NPORT-EX 2 NPORT_854505030489268.htm FOR VALIDATION PURPOSES ONLY - [54470.TX]

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

 

Schedule of Investments

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Sovereign Debt Obligations – 63.2%

Angola – 1.0%

Republic of Angola (NR/Caa1)(a)

$

    9,610,000       8.250   05/09/28   $       9,222,597

Republic of Angola (CCC+/Caa1)

    2,670,000       9.125 (a)    11/26/49   2,464,744
    2,010,000       9.125     11/26/49   1,855,481
       

 

        13,542,822

 

Argentina(b) – 1.7%

Republic of Argentina (CCC+/NR)

EUR

    120,088       0.500     07/09/29   56,482

$

    1,479,348       1.000     07/09/29   643,516
    19,634,677       0.125 (c)    07/09/30   7,981,496

EUR

    3,559,900       0.125     07/09/30   1,609,112

$

    33,640,015       0.125 (c)    07/09/35   12,312,246
    1,434,455       0.125 (c)    07/09/41   540,790
       

 

        23,143,642

 

Armenia(a) – 0.2%

Republic of Armenia (NR/Ba3)

    2,100,000       3.950     09/26/29   2,101,969

 

Azerbaijan – 0.9%

Republic of Azerbaijan (NR/Ba2u)

    3,534,000       4.750     03/18/24   3,854,269
    8,050,000       3.500     09/01/32   8,497,781
       

 

        12,352,050

 

Bahrain – 1.9%

Kingdom of Bahrain (B+/NR)

    560,000       7.000     10/12/28   646,800
    990,000       6.000     09/19/44   1,023,103

Kingdom of Bahrain (B+/B2u)

    1,380,000       7.375     05/14/30   1,636,594
    8,530,000       7.375 (a)    05/14/30   10,116,047
    4,410,000       5.625 (a)    09/30/31   4,663,575
    1,140,000       5.625     09/30/31   1,205,550
    6,010,000       5.450 (a)    09/16/32   6,310,500
       

 

        25,602,169

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Sovereign Debt Obligations – (continued)

Belarus – 0.6%

Republic of Belarus (B/B3u)

$

    450,000       7.625   06/29/27   $          494,437
    1,340,000       6.200     02/28/30   1,357,169

Republic of Belarus Ministry of Finance (B/NR)(a)

    1,400,000       5.875     02/24/26   1,435,000
    5,390,000       6.378     02/24/31   5,470,850
       

 

        8,757,456

 

Belize(a)(d) – 0.1%

Republic of Belize (CCC+/Caa3)

    2,537,842       4.938     02/20/34   1,156,304

 

Bermuda(a)(b) – 0.3%

Bermuda Government Bond (A+/A2)

    1,900,000       2.375     08/20/30   1,993,100
    1,890,000       3.375     08/20/50   2,035,884
       

 

        4,028,984

 

Bolivia – 0.0%

Republic of Bolivian (B+/B2)

    200,000       4.500     03/20/28   187,687

 

Brazil – 0.7%

Republic of Brazil (BB-/NR)

    5,930,000       3.875     06/12/30   6,256,150
    3,210,000       4.750 (b)    01/14/50   3,424,669
       

 

        9,680,819

 

Chile(b) – 0.0%

Republic of Chile (A+/A1)

    390,000       3.500     01/25/50   447,159

 

Colombia(b) – 1.6%

Republic of Colombia (BBB-/Baa2)

    2,460,000       3.000     01/30/30   2,584,537
    4,600,000       3.125     04/15/31   4,882,900
    2,180,000       5.000     06/15/45   2,664,369
    640,000       5.200     05/15/49   809,000
    10,370,000       4.125     05/15/51   11,521,070
       

 

        22,461,876

 

 

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Sovereign Debt Obligations – (continued)

Costa Rica(a) – 0.1%

Republic of Costa Rica (B/B2)

$

    1,080,000       6.125   02/19/31   $       1,005,750

 

Croatia – 0.9%

Croatia Government International Bond (BBB-/Ba1)

EUR

    2,720,000       1.125     06/19/29   3,497,340
    6,160,000       1.500     06/17/31   8,212,054
       

 

        11,709,394

 

Dominican Republic – 3.0%

Dominican Republic (NR/NR)

DOP

    8,900,000       18.500 (a)    02/04/28   228,421
    152,600,000       10.750     08/11/28   2,988,963

Dominican Republic (BB-/Ba3)

$

    450,000       6.875     01/29/26   541,969
    1,500,000       8.625     04/20/27   1,906,406
    3,130,000       4.875 (a)    09/23/32   3,449,847
    4,740,000       6.850 (a)    01/27/45   5,766,506
    6,599,000       6.850     01/27/45   8,028,096
    11,020,000       6.500 (a)    02/15/48   12,986,381
    170,000       6.500     02/15/48   200,334
    3,490,000       6.400 (a)    06/05/49   4,097,478
    1,760,000       5.875     01/30/60   1,929,400
       

 

        42,123,801

 

Ecuador(a) – 1.2%

Republic of Ecuador (B-/NR)

    3,532,360       0.000 (e)    07/31/30   1,669,040
    993,040       0.500 (c)    07/31/30   638,028
    14,798,455       0.500 (c)    07/31/35   8,028,162
    12,551,936       0.500 (c)    07/31/40   6,323,038
       

 

        16,658,268

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Sovereign Debt Obligations – (continued)

Egypt – 3.7%

Republic of Egypt (B/B2u)(a)

$

    6,510,000       8.875   05/29/50   $       7,630,940

Republic of Egypt (NR/B2)

    2,050,000       7.500     01/31/27   2,364,547

Republic of Egypt (B/NR)

EUR

    120,000       4.750     04/11/25   152,737
    1,770,000       6.375 (a)    04/11/31   2,321,116
    2,369,000       6.375     04/11/31   3,106,624

Republic of Egypt (B/B2)

    8,360,000       4.750 (a)    04/16/26   10,595,982
    2,260,000       5.625 (a)    04/16/30   2,880,857
    7,200,000       5.625     04/16/30   9,177,952

Republic of Egypt (B/B2u)

$

    8,180,000       7.625 (a)    05/29/32   9,251,069
    2,850,000       8.700 (a)    03/01/49   3,294,422
    990,000       8.700     03/01/49   1,144,378
       

 

        51,920,624

 

El Salvador(b) – 0.4%

Republic of El Salvador (B-/B3)

    150,000       9.500     07/15/52   151,313
    5,670,000       9.500 (a)    07/15/52   5,719,612
       

 

        5,870,925

 

Gabon – 0.3%

Republic of Gabon (NR/Caa1)(a)

    2,760,000       6.625     02/06/31   2,841,937

Republic of Gabon (NR/NR)

    1,854,118       6.375     12/12/24   1,928,283
       

 

        4,770,220

 

Ghana – 0.9%

Republic of Ghana (NR/B1)

    1,970,000       10.750     10/14/30   2,630,566

 

 

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Sovereign Debt Obligations – (continued)

Ghana – (continued)

Republic of Ghana (B-/B3)(a)

$

    2,370,000       6.375   02/11/27   $       2,456,653

Republic of Ghana (B-/B3)

    210,000       8.627 (a)    06/16/49   213,938
    1,899,000       8.627     06/16/49   1,934,606

Republic of Ghana (B-/B3u)(a)

    4,640,000       8.125     03/26/32   4,899,550
       

 

        12,135,313

 

Guatemala – 2.1%

Republic of Guatemala (BB-/Ba1)

    4,220,000       4.500 (a)    05/03/26   4,667,056
    5,430,000       4.500     05/03/26   6,005,241
    7,400,000       4.375 (a)    06/05/27   8,227,875
    350,000       4.375     06/05/27   389,156
    1,410,000       4.900 (a)(b)    06/01/30   1,639,566
    6,120,000       6.125 (a)(b)    06/01/50   8,070,750
       

 

        28,999,644

 

Honduras – 0.3%

Republic of Honduras (BB-/B1)

    1,310,000       7.500 (a)    03/15/24   1,460,241
    1,120,000       7.500     03/15/24   1,248,450
    1,170,000       5.625 (a)(b)    06/24/30   1,328,681
       

 

        4,037,372

 

Hungary – 0.3%

Hungary Government International Bond (BBB/Baa3)

EUR

    3,250,000       1.750     06/05/35   4,409,021

 

Indonesia – 4.6%

Perusahaan Penerbit SBSN (NR/Baa2)(a)

$

    4,870,000       4.150     03/29/27   5,583,760

Perusahaan Penerbit SBSN (BBB/Baa2)

    33,470,000       4.400 (a)    03/01/28   39,180,819
    1,460,000       4.450     02/20/29   1,725,081
    4,050,000       3.800 (a)    06/23/50   4,467,656

Republic of Indonesia (NR/Baa2)

    550,000       4.350     01/11/48   655,531

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Sovereign Debt Obligations – (continued)

Indonesia – (continued)

Republic of Indonesia (BBB/Baa2)

EUR

    1,550,000       0.900   02/14/27   $       1,919,003

$

    2,380,000       3.850     10/15/30   2,763,031
    350,000       4.625     04/15/43   421,203
    720,000       3.500     02/14/50   780,075
    5,550,000       4.450     04/15/70   6,817,828
       

 

        64,313,987

 

Iraq(b) – 0.0%

Republic of Iraq (NR/NR)

    234,375       5.800     01/15/28   217,676

 

Israel – 0.4%

State of Israel (AA-/A1)

    1,390,000       3.875     07/03/50   1,670,606
    2,820,000       4.500 (f)    04/03/20   3,729,450
       

 

        5,400,056

 

Ivory Coast – 0.7%

Republic of Ivory Coast (NR/Ba3)

EUR

    2,100,000       5.250     03/22/30   2,751,461
    1,230,000       4.875 (a)    01/30/32   1,542,074

$

    570,000       6.125     06/15/33   642,141

EUR

    2,370,000       6.625 (a)    03/22/48   3,202,033
    1,580,000       6.625     03/22/48   2,134,688
       

 

        10,272,397

 

Jamaica – 0.7%

Jamaica Government International Bond (B+/B2)

$

    6,890,000       7.875     07/28/45   9,850,547

 

Jordan(a) – 0.2%

Kingdom of Jordan (B+/B1)

    3,000,000       5.850     07/07/30   3,307,500

 

Kenya – 1.0%

Republic of Kenya (B+/B2u)

    610,000       7.000     05/22/27   670,619

 

 

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Sovereign Debt Obligations – (continued)

Kenya – (continued)

Republic of Kenya (B+/B2u) – (continued)

$

    3,900,000       7.000 %(a)    05/22/27   $       4,287,562
    750,000       7.250 (a)    02/28/28   841,406
    550,000       7.250     02/28/28   617,031
    6,380,000       8.000 (a)    05/22/32   7,434,694
    200,000       8.000     05/22/32   233,063
       

 

        14,084,375

 

Lebanon(g) – 0.3%

Republic of Lebanon (NR/NR)

    3,663,000       6.750     11/29/27   439,560

Republic of Lebanon (D/NR)

    3,990,000       6.200     02/26/25   478,800
    2,020,000       6.650     04/22/24   242,400
    130,000       6.600     11/27/26   15,600
    710,000       6.850     03/23/27   85,200
    750,000       6.650     11/03/28   90,000
    7,704,000       6.850     05/25/29   924,480
    9,584,000       6.650     02/26/30   1,150,080
    1,520,000       7.050     11/02/35   182,400
       

 

        3,608,520

 

Macedonia – 1.3%

Republic of North Macedonia (BB-/NR)

EUR

    600,000       5.625     07/26/23   819,345
    10,480,000       2.750 (a)    01/18/25   13,547,061
    2,710,000       2.750     01/18/25   3,503,105
       

 

        17,869,511

 

Mexico – 2.8%

Mexico Government International Bond (BBB/Baa1)(b)

    850,000       1.350     09/18/27   1,070,853
    820,000       4.500     04/22/29   961,450

United Mexican States (BBB/Baa1)(b)

    3,300,000       4.750     04/27/32   3,966,188

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Sovereign Debt Obligations – (continued)

Mexico – (continued)

United Mexican States (BBB/Baa1)

$

    6,970,000       2.659 %(b)    05/24/31   $       7,168,645
    1,560,000       4.750     03/08/44   1,856,010
    320,000       4.600     01/23/46   374,200
    1,220,000       4.350     01/15/47   1,390,800
    383,000       4.500 (b)    01/31/50   447,871
    5,690,000       5.000 (b)    04/27/51   7,094,007
    13,439,000       3.771 (b)    05/24/61   13,973,200
       

 

        38,303,224

 

Mongolia – 0.5%

Republic of Mongolia (B/B3)

    781,000       5.125     12/05/22   810,532
    1,940,000       5.125 (a)    04/07/26   2,080,650

Republic of Mongolia (B/B3u)

    3,490,000       5.625     05/01/23   3,677,587
       

 

        6,568,769

 

Morocco(a) – 1.4%

Kingdom of Morocco (BBB-/NR)

    7,490,000       3.000     12/15/32   7,583,625

Kingdom of Morocco (BBB-/Ba1u)

EUR

    2,560,000       1.500     11/27/31   3,043,375

Morocco Government International Bond (BBB-/NR)

$

    3,300,000       2.375     12/15/27   3,312,375
    5,060,000       4.000     12/15/50   5,205,475
       

 

        19,144,850

 

Mozambique(c) – 0.1%

Republic of Mozambique (NR/Caa2u)

    2,060,000       5.000     09/15/31   1,868,806

 

Nigeria – 1.8%

Republic of Nigeria (B-/B2)

    3,140,000       6.500     11/28/27   3,382,369
    1,190,000       7.143     02/23/30   1,281,109
    8,390,000       7.875     02/16/32   9,236,865
    9,820,000       7.696 (a)    02/23/38   10,436,819
       

 

        24,337,162

 

 

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Sovereign Debt Obligations – (continued)

Oman – 1.2%

Oman Government International Bond (NR/Ba3)

$

    2,680,000       6.750 %(a)    10/28/27   $       2,897,750
    680,000       5.625     01/17/28   692,886
    4,660,000       7.375 (a)    10/28/32   5,126,000
    4,250,000       6.750 (a)    01/17/48   4,198,203
    800,000       6.750     01/17/48   790,250

Oman Government International Bond (B+/Ba3)

    1,430,000       4.750     06/15/26   1,426,872
    1,280,000       6.500     03/08/47   1,253,600
       

 

        16,385,561

 

Panama – 1.1%

Panama Notas del Tesoro (BBB/Baa1)

    2,740,000       3.750     04/17/26   2,984,887

Republic of Panama (BBB/Baa1)(b)

    6,500,000       4.500     04/01/56   8,385,000
    3,680,000       3.870     07/23/60   4,333,200
       

 

        15,703,087

 

Papua New Guinea(a) – 0.1%

Papua New Guinea Government International Bond (B-/B2)

    1,450,000       8.375     10/04/28   1,478,547

 

Paraguay – 3.1%

Republic of Paraguay (BB/NR)(a)

    4,590,000       5.600     03/13/48   5,892,412

Republic of Paraguay (BB/Ba1)

    12,098,000       4.625     01/25/23   13,031,814
    3,930,000       5.000 (a)    04/15/26   4,594,416
    685,000       5.000     04/15/26   800,808
    2,770,000       4.700 (a)    03/27/27   3,223,587
    400,000       4.950 (b)    04/28/31   483,000
    2,760,000       4.950 (a)(b)    04/28/31   3,332,700
    5,650,000       6.100     08/11/44   7,558,641
    3,050,000       5.400 (a)(b)    03/30/50   3,849,672
       

 

        42,767,050

 

Peru(b) – 0.7%

Republic of Peru (BBB+/NR)

    4,910,000       2.780     12/01/60   4,941,915
    5,260,000       3.230     07/28/21   5,257,370
       

 

        10,199,285

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Sovereign Debt Obligations – (continued)

Philippines – 0.3%

Republic of Philippines (BBB+/Baa2)

$

    1,320,000       1.648   06/10/31   $       1,329,900
    2,470,000       2.650     12/10/45   2,488,525
       

 

        3,818,425

 

Qatar – 1.6%

Republic of Qatar (AA-/Aa3)

    10,470,000       5.103 (a)    04/23/48   14,710,350
    2,950,000       4.817 (a)    03/14/49   4,017,531
    240,000       4.817     03/14/49   326,850
    2,770,000       4.400 (a)    04/16/50   3,601,000
       

 

        22,655,731

 

Romania – 3.1%

Republic of Romania (BBB-/Baa3)

EUR

    3,330,000       2.375 (a)    04/19/27   4,440,580
    7,360,000       2.875     05/26/28   10,092,784
    1,330,000       2.500     02/08/30   1,779,150
    3,250,000       3.624 (a)    05/26/30   4,729,695

$

    2,070,000       3.000 (a)    02/14/31   2,215,547

EUR

    2,320,000       2.124 (a)    07/16/31   2,998,968
    1,730,000       2.124     07/16/31   2,236,299
    2,270,000       2.000 (a)    01/28/32   2,904,003
    40,000       2.625 (a)    12/02/40   51,981
    420,000       4.625 (a)    04/03/49   692,676
    900,000       3.375 (a)    01/28/50   1,261,659
    1,880,000       3.375     01/28/50   2,635,466

$

    5,860,000       4.000 (a)    02/14/51   6,372,750
       

 

        42,411,558

 

 

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Sovereign Debt Obligations – (continued)

Russia – 1.4%

Russian Federation Bond (NR/NR)

$

    4,000,000       4.750   05/27/26   $       4,622,000
    3,200,000       4.375 (a)    03/21/29   3,734,400
    4,200,000       5.100 (a)    03/28/35   5,301,188
    4,600,000       5.100     03/28/35   5,806,062
       

 

        19,463,650

 

Saudi Arabia – 1.6%

Saudi Government International Bond (NR/A1)

    1,770,000       2.750 (a)    02/03/32   1,867,350
    920,000       4.500     10/26/46   1,113,775
    3,600,000       4.625     10/04/47   4,444,875
    1,380,000       5.000     04/17/49   1,807,800
    1,770,000       3.750 (a)    01/21/55   1,933,172
    410,000       3.750     01/21/55   447,797
    8,270,000       4.500 (a)    04/22/60   10,378,850
       

 

        21,993,619

 

Senegal(a) – 0.4%

Republic of Senegal (B+/Ba3)

EUR

    4,580,000       4.750     03/13/28   5,969,334

 

Serbia – 0.7%

Republic of Serbia (NR/Ba3)

    440,000       3.125     05/15/27   603,373
    2,740,000       3.125 (a)    05/15/27   3,757,368

Republic of Serbia (BB+/Ba3)(a)

    4,400,000       1.500     06/26/29   5,549,956
       

 

        9,910,697

 

South Africa – 1.6%

Republic of South Africa (NR/Ba2)

$

    3,660,000       4.850     09/27/27   3,952,800
    3,350,000       5.650     09/27/47   3,329,062

Republic of South Africa (BB-/Ba2)

    240,000       4.875     04/14/26   261,750
    2,670,000       4.300     10/12/28   2,776,800
    5,670,000       4.850     09/30/29   6,006,656
    1,180,000       6.250     03/08/41   1,273,294
    4,120,000       5.750     09/30/49   4,112,275
       

 

        21,712,637

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Sovereign Debt Obligations – (continued)

Sri Lanka – 1.0%

Republic of Sri Lanka (CCC+/Caa1)

$

    200,000       5.750 %(a)    04/18/23   $          126,938
    4,380,000       6.850 (a)    03/14/24   2,651,269
    910,000       6.350 (a)    06/28/24   549,128
    3,960,000       6.125     06/03/25   2,341,350
    6,010,000       6.850 (a)    11/03/25   3,551,534
    2,490,000       6.850     11/03/25   1,471,434
    230,000       6.750     04/18/28   130,525
    1,690,000       6.750 (a)    04/18/28   959,075
    4,240,000       7.550 (a)    03/28/30   2,406,200
       

 

        14,187,453

 

Tajikistan – 0.0%

Republic of Tajikistan (B-/B3)

    710,000       7.125     09/14/27   605,941

 

Trinidad and Tobago(a)(b) – 0.1%

Republic of Trinidad & Tobago (BBB-/Ba1)

    1,560,000       4.500     06/26/30   1,675,050

 

Tunisia(a) – 0.1%

Banque Centrale de Tunisie International Bond (NR/B2)

EUR

    850,000       6.750     10/31/23   981,615
    760,000       6.375     07/15/26   847,795
       

 

        1,829,410

 

Turkey – 3.0%

Republic of Turkey (NR/B2)

$

    5,380,000       4.250     03/13/25   5,388,406

EUR

    5,290,000       3.250     06/14/25   6,527,154
    6,280,000       5.200     02/16/26   8,304,900

$

    1,200,000       4.875     10/09/26   1,212,750

 

 

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Sovereign Debt Obligations – (continued)

Turkey – (continued)

Republic of Turkey (NR/B2) – (continued)

$

    4,780,000       6.000   03/25/27   $       5,066,800
    3,450,000       5.250     03/13/30   3,461,859
    7,640,000       5.750     05/11/47   7,258,000
    999,000       7.375     02/05/25   1,113,885
    3,640,000       6.000     01/14/41   3,588,813
       

 

        41,922,567

 

Ukraine – 2.6%

Ukraine Government Bond (B/NR)

    600,000       8.994     02/01/24   678,000

EUR

    2,210,000       4.375 (a)    01/27/30   2,575,822

$

    3,453,000       7.253 (a)    03/15/33   3,763,770
    3,518,000       0.000 (h)    05/31/40   3,615,844

Ukraine Government Bond (B/B3u)

    1,050,000       7.750     09/01/21   1,088,850
    7,470,000       7.750     09/01/23   8,217,000
    9,860,000       7.750     09/01/24   10,935,356
    2,630,000       7.750     09/01/25   2,939,847
    1,330,000       7.750     09/01/26   1,501,238
       

 

        35,315,727

 

United Arab Emirates(a) – 0.5%

Finance Department Government of Sharjah (BBB-/Baa2)

    6,310,000       4.000     07/28/50   6,396,762

 

Uruguay(b) – 0.0%

Republic of Uruguay (BBB/Baa2)

    350,000       4.375     01/23/31   429,297

 

Uzbekistan(a) – 0.2%

Republic of Uzbekistan (BB-/NR)

    1,460,000       5.375     02/20/29   1,700,900
    1,160,000       3.700     11/25/30   1,220,900
       

 

        2,921,800

 

Venezuela(g) – 0.3%

Petroleos de Venezuela SA (NR/NR)

    138,210,000       6.000     10/28/22   3,662,565

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Sovereign Debt Obligations – (continued)

Vietnam(b)(i) – 0.3%

Debt and Asset Trading Corp. (NR/NR)

$

    4,680,000       1.000   10/10/25   $       4,024,800

 

Zambia – 0.2%

Republic of Zambia (D/NR)

    5,834,000       5.375     09/20/22   3,008,156

 

TOTAL SOVEREIGN DEBT OBLIGATIONS

(Cost $870,027,829)

  $   876,699,358

 

       
Corporate Obligations – 25.7%

Argentina(a) – 0.0%

Telecom Argentina SA (CCC+/NR)

$

    256,000       8.500   08/06/25   $          239,120

 

Azerbaijan – 0.1%

State Oil Co. of the Azerbaijan Republic (BB-/Ba2)

    400,000       4.750     03/13/23   425,500

State Oil Co. of the Azerbaijan Republic (BB-/NR)

    1,040,000       6.950     03/18/30   1,330,017
        1,755,517

 

Bahrain(a) – 0.2%

CBB International Sukuk Programme Co. SPC (B+/B2u)

    2,670,000       3.950     09/16/27   2,760,112

 

Brazil – 1.7%

Banco do Brasil SA (CCC+/NR)(b)(h) (10 Year CMT + 4.398%)

    5,210,000       6.250     10/29/49   5,335,366

Banco do Brasil SA (CCC+/B2)(b)(h) (10 Year CMT + 6.362%)

    5,670,000       9.000     06/29/49   6,323,822

BRF SA (NR/Ba2)(b)

    2,020,000       4.875     01/24/30   2,192,331
    1,290,000       5.750 (a)    09/21/50   1,431,497
    200,000       5.750     09/21/50   221,937

Embraer Overseas Ltd. (BB+/Ba2)

    13,000       5.696     09/16/23   13,784

Itau Unibanco Holding SA (BB-/B2)(a)(b)(h) (5 Year CMT + 3.222%)

    3,360,000       4.625     12/31/99   3,298,050

Samarco Mineracao SA (NR/WR)(g)

    3,185,000       4.125     11/01/22   2,229,500
    2,080,000       5.750     10/24/23   1,473,550
    800,000       5.375     09/26/24   568,000
       

 

        23,087,837

 

 

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

British Virgin Islands – 1.0%

Contemporary Ruiding Development Ltd. (BBB+/Baa1)(b)

$

    290,000       2.625   09/17/30   $          293,081

Easy Tactic Ltd. (NR/NR)(b)

    740,000       8.625     02/27/24   652,819

Fortune Star BVI Ltd. (BB/NR)(b)

    610,000       5.250     03/23/22   616,672
    260,000       6.750     07/02/23   273,569

FPC Resources Ltd. (NR/NR)(b)

    380,000       4.375     09/11/27   398,169

Huarong Finance 2017 Co. Ltd.

