |
|
1,000,517 |
GNMA REMIC Series 2010-85, Class
SN(b) (-1x1M USD LIBOR + 5.940%) |
|
|
|
7,676,514 |
|
|
|
5.788 |
|
|
07/20/40 |
|
1,659,368 |
|
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
Interest Only(h)
(continued) |
GNMA REMIC Series 2013-103, Class
DS(b) (-1x 1M USD LIBOR + 6.150%) |
$ |
|
|
6,762,808 |
|
|
|
5.998 |
% |
|
07/20/43 |
|
$ 1,348,562 |
GNMA REMIC Series 2013-117, Class
PS(b) (-1x1M USD LIBOR + 6.150%) |
|
|
|
9,147,574 |
|
|
|
5.998 |
|
|
04/20/43 |
|
1,473,736 |
GNMA REMIC Series 2013-134, Class
DS(b) (-1x 1M USD LIBOR + 6.100%) |
|
|
|
59,105 |
|
|
|
5.948 |
|
|
09/20/43 |
|
11,767 |
GNMA REMIC Series 2013-152, Class
TS(b) (-1x 1M USD LIBOR + 6.100%) |
|
|
|
161,191 |
|
|
|
5.948 |
|
|
06/20/43 |
|
32,760 |
GNMA REMIC Series 2014-11, Class NI |
|
|
|
4,107,980 |
|
|
|
4.500 |
|
|
12/16/42 |
|
294,767 |
GNMA REMIC Series 2014-132, Class
SL(b) (-1x 1M USD LIBOR + 6.100%) |
|
|
|
10,776,621 |
|
|
|
5.948 |
|
|
10/20/43 |
|
1,564,162 |
GNMA REMIC Series 2014-133, Class
BS(b) (-1x 1M USD LIBOR + 5.600%) |
|
|
|
5,974,753 |
|
|
|
5.448 |
|
|
09/20/44 |
|
1,048,264 |
GNMA REMIC Series 2014-180, Class PI |
|
|
|
5,950,607 |
|
|
|
4.000 |
|
|
08/20/44 |
|
731,834 |
GNMA REMIC Series 2015-111, Class
SM(b) (-1x1M USD LIBOR + 6.200%) |
|
|
|
7,299,146 |
|
|
|
6.048 |
|
|
08/20/45 |
|
1,319,546 |
GNMA REMIC Series 2015-126, Class
LS(b) (-1x1M USD LIBOR + 6.200%) |
|
|
|
4,705,959 |
|
|
|
6.048 |
|
|
09/20/45 |
|
850,747 |
GNMA REMIC Series 2015-129, Class IC |
|
|
|
2,167,980 |
|
|
|
4.500 |
|
|
09/16/45 |
|
337,855 |
GNMA REMIC Series 2015-133, Class
SA(b) (-1x1M USD LIBOR + 5.700%) |
|
|
|
2,572,840 |
|
|
|
5.548 |
|
|
09/20/45 |
|
438,583 |
GNMA REMIC Series 2015-133, Class
SB(b) (-1x1M USD LIBOR + 5.700%) |
|
|
|
3,634,956 |
|
|
|
5.548 |
|
|
09/20/45 |
|
578,502 |
GNMA REMIC Series 2015-144, Class
QS(b) (-1x 1M USD LIBOR + 5.700%) |
|
|
|
8,283,052 |
|
|
|
5.548 |
|
|
10/20/45 |
|
1,457,365 |
GNMA REMIC Series 2015-168, Class
SD(b) (-1x 1M USD LIBOR + 6.200%) |
|
|
|
13,674,591 |
|
|
|
6.048 |
|
|
11/20/45 |
|
2,758,611 |
GNMA REMIC Series 2015-95, Class GI |
|
|
|
22,061,233 |
|
|
|
4.500 |
|
|
07/16/45 |
|
3,996,132 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
Interest Only(h)
(continued) |
GNMA REMIC Series 2016-6, Class
S(b) (-1x1M USD LIBOR + 5.650%) |
$ |
|
|
9,976,391 |
|
|
|
5.498 |
% |
|
01/20/46 |
|
$ 1,799,126 |
GNMA REMIC Series 2017-112, Class
SJ(b) (-1x 1M USD LIBOR + 5.660%) |
|
|
|
2,325,204 |
|
|
|
5.508 |
|
|
07/20/47 |
|
357,741 |
GNMA REMIC Series 2018-105, Class
SC(b) (-1x 1M USD LIBOR + 6.200%) |
|
|
|
1,972,544 |
|
|
|
6.048 |
|
|
08/20/48 |
|
302,409 |
GNMA REMIC Series 2018-122, Class
HS(b) (-1x 1M USD LIBOR + 6.200%) |
|
|
|
1,626,889 |
|
|
|
6.048 |
|
|
09/20/48 |
|
288,762 |
GNMA REMIC Series 2018-124, Class
SN(b) (-1x 1M USD LIBOR + 6.200%) |
|
|
|
3,025,292 |
|
|
|
6.048 |
|
|
09/20/48 |
|
530,078 |
GNMA REMIC Series 2018-139, Class
SQ(b) (-1x 1M USD LIBOR + 6.150%) |
|
|
|
2,825,776 |
|
|
|
5.998 |
|
|
10/20/48 |
|
420,390 |
GNMA REMIC Series 2018-147, Class
SA(b) (-1x 1M USD LIBOR + 6.200%) |
|
|
|
2,197,769 |
|
|
|
6.048 |
|
|
10/20/48 |
|
361,468 |
GNMA REMIC Series 2018-79, Class
SD(b) (-1x 1M USD LIBOR + 6.200%) |
|
|
|
1,118,663 |
|
|
|
6.048 |
|
|
06/20/48 |
|
182,393 |
GNMA REMIC Series 2019-151, Class NI |
|
|
|
7,824,923 |
|
|
|
3.500 |
|
|
10/20/49 |
|
698,458 |
GNMA REMIC Series 2019-97, Class
SC(b) (-1x 1M USD LIBOR + 6.100%) |
|
|
|
2,323,599 |
|
|
|
5.948 |
|
|
08/20/49 |
|
354,806 |
GNMA REMIC Series 2020-11, Class
SA(b) (-1x 1M USD LIBOR + 6.050%) |
|
|
|
6,404,984 |
|
|
|
5.898 |
|
|
02/20/50 |
|
1,076,433 |
GNMA REMIC Series 2020-11, Class
SN(b) (-1x 1M USD LIBOR + 6.050%) |
|
|
|
2,402,134 |
|
|
|
5.898 |
|
|
01/20/50 |
|
387,447 |
GNMA REMIC Series 2020-146, Class IM |
|
|
|
1,783,211 |
|
|
|
2.500 |
|
|
10/20/50 |
|
211,675 |
GNMA REMIC Series 2020-146, Class KI |
|
|
|
13,859,705 |
|
|
|
2.500 |
|
|
10/20/50 |
|
1,348,365 |
GNMA REMIC Series 2020-151, Class HI |
|
|
|
5,664,033 |
|
|
|
2.500 |
|
|
10/20/50 |
|
323,151 |
GNMA REMIC Series 2020-151, Class MI |
|
|
|
5,767,598 |
|
|
|
2.500 |
|
|
10/20/50 |
|
690,684 |
GNMA REMIC Series 2020-173, Class AI |
|
|
|
6,584,918 |
|
|
|
2.500 |
|
|
11/20/50 |
|
409,538 |
|
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
Interest Only(h)
(continued) |
GNMA REMIC Series 2020-51, Class ID |
$ |
|
|
3,460,029 |
|
|
|
3.500 |
% |
|
04/20/50 |
|
$ 322,537 |
GNMA REMIC Series 2020-55, Class IO |
|
|
|
631,857 |
|
|
|
3.500 |
|
|
04/20/50 |
|
71,455 |
GNMA REMIC Series 2020-61, Class
SF(b) (-1x 1M USD LIBOR + 6.440%) |
|
|
|
9,091,714 |
|
|
|
6.288 |
|
|
07/20/43 |
|
1,775,752 |
GNMA REMIC Series 2020-7, Class GI |
|
|
|
456,694 |
|
|
|
4.000 |
|
|
01/20/50 |
|
43,875 |
GNMA REMIC Series 2020-78, Class DI |
|
|
|
13,052,241 |
|
|
|
4.000 |
|
|
06/20/50 |
|
1,683,842 |
GNMA REMIC Series 2020-78, Class
SD(b) (-1x 1M USD LIBOR + 6.150%) |
|
|
|
14,041,478 |
|
|
|
5.998 |
|
|
06/20/50 |
|
2,151,791 |
GNMA REMIC Series 2020-79, Class AI |
|
|
|
2,465,805 |
|
|
|
4.000 |
|
|
06/20/50 |
|
254,343 |
GNMA Series 2018-7, Class
DS(b) (-1x1M USD LIBOR + 5.700%) |
|
|
|
2,524,056 |
|
|
|
5.548 |
|
|
01/20/48 |
|
415,930 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
51,051,300 |
|
Regular Floater(b)
0.4% |
FHLMC REMIC Series 3231, Class FB (1M USD LIBOR + 0.350%) |
|
|
|
272,807 |
|
|
|
0.509 |
|
|
10/15/36 |
|
274,644 |
FHLMC REMIC Series 3314, Class FC (1M USD LIBOR + 0.400%) |
|
|
|
162,995 |
|
|
|
0.559 |
|
|
12/15/36 |
|
164,259 |
FHLMC REMIC Series 3371, Class FA (1M USD LIBOR + 0.600%) |
|
|
|
252,894 |
|
|
|
0.759 |
|
|
09/15/37 |
|
256,825 |
FHLMC REMIC Series 3545, Class FA (1M USD LIBOR + 0.850%) |
|
|
|
127,893 |
|
|
|
1.009 |
|
|
06/15/39 |
|
130,173 |
FHLMC REMIC Series 3827, Class KF (1M USD LIBOR + 0.370%) |
|
|
|
395,874 |
|
|
|
0.529 |
|
|
03/15/41 |
|
398,750 |
FNMA REMIC Series 2006-45, Class TF (1M USD LIBOR + 0.400%) |
|
|
|
505,124 |
|
|
|
0.548 |
|
|
06/25/36 |
|
509,442 |
FNMA REMIC Series 2006-76, Class QF (1M USD LIBOR + 0.400%) |
|
|
|
576,438 |
|
|
|
0.548 |
|
|
08/25/36 |
|
580,897 |
FNMA REMIC Series 2006-79, Class PF (1M USD LIBOR + 0.400%) |
|
|
|
588,759 |
|
|
|
0.548 |
|
|
08/25/36 |
|
593,453 |
FNMA REMIC Series 2007-33, Class HF (1M USD LIBOR + 0.350%) |
|
|
|
706,368 |
|
|
|
0.498 |
|
|
04/25/37 |
|
709,719 |
FNMA REMIC Series 2007-75, Class VF (1M USD LIBOR + 0.450%) |
|
|
|
205,315 |
|
|
|
0.598 |
|
|
08/25/37 |
|
207,386 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
Regular Floater(b)
(continued) |
FNMA REMIC Series 2009-84, Class WF (1M USD LIBOR + 1.100%) |
$ |
|
|
68,999 |
|
|
|
1.248 |
% |
|
10/25/39 |
|
$ 70,576 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,896,124 |
|
Sequential Fixed Rate 0.5% |
Residential Accredit Loans, Inc. Series 2006-QS2, Class 1A9 |
|
|
|
326,818 |
|
|
|
5.500 |
|
|
02/25/36 |
|
308,373 |
Residential Accredit Loans, Inc. Series 2006-QS6, Class 1A13 |
|
|
|
533,185 |
|
|
|
6.000 |
|
|
06/25/36 |
|
507,673 |
Residential Accredit Loans, Inc. Series 2006-QS9, Class 1A11 |
|
|
|
1,002,959 |
|
|
|
6.500 |
|
|
07/25/36 |
|
931,812 |
Residential Asset Securitization Trust Series 2006-A8, Class 1A1 |
|
|
|
856,176 |
|
|
|
6.000 |
|
|
08/25/36 |
|
736,382 |
Residential Funding Mortgage Securities I Series 2007-S9, Class 1A1 |
|
|
|
2,779,805 |
|
|
|
6.000 |
|
|
10/25/37 |
|
2,162,581 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,646,821 |
|
Sequential Floating Rate(b)
7.6% |
Banc of America Funding Trust Series 2006-H, Class 6A1 (1M USD LIBOR +
0.190%) |
|
|
|
8,007,767 |
|
|
|
0.342 |
|
|
10/20/36 |
|
6,991,015 |
Banc of America Funding Trust Series 2007-2, Class 2A1 |
|
|
|
28,086 |
|
|
|
3.597 |
|
|
03/25/37 |
|
28,579 |
Connecticut Avenue Securities Trust Series 2019-R02, Class 1M2(d) (1M USD LIBOR + 2.300%) |
|
|
|
2,554,534 |
|
|
|
2.448 |
|
|
08/25/31 |
|
2,546,316 |
Connecticut Avenue Securities Trust Series 2019-R03, Class 1M2(d) (1M USD LIBOR + 2.150%) |
|
|
|
230,423 |
|
|
|
2.298 |
|
|
09/25/31 |
|
229,642 |
Connecticut Avenue Securities Trust Series 2019-R06, Class 2B1(d) (1M USD LIBOR + 3.750%) |
|
|
|
1,140,000 |
|
|
|
3.898 |
|
|
09/25/39 |
|
1,097,450 |
Connecticut Avenue Securities Trust Series 2019-R07, Class 1B1(d) (1M USD LIBOR + 3.400%) |
|
|
|
570,000 |
|
|
|
3.548 |
|
|
10/25/39 |
|
566,817 |
Countrywide Alternative Loan Trust Series 2005-26CB, Class A1 (1M USD LIBOR +
0.500%) |
|
|
|
397,458 |
|
|
|
0.648 |
|
|
07/25/35 |
|
277,847 |
Countrywide Alternative Loan Trust Series 2005-64CB, Class 1A12 (1M USD LIBOR
+ 0.800%) |
|
|
|
498,723 |
|
|
|
0.948 |
|
|
12/25/35 |
|
409,877 |
Countrywide Alternative Loan Trust Series 2006-0C8, Class 2A2B (1M USD LIBOR +
0.170%) |
|
|
|
210,432 |
|
|
|
0.488 |
|
|
11/25/36 |
|
224,723 |
|
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
Sequential Floating Rate(b)
(continued) |
Countrywide Alternative Loan Trust Series 2007-16CB, Class 4A3 (1M USD LIBOR +
0.500%) |
$ |
|
|
2,611,194 |
|
|
|
0.648 |
% |
|
08/25/37 |
|
$ 1,948,687 |
FHLMC REMIC Series 2020-DNA3, Class
M2(d) (1M USD LIBOR + 3.000%) |
|
|
|
425,000 |
|
|
|
3.148 |
|
|
06/25/50 |
|
427,311 |
FHLMC STACR REMIC Trust Series 2019-DNA3, Class B1(d) (1M USD LIBOR + 3.250%) |
|
|
|
1,335,000 |
|
|
|
3.398 |
|
|
07/25/49 |
|
1,334,196 |
FHLMC STACR Remic Trust Series 2020-DNA1, Class M2(d) (1M USD LIBOR + 1.700%) |
|
|
|
3,712,000 |
|
|
|
1.848 |
|
|
01/25/50 |
|
3,683,950 |
FHLMC STACR REMIC Trust Series 2020-DNA2, Class B1(d) (1M USD LIBOR + 2.500%) |
|
|
|
495,000 |
|
|
|
2.648 |
|
|
02/25/50 |
|
476,670 |
FHLMC STACR REMIC Trust Series 2020-DNA2, Class M2(d) (1M USD LIBOR + 1.850%) |
|
|
|
1,635,000 |
|
|
|
1.998 |
|
|
02/25/50 |
|
1,624,650 |
FHLMC STACR REMIC Trust Series 2020-DNA3, Class B1(d) (1M USD LIBOR + 5.100%) |
|
|
|
1,570,000 |
|
|
|
5.248 |
|
|
06/25/50 |
|
1,624,892 |
FHLMC STACR REMIC Trust Series 2020-DNA4, Class B1(d) (1M USD LIBOR + 6.000%) |
|
|
|
1,016,000 |
|
|
|
6.148 |
|
|
08/25/50 |
|
1,071,789 |
FHLMC STACR REMIC Trust Series 2020-DNA4, Class M2(d) (1M USD LIBOR + 3.750%) |
|
|
|
655,000 |
|
|
|
3.898 |
|
|
08/25/50 |
|
660,828 |
FHLMC STACR REMIC Trust Series 2020-DNA5, Class B1(d) (SOFR30A + 4.800%) |
|
|
|
1,521,000 |
|
|
|
4.882 |
|
|
10/25/50 |
|
1,568,772 |