    3,770,000       4.750     04/27/27   4,200,015

(5 Year CMT + 6.983%)

    3,530,000       4.000 (b)(h)    12/31/99   3,597,291

Huarong Finance 2019 Co. Ltd.(b)

    1,690,000       3.875     11/13/29   1,796,681

Huarong Finance 2019 Co. Ltd. (NR/Baa1)(b)

    280,000       3.625     09/30/30   293,688

Sino-Ocean Land Treasure IV Ltd. (NR/Baa3)(b)

    320,000       4.750     01/14/30   333,200

Studio City Finance Ltd. (BB-/B1)(a)(b)

    430,000       6.000     07/15/25   453,650
    350,000       6.500     01/15/28   374,829

Sunny Express Enterprises Corp. (NR/A3)(b)(h) (3 Year CMT + 4.762%)

    870,000       3.350     12/31/99   882,506
       

 

        14,166,170

 

Burundi – 0.3%

Eastern & Southern African Trade & Development Bank (NR/Baa3)

    3,660,000       5.375     03/14/22   3,777,523

 

Chile – 0.7%

Corp Nacional del Cobre de Chile (A/A3)(a)(b)

    2,290,000       3.750     01/15/31   2,602,012

Embotelladora Andina SA (BBB/NR)(a)

    506,000       5.000     10/01/23   558,972

Empresa de los Ferrocarriles del Estado (A+/NR)(a)(b)

    600,000       3.068     08/18/50   580,125

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Chile – (continued)

Empresa de Transporte de Pasajeros Metro SA (A+/NR)(a)(b)

$

    830,000       3.650   05/07/30   $          931,675

GNL Quintero SA (BBB/Baa2)

    1,060,000       4.634     07/31/29   1,175,606

Inversiones CMPC SA (BBB-/NR)(a)(b)

    660,000       4.375     05/15/23   701,993

Sociedad Quimica y Minera de Chile SA (BBB+/Baa1)(a)(b)

    3,291,000       4.375     01/28/25   3,624,214
       

 

        10,174,597

 

China – 0.4%

Fantasia Holdings Group Co. Ltd. (NR/NR)(b)

    200,000       9.250     07/28/23   201,438

Fantasia Holdings Group Co. Ltd. (NR/NR)(b)

    450,000       9.875     10/19/23   457,312

iQIYI, Inc. (NR/NR)(j)

    710,000       2.000     04/01/25   627,725

Kaisa Group Holdings Ltd. (NR/NR)(b)

    200,000       8.500     06/30/22   204,625

Kaisa Group Holdings Ltd. (NR/B2)(b)

    200,000       10.875     07/23/23   208,563
    260,000       11.950     11/12/23   275,681
    240,000       11.250     04/16/25   245,250

Meituan (BBB-/Baa3)(a)(b)

    540,000       3.050     10/28/30   562,612

Sunac China Holdings Ltd. (B+/B1)(b)

    880,000       8.350     04/19/23   926,475

Yuzhou Group Holdings Co. Ltd. (NR/B1)(b)

    970,000       7.700     02/20/25   1,039,416

Zhenro Properties Group Ltd. (NR/B2)(b)(h) (-1x3 Year CMT + 13.414%)

    590,000       10.250     12/31/99   608,253
       

 

        5,357,350

 

Colombia – 0.9%

Banco de Bogota SA (NR/Ba2)

    6,870,000       6.250 (a)    05/12/26   7,952,025
    1,980,000       6.250     05/12/26   2,291,850

Grupo Aval Ltd. (NR/Ba2)

    590,000       4.750     09/26/22   617,841
    1,530,000       4.375 (a)(b)    02/04/30   1,627,059
       

 

        12,488,775

 

 

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Cyprus – 0.1%

MHP SE (B/NR)

$

    1,910,000       7.750   05/10/24   $       2,090,256

 

Dominican Republic(a)(b) – 0.2%

Aeropuertos Dominicanos Siglo XXI SA (B+/B1)

    3,220,000       6.750     03/30/29   3,347,794

 

Hong Kong – 0.2%

CNAC HK Finbridge Co. Ltd. (NR/Baa2)

    2,630,000       3.000     09/22/30   2,487,216

 

India – 0.1%

Adani Electricity Mumbai Ltd. (BBB-/Baa3)

    200,000       3.949     02/12/30   211,625

Greenko Investment Co. (B+/NR)(a)(b)

    1,190,000       4.875     08/16/23   1,213,428
       

 

        1,425,053

 

Indonesia – 0.2%

Indonesia Asahan Aluminium Persero PT (NR/Baa2)(a)(b)

    1,060,000       5.800     05/15/50   1,319,037

Perusahaan Gas Persero Tbk PT (NR/Baa2)

    1,730,000       5.125     05/16/24   1,910,569
       

 

        3,229,606

 

Ireland – 0.6%

Credit Bank of Moscow Via CBOM Finance PLC (NR/NR)(b)(h)(5 Year USD Swap + 5.416%)

    310,000       7.500     10/05/27   310,000

Credit Bank of Moscow Via CBOM Finance PLC (BB-/NR)(a)

    430,000       4.700     01/29/25   439,137

Credit Bank of Moscow Via CBOM Finance PLC (BB-/Ba3)(a)

    3,010,000       5.550     02/14/23   3,152,975

Phosagro OAO Via Phosagro Bond Funding DAC (BBB-/Baa3)(a)(b)

    3,610,000       3.949     04/24/23   3,772,450
       

 

        7,674,562

 

Israel(a)(b) – 0.3%

Leviathan Bond Ltd. (BB-/Ba3)

    3,350,000       5.750     06/30/23   3,566,008

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Ivory Coast(a)(i) – 0.2%

Brazil Minas SPE via State of Minas Gerais (BB-/NR)

$

    2,800,000       5.333   02/15/28   $       3,044,125

 

Japan(b)(h) – 0.1%

SoftBank Group Corp. (B+/B2u) (5 Year USD ICE Swap + 4.226%)

    1,310,000       6.000     12/31/99   1,278,888

 

Kazakhstan – 1.0%

KazMunayGas National Co. JSC (NR/Baa3)(a)(b)

    2,100,000       3.500     04/14/33   2,283,750

KazMunayGas National Co. JSC (BB/Baa3)

    6,002,000       4.750     04/19/27   6,966,071

Tengizchevroil Finance Co International Ltd. (BBB/Baa2)(a)(b)

    1,500,000       3.250     08/15/30   1,588,125

Tengizchevroil Finance Co. International Ltd. (BBB/Baa2)(a)(b)

    2,920,000       2.625     08/15/25   3,030,960
       

 

        13,868,906

 

Luxembourg – 0.6%

Gazprom PJSC Via Gaz Capital SA (BBB-/Baa2)

    410,000       8.625 (j)    04/28/34   641,137
    3,970,000       7.288     08/16/37   5,822,253

MHP Lux SA (B/NR)

    380,000       6.950     04/03/26   416,694

Millicom International Cellular SA (NR/Ba2)(a)(b)

    280,000       4.500     04/27/31   301,788

Rede D’or Finance Sarl (BB/NR)(b)

    620,000       4.500     01/22/30   644,800
    980,000       4.500 (a)    01/22/30   1,019,200
       

 

        8,845,872

 

Malaysia(b) – 0.6%

Axiata Spv5 Labuan Ltd. (BBB+/Baa2)

    360,000       3.064     08/19/50   362,925

Petronas Capital Ltd. (A-/A2)(a)

    4,410,000       4.550     04/21/50   5,889,180
    1,890,000       4.800     04/21/60   2,740,500
       

 

        8,992,605

 

 

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Mauritius – 0.4%

MTN Mauritius Investments Ltd. (BB-/Ba2)

$

    3,390,000       5.373   02/13/22   $       3,491,700
    1,790,000       4.755     11/11/24   1,885,093
    550,000       6.500 (a)    10/13/26   628,719
       

 

        6,005,512

 

Mexico – 5.0%

Banco Mercantil del Norte SA (BB-/Ba2)(b)(h)

(10 Year CMT + 5.353%)

    200,000       7.625     12/31/99   226,000

(10 Year CMT + 5.470%)

    1,350,000       7.500 (a)    12/31/99   1,522,969

(10 Year CMT + 5.470%)

    330,000       7.500     12/31/99   372,281

(5 Year CMT + 4.967%)

    3,820,000       6.750 (a)    12/31/99   4,125,600

Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand (NR/Baa3)(a)(b)(h)(5 Year CMT + 2.995%)

    1,090,000       5.950     10/01/28   1,198,319

Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand (NR/Baa1)

    330,000       4.125     11/09/22   347,841

BBVA Bancomer SA (NR/Baa3)(b)(h)(5 Year CMT + 4.308%)

    600,000       5.875     09/13/34   687,000

BBVA Bancomer SA (BB/NR)(b)(h)

(5 Year CMT + 2.650%)

    3,080,000       5.125 (a)    01/18/33   3,326,400

(5 Year CMT + 2.650%)

    1,210,000       5.125     01/18/33   1,306,800

Cemex SAB de CV (BB/NR)(b)

    400,000       7.375 (a)    06/05/27   454,375
    830,000       5.450     11/19/29   911,962
    1,820,000       5.200 (a)    09/17/30   1,988,350

Industrias Penoles SAB de CV (BBB/NR)(a)(b)

    400,000       4.750     08/06/50   463,000

Mexico City Airport Trust (BBB/Baa3)(b)

    1,180,000       4.250 (a)    10/31/26   1,250,800
    1,409,000       4.250     10/31/26   1,493,540
    5,200,000       3.875 (a)    04/30/28   5,369,000
    2,190,000       5.500 (a)    10/31/46   2,285,812
    722,000       5.500     10/31/46   753,588
    10,548,000       5.500     07/31/47   11,022,660

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Mexico – (continued)

Petroleos Mexicanos (BBB/Ba2)

EUR

    13,560,000       5.125   03/15/23   $     17,191,961

$

    930,000       6.875 (a)(b)    10/16/25   1,017,094
    1,280,000       5.350     02/12/28   1,264,000
    997,000       5.950 (b)    01/28/31   994,507
    1,940,000       5.625     01/23/46   1,659,306
    365,000       6.750     09/21/47   342,188
    2,091,000       6.350     02/12/48   1,878,633
    3,343,000       7.690 (b)    01/23/50   3,370,580
    3,043,000       6.950 (b)    01/28/60   2,856,312
       

 

        69,680,878

 

Netherlands – 2.2%

Bharti Airtel International Netherlands B.V. (BBB-/Ba1)

    550,000       5.125     03/11/23   586,781

Greenko Dutch B.V. (NR/Ba1)(b)

    690,000       4.875     07/24/22   694,959

IHS Netherlands Holdco B.V. (B-/B2)(a)(b)

    490,000       7.125     03/18/25   514,041
    400,000       8.000     09/18/27   431,000

Lukoil International Finance B.V. (BBB/NR)

    1,800,000       4.750     11/02/26   2,048,625

Lukoil Securities B.V. (BBB/NR)(a)

    1,740,000       3.875     05/06/30   1,881,497

Metinvest B.V. (B/NR)(b)

    301,000       7.750 (a)    04/23/23   320,565
    200,000       7.750     04/23/23   213,000

MV24 Capital B.V. (BB/NR)(a)

    1,457,333       6.748     06/01/34   1,598,512

NE Property B.V. (BBB/NR)(b)

EUR

    980,000       1.750     11/23/24   1,225,277
    2,440,000       3.375     07/14/27   3,234,197

Petrobras Global Finance B.V. (BB-/Ba2)

$

    2,510,000       5.999     01/27/28   2,936,700
    1,820,000       6.850 (k)    06/05/15   2,260,904

 

 

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Netherlands – (continued)

PPF Telecom Group B.V. (BB+/Ba1)(b)

EUR

    1,648,000       2.125   01/31/25   $       2,052,679

Prosus NV (BBB-/Baa3)(b)

$

    460,000       5.500     07/21/25   527,706
    480,000       3.680     01/21/30   521,100
    3,220,000       3.680 (a)    01/21/30   3,495,713
    1,500,000       4.027 (a)    08/03/50   1,556,250

Royal Capital B.V. (NR/NR)(b)(h) (-1x5 Year CMT + 7.396%)

    460,000       5.000     12/31/49   477,825

Syngenta Finance NV (BBB-/Ba2)(a)(b)

    4,140,000       5.676     04/24/48   4,292,186
       

 

        30,869,517

 

Pakistan – 0.5%

The Third Pakistan International Sukuk Co. Ltd. (NR/B3)

    2,130,000       5.500     10/13/21   2,153,297

The Third Pakistan International Sukuk Co. Ltd. (B-/B3)

    5,200,000       5.625     12/05/22   5,307,250
       

 

        7,460,547

 

Panama – 0.6%

Aeropuerto Internacional de Tocumen SA (BB+/NR)(b)

    2,240,000       5.625     05/18/36   2,604,000

Autoridad del Canal de Panama (A-/A1)(a)

    380,000       4.950     07/29/35   479,631

Banco Latinoamericano de Comercio Exterior SA (BBB/Baa2)(a)(b)

    2,830,000       2.375     09/14/25   2,902,929

Banco Nacional de Panama (BBB/Baa1)(a)(b)

    2,190,000       2.500     08/11/30   2,190,000
       

 

        8,176,560

 

Peru – 0.7%

ABY Transmision Sur SA (BBB/NR)(a)

    5,000,556       6.875     04/30/43   6,681,993

Corp. Lindley SA (BBB/NR)

    815,000       6.750 (a)    11/23/21   842,251
    1,780,000       6.750     11/23/21   1,839,519
    120,000       4.625 (a)    04/12/23   124,725
       

 

        9,488,488

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Philippines – 0.2%

International Container Terminal Services, Inc. (NR/NR)

$

    340,000       4.750   06/17/30   $          370,175

SMC Global Power Holdings Corp. (NR/NR)(b)(h)

(-1x 5 year CMT + 9.199%)

    1,750,000       7.000     12/31/99   1,791,563

(5 Year CMT + 6.608%)

    210,000       6.500     12/31/99   211,509
       

 

        2,373,247

 

Singapore(b) – 0.1%

Eterna Capital Pte Ltd. (CCC+p/Caa2)(d)

    402,741       8.000     12/11/22   193,316

Innovate Capital Pte Ltd. (NR/NR)(d)

    648,539       6.000     12/11/24   199,218

Trafigura Group Pte Ltd. (NR/NR)(h)(5 Year USD Swap + 6.647%)

    470,000       6.875     12/31/99   462,216
       

 

        854,750

 

South Africa – 0.1%

Eskom Holdings SOC Ltd. (CCC+/Caa2)

    520,000       6.750     08/06/23   527,963
    800,000       7.125     02/11/25   817,250
       

 

        1,345,213

 

Thailand(a)(b) – 0.3%

PTT Treasury Center Co. Ltd. (BBB+/Baa1)

    2,850,000       3.700     07/16/70   2,996,953

PTTEP Treasury Center Co. Ltd. (NR/Baa1)

    1,040,000       2.993     01/15/30   1,103,375
       

 

        4,100,328

 

Turkey – 1.2%

Akbank T.A.S. (NR/Caa2)(b)(h) (5 Year USD Swap + 4.029%)

    564,000       6.797     04/27/28   547,080

TC Ziraat Bankasi A/S (NR/B2)

    500,000       5.125     05/03/22   501,250
    770,000       5.125 (a)    09/29/23   769,037

Turkiye Vakiflar Bankasi TAO (NR/B2)

    1,090,000       8.125 (a)    03/28/24   1,163,916
    250,000       8.125     03/28/24   266,953
    1,080,000       5.250 (a)    02/05/25   1,063,125

 

 

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Turkey – ( continued)

Yapi ve Kredi Bankasi A/S (NR/B2)

$

    1,820,000       6.100   03/16/23   $       1,861,519
    200,000       5.850     06/21/24   204,000
    4,610,000       8.250 (a)    10/15/24   5,047,950

Yapi ve Kredi Bankasi A/S (NR/Caa3u)(b)(h) (5 Year USD Swap + 11.245%)

    4,330,000       13.875     12/31/99   4,827,950
       

 

        16,252,780

 

United Arab Emirates – 2.9%

Abu Dhabi Crude Oil Pipeline LLC (AA/NR)(a)

    12,180,000       4.600     11/02/47   15,160,294

DP World Crescent Ltd. (NR/Baa3)

    840,000       4.848     09/26/28   976,500
    1,390,000       3.875     07/18/29   1,525,525
    1,500,000       3.750 (b)    01/30/30   1,631,250

DP World PLC (NR/Baa3)

    1,070,000       5.625     09/25/48   1,362,913
    290,000       6.850 (a)    07/02/37   397,209

DP World Salaam (NR/Ba2)(b)(h) (5 Year CMT + 5.750%)

    6,350,000       6.000     12/31/99   6,887,766

Galaxy Pipeline Assets Bidco Ltd. (NR/Aa2)(a)

    1,010,000       2.625     03/31/36   1,045,350
    1,840,000       3.250     09/30/40   1,941,200

NBK Tier 1 Financing 2 Ltd. (NR/Baa3)(a)(b)(h) (6 Year USD Swap + 2.832%)

    2,480,000       4.500     12/31/99   2,525,725

Sharjah Sukuk Program Ltd. (BBB-/Baa2)

    1,370,000       4.226     03/14/28   1,527,978
    4,900,000       3.234     10/23/29   5,117,437
       

 

        40,099,147

 

United Kingdom – 1.1%

Gazprom PJSC via Gaz Finance PLC (BB/NR)(a)(b)(h) (5 Year CMT + 4.264%)

    6,010,000       4.599     10/15/99   6,242,887

Gazprom PJSC Via Gaz Finance PLC (BBB-/Baa2)(a)

    6,160,000       3.250     02/25/30   6,354,425

Vedanta Resources Finance II PLC (B-/NR)(a)(b)

    500,000       13.875     01/21/24   525,313

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

United Kingdom – (continued)

Vedanta Resources Finance II PLC (B-/Caa1)(b)

$

    460,000       9.250   04/23/26   $          340,400

Vedanta Resources Ltd. (B-/Caa1)

    600,000       7.125     05/31/23   487,125
    1,280,000       6.125 (b)    08/09/24   911,600
       

 

        14,861,750

 

United States – 0.7%

Brazil Loan Trust 1 (BB-/NR)(a)(i)

    4,742,599       5.477     07/24/23   4,907,108

Sasol Financing USA LLC (BB/Ba2)(b)

    4,800,000       5.875     03/27/24   5,106,000
       

 

        10,013,108

 

Venezuela(g) – 0.2%

Petroleos de Venezuela SA (CCC-/NR)

    2,180,000       5.500     04/12/37   69,760

Petroleos de Venezuela SA (D/NR)

    41,690,000       6.000     05/16/24   1,334,080
    3,387,934       6.000     11/15/26   110,108
    19,170,000       5.375     04/12/27   613,440
       

 

        2,127,388

 

TOTAL CORPORATE OBLIGATIONS
(Cost $347,678,534)
  $   357,367,105

 

       
Structured Notes(a)(e) – 0.9%

United Kingdom – 0.3%

HSBC Bank PLC (NR/NR)

EGP

    88,025,000       0.000   12/23/21   $       4,975,231

 

United States – 0.6%

Republic of Indonesia (Issuer JPMorgan Chase Bank NA) (NR/NR)

    59,625,000       0.000     07/08/21   3,552,748
    78,475,000       0.000     09/02/21   4,599,119
       

 

        8,151,867

 

TOTAL STRUCTURED NOTES
(Cost $13,104,572)
  $     13,127,098

 

 

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Shares   Dividend
Rate
  Value
Investment Company(l) – 3.3%

Goldman Sachs Financial Square Government Fund - Institutional Shares

45,527,646   0.026%   $     45,527,646
(Cost $45,527,646)  

 

TOTAL INVESTMENTS — 93.1%
(Cost $1,276,338,581)
  $1,292,721,207

 

OTHER ASSETS IN EXCESS OF
    LIABILITIES — 6.9%
  95,175,187

 

NET ASSETS — 100.0%   $1,387,896,394

 

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)   Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
(c)   Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on December 31, 2020.
(d)   Pay-in-kind securities.
(e)   Issued with a zero coupon. Income is recognized through the accretion of discount.
(f)   Actual maturity date is April 03, 2120.
(g)   Security is currently in default and/or non-income producing.
(h)   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.
(i)   Guaranteed by a foreign government until maturity. Total market value of these securities amounts to $11,976,033, which represents approximately 0.9% of the Fund’s net assets as of December 31, 2020.
(j)   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.
(k)   Actual maturity date is June 05, 2115.
(l)   Represents an affiliated fund.
Security ratings disclosed, if any, are obtained from by S&P’s /Moody’s Investor Service and are unaudited. A brief description of the ratings is available in the Fund’s Statement of Additional Information.

 

 

Currency Abbreviations:
AUD  

— Australian Dollar

BRL  

— Brazilian Real

CAD  

— Canadian Dollar

CHF  

— Swiss Franc

CNH  

— Chinese Yuan Renminbi Offshore

CNY  

— Chinese Yuan Renminbi

COP  

— Colombian Peso

CZK  

— Czech Koruna

DOP  

— Dominican Peso

EGP  

— Egyptian Pound

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:
CMT  

— Constant Maturity Treasury Indexes

EURO  

— Euro Offered Rate

JIBAR  

— Johannesburg Interbank Agreed Rate

LLC  

— Limited Liability Company

MTN  

— Medium Term Note

NR  

— Not Rated

PLC  

— Public Limited Company

TIIE  

— La Tasa de Interbank Equilibrium Interest Rate

WIBOR  

— Warsaw Interbank Offered Rate

 

For information on the mutual funds, please call our toll

free Shareholder Services Line at 1-800-526-7384 or

visit us on the web at www.GSAMFUNDS.com.