FHLMC STACR REMIC Trust Series 2020-DNA6, Class B1(d) (SOFR30A + 3.000%) |
|
|
|
460,000 |
|
|
|
3.077 |
|
|
12/25/50 |
|
460,363 |
FHLMC STACR REMIC Trust Series 2020-DNA6, Class B2(d) (SOFR30A + 5.650%) |
|
|
|
650,000 |
|
|
|
5.727 |
|
|
12/25/50 |
|
663,283 |
FHLMC Stacr Remic Trust Series 2020-HQA2, Class B1(d) (1M USD LIBOR + 4.100%) |
|
|
|
3,640,000 |
|
|
|
4.248 |
|
|
03/25/50 |
|
3,662,231 |
FHLMC STACR REMIC Trust Series 2020-HQA4, Class M2(d) (1M USD LIBOR + 3.150%) |
|
|
|
335,000 |
|
|
|
3.298 |
|
|
09/25/50 |
|
338,092 |
FHLMC STACR REMIC Trust Series 2020-HQA5, Class B1(d) (SOFR30A + 4.000%) |
|
|
|
341,000 |
|
|
|
4.082 |
|
|
11/25/50 |
|
350,363 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
Sequential Floating Rate(b)
(continued) |
FHLMC STACR Series 2019-HQA3, Class
B1(d) (1M USD LIBOR + 3.000%) |
$ |
|
|
1,350,000 |
|
|
|
3.148 |
% |
|
09/25/49 |
|
$ 1,336,387 |
FHLMC STACR Trust Series 2019-HQA2, Class B1(d) (1M LIBOR + 4.100%) |
|
|
|
670,000 |
|
|
|
4.248 |
|
|
04/25/49 |
|
673,847 |
FHLMC Structured Agency Credit Risk Debt Notes Series 2015-DNA2, Class M3 (1M USD
LIBOR + 3.900%) |
|
|
|
408,740 |
|
|
|
4.048 |
|
|
12/25/27 |
|
414,768 |
FHLMC Structured Agency Credit Risk Debt Notes Series 2015-DNA3, Class M3 (1M USD
LIBOR + 4.700%) |
|
|
|
1,296,736 |
|
|
|
4.848 |
|
|
04/25/28 |
|
1,349,309 |
FHLMC Structured Agency Credit Risk Debt Notes Series 2016-DNA1, Class M3 (1M USD
LIBOR + 5.550%) |
|
|
|
1,955,547 |
|
|
|
5.700 |
|
|
07/25/28 |
|
2,040,437 |
FHLMC Structured Agency Credit Risk Debt Notes Series 2016-DNA2, Class M3 (1M USD
LIBOR + 4.650%) |
|
|
|
1,763,808 |
|
|
|
4.798 |
|
|
10/25/28 |
|
1,833,526 |
FHLMC Structured Agency Credit Risk Debt Notes Trust Series 2016-DNA3, Class M3 (1M
USD LIBOR + 5.000%) |
|
|
|
279,363 |
|
|
|
5.148 |
|
|
12/25/28 |
|
292,205 |
FNMA Connecticut Avenue Securities Series 2018-C01, Class 1M2 (1M USD LIBOR +
2.250%) |
|
|
|
2,068,112 |
|
|
|
2.398 |
|
|
07/25/30 |
|
2,057,910 |
FNMA Connecticut Avenue Securities Series 2016-C01, Class 1M2 (1M USD LIBOR +
6.750%) |
|
|
|
1,471,774 |
|
|
|
6.898 |
|
|
08/25/28 |
|
1,548,298 |
FNMA Connecticut Avenue Securities Series 2016-C03, Class 1M2 (1M USD LIBOR +
5.300%) |
|
|
|
2,143,434 |
|
|
|
5.448 |
|
|
10/25/28 |
|
2,254,871 |
FNMA Series 2013-C01, Class M2 (1M USD LIBOR + 5.250%) |
|
|
|
220,405 |
|
|
|
5.398 |
|
|
10/25/23 |
|
224,912 |
FNMA Series 2014-C01, Class M2 (1M USD LIBOR + 4.400%) |
|
|
|
1,149,523 |
|
|
|
4.548 |
|
|
01/25/24 |
|
1,156,534 |
FNMA Series 2018-C01, Class 1B1 (1M USD LIBOR + 3.550%) |
|
|
|
2,335,000 |
|
|
|
3.698 |
|
|
07/25/30 |
|
2,345,367 |
Indymac Index Mortgage Loan Trust Series 2005-AR10, Class A1 (1M USD LIBOR +
0.520%) |
|
|
|
2,584,334 |
|
|
|
0.668 |
|
|
06/25/35 |
|
2,272,124 |
Lehman XS Trust Series 2007-5H, Class 3A4 |
|
|
|
3,240,551 |
|
|
|
2.607 |
|
|
05/25/37 |
|
3,094,698 |
London Wall Mortgage Capital PLC Series 2017-FL1, Class A (3M GBP LIBOR +
0.850%) |
GBP |
|
|
4,554,329 |
|
|
|
0.898 |
|
|
11/15/49 |
|
6,221,223 |
|
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
Sequential Floating Rate(b)
(continued) |
Master Adjustable Rate Mortgages Trust Series 2006-OA2, Class 1A1(12M MTA +
0.800%) |
$ |
|
|
1,188,627 |
|
|
|
1.409 |
% |
|
12/25/46 |
|
$ 1,993,242 |
Master Adjustable Rate Mortgages Trust Series 2006-OA2, Class 4A1A(12M MTA +
0.850%) |
|
|
|
343,692 |
|
|
|
1.459 |
|
|
12/25/46 |
|
625,375 |
Master Adjustable Rate Mortgages Trust Series 2007-3, Class 12A1 (1M LIBOR +
0.200%) |
|
|
|
936,652 |
|
|
|
0.348 |
|
|
05/25/47 |
|
1,009,236 |
Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2006-AR4, Class A4A (1M
USD LIBOR + 0.480%) |
|
|
|
1,056,873 |
|
|
|
0.628 |
|
|
12/25/36 |
|
976,412 |
Residential Accredit Loans, Inc. Series 2005-QO5, Class A1(12M MTA +
1.000%) |
|
|
|
2,485,417 |
|
|
|
1.609 |
|
|
01/25/46 |
|
2,367,135 |
Residential Accredit Loans, Inc. Series 2006-QO1, Class 3A1 (1M USD LIBOR +
0.540%) |
|
|
|
1,586,865 |
|
|
|
0.688 |
|
|
02/25/46 |
|
1,055,071 |
Residential Accredit Loans, Inc. Series 2006-QO7, Class 1A1(12M MTA +
0.800%) |
|
|
|
2,943,725 |
|
|
|
1.409 |
|
|
09/25/46 |
|
2,710,256 |
Residential Accredit Loans, Inc. Series 2006-QO7, Class 3A2 (1M USD LIBOR +
0.205%) |
|
|
|
117,239 |
|
|
|
0.353 |
|
|
09/25/46 |
|
114,840 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
72,236,326 |
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
$ 131,830,571 |
|
Commercial Mortgage-Backed Securities 2.4% |
Sequential Fixed Rate 1.8% |
Banc of America Commercial Mortgage Trust Series 2016-UBS10, Class D(d) |
|
|
|
1,100,000 |
|
|
|
3.000 |
|
|
07/15/49 |
|
871,188 |
BANK 2018-BNK10 Series 2018-BN10, Class D(d) |
|
|
|
500,000 |
|
|
|
2.600 |
|
|
02/15/61 |
|
394,915 |
Bank Series 2018-BK15, Class
D(d) |
|
|
|
780,000 |
|
|
|
3.000 |
|
|
11/15/61 |
|
616,222 |
Bank Series 2018-BN13, Class
D(d) |
|
|
|
750,000 |
|
|
|
3.000 |
|
|
08/15/61 |
|
607,839 |
BANK Series 2018-BNK14, Class
D(d) |
|
|
|
500,000 |
|
|
|
3.000 |
|
|
09/15/60 |
|
426,570 |
Benchmark Mortgage Trust Series 2019-B13, Class D(d) |
|
|
|
750,000 |
|
|
|
2.500 |
|
|
08/15/57 |
|
686,858 |
Cantor Commercial Real Estate Lending Series 2019-CF2, Class E(d) |
|
|
|
1,200,000 |
|
|
|
2.500 |
|
|
11/15/52 |
|
882,263 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
Sequential Fixed Rate (continued) |
Citigroup Commercial Mortgage Trust Series 2017-P8, Class D(d) |
$ |
|
|
1,000,000 |
|
|
|
3.000 |
% |
|
09/15/50 |
|
$ 810,671 |
Citigroup Commercial Mortgage Trust Series 2020-GC46, Class D(d) |
|
|
|
1,500,000 |
|
|
|
2.600 |
|
|
02/15/53 |
|
1,273,082 |
COMM 2017-COR2 Mortgage Trust Series 2017-COR2, Class D(d) |
|
|
|
800,000 |
|
|
|
3.000 |
|
|
09/10/50 |
|
714,159 |
COMM 2017-COR2 Mortgage Trust Series 2019-GC44, Class D(d) |
|
|
|
300,000 |
|
|
|
2.500 |
|
|
08/15/57 |
|
265,506 |
CSAIL 2020-C19 Commercial Mortgage Trust Series 2020-C19, Class E(d) |
|
|
|
878,000 |
|
|
|
2.500 |
|
|
03/15/53 |
|
688,615 |
CSMC Trust Series 2014-USA, Class
E(d) |
|
|
|
3,550,000 |
|
|
|
4.373 |
|
|
09/15/37 |
|
2,595,565 |
GS Mortgage Securities Trust Series 2019-GC42, Class D(d) |
|
|
|
250,000 |
|
|
|
2.800 |
|
|
09/01/52 |
|
232,090 |
JPMBD Commercial Mortgage Series 2017-C7, Class D(d) |
|
|
|
660,000 |
|
|
|
3.000 |
|
|
10/15/50 |
|
519,643 |
Morgan Stanley Capital I Trust Series 2018-L1, Class D(d) |
|
|
|
900,000 |
|
|
|
3.000 |
|
|
10/15/51 |
|
780,938 |
Wells Fargo Commercial Mortgage Trust Series 2017-RB1, Class D(d) |
|
|
|
500,000 |
|
|
|
3.401 |
|
|
03/15/50 |
|
469,185 |
Wells Fargo Commercial Mortgage Trust Series 2017-RC1, Class D(d) |
|
|
|
756,000 |
|
|
|
3.250 |
|
|
01/15/60 |
|
570,141 |
Wells Fargo Commercial Mortgage Trust Series 2020-C55, Class D(d) |
|
|
|
800,000 |
|
|
|
2.500 |
|
|
02/15/53 |
|
649,227 |
WF-RBS Commercial Mortgage Trust Series 2012-C6, Class B |
|
|
|
2,500,000 |
|
|
|
4.697 |
|
|
04/15/45 |
|
2,567,338 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,622,015 |
|
Sequential Floating Rate(b)
0.6% |
Barclays Commercial Mortgage Trust Series 2017-C1 Class D(d) |
|
|
|
550,000 |
|
|
|
3.507 |
|
|
02/15/50 |
|
491,920 |
Citigroup Commercial Mortgage Trust Series 2016-GC36, Class C |
|
|
|
400,000 |
|
|
|
4.755 |
|
|
02/10/49 |
|
389,582 |
CSAIL 2018-C14 Commercial Mortgage Trust Series 2018-C14, Class D(d) |
|
|
|
650,000 |
|
|
|
4.891 |
|
|
11/15/51 |
|
582,732 |
DBJPM 16-C1 Mortgage Trust Series 2016-C1, Class D(d) |
|
|
|
1,000,000 |
|
|
|
3.346 |
|
|
05/10/49 |
|
666,811 |
DBJPM 17-C6 Mortgage Trust Series 2017-C6, Class D(d) |
|
|
|
1,100,000 |
|
|
|
3.234 |
|
|
06/10/50 |
|
966,642 |
|
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
Sequential Floating Rate(b)
(continued) |
GNMA REMIC Series 2018-67, Class
PS(e) (-1x 1M USD LIBOR + 6.200%) |
$ |
|
|
4,489,255 |
|
|
|
6.048 |
% |
|
05/20/48 |
|
$ 712,282 |
GNMA REMIC Series 2019-1, Class
SN(e) (-1x 1M USD LIBOR + 6.050%) |
|
|
|
3,077,683 |
|
|
|
5.898 |
|
|
01/20/49 |
|
454,217 |
GNMA REMIC Series 2019-4, Class
SJ(e) (-1x 1M USD LIBOR + 6.050%) |
|
|
|
5,031,476 |
|
|
|
5.898 |
|
|
01/20/49 |
|
794,016 |
GNMA REMIC Series 2019-6, Class
SA(e) (-1x 1M USD LIBOR + 6.050%) |
|
|
|
962,861 |
|
|
|
5.898 |
|
|
01/20/49 |
|
150,185 |
GNMA REMIC Series 2019-69, Class
S(e) (-1x 1M USD LIBOR + 3.270%) |
|
|
|
2,596,570 |
|
|
|
3.118 |
|
|
06/20/49 |
|
199,528 |
GNMA REMIC Series 2019-78, Class
SE(e) (-1x 1M USD LIBOR + 6.100%) |
|
|
|
1,996,032 |
|
|
|
5.948 |
|
|
06/20/49 |
|
300,784 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,708,699 |
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
|
$ 22,330,714 |
|
Federal Agencies 43.8% |
FHLMC 0.1% |
$ |
|
|
13,943 |
|
|
|
5.000 |
% |
|
01/01/33 |
|
$ 15,903 |
|
|
|
351 |
|
|
|
5.000 |
|
|
03/01/33 |
|
401 |
|
|
|
7,523 |
|
|
|
5.000 |
|
|
04/01/33 |
|
8,589 |
|
|
|
768 |
|
|
|
5.000 |
|
|
05/01/33 |
|
877 |
|
|
|
2,590 |
|
|
|
5.000 |
|
|
06/01/33 |
|
2,957 |
|
|
|
19,871 |
|
|
|
5.000 |
|
|
07/01/33 |
|
22,689 |
|
|
|
30,044 |
|
|
|
5.000 |
|
|
08/01/33 |
|
34,298 |
|
|
|
3,343 |
|
|
|
5.000 |
|
|
09/01/33 |
|
3,810 |
|
|
|
6,270 |
|
|
|
5.000 |
|
|
10/01/33 |
|
7,160 |
|
|
|
14,075 |
|
|
|
5.000 |
|
|
11/01/33 |
|
16,069 |
|
|
|
6,973 |
|
|
|
5.000 |
|
|
12/01/33 |
|
7,961 |
|
|
|
5,965 |
|
|
|
5.000 |
|
|
01/01/34 |
|
6,811 |
|
|
|
20,069 |
|
|
|
5.000 |
|
|
02/01/34 |
|
22,924 |
|
|
|
9,149 |
|
|
|
5.000 |
|
|
03/01/34 |
|
10,465 |
|
|
|
18,171 |
|
|
|
5.000 |
|
|
04/01/34 |
|
20,795 |
|
|
|
22,206 |
|
|
|
5.000 |
|
|
05/01/34 |
|
25,358 |
|
|
|
319,944 |
|
|
|
5.000 |
|
|
06/01/34 |
|
365,397 |
|
|
|
6,337 |
|
|
|
5.000 |
|
|
11/01/34 |
|
7,252 |
|
|
|
81,855 |
|
|
|
5.000 |
|
|
04/01/35 |
|
93,460 |
|
|
|
2,587 |
|
|
|
5.000 |
|
|
11/01/35 |
|
2,953 |
|
|
|
|
|
|
|
|
|
|
|
|
676,129 |
GNMA 35.2% |
|
|
|
11,827,938 |
|
|
|
5.000 |
|
|
12/20/48 |
|
12,944,405 |
|
|
|
11,824,619 |
|
|
|
4.500 |
|
|
01/20/49 |
|
12,762,251 |
|
|
|
126,000,000 |
|
|
|
2.000 |
|
|
TBA-30yr(i) |
|
131,759,023 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Mortgage-Backed Obligations (continued) |
GNMA (continued) |
$ |
|
|
120,000,000 |
|
|
|
2.500 |
% |
|
TBA-30yr(i) |
|
$ 126,960,828 |
|
|
|
48,000,000 |
|
|
|
4.500 |
|
|
TBA-30yr(i) |
|
51,510,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
335,936,507 |
|
UMBS 2.6% |
|
|
|
2,124 |
|
|
|