 

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

 

Schedule of Investments (continued)

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

     1,823,126          EUR        1,127,732          03/17/21        $ 26,313  
    

AUD

     11,003,000          NZD        11,614,910          03/17/21          128,531  
    

AUD

     3,743,209          USD        2,832,483          03/17/21          55,181  
    

BRL

     11,577,550          USD        2,188,833          01/05/21          40,381  
    

BRL

     7,204,926          USD        1,384,801          02/02/21          1,691  
    

CAD

     8,015,399          USD        6,274,781          03/17/21          23,519  
    

CHF

     2,382,477          USD        2,696,367          03/17/21          954  
    

CNH

     45,081,643          USD        6,873,072          03/17/21          23,862  
    

COP

     28,404,227,085          USD        7,839,983          01/29/21          476,736  
    

EUR

     1,045,086          JPY        131,648,410          03/17/21          2,847  
    

EUR

     3,371,724          PLN        15,228,983          03/17/21          48,299  
    

EUR

     2,188,053          USD        2,659,515          01/21/21          14,947  
    

EUR

     39,412,038          USD        47,780,554          03/17/21          452,014  
    

GBP

     1,017,189          EUR        1,123,599          03/17/21          16,616  
    

GBP

     4,439,319          USD        5,929,863          03/17/21          143,847  
    

IDR

     104,996,985,168          USD        7,392,757          01/06/21          139,849  
    

IDR

     32,182,279,275          USD        2,265,560          03/05/21          36,573  
    

ILS

     7,148,735          USD        2,197,816          03/17/21          29,857  
    

INR

     1,428,995,939          USD        19,227,308          01/27/21          284,947  
    

JPY

     1,259,506,134          USD        12,082,512          03/17/21          126,489  
    

KRW

     19,146,009,778          USD        17,085,558          01/08/21          513,023  
    

KRW

     11,553,286,810          USD        10,170,684          01/15/21          448,897  
    

KRW

     11,553,286,810          USD        10,362,993          02/19/21          255,788  
    

MXN

     67,244,553          USD        3,300,755          03/17/21          48,948  
    

NOK

     4,766,185          EUR        451,889          03/17/21          2,694  
    

NOK

     95,637,771          USD        10,871,824          03/17/21          279,132  
    

NZD

     13,970,877          USD        9,827,814          03/17/21          227,484  
    

NZD

     2,033,969          USD        1,439,879          03/18/21          24,038  
    

PHP

     65,786,579          USD        1,363,961          01/15/21          4,671  
    

PHP

     127,572,802          USD        2,650,579          02/08/21          707  
    

RUB

     41,521,242          USD        540,047          01/25/21          19,449  
    

RUB

     231,721,759          USD        2,992,271          02/08/21          125,133  
    

SEK

     22,854,864          EUR        2,256,746          03/17/21          18,367  
    

SEK

     11,406,710          USD        1,379,438          03/17/21          8,132  
    

SGD

     4,972,829          USD        3,723,892          03/17/21          39,157  
    

THB

     305,451,633          USD        10,138,072          03/17/21          58,519  
    

TRY

     11,127,359          USD        1,322,437          01/11/21          169,450  
    

TRY

     21,677,306          USD        2,670,345          01/19/21          227,319  
    

TRY

     8,793,345          USD        1,104,717          01/25/21          68,082  
    

TRY

     38,781,146          USD        4,775,818          03/17/21          285,449  
    

TWD

     76,638,934          USD        2,708,800          01/04/21          19,896  
    

TWD

     186,881,301          USD        6,648,138          02/05/21          40,447  
    

TWD

     38,136,910          USD        1,349,406          02/17/21          18,433  
    

TWD

     38,605,031          USD        1,388,171          03/05/21          987  
    

USD

     1,387,755          CNH        9,070,642          03/17/21          59  
    

USD

     1,319,696          JPY        136,046,091          03/17/21          935  
    

USD

     2,979,365          KRW        3,232,412,345          01/08/21          8,204  
    

USD

     245,183          KRW        266,531,040          02/19/21          211  
    

USD

     9,874,201          MXN        197,851,345          03/04/21          3,376  
    

USD

     1,094,099          MXN        21,849,101          03/17/21          5,713  
    

USD

     14,804,640          PLN        53,689,621          03/10/21          427,998  
    

USD

     2,198,587          THB        65,524,163          03/17/21          11,259  
    

USD

     6,226,370          TWD        173,548,811          02/05/21          14,963  
    

USD

     546,230          ZAR        8,065,845          03/17/21          2,743  
    

ZAR

     96,614,196          USD        6,234,548          03/03/21          287,505  
    

ZAR

     37,059,585          USD        2,468,944          03/17/21          28,178  

 

 

TOTAL

                          $ 5,768,799  

 

 

GOLDMAN SACHS EMERGING MARKETS DEBT 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

     1,129,313          GBP        1,014,283          03/17/21        $ (5,646
    

EUR

     5,637,086          NOK        60,278,365          03/17/21          (129,519
    

EUR

     1,131,713          NZD        1,948,731          03/17/21          (17,571
    

HUF

     512,919,245          EUR        1,439,338          03/17/21          (33,796
    

MXN

     288,192,958          USD        14,399,573          03/17/21          (43,600
    

PLN

     5,135,372          EUR        1,145,964          03/17/21          (27,282
    

PLN

     64,629,243          USD        17,559,970          03/17/21          (253,514
    

SEK

     25,296,918          EUR        2,523,000          03/17/21          (10,411
    

TWD

     151,546,086          USD        5,436,091          02/05/21          (12,173
    

TWD

     38,517,753          USD        1,382,547          02/17/21          (1,048
    

USD

     2,786,783          AUD        3,677,946          03/17/21          (50,534
    

USD

     2,206,709          BRL        11,577,550          01/05/21          (22,505
    

USD

     5,198,344          CAD        6,667,786          03/17/21          (41,036
    

USD

     4,071,791          CNH        26,658,600          03/17/21          (6,645
    

USD

     7,176,959          COP        24,921,134,349          01/29/21          (119,915
    

USD

     11,567          CZK        252,126          03/17/21          (177
    

USD

     213,112,683          EUR        180,414,278          01/21/21          (7,408,002
    

USD

     7,539,964          GBP        5,584,730          03/17/21          (100,854
    

USD

     7,423,206          IDR        104,996,985,168          01/06/21          (109,398
    

USD

     5,197,746          ILS        16,893,455          03/17/21          (66,557
    

USD

     16,792,338          INR        1,245,045,647          01/27/21          (208,162
    

USD

     4,074,237          JPY        422,053,277          03/17/21          (16,930
    

USD

     19,010,808          KRW        21,354,591,537          01/08/21          (617,852
    

USD

     10,363,644          KRW        11,553,286,810          01/15/21          (255,937
    

USD

     1,937,871          MXN        39,399,294          03/17/21          (24,756
    

USD

     3,269,654          NOK        28,450,423          03/17/21          (47,543
    

USD

     1,375,918          NZD        1,933,409          03/17/21          (15,619
    

USD

     1,380,117          RUB        104,686,878          01/25/21          (30,532
    

USD

     2,740,378          RUB        207,814,546          02/08/21          (55,396
    

USD

     6,671,656          SEK        56,494,250          03/17/21          (200,589
    

USD

     4,399,511          SGD        5,850,092          03/17/21          (27,383
    

USD

     4,212,887          THB        127,028,763          03/17/21          (27,588
    

USD

     1,631,864          TRY        13,598,753          01/11/21          (191,373
    

USD

     2,738,052          TRY        21,939,622          01/19/21          (194,677
    

USD

     1,383,963          TRY        11,178,989          01/25/21          (107,018
    

USD

     2,720,325          TWD        76,638,934          01/04/21          (8,371
    

USD

     1,346,499          TWD        38,023,777          02/05/21          (14,393
    

USD

     8,154,971          ZAR        124,242,608          03/17/21          (216,653
    

ZAR

     8,176,607          USD        551,621          03/17/21          (671

 

 

TOTAL

                          $ (10,721,626

 

 

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 10 Year U.S. Treasury Notes

     45      03/22/21      $ 7,036,172      $ 7,651  

2 Year U.S. Treasury Notes

     218      03/31/21        48,172,891        42,151  

5 Year U.S. Treasury Notes

     1,065      03/31/21        134,364,727        263,046  

10 Year U.S. Treasury Notes

     1,269      03/22/21        175,221,141        296,774  

20 Year U.S. Treasury Bonds

     367      03/22/21        63,559,812        (355,661

 

 

Total

 

   $ 253,961  

 

 

Short position contracts:

                 

Ultra Long U.S. Treasury Bonds

     (33)      03/22/21      $ (7,047,563      (15,656

 

 

TOTAL FUTURES CONTRACTS

                  $ 238,305  

 

 

GOLDMAN SACHS EMERGING MARKETS DEBT 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)
 

 

 

2.500%(a)

           (a)      03/17/23       CNY       157,200 (b)    $ (291   $ 99,951     $ (100,242

6M EURO(f)

     (0.250)%(c)     03/17/23       EUR         40,120 (b)      266,658       287,373       (20,715

6M WIBOR(f)

   0.345(c)     06/16/23       PLN         45,495 (b)      24,979       (49,883     74,862  

6M WIBOR(f)

   0.750(c)     12/16/25         48,880       98,854       (10,252     109,106  

3M JIBAR(a)

   4.000(a)     06/16/23       ZAR       258,850 (b)      81,699       (3,338     85,037  

1M BID Average(d)

   4.230(d)     01/02/23       BRL         76,795       107,300       (46,935     154,235  

Mexico Interbank TIIE 28 Days(e)

   4.400(e)     03/15/23       MXN       1,616,210 (b)      167,554       21,857       145,697  

Mexico Interbank TIIE 28 Days(e)

   4.900(e)     03/11/26         383,270 (b)      132,635       9,072       123,563  

1M BID Avg(d)

   4.930(d)     01/02/24       BRL         34,105       82,989       (7,052     90,041  

3M JIBAR(a)

   5.250(a)     03/17/26       ZAR       537,155 (b)      572,130       (33,575     605,705  

(0.250)(c)

   6M EURO(f)     03/17/24       EUR         15,550 (b)      (147,066     (159,137     12,071  

(0.250)(c)

   6M EURO(f)     03/17/26           50,920 (b)      (644,471     (687,651     43,180  

(0.250)(c)

   6M EURO(f)     03/17/28           25,400 (b)      (295,116     (304,476     9,360  

0.000(c)

   6M EURO(f)     03/17/31           32,000 (b)      (1,019,685     (1,009,877     (9,808

0.000(c)

   6M EURO(f)     03/17/51             2,730 (b)      (27,944     (7,850     (20,094

0.250(c)

   6M EURO(f)     03/17/41             3,260 (b)      (200,515     (192,275     (8,240

0.250(d)

   6M WIBOR(a)     12/16/21       PLN       243,090       (67,601     (11,598     (56,003

 

 

TOTAL

           $ (867,891   $ (2,105,646   $ 1,237,755  

 

 

 

(a)   Payments made quarterly.
(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 at maturity.
(e)   Payments made monthly.
(f)   Payments made semi-annually.

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:

                    

People’s Republic of China,

7.500%, 10/28/27(a)

       (1.000)%          0.057%       Barclays Bank PLC      06/20/21    $ 7,030      $ (33,801   $ 3,562     $ (37,363

People’s Republic of China,

7.500%, 10/28/27(a)

   (1.000)      0.057      
BofA Securities
LLC
 
 
   06/20/21      8,370        (40,243     9,141       (49,384

People’s Republic of China,

7.500%, 10/28/27(a)

   (1.000)      0.057       Citibank NA      06/20/21      48,730        (234,298     32,729       (267,027

People’s Republic of China,

7.500%, 10/28/27(a)

   (1.000)      0.057      
Deutsche Bank AG
(London)
 
 
   06/20/21      28,030      $ (134,769     10,150       (144,919

GOLDMAN SACHS EMERGING MARKETS DEBT 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(a)
   Credit
Spread at
December 31,
2020(b)
    Counterparty     Termination
Date
   Notional
Amount
(000s)
     Value     Upfront
Premiums
(Received)
Paid
    Unrealized
Appreciation/
(Depreciation)
 

 

 
Protection Purchased: (continued)                    

People’s Republic of China,

7.500%, 10/28/27(a)

     (1.000)%         0.064%      
Deutsche Bank AG
(London)
 
 
  12/20/21    $ 15,570      $ (148,280   $ 11,212     $ (159,492

People’s Republic of China,

7.500%, 10/28/27(a)

   (1.000)      0.057      
JPMorgan
Securities, Inc.
 
 
  06/20/21      19,180        (92,216     6,962       (99,178

People’s Republic of China,

7.500%, 10/28/27(a)

   (1.000)      0.072      
JPMorgan
Securities, Inc.
 
 
  06/20/22      2,820        (39,801     (9,051     (30,750

People’s Republic of China,

7.500%, 10/28/27(a)

   (1.000)      0.057       UBS AG (London)     06/20/21      18,520        (89,044     7,961       (97,005

 

 

Protection Sold:

                   

Ukraine Government,

7.375%, 09/25/32(a)

   5.000      3.805       Barclays Bank PLC     06/20/25      520        25,949       (21,173     47,122  

Republic of Colombia,

10.375%, 01/28/33(a)

   1.000      0.305       Citibank NA     12/20/22      3,940        55,687             55,687  

Ukraine Government,

7.375%, 09/25/32(a)

   5.000      3.485      
Deutsche Bank AG
(London)
 
 
  12/20/23      3,820        169,054       (199,259     368,313  

Republic of Colombia,

10.375%, 01/28/33(a)

   1.000      0.305      
JPMorgan
Securities, Inc.
 
 
  12/20/22      3,600        50,881       654       50,227  

 

 

TOTAL

 

   $ (510,881   $ (147,112   $ (363,769

 

 

 

(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:

                         

Argentine Republic,

1.000%, 07/09/29(a)

     5.000%      10.871%        12/20/25        $ 560        $ (119,275    $ (117,527   $ (1,748

CDX.NA.EM Index 34(a)

     1.000         1.498           12/20/25          13,930          (325,982      (841,377     515,395  

Federative Republic of Brazil,

4.250%, 01/07/25(a)

     1.000         1.171           12/20/24          13,220          (84,319      (105,437     21,118  

Kingdom of Saudi Arabia,

2.375%, 10/26/21(a)

     1.000         0.432           06/20/24          17,110          343,845        58,278       285,567  

Kingdom of Saudi Arabia,

2.375%, 10/26/21(a)

     1.000         0.670           12/20/25          2,310          38,325        88       38,237  

Republic of Abu Dhabi,

3.125%, 08/03/26(a)

     1.000         0.276           12/20/24          4,140          120,838        90,031       30,807  

Republic of Chile,

3.875%, 08/05/20(a)

     1.000         0.266           06/20/24          2,020          52,417        42,885       9,532  

Republic of Chile,

3.875%, 08/05/20(a)

     1.000         0.320           12/20/24          12,630          346,347        252,738       93,609  

GOLDMAN SACHS EMERGING MARKETS DEBT 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)
 

 

 
Protection Sold: (continued)                   

Republic of Colombia,

10.375%, 01/28/33(a)

   1.000%      0.433%       12/20/23      $29,500    $ 508,210      $ (275,492   $ 783,702  

Republic of Colombia,

10.375%, 01/28/33(a)

   1.000         0.554          06/20/24      2,730      43,205        (1,131     44,336  

Republic of Indonesia,

5.875%, 03/13/20(a)

   1.000         0.693          12/20/25      22,960      352,747        119,942       232,805  

Republic of Panama,

8.875%, 09/30/27(a)

   1.000         0.485          12/20/25      1,000      25,833        3,917       21,916  

Republic of Peru,

8.750%, 11/21/33(a)

   1.000         0.357          06/20/24      16,310      371,216        207,545       163,671  

Republic of Peru,

8.750%, 11/21/33(a)

   1.000         0.416          12/20/24      11,830      278,891        131,531       147,360  

Republic of the Philippines,

10.625%, 03/16/25(a)

   1.000         0.182          12/20/23      9,460      234,593        7,972       226,621  

Republic of the Philippines,

10.625%, 03/16/25(a)

   1.000         0.266          12/20/24      2,270      67,150        (16,799     83,949  

Russian Federation,

7.500%, 03/31/30(a)

   1.000         0.687          12/20/24      26,630      338,434        (590,254     928,688  

Russian Federation,

7.500%, 03/31/30(a)

   1.000         0.795          06/20/25      630      5,923        (2,597     8,520  

State of Qatar,

9.750%, 06/15/30(a)

   1.000         0.237          06/20/24      5,830      157,163        85,930       71,233  

State of Qatar,

9.750%, 06/15/30(a)

   1.000         0.270          12/20/24      13,450      396,183        (169,542     565,725  

 

 

TOTAL

              $ 3,151,744      $ (1,119,299   $ 4,271,043  

 

 

 

(a)   Payments made quarterly.
(b)   Credit spread on the referenced obligation, together with the term of the swap contract, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund or its counterparty to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and the term of the swap contract increase.

 

 

Abbreviations:
1M BID Avg  

— 1 month Brazilian Interbank Deposit Average

BofA Securities LLC  

— Bank of America Securities LLC

Mexico IB TIIE 28D  

— Mexico Interbank TIIE 28 Days

MS & Co. Int. PLC  

— Morgan Stanley & Co. International PLC

 

 

    

 

GOLDMAN SACHS HIGH YIELD FUND

 

Schedule of Investments

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – 1.4%

Chemicals(b) – 0.1%

Polar US Borrower LLC (B-/B2)

$

    3,241,730       0.000   10/15/25   $       3,180,948

 

Commercial Services(c) – 0.1%

Prime Security Services Borrower LLC (BB-/Ba3) (1M LIBOR + 3.250%)

    1,713,211       4.250     09/23/26   1,717,494

 

Diversified Manufacturing(c) – 0.1%

Titan Acquisition Ltd. (B-/B2) (6M LIBOR + 3.000%)

    3,395,170       3.267     03/28/25   3,303,738

 

Entertainment(c) – 0.2%

AMC Entertainment Holdings, Inc. (CCC/Caa2) (3M LIBOR + 3.000%)

    5,422,475       3.254     04/22/26   3,469,028

 

Healthcare Providers & Services(c) – 0.1%

RegionalCare Hospital Partners Holdings, Inc. (B/B1) (1M LIBOR + 3.750%)

    1,653,293       3.897     11/16/25   1,646,894

 

Packaging(c) – 0.1%

Charter NEX US, Inc. (NR/NR) (1M LIBOR + 4.250%)

    1,920,963       5.000     12/01/27   1,928,646

 

Services Cyclical - Business Services(c) – 0.1%

Travelport Finance (Luxembourg) S.a.r.l. (B-/B3) (3M LIBOR + 1.500%)

    2,091,909       8.000     02/28/25   2,059,547

Travelport Finance (Luxembourg) S.a.r.l. (CCC-/Caa3) (3M LIBOR + 5.000%)

    1,754,078       5.220     05/29/26   1,183,635
       

 

  3,243,182

 

Technology - Software/Services – 0.5%

Banff Merger Sub, Inc. (B-/B2)(c) (1M LIBOR + 4.250%)

    1,835,949       4.397     10/02/25   1,826,237

Mitchell International, Inc. (B-/B2)(c)

(1M LIBOR + 3.250%)

    2,076,351       3.397     11/29/24   2,036,132

(1M LIBOR + 4.250%)

    1,795,500       4.750     11/29/24   1,794,602

The Dun & Bradstreet Corp. (NR/NR)(b)

    975,000       0.000     02/06/26   974,591

The Dun & Bradstreet Corp. (B+/B1)(c) (1M LIBOR + 3.750%)

    1,935,375       3.898     02/06/26   1,934,562

TriTech Software Systems (CCC+/Caa1)(c) (3M LIBOR + 3.750%)

    2,071,334       4.004     08/29/25   1,927,376
       

 

  10,493,500

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – (continued)

Telecommunication Services(c) – 0.1%

Altice France SA (B/B2) (1M LIBOR + 3.688%)

$

    1,960,497       3.846   01/31/26   $       1,937,834

Intelsat Jackson Holdings SA (NR/NR) (3M LIBOR + 5.500%)

    39,912       6.500     07/13/22   40,651
       

 

        1,978,485

 

TOTAL BANK LOANS
(Cost $31,779,545)
  $     30,961,915

 

       
Corporate Obligations – 93.4%

Advertising(d) – 0.5%

Lamar Media Corp. (BB-/B1)

$

    926,000       3.750   02/15/28   $          951,465

National CineMedia LLC (CCC+/B3)(e)

    2,025,000       5.875     04/15/28   1,701,000

Outfront Media Capital LLC/Outfront Media Capital Corp. (B+/B2)(e)

    1,100,000       6.250     06/15/25   1,163,250
    1,160,000       5.000     08/15/27   1,191,900
    2,900,000       4.625     03/15/30   2,954,375

Terrier Media Buyer, Inc. (CCC+/Caa1)(e)

    1,925,000       8.875     12/15/27   2,122,312
       

 

        10,084,302

 

Aerospace & Defense(d) – 1.7%

Howmet Aerospace, Inc. (BB+/Ba3)

    1,289,000       6.875     05/01/25   1,514,575

Moog, Inc. (BB/Ba3)(e)

    3,080,000       4.250     12/15/27   3,214,750

Spirit AeroSystems, Inc. (B/B1)(e)

    2,823,000       7.500     04/15/25   3,034,725

The Boeing Co. (BBB-/Baa2)

    2,150,000       2.750     02/01/26   2,265,928
    2,150,000       3.625     02/01/31   2,354,400

TransDigm UK Holdings PLC (B-/B3)

    220,000       6.875     05/15/26   232,650

TransDigm, Inc. (B+/Ba3)(e)

    1,323,000       8.000     12/15/25   1,463,569

TransDigm, Inc. (B-/B3)

    6,885,000       6.500     05/15/25   7,082,944
    3,580,000       6.375     06/15/26   3,714,250
    1,230,000       7.500     03/15/27   1,316,100

 

 

GOLDMAN SACHS HIGH YIELD FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Aerospace & Defense(d) – (continued)

TransDigm, Inc. (B-/B3) – (continued)

$

    9,215,000       5.500   11/15/27   $       9,675,750

Triumph Group, Inc. (B-/B2)(e)

    892,000       8.875     06/01/24   981,200

Triumph Group, Inc. (CCC-/Ca)

    225,000       7.750     08/15/25   205,594
       

 

        37,056,435

 

Airlines – 0.9%

American Airlines Group, Inc. (CCC/Caa1)(e)

    3,725,000       5.000     06/01/22   3,347,844

Delta Air Lines, Inc. (B+/Baa3)(d)

    3,600,000       2.900     10/28/24   3,537,000
    3,825,000       7.375     01/15/26   4,384,406

Delta Air Lines, Inc. (BB+/Baa2)(e)

    3,192,000       7.000     05/01/25   3,690,750

Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd. (NR/Baa3)(d)(e)

    2,507,000       6.500     06/20/27   2,701,292

United Airlines Holdings, Inc. (B/Ba3)

    1,900,000       4.250     10/01/22   1,909,500
       

 

        19,570,792

 

Apparel(d) – 0.1%

PVH Corp. (BBB-/Baa3)

    1,669,000       4.625     07/10/25   1,878,243

 

Automotive – 4.8%

Adient Global Holdings Ltd. (B/B3)(d)(e)

    2,951,000       4.875     08/15/26   3,017,397

Adient US LLC (B+/Ba3)(d)(e)

    2,477,000       7.000     05/15/26   2,684,449

Allison Transmission, Inc. (NR/Ba3)(d)(e)

    1,752,000       3.750     01/30/31   1,787,040

American Axle & Manufacturing, Inc. (B-/B2)(d)

    7,810,000       6.250     04/01/25   8,102,875
    230,000       6.250     03/15/26   238,050
    230,000       6.500     04/01/27   241,213
    1,775,000       6.875     07/01/28   1,912,563

BorgWarner, Inc. (BBB/Baa1)(e)

    1,128,000       5.000     10/01/25   1,326,020

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Automotive – (continued)

Clarios Global LP/Clarios US Finance Co. (B/B1)(d)

EUR

    836,000       4.375   05/15/26   $       1,057,525

Clarios Global LP/Clarios US Finance Co. (CCC+/Caa1)(d)(e)

$

    8,200,000       8.500     05/15/27   8,897,000

Dana Financing Luxembourg S.a.r.l. (BB-/B2)(d)(e)

    2,440,000       5.750     04/15/25   2,528,450

Dana, Inc. (BB-/B2)(d)