5.000 |
|
|
09/01/22 |
|
2,343 |
|
|
|
1,092 |
|
|
|
5.000 |
|
|
04/01/23 |
|
1,204 |
|
|
|
5,231 |
|
|
|
5.500 |
|
|
05/01/25 |
|
5,307 |
|
|
|
29,869 |
|
|
|
4.500 |
|
|
08/01/37 |
|
33,461 |
|
|
|
6,519 |
|
|
|
4.500 |
|
|
04/01/39 |
|
7,316 |
|
|
|
10,013 |
|
|
|
4.000 |
|
|
08/01/39 |
|
11,039 |
|
|
|
5,133 |
|
|
|
4.000 |
|
|
09/01/39 |
|
5,659 |
|
|
|
34,571 |
|
|
|
4.500 |
|
|
10/01/39 |
|
38,812 |
|
|
|
4,132 |
|
|
|
4.500 |
|
|
05/01/41 |
|
4,633 |
|
|
|
16,990 |
|
|
|
4.500 |
|
|
06/01/41 |
|
18,989 |
|
|
|
17,832 |
|
|
|
4.500 |
|
|
08/01/41 |
|
19,959 |
|
|
|
5,629 |
|
|
|
4.500 |
|
|
10/01/41 |
|
6,316 |
|
|
|
2,906 |
|
|
|
4.500 |
|
|
11/01/42 |
|
3,239 |
|
|
|
27,934 |
|
|
|
4.500 |
|
|
12/01/43 |
|
31,431 |
|
|
|
58,145 |
|
|
|
5.000 |
|
|
07/01/48 |
|
64,392 |
|
|
|
473,289 |
|
|
|
5.000 |
|
|
08/01/48 |
|
524,578 |
|
|
|
1,816,312 |
|
|
|
5.000 |
|
|
10/01/48 |
|
2,010,874 |
|
|
|
5,267,663 |
|
|
|
5.000 |
|
|
04/01/49 |
|
5,823,699 |
|
|
|
11,405,823 |
|
|
|
5.000 |
|
|
05/01/49 |
|
12,607,744 |
|
|
|
1,705,959 |
|
|
|
5.000 |
|
|
06/01/49 |
|
1,887,101 |
|
|
|
952,519 |
|
|
|
5.000 |
|
|
10/01/49 |
|
1,055,165 |
|
|
|
732,064 |
|
|
|
5.000 |
|
|
04/01/50 |
|
810,025 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,973,286 |
|
UMBS, 30 Year, Single Family(i)
5.9% |
|
|
|
30,000,000 |
|
|
|
4.500 |
|
|
TBA-30yr |
|
32,512,500 |
|
|
|
21,000,000 |
|
|
|
5.000 |
|
|
TBA-30yr |
|
23,237,813 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
55,750,313 |
|
TOTAL FEDERAL AGENCIES |
|
$ 417,336,235 |
|
TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $559,872,341) |
|
$ 571,497,520 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities(b) 12.6% |
Collateralized Loan Obligations(d)
10.1% |
ACIS CLO Ltd. Series 2014-4A, Class A (3M USD LIBOR + 1.420%) |
$ |
|
|
3,257,737 |
|
|
|
1.634 |
% |
|
05/01/26 |
|
$ 3,257,838 |
Apidos CLO XXIII Series 2015-23A, Class AR (3M USD LIBOR +
1.220%) |
|
|
|
4,800,000 |
|
|
|
1.457 |
|
|
04/15/33 |
|
4,799,995 |
Barings CLO Ltd. IV Series 2020-4A, Class D1 (-1x 3M USD LIBOR +
3.700%) |
|
|
|
1,000,000 |
|
|
|
3.900 |
|
|
01/20/32 |
|
1,000,520 |
Crown City CLO I Series 2020-1A, Class A2 (3M USD LIBOR +
2.550%) |
|
|
|
2,750,000 |
|
|
|
2.857 |
|
|
07/20/30 |
|
2,757,403 |
|
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Asset-Backed Securities(b) (continued) |
Collateralized Loan Obligations(d)
(continued) |
Crown City CLO I Series 2020-1A, Class B (3M USD LIBOR + 3.030%) |
$ |
|
|
1,800,000 |
|
|
|
3.337 |
% |
|
07/20/30 |
|
$ 1,800,241 |
Elmwood CLO IV Ltd. Series 2020-1A, Class A (3M USD LIBOR +
1.240%) |
|
|
|
9,000,000 |
|
|
|
1.477 |
|
|
04/15/33 |
|
9,010,449 |
Greywolf CLO III Ltd. Series 2020-3RA, Class BR (3M USD LIBOR +
2.450%) |
|
|
|
6,000,000 |
|
|
|
2.666 |
|
|
04/15/33 |
|
5,891,388 |
Halsey Point CLO I Ltd. Series 2019-1A, Class A1A1 (3M USD LIBOR +
1.350%) |
|
|
|
25,900,000 |
|
|
|
1.568 |
|
|
01/20/33 |
|
25,935,613 |
Halseypoint CLO 2 Ltd. Series 2020-2A, Class A1 (3M USD LIBOR +
1.860%) |
|
|
|
5,800,000 |
|
|
|
2.078 |
|
|
07/20/31 |
|
5,818,009 |
Halseypoint CLO 2 Ltd. Series 2020-2A, Class B (3M USD LIBOR +
2.950%) |
|
|
|
5,400,000 |
|
|
|
3.168 |
|
|
07/20/31 |
|
5,451,748 |
Halseypoint CLO 2 Ltd. Series 2020-2A, Class C (3M USD LIBOR +
3.530%) |
|
|
|
2,800,000 |
|
|
|
3.748 |
|
|
07/20/31 |
|
2,820,222 |
Marble Point CLO XIX Ltd. Series 2020-3A, Class D (-1x 3M USD LIBOR +
3.900%) |
|
|
|
1,000,000 |
|
|
|
3.990 |
|
|
01/19/34 |
|
993,504 |
Mill City Mortgage Loan Trust Series 2017-2, Class A3 |
|
|
|
1,063,380 |
|
|
|
2.928 |
|
|
07/25/59 |
|
1,108,159 |
OCP CLO Ltd. Series 2014-5A, Class A2R (3M USD LIBOR + 1.400%) |
|
|
|
2,950,000 |
|
|
|
1.615 |
|
|
04/26/31 |
|
2,914,411 |
OCP CLO Ltd. Series 2014-5A, Class BR (3M USD LIBOR + 1.800%) |
|
|
|
2,200,000 |
|
|
|
2.015 |
|
|
04/26/31 |
|
2,147,512 |
OCP CLO Ltd. Series 2015-8A, Class A2AR (3M USD LIBOR + 1.450%) |
|
|
|
850,000 |
|
|
|
1.668 |
|
|
04/17/27 |
|
849,847 |
Orec Ltd. Series 2018-CRE1, Class A (1M USD LIBOR + 1.180%) |
|
|
|
3,947,000 |
|
|
|
1.339 |
|
|
06/15/36 |
|
3,882,609 |
OZLM XV Ltd. Series 2016-15A, Class A2AR (3M USD LIBOR + 1.750%) |
|
|
|
1,500,000 |
|
|
|
1.968 |
|
|
04/20/33 |
|
1,493,507 |
TICP CLO VII Ltd. Series 2017-7A, Class BR (3M USD LIBOR +
1.700%) |
|
|
|
2,300,000 |
|
|
|
1.937 |
|
|
04/15/33 |
|
2,300,879 |
Venture CDO Ltd. Series 2020-39A, Class A1 (3M USD LIBOR +
1.280%) |
|
|
|
6,200,000 |
|
|
|
1.517 |
|
|
04/15/33 |
|
6,204,786 |
Voya CLO Ltd. Series 2019-1A, Class AR (3M USD LIBOR + 1.060%) |
|
|
|
3,900,000 |
|
|
|
1.297 |
|
|
04/15/31 |
|
3,875,613 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Asset-Backed Securities(b) (continued) |
Collateralized Loan Obligations(d)
(continued) |
Zais CLO Ltd. Series 2020-15A, Class A1 (3M USD LIBOR + 2.555%) |
$ |
|
|
2,225,000 |
|
|
|
2.777 |
% |
|
07/28/30 |
|
$ 2,239,552 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
96,553,805 |
|
Home Equity 0.3% |
Lehman XS Trust Series 2007-3, Class 1BA2 (6M USD LIBOR +
0.500%) |
|
|
|
142,260 |
|
|
|
0.757 |
|
|
03/25/37 |
|
136,817 |
Morgan Stanley Mortgage Loan Trust Series 2006-16AX, Class 1A (1M USD LIBOR +
0.170%) |
|
|
|
769,376 |
|
|
|
0.318 |
|
|
11/25/36 |
|
224,442 |
Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-EQ1, Class A1 (1M
USD LIBOR + 0.215%) |
|
|
|
3,181,583 |
|
|
|
0.363 |
|
|
03/25/37 |
|
2,574,240 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,935,499 |
|
Student Loan 2.2% |
SLM Student Loan Trust Series 2008-2, Class A3 (3M USD LIBOR +
0.750%) |
|
|
|
10,062,161 |
|
|
|
0.965 |
|
|
04/25/23 |
|
9,763,746 |
SLM Student Loan Trust Series 2008-3, Class A3 (3M USD LIBOR +
1.000%) |
|
|
|
10,849,063 |
|
|
|
1.215 |
|
|
10/25/21 |
|
10,625,992 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,389,738 |
|
TOTAL ASSET-BACKED SECURITIES (Cost $119,564,485) |
|
$ 119,879,042 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Debt Obligations 2.8% |
Sovereign 2.8% |
Dominican Republic |
DOP |
|
|
30,000,000 |
|
|
|
18.500 |
% |
|
02/04/28 |
|
$ 769,957 |
$ |
|
|
700,000 |
|
|
|
4.500 |
(d) |
|
01/30/30 |
|
757,531 |
|
|
|
2,110,000 |
|
|
|
5.875 |
(d) |
|
01/30/60 |
|
2,313,088 |
Qatar Government International
Bond(d) |
|
|
|
470,000 |
|
|
|
3.750 |
|
|
04/16/30 |
|
551,809 |
Republic of
Egypt(d) |
|
|
|
2,790,000 |
|
|
|
4.550 |
|
|
11/20/23 |
|
2,888,522 |
Republic of Indonesia |
|
|
|
5,310,000 |
|
|
|
4.450 |
|
|
02/11/24 |
|
5,880,825 |
Republic of
Peru(e) |
|
|
|
1,090,000 |
|
|
|
2.780 |
|
|
12/01/60 |
|
1,097,085 |
|
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
Foreign Debt Obligations (continued) |
Sovereign (continued) |
$ |
|
|
470,000 |
|
|
|
3.230 |
%(j) |
|
07/28/21 |
|
$ 469,765 |
Republic of
Qatar(d) |
|
|
|
480,000 |
|
|
|
4.400 |
|
|
04/16/50 |
|
624,000 |
Republic of Romania |
EUR |
|
|
1,620,000 |
|
|
|
3.624 |
(d) |
|
05/26/30 |
|
2,357,571 |
$ |
|
|
480,000 |
|
|
|
3.000 |
(d) |
|
02/14/31 |
|
513,750 |
EUR |
|
|
230,000 |
|
|
|
2.000 |
(d) |
|
01/28/32 |
|
294,238 |
|
|
|
200,000 |
|
|
|
3.375 |
(d) |
|
01/28/50 |
|
280,369 |
|
|
|
120,000 |
|
|
|
3.375 |
|
|
01/28/50 |
|
168,221 |
$ |
|
|
1,660,000 |
|
|
|
4.000 |
(d) |
|
02/14/51 |
|
1,805,250 |
Republic of Turkey |
|
|
|
390,000 |
|
|
|
5.250 |
|
|
03/13/30 |
|
391,341 |
Ukraine Government
Bond(d) |
EUR |
|
|
1,550,000 |
|
|
|
4.375 |
|
|
01/27/30 |
|
1,806,572 |
$ |
|
|
380,000 |
|
|
|
7.253 |
|
|
03/15/33 |
|
414,200 |
United Mexican
States(e) |
|
|
|
1,520,000 |
|
|
|
2.659 |
|
|
05/24/31 |
|
1,563,320 |
|
|
|
1,640,000 |
|
|
|
3.771 |
|
|
05/24/61 |
|
1,705,190 |
|
TOTAL FOREIGN DEBT OBLIGATIONS (Cost $24,321,637) |
|
$ 26,652,604 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal Debt Obligations 1.0% |
Illinois 1.0% |
Illinois State GO Bonds Build America Series 2010(e) |
$ |
|
|
4,470,000 |
|
|
|
7.350 |
% |
|
07/01/35 |
|
$ 5,329,402 |
Illinois State GO Bonds Taxable-Pension Series 2003 |
|
|
|
4,280,000 |
|
|
|
5.100 |
|
|
06/01/33 |
|
4,606,179 |
|
TOTAL MUNICIPAL DEBT OBLIGATIONS (Cost $9,154,612) |
|
$ 9,935,581 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Obligations 0.2% |
United States Treasury Bond |
$ |
|
|
10,000 |
|
|
|
2.750 |
% |
|
11/15/47 |
|
$ 12,545 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount |
|
|
Interest
Rate |
|
|
Maturity
Date |
|
Value |
|
U.S. Treasury Obligations (continued) |
United States Treasury Note |
$ |
|
|
1,270,000 |
|
|
|
2.750 |
% |
|
02/28/25 |
|
$ 1,399,878 |
|
TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,275,376) |
|
$ 1,412,423 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Units |
|
|
Expiration
Date |
|
Value |
|
Warrant(g) 0.0% |
True Religion Warrant |
2,355 |
|
|
|
10/27/22
|
|
$ |
True Religion Warrant 2 |
8,897 |
|
|
|
10/27/22
|
|
|
|
TOTAL WARRANT (Cost $) |
|
$ |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
Description |
|
Value |
|
Exchange Traded Fund(k) 2.3% |
|
|
|
439,970 |
|
|
|
Goldman Sachs Access High Yield Corporate Bond ETF (Cost $21,288,603) |
|
22,156,889 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
Dividend Rate |
|
Value |
|
Investment Company(k) 1.4% |
Goldman Sachs Financial Square Government Fund - Institutional Shares |
|
|
|
13,230,008 |
|
|
|
|
|
|
0.026% |
|
$ 13,230,008 |
(Cost $13,230,008) |
|
|
|
|
|
|
TOTAL INVESTMENTS 131.5% (Cost $1,252,925,950) |
|
$1,253,432,182 |
|
LIABILITIES IN EXCESS OF
OTHER ASSETS (31.5)% |
|
(300,182,854) |
|
NET ASSETS 100.0% |
|
$ 953,249,328 |
|
|
|
|
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. As bank loan positions may involve multiple underlying tranches for which the aggregate position is presented, the stated interest rate
represents the weighted average interest rate of all contracts on December 31, 2020. 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 December 31,
2020. |
|
|
(c) |
|
This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
|
|
|
|
|
(d) |
|
Exempt from registration under Rule 144A of the Securities Act of 1933. |
|
|
(e) |
|
Security with Call features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
|
|
(f) |
|
Pay-in-kind securities. |
|
|
(g) |
|
Security is currently in default and/or non-income producing. |
|
|
(h) |
|
Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. |
|
|
(i) |
|
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 $365,980,164 which represents approximately 38.4% of the Funds net assets as of December 31, 2020. |
|
|
(j) |
|
Actual maturity date is July 28, 2121. |
|
|
(k) |
|
Represents an affiliated issuer. |
|
|
|
|
Currency Abbreviations: |
AUD |
|
Australian Dollar |
BRL |
|
Brazilian Real |
CAD |
|
Canadian Dollar |
CHF |
|
Swiss Franc |
CNH |
|
Chinese Yuan Renminbi Offshore |
CNY |
|
Chinese Yuan Renminbi |
COP |
|
Colombian Peso |
DOP |
|
Dominican Peso |
EUR |
|
Euro |
GBP |
|
British Pound |
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 |
PHP |
|
Philippine Peso |
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 |
CDO |
|
Collateralized Debt Obligation |
CDOR |
|
Canadian Dollar Offered Rate |
CHFOR |
|
Swiss Franc Offered Rate |
CLO |
|
Collateralized Loan Obligation |
CMT |
|
Constant Maturity Treasury Indexes |
ETF |
|
Exchange Traded Fund |
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 |
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 |
REIT |
|
Real Estate Investment Trust |
REMIC |
|
Real Estate Mortgage Investment Conduit |
SOFR |
|
Secured Overnight Funding Rate |
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)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
UNFUNDED LOAN COMMITMENTS At December 31, 2020, 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) |
|
|
|
Intelsat Jackson Holdings SA, due 07/13/2022 |
|
$ |
137,791 |
|
|
$ |
140,341 |
|
|
$ |
2,550 |
|
|
|
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS At December 31, 2020, the Fund had the following forward foreign
currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Currency Purchased |
|
|
Currency Sold |
|
|
Settlement Date |
|
|
Unrealized Gain |
|
|
|
MS & Co. Int. PLC |
|
AUD |
|
|
1,292,527 |
|
|
EUR |
|
|
799,519 |
|
|
|
03/17/21 |
|
|
$ |
18,653 |
|
|
|
AUD |
|
|
7,979,000 |
|
|
NZD |
|
|
8,422,736 |
|
|
|
03/17/21 |
|
|
|
93,206 |
|
|
|
AUD |
|
|
4,981,522 |
|
|
USD |
|
|
3,748,206 |
|
|
|
03/17/21 |
|
|
|
94,742 |
|
|
|
BRL |
|
|
8,656,413 |
|
|
USD |
|
|
1,636,567 |
|
|
|
01/05/21 |
|
|
|
30,192 |
|
|
|
BRL |
|
|
4,982,019 |
|
|
USD |
|
|
957,554 |
|
|
|
02/02/21 |
|
|
|
1,169 |
|
|
|
CAD |
|
|
13,671,468 |
|
|
USD |
|
|
10,700,932 |
|
|
|
03/17/21 |
|
|
|
41,765 |
|
|
|
CHF |
|
|
1,699,535 |
|
|
USD |
|
|
1,923,448 |
|
|
|
03/17/21 |
|
|
|
681 |
|
|
|
CNH |
|
|
32,074,449 |
|
|
USD |
|
|
4,890,006 |
|
|
|
03/17/21 |
|
|
|
16,987 |
|
|
|
COP |
|
|
19,679,793,521 |
|
|
USD |
|
|
5,431,846 |
|
|
|
01/29/21 |
|
|
|
330,370 |
|
|
|
EUR |
|
|
749,675 |
|
|
JPY |
|
|
94,435,792 |
|
|
|
03/17/21 |
|
|
|
2,043 |
|
|
|
EUR |
|
|
2,332,270 |
|
|
PLN |
|
|
10,534,087 |
|
|
|
03/17/21 |
|
|
|
33,415 |
|
|
|
EUR |
|
|
9,436,602 |
|
|
USD |
|
|
11,303,597 |
|
|
|
01/21/21 |
|
|
|
230,777 |
|
|
|
EUR |
|
|
58,790,883 |
|
|
USD |
|
|
71,376,368 |
|
|
|
03/17/21 |
|
|
|
572,086 |
|
|
|
GBP |
|
|
703,862 |
|
|
EUR |
|
|
777,495 |
|
|
|
03/17/21 |
|
|
|
11,497 |
|
|
|
GBP |
|
|
3,613,774 |
|
|
USD |
|
|
4,720,715 |
|
|
|
01/13/21 |
|
|
|
221,729 |
|
|
|
GBP |
|
|
3,597,416 |
|
|
USD |
|
|
4,802,993 |
|
|
|
03/17/21 |
|
|
|
118,857 |
|
|
|
IDR |
|
|
85,219,736,385 |
|
|
USD |
|
|
6,000,474 |
|
|
|
01/06/21 |
|
|
|
113,288 |
|
|
|
IDR |
|
|
32,658,371,512 |
|
|
USD |
|
|
2,299,076 |
|
|
|
03/05/21 |
|
|
|
37,114 |
|
|
|
ILS |
|
|
5,101,014 |
|
|
USD |
|
|
1,568,262 |
|
|
|
03/17/21 |
|
|
|
21,305 |
|
|
|
INR |
|
|
1,122,427,074 |
|
|
USD |
|
|
15,101,278 |
|
|
|
01/27/21 |
|
|
|
224,925 |
|
|
|
JPY |
|
|
4,911,334,128 |
|
|
USD |
|
|
47,231,949 |
|
|
|
03/17/21 |
|
|
|
375,987 |
|
|
|
KRW |
|
|
15,889,358,641 |
|
|
USD |
|
|
14,169,392 |
|
|
|
01/08/21 |
|
|
|
435,751 |
|
|
|
KRW |
|
|
9,900,036,770 |
|
|
USD |
|
|
8,715,281 |
|
|
|
01/15/21 |
|
|
|
384,661 |
|
|
|
KRW |
|
|
9,900,036,770 |
|
|
USD |
|
|
8,880,072 |
|
|
|
02/19/21 |
|
|
|
219,185 |
|
|
|
MXN |
|
|
47,760,506 |
|
|
USD |
|
|
2,344,406 |
|
|
|
03/17/21 |
|
|
|
34,723 |
|
|
|
NOK |
|
|
3,300,478 |
|
|
EUR |
|
|
312,923 |
|
|
|
03/17/21 |
|
|
|
1,865 |
|
|
|
NOK |
|
|
139,521,440 |
|
|
USD |
|
|
15,843,553 |
|
|
|
03/17/21 |
|
|
|
424,051 |
|
|
|
NZD |
|
|
13,016,722 |
|
|
USD |
|
|
9,156,613 |
|
|
|
03/17/21 |
|
|
|
211,947 |
|
|
|
PHP |
|
|
47,217,787 |
|
|
USD |
|
|
978,972 |
|
|
|
01/15/21 |
|
|
|
3,353 |
|
|
|
PHP |
|
|
91,001,752 |
|
|
USD |
|
|
1,890,740 |
|
|
|
02/08/21 |
|
|
|
507 |
|
|
|
RUB |
|
|
31,006,618 |
|
|
USD |
|
|
403,288 |
|
|
|
01/25/21 |
|
|
|
14,524 |
|
|
|
RUB |
|
|
186,890,347 |
|
|
USD |
|
|
2,412,958 |
|
|
|
02/08/21 |
|
|
|
101,319 |
|
|
|
SEK |
|
|
15,899,036 |
|
|
EUR |
|
|
1,569,910 |
|
|
|
03/17/21 |
|
|
|
12,777 |
|
|
|
SEK |
|
|
8,081,476 |
|
|
USD |
|
|
977,310 |
|
|
|
03/17/21 |
|
|
|
5,761 |
|
|
|
SGD |
|
|
4,294,971 |
|
|
USD |
|
|
3,216,436 |
|
|
|
03/17/21 |
|
|
|
33,663 |
|
|
|
THB |
|
|
242,874,923 |
|
|
USD |
|
|
8,060,779 |
|
|
|
03/17/21 |
|
|
|
46,876 |
|
|
|
TRY |
|
|
9,156,275 |
|
|
USD |
|
|
1,088,183 |
|
|
|
01/11/21 |
|
|
|
139,434 |
|
|
|
TRY |
|
|
17,826,804 |
|
|
USD |
|
|
2,195,998 |
|
|
|
01/19/21 |
|
|
|
186,959 |
|
|
|
TRY |
|
|
6,797,663 |
|
|
USD |
|
|
854,362 |
|
|
|
01/25/21 |
|
|
|
52,266 |
|
|
|
TRY |
|
|
42,896,793 |
|
|
USD |
|
|
5,281,455 |
|
|
|
03/17/21 |
|
|
|
316,938 |
|
|
|
TWD |
|
|
56,595,676 |
|
|
USD |
|
|
2,000,200 |
|
|
|
01/04/21 |
|
|
|
14,863 |
|
|
|
TWD |
|
|
150,827,585 |
|
|
USD |
|
|
5,366,161 |
|
|
|
02/05/21 |
|
|
|
32,042 |
|
|
|
TWD |
|
|
28,510,940 |
|
|
USD |
|
|
1,008,808 |
|
|
|
02/17/21 |
|
|
|
13,781 |
|
|
|
TWD |
|
|
26,617,446 |
|
|
USD |
|
|
957,118 |
|
|
|
03/05/21 |
|
|
|
680 |
|
|
|
USD |
|
|
7,350,806 |
|
|
CAD |
|
|
9,332,437 |
|
|
|
03/11/21 |
|
|
|
17,715 |
|
|
|
USD |
|
|
956,831 |
|
|
CNH |
|
|
6,254,038 |
|
|
|
03/17/21 |
|
|
|
41 |
|
|
|
USD |
|
|
910,561 |
|
|
JPY |
|
|
93,868,861 |
|
|
|
03/17/21 |
|
|
|
645 |
|
|
|
USD |
|
|
3,546,488 |
|
|
KRW |
|
|
3,848,210,091 |
|
|
|
01/08/21 |
|
|
|
9,300 |
|
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Currency Purchased |
|
|
Currency Sold |
|
|
Settlement Date |
|
|
Unrealized Gain |
|
|
|
MS & Co. Int. PLC (continued) |
|
USD |
|
|
169,171 |
|
|
|
KRW |
|
|
|
183,900,654 |
|
|
|
02/19/21 |
|
|
$ |
145 |
|
|
|
USD |
|
|
2,896,361 |
|
|
|
MXN |
|
|
|
58,012,083 |
|
|
|
03/04/21 |
|
|
|
2,132 |
|
|
|
USD |
|
|
786,066 |
|
|
|
MXN |
|
|
|
15,697,690 |
|
|
|
03/17/21 |
|
|
|
4,104 |
|
|
|
USD |
|
|
5,993,048 |
|
|
|
PLN |
|
|
|
21,738,000 |
|
|
|
03/10/21 |
|
|
|
172,193 |
|
|
|
USD |
|
|
1,568,132 |
|
|
|
THB |
|
|
|
46,734,835 |
|
|
|
03/17/21 |
|
|
|
8,029 |
|
|
|
USD |
|
|
4,912,128 |
|
|
|
TWD |
|
|
|
136,936,573 |
|
|
|
02/05/21 |
|
|
|
11,093 |
|
|
|
USD |
|
|
387,615 |
|
|
|
ZAR |
|
|
|
5,723,676 |
|
|
|
03/17/21 |
|
|
|
1,946 |
|
|
|
ZAR |
|
|
29,090,010 |
|
|
|
USD |
|
|
|
1,877,189 |
|
|
|
03/03/21 |
|
|
|
86,566 |
|
|
|
ZAR |
|
|
33,796,765 |
|
|
|
USD |
|
|
|
2,240,867 |
|
|
|
03/17/21 |
|
|
|
36,402 |
|
|
|
TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
5,629,025 |
|
|
|
|
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH
UNREALIZED LOSS |
|
Counterparty |
|
Currency Purchased |
|
|
Currency Sold |
|
|
Settlement Date |
|
|
Unrealized Loss |
|
|
|
MS & Co. Int. PLC |
|
CAD |
|
|
8,510,257 |
|
|
|
USD |
|
|
|
6,703,207 |
|
|
|
03/11/21 |
|
|
$ |
(16,154 |
) |
|
|
EUR |
|
|
781,832 |
|
|
|
GBP |
|
|
|
702,196 |
|
|
|
03/17/21 |
|
|
|
(3,909 |
) |
|
|
EUR |
|
|
3,999,762 |
|
|
|
NOK |
|
|
|
42,769,490 |
|
|
|
03/17/21 |
|
|
|
(91,819 |
) |
|
|
EUR |
|
|
783,110 |
|
|
|
NZD |
|
|
|
1,348,460 |
|
|
|
03/17/21 |
|
|
|
(12,159 |
) |
|
|
HUF |
|
|
365,591,378 |
|
|
|
EUR |
|
|
|
1,025,912 |
|
|
|
03/17/21 |
|
|
|
(24,088 |
) |
|
|
MXN |
|
|
58,873,000 |
|
|
|
USD |
|
|
|
2,939,344 |
|
|
|
03/04/21 |
|
|
|
(2,163 |
) |
|
|
MXN |
|
|
87,197,450 |
|
|
|
USD |
|
|
|
4,356,463 |
|
|
|
03/17/21 |
|
|
|
(12,831 |
) |
|
|
PLN |
|
|
3,650,500 |
|
|
|
EUR |
|
|
|
814,613 |
|
|
|
03/17/21 |
|
|
|
(19,393 |
) |
|
|
PLN |
|
|
22,657,000 |
|
|
|
USD |
|
|
|
6,246,411 |
|
|
|
03/10/21 |
|
|
|
(179,473 |
) |
|
|
PLN |
|
|
6,989,899 |
|
|
|
USD |
|
|
|
1,899,178 |
|
|
|
03/17/21 |
|
|
|
(27,419 |
) |
|
|
SEK |
|
|
17,506,309 |
|
|
|
EUR |
|
|
|
1,746,000 |
|
|
|
03/17/21 |
|
|
|
(7,204 |
) |
|
|
TWD |
|
|
119,338,470 |
|
|
|
USD |
|
|
|
4,281,281 |
|
|
|
02/05/21 |
|
|
|
(10,091 |
) |
|
|
TWD |
|
|
26,672,568 |
|
|
|
USD |
|
|
|
957,379 |
|
|
|
02/17/21 |
|
|
|
(726 |
) |
|
|
USD |
|
|
28,992,201 |
|
|
|
AUD |
|
|
|
38,727,537 |
|
|
|
03/17/21 |
|
|
|
(883,796 |
) |
|
|
USD |
|
|
1,649,933 |
|
|
|
BRL |
|
|
|
8,656,413 |
|
|
|
01/05/21 |
|
|
|
(16,827 |
) |
|
|
USD |
|
|
36,700,894 |
|
|
|
CAD |
|
|
|
46,922,658 |
|
|
|
03/17/21 |
|
|
|
(169,755 |
) |
|
|
USD |
|
|
2,843,882 |
|
|
|
CNH |
|
|
|
18,619,223 |
|
|
|
03/17/21 |
|
|
|
(4,630 |
) |
|
|
USD |
|
|
5,220,903 |
|
|
|
COP |
|
|
|
18,139,802,158 |
|
|
|
01/29/21 |
|
|
|
(90,407 |
) |
|
|
USD |
|
|
19,964,502 |
|
|
|
EUR |
|
|
|
16,770,559 |
|
|
|
01/21/21 |
|
|
|
(534,182 |
) |
|
|
USD |
|
|
20,486,703 |
|
|
|
EUR |
|
|
|
16,897,433 |
|
|
|
03/17/21 |
|
|
|
(192,425 |
) |
|
|
USD |
|
|
13,388,274 |
|
|
|
GBP |
|
|
|
10,393,751 |
|
|
|
01/13/21 |
|
|
|
(826,929 |
) |
|
|
USD |
|
|
6,329,878 |
|
|
|
GBP |
|
|
|
4,697,243 |
|
|
|
03/17/21 |
|
|
|
(96,713 |
) |
|
|
USD |
|
|
6,024,906 |
|
|
|
IDR |
|
|
|
85,219,736,385 |
|
|
|
01/06/21 |
|
|
|
(88,857 |
) |
|
|
USD |
|
|
4,520,456 |
|
|
|
ILS |
|
|
|
14,692,161 |
|
|
|
03/17/21 |
|
|
|
(57,884 |
) |
|
|
USD |
|
|
12,974,553 |
|
|
|
INR |
|
|
|
962,121,572 |
|
|
|
01/27/21 |
|
|
|
(162,755 |
) |
|
|
USD |
|
|
2,912,454 |
|
|
|
JPY |
|
|
|
301,704,903 |
|
|
|
03/17/21 |
|
|
|
(12,117 |
) |
|
|
USD |
|
|
15,791,816 |
|
|
|
KRW |
|
|
|
17,746,196,420 |
|
|
|
01/08/21 |
|
|
|
(520,087 |
) |
|
|
USD |
|
|
8,880,629 |
|
|
|
KRW |
|
|
|
9,900,036,770 |
|
|
|
01/15/21 |
|
|
|
(219,313 |
) |
|
|
USD |
|
|
1,375,762 |
|
|
|
MXN |
|
|
|
27,970,502 |
|
|
|
03/17/21 |
|
|
|
(17,554 |
) |
|
|
USD |
|
|
33,551,297 |
|
|
|
NOK |
|
|
|
292,481,026 |
|
|
|
03/17/21 |
|
|
|
(550,742 |
) |
|
|
USD |
|
|
27,979,233 |
|
|
|
NZD |
|
|
|
39,513,295 |
|
|
|
03/17/21 |
|
|
|
(459,778 |
) |
|
|
USD |
|
|
955,465 |
|
|
|
RUB |
|
|
|
72,475,532 |
|
|
|
01/25/21 |
|
|
|
(21,137 |
) |
|
|
USD |
|
|
1,999,672 |
|
|
|
RUB |
|
|
|
151,682,983 |
|
|
|
02/08/21 |
|
|
|
(40,952 |
) |
|
|
USD |