    4,350,000       5.375     11/15/27   4,611,000

Dealer Tire LLC/DT Issuer LLC (CCC/Caa1)(d)(e)

    4,623,000       8.000     02/01/28   4,894,601

Ford Motor Co. (BB+/Ba2)

    4,823,000       9.000 (d)    04/22/25   5,925,084
    7,526,000       4.750     01/15/43   7,638,890

Ford Motor Credit Co. LLC (BB+/Ba2)

    3,027,000       3.336     03/18/21   3,031,486
    2,332,000       3.813     10/12/21   2,361,115
    2,650,000       3.350     11/01/22   2,689,739
    958,000       3.087     01/09/23   967,634
    4,200,000       4.140 (d)    02/15/23   4,321,359
    6,166,000       4.375     08/06/23   6,398,452
    1,837,000       3.810 (d)    01/09/24   1,882,629
    1,350,000       4.687 (d)    06/09/25   1,437,811
    4,881,000       5.125 (d)    06/16/25   5,294,767
    3,020,000       3.375 (d)    11/13/25   3,091,399
    4,730,000       4.125 (d)    08/17/27   4,956,174

IHO Verwaltungs GmbH (BB-/Ba2)(d)(e)(f)

(PIK 5.500%, Cash 4.750%)

    2,695,000       4.750     09/15/26   2,792,694

(PIK 6.750%, Cash 6.000%)

    900,000       6.000     05/15/27   951,750

(PIK 7.125%, Cash 6.375%)

    2,985,000       6.375     05/15/29   3,276,037

Meritor, Inc. (BB-/B1)(d)(e)

    730,000       6.250     06/01/25   786,575

Navistar International Corp. (CCC+/B3)(d)(e)

    2,175,000       6.625     11/01/25   2,267,438

Tesla, Inc. (BB/B3)(d)(e)

    2,570,000       5.300     08/15/25   2,679,225

 

 

GOLDMAN SACHS HIGH YIELD FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Automotive – (continued)

The Goodyear Tire & Rubber Co. (B+/B2)(d)

$

    1,955,000       9.500   05/31/25   $       2,201,819
       

 

        106,250,260

 

Banks – 2.4%

Barclays PLC (B+/Ba2)(c)(d) (5 Year CMT + 5.672%)

    6,325,000       8.000     12/31/99   7,052,375

Citigroup, Inc. (BB+/Ba1)(c)(d)

(3M USD LIBOR + 3.423%)

    6,125,000       6.300     12/29/49   6,637,969

(3M USD LIBOR + 3.950%)

    2,050,000       5.950     12/29/49   2,224,250

(5 Year CMT + 3.597%)

    955,000       4.000     12/31/99   981,263

Credit Suisse Group AG (BB/NR)(c)(d) (5 Year USD Swap + 3.455%)

    1,129,000       6.250     12/29/49   1,233,432

Credit Suisse Group AG (BB-/Ba1u)(c)(d)(e)

(5 Year CMT + 3.554%)

    2,230,000       4.500     12/31/99   2,241,150

(5 Year CMT + 4.889%)

    1,075,000       5.250     12/31/99   1,142,188

Deutsche Bank AG (B+/B1)(c)(d) (5 Year CMT + 4.524%)

    1,800,000       6.000     12/31/99   1,804,500

Deutsche Bank AG (BB+/Ba2)(c)(d) (5 Year USD ICE Swap + 2.553%)

    5,150,000       4.875     12/01/32   5,381,750

Freedom Mortgage Corp. (B-/B2)(d)(e)

    4,825,000       7.625     05/01/26   5,066,250

HSBC Holdings PLC (NR/Baa3)(c)(d) (5 Year CMT + 3.649%)

    2,110,000       4.600     12/31/99   2,148,592

Intesa Sanpaolo SpA (BB+/Ba1)(e)

    2,350,000       5.017     06/26/24   2,561,500
    3,120,000       5.710     01/15/26   3,564,600

Natwest Group PLC (BB-/Ba2)(c)(d) (3M USD LIBOR + 2.320%)

    2,300,000       2.574     12/31/99   2,231,000

The Bank of New York Mellon Corp. (BBB/Baa1)(c)(d) (5 Year CMT + 4.358%)

    1,220,000       4.700     12/31/99   1,342,939

UBS Group AG (BB/Ba1u)(c)(d)(e) (5 Year USD Swap + 4.344%)

    4,000,000       7.000     12/31/99   4,400,000

UniCredit SpA (BB+/Baa3)(c)(d)(e) (5 Year CMT + 4.750%)

    3,415,000       5.459     06/30/35   3,735,590
       

 

        53,749,348

 

Building Materials(d) – 2.2%

American Woodmark Corp. (BB/Ba2)(e)

    3,170,000       4.875     03/15/26   3,233,400

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Building Materials(d) – (continued)

Builders FirstSource, Inc. (B+/B3)(e)

$

    611,000       5.000   03/01/30   $          661,408

Builders FirstSource, Inc. (BB+/B1)(e)

    7,034,000       6.750     06/01/27   7,614,305

Cornerstone Building Brands, Inc. (B-/Caa1)(e)

    6,465,000       8.000     04/15/26   6,772,087
    336,000       6.125     01/15/29   357,840

CP Atlas Buyer, Inc. (CCC+/Caa2)(e)

    1,500,000       7.000     12/01/28   1,560,000

Forterra Finance LLC/FRTA Finance Corp. (B/B2)(e)

    1,096,000       6.500     07/15/25   1,174,090

Griffon Corp. (B+/B2)

    986,000       5.750     03/01/28   1,042,695

JELD-WEN, Inc. (BB-/B2)(e)

    3,730,000       4.625     12/15/25   3,813,925
    4,220,000       4.875     12/15/27   4,494,300

Masonite International Corp. (BB+/Ba3)(e)

    2,675,000       5.375     02/01/28   2,855,563

SRM Escrow Issuer LLC (B+/B1)(e)

    2,782,000       6.000     11/01/28   2,903,712

Standard Industries, Inc. (BBB-/Ba2)(e)

    3,020,000       4.375     07/15/30   3,231,642
    4,209,000       5.000     02/15/27   4,408,927

Summit Materials LLC/Summit Materials Finance Corp. (BB/B2)(e)

    2,580,000       6.500     03/15/27   2,741,250
    1,455,000       5.250     01/15/29   1,527,750
       

 

        48,392,894

 

Chemicals – 3.9%

Ashland Services B.V. (BB+/Ba1)(d)(e)

EUR

    825,000       2.000     01/30/28   1,003,149

Axalta Coating Systems LLC (BB-/B1)(d)(e)

$

    4,465,000       3.375     02/15/29   4,470,581

Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B B.V. (BB-/B1)(d)(e)

    860,000       4.750     06/15/27   910,525

Cornerstone Chemical Co. (B-/B3)(d)(e)

    4,060,000       6.750     08/15/24   3,577,875

HB Fuller Co. (BB-/B2)(d)

    350,000       4.000     02/15/27   360,500
    430,000       4.250     10/15/28   441,825

 

 

GOLDMAN SACHS HIGH YIELD FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Chemicals – (continued)

Hexion, Inc. (CCC+/B3)(d)(e)

$

    1,698,000       7.875   07/15/27   $       1,818,983

Illuminate Buyer LLC/Illuminate Holdings IV, Inc. (B-/Caa1)(d)(e)

    1,087,000       9.000     07/01/28   1,195,700

Ingevity Corp. (NR/Ba3)(d)(e)

    4,330,000       4.500     02/01/26   4,394,950
    565,000       3.875     11/01/28   566,413

Kraton Polymers LLC/Kraton Polymers Capital Corp. (BB-/B2)(d)(e)

    1,275,000       4.250     12/15/25   1,300,500

Methanex Corp. (BB/Ba1)(d)

    4,425,000       5.125     10/15/27   4,812,187
    2,625,000       5.250     12/15/29   2,848,125

Minerals Technologies, Inc. (BB-/Ba3)(d)(e)

    3,507,000       5.000     07/01/28   3,664,815

Nouryon Holding B.V. (B-/Caa1)(d)(e)

    5,365,000       8.000     10/01/26   5,720,431

OCI NV (BB/Ba3)(d)(e)

    1,500,000       5.250     11/01/24   1,558,125
    3,025,000       4.625     10/15/25   3,146,000

Olin Corp. (BB-/Ba3)(d)

    1,650,000       5.000     02/01/30   1,757,250

PQ Corp. (B/B3)(d)(e)

    5,475,000       5.750     12/15/25   5,611,875

Rayonier AM Products, Inc. (B-/B1)(d)(e)

    458,000       7.625     01/15/26   477,465

SPCM SA (BB+/Ba2)(d)(e)

    3,180,000       4.875     09/15/25   3,279,375

The Chemours Co. (B/B1)(d)

    6,290,000       7.000     05/15/25   6,518,012
    270,000       5.375 (g)    05/15/27   286,200
    3,685,000       5.750 (e)    11/15/28   3,758,700

Tronox Finance PLC (B/B3)(d)(e)

    3,155,000       5.750     10/01/25   3,273,313

Tronox, Inc. (B/B3)(d)(e)

    230,000       6.500     04/15/26   238,338

Tronox, Inc. (B+/Ba3)(d)(e)

    2,100,000       6.500     05/01/25   2,244,375

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Chemicals – (continued)

Valvoline, Inc. (BB-/Ba3)(d)

$

    4,630,000       4.375   08/15/25   $       4,783,716
    1,680,000       3.625 (e)    06/15/31   1,726,200

WR Grace & Co-Conn (BB-/Ba3)(e)

    8,815,000       5.625     10/01/24   9,542,237
    1,018,000       4.875 (d)    06/15/27   1,073,990
       

 

        86,361,730

 

Commercial Services – 3.2%

Algeco Global Finance PLC (B-/B2)(d)(e)

    2,375,000       8.000     02/15/23   2,419,531

Allied Universal Holdco LLC/Allied Universal Finance Corp. (B-/B3)(d)(e)

    1,624,000       6.625     07/15/26   1,725,500

Allied Universal Holdco LLC/Allied Universal Finance Corp.
(CCC/Caa2)(d)(e)

    6,685,000       9.750     07/15/27   7,286,650

APX Group, Inc. (B-/B3)(d)(e)

    3,125,000       6.750     02/15/27   3,359,375

Gartner, Inc. (BB/Ba3)(d)(e)

    1,545,000       3.750     10/01/30   1,628,044

Graham Holdings Co. (BB/Ba1)(d)(e)

    3,350,000       5.750     06/01/26   3,525,875

Herc Holdings, Inc. (B+/B3)(d)(e)

    947,000       5.500     07/15/27   1,006,188

IHS Markit Ltd. (NR/Ba1)(d)

    3,725,000       4.250     05/01/29   4,483,969

Jaguar Holding Co. II/PPD Development LP (B+/B2)(d)(e)

    1,150,000       4.625     06/15/25   1,206,062
    1,350,000       5.000     06/15/28   1,447,875

MPH Acquisition Holdings LLC (B-/B3)(d)(e)

    7,460,000       5.750     11/01/28   7,310,800

Nielsen Finance LLC/Nielsen Finance Co. (BB-/B2)(d)(e)

    1,218,000       5.000     04/15/22   1,221,045

Prime Security Services Borrower LLC/Prime Finance, Inc. (B-/B3)(d)(e)

    7,512,000       6.250     01/15/28   8,056,620

Prime Security Services Borrower LLC/Prime Finance, Inc. (BB-/Ba3)(e)

    1,900,000       5.250     04/15/24   2,023,500
    6,975,000       3.375 (d)    08/31/27   6,887,812

Refinitiv US Holdings, Inc. (B-/Caa2)(d)(e)

    5,814,000       8.250     11/15/26   6,337,260

 

 

GOLDMAN SACHS HIGH YIELD FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Commercial Services – (continued)

Service Corp. International (BB/Ba3)(d)

$

    520,000       3.375   08/15/30   $          538,200

Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc. (B/Ba3)(d)(e)

    1,885,000       4.625     11/01/26   1,950,975

Team Health Holdings, Inc. (CCC/Ca)(d)(e)(g)

    1,605,000       6.375     02/01/25   1,380,300

The ADT Security Corp. (BB-/Ba3)(e)

    585,000       4.875     07/15/32   633,263

The Nielsen Co. Luxembourg S.a.r.l. (BB-/B2)(d)(e)

    1,325,000       5.000     02/01/25   1,361,437

United Rentals North America, Inc. (BB-/Ba3)(d)

    1,041,000       4.875     01/15/28   1,108,665
    1,370,000       3.875     02/15/31   1,438,500

Verscend Escrow Corp. (CCC+/Caa2)(d)(e)

    2,145,000       9.750     08/15/26   2,327,325
       

 

        70,664,771

 

Computers(d)(e) – 1.3%

Austin BidCo, Inc. (CCC+/NR)

    548,000       7.125     12/15/28   572,660

Banff Merger Sub, Inc. (CCC+/Caa2)

    8,510,000       9.750     09/01/26   9,148,250

Booz Allen Hamilton, Inc. (BB-/Ba2)

    1,035,000       3.875     09/01/28   1,064,756

Dell International LLC/EMC Corp. (BB/Ba2)

    1,196,000       5.875     06/15/21   1,197,495
    6,980,000       7.125     06/15/24   7,241,750

MTS Systems Corp. (B/B3)

    600,000       5.750     08/15/27   651,000

Presidio Holdings, Inc. (CCC+/Caa1)

    1,335,000       8.250     02/01/28   1,473,506

Science Applications International Corp. (BB-/B1)

    4,551,000       4.875     04/01/28   4,795,617

Seagate HDD (BB+/Ba1)

    3,432,000       3.375     07/15/31   3,445,213
       

 

        29,590,247

 

Distribution & Wholesale(d)(e) – 1.0%

American Builders & Contractors Supply Co., Inc. (B+/B3)

    3,030,000       5.875     05/15/26   3,147,412

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Distribution & Wholesale(d)(e) – (continued)

Avient Corp. (BB-/Ba3)

$

    2,193,000       5.750   05/15/25   $       2,330,063

Core & Main Holdings LP (CCC+/Caa2)(f) (PIK 9.375%, Cash 8.625%)

    5,000,000       8.625     09/15/24   5,093,750

Core & Main LP (CCC+/Caa2)

    2,725,000       6.125     08/15/25   2,799,937

H&E Equipment Services, Inc. (BB-/B2)

    915,000       3.875     12/15/28   919,575

IAA, Inc. (B/B2)

    1,450,000       5.500     06/15/27   1,535,188

Performance Food Group, Inc. (B/B2)

    946,000       5.500     06/01/24   951,913

Resideo Funding, Inc. (BB/B3)

    4,454,000       6.125     11/01/26   4,700,386

Wolverine Escrow LLC (CCC+/Caa3)

    230,000       8.500     11/15/24   216,200
       

 

        21,694,424

 

Diversified Financial Services – 4.3%

AerCap Holdings NV (BB+/Ba2)(c)(d) (5 Year CMT + 4.535%)

    3,265,000       5.875     10/10/79   3,240,512

Curo Group Holdings Corp. (B-/B3)(d)(e)

    2,835,000       8.250     09/01/25   2,707,425

Global Aircraft Leasing Co. Ltd. (NR/B1)(d)(e)(f) (PIK 7.250%, Cash 6.500%)

    9,641,391       6.500     09/15/24   8,532,631

Icahn Enterprises LP/Icahn Enterprises Finance Corp. (BB/Ba3)(d)

    7,800,000       4.750     09/15/24   8,131,500

LD Holdings Group LLC (B-/B2)(d)(e)

    2,870,000       6.500     11/01/25   2,991,975

Lincoln Financing S.a.r.l. (BB+/B1)(d)(e)

EUR

    3,125,000       3.625     04/01/24   3,855,222

LPL Holdings, Inc. (BB/B1)(d)(e)

$

    820,000       5.750     09/15/25   846,650

Nationstar Mortgage Holdings, Inc. (B/B2)(d)(e)

    2,800,000       6.000     01/15/27   2,975,000
    3,043,000       5.500     08/15/28   3,183,587
    554,000       5.125     12/15/30   578,930

Navient Corp. (B+/Ba3)

    1,090,000       7.250     01/25/22   1,140,413
    3,185,000       5.500     01/25/23   3,344,250

 

 

GOLDMAN SACHS HIGH YIELD FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Diversified Financial Services – (continued)

Navient Corp. (B+/Ba3) – (continued)

$

    6,482,000       5.875   10/25/24   $       6,887,125
    3,035,000       6.750     06/15/26   3,300,562
    5,550,000       5.000 (d)    03/15/27   5,591,625

OneMain Finance Corp. (BB-/Ba3)

    5,190,000       7.125     03/15/26   6,085,275
    3,790,000       5.625     03/15/23   4,074,250
    5,703,000       8.875 (d)    06/01/25   6,451,519
    3,115,000       6.625 (d)    01/15/28   3,691,275
    1,275,000       4.000 (d)    09/15/30   1,318,031

PennyMac Financial Services, Inc. (B+/B2)(d)(e)

    1,733,000       5.375     10/15/25   1,828,315

Quicken Loans, Inc. (BB/Ba1)(d)(e)

    4,525,000       5.250     01/15/28   4,834,682

The Charles Schwab Corp. (BBB/Baa2)(c)(d)

(10 Year CMT + 3.079%)

    2,235,000       4.000     12/31/99   2,346,236

(5 Year CMT + 4.971%)

    1,700,000       5.375     12/31/99   1,892,576

United Shore Financial Services LLC (NR/Ba3)(d)(e)

    4,300,000       5.500     11/15/25   4,504,250
       

 

        94,333,816

 

Electrical – 2.9%

Calpine Corp. (B+/B2)(d)(e)

    2,980,000       5.125     03/15/28   3,136,450

Calpine Corp. (BB+/Ba2)(d)(e)

    4,017,000       5.250     06/01/26   4,157,595
    7,535,000       4.500     02/15/28   7,836,400
    4,730,000       3.750     03/01/31   4,670,875

FirstEnergy Corp. (BB/Ba1)

    1,475,000       2.650 (d)    03/01/30   1,474,198
    590,000       7.375     11/15/31   837,478
    2,690,000       4.850 (d)    07/15/47   3,340,784

FirstEnergy Transmission LLC (BB/Baa2)(d)(e)

    1,475,000       5.450     07/15/44   1,860,426

NRG Energy, Inc. (BB+/Ba2)(d)

    2,990,000       5.750     01/15/28   3,251,625
    1,599,000       3.375 (e)    02/15/29   1,636,976

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Electrical – (continued)

NRG Energy, Inc. (BB+/Ba2)(d) – (continued)

$

    905,000       5.250 %(e)    06/15/29   $          990,975
    4,262,000       3.625 (e)    02/15/31   4,384,532

Pattern Energy Operations LP/Pattern Energy Operations, Inc.
(BB-/Ba3)(d)(e)

    1,705,000       4.500     08/15/28   1,798,775

PG&E Corp. (BB-/B1)(d)

    275,000       5.000     07/01/28   292,875
    2,190,000       5.250     07/01/30   2,409,000

Pike Corp. (CCC+/B3)(d)(e)

    2,905,000       5.500     09/01/28   3,057,513

Talen Energy Supply LLC (BB-/Ba3)(d)(e)

    3,850,000       7.250     05/15/27   4,081,000
    1,675,000       6.625     01/15/28   1,754,563

Talen Energy Supply LLC (CCC+/B3)(d)

    4,380,000       6.500     06/01/25   3,536,850
    2,050,000       10.500 (e)    01/15/26   1,824,500

Vistra Operations Co. LLC (BB+/Ba2)(d)(e)

    1,249,000       5.625     02/15/27   1,330,185
    6,875,000       5.000     07/31/27   7,304,687
       

 

        64,968,262

 

Electrical Components & Equipment(d)(e) – 0.4%

Energizer Holdings, Inc. (B+/B2)

    1,645,000       4.375     03/31/29   1,702,575

Wesco Distribution, Inc. (BB-/B2)

    5,824,000       7.125     06/15/25   6,384,560
       

 

        8,087,135

 

Electronics(e) – 0.3%

Sensata Technologies B.V. (BB+/Ba3)

    1,040,000       5.000     10/01/25   1,151,800

Sensata Technologies, Inc. (BB+/Ba3)(d)

    3,475,000       4.375     02/15/30   3,748,656
    1,557,000       3.750     02/15/31   1,607,603

TTM Technologies, Inc. (BB-/Ba3)(d)

    975,000       5.625     10/01/25   998,156
       

 

        7,506,215

 

 

GOLDMAN SACHS HIGH YIELD FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Energy-Alternate Sources(d)(e) – 0.0%

Enviva Partners LP/Enviva Partners Finance Corp. (B+/B1)

$

    690,000       6.500   01/15/26   $          732,263

 

Engineering & Construction(d)(e) – 0.1%

KBR, Inc. (B+/B1)

    1,707,000       4.750     09/30/28   1,779,547

MasTec, Inc. (BB/Ba2)

    449,000       4.500     08/15/28   470,889
       

 

        2,250,436

 

Entertainment(d)(e) – 2.5%

Allen Media LLC/Allen Media Co-Issuer, Inc. (B-/Caa1)

    3,500,000       10.500     02/15/28   3,644,375

AMC Entertainment Holdings, Inc. (CCC/Caa2)

    1,263,000       10.500     04/15/25   896,730

Banijay Group SAS (CCC+/Caa1)

EUR

    1,275,000       6.500     03/01/26   1,561,171

Caesars Entertainment, Inc. (B/B1)

$

    1,893,000       6.250     07/01/25   2,016,045

Caesars Entertainment, Inc. (CCC+/Caa1)

    3,499,000       8.125     07/01/27   3,870,769

Caesars Resort Collection LLC/CRC Finco, Inc. (B+/B1)

    1,471,000       5.750     07/01/25   1,553,744

Caesars Resort Collection LLC/CRC Finco, Inc. (CCC+/Caa1)

    5,310,000       5.250     10/15/25   5,363,100

Cedar Fair LP/Canada’s Wonderland Co/Magnum Management Corp./Millennium Op (B/Ba2)

    1,844,000       5.500     05/01/25   1,926,980

Cinemark USA, Inc. (BB-/Ba3)

    990,000       8.750     05/01/25   1,069,200

International Game Technology PLC (BB/Ba3)

    2,556,000       5.250     01/15/29   2,754,090

Lions Gate Capital Holdings LLC (CCC+/B3)

    235,000       6.375     02/01/24   240,875
    6,775,000       5.875     11/01/24   6,876,625

Live Nation Entertainment, Inc. (B+/B1)

    1,005,000       3.750     01/15/28   1,015,050

Live Nation Entertainment, Inc. (B-/B3)

    1,700,000       5.625     03/15/26   1,742,500

Motion Bondco DAC (CCC-/Caa2)(g)

    2,235,000       6.625     11/15/27   2,318,812

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Entertainment(d)(e) – (continued)

Penn National Gaming, Inc. (B/B3)

$

    2,175,000       5.625   01/15/27   $       2,272,875

Pinewood Finance Co. Ltd. (BB/NR)

GBP

    1,200,000       3.250     09/30/25   1,671,392

Scientific Games International, Inc. (B-/Caa2)

$

    2,964,000       8.250     03/15/26   3,193,710
    1,280,000       7.000     05/15/28   1,372,800

SeaWorld Parks & Entertainment, Inc. (CCC/Caa2)

    2,975,000       9.500     08/01/25   3,220,437

Six Flags Theme Parks, Inc. (B/Ba2)

    1,711,000       7.000     07/01/25   1,852,158

Vail Resorts, Inc. Co. (BB/B1)

    463,000       6.250     05/15/25   494,253

WMG Acquisition Corp. (BB/Ba3)

    1,230,000       3.875     07/15/30   1,303,800
    2,996,000       3.000     02/15/31   2,936,080

WMG Acquisition Corp. (BB-/B2)