|
|
41,001,601 |
|
|
|
SEK |
|
|
|
346,488,646 |
|
|
|
03/17/21 |
|
|
|
(1,147,022 |
) |
|
|
USD |
|
|
3,129,356 |
|
|
|
SGD |
|
|
|
4,161,129 |
|
|
|
03/17/21 |
|
|
|
(19,462 |
) |
|
|
USD |
|
|
3,004,251 |
|
|
|
THB |
|
|
|
90,581,084 |
|
|
|
03/17/21 |
|
|
|
(19,527 |
) |
|
|
USD |
|
|
1,267,463 |
|
|
|
TRY |
|
|
|
10,605,792 |
|
|
|
01/11/21 |
|
|
|
(154,496 |
) |
|
|
USD |
|
|
2,236,053 |
|
|
|
TRY |
|
|
|
17,929,735 |
|
|
|
01/19/21 |
|
|
|
(160,664 |
) |
|
|
USD |
|
|
2,438,500 |
|
|
|
TRY |
|
|
|
19,697,031 |
|
|
|
01/25/21 |
|
|
|
(188,562 |
) |
|
|
USD |
|
|
2,008,949 |
|
|
|
TWD |
|
|
|
56,595,676 |
|
|
|
01/04/21 |
|
|
|
(6,115 |
) |
|
|
USD |
|
|
1,070,396 |
|
|
|
TWD |
|
|
|
30,226,925 |
|
|
|
02/05/21 |
|
|
|
(11,442 |
) |
|
|
USD |
|
|
1,367,659 |
|
|
|
ZAR |
|
|
|
20,397,542 |
|
|
|
03/17/21 |
|
|
|
(6,752 |
) |
|
|
ZAR |
|
|
5,668,718 |
|
|
|
USD |
|
|
|
382,431 |
|
|
|
03/17/21 |
|
|
|
(464 |
) |
|
|
TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(7,088,775 |
) |
|
|
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FUTURES CONTRACTS At December 31, 2020, the Fund had the following futures contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Notional Amount |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
Long position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10 Year U.S. Treasury Notes |
|
|
1,787 |
|
|
|
03/22/21 |
|
|
$ |
246,745,609 |
|
|
$ |
371,658 |
|
20 Year U.S. Treasury Bonds |
|
|
362 |
|
|
|
03/22/21 |
|
|
|
62,693,875 |
|
|
|
(520,627 |
) |
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(148,969 |
) |
|
|
Short position contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Australian 10 Year Government Bonds |
|
|
(41) |
|
|
|
03/15/21 |
|
|
|
(4,653,788 |
) |
|
|
1,629 |
|
Ultra Long U.S. Treasury Bonds |
|
|
(197) |
|
|
|
03/22/21 |
|
|
|
(42,071,813 |
) |
|
|
42,372 |
|
Ultra 10 Year U.S. Treasury Notes |
|
|
(322) |
|
|
|
03/22/21 |
|
|
|
(50,347,719 |
) |
|
|
56,619 |
|
2 Year U.S. Treasury Notes |
|
|
(1,593) |
|
|
|
03/31/21 |
|
|
|
(352,015,663 |
) |
|
|
(302,182 |
) |
5 Year U.S. Treasury Notes |
|
|
(2,194) |
|
|
|
03/31/21 |
|
|
|
(276,803,954 |
) |
|
|
(312,934 |
) |
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(514,496 |
) |
|
|
TOTAL FUTURES CONTRACTS |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(663,465 |
) |
|
|
SWAP CONTRACTS At December 31, 2020, 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) |
|
|
|
6M CHFOR(a) |
|
(0.250)(a) |
|
03/17/31 |
|
CHF |
|
|
10,720 |
(b) |
|
$ |
24,280 |
|
|
$ |
42,783 |
|
|
$ |
(18,503 |
) |
6M EURO(a) |
|
(0.250)(c) |
|
03/17/23 |
|
EUR |
|
|
32,450 |
(b) |
|
|
215,680 |
|
|
|
236,011 |
|
|
|
(20,331 |
) |
6M CHFOR(a) |
|
(0.500)(c) |
|
03/17/28 |
|
CHF |
|
|
48,700 |
(b) |
|
|
(295,913 |
) |
|
|
(217,461 |
) |
|
|
(78,452 |
) |
3M STIBOR(d) |
|
0.000(c) |
|
03/17/26 |
|
SEK |
|
|
767,830 |
(b) |
|
|
(706,871 |
) |
|
|
(454,874 |
) |
|
|
(251,997 |
) |
6M EURO(a) |
|
0.000(a) |
|
03/17/31 |
|
EUR |
|
|
15,560 |
(b) |
|
|
495,822 |
|
|
|
435,944 |
|
|
|
59,878 |
|
6M EURO(a) |
|
0.050(c) |
|
05/21/30 |
|
|
|
|
87,690 |
(b) |
|
|
1,043,101 |
|
|
|
(1,097,098 |
) |
|
|
2,140,199 |
|
6M WIBOR(a) |
|
0.345(c) |
|
06/16/23 |
|
PLN |
|
|
27,175 |
(b) |
|
|
14,921 |
|
|
|
(29,796 |
) |
|
|
44,717 |
|
6M AUDOR(a) |
|
0.500(a) |
|
11/25/25 |
|
AUD |
|
|
114,880 |
(b) |
|
|
(137,571 |
) |
|
|
(92,788 |
) |
|
|
(44,783 |
) |
6M AUDOR(a) |
|
0.553(a) |
|
05/16/25 |
|
|
|
|
22,920 |
(b) |
|
|
71,708 |
|
|
|
(1,398,345 |
) |
|
|
1,470,053 |
|
6M CDOR(a) |
|
0.700(a) |
|
11/18/23 |
|
CAD |
|
|
118,220 |
(b) |
|
|
104,911 |
|
|
|
(51,869 |
) |
|
|
156,780 |
|
3M NIBOR(a) |
|
0.750(c) |
|
03/17/26 |
|
NOK |
|
|
538,190 |
(b) |
|
|
(716,838 |
) |
|
|
(416,742 |
) |
|
|
(300,096 |
) |
6M CDOR(a) |
|
0.750(a) |
|
03/17/24 |
|
CAD |
|
|
138,760 |
(b) |
|
|
388,363 |
|
|
|
172,252 |
|
|
|
216,111 |
|
6M WIBOR(a) |
|
0.750(c) |
|
12/16/25 |
|
PLN |
|
|
32,430 |
|
|
|
65,586 |
|
|
|
(6,795 |
) |
|
|
72,381 |
|
6M CDOR(a) |
|
0.810(a) |
|
09/30/24 |
|
CAD |
|
|
117,340 |
(b) |
|
|
(60,896 |
) |
|
|
10,547 |
|
|
|
(71,443 |
) |
6M CDOR(a) |
|
0.812(a) |
|
11/17/24 |
|
|
|
|
171,460 |
(b) |
|
|
201,202 |
|
|
|
(156,209 |
) |
|
|
357,411 |
|
6M AUDOR(a) |
|
0.920(a) |
|
09/04/28 |
|
AUD |
|
|
174,310 |
(b) |
|
|
(846,204 |
) |
|
|
(575,682 |
) |
|
|
(270,522 |
) |
6M CDOR(a) |
|
0.960(a) |
|
11/09/24 |
|
CAD |
|
|
473,570 |
(b) |
|
|
664,910 |
|
|
|
149,738 |
|
|
|
515,172 |
|
3M NIBOR(a) |
|
1.000(c) |
|
03/18/31 |
|
NOK |
|
|
121,720 |
(b) |
|
|
(419,674 |
) |
|
|
(428,010 |
) |
|
|
8,336 |
|
3M KWCDC(d) |
|
1.179(d) |
|
09/11/30 |
|
KRW |
|
|
10,152,660 |
(b) |
|
|
(113,900 |
) |
|
|
(90,867 |
) |
|
|
(23,033 |
) |
6M AUDOR(a) |
|
1.240(a) |
|
10/28/30 |
|
AUD |
|
|
58,220 |
(b) |
|
|
(715,485 |
) |
|
|
(611,440 |
) |
|
|
(104,045 |
) |
3M LIBOR(d) |
|
1.245(a) |
|
11/24/30 |
|
$ |
|
|
90,970 |
(b) |
|
|
(770,897 |
) |
|
|
(105,680 |
) |
|
|
(665,217 |
) |
6M AUDOR(a) |
|
1.250(a) |
|
11/09/30 |
|
AUD |
|
|
65,600 |
(b) |
|
|
(799,736 |
) |
|
|
(986,149 |
) |
|
|
186,413 |
|
6M CDOR(a) |
|
1.500(a) |
|
03/19/31 |
|
CAD |
|
|
14,920 |
(b) |
|
|
(80,694 |
) |
|
|
(62,410 |
) |
|
|
(18,284 |
) |
3M LIBOR(d) |
|
1.750(a) |
|
06/20/50 |
|
$ |
|
|
28,410 |
(b) |
|
|
256,071 |
|
|
|
403,387 |
|
|
|
(147,316 |
) |
3M LIBOR(d) |
|
1.750(a) |
|
06/18/30 |
|
|
|
|
18,290 |
(b) |
|
|
351,521 |
|
|
|
364,578 |
|
|
|
(13,057 |
) |
3M LIBOR(a) |
|
1.750(d) |
|
06/19/40 |
|
|
|
|
15,800 |
(b) |
|
|
(14,757 |
) |
|
|
120,854 |
|
|
|
(135,611 |
) |
3M NZDOR(d) |
|
1.750(a) |
|
03/19/30 |
|
NZD |
|
|
6,620 |
(b) |
|
|
95,205 |
|
|
|
130,309 |
|
|
|
(35,104 |
) |
6M AUDOR(a) |
|
1.750(a) |
|
03/19/30 |
|
AUD |
|
|
15,890 |
(b) |
|
|
180,263 |
|
|
|
143,661 |
|
|
|
36,602 |
|
2.500(d) |
|
3M CNY(d) |
|
03/17/23 |
|
CNY |
|
|
104,270 |
(b) |
|
|
(193 |
) |
|
|
65,771 |
|
|
|
(65,964 |
) |
0.000(d) |
|
3M LIBOR(d) |
|
07/25/24 |
|
$ |
|
|
522,840 |
|
|
|
(175,517 |
) |
|
|
175,496 |
|
|
|
(351,013 |
) |
0.000(d) |
|
3M LIBOR(d) |
|
11/10/24 |
|
|
|
|
310,230 |
|
|
|
(268,628 |
) |
|
|
294 |
|
|
|
(268,922 |
) |
0.250(a) |
|
3M LIBOR(d) |
|
03/17/24 |
|
|
|
|
106,810 |
(b) |
|
|
25,987 |
|
|
|
141,779 |
|
|
|
(115,792 |
) |
0.400(a) |
|
3M LIBOR(d) |
|
11/17/24 |
|
|
|
|
131,820 |
(b) |
|
|
(199,747 |
) |
|
|
47,638 |
|
|
|
(247,385 |
) |
0.500(a) |
|
3M LIBOR(d) |
|
03/17/26 |
|
|
|
|
6,810 |
(b) |
|
|
(13,510 |
) |
|
|
(5,877 |
) |
|
|
(7,633 |
) |
0.750(a) |
|
3M LIBOR(d) |
|
03/17/31 |
|
|
|
|
2,230 |
(b) |
|
|
44,086 |
|
|
|
40,089 |
|
|
|
3,997 |
|
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (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) |
|
|
|
1.000(a) |
|
3M LIBOR(d) |
|
|
03/17/51 |
|
|
|
$ |
|
|
|
4,470 |
(b) |
|
$ |
474,874 |
|
|
$ |
431,601 |
|
|
$ |
43,273 |
|
1.190(a) |
|
3M LIBOR(d) |
|
|
11/10/30 |
|
|
|
|
|
|
|
41,180 |
(b) |
|
|
446,955 |
|
|
|
258,342 |
|
|
|
188,613 |
|
1.543(a) |
|
3M LIBOR(d) |
|
|
11/25/35 |
|
|
|
|
|
|
|
100,250 |
(b) |
|
|
1,007,352 |
|
|
|
26,868 |
|
|
|
980,484 |
|
1.240(c) |
|
3M NIBOR(a) |
|
|
10/29/30 |
|
|
|
NOK |
|
|
|
468,740 |
(b) |
|
|
968,520 |
|
|
|
(906,873 |
) |
|
|
1,875,393 |
|
0.750(c) |
|
3M STIBOR(d) |
|
|
06/18/30 |
|
|
|
SEK |
|
|
|
75,760 |
(b) |
|
|
(73,453 |
) |
|
|
(107,008 |
) |
|
|
33,555 |
|
3M JIBAR(d) |
|
4.000(d) |
|
|
06/16/23 |
|
|
|
ZAR |
|
|
|
177,555 |
(b) |
|
|
56,040 |
|
|
|
2,361 |
|
|
|
53,679 |
|
1M BID Average(e) |
|
4.230(e) |
|
|
01/02/23 |
|
|
|
BRL |
|
|
|
43,625 |
|
|
|
60,954 |
|
|
|
(27,249 |
) |
|
|
88,203 |
|
Mexico Interbank TIIE 28
Days(f) |
|
4.400(f) |
|
|
03/15/23 |
|
|
|
MXN |
|
|
|
906,530 |
(b) |
|
|
93,981 |
|
|
|
12,143 |
|
|
|
81,838 |
|
Mexico Interbank TIIE 28
Days(f) |
|
4.900(f) |
|
|
03/11/26 |
|
|
|
|
|
|
|
244,130 |
(b) |
|
|
84,483 |
|
|
|
5,778 |
|
|
|
78,705 |
|
1M BID Average(e) |
|
4.930(e) |
|
|
01/02/24 |
|
|
|
BRL |
|
|
|
20,510 |
|
|
|
49,907 |
|
|
|
(5,451 |
) |
|
|
55,358 |
|
3M JIBAR(d) |
|
5.250(d) |
|
|
03/17/26 |
|
|
|
ZAR |
|
|
|
283,750 |
(b) |
|
|
302,225 |
|
|
|
(242,507 |
) |
|
|
544,732 |
|
1.430(a) |
|
6M CDOR(a) |
|
|
11/09/30 |
|
|
|
CAD |
|
|
|
95,360 |
(b) |
|
|
(397,486 |
) |
|
|
(93,388 |
) |
|
|
(304,098 |
) |
(0.100)(c) |
|
6M CHFOR(a) |
|
|
09/17/30 |
|
|
|
CHF |
|
|
|
7,150 |
(b) |
|
|
24,477 |
|
|
|
(3,799 |
) |
|
|
28,276 |
|
(0.250)(c) |
|
6M EURO(a) |
|
|
03/17/24 |
|
|
|
EUR |
|
|
|
7,760 |
(b) |
|
|
(73,391 |
) |
|
|
(81,211 |
) |
|
|
7,820 |
|
(0.250)(c) |
|
6M EURO(a) |
|
|
03/17/26 |
|
|
|
|
|
|
|
51,770 |
(b) |
|
|
(655,229 |
) |
|
|
(703,080 |
) |
|
|
47,851 |
|
(0.250)(c) |
|
6M EURO(a) |
|
|
03/17/28 |
|
|
|
|
|
|
|
1,120 |
(b) |
|
|
(13,013 |
) |
|
|
(14,184 |
) |
|
|
1,171 |
|
(0.500)(c) |
|
6M EURO(c) |
|
|
03/17/26 |
|
|
|
|
|
|
|
103,870 |
(b) |
|
|
(484,185 |
) |
|
|
(714,132 |
) |
|
|
229,947 |
|
(0.500)(c) |
|
6M EURO(c) |
|
|
03/17/28 |
|
|
|
|
|
|
|
44,800 |
(b) |
|
|
(50,773 |
) |
|
|
(184,083 |
) |
|
|
133,310 |
|
(0.500)(c) |
|
6M EURO(c) |
|
|
05/18/25 |
|
|
|
|
|
|
|
17,750 |
(b) |
|
|
(57,516 |
) |
|
|
(49,087 |
) |
|
|
(8,429 |
) |
0.000(c) |
|
6M EURO(a) |
|
|
03/17/51 |
|
|
|
|
|
|
|
13,070 |
(b) |
|
|
(133,783 |
) |
|
|
(105,725 |
) |
|
|
(28,058 |
) |
0.000(c) |
|
6M EURO(a) |
|
|
03/17/31 |
|
|
|
|
|
|
|
10,220 |
(b) |
|
|
(325,661 |
) |
|
|
(322,529 |
) |
|
|
(3,132 |
) |
0.250(c) |
|
6M EURO(a) |
|
|
03/17/41 |
|
|
|
|
|
|
|
800 |
(b) |
|
|
(49,207 |
) |
|
|
(48,899 |
) |
|
|
(308 |
) |
0.250(c) |
|
6M EURO(a) |
|
|
06/18/30 |
|
|
|
|
|
|
|
60,140 |
(b) |
|
|
(1,450,262 |
) |
|
|
(4,891,624 |
) |
|
|
3,441,362 |
|
0.260(c) |
|
6M EURO(a) |
|
|
05/21/40 |
|
|
|
|
|
|
|
42,600 |
(b) |
|
|
26,614 |
|
|
|
(872,496 |
) |
|
|
899,110 |
|
0.500(c) |
|
6M EURO(a) |
|
|
06/20/50 |
|
|
|
|
|
|
|
16,130 |
(b) |
|
|
(1,151,325 |
) |
|
|
(1,494,709 |
) |
|
|
343,384 |
|
0.750(c) |
|
6M EURO(a) |
|
|
06/19/40 |
|
|
|
|
|
|
|
17,390 |
(b) |
|
|
(1,063,835 |
) |
|
|
(2,228,007 |
) |
|
|
1,164,172 |
|
1.250(c) |
|
6M EURO(a) |
|
|
12/19/28 |
|
|
|
|
|
|
|
5,260 |
|
|
|
(423,397 |
) |
|
|
(62,932 |
) |
|
|
(360,465 |
) |
1.000(a) |
|
6M GBP(a) |
|
|
06/18/30 |
|
|
|
GBP |
|
|
|
12,040 |
(b) |
|
|
(358,925 |
) |
|
|
(343,078 |
) |
|
|
(15,847 |
) |
0.144(a) |
|
6M JYOR(a) |
|
|
11/13/30 |
|
|
|
JPY |
|
|
|
11,284,500 |
(b) |
|
|
(125,550 |
) |
|
|