    1,225,000       5.500     04/15/26   1,269,406
       

 

        56,436,977

 

Environmental(d) – 0.6%

Covanta Holding Corp. (B/B1)

    395,000       5.000     09/01/30   421,663

GFL Environmental, Inc. (B-/B3)(e)

    4,113,000       8.500     05/01/27   4,575,712

GFL Environmental, Inc. (BB-/Ba3)(e)

    700,000       4.250     06/01/25   728,000
    2,420,000       3.750     08/01/25   2,471,425
    3,547,000       3.500     09/01/28   3,617,940

Waste Pro USA, Inc. (B/Caa1)(e)

    909,000       5.500     02/15/26   927,180
       

 

        12,741,920

 

 

GOLDMAN SACHS HIGH YIELD FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Food & Drug Retailing – 4.7%

Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC (BB-/B1)(d)

$

    3,839,000       3.500 %(e)    03/15/29   $       3,867,792
    3,944,000       5.750     03/15/25   4,062,320
    510,000       7.500 (e)    03/15/26   568,013
    5,385,000       4.625 (e)    01/15/27   5,694,637
    4,025,000       5.875 (e)    02/15/28   4,372,156
    2,630,000       4.875 (e)    02/15/30   2,886,425

B&G Foods, Inc. (B/B2)(d)

    3,415,000       5.250     04/01/25   3,517,450
    235,000       5.250     09/15/27   249,394

Chobani LLC/Chobani Finance Corp., Inc. (CCC/Caa2)(d)(e)

    3,157,000       7.500     04/15/25   3,291,172

FAGE International SA/FAGE USA Dairy Industry, Inc. (B+/B2)(d)(e)

    1,505,000       5.625     08/15/26   1,544,506

H-Food Holdings LLC/Hearthside Finance Co., Inc. (CCC/Caa2)(d)(e)

    5,299,000       8.500     06/01/26   5,537,455

JBS USA LUX SA/JBS USA Finance, Inc. (BB+/Ba2)(d)(e)

    2,275,000       5.750     06/15/25   2,348,938

JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. (BB+/Ba2)(d)(e)

    950,000       6.500     04/15/29   1,106,750
    3,200,000       5.500     01/15/30   3,684,000

Kraft Heinz Foods Co. (BB+/Baa3)(d)

    16,075,000       3.000     06/01/26   16,777,092
    1,752,000       4.625     01/30/29   2,001,471
    770,000       4.250 (e)    03/01/31   857,176
    6,745,000       4.875 (e)    10/01/49   7,847,531

Lamb Weston Holdings, Inc. (BB+/Ba2)(d)(e)

    705,000       4.875     05/15/28   784,313

New Albertsons LP (B/WR)

    3,100,000       7.450     08/01/29   3,627,000

Post Holdings, Inc. (B+/B2)(d)(e)

    1,535,000       5.000     08/15/26   1,584,888
    4,945,000       5.750     03/01/27   5,241,700
    6,180,000       5.625     01/15/28   6,589,425
    4,080,000       4.625     04/15/30   4,284,000

SEG Holding LLC/SEG Finance Corp. (B+/B2)(d)(e)

    370,000       5.625     10/15/28   390,350

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Food & Drug Retailing – (continued)

Sigma Holdco B.V. (B-/Caa1)(d)(e)

$

    2,350,000       7.875   05/15/26   $       2,411,687

TreeHouse Foods, Inc. (BB-/B2)(d)

    849,000       4.000     09/01/28   874,470

United Natural Foods, Inc. (CCC+/B3)(d)(e)

    3,427,000       6.750     10/15/28   3,572,647

US Foods, Inc. (B+/Caa1)(d)(e)

    2,655,000       5.875     06/15/24   2,684,869

US Foods, Inc. (BB-/B3)(d)(e)

    1,980,000       6.250     04/15/25   2,116,125
       

 

        104,375,752

 

Food Service(d)(e) – 0.0%

Aramark Services, Inc. (B+/B1)

    582,000       6.375     05/01/25   624,195

 

Forest Products&Paper(d) – 0.3%

Mercer International, Inc. (B+/Ba3)

    4,950,000       7.375     01/15/25   5,135,625
    2,305,000       5.500     01/15/26   2,339,575
       

 

        7,475,200

 

Gaming – 1.8%

Boyd Gaming Corp. (B-/Caa1)(d)

    695,000       8.625 (e)    06/01/25   773,188
    1,585,000       6.000     08/15/26   1,650,381
    2,200,000       4.750     12/01/27   2,285,250

Hilton Domestic Operating Co., Inc. (BB/Ba2)(d)

    1,235,000       5.375 (e)    05/01/25   1,315,275
    1,599,000       5.750 (e)    05/01/28   1,746,907
    1,970,000       4.875     01/15/30   2,162,075

Marriott International, Inc. (BBB-/Baa3)(d)

    998,000       4.625     06/15/30   1,170,375

MGM China Holdings Ltd. (BB-/Ba3)(d)(e)

    910,000       5.250     06/18/25   944,978

MGM Resorts International (BB-/Ba3)

    2,569,000       7.750     03/15/22   2,735,985
    5,630,000       6.000     03/15/23   5,995,950
    5,648,000       5.500 (d)    04/15/27   6,290,460
    1,483,000       4.750 (d)    10/15/28   1,579,395

 

 

GOLDMAN SACHS HIGH YIELD FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Gaming – (continued)

Sands China Ltd. (BBB-/Baa2)(d)(e)

$

    630,000       4.375   06/18/30   $          693,000

Station Casinos LLC (B-/Caa1)(d)(e)

    3,912,000       4.500     02/15/28   3,931,560

Wyndham Destinations, Inc. (BB-/Ba3)(d)(e)

    3,370,000       4.625     03/01/30   3,555,350

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. (BB-/B1)(d)(e)

    2,350,000       5.500     03/01/25   2,452,812

Wynn Macau Ltd. (BB-/B1)(d)(e)

    1,510,000       5.625     08/26/28   1,582,563
       

 

        40,865,504

 

Gas(d) – 0.4%

AmeriGas Partners LP/AmeriGas Finance Corp. (NR/Ba3)

    550,000       5.875     08/20/26   621,500
    7,580,000       5.750     05/20/27   8,622,250
       

 

        9,243,750

 

Hand/Machine Tools(d)(e) – 0.0%

Colfax Corp. (BB/Ba2)

    360,000       6.000     02/15/24   373,050

 

Healthcare Providers & Services – 4.2%

Acadia Healthcare Co, Inc. (B-/B3)(d)

    1,400,000       5.500 (e)    07/01/28   1,498,000
    415,000       5.625     02/15/23   416,556
    1,070,000       6.500     03/01/24   1,095,413

Centene Corp. (BBB-/Ba1)(d)

    1,755,000       4.625     12/15/29   1,947,155
    7,100,000       3.375     02/15/30   7,483,045

CHS/Community Health Systems, Inc. (B-/Caa2)(d)(e)

    225,000       8.625     01/15/24   234,281
    3,940,000       8.000     03/15/26   4,255,200
    4,120,000       5.625     03/15/27   4,444,450

CHS/Community Health Systems, Inc. (CCC-/Ca)(d)(e)

    2,200,000       8.125     06/30/24   2,282,500

DaVita, Inc. (B+/Ba3)(d)(e)

    2,800,000       4.625     06/01/30   2,968,000
    3,610,000       3.750     02/15/31   3,646,100

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Healthcare Providers & Services – (continued)

Encompass Health Corp. (B+/B1)(d)

$

    3,950,000       4.500   02/01/28   $       4,127,750

Global Medical Response, Inc. (B/B2)(d)(e)

    3,490,000       6.500     10/01/25   3,655,775

HCA, Inc. (BB-/Ba2)

    735,000       5.875     05/01/23   804,825
    6,120,000       5.375     02/01/25   6,862,050
    590,000       5.875 (d)    02/01/29   710,213
    6,795,000       3.500 (d)    09/01/30   7,160,231

Hill-Rom Holdings, Inc. (BB/Ba3)(d)(e)

    1,005,000       5.000     02/15/25   1,030,125

Hologic, Inc. (BB-/Ba2)(d)(e)

    760,000       3.250     02/15/29   774,250

Lifepoint Health, Inc. (CCC+/Caa1)(d)(e)

    2,205,000       5.375     01/15/29   2,213,489

MEDNAX, Inc. (B+/B1)(d)(e)

    1,365,000       6.250     01/15/27   1,463,963

Molina Healthcare, Inc. (BB-/Ba3)(d)(e)

    1,860,000       3.875     11/15/30   1,971,600

RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc. (CCC+/Caa1)(d)(e)

    5,635,000       9.750     12/01/26   6,156,237

Select Medical Corp. (B-/B3)(d)(e)

    1,300,000       6.250     08/15/26   1,397,500

Syneos Health, Inc. (BB-/B2)(d)(e)

    1,808,000       3.625     01/15/29   1,812,520

Tenet Healthcare Corp. (NR/B1)(d)(e)

    3,000,000       4.625     09/01/24   3,060,000

Tenet Healthcare Corp. (BB-/B1)(d)

    2,475,000       4.625     07/15/24   2,536,875
    2,700,000       7.500 (e)    04/01/25   2,956,500
    4,200,000       4.625 (e)    06/15/28   4,420,500

Tenet Healthcare Corp. (CCC+/B1)(d)(e)

    600,000       6.250     02/01/27   634,500

Tenet Healthcare Corp. (CCC+/Caa1)(d)

    5,940,000       7.000     08/01/25   6,155,325

West Street Merger Sub, Inc. (CCC/Caa2)(d)(e)

    2,425,000       6.375     09/01/25   2,479,562
       

 

        92,654,490

 

 

GOLDMAN SACHS HIGH YIELD FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Home Builders – 0.9%

Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (B+/B1)(d)(e)

$

    5,400,000       6.375   05/15/25   $       5,494,500
    1,057,000       4.875     02/15/30   1,092,674

Installed Building Products, Inc. (B+/B3)(d)(e)

    1,250,000       5.750     02/01/28   1,329,687

Mattamy Group Corp. (BB/B1)(d)(e)

    2,800,000       5.250     12/15/27   2,964,500
    1,518,000       4.625     03/01/30   1,601,490

Taylor Morrison Communities, Inc. (BB/Ba3)(d)(e)

    605,000       5.875     06/15/27   684,406
    1,201,000       5.125     08/01/30   1,345,120

TRI Pointe Group, Inc. (BB-/Ba3)(d)

    1,910,000       5.250     06/01/27   2,072,350
    1,472,000       5.700     06/15/28   1,661,520

TRI Pointe Group, Inc./TRI Pointe Homes, Inc. (BB-/Ba3)

    695,000       5.875     06/15/24   757,550

Williams Scotsman International, Inc. (B+/B3)(d)(e)

    845,000       4.625     08/15/28   874,575
       

 

        19,878,372

 

Household Products(d) – 0.7%

Central Garden & Pet Co. (BB/B1)

    2,365,000       4.125     10/15/30   2,471,425

Kronos Acquisition Holdings, Inc. (CCC/Caa1)(e)

    6,985,000       9.000     08/15/23   7,150,894

Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc. (CCC/Caa2)(e)

    2,458,000       7.000     12/31/27   2,571,683

Prestige Brands, Inc. (B+/B3)(e)

    1,550,000       5.125     01/15/28   1,654,625

Spectrum Brands, Inc. (B/B2)

    2,550,000       5.750     07/15/25   2,629,687
       

 

        16,478,314

 

Housewares(d) – 0.3%

CD&R Smokey Buyer, Inc. (B/B2)(e)

    950,000       6.750     07/15/25   1,015,313

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Housewares(d) – (continued)

Newell Brands, Inc. (BB+/Ba1)

$

    1,043,000       4.875   06/01/25   $       1,144,693
    4,565,000       4.700     04/01/26   5,032,912
       

 

        7,192,918

 

Insurance(d)(e) – 1.2%

Acrisure LLC/Acrisure Finance, Inc. (B/B2)

    3,280,000       8.125     02/15/24   3,472,700

Acrisure LLC/Acrisure Finance, Inc. (CCC+/Caa2)

    4,075,000       7.000     11/15/25   4,248,187

Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer (CCC+/Caa2)

    8,651,000       6.750     10/15/27   9,202,501

AssuredPartners, Inc. (CCC+/Caa2)

    695,000       5.625     01/15/29   725,406

GTCR AP Finance, Inc. (CCC+/Caa2)

    3,550,000       8.000     05/15/27   3,856,188

HUB International Ltd. (CCC+/Caa2)

    2,580,000       7.000     05/01/26   2,683,200

USI, Inc. (CCC+/Caa2)

    2,510,000       6.875     05/01/25   2,575,888
       

 

        26,764,070

 

Internet – 2.0%

Adevinta ASA (NR/Ba3)(d)(e)

EUR

    475,000       2.625     11/15/25   593,044

Adevinta ASA (BB-/Ba3)(d)(e)

    375,000       3.000     11/15/27   473,594

ANGI Group LLC (BB-/Ba3)(d)(e)

$

    3,715,000       3.875     08/15/28   3,742,863

Arches Buyer, Inc. (CCC+/Caa1)(d)(e)

    718,000       6.125     12/01/28   741,335

Cablevision Lightpath LLC (B+/B1)(d)(e)

    200,000       3.875     09/15/27   201,250

Cars.com, Inc. (B/B3)(d)(e)

    3,342,000       6.375     11/01/28   3,542,520

Expedia Group, Inc. (BBB-/Baa3)(d)(e)

    2,170,000       6.250     05/01/25   2,516,614
    797,000       4.625     08/01/27   888,846

Getty Images, Inc. (CCC+/Caa2)(d)(e)

    3,145,000       9.750     03/01/27   3,333,700

Go Daddy Operating Co. LLC/GD Finance Co., Inc. (BB-/B1)(d)(e)

    2,620,000       5.250     12/01/27   2,754,275

 

 

GOLDMAN SACHS HIGH YIELD FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount

    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Internet – (continued)

GrubHub Holdings, Inc. (BB-/B1)(d)(e)

$

    4,861,000       5.500   07/01/27   $       5,091,897

Match Group Holdings II LLC (BB/Ba3)(d)(e)

    4,227,000       4.625     06/01/28   4,438,350
    181,000       4.125     08/01/30   186,883

Netflix, Inc. (BB/Ba3)

    1,684,000       3.625 (d)(e)    06/15/25   1,791,355
    2,082,000       4.875     04/15/28   2,342,250
    585,000       5.875     11/15/28   699,075

Twitter, Inc. (BB+/Ba2)(d)(e)

    2,954,000       3.875     12/15/27   3,146,010

Uber Technologies, Inc. (CCC+/B3)(d)(e)

    6,570,000       7.500     05/15/25   7,087,387
    225,000       8.000     11/01/26   244,688
    730,000       6.250     01/15/28   793,875
       

 

        44,609,811

 

Iron/Steel(d) – 0.4%

Cleveland-Cliffs, Inc. (B/B2)(e)

    3,100,000       6.750     03/15/26   3,324,750

Cleveland-Cliffs, Inc. (CCC/B3)

    4,354,000       5.750     03/01/25   4,408,425
       

 

        7,733,175

 

Leisure Time – 0.6%

Carnival Corp. (B/B2)(d)(e)

    1,060,000       7.625     03/01/26   1,154,075

Carnival Corp. (BB-/B1)(d)

EUR

    1,000,000       10.125     02/01/26   1,410,310

$

    1,360,000       9.875 (e)    08/01/27   1,565,700

NCL Corp. Ltd. (BB-/B1)(d)(e)

    2,843,000       10.250     02/01/26   3,340,525

Royal Caribbean Cruises Ltd. (NR/NR)(e)

    95,000       4.250     06/15/23   127,259

Royal Caribbean Cruises Ltd. (BB/Ba2)(d)(e)

    1,253,000       10.875     06/01/23   1,422,155

Royal Caribbean Cruises Ltd. (BB-/B2)(d)(e)

    1,615,000       9.125     06/15/23   1,752,275

 

Principal
Amount

    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Leisure Time – (continued)

VOC Escrow Ltd. (B+/B2)(d)(e)

$

    2,595,000       5.000   02/15/28   $       2,582,025
       

 

        13,354,324

 

Lodging(d)(e) – 0.2%

Hilton Domestic Operating Co, Inc. (BB/Ba2)

    1,497,000       4.000     05/01/31   1,571,850

Wyndham Destinations, Inc. (BB-/Ba3)

    1,476,000       6.625     07/31/26   1,682,640
       

 

        3,254,490

 

Machinery - Construction & Mining(d)(e) – 0.2%

The Manitowoc Co., Inc. (B/B3)

    4,465,000       9.000     04/01/26   4,822,200

 

Machinery-Diversified(d)(e) – 0.5%

Clark Equipment Co. (BB+/Ba3)

    1,782,000       5.875     06/01/25   1,880,010

GrafTech Finance, Inc. (BB-/B1)

    1,415,000       4.625     12/15/28   1,429,150

Husky III Holding Ltd. (CCC/Caa2)(f)

    2,612,000       13.000     02/15/25   2,840,550

Titan Acquisition Ltd./Titan Co-Borrower LLC (CCC/Caa2)

    3,375,000       7.750     04/15/26   3,510,000

Vertical Holdco Gmbh Co. (CCC/Caa1)

    545,000       7.625     07/15/28   592,688

Vertical US New Co., Inc. (B/B1)

    275,000       5.250     07/15/27   289,781
       

 

        10,542,179

 

Media – 7.6%

Altice Financing SA (B/B2)(d)(e)

    3,050,000       7.500     05/15/26   3,210,125

AMC Networks, Inc. (BB/Ba3)(d)

    1,150,000       5.000     04/01/24   1,170,125
    1,015,000       4.750     08/01/25   1,047,988

CCO Holdings LLC/CCO Holdings Capital Corp. (BB/B1)(d)(e)

    11,430,000       5.750     02/15/26   11,815,762
    1,680,000       5.500     05/01/26   1,743,000
    2,800,000       4.750     03/01/30   3,017,000
    1,800,000       4.500     08/15/30   1,917,000

 

 

GOLDMAN SACHS HIGH YIELD FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount

    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Media – (continued)

CCO Holdings LLC/CCO Holdings Capital Corp. (BB/B1)(d)(e)

$

    6,640,000       4.250   02/01/31   $       6,996,900

CSC Holdings LLC (B/B3)

    10,000       5.250     06/01/24   10,813
    1,142,000       5.750 (d)(e)    01/15/30   1,250,490
    12,574,000       4.625 (d)(e)    12/01/30   13,092,677

CSC Holdings LLC (BB/Ba3)(d)(e)

    4,839,000       5.500     05/15/26   5,020,462
    4,270,000       5.500     04/15/27   4,526,200
    4,319,000       3.375     02/15/31   4,259,614

Cumulus Media New Holdings, Inc. (B/B2)(d)(e)

    4,110,000       6.750     07/01/26   4,192,200

Diamond Sports Group LLC/Diamond Sports Finance Co. (B/B3)(d)(e)

    9,245,000       6.625     08/15/27   5,593,225

Diamond Sports Group LLC/Diamond Sports Finance Co. (BB-/Ba3)(d)(e)

    1,750,000       5.375     08/15/26   1,421,875

DISH DBS Corp. (B-/B2)

    6,290,000       5.875     07/15/22   6,565,187
    5,880,000       5.000     03/15/23   6,078,450
    230,000       5.875     11/15/24   240,638
    3,890,000       7.750     07/01/26   4,347,075
    1,975,000       7.375 (d)    07/01/28   2,103,375

Entercom Media Corp. (B-/B3)(d)(e)

    6,651,000       6.500     05/01/27   6,750,765

Entercom Media Corp. (CCC+/Caa1)(d)(e)

    2,810,000       7.250     11/01/24   2,817,025

Gray Television, Inc. (B+/B3)(d)(e)

    4,130,000       7.000     05/15/27   4,522,350

iHeartCommunications, Inc. (B+/B1)(d)(e)

    3,890,000       5.250     08/15/27   4,084,500
    1,050,000       4.750     01/15/28   1,081,500

Meredith Corp. (BB-/Ba3)(d)(e)

    1,035,000       6.500     07/01/25   1,102,275

Meredith Corp. (CCC+/Caa1)(d)

    1,710,000       6.875     02/01/26   1,675,800

Nexstar Broadcasting, Inc. (B/B3)(d)(e)

    1,950,000       5.625     07/15/27   2,093,813
    1,413,000       4.750     11/01/28   1,474,819

 

Principal
Amount

    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Media – (continued)

Radiate Holdco LLC/Radiate Finance, Inc. (B/B1)(d)(e)

$

    1,968,000       4.500   09/15/26   $       2,027,040

Scripps Escrow II, Inc. (CCC+/Caa1)(d)(e)

    485,000       5.375     01/15/31   509,250

Scripps Escrow, Inc. (B-/Caa1)(d)(e)

    3,885,000       5.875     07/15/27   4,050,112

Sinclair Television Group, Inc. (B/B2)(d)(e)

    230,000       5.500     03/01/30   239,200

Sinclair Television Group, Inc. (BB/Ba2)(d)(e)

    3,180,000       4.125     12/01/30   3,251,550

Sirius XM Radio, Inc. (BB/Ba3)(d)(e)

    5,535,000       5.000     08/01/27   5,839,425
    3,909,000       4.125     07/01/30   4,153,312

TEGNA, Inc. (BB-/Ba3)(d)(e)

    761,000       4.750     03/15/26   809,514
    3,450,000       4.625     03/15/28   3,540,563

The E.W. Scripps Co. (B-/Caa1)(d)(e)

    5,275,000       5.125     05/15/25   5,380,500

Univision Communications, Inc. (B/B2)(d)(e)

    240,000       5.125     02/15/25   242,400
    2,400,000       6.625     06/01/27   2,577,000

Virgin Media Finance PLC (B/B2)(d)(e)

    4,150,000       5.000     07/15/30   4,310,812

Virgin Media Secured Finance PLC (BB-/Ba3)(d)(e)

    3,605,000       5.500     08/15/26   3,749,200
    2,150,000       5.500     05/15/29   2,322,000

Virgin Media Vendor Financing Notes III DAC (B/B2)(d)(e)

GBP

    1,575,000       4.875     07/15/28   2,197,213

Virgin Media Vendor Financing Notes IV DAC (B/B2)(d)(e)

    1,850,000       5.000     07/15/28   1,914,750

Ziggo Bond Co. B.V. (B-/B3)(d)

EUR

    2,175,000       3.375 (e)    02/28/30   2,666,362
    1,725,000       3.375     02/28/30   2,114,701

$

    1,725,000       5.125 (e)    02/28/30   1,815,563
       

 

        168,933,495

 

 

GOLDMAN SACHS HIGH YIELD FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Mining(d) – 1.4%

Alcoa Nederland Holding B.V. (BB+/Ba1)(e)

$

    3,250,000       7.000   09/30/26   $       3,465,312
    2,790,000       5.500     12/15/27   3,037,613

Constellium SE (B/B2)(e)

    1,600,000       5.875     02/15/26   1,640,800
    950,000       5.625     06/15/28   1,021,250

FMG Resources August 2006 Pty Ltd. (BB+/Ba1)(e)

    5,240,000       5.125     03/15/23   5,515,100

Freeport-McMoRan, Inc. (BB/Ba1)

    2,990,000       4.375     08/01/28   3,169,400
    2,420,000       4.625     08/01/30   2,637,800
    295,000       5.400     11/14/34   368,750

Hudbay Minerals, Inc. (B/B3)(e)

    3,870,000       6.125     04/01/29   4,189,275

Novelis Corp. (B+/B2)(e)

    2,410,000       5.875     09/30/26   2,518,450
    2,325,000       4.750     01/30/30   2,484,844
       

 

        30,048,594

 

Miscellaneous Manufacturing – 0.5%

Bombardier, Inc. (CCC/Caa3)(e)

    2,250,000       8.750     12/01/21   2,328,750
    1,015,000       5.750     03/15/22   1,035,300
    3,440,000       6.125     01/15/23   3,371,200

EnPro Industries, Inc. (BB/B1)(d)

    3,095,000       5.750     10/15/26   3,288,437

Hillenbrand, Inc. (BB+/Ba1)(d)

    665,000       5.750     06/15/25   719,863
       

 

        10,743,550

 

Office & Business Equipment(d) – 0.4%

Xerox Corp. (BB/Ba1)

    3,345,000       4.375     03/15/23   3,516,431

Xerox Holdings Corp. (BB/Ba1)(e)

    5,200,000       5.000     08/15/25   5,512,000
    585,000       5.500     08/15/28   620,100
       

 

        9,648,531

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Oil Field Services – 6.4%

Antero Resources Corp. (B/B3)(d)

$

    1,305,000       5.125   12/01/22   $       1,305,000

Apache Corp. (BB+/Ba1)(d)

    900,000       4.625     11/15/25   943,875
    3,475,000       4.375     10/15/28   3,596,625
    2,250,000       4.250     01/15/30   2,362,500

Berry Petroleum Co. LLC (B/B3)(d)(e)

    2,990,000       7.000     02/15/26   2,526,550

Cenovus Energy, Inc. (BBB-/Ba2)

    447,000       3.000 (d)    08/15/22   455,050
    4,108,000       3.800 (d)    09/15/23   4,279,057
    2,200,000       5.375 (d)    07/15/25   2,479,972
    1,470,000       5.250 (d)    06/15/37   1,657,866
    2,090,000       6.750     11/15/39   2,724,315

Continental Resources, Inc. (BB+/Ba1u)(d)

    911,000       4.500     04/15/23   938,330
    1,775,000       3.800     06/01/24   1,828,250
    4,650,000       5.750 (e)    01/15/31   5,161,500
    2,660,000       4.900     06/01/44   2,620,100

EQT Corp. (BB/Ba3)(d)

    2,100,000       3.000     10/01/22   2,121,000
    2,400,000       7.875     02/01/25   2,736,000

Exterran Energy Solutions LP/EES Finance Corp. (B/B1)(d)

    2,835,000       8.125     05/01/25   2,367,225

Laredo Petroleum, Inc. (B-/Caa1)(d)

    3,968,000       9.500     01/15/25   3,491,840

MEG Energy Corp. (B-/B3)(d)(e)

    1,653,000       7.000     03/31/24   1,665,397
    3,935,000       7.125     02/01/27   4,053,050

Nabors Industries Ltd. (CCC-/Caa1)(d)(e)

    2,655,000       7.250     01/15/26   1,855,181

Nabors Industries, Inc. (B-/B3)(d)(e)

    1,133,000       9.000     02/01/25   1,090,513

Noble Holding International Ltd. (NR/WR)(d)(h)

    730,000       7.750     01/15/24   13,542
    3,100,000       7.875 (e)    02/01/26   1,228,375

 

 

GOLDMAN SACHS HIGH YIELD FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Oil Field Services – (continued)

Occidental Petroleum Corp. (BB-/Ba2)

$

    7,960,000       8.000 %(d)    07/15/25   $        8,994,800
    3,000,000       5.875 (d)    09/01/25   3,195,000
    795,000       5.500 (d)    12/01/25   824,813
    9,267,000       6.450     09/15/36   9,684,015
    14,817,000       4.400 (d)    04/15/46   12,816,705
    4,142,000       4.200 (d)    03/15/48   3,396,440
    3,317,000       4.400 (d)    08/15/49   2,794,572

Ovintiv Exploration, Inc. (BBB-/Ba1)

    5,360,000       5.625     07/01/24   5,755,300

Parsley Energy LLC/Parsley Finance Corp. (BB/Ba3)(d)(e)

    2,000,000       5.375     01/15/25   2,047,500

Precision Drilling Corp. (B/B3)(d)

    5,320,000       7.750     12/15/23   4,947,600

Range Resources Corp. (B+/B3)(d)

    1,088,000       5.000     03/15/23   1,060,800
    5,000       4.875     05/15/25   4,688

SM Energy Co. (B/B3)(d)(e)

    1,288,000       10.000     01/15/25   1,391,040

Southwestern Energy Co. (BB-/Ba3)(d)

    2,710,000       7.750     10/01/27   2,913,250

Sunoco LP/Sunoco Finance Corp. (BB-/B1)(d)

    925,000       5.500     02/15/26   948,125
    325,000       6.000     04/15/27   344,094
    1,495,000       4.500 (e)    05/15/29   1,552,931

Transocean Phoenix 2 Ltd. (CCC+/NR)(d)(e)

    2,577,000       7.750     10/15/24   2,512,575

Transocean Poseidon Ltd. (CCC+/Caa1)(d)(e)

    3,183,000       6.875     02/01/27   2,896,530

Transocean, Inc. (CCC/Caa3)(d)(e)

    4,108,000       11.500     01/30/27   2,978,300

Transocean, Inc. (CCC-/Ca)(d)(e)

    5,055,000       7.500     01/15/26   2,325,300

USA Compression Partners LP/USA Compression Finance Corp. (B+/B3)(d)

    7,760,000       6.875     04/01/26   8,128,600

Valaris PLC (NR/WR)(d)(h)

    4,550,000       5.400     12/01/42   273,000
    3,100,000       5.750     10/01/44   127,875

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Oil Field Services – (continued)

WPX Energy, Inc. (BB-/B1)(d)

$

    2,185,000       5.250   09/15/24   $       2,370,725
    3,275,000       5.875     06/15/28   3,561,562
    1,039,000       4.500     01/15/30   1,106,535
       

 

        142,453,788

 

Packaging – 2.8%

ARD Finance SA (B-/Caa3)(d)(f)

(PIK 5.750%, Cash 5.000%)

EUR

    3,125,000       5.000     06/30/27   3,885,153

(PIK 7.250%, Cash 6.500%)

$

    3,425,000       6.500 (e)    06/30/27   3,630,500

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (B/Caa1)(d)(e)

    8,305,000       5.250     08/15/27   8,659,237

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (BB/B1)(d)(e)

    2,910,000       5.250     04/30/25   3,062,775

Berry Global, Inc. (BB/B2)(d)

    109,000       5.125     07/15/23   110,499
    4,050,000       5.625 (e)    07/15/27   4,353,750

CANPACK SA/Eastern PA Land Investment Holding LLC (BB/Ba2)(d)(e)

    605,000       3.125     11/01/25   610,294

Flex Acquisition Co., Inc. (CCC+/Caa2)(d)(e)

    2,420,000       6.875     01/15/25   2,453,275
    235,000       7.875     07/15/26   247,337

Graphic Packaging International LLC (BB+/Ba2)(e)

    1,394,000       3.500     03/15/28   1,439,305

LABL Escrow Issuer LLC (B/B2)(d)(e)

    3,715,000       6.750     07/15/26   3,993,625

LABL Escrow Issuer LLC (B-/Caa2)(d)(e)

    3,030,000       10.500     07/15/27   3,408,750

Mauser Packaging Solutions Holding Co. (CCC/Caa3)(d)(e)

    6,025,000       7.250     04/15/25   6,115,375

Owens-Brockway Glass Container, Inc. (B/B3)(e)

    4,270,000       5.875     08/15/23   4,574,237

Pactiv LLC (B-/Caa1)

    1,965,000       8.375     04/15/27   2,299,050

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu (B+/B1)(d)(e)

    133,000       5.125     07/15/23   134,663
    3,631,000       4.000     10/15/27   3,708,159

 

 

GOLDMAN SACHS HIGH YIELD FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Packaging – (continued)

Trident TPI Holdings, Inc. (CCC+/Caa2)(d)(e)

$

    2,200,000       6.625   11/01/25   $       2,235,750

Trivium Packaging Finance B.V. (B/B2)(d)(e)

    1,775,000       5.500     08/15/26   1,874,844

Trivium Packaging Finance B.V. (CCC+/Caa2)(d)(e)

    5,730,000       8.500     08/15/27   6,295,837
       

 

        63,092,415

 

Pharmaceuticals – 2.7%

AdaptHealth LLC (B/B1)(d)(e)

    985,000       6.125     08/01/28   1,058,875
    595,000       4.625     08/01/29   611,363

Bausch Health Americas, Inc. (B/B3)(d)(e)

    14,060,000       9.250     04/01/26   15,659,325
    2,585,000       8.500     01/31/27   2,875,812
    2,946,000       5.250     02/15/31   3,078,570
    6,100,000       6.125     04/15/25   6,275,375
    2,595,000       5.000     01/30/28   2,666,362
    5,478,000       6.250     02/15/29   5,929,935
    2,595,000       5.250     01/30/30   2,711,775

Bausch Health Cos., Inc. (BB/Ba2)(d)(e)

    465,000       5.500     11/01/25   478,950

Cheplapharm Arzneimittel GmbH (B/B2)(d)(e)

    1,694,000       5.500     01/15/28   1,759,643

Herbalife Nutrition Ltd./HLF Financing, Inc. (BB-/B1)(d)(e)

    1,408,000       7.875     09/01/25   1,534,720

HLF Financing S.a.r.l. LLC/Herbalife International, Inc. (BB-/B1)(d)(e)

    5,425,000       7.250     08/15/26   5,736,937

Par Pharmaceutical, Inc. (B+/B2)(d)(e)

    6,675,000       7.500     04/01/27   7,209,000

Teva Pharmaceutical Finance Co. B.V. (BB-/Ba2)

    855,000       3.650     11/10/21   863,550

Vizient, Inc. (B/B2)(d)(e)

    990,000       6.250     05/15/27   1,056,825
       

 

        59,507,017

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Pipelines – 4.4%

Antero Midstream Partners LP/Antero Midstream Finance Corp.
(B-/B3)(d)(e)

$

    2,070,000       5.750   03/01/27   $       2,028,600

Buckeye Partners LP (BB/B1)(d)

    615,000       4.350     10/15/24   627,300
    2,400,000       4.125 (e)    03/01/25   2,436,000
    3,794,000       3.950     12/01/26   3,841,425
    860,000       4.125     12/01/27   875,050
    1,573,000       4.500 (e)    03/01/28   1,618,224

Cheniere Energy Partners LP (BB/Ba2)(d)

    3,645,000       5.250     10/01/25   3,745,237
    2,825,000       4.500     10/01/29   2,980,375

Cheniere Energy, Inc. (BB/Ba3)(d)(e)

    3,275,000       4.625     10/15/28   3,455,125

DCP Midstream Operating LP (BB+/Ba2)

    5,090,000       5.375 (d)    07/15/25   5,586,275
    510,000       5.125 (d)    05/15/29   562,275
    925,000       6.450 (e)    11/03/36   1,003,625

EnLink Midstream LLC (BB+/NR)(d)(e)

    2,115,000       5.625     01/15/28   2,159,944

EnLink Midstream LLC (BB+/Ba2)(d)

    2,490,000       5.375     06/01/29   2,433,975

EnLink Midstream Partners LP (BB+/Ba2)(d)

    2,325,000       4.400     04/01/24   2,298,844
    3,235,000       5.450     06/01/47   2,588,000

EQM Midstream Partners LP (BB-/Ba3)(d)

    2,800,000       6.500 (e)    07/01/27   3,150,000
    2,970,000       5.500     07/15/28   3,237,300

Genesis Energy LP/Genesis Energy Finance Corp. (B+/B1)(d)

    3,584,000       5.625     06/15/24   3,476,480

Global Partners LP/GLP Finance Corp. (B+/B2)(d)

    2,970,000       7.000     08/01/27   3,177,900
    1,780,000       6.875 (e)    01/15/29   1,931,300

NuStar Logistics LP (BB-/Ba3)(d)

    2,790,000       5.750     10/01/25   2,971,350
    3,420,000       5.625     04/28/27   3,642,300

 

 

GOLDMAN SACHS HIGH YIELD FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Pipelines – (continued)

Plains All American Pipeline LP/PAA Finance Corp. (BBB-/Ba1)(d)

$

    1,308,000       3.800   09/15/30   $       1,400,829

Summit Midstream Holdings LLC/Summit Midstream Finance Corp. (D/Caa2)(d)

    5,321,000       5.750     04/15/25   3,418,742

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.
(BB-/B1)(d)(e)

    5,955,000       4.750     10/01/23   6,097,920
    1,935,000       5.500     09/15/24   1,968,862
    2,563,000       7.500     10/01/25   2,748,817
    1,310,000       5.500     01/15/28   1,337,838

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.
(BB-/B1)(d)(e)

    3,140,000       6.000     12/31/30   3,234,200

Targa Resources Partners LP/Targa Resources Partners Finance Corp. (BB/Ba3)(d)

    1,865,000       5.875     04/15/26   1,962,913
    4,525,000       5.375     02/01/27   4,739,937
    1,810,000       6.500     07/15/27   1,963,850
    1,980,000       5.000     01/15/28   2,079,000

Western Midstream Operating LP (BB/Ba2)(d)

    1,500,000       5.375     06/01/21   1,507,500
    2,230,000       5.050     02/01/30   2,475,300
    1,725,000       5.300     03/01/48   1,703,438
    675,000       6.250     02/01/50   739,125
       

 

        97,205,175

 

Pipelines(d) – 0.1%

EQM Midstream Partners LP (BB-/Ba3)

    2,030,000       4.000     08/01/24   2,080,750

 

Real Estate(d)(e) – 0.3%

Realogy Group LLC/Realogy Co-Issuer Corp. (B-/Caa1)

    3,510,000       4.875     06/01/23   3,580,200
    1,919,000       9.375     04/01/27   2,125,292

Realogy Group LLC/Realogy Co.-Issuer Corp. (B-/B3)

    773,000       7.625     06/15/25   836,773

The Howard Hughes Corp. (BB-/Ba3)

    603,000       5.375     08/01/28   645,210
       

 

        7,187,475

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Real Estate Investment Trust(d) – 2.0%

ESH Hospitality, Inc. (BB-/Ba3)(e)

$

    4,125,000       4.625   10/01/27   $       4,222,969

Iron Mountain, Inc. (BB-/Ba3)(e)

    4,200,000       5.000     07/15/28   4,462,500
    2,085,000       4.500     02/15/31   2,168,400

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. (BB-/B1)(e)

    3,120,000       4.625     06/15/25   3,318,900
    3,337,000       3.875     02/15/29   3,395,398

MPT Operating Partnership LP/MPT Finance Corp. (BBB-/Ba1)

    1,685,000       4.625     08/01/29   1,808,258
    4,680,000       3.500     03/15/31   4,832,802

Service Properties Trust (BB/Ba1)

    1,531,000       7.500     09/15/25   1,779,895

Service Properties Trust (BB-/Ba2)

    2,900,000       4.350     10/01/24   2,871,136

Starwood Property Trust, Inc. (B+/Ba3)

    7,835,000       4.750     03/15/25   7,972,112

Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC (B/B2)(e)

    2,715,000       6.000     04/15/23   2,769,300

Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC (CCC/Caa2)

    1,270,000       8.250     10/15/23   1,273,175
    275,000       7.125 (e)    12/15/24   277,406

VICI Properties LP/VICI Note Co., Inc. (BB/Ba3)(e)

    2,154,000       3.500     02/15/25   2,197,080
       

 

        43,349,331

 

Retailing – 4.5%

1011778 BC ULC/New Red Finance, Inc. (B+/B2)(d)(e)

    1,635,000       4.375     01/15/28   1,686,094

1011778 BC ULC/New Red Finance, Inc. (B+/B2)(d)(e)

    7,857,000       4.000     10/15/30   7,915,927

Asbury Automotive Group, Inc. (BB/B1)(d)

    295,000       4.500     03/01/28   307,538
    190,000       4.750     03/01/30   202,350

Beacon Roofing Supply, Inc. (B-/Caa1)(d)(e)

    10,615,000       4.875     11/01/25   10,880,375

 

 

GOLDMAN SACHS HIGH YIELD FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Retailing – (continued)

Burlington Stores, Inc. (NR/NR)(e)

$

    1,141,000       2.250   04/15/25   $       1,585,534

Carvana Co. (CCC+/Caa2)(d)(e)

    4,210,000       5.625     10/01/25   4,309,987

eG Global Finance PLC (B-/B3)(d)(e)

    2,560,000       6.750     02/07/25   2,636,800
    2,210,000       8.500     10/30/25   2,353,650

Group 1 Automotive, Inc. (BB+/Ba2)(d)(e)

    1,382,000       4.000     08/15/28   1,413,095

IRB Holding Corp. (B/B2)(d)(e)

    1,171,000       7.000     06/15/25   1,273,463

IRB Holding Corp. (CCC+/Caa1)(d)(e)

    8,870,000       6.750     02/15/26   9,158,275

Ken Garff Automotive LLC (B/B1)(d)(e)

    720,000       4.875     09/15/28   748,800

KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC (BB/Ba3)(d)(e)

    4,187,000       5.250     06/01/26   4,344,012

Kirk Beauty One GmbH (CCC-/Caa3)(d)

EUR

    2,250,000       8.750     07/15/23   1,723,086

L Brands, Inc. (B+/B2)

$

    5,785,000       5.250     02/01/28   6,030,862

L Brands, Inc. (BB/Ba2)(d)(e)

    880,000       6.875     07/01/25   954,800

LBM Acquisition LLC (CCC+/NR)(d)(e)

    1,195,000       6.250     01/15/29   1,242,800

Lithia Motors, Inc. (BB/Ba2)(d)(e)

    875,000       4.375     01/15/31   936,250

Macy’s Retail Holdings, Inc. (B/B1)(d)

    2,550,000       2.875     02/15/23   2,441,625

Macy’s, Inc. (BB-/Ba1)(d)(e)

    2,900,000       8.375     06/15/25   3,219,000

Nordstrom, Inc. (BB+/Baa3)(d)

    2,370,000       5.000     01/15/44   2,215,950

Penske Automotive Group, Inc. (B+/Ba3)(d)

    3,175,000       3.500     09/01/25   3,190,875

PetSmart, Inc. (CCC+/Caa1)(d)(e)

    6,095,000       7.125     03/15/23   6,079,762

QVC, Inc. (BB+/Ba2)

    1,465,000       5.950     03/15/43   1,545,575

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Retailing – (continued)

Specialty Building Products Holdings LLC/SBP Finance Corp.
(B-/B3)(d)(e)

$

    1,418,000       6.375   09/30/26   $       1,492,445

Staples, Inc. (B/B1)(d)(e)

    4,855,000       7.500     04/15/26   5,037,062

Staples, Inc. (CCC+/B3)(d)(e)

    3,095,000       10.750     04/15/27   3,071,787

Stonegate Pub Co Financing 2019 PLC (NR/B3)(d)(e)

GBP

    1,750,000       8.250     07/31/25   2,410,692

Suburban Propane Partners LP/Suburban Energy Finance Corp.
(BB-/B1)(d)

$

    1,895,000       5.500     06/01/24   1,928,163
    2,175,000       5.875     03/01/27   2,267,438

Walgreens Boots Alliance, Inc. (BBB/Baa2)(d)

    1,740,000       4.100     04/15/50   1,843,356

Yum! Brands, Inc. (B+/B1)(d)

    187,000       7.750 (e)    04/01/25   207,103
    2,400,000       4.750 (e)    01/15/30   2,631,000
    495,000       3.625     03/15/31   499,950
       

 

        99,785,481

 

Semiconductors(d)(e) – 0.4%

Amkor Technology, Inc. (BB/B1)

    3,489,000       6.625     09/15/27   3,785,565

Microchip Technology, Inc. (NR/Ba2)

    280,000       4.250     09/01/25   296,100

ON Semiconductor Corp. (BB/Ba2)

    2,170,000       3.875     09/01/28   2,254,088

Qorvo, Inc. (BB+/Ba1)

    3,320,000       3.375     04/01/31   3,419,600
       

 

        9,755,353

 

Software(d) – 1.6%

Black Knight InfoServ LLC (B+/Ba3)(e)

    1,555,000       3.625     09/01/28   1,586,100

BY Crown Parent LLC/BY Bond Finance, Inc. (B-/B1)(e)

    355,000       4.250     01/31/26   363,875

Camelot Finance SA (B/B2)(e)

    3,450,000       4.500     11/01/26   3,596,625

Castle US Holding Corp. (CCC/Caa2)(e)

    2,020,000       9.500     02/15/28   2,020,000

 

 

GOLDMAN SACHS HIGH YIELD FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Software(d) – (continued)

Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. (B-/Caa1)(e)

$

    950,000       5.750   03/01/25   $          966,625

J2 Global, Inc. (BB/Ba3)(e)

    3,565,000       4.625     10/15/30   3,744,712

Nuance Communications, Inc. (BB-/Ba3)

    3,640,000       5.625     12/15/26   3,844,750

Open Text Corp. (BB/Ba2)(e)

    4,730,000       3.875     02/15/28   4,848,250

PTC, Inc. (BB/Ba3)(e)

    1,077,000       3.625     02/15/25   1,109,310

Solera LLC/Solera Finance, Inc. (CCC+/Caa1)(e)

    6,500,000       10.500     03/01/24   6,727,500

SS&C Technologies, Inc. (B+/B2)(e)

    5,090,000       5.500     09/30/27   5,439,937

The Dun & Bradstreet Corp. (B-/Caa1)(e)

    1,968,000       10.250     02/15/27   2,218,920
       

 

        36,466,604

 

Storage/Warehousing(d)(e) – 0.1%

Modulaire Global Finance 2 PLC (CCC/Caa1)

    2,390,000       10.000     08/15/23   2,428,838

 

Telecommunication Services – 6.3%

Altice France Holding SA (CCC+/WR)(d)(e)

    4,755,000       10.500     05/15/27   5,343,431

Altice France SA (B/B2)(d)(e)

    7,290,000       7.375     05/01/26   7,672,725
    4,910,000       8.125     02/01/27   5,401,000
    225,000       5.500     01/15/28   234,000
    664,000       5.125     01/15/29   678,940

CenturyLink, Inc. (BB-/B2)

    2,250,000       5.125 (d)(e)    12/15/26   2,362,500
    3,465,000       6.875     01/15/28   3,989,081
    1,700,000       7.600     09/15/39   2,065,500

CommScope Technologies LLC (CCC+/B3)(d)(e)

    4,022,000       6.000     06/15/25   4,102,440

CommScope, Inc. (CCC+/B3)(d)(e)

    1,780,000       8.250     03/01/27   1,900,150
    4,645,000       7.125     07/01/28   4,935,312

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Telecommunication Services – (continued)

Digicel Group 0.5 Ltd. (NR/Ca)(d)(e)(f) (PIK 3.000%, Cash 5.000%)

$

    2,594,498       8.000   04/01/25   $       1,364,544

Frontier Communications Corp. (B+/B3)(d)(e)

    401,000       5.875     10/15/27   433,581
    1,211,000       5.000     05/01/28   1,262,468

Intelsat Jackson Holdings SA (NR/WR)(e)(h)

    210,000       9.500     09/30/22   233,625
    6,885,000       8.500 (d)    10/15/24   4,888,350
    15,490,000       9.750 (d)    07/15/25   11,075,350

Intelsat Luxembourg SA (NR/WR)(d)(h)

    13,875,000       8.125     06/01/23   641,719

Intelsat SA (NR/NR)(h)

    4,650,000       4.500     06/15/25   1,534,500

Level 3 Financing, Inc. (BB/Ba3)(d)

    5,285,000       5.250     03/15/26   5,450,156
    6,921,000       4.625 (e)    09/15/27   7,206,491
    5,950,000       4.250 (e)    07/01/28   6,098,750
    2,075,000       3.625 (e)    01/15/29   2,069,813

LogMeIn, Inc. (B-/B1)(d)(e)

    3,175,000       5.500     09/01/27   3,309,938

Nokia of America Corp. (NR/WR)

    5,200,000       6.450     03/15/29   5,668,000

Nokia Oyj (BB+/Ba2)

    295,000       6.625     05/15/39   377,600

Sprint Capital Corp. (BB/B1)

    1,421,000       8.750     03/15/32   2,241,628

Sprint Communications, Inc. (BB/B1)

    1,203,000       11.500     11/15/21   1,303,751
    5,550,000       6.000     11/15/22   5,994,000

Sprint Corp. (BB/B1)

    9,085,000       7.875     09/15/23   10,515,887
    4,882,000       7.625 (d)    02/15/25   5,833,990
    4,727,000       7.625 (d)    03/01/26   5,861,480

T-Mobile USA, Inc. (BB/Ba3)(d)

    1,485,000       6.000     03/01/23   1,488,713
    1,360,000       6.000     04/15/24   1,373,600
    3,820,000       6.500     01/15/26   3,944,150

 

 

GOLDMAN SACHS HIGH YIELD FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Telecommunication Services – (continued)

Telecom Italia Capital SA (BB+/Ba2)

$

    6,865,000       7.200   07/18/36   $       9,250,587
    1,455,000       7.721     06/04/38   2,015,175

Telesat Canada/Telesat LLC (BB-/Ba3)(d)(e)

    402,000       4.875     06/01/27   416,070
       

 

        140,538,995

 

Toys/Games/Hobbies(d) – 0.3%

Mattel, Inc. (B+/B1)(e)

    2,165,000       6.750     12/31/25   2,275,956
    1,553,000       5.875     12/15/27   1,723,830

Mattel, Inc. (B-/B3)

    2,335,000       3.150     03/15/23   2,364,188
       

 

        6,363,974

 

Transportation(d)(e) – 0.1%

XPO Logistics, Inc. (BB-/Ba3)

    1,853,000       6.250     05/01/25   1,989,659

 

TOTAL CORPORATE OBLIGATIONS
(Cost $1,972,855,175)
  $2,074,171,289

 

       
Shares     Description   Value
Common Stock – 0.0%

Auto Components – 0.0%

      1,229     Lear Corp.   $          195,448
(Cost $0)

 

         

Principal

Amount

   

Interest

Rate

  Maturity
Date
  Value
Structured Note(d)(e)(i) – 0.1%

CHS/Community Health Systems, Inc. (CCC-/Ca)

$

    1,820,000     9.875%   06/30/23   $       1,906,450
(Cost $1,716,852)

 

         
Shares    

Dividend

Rate

  Value
Preferred Stocks(d) – 0.1%

Banks(g) – 0.1%

 

     

Bank of America Corp.