(465,251 |
) |
|
|
339,701 |
|
0.250(a) |
|
6M JYOR(a) |
|
|
03/19/30 |
|
|
|
|
|
|
|
951,150 |
(b) |
|
|
(75,091 |
) |
|
|
(64,573 |
) |
|
|
(10,518 |
) |
0.500(a) |
|
6M JYOR(a) |
|
|
06/20/50 |
|
|
|
|
|
|
|
405,420 |
(b) |
|
|
57,095 |
|
|
|
(5,540 |
) |
|
|
62,635 |
|
0.500(a) |
|
6M JYOR(a) |
|
|
03/19/41 |
|
|
|
|
|
|
|
347,280 |
(b) |
|
|
4,128 |
|
|
|
(4,794 |
) |
|
|
8,922 |
|
0.250(e) |
|
6M WIBOR(d) |
|
|
12/16/21 |
|
|
|
PLN |
|
|
|
161,390 |
|
|
|
(44,881 |
) |
|
|
(7,700 |
) |
|
|
(37,181 |
) |
|
|
TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(5,442,772 |
) |
|
$ |
(17,419,777 |
) |
|
$ |
11,977,005 |
|
|
|
(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 December 31, 2020. |
(c) |
|
Payments made annually. |
(d) |
|
Payments made quarterly. |
(e) |
|
Payments made at maturity. |
(f) |
|
Payments made monthly. |
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference
Obligation/Index |
|
Financing
Rate Paid by the Fund |
|
Credit
Spread at
December 31, 2020(a) |
|
|
Counterparty |
|
Termination Date |
|
Notional Amount (000s) |
|
|
Value |
|
|
Upfront Premiums (Received) Paid |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
Protection Purchased: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Peoples Republic of China,
7.500%, 10/28/27(b) |
|
(1.000)% |
|
|
0.057% |
|
|
Barclays Bank PLC |
|
06/20/21 |
|
$ |
10,330 |
|
|
$ |
(49,667 |
) |
|
$ |
4,360 |
|
|
$ |
(54,027 |
) |
Peoples Republic of China,
7.500%, 10/28/27(b) |
|
(1.000) |
|
|
0.057 |
|
|
Citibank NA |
|
06/20/21 |
|
|
2,060 |
|
|
|
(9,905 |
) |
|
|
1,867 |
|
|
|
(11,772 |
) |
Peoples Republic of China,
7.500%, 10/28/27(b) |
|
(1.000) |
|
|
0.057 |
|
|
Deutsche Bank AG (London) |
|
06/20/21 |
|
|
11,160 |
|
|
|
(53,657 |
) |
|
|
3,943 |
|
|
|
(57,600 |
) |
Peoples Republic of China,
7.500%, 10/28/27(b) |
|
(1.000) |
|
|
0.057 |
|
|
JPMorgan Securities, Inc. |
|
06/20/21 |
|
|
3,640 |
|
|
|
(17,502 |
) |
|
|
1,762 |
|
|
|
(19,264 |
) |
Peoples Republic of China,
7.500%, 10/28/27(b) |
|
(1.000) |
|
|
0.057 |
|
|
UBS AG (London) |
|
06/20/21 |
|
|
5,910 |
|
|
|
(28,415 |
) |
|
|
2,776 |
|
|
|
(31,191 |
) |
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference
Obligation/Index |
|
Financing Rate Paid by the Fund |
|
Credit Spread at December 31, 2020(a) |
|
Counterparty |
|
Termination Date |
|
Notional Amount (000s) |
|
|
Value |
|
|
Upfront Premiums (Received) Paid |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
Protection Sold: |
|
Markit CMBX Series 11(c) |
|
3.000% |
|
4.368% |
|
Citibank NA |
|
11/18/54 |
|
$ |
5,000 |
|
|
$ |
(392,913 |
) |
|
$ |
(686,997 |
) |
|
$ |
294,084 |
|
Markit CMBX Series 8(c) |
|
3.000 |
|
7.961 |
|
Citibank NA |
|
10/17/57 |
|
|
3,450 |
|
|
|
(552,002 |
) |
|
|
(841,036 |
) |
|
|
289,034 |
|
Markit CMBX Series 10(c) |
|
3.000 |
|
5.517 |
|
MS & Co. Int. PLC |
|
11/17/59 |
|
|
5,900 |
|
|
|
(728,921 |
) |
|
|
(967,414 |
) |
|
|
238,493 |
|
Markit CMBX Series 11(c) |
|
3.000 |
|
4.368 |
|
MS & Co. Int. PLC |
|
11/18/54 |
|
|
4,100 |
|
|
|
(321,899 |
) |
|
|
(944,809 |
) |
|
|
622,910 |
|
Markit CMBX Series 8(c) |
|
3.000 |
|
7.961 |
|
MS & Co. Int. PLC |
|
10/17/57 |
|
|
600 |
|
|
|
(96,131 |
) |
|
|
(95,886 |
) |
|
|
(245 |
) |
|
|
TOTAL |
|
|
$ |
(2,251,012 |
) |
|
$ |
(3,521,434 |
) |
|
$ |
1,270,422 |
|
|
|
(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 monthly. |
(c) |
|
Payments made quarterly. |
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Referenced
Obligation/Index |
|
Financing Rate Received/(Paid) by the Fund(a) |
|
Credit Spread at December 31, 2020(b) |
|
|
Termination Date |
|
|
Notional Amount (000s) |
|
|
Value |
|
|
Upfront Premiums (Received) Paid |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
Protection Purchased: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
iTraxx Europe Index Series 34 |
|
(1.000)% |
|
|
0.480% |
|
|
|
12/20/25 |
|
|
EUR |
16,950 |
|
|
$ |
(545,317 |
) |
|
$ |
(409,113 |
) |
|
$ |
(136,204 |
) |
Peoples Republic of China, 7.500%, 10/28/2 |
|
(1.000) |
|
|
0.133 |
|
|
|
12/20/23 |
|
|
$ |
5,890 |
|
|
|
(154,878 |
) |
|
|
(40,794 |
) |
|
|
(114,084 |
) |
|
|
Protection Sold: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CDX.NA.HY Index 34 |
|
5.000 |
|
|
2.758 |
|
|
|
06/20/25 |
|
|
|
51,939 |
|
|
|
4,876,380 |
|
|
|
(1,167,181 |
) |
|
|
6,043,561 |
|
CDX.NA.IG Index 34 |
|
1.000 |
|
|
0.629 |
|
|
|
06/20/25 |
|
|
|
99,575 |
|
|
|
1,655,375 |
|
|
|
1,542,092 |
|
|
|
113,283 |
|
CDX.NA.IG Index 35 |
|
1.000 |
|
|
0.500 |
|
|
|
12/20/25 |
|
|
|
95,475 |
|
|
|
2,367,842 |
|
|
|
2,296,258 |
|
|
|
71,584 |
|
iTraxx Europe Index Series 34 |
|
5.000 |
|
|
2.440 |
|
|
|
12/20/25 |
|
|
EUR |
5,150 |
|
|
|
753,109 |
|
|
|
476,291 |
|
|
|
276,818 |
|
Kingdom of Saudi Arabia, 2.375%, 10/26/21 |
|
1.000 |
|
|
0.501 |
|
|
|
12/20/24 |
|
|
$ |
3,250 |
|
|
|
65,450 |
|
|
|
34,484 |
|
|
|
30,966 |
|
Kingdom of Saudi Arabia, 2.375%, 10/26/21 |
|
1.000 |
|
|
0.670 |
|
|
|
12/20/25 |
|
|
|
2,880 |
|
|
|
47,782 |
|
|
|
48,006 |
|
|
|
(224 |
) |
Republic of Chile, 3.875%, 08/05/20 |
|
1.000 |
|
|
0.454 |
|
|
|
12/20/25 |
|
|
|
2,380 |
|
|
|
65,145 |
|
|
|
63,972 |
|
|
|
1,173 |
|
Republic of Colombia, 10.375%, 01/28/33 |
|
1.000 |
|
|
0.433 |
|
|
|
12/20/23 |
|
|
|
12,040 |
|
|
|
207,418 |
|
|
|
(140,976 |
) |
|
|
348,394 |
|
Republic of Indonesia, 5.875%, 03/13/20 |
|
1.000 |
|
|
0.449 |
|
|
|
06/20/24 |
|
|
|
8,760 |
|
|
|
170,460 |
|
|
|
39,651 |
|
|
|
130,809 |
|
Republic of Peru, 8.750%, 11/21/33 |
|
1.000 |
|
|
0.564 |
|
|
|
12/20/25 |
|
|
|
2,880 |
|
|
|
62,932 |
|
|
|
57,858 |
|
|
|
5,074 |
|
Republic of the Philippines, 10.625%, 03/16/25 |
|
1.000 |
|
|
0.358 |
|
|
|
12/20/25 |
|
|
|
2,370 |
|
|
|
76,071 |
|
|
|
76,002 |
|
|
|
69 |
|
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Referenced
Obligation/Index |
|
Financing Rate Received/(Paid) by the Fund(a) |
|
|
Credit Spread at December 31, 2020(b) |
|
|
Termination Date |
|
|
Notional Amount (000s) |
|
|
Value |
|
|
Upfront Premiums (Received) Paid |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
Russian Federation, 7.500%, 03/31/30 |
|
|
1.000% |
|
|
|
0.687% |
|
|
|
12/20/24 |
|
|
$ |
1,340 |
|
|
$ |
17,030 |
|
|
$ |
3,816 |
|
|
$ |
13,214 |
|
State of Qatar, 9.750%, 06/15/30 |
|
|
1.000 |
|
|
|
0.237 |
|
|
|
06/20/24 |
|
|
|
1,330 |
|
|
|
35,854 |
|
|
|
20,061 |
|
|
|
15,793 |
|
State of Qatar, 9.750%, 06/15/30 |
|
|
1.000 |
|
|
|
0.270 |
|
|
|
12/20/24 |
|
|
|
520 |
|
|
|
15,317 |
|
|
|
8,724 |
|
|
|
6,593 |
|
|
|
TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
9,715,970 |
|
|
$ |
2,909,151 |
|
|
$ |
6,806,819 |
|
|
|
(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) |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
IBOXHY Index |
|
0.000% |
|
|
Barclays Bank PLC |
|
|
|
03/22/21 |
|
|
$ |
9,500 |
|
|
$ |
617,471 |
|
|
|
(a) |
|
Payments made quarterly. |
(b) |
|
The Fund pays/receives annual coupon payments in accordance with the swap contract. On the termination date of the swap contract), 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). |
PURCHASED AND WRITTEN OPTIONS CONTRACTS At December 31, 2020, 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 |
|
|
Market Value |
|
|
Premiums Paid (Received) by Portfolio |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
Purchased option contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Calls |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3M IRS |
|
JPMorgan Securities, Inc. |
|
|
0.783% |
|
|
|
02/16/2021 |
|
|
|
12,870,000 |
|
|
$ |
12,870,000 |
|
|
$ |
38,234 |
|
|
$ |
64,189 |
|
|
$ |
(25,955 |
) |
3M IRS |
|
MS & Co. Int. PLC |
|
|
0.610 |
|
|
|
01/15/2021 |
|
|
|
14,990,000 |
|
|
|
14,990,000 |
|
|
|
684 |
|
|
|
81,696 |
|
|
|
(81,012 |
) |
3M IRS |
|
MS & Co. Int. PLC |
|
|
0.825 |
|
|
|
02/12/2021 |
|
|
|
14,940,000 |
|
|
|
14,940,000 |
|
|
|
58,533 |
|
|
|
79,182 |
|
|
|
(20,649 |
) |
3Y IRS |
|
JPMorgan Securities, Inc. |
|
|
0.700 |
|
|
|
11/14/2022 |
|
|
|
45,500,000 |
|
|
|
45,500,000 |
|
|
|
480,184 |
|
|
|
460,526 |
|
|
|
19,658 |
|
6M IRS |
|
JPMorgan Securities, Inc. |
|
|
1.100 |
|
|
|
03/17/2021 |
|
|
|
92,000,000 |
|
|
|
92,000,000 |
|
|
|
187,110 |
|
|
|
1,104,000 |
|
|
|
(916,890 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
180,300,000 |
|
|
$ |
180,300,000 |
|
|
$ |
764,745 |
|
|
$ |
1,789,593 |
|
|
$ |
(1,024,848 |
) |
|
|
Puts |
|
6M IRS |
|
JPMorgan Securities, Inc. |
|
|
0.555 |
|
|
|
06/17/2021 |
|
|
|
85,250,000 |
|
|
|
85,250,000 |
|
|
|
367,470 |
|
|
|
380,751 |
|
|
|
(13,281 |
) |
|
|
Total purchased option contracts |
|
|
|
|
|
|
|
265,550,000 |
|
|
$ |
265,550,000 |
|
|
$ |
1,132,215 |
|
|
$ |
2,170,344 |
|
|
$ |
(1,038,129 |
) |
|
|
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
OVER-THE-COUNTER INTEREST RATE SWAPTIONS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Counterparty |
|
Exercise Rate |
|
|
Expiration Date |
|
|
Number of Contracts |
|
|
Notional Amount |
|
|
Market Value |
|
|
Premiums Paid (Received) by Portfolio |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
Written option contracts |
|
Calls |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1M IRS |
|
|
|
|
0.250% |
|
|
|
01/04/2021 |
|
|
$ |
(25,550,000 |
) |
|
$ |
(25,550,000 |
) |
|
$ |
(55,469 |
) |
|
$ |
(105,909 |
) |
|
$ |
50,440 |
|
1M IRS |
|
Citibank NA |
|
|
0.958 |
|
|
|
01/29/2021 |
|
|
|
(30,590,000 |
) |
|
|
(30,590,000 |
) |
|
|
(247,953 |
) |
|
|
(205,335 |
) |
|
|
(42,618 |
) |
1M IRS |
|
Deutsche Bank AG (London) |
|
|
0.914 |
|
|
|
01/14/2021 |
|
|
|
(30,590,000 |
) |
|
|
(30,590,000 |
) |
|
|
(114,067 |
) |
|
|
(217,954 |
) |
|
|
103,887 |
|
1M IRS |
|
JPMorgan Securities, Inc. |
|
|
0.242 |
|
|
|
01/11/2021 |
|
|
|
(25,550,000 |
) |
|
|
(25,550,000 |
) |
|
|
(90,366 |
) |
|
|
(110,610 |
) |
|
|
20,244 |
|
1M IRS |
|
MS & Co. Int. PLC |
|
|
0.251 |
|
|
|
01/29/2021 |
|
|
|
(25,550,000 |
) |
|
|
(25,550,000 |
) |
|
|
(118,486 |
) |
|
|
(104,073 |
) |
|
|
(14,413 |
) |
1M IRS |
|
MS & Co. Int. PLC |
|
|
0.265 |
|
|
|
01/18/2021 |
|
|
|
(25,550,000 |
) |
|
|
(25,550,000 |
) |
|
|
(61,500 |
) |
|
|
(106,245 |
) |
|
|
44,745 |
|
1M IRS |
|
MS & Co. Int. PLC |
|
|
0.948 |
|
|
|
01/29/2021 |
|
|
|
(30,590,000 |
) |
|
|
(30,590,000 |
) |
|
|
(231,303 |
) |
|
|
(204,188 |
) |
|
|
(27,115 |
) |
1M IRS |
|
MS & Co. Int. PLC |