      64,000           4.375%   $       1,699,200

 

Media(f) – 0.0%

   

Spanish Broadcasting System, Inc.

   
      3,014     10.750  

 

TOTAL PREFERRED STOCKS
(Cost $4,642,344)
  $       1,699,200

 

Units    

Expiration

Date

  Value
Warrant(h) – 0.0%

True Religion Warrant (NR/NR)

1,914

    10/27/22   $                    —

True Religion Warrant 2 (NR/NR)

7,229

    10/27/22   $                    —

 

TOTAL WARRANT
(Cost $0)
    $                    —

 

       
Shares    

Dividend

Rate

  Value
Investment Company(j) – 0.1%

Goldman Sachs Financial Square Government Fund - Institutional Shares

1,163,749

    0.026%   $       1,163,749
(Cost $1,163,749)

 

       
Shares     Description   Value
Exchange Traded Funds – 1.4%

268,548

   

iShares Broad USD
High Yield Corporate
Bond ETF (NR/NR)
  $     11,080,291

252,838

   

iShares iBoxx High
Yield Corporate Bond
ETF (NR/NR)
  22,072,757

 

TOTAL EXCHANGE TRADED FUNDS
(Cost $32,640,546)
  $     33,153,048

 

TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT
(Cost $2,044,798,211)
  $2,143,251,099

 

       
Shares    

Dividend

Rate

  Value
Securities Lending Reinvestment Vehicle(j) – 0.2%

Goldman Sachs Financial Square Government Fund - Institutional Shares (NR/NR)

4,056,700

    0.026%   $       4,056,700
(Cost $4,056,700)

 

TOTAL INVESTMENTS – 96.7%
(Cost $2,048,854,911)
  $2,147,307,799

 

OTHER ASSETS IN EXCESS OF
    LIABILITIES – 3.3%
  72,292,993

 

NET ASSETS – 100.0%   $2,219,600,792

 

 

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)   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 HIGH YIELD FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

(c)   Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on December 31, 2020.
(d)   Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
(e)   Exempt from registration under Rule 144A of the Securities Act of 1933.
(f)   Pay-in-kind securities.
(g)   All or a portion of security is on loan.
(h)   Security is currently in default and/or non-income producing.
(i)   Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on December 31, 2020.

(j)

 

 

Represents an affiliated issuer.

 

 

Currency Abbreviations:
EUR  

— Euro

GBP  

— British Pound

USD  

— U.S. Dollar

Investment Abbreviations:
CMT  

— Constant Maturity Treasury Indexes

CP  

— Commercial Paper

ETF  

— Exchange Traded Fund

LIBOR  

— London Interbank Offered Rate

LLC  

— Limited Liability Company

LP  

— Limited Partnership

PLC  

— Public Limited Company

WR  

— Withdrawn Rating

 

For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com.

    

 

GOLDMAN SACHS HIGH YIELD FUND

 

Schedule of Investments (continued)

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 LOSS

 

Counterparty      Currency
Purchased
       Currency
Sold
       Settlement
Date
       Unrealized
Loss
 

 

 

Deutsche Bank AG

       USD          1,374,401          EUR          1,155,463          01/21/21        $ (37,923

JPMorgan Securities, Inc.

       USD          17,990,821          EUR          15,231,588          01/21/21          (626,776

UBS AG (London)

       USD          5,784,066          GBP          4,490,358          01/13/21          (357,254

 

 

TOTAL

 

     $ (1,021,953

 

 

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:

                 

2 Year U.S. Treasury Notes

     38      03/31/21      $ 8,397,109      $ 5,374  

10 Year U.S. Treasury Notes

     1,434      03/22/21        198,004,031        269,736  

20 Year U.S. Treasury Bonds

     513      03/22/21        88,845,188        (726,972

 

 

Total

 

   $ (451,862

 

 

Short position contracts:

                 

Ultra Long U.S. Treasury Bonds

     (56)      03/22/21        (11,959,500      (20,693

Ultra 10 Year U.S. Treasury Notes

     (79)      03/22/21        (12,352,391      (8,037

5 Year German Euro-Bobl

     (85)      03/08/21        (14,037,126      2,972  

5 Year U.S. Treasury Notes

     (167)      03/31/21        (21,069,398      (1,948

 

 

Total

 

   $ (27,706

 

 

TOTAL FUTURES CONTRACTS

 

   $ (479,568

 

 

SWAP CONTRACTS — At December 31, 2020, the Fund had the following swap contracts:

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      $77,073    $ 7,247,820      $ 2,879,388     $ 4,368,432  

Nabors Industries, Inc., 5.750%, 01/02/25

   1.000      13.818       12/20/22          2,030      (448,077      (814,738     366,661  

CDX.NA.HY Index 35

   5.000        2.938       12/20/25        81,245      7,679,755        3,568,035       4,111,720  

 

 

TOTAL

   $ 14,479,498      $ 5,632,685     $ 8,846,813  

 

 

 

(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 HIGH YIELD FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS ON COMMODITY INDICES

 

Reference

Obligation/Index

   Financing Rate
Paid
by the Fund(a)
   Counterparty    Termination
Date(b)
  

Notional
Amount

(000s)

   Value      Upfront
Premiums
(Received) Paid
    Unrealized
Appreciation/
(Depreciation)
 

 

 

IBOXHY Index

   0.235%    JPMorgan
Securities, Inc.
   06/20/21    $69    $ 312,021      $     $ 312,021  

 

 

 

(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).

 

 

Abbreviations:
CDX.NA.IG Index 34  

— CDX North America Investment Grade Index 34

CDX.NA.IG Index 35  

— CDX North America Investment Grade Index 35

IBOXHY Index  

— Markit iBoxx USD Liquid High Yield Index

 

 

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

 

Schedule of Investments

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – 88.6%

Aerospace & Defense(b) – 0.5%

Dynasty Acquisition Co., Inc. (B-/Caa1)

(3M LIBOR + 3.500%)

$

    2,255,831       3.754   04/06/26   $       2,143,039

(3M LIBOR + 3.500%)

    1,212,812       3.754     04/06/26   1,152,172

TransDigm, Inc. (B+/Ba3) (1M LIBOR + 2.250%)

    4,007,529       2.397     08/22/24   3,924,453
       

 

  7,219,664

 

Airlines(b) – 1.7%

Allegiant Travel Co. (B+/Ba3) (3M LIBOR + 3.000%)

    3,829,909       3.214     02/05/24   3,718,612

American Airlines, Inc. (B/Ba3) (1M LIBOR + 1.750%)

    4,900,000       1.898     01/29/27   4,189,500

Atlantic Aviation FBO, Inc. (BB-/B2) (1M LIBOR + 3.750%)

    4,483,253       3.900     12/06/25   4,460,836

Delta Air Lines, Inc. (NR/Baa1) (3M LIBOR + 3.750%)

    1,650,000       4.750     10/20/27   1,708,311

Delta Air Lines, Inc. (BB+/Baa2) (3M LIBOR + 4.750%)

    3,781,000       5.750     04/29/23   3,834,350

JetBlue Airways Corp. (B+/Ba2) (3M LIBOR + 5.250%)

    2,925,000       6.250     06/17/24   3,002,249

Kestrel Bidco, Inc. (B-/B2) (6M LIBOR + 3.000%)

    2,039,849       4.000     12/11/26   1,951,891
       

 

  22,865,749

 

Automotive - Distributors – 0.9%

American Axle & Manufacturing, Inc. (BB-/Ba2)(b) (1M LIBOR + 2.250%)

    2,604,061       3.000     04/06/24   2,558,022

Bombardier Recreational Products, Inc. (BB-/B1)(c)

    1,325,000       0.000     05/24/27   1,307,616

Drive Chassis Holding Co. LLC (NR/NR)(b) (3M LIBOR + 8.250%)

    2,525,000       8.474     04/10/26   2,507,653

Highline Aftermarket Acquisition LLC (NR/NR)(b)(d) (3M LIBOR + 4.500%)

    2,600,000       5.250     10/30/27   2,613,000

Thor Industries, Inc. (BB/B2)(b)(3M LIBOR + 3.750%)

    2,974,809       3.938     02/01/26   2,967,371
       

 

  11,953,662

 

Automotive - Parts – 2.8%

Adient US LLC (B+/Ba3)(b) (1M LIBOR + 4.250%)

    3,127,530       4.397     05/06/24   3,122,307

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – (continued)

Automotive - Parts – (continued)

Belron Finance US LLC (BB/Ba3)(c)

$

    1,296,725       0.000   10/30/26   $       1,293,484

CS Intermediate Holdco 2 LLC (B-/B1)(b) (1M LIBOR + 2.000%)

    2,939,834       3.000     11/02/23   2,735,104

Dana, Inc. (BBB-/Baa3)(b) (1M LIBOR + 2.250%)

    1,100,000       2.397     02/27/26   1,093,125

Garrett LX III S.a r.l. (D/WR)(b) (3M LIBOR + 2.500%)

    4,761,107       5.750     09/27/25   4,659,933

Gates Global LLC (B+/B1)(b) (1M LIBOR + 2.750%)

    2,090,698       3.750     04/01/24   2,083,151

Mavis Tire Express Services Corp. (B-/B2)(b)

(3M LIBOR + 3.250%)

    2,625,642       3.504     03/20/25   2,574,442

(3M LIBOR + 4.000%)

    1,450,000       5.000     03/20/25   1,453,625

Navistar International Corp. (BB-/Ba2)(b) (1M LIBOR + 3.500%)

    2,981,367       3.660     11/06/24   2,974,658

Panther BF Aggregator 2 LP (B/B1)(b)

(1M EURIBOR + 3.750%)

EUR

    1,111,765       3.750     04/30/26   1,351,913

(1M LIBOR + 3.500%)

$

    3,091,500       3.647     04/30/26   3,075,393

Tenneco, Inc. (B/Ba3)(b) (1M LIBOR + 3.000%)

    4,223,634       3.147     10/01/25   4,110,990

Trico Group LLC (B/B3)(b) (3M LIBOR + 7.500%)

    1,333,905       8.500     02/02/24   1,327,236

Wand NewCo 3, Inc. (B-/B1)(b) (1M LIBOR + 3.000%)

    3,135,788       3.147     02/05/26   3,087,184

Wheel Pros LLC (B-/B2)(b) (1M LIBOR + 5.250%)

    2,329,124       6.250     11/06/27   2,284,288
       

 

  37,226,833

 

Building & Construction Material(b) – 0.3%

CSC Holdings LLC (BB/Ba3) (1M LIBOR + 2.500%)

    3,914,942       2.659     04/15/27   3,874,148

 

Building Materials – 2.5%

ACProducts, Inc. (B/B2)(b) (3M LIBOR + 6.500%)

    4,857,188       7.500     08/18/25   4,978,617

Beacon Roofing Supply, Inc. (BB/B2)(b) (1M LIBOR + 2.250%)

    1,992,924       2.397     01/02/25   1,976,423

CPG International, Inc. (BB-/B2)(b) (3M LIBOR + 3.750%)

    4,297,400       4.750     05/05/24   4,290,954

 

 

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – (continued)

Building Materials – (continued)

Foundation Building Materials Holding Co. LLC (BB-/B2)(b) (1M LIBOR + 3.000%)

$

    1,066,096       3.147   08/13/25   $       1,064,934

Hayward Industries, Inc. (B/B3)(b)

(1M LIBOR + 3.500%)

    4,808,159       3.647     08/05/24   4,746,038

(1M LIBOR + 3.750%)

    750,000       4.500     08/04/26   746,250

Ingersoll-Rand Services Co. (BB+/Ba2)(b) (1M LIBOR + 1.750%)

    1,736,875       1.897     03/01/27   1,712,125

Jeld-Wen, Inc. (BB+/Ba2)(b) (1M LIBOR + 2.000%)

    2,021,022       2.148     12/14/24   1,993,859

LBM Acquisition LLC (B/B2)(c)

    515,057       0.000     12/09/27   514,521
    2,317,757       0.000     12/09/27   2,315,347

NCI Building Systems, Inc. (B+/B2)(b) (1M LIBOR + 3.750%)

    5,328,948       3.904     04/12/25   5,315,626

Quikrete Holdings, Inc. (BB-/Ba3)(b) (1M LIBOR + 2.500%)

    3,224,733       2.647     02/01/27   3,210,640
       

 

  32,865,334

 

Chemicals(b) – 4.5%

Alpha 3 B.V. (B-/B2) (3M LIBOR + 3.000%)

    4,533,867       4.000     01/31/24   4,514,054

Ascend Performance Materials Operations LLC (BB-/B1) (3M LIBOR + 5.250%)

    1,994,949       6.250     08/27/26   1,999,937

ASP Unifrax Holdings, Inc. (CCC/Caa3) (3M LIBOR + 8.500%)

    1,975,000       8.717     12/14/26   1,654,063

ASP Unifrax Holdings, Inc. (CCC+/Caa1) (3M LIBOR + 3.750%)

    2,837,034       4.004     12/12/25   2,590,638

Consolidated Energy Finance SA (B+/B1) (1M LIBOR + 2.500%)

    3,909,898       2.645     05/07/25   3,729,066

Cyanco Intermediate Corp. (B/B2) (1M LIBOR + 3.500%)

    3,869,416       3.647     03/16/25   3,838,770

Diamond (BC) B.V. (B-/B1) (3M LIBOR + 5.000%)

    997,500       6.000     09/06/24   995,006

Element Solutions, Inc. (BB/Ba2) (1M LIBOR + 2.000%)

    3,169,127       2.147     01/31/26   3,133,475

Emerald Performance Materials LLC (B/B2) (1M LIBOR + 4.000%)

    3,193,676       5.000     08/12/25   3,207,664

Hexion, Inc. (B+/Ba3) (6M LIBOR + 3.500%)

    3,600,911       3.730     07/01/26   3,564,902

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – (continued)

Chemicals(b) – (continued)

INEOS Enterprises Holdings US Finco LLC (BB/B1) (3M LIBOR + 3.500%)

$

    3,192,028       4.500   08/28/26   $       3,171,088

Innophos, Inc. (B+/B1) (1M LIBOR + 3.500%)

    1,895,226       3.647     02/07/27   1,890,488

Momentive Performance Materials, Inc. (B/B2) (1M LIBOR + 3.250%)

    5,546,193       3.400     05/15/24   5,463,001

Plaze, Inc. (B/B3) (1M LIBOR + 4.250%)

    972,563       5.250     08/03/26   964,461

Polar US Borrower LLC (B-/B2) (1M LIBOR + 4.750%)

    3,898,367       4.899     10/15/25   3,825,273

PQ Corp. (BB-/B1) (3M LIBOR + 2.250%)

    3,106,586       2.464     02/07/27   3,078,440

Starfruit Finco B.V. (B+/B1) (1M LIBOR + 3.000%)

    5,080,344       3.153     10/01/25   5,021,056

The Chemours Co. (BB/Ba1) (1M LIBOR + 1.750%)

    1,951,353       1.900     04/03/25   1,910,296

Tronox Finance LLC (B+/Ba3) (1M LIBOR + 3.000%)

    1,718,595       3.147     09/23/24   1,707,647

Univar, Inc. (BB+/Ba3) (1M LIBOR + 2.250%)

    3,115,414       2.397     07/01/24   3,099,276
       

 

  59,358,601

 

Commercial Services – 3.1%

AlixPartners LLP (B+/B2)(b) (1M LIBOR + 2.500%)

    1,072,215       2.647     04/04/24   1,058,984

Amentum Government Services Holdings LLC (B/B1)(b)

(1M LIBOR + 3.500%)

    855,700       3.647     02/01/27   852,491

(3M LIBOR + 4.750%)

    2,700,000       5.500     01/29/27   2,713,500

APX Group, Inc. (B-/B3)(b) (1M LIBOR + 5.000%)

    1,984,998       5.147     12/31/25   1,971,877

AQ Carver Buyer, Inc. (B/B2)(b) (6M LIBOR + 5.000%)

    2,172,500       6.000     09/23/25   2,139,913

Avis Budget Car Rental LLC (BB-/Ba2)(b) (1M LIBOR + 2.250%)

    2,008,909       2.400     08/06/27   1,935,464

Da Vinci Purchaser Corp. (B/B2)(b) (3M LIBOR + 4.000%)

    3,980,000       5.000     01/08/27   3,986,647

Fly Funding II S.a.r.l. (BB+/Ba3)(b) (3M LIBOR + 6.000%)

    1,475,000       6.237     10/08/25   1,452,875

GlobalLogic Holdings, Inc. (B/B2)(b) (1M LIBOR + 3.750%)

    2,094,750       4.500     09/14/27   2,084,276

 

 

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – (continued)

Commercial Services – (continued)

IRB Holding Corp. (B/B2)

$

    1,300,000       0.000 %(c)    12/15/27   $       1,300,403

(6M LIBOR + 2.750%)

    5,652,988       3.750 (b)    02/05/25   5,598,380

Northstar Group Services, Inc. (NR/NR)(b)(d) (3M LIBOR + 5.500%)

    2,700,000       6.500     11/09/26   2,666,250

Packers Holdings LLC (B-/B2)(b) (1M LIBOR + 4.000%)

    1,250,000       4.750     12/04/24   1,249,225

Prime Security Services Borrower LLC (BB-/Ba3)(b) (1M LIBOR + 3.250%)

    3,118,399       4.250     09/23/26   3,126,195

Rockwood Service Corporation (B/B2)(b) (1M LIBOR + 4.250%)

    1,488,750       4.397     01/23/27   1,483,167

STG-Fairway Holdings LLC (B-/B2)(b) (1M LIBOR + 3.250%)

    2,315,871       3.397     01/31/27   2,275,344

Trans Union LLC (BBB-/Ba2)(b) (1M LIBOR + 1.750%)

    2,436,745       1.898     11/16/26   2,425,074

TruGreen LP (NR/NR)(c)(d)

    1,225,000       0.000     11/02/28   1,225,000

TruGreen LP (B/B1)(c)

    1,275,000       0.000     11/02/27   1,279,781
       

 

  40,824,846

 

Computers(b) – 0.2%

Redstone Buyer LLC (B/B1) (2M LIBOR + 5.000%)

    2,600,000       6.000     09/01/27   2,607,306

 

Construction Machinery(b) – 0.5%

Brookfield WEC Holdings Inc. (B/B2) (1M LIBOR + 3.000%)

    4,917,918       3.750     08/01/25   4,900,361

Welbilt, Inc. (CCC+/B3) (1M LIBOR + 2.500%)

    2,147,500       2.645     10/23/25   2,029,388
       

 

  6,929,749

 

Consumer Cyclical Services – 0.3%

Fleet U.S. Bidco, Inc. (B+/B2)(b) (1M LIBOR + 3.250%)

    2,577,475       3.397     10/07/26   2,551,700

KAR Auction Services, Inc. (B/Ba3)(c)

    1,975,000       0.000     09/19/26   1,940,437
       

 

  4,492,137

 

Consumer Cyclical Services - Business(b) – 1.8%

Advantage Sales & Marketing, Inc. (B/B2) (3M LIBOR + 5.250%)

    2,500,000       6.000     10/28/27   2,488,550

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – (continued)

Consumer Cyclical Services - Business(b) – (continued)

Allied Universal Holding Co. LLC (B-/B3) (1M LIBOR + 4.250%)

$

    4,379,695       4.397   07/10/26   $       4,356,877

Colorado Buyer, Inc. (CC/Caa2) (3M LIBOR + 7.250%)

    2,875,000       8.250     05/01/25   2,240,948

GT Polaris, Inc. (NR/NR) (3M LIBOR + 4.000%)

    1,275,000       5.000     09/24/27   1,278,506

Guidehouse LLP (B-/B1) (1M LIBOR + 4.500%)

    3,677,847       4.647     05/01/25   3,671,706

Sabre GLBL, Inc. (B/Ba3) (1M LIBOR + 2.000%)

    3,361,741       2.147     02/22/24   3,275,310

Stats Intermediate Holdings LLC (B-/B2) (3M LIBOR + 5.250%)

    1,308,454       5.471     07/10/26   1,289,913

Tempo Acquisition LLC (B/B1) (1M LIBOR + 3.250%)

    2,468,519       3.750     11/02/26   2,448,474

The House of HR (NR/NR) (6M EURIBOR + 4.250%)

EUR

    2,475,000       4.250     07/27/26   3,001,542
       

 

  24,051,826

 

Consumer Products(b) – 0.2%

Coty, Inc. (B/B3) (1M LIBOR + 2.250%)

$

    3,406,781       2.402     04/07/25   3,202,375

 

Consumer Products - Household & Leisure(b) – 0.7%

Diamond (BC) B.V. (B-/B1) (3M LIBOR + 3.000%)

    3,057,775       3.214     09/06/24   3,009,371

Harbor Freight Tools USA, Inc. (BB-/Ba3) (1M LIBOR + 3.250%)

    3,999,149       4.000     10/19/27   3,992,471

Prestige Brands, Inc. (BB/Ba3) (1M LIBOR + 2.000%)

    1,998,892       2.147     01/26/24   1,999,731
       

 

  9,001,573

 

Consumer Products - Non Durable – 0.7%

Alphabet Holding Co., Inc. (B-/B3)(b) (1M LIBOR + 3.500%)

    2,782,147       3.647     09/26/24   2,753,547

Alphabet Holding Co., Inc. (CCC/Caa2)(b) (1M LIBOR + 7.750%)

    2,575,000       7.897     09/26/25   2,558,262

HLF Financing S.a r.l. (BB+/Ba1)(b) (1M LIBOR + 2.750%)