|
|
0.955 |
|
|
|
01/21/2021 |
|
|
|
(30,590,000 |
) |
|
|
(30,590,000 |
) |
|
|
(206,519 |
) |
|
|
(204,188 |
) |
|
|
(2,331 |
) |
3M IRS |
|
BofA Securities LLC |
|
|
0.293 |
|
|
|
02/16/2021 |
|
|
|
(15,680,000 |
) |
|
|
(15,680,000 |
) |
|
|
(52,149 |
) |
|
|
(59,002 |
) |
|
|
6,853 |
|
3M IRS |
|
Citibank NA |
|
|
0.000 |
|
|
|
03/08/2021 |
|
|
|
(3,270,000 |
) |
|
|
(3,270,000 |
) |
|
|
(111,617 |
) |
|
|
(109,291 |
) |
|
|
(2,326 |
) |
3M IRS |
|
Citibank NA |
|
|
0.261 |
|
|
|
02/12/2021 |
|
|
|
(18,230,000 |
) |
|
|
(18,230,000 |
) |
|
|
(89,686 |
) |
|
|
(72,324 |
) |
|
|
(17,362 |
) |
3M IRS |
|
Deutsche Bank AG (London) |
|
|
0.280 |
|
|
|
01/06/2021 |
|
|
|
(90,100,000 |
) |
|
|
(90,100,000 |
) |
|
|
(18 |
) |
|
|
(99,110 |
) |
|
|
99,092 |
|
3M IRS |
|
Deutsche Bank AG (London) |
|
|
0.310 |
|
|
|
01/20/2021 |
|
|
|
(90,130,000 |
) |
|
|
(90,130,000 |
) |
|
|
(13,591 |
) |
|
|
(103,649 |
) |
|
|
90,058 |
|
3M IRS |
|
JPMorgan Securities, Inc. |
|
|
0.020 |
|
|
|
03/10/2021 |
|
|
|
(5,360,000 |
) |
|
|
(5,360,000 |
) |
|
|
(164,039 |
) |
|
|
(171,115 |
) |
|
|
7,076 |
|
3M IRS |
|
MS & Co. Int. PLC |
|
|
0.000 |
|
|
|
03/08/2021 |
|
|
|
(2,170,000 |
) |
|
|
(2,170,000 |
) |
|
|
(74,070 |
) |
|
|
(72,249 |
) |
|
|
(1,821 |
) |
3M IRS |
|
MS & Co. Int. PLC |
|
|
0.021 |
|
|
|
03/02/2021 |
|
|
|
(5,440,000 |
) |
|
|
(5,440,000 |
) |
|
|
(204,369 |
) |
|
|
(180,080 |
) |
|
|
(24,289 |
) |
3M IRS |
|
MS & Co. Int. PLC |
|
|
0.390 |
|
|
|
01/15/2021 |
|
|
|
(18,290,000 |
) |
|
|
(18,290,000 |
) |
|
|
(905 |
) |
|
|
(74,498 |
) |
|
|
73,593 |
|
3Y IRS |
|
JPMorgan Securities, Inc. |
|
|
1.060 |
|
|
|
11/14/2022 |
|
|
|
(8,800,000 |
) |
|
|
(8,800,000 |
) |
|
|
(396,497 |
) |
|
|
(457,091 |
) |
|
|
60,594 |
|
4M IRS |
|
MS & Co. Int. PLC |
|
|
0.250 |
|
|
|
01/14/2021 |
|
|
|
(21,340,000 |
) |
|
|
(21,340,000 |
) |
|
|
(65,837 |
) |
|
|
(192,905 |
) |
|
|
127,068 |
|
6M IRS |
|
JPMorgan Securities, Inc. |
|
|
0.700 |
|
|
|
03/17/2021 |
|
|
|
(92,000,000 |
) |
|
|
(92,000,000 |
) |
|
|
(30,470 |
) |
|
|
(419,980 |
) |
|
|
389,510 |
|
6M IRS |
|
JPMorgan Securities, Inc. |
|
|
0.900 |
|
|
|
03/17/2021 |
|
|
|
(92,000,000 |
) |
|
|
(92,000,000 |
) |
|
|
(78,172 |
) |
|
|
(736,000 |
) |
|
|
657,828 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(687,370,000 |
) |
|
$ |
(687,370,000 |
) |
|
$ |
(2,407,082 |
) |
|
$ |
(4,005,796 |
) |
|
$ |
1,598,713 |
|
|
|
GOLDMAN SACHS STRATEGIC INCOME FUND
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
OVER-THE-COUNTER INTEREST RATE SWAPTIONS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Counterparty |
|
Exercise Rate |
|
|
Expiration Date |
|
Number of Contracts |
|
|
Notional Amount |
|
|
Market Value |
|
|
Premiums Paid (Received) by Portfolio |
|
|
Unrealized Appreciation/ (Depreciation) |
|
|
|
Written option contracts (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Puts |
|
|
|
|
|
|
0.250 |
% |
|
01/04/2021 |
|
$ |
(25,550,000 |
) |
|
$ |
(25,550,000 |
) |
|
$ |
(1,748 |
) |
|
$ |
(105,909 |
) |
|
$ |
104,161 |
|
1M IRS |
|
Citibank NA |
|
|
0.958 |
|
|
01/29/2021 |
|
|
(30,590,000 |
) |
|
|
(30,590,000 |
) |
|
|
(179,884 |
) |
|
|
(205,335 |
) |
|
|
25,451 |
|
1M IRS |
|
Deutsche Bank AG (London) |
|
|
0.914 |
|
|
01/14/2021 |
|
|
(30,590,000 |
) |
|
|
(30,590,000 |
) |
|
|
(161,751 |
) |
|
|
(217,954 |
) |
|
|
56,203 |
|
1M IRS |
|
JPMorgan Securities, Inc. |
|
|
0.242 |
|
|
01/11/2021 |
|
|
(25,550,000 |
) |
|
|
(25,550,000 |
) |
|
|
(15,254 |
) |
|
|
(110,610 |
) |
|
|
95,356 |
|
1M IRS |
|
MS & Co. Int. PLC |
|
|
0.251 |
|
|
01/29/2021 |
|
|
(25,550,000 |
) |
|
|
(25,550,000 |
) |
|
|
(84,999 |
) |
|
|
(104,072 |
) |
|
|
19,073 |
|
1M IRS |
|
MS & Co. Int. PLC |
|
|
0.265 |
|
|
01/18/2021 |
|
|
(25,550,000 |
) |
|
|
(25,550,000 |
) |
|
|
(64,565 |
) |
|
|
(106,245 |
) |
|
|
41,680 |
|
1M IRS |
|
MS & Co. Int. PLC |
|
|
0.948 |
|
|
01/29/2021 |
|
|
(30,590,000 |
) |
|
|
(30,590,000 |
) |
|
|
(193,120 |
) |
|
|
(204,188 |
) |
|
|
11,068 |
|
1M IRS |
|
MS & Co. Int. PLC |
|
|
0.955 |
|
|
01/21/2021 |
|
|
(30,590,000 |
) |
|
|
(30,590,000 |
) |
|
|
(138,499 |
) |
|
|
(204,188 |
) |
|
|
65,689 |
|
3M IRS |
|
Deutsche Bank AG (London) |
|
|
0.480 |
|
|
01/06/2021 |
|
|
(90,100,000 |
) |
|
|
(90,100,000 |
) |
|
|
(7,631 |
) |
|
|
(227,502 |
) |
|
|
219,871 |
|
3M IRS |
|
Deutsche Bank AG (London) |
|
|
0.510 |
|
|
01/20/2021 |
|
|
(90,130,000 |
) |
|
|
(90,130,000 |
) |
|
|
(40,793 |
) |
|
|
(252,364 |
) |
|
|
211,571 |
|
4M IRS |
|
MS & Co. Int. PLC |
|
|
0.000 |
|
|
01/14/2021 |
|
|
(21,340,000 |
) |
|
|
(21,340,000 |
) |
|
|
(546 |
) |
|
|
(66,990 |
) |
|
|
66,444 |
|
6M IRS |
|
JPMorgan Securities, Inc. |
|
|
0.659 |
|
|
06/17/2021 |
|
|
(85,250,000 |
) |
|
|
(85,250,000 |
) |
|
|
(233,508 |
) |
|
|
(231,369 |
) |
|
|
(2,139 |
) |
6M IRS |
|
JPMorgan Securities, Inc. |
|
|
0.763 |
|
|
06/17/2021 |
|
|
(85,250,000 |
) |
|
|
(85,250,000 |
) |
|
|
(151,634 |
) |
|
|
(149,382 |
) |
|
|
(2,252 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
(596,630,000 |
) |
|
$ |
(596,630,000 |
) |
|
$ |
(1,273,933 |
) |
|
$ |
(2,186,108 |
) |
|
$ |
912,176 |
|
|
|
Total written option contracts |
|
|
|
|
|
(1,284,000,000 |
) |
|
$ |
(1,284,000,000 |
) |
|
$ |
(3,681,015 |
) |
|
$ |
(6,191,904 |
) |
|
$ |
2,510,889 |
|
|
|
TOTAL |
|
|
|
|
|
|
|
|
|
|
(1,018,450,000 |
) |
|
$ |
(1,018,450,000 |
) |
|
$ |
(2,548,800 |
) |
|
$ |
(4,021,560 |
) |
|
$ |
1,472,760 |
|
|
|
|
|
|
|
Abbreviations: |
1M BID Avg |
|
1 Month Brazilian Interbank Deposit Average |
1Y IRS |
|
1 Year Interest Rate Swaptions |
3M IRS |
|
3 Month Interest Rate Swaptions |
4M IRS |
|
4 Month Interest Rate Swaptions |
6M IRS |
|
6 Month Interest Rate Swaptions |
CDX.NA.HY Index 34 |
|
CDX North America High Yield Index 34 |
CDX.NA.IG Index 34 |
|
CDX North America Investment Grade Index 34 |
CDX.NA.IG Index 35 |
|
CDX North America Investment Grade Index 35 |
CS International (London) |
|
Credit Suisse International (London) |
IBOXHY |
|
Markit iBoxx USD Liquid High Yield Index |
ICE CD ITXEB |
|
iTraxx Europe Index |
ICE CD ITXEX |
|
iTraxx Europe Crossover Index |
MS & Co. Int. PLC |
|
Morgan Stanley & Co. International PLC |
|
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
December 31, 2020 (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 level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in
its entirety The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or
liabilities;
Level 2 Quoted prices in markets that are not active or financial instruments for which significant inputs are
observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 Prices or valuations that require significant unobservable inputs (including GSAMs assumptions in determining fair value
measurement).
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 perform 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 G7 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). The Funds 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, the 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. The 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 the 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)
December 31, 2020 (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 markets 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 ssprincipal 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. Structured notes that are exchange
traded are generally classified as Level 1 of the fair value hierarchy.
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 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. 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 Statements of Assets and Liabilities as
receivables/payables for collateral on other investments. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments.
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 may be valued at the closing bid price for long positions and at the closing ask price for short positions (i.e. where there is sufficient volume, during normal exchange
trading hours). If no valid bid/ask price is available, the equity security will be valued pursuant to the Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. 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. Certain equity securities containing unique attributes may be 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 for long positions or the last ask price for short positions, 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.
Money Market Funds Investments in the Goldman Sachs Financial Square Government Fund (Underlying Fund) are
valued at the NAV per share 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 the Underlying Funds accounting policies and
investment holdings, please see the Underlying Funds shareholder report.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
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. 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 Statements 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.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange
where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last
bid price for long positions and the last ask price for short positions). Exchange-traded derivatives 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 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 by using the outright forward rates or interpolating based upon maturity dates, where
available. 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. 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.
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 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.
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
Funds 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.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
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, the 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 or pay the appreciation or depreciation, as
applicable, in the value of a specified security, an index, a basket of securities or indices 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.
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 they believe to be the fair value of the securities at the time of determining the Funds NAV 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.
C. Fair Value Hierarchy The following is a summary of the Funds investments and derivatives classified in the fair value hierarchy
as of December 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
BOND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Assets |
|
Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Obligations |
|
$ |
|
|
|
$ |
295,007,870 |
|
|
$ |
|
|
Mortgage-Backed Obligations |
|
|
|
|
|
|
243,225,818 |
|
|
|
|
|
U.S. Treasury Obligations and/or Other U.S. Government Agencies |
|
|
46,743,353 |
|
|
|
58,777 |
|
|
|
|
|
Asset-Backed Securities |
|
|
|
|
|
|
35,898,890 |
|
|
|
|
|
Foreign Debt Obligations |
|
|
|
|
|
|
7,694,223 |
|
|
|
|
|
Municipal Debt Obligations |
|
|
|
|
|
|
5,106,125 |
|
|
|
|
|
Investment Company |
|
|
1,314,005 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
48,057,358 |
|
|
$ |
586,991,703 |
|
|
$ |
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed Obligations Forward Sales Contracts |
|
$ |
|
|
|
$ |
(8,537,500 |
) |
|
$ |
|
|
|
|
|
|
|
|
Derivative Type |
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Exchange
Contracts(a) |
|
$ |
|
|
|
$ |
2,417,829 |
|
|
$ |
|
|
Futures Contracts(a) |
|
|
64,370 |
|
|
|
|
|
|
|
|
|
Interest Rate Swap Contracts(a) |
|
|
|
|
|
|
2,240,331 |
|
|
|
|
|
Credit Default Swap Contracts(a) |
|
|
|
|
|
|
735,713 |
|
|
|
|
|
Total Return Swap Contracts(a) |
|
|
|
|
|
|
146,282 |
|
|
|
|
|
Purchased Option Contracts |
|
|
|
|
|
|
254,660 |
|
|
|
|
|
|
|
|
|
Total |
|
$ |
64,370 |
|
|
$ |
5,794,815 |
|
|
$ |
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Exchange
Contracts(a) |
|
$ |
|
|
|
$ |
(2,582,285 |
) |
|
$ |
|
|
Futures Contracts(a) |
|
|
(372,830 |
) |
|
|
|
|
|
|
|
|
Interest Rate Swap Contracts(a) |
|
|
|
|
|
|
(600,504 |
) |
|
|
|
|
Credit Default Swap Contracts(a) |
|
|
|
|
|
|
(105,164 |
) |
|
|
|
|
Written Option Contracts |
|
|
|
|
|
|
(648,643 |
) |
|
|
|
|
|
|
|
|
Total |
|
$ |
(372,830 |
) |
|
$ |
(3,936,596 |
) |
|
$ |
|
|
(a) |
|
Amount shown represents unrealized gain (loss) at period end. |
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
CORE FIXED INCOME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Assets |
|
Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Obligations |
|
$ |
|
|
|
$ |
843,032,820 |
|
|
$ |
|
|
Foreign Debt Obligations |
|
|
20,017,635 |
|
|
|
25,604,659 |
|
|
|
|
|
Asset-Backed Securities |
|
|
|
|
|
|
119,820,022 |
|
|
|
|
|
Mortgage-Backed Obligations |
|
|
|
|
|
|
696,821,750 |
|
|
|
|
|
U.S. Treasury Obligations and/or Other U.S. Government Agencies |
|
|
496,758,369 |
|
|
|
73,000,853 |
|
|
|
|
|
Municipal Debt Obligations |
|
|
|
|
|
|
25,061,093 |
|
|
|
|
|
Investment Company |
|
|
368,202,603 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
884,978,607 |
|
|
$ |
1,783,341,197 |
|
|
$ |
|
|
|
Liabilities |
|
Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed Obligations Forward Sales
Contracts |
|
$ |
|
|
|
$ |
(12,795,937 |
) |
|
$ |
|
|
|
|
|
|
Total |
|
$ |
|
|
|
$ |
(12,795,937 |
) |
|
$ |
|
|
|
|
|
|
Derivative Type |
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Exchange
Contracts(a) |
|
$ |
|
|
|
$ |
218,850 |
|
|
$ |
|
|
Futures Contracts(a) |
|
|
273,640 |
|
|
|
|
|
|
|
|
|
Interest Rate Swap Contracts(a) |
|
|
|
|
|
|
3,294,447 |
|
|
|
|
|
Credit Default Swap Contracts(a) |
|
|
|
|
|
|
2,529,734 |
|
|
|
|
|
Options Purchased |
|
|
|
|
|
|
347,820 |
|
|
|
|
|
|
|
|
|
Total |
|
$ |
273,640 |
|
|
$ |
6,390,851 |
|
|
$ |
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Exchange
Contracts(a) |
|
$ |
|
|
|
$ |
(1,659,105 |
) |
|
$ |
|
|
Futures Contracts(a) |
|
|
(640,368 |
) |
|
|
|
|
|
|
|
|
Interest Rate Swap Contracts(a) |
|
|
|
|
|
|
(756,796 |
) |
|
|
|
|
Credit Default Swap Contracts(a) |
|
|
|
|
|
|
(98,112 |
) |
|
|
|
|
Written option contracts |
|
|
|
|
|
|
(889,393 |
) |
|
|
|
|
|
|
|
|
Total |
|
$ |
(640,368 |
) |
|
$ |
(3,403,406 |
) |
|
$ |
|
|
|
|
|
|
GLOBAL CORE FIXED INCOME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Sovereign Debt Obligations |
|
$ |
140,757,039 |
|
|
$ |
83,930,156 |
|
|
$ |
|
|
Corporate Obligations |
|
|
|
|
|
|
302,511,138 |
|
|
|
|
|
Asset-Backed Securities |
|
|
|
|
|
|
47,705,911 |
|
|
|
|
|
Mortgage-Backed Obligations |
|
|
|
|
|
|
159,971,894 |
|
|
|
|
|
U.S. Treasury Obligations and/or Other U.S. Government Agencies |
|
|
6,523,003 |
|
|
|
1,786,481 |
|
|
|
|
|
Investment Company |
|
|
10,254,446 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
157,534,488 |
|
|
$ |
595,905,580 |
|
|
$ |
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed Obligations Forward Sales
Contracts |
|
$ |
|
|
|
$ |
(4,264,062 |
) |
|
$ |
|
|
|
|
|
|
Total |
|
$ |
|
|
|
$ |
(4,264,062 |
) |
|
$ |
|
|
|
|
|
|
Derivative Type |
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Exchange
Contracts(a) |
|
$ |
|
|
|
$ |
1,922,406 |
|
|
$ |
|
|
Futures Contracts(a) |
|
|
398,906 |
|
|
|
|
|
|
|
|
|
Interest Rate Swap Contracts(a) |
|
|
|
|
|
|
3,002,135 |
|
|
|
|
|
Credit Default Swap Contracts(a) |
|
|
|
|
|
|
893,471 |
|
|
|
|
|
Options Purchased |
|
|
|
|
|
|
270,444 |
|
|
|
|
|
|
|
|
|
Total |
|
$ |
398,906 |
|
|
$ |
6,088,456 |
|
|
$ |
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Exchange
Contracts(a) |
|
$ |
|
|
|
$ |
(6,648,631 |
) |
|
$ |
|
|
Futures Contracts(a) |
|
|
(377,766 |
) |
|
|
|
|
|
|
|
|
Interest Rate Swap Contracts(a) |
|
|
|
|
|
|
(1,258,047 |
) |
|
|
|
|
Credit Default Swap Contracts(a) |
|
|
|
|
|
|
(69,505 |
) |
|
|
|
|
Written option contracts |
|
|
|
|
|
|
(678,354 |
) |
|
|
|
|
|
|
|
|
Total |
|
$ |
(377,766 |
) |
|
$ |
(8,654,537 |
) |
|
$ |
|
|
(a) |
|
Amount shown represents unrealized gain (loss) at period end. |
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
INCOME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Assets |
|
Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
Bank Loans |
|
$ |
|
|
|
$ |
2,764,198 |
|
|
$ |
399,550 |
|
Corporate Obligations |
|
|
|
|
|
|
89,738,507 |
|
|
|
|
|
Mortgage-Backed Obligations |
|
|
|
|
|
|
18,514,786 |
|
|
|
|
|
Foreign Debt Obligations |
|
|
|
|
|
|
11,480,796 |
|
|
|
|
|
U.S. Treasury Obligations |
|
|
3,585,047 |
|
|
|
|
|
|
|
|
|
Investment Company |
|
|
3,026,836 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
6,611,883 |
|
|
$ |
122,498,287 |
|
|
$ |
399,550 |
|
|
|
|
|
Derivative Type |
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets(a) |
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Exchange Contracts |
|
$ |
|
|
|
$ |
488 |
|
|
$ |
|
|
Futures Contracts |
|
|
27,113 |
|
|
|
|
|
|
|
|
|
Interest Rate Swap Contracts |
|
|
|
|
|
|
1,829 |
|
|
|
|
|
Credit Default Swap Contracts |
|
|
|
|
|
|
106,228 |
|
|
|
|
|
|
|
|
|
Total |
|
$ |
27,113 |
|
|
$ |
108,545 |
|
|
$ |
|
|
|
|
|
|
Liabilities(a) |
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Exchange Contracts |
|
$ |
|
|
|
$ |
(153,068 |
) |
|
$ |
|
|
Futures Contracts |
|
|
(39,664 |
) |
|
|
|
|
|
|
|
|
Interest Rate Swap Contracts |
|
|
|
|
|
|
(875 |
) |
|
|
|
|
Credit Default Swap Contracts |
|
|
|
|
|
|
(4,587 |
) |
|
|
|
|
|
|
|
|
Total |
|
$ |
(39,664 |
) |
|
$ |
(158,530 |
) |
|
$ |
|
|
|
|
|
|
LONG SHORT CREDIT STRATEGIES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
Bank Loans |
|
$ |
|
|
|
$ |
25,633,518 |
|
|
$ |
176,823 |
|
Other Secured Obligations |
|
$ |
|
|
|
$ |
13,839,687 |
|
|
$ |
|
|
Unsecured Debt Obligations |
|
$ |
|
|
|
$ |
66,835,769 |
|
|
$ |
|
|
U.S Treasury Obligations |
|
$ |
3,999,145 |
|
|
$ |
|
|
|
$ |
|
|
Unfunded Loan Committment |
|
|
|
|
|
|
116 |
|
|
|
|
|
Common Stock and/or Other Equity Investments |
|
|
|
|
|
|
|
|
|
|
|
|
North America |
|
|
17,942 |
|
|
|
|
|
|
|
|
|
Investment Company |
|
|
4,190,279 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
8,207,366 |
|
|
$ |
106,309,090 |
|
|
$ |
176,823 |
|
|
|
|
|
Derivative Type |
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities(a) |
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Swap Contracts |
|
$ |
|
|
|
$ |
(2,378 |
) |
|
$ |
|
|
Credit Default Swap Contracts |
|
|
|
|
|
|
(1,374,136 |
) |
|
|
|
|
|
|
|
|
Total |
|
$ |
|
|
|
$ |
(1,376,514 |
) |
|
$ |
|
|
|
|
|
|
STRATEGIC INCOME |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Type |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Fixed Income |
|
|
|
|
|
|
|
|
|
|
|
|
Bank Loans |
|
$ |
|
|
|
$ |
23,142,226 |
|
|
$ |
|
|
Corporate Obligations |
|
|
|
|
|
|
465,525,889 |
|
|
|
|
|
Mortgage-Backed Obligations |
|
|
|
|
|
|
571,497,520 |
|
|
|
|
|
Asset-Backed Securities |
|
|
|
|
|
|
119,879,042 |
|
|
|
|
|
Foreign Debt Obligations |
|
|
|
|
|
|
26,652,604 |
|
|
|
|
|
Municipal Debt Obligations |
|
|
|
|
|
|
9,935,581 |
|
|
|
|
|
U.S. Treasury Obligations |
|
|
1,412,423 |
|
|
|
|
|
|
|
|
|
Unfunded Loan Commitment(a) |
|
|
|
|
|
|
2,550 |
|
|
|
|
|
Exchange Traded Fund |
|
|
22,156,889 |
|
|
|
|
|
|
|
|
|
Investment Company |
|
|
13,230,008 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
36,799,320 |
|
|
$ |
1,216,635,412 |
|
|
$ |
|
|
(a) |
|
Amount shown represents unrealized gain (loss) at period end. |
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative Type |
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Exchange
Contracts(a) |
|
$ |
|
|
|
$ |
5,629,025 |
|
|
$ |
|
|
Futures Contracts(a) |
|
|
472,278 |
|
|
|
|
|
|
|
|
|
Interest Rate Swap Contracts(a) |
|
|
|
|
|
|
15,999,544 |
|
|
|
|
|
Credit Default Swap Contracts(a) |
|
|
|
|
|
|
8,501,852 |
|
|
|
|
|
Total Return Swap Contracts |
|
|
|
|
|
|
617,471 |
|
|
|
|
|
Options Purchased |
|
|
|
|
|
|
1,132,215 |
|
|
|
|
|
|
|
|
|
Total |
|
$ |
472,278 |
|
|
$ |
31,880,107 |
|
|
$ |
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Exchange
Contracts(a) |
|
$ |
|
|
|
$ |
(7,088,775 |
) |
|
$ |
|
|
Futures Contracts(a) |
|
|
(1,135,743 |
) |
|
|
|
|
|
|
|
|
Interest Rate Swap Contracts(a) |
|
|
|
|
|
|
(4,022,539 |
) |
|
|
|
|
Credit Default Swap Contracts(a) |
|
|
|
|
|
|
(424,611 |
) |
|
|
|
|
Written option contracts |
|
|
|
|
|
|
(3,681,015 |
) |
|
|
|
|
|
|
|
|
Total |
|
$ |
(1,135,743 |
) |
|
$ |
(15,216,940 |
) |
|
$ |
|
|
(a) |
|
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 a 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 (if any) being hedged.
Floating and Variable Rate Obligations Risk Floating rate and
variable rate obligations are debt instruments issued by companies or other entities with interest rates that reset periodically (typically, daily, monthly, quarterly, or semiannually) in response to changes in the market rate of interest on which
the interest rate is based. For floating and variable rate obligations, there may be a lag between an actual change in the underlying interest rate benchmark and the reset time for an interest payment of such an obligation, which could harm or
benefit the Funds, depending on the interest rate environment or other circumstances. In a rising interest rate environment, for example, a floating or variable rate obligation that does not reset immediately would prevent the Funds from taking full
advantage of rising interest rates in a timely manner. However, in a declining interest rate environment, the Funds may benefit from a lag due to an obligations interest rate payment not being immediately impacted by a decline in interest
rates. In 2017, the United Kingdoms Financial Conduct Authority (FCA) warned that LIBOR may cease to be available or appropriate for use by 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return
on certain Fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any pricing adjustments to the Funds investments resulting from a substitute reference rate may also adversely
affect the Funds performance and/or NAV.
Foreign and Emerging Countries Risk Investing in foreign markets may involve special
risks and considerations not typically associated with investing in the U.S. 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 invests. The imposition of exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the
U.S 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 Funds 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 Funds 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.
GOLDMAN SACHS MULTI SECTOR FIXED INCOME FUNDS
Schedule of Investments (continued)
December 31, 2020 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
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 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 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, 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 ETFs shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an
ETFs 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, which may occur rapidly or unexpectedly, may cause a Fund to sell
portfolio securities at times when it would not otherwise do so, which may negatively impact a Funds 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 Funds current expenses being allocated over a smaller asset base, leading to an increase in the Funds expense ratio. Similarly,
large Fund share purchases may adversely affect a Funds performance to the extent that the Fund is delayed in investing new cash or otherwise maintains 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 Funds 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 Funds 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 or without significant dilution to remaining investors interests 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. If a Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the
Funds NAV and dilute remaining investors interests. 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. These risks may be more pronounced in connection with a Funds investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a
Funds liquidity.
Loan-Related Investments Risk In addition to risks generally associated with debt investments (e.g., interest rate
risk and default risk), 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 or
become illiquid or less liquid, 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 certain loan investments may be or become illiquid or less
liquid and more difficult to value, particularly in the event of a downgrade of the loan or the borrower. 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, a 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 a 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 a Fund to the
creditworthiness of that lender as well. Investors in loans, such as a 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, a 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 a Funds redemption obligations for a period after the sale of the loans, and, as
a result, a 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)
December 31, 2020 (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 Fund trades financial instruments and enters into
financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which the Fund invests may go up or down in response to the prospects of individual companies, particular sectors
or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious
illness or other public health threats could also significantly impact the Fund and its investments. Additionally, the 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.
Non-Diversification Risk The Global Core Fixed 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, the 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 Funds 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 Funds NAV.