    1,915,559       2.897     08/18/25   1,910,368

Kronos Acquisition Holdings, Inc. (B-/B2)(c)

    1,925,000       0.000     12/17/26   1,922,594
       

 

  9,144,771

 

 

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – (continued)

Distribution & Wholesale(c) – 0.1%

American Builders & Contractors Supply Co., Inc. (BB+/B1)

$

    1,271,780       0.000   01/15/27   $       1,258,605

 

Distributor(b) – 0.2%

UGI Energy Services LLC (NR/Ba3) (1M LIBOR + 3.750%)

    2,615,460       3.897     08/13/26   2,615,460

 

Diversified Financial Services – 3.4%

Advisor Group, Inc. (B-/B2)(b) (1M LIBOR + 5.000%)

    1,965,075       5.147     07/31/26   1,943,794

Blackstone CQP Holding Co. LP (B+/B1)(b) (3M LIBOR + 3.500%)

    4,331,089       3.736     09/30/24   4,314,847

Citadel Securities LP (BBB-/Ba1)(b) (1M LIBOR + 2.750%)

    4,357,550       2.897     02/27/26   4,355,719

DLG Acquisitions Ltd. (NR/NR)(b) (6M EURIBOR + 3.500%)

EUR

    1,825,000       3.500     05/15/26   2,204,429

Edelman Financial Center LLC (B/B2)(b) (1M LIBOR + 3.000%)

$

    3,609,487       3.147     07/21/25   3,549,714

FinCo I LLC (BB/Baa3)(b) (1M LIBOR + 2.500%)

    1,390,589       2.647     06/27/25   1,387,988

First Eagle Holdings, Inc. (BB/Ba2)(b) (3M LIBOR + 2.500%)

    2,620,407       2.754     02/01/27   2,591,294

Fiserv Investment Solutions, Inc. (B/B2)(b) (3M LIBOR + 4.750%)

    2,544,744       4.970     02/18/27   2,561,718

Franklin Square Holdings LP (BB/Ba1)(b) (1M LIBOR + 2.250%)

    1,279,931       2.438     08/01/25   1,268,732

Jefferies Finance LLC (BB-/Ba3)(b) (1M LIBOR + 3.000%)

    3,956,127       3.188     06/03/26   3,922,500

KREF Holdings X LLC (BB-/Ba2)(c)

    1,275,000       0.000     08/05/27   1,284,563

MHI Holdings LLC (B/B2)(b) (1M LIBOR + 5.000%)

    3,060,393       5.147     09/21/26   3,045,091

Milano Acquisition Corp. (B+/B2)(b) (3M LIBOR + 4.000%)

    3,250,000       4.750     10/01/27   3,244,573

Nielsen Finance LLC (BBB-/Ba1)(b) (1M EURIBOR + 3.750%)

EUR

    622,745       3.750     06/04/25   762,047

Radar Bidco SARL (NR/NR)(b)(d) (3M EURIBOR + 8.000%)

    1,149,826       8.000     12/16/24   1,415,220

Syncapay, Inc (B/B2)(c)

$

    4,650,000       0.000     12/10/27   4,464,000

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – (continued)

Diversified Financial Services – (continued)

VFH Parent LLC (B+/Ba3)(b) (3M LIBOR + 3.000%)

$

    1,721,820       3.153   03/01/26   $       1,717,154

Victory Capital Holdings, Inc. (BB-/Ba3)(b) (3M LIBOR + 2.500%)

    1,161,757       2.734     07/01/26   1,156,436
       

 

  45,189,819

 

Diversified Manufacturing(b) – 2.0%

AI Aqua Merger Sub, Inc. (B/B2)

(1M LIBOR + 3.250%)

    966,302       4.250     12/13/23   959,054

(1M LIBOR + 3.250%)

    1,605,652       4.250     12/13/23   1,591,603

(1M LIBOR + 5.250%)

    500,000       6.250 (d)    12/13/23   500,000

AI Plex Acquico GmbH (B-/B3) (6M LIBOR + 5.000%)

    2,693,866       5.316     07/31/26   2,601,817

Apex Tool Group LLC (CCC+/B3) (1M LIBOR + 5.250%)

    3,874,367       6.500     08/01/24   3,822,218

Atkore International, Inc. (BB-/Ba3) (3M LIBOR + 2.750%)

    3,732,485       3.750     12/22/23   3,740,249

Dynacast International LLC (CCC/Caa1) (3M LIBOR + 3.250%)

    4,070,343       3.490     01/28/22   3,846,474

Gardner Denver, Inc. (BB+/Ba2) (1M LIBOR + 1.750%)

    1,495,665       1.897     03/01/27   1,474,351

Robertshaw US Holding Corp. (CCC-/Caa3) (1M LIBOR + 8.000%)

    4,650,000       9.000     02/28/26   3,627,000

Titan Acquisition Ltd. (B-/B2) (6M LIBOR + 3.000%)

    4,148,835       3.267     03/28/25   4,037,107
       

 

  26,199,873

 

Electrical Utilities – 0.5%

Energizer Holdings, Inc. (NR/NR)

    925,000       0.000 (c)    12/16/27   923,270

(3M LIBOR + 2.250%)

    750,000       2.750 (b)    12/16/27   748,597

Pacific Gas & Electric Co. (BB-/B1)(b) (1M LIBOR + 4.500%)

    2,587,000       5.500     06/23/25   2,613,517

Resideo Funding, Inc. (BBB-/Ba2)(b) (3M LIBOR + 2.250%)

    2,613,810       2.510     10/24/25   2,568,069
       

 

  6,853,453

 

Entertainment(b) – 3.0%

Allen Media LLC (BB-/Ba3) (3M LIBOR + 5.500%)

    4,579,680       5.754     02/10/27   4,554,858

 

 

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – (continued)

Entertainment(b) – (continued)

Alterra Mountain Co. (B/B2)

(1M LIBOR + 2.750%)

$

    3,482,859       2.897   07/31/24   $       3,429,154

(1M LIBOR + 4.500%)

    369,576       5.500     08/01/26   370,962

AMC Entertainment Holdings, Inc. (CCC/Caa2) (3M LIBOR + 2.000%)

    5,631,904       5.250     04/22/26   3,603,010

Amer Sports Oyj (NR/NR) (6M EURIBOR + 4.500%)

EUR

    3,225,000       4.500     03/30/26   3,748,267

Banijay Entertainment S.A.S (B/B1) (1M LIBOR + 3.750%)

$

    3,640,875       3.903     03/01/25   3,586,262

CityCenter Holdings LLC (B+/B2) (1M LIBOR + 2.250%)

    3,538,895       2.397     04/18/24   3,483,618

Crown Finance US, Inc. (B-/B3) (3M LIBOR + 7.000%)

    447,586       7.000     05/23/24   531,136

Crown Finance US, Inc. (CCC/Caa2)

(6M LIBOR + 2.250%)

    3,096,308       2.769     02/28/25   2,089,512

(6M LIBOR + 2.750%)

    1,091,723       3.019     09/30/26   728,725

PCI Gaming Authority (BB+/Ba3) (1M LIBOR + 2.500%)

    4,918,308       2.647     05/29/26   4,858,501

Playtika Holding Corp. (BB-/B1) (3M LIBOR + 6.000%)

    3,117,340       7.000     12/10/24   3,132,584

UFC Holdings LLC (B/B2) (6M LIBOR + 3.250%)

    2,551,228       4.250     04/29/26   2,540,462

Vue International Bidco PLC (CCC+/Caa1) (6M EURIBOR + 4.750%)

EUR

    3,136,096       4.750     07/03/26   3,245,573
       

 

  39,902,624

 

Environmental(b) – 1.0%

Core & Main LP (B/B2) (3M LIBOR + 2.750%)

$

    4,040,700       3.750     08/01/24   4,017,143

EnergySolutions LLC (B-/B3) (3M LIBOR + 3.750%)

    4,477,482       4.750     05/09/25   4,397,246

GFL Environmental, Inc. (BB-/WR) (3M LIBOR + 3.000%)

    2,378,165       3.500     05/30/25   2,380,139

Innovative Water Care Global Corp. (CCC+/Caa1) (3M LIBOR + 5.000%)

    2,225,462       6.000     02/27/26   1,991,788
       

 

  12,786,316

 

Food & Beverages – 1.8%

BellRing Brands LLC (B+/B2)(b) (1M LIBOR + 5.000%)

    1,173,461       6.000     10/21/24   1,176,982

CHG PPC Parent LLC (B/B2)(b) (1M LIBOR + 2.750%)

    2,587,281       2.897     03/31/25   2,543,634

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – (continued)

Food & Beverages – (continued)

Chobani LLC (B-/B1)(b) (1M LIBOR + 3.500%)

$

    3,192,000       4.500   10/20/27   $       3,180,828

Froneri International Ltd. (B+/B1)(b)

(1M EURIBOR + 2.625%)

EUR

    1,100,000       2.625     01/31/27   1,324,115

(1M LIBOR + 2.250%)

$

    5,174,000       2.397     01/31/27   5,117,086

Shearer’s Foods, Inc. (B-/B2)(b) (3M LIBOR + 4.000%)

    1,271,813       4.750     09/23/27   1,271,418

Sigma Bidco B.V. (NR/NR)(b) (6M LIBOR + 3.000%)

    4,474,905       3.369     07/02/25   4,431,544

Sunshine Investments B.V. (NR/NR)(c)

EUR

    1,200,000       0.000     03/28/25   1,467,475

Sunshine Investments B.V. (B+/B1)(b)

(3M EURIBOR + 3.250%)

    525,000       3.250     03/28/25   635,818

(3M LIBOR + 3.250%)

$

    3,169,746       3.471     03/28/25   3,142,011
       

 

  24,290,911

 

Food & Drug Retailing(b) – 0.2%

B&G Foods, Inc. (BB/Ba2) (1M LIBOR + 2.500%)

    1,350,000       2.647     10/10/26   1,346,139

US Foods, Inc. (BB-/B3) (1M LIBOR + 1.750%)

    1,919,974       1.897     06/27/23   1,889,216
       

 

  3,235,355

 

Gaming(b) – 1.2%

Caesars Resort Collection LLC (B+/B1) (1M LIBOR + 2.750%)

    6,936,292       2.897     12/23/24   6,796,733

Mohegan Tribal Gaming Authority (CCC+/Caa1) (3M LIBOR + 5.375%)

    1,351,697       6.375     10/13/23   1,288,722

Scientific Games International, Inc. (B+/B1) (1M LIBOR + 2.750%)

    6,709,437       2.897     08/14/24   6,543,378

The Stars Group Holdings B.V. (BBB-/Ba1) (3M LIBOR + 3.500%)

    1,228,178       3.751     07/10/25   1,231,936
       

 

  15,860,769

 

Health Care - Pharmaceuticals(b) – 1.8%

Amedes Holding AG (B/B2) (3M EURIBOR + 3.000%)

EUR

    3,010,720       3.000     06/08/26   3,682,644

Bausch Health Cos., Inc. (BB/Ba2)

(1M LIBOR + 2.750%)

$

    2,172,111       2.898     11/27/25   2,149,608

(1M LIBOR + 3.000%)

    5,013,722       3.148     06/02/25   4,991,812

 

 

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – (continued)

Health Care - Pharmaceuticals(b) – (continued)

Endo Finance Co. (Luxembourg) S.a.r.l. (B+/B2) (3M LIBOR + 4.250%)

$

    5,055,860       5.000   04/29/24   $       4,967,383

Grifols Worldwide Operations USA, Inc. (BB+/Ba2) (1 Week LIBOR + 2.000%)

    4,899,399       2.102     11/15/27   4,853,491

Sunshine Luxembourg VII S.a r.l. (B-/B2) (3M LIBOR + 4.000%)

    3,185,042       5.000     10/01/26   3,191,029
       

 

  23,835,967

 

Health Care - Services – 6.0%

Air Medical Group Holdings, Inc. (B/B2)(b) (3M LIBOR + 4.250%)

    3,018,878       5.250     03/14/25   2,985,459

Air Methods Corp. (B/B3)(b) (3M LIBOR + 3.500%)

    2,051,375       4.500     04/22/24   1,970,345

American Renal Holdings, Inc. (B-/B3)(b) (1M LIBOR + 5.000%)

    3,062,227       5.147     06/21/24   3,052,397

Athenahealth, Inc. (B/B2)(b) (1M LIBOR + 4.500%)

    4,431,566       4.648     02/11/26   4,419,380

Change Healthcare Holdings LLC (B+/B1)(b) (3M LIBOR + 2.500%)

    2,649,872       3.500     03/01/24   2,635,298

Envision Healthcare Corp. (CCC/Caa1)(b) (1M LIBOR + 3.750%)

    6,730,210       3.897     10/10/25   5,593,680

ExamWorks Group, Inc. (B/B1)(b) (3M LIBOR + 3.250%)

    2,579,846       4.250     07/27/23   2,574,480

Gentiva Health Services, Inc. (B/B1)(b) (1M LIBOR + 3.250%)

    3,801,266       3.438     07/02/25   3,775,151

Global Medical Response, Inc. (B/B2)(b) (3M LIBOR + 4.750%)

    1,500,000       5.750     10/02/25   1,487,505

Help At Home, Inc. (B-/B1)(b) (3M LIBOR + 5.000%)

    1,864,655       6.000     10/29/27   1,848,339

Jaguar Holding Company II (BB-/Ba2)(b) (1M LIBOR + 2.500%)

    4,498,401       3.500     08/18/22   4,494,488

MPH Acquisition Holdings LLC (B+/Ba3)(b) (3M LIBOR + 2.750%)

    5,165,057       3.750     06/07/23   5,136,029

Pluto Acquisition I, Inc. (B-/B2)(c)

    1,250,000       0.000     06/22/26   1,250,000

RegionalCare Hospital Partners Holdings, Inc. (B/B1)(b) (1M LIBOR + 3.750%)

    5,599,810       3.897     11/16/25   5,578,138

Rodenstock GmbH (NR/NR)(b)(d) (6M EURIBOR + 5.250%)

EUR

    2,725,000       5.250     06/15/26   3,287,384

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – (continued)

Health Care - Services – (continued)

Sedgwick Claims Management Services, Inc. (B/B2)(b) (1M LIBOR + 3.250%)

$

    6,111,141       3.397   12/31/25   $       6,006,763

Sotera Health Holdings LLC (B+/B1)(b) (3M LIBOR + 4.500%)

    4,400,670       5.500     12/11/26   4,413,521

Team Health Holdings, Inc. (B-/Caa1)(b) (1M LIBOR + 2.750%)

    7,075,001       3.750     02/06/24   6,282,884

U.S. Renal Care, Inc. (B-/B2)(b) (1M LIBOR + 5.000%)

    4,834,110       5.147     06/26/26   4,803,896

Verscend Holding Corp. (B+/B3)(b) (1M LIBOR + 4.500%)

    4,558,426       4.647     08/27/25   4,549,309

Vizient, Inc. (BB-/Ba2)(b) (1M LIBOR + 2.000%)

    1,977,437       2.147     05/06/26   1,958,493

WP CityMD Bidco LLC (B-/B2)(b) (3M LIBOR + 4.500%)

    1,435,500       5.500     08/13/26   1,432,514
       

 

  79,535,453

 

Healthcare Providers & Services(b) – 0.2%

Conservice Midco LLC (B/B2) (3M LIBOR + 4.250%)

    2,498,738       4.503     05/13/27   2,498,738

 

Home Construction – 0.3%

CP Atlas Buyer, Inc. (B/B2)(b)

(3M LIBOR + 4.500%)

    825,000       5.250     11/23/27   826,031

(3M LIBOR + 4.500%)

    275,000       5.250     11/23/27   275,344

Gyp Holdings III Corp. (BB-/B1)(b) (1M LIBOR + 2.750%)

    1,926,566       2.897     06/01/25   1,916,124

MI Windows and Doors LLC (NR/NR)(c)

    1,500,000       0.000     12/18/27   1,501,875
       

 

  4,519,374

 

Hotels, Restaurants & Leisure(b) – 0.1%

Carnival Corp. (BB-/Ba2) (1M LIBOR + 7.500%)

    1,246,867       8.500     06/30/25   1,281,156

 

Insurance – 1.6%

Acrisure LLC (B/B2)(b) (1M LIBOR + 3.500%)

    3,473,750       3.647     02/15/27   3,400,662

Alliant Holdings Intermediate LLC (B/B2)(b) (1M LIBOR + 3.250%)

    3,965,661       3.397     05/09/25   3,894,795

AssuredPartners, Inc. (B/B1)(b) (1M LIBOR + 3.500%)

    1,841,213       3.647     02/12/27   1,811,864

 

 

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – (continued)

Insurance – (continued)

HUB International Ltd. (B/B2)(b) (3M LIBOR + 2.750%)

$

    5,153,053       2.965   04/25/25   $       5,054,836

OneDigital Borrower LLC (B/B3)(c)

    1,624,219       0.000     11/16/27   1,624,219
    300,781       0.000     11/16/27   300,781

Sedgwick Claims Management Services, Inc. (B/B2)(b) (1M LIBOR + 4.250%)

    547,250       5.250     09/03/26   550,670

USI, Inc. (B/B2)(b) (3M LIBOR + 3.000%)

    5,008,480       3.254     05/16/24   4,932,302
       

 

  21,570,129

 

Lodging(c) – 0.1%

Four Seasons Hotels Ltd. (BB+/Ba3)

    1,944,935       0.000     11/30/23   1,929,298

 

Machinery – 0.6%

Shape Technologies Group, Inc. (CCC+/Caa2)(b) (1M LIBOR + 3.000%)

    2,869,363       3.147     04/21/25   2,499,932

Star US Bidco LLC (B-/B3)(b)(1M LIBOR + 4.250%)

    1,991,247       5.250     03/17/27   1,948,933

Vertical Midco GmbH (NR/NR)(c) (6M LIBOR + 4.250%)

    3,192,000       0.000     07/30/27   3,202,821
       

 

  7,651,686

 

Media – 0.4%

Adevinta ASA (NR/NR)(c)

    950,000       0.000     10/13/27   948,518

EUR

    1,250,000       0.000     10/13/27   1,528,116

Gray Television, Inc. (BB/Ba2)(c)

$

    1,300,000       0.000     01/02/26   1,289,704

Meredith Corp. (BB-/Ba3)(b) (1M LIBOR + 2.500%)

    1,893,413       2.647     01/31/25   1,871,052
       

 

  5,637,390

 

Media - Broadcasting & Radio – 1.8%

Cumulus Media New Holdings, Inc. (B/B2)(b) (3M LIBOR + 3.750%)

    3,278,353       4.750     03/31/26   3,215,507

Diamond Sports Group LLC (BB-/Ba3)(b) (1M LIBOR + 3.250%)

    2,742,025       3.400     08/24/26   2,415,834

Digital Room Holdings, Inc. (B-/B2)(b) (6M LIBOR + 5.000%)

    2,992,175       5.269     05/21/26   2,805,164

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – (continued)

Media - Broadcasting & Radio – (continued)

Metro-Goldwyn-Mayer, Inc. (BB-/Ba3)(b) (1M LIBOR + 2.500%)

$

    2,210,427       2.650   07/03/25   $       2,210,427

Metro-Goldwyn-Mayer, Inc. (CCC+/B3)(b) (1M LIBOR + 4.500%)

    1,050,000       5.500     07/03/26   1,044,750

Nexstar Broadcasting, Inc. (BB/Ba3)(b)

(1M LIBOR + 2.250%)

    2,057,015       2.395     01/17/24   2,036,116

(3M LIBOR + 2.750%)

    2,221,570       2.905     09/18/26   2,204,087

Renaissance Holding Corp. (B-/B2)(b) (1M LIBOR + 3.250%)

    1,916,649       3.397     05/30/25   1,880,405

Renaissance Holding Corp. (CCC/Caa2)(b) (1M LIBOR + 7.000%)

    2,000,000       7.147     05/29/26   1,972,500

The E.W. Scripps Co. (BB-/Ba3)

    1,350,000       0.000 (c)    12/15/27   1,350,000

(1M LIBOR + 2.000%)

    1,546,351       2.147 (b)    10/02/24   1,534,274

WMG Acquisition Corp. (BB/Ba3)(b) (1M LIBOR + 2.125%)

    1,136,053       2.272     11/01/23   1,133,032
       

 

  23,802,096

 

Media - Cable – 3.0%

Altice Financing SA (B/B2)(b)

(1M LIBOR + 2.750%)

    1,964,377       2.909     07/15/25   1,919,117

(1M LIBOR + 2.750%)

    4,028,673       2.897     01/31/26   3,934,000

Altice France SA (B/B2)(b) (1M LIBOR + 3.688%)

    4,435,335       3.846     01/31/26   4,384,062

Charter Communications Operating LLC (BBB-/Ba1)(c)

    1,296,717       0.000     02/01/27   1,288,133

Cogeco Communications, Inc. (BB/B1)(b) (1M LIBOR + 2.000%)

    3,254,527       2.147     01/03/25   3,209,777

CSC Holdings LLC (BB/Ba3)(b) (1M LIBOR + 2.250%)

    3,912,453       2.409     07/17/25   3,848,172

iHeartCommunications, Inc. (B+/B1)(b) (1M LIBOR + 4.000%)

    1,726,188       4.750     05/01/26   1,724,755

ION Media Networks, Inc. (BB-/B1)(b) (1M LIBOR + 3.000%)

    2,525,725       3.188     12/18/24   2,521,507

Numericable Group SA (B/B2)(b) (1M LIBOR + 2.750%)

    4,700,984       2.897     07/31/25   4,594,835

Univision Communications, Inc. (B/B2)(b) (1M LIBOR + 3.750%)

    1,923,142       4.750     03/15/26   1,922,334

Virgin Media Bristol LLC (BB-/Ba3)(b) (1M LIBOR + 2.500%)

    4,858,080       2.659     01/31/28   4,808,625

 

 

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – (continued)

Media - Cable – (continued)

Windstream Services LLC (B/B3)(c)

$

    1,325,000       0.000   09/21/27   $       1,293,531

Ziggo Financing Partnership B.V. (B+/B1)(b) (1M LIBOR + 2.500%)

    4,500,000       2.659     04/30/28   4,467,645
       

 

  39,916,493

 

Media - Non Cable(b) – 3.7%

Ascend Learning LLC (B-/B1) (1M LIBOR + 3.000%)

    2,462,778       4.000     07/12/24   2,447,386

Cambium Learning Group, Inc. (NR/Caa2) (3M LIBOR + 8.500%)

    1,075,000       9.500     12/18/26   1,045,437

Cambium Learning Group, Inc. (B-/B2) (3M LIBOR + 4.500%)

    2,652,328       4.754     12/18/25   2,633,099

Clear Channel Outdoor Holdings, Inc. (B/B1) (3M LIBOR + 3.500%)

    4,162,673       3.714     08/21/26   3,999,122

Entercom Media Corp. (BB-/Ba3) (1M LIBOR + 2.500%)

    2,790,329       2.648     11/18/24   2,720,571

Getty Images, Inc. (B-/B2) (1M LIBOR + 4.500%)

    4,428,458       4.647     02/19/26   4,350,960

Hubbard Radio LLC (B/B2) (3M LIBOR + 4.250%)

    3,790,378       5.250     03/28/25   3,657,714

iHeartCommunications, Inc. (B+/B1) (1M LIBOR + 3.000%)

    925,672       3.147     05/01/26   909,473

Lions Gate Capital Holdings LLC (B+/Ba2) (1M LIBOR + 2.250%)

    3,224,921       2.398     03/24/25   3,172,516

McGraw-Hill Global Education Holdings LLC (B/Caa1) (3M LIBOR + 4.000%)

    4,673,373       5.000     05/04/22   4,545,369

Meredith Corp. (BB-/Ba3) (3M LIBOR + 4.250%)

    4,104,375       5.250     01/31/25   4,122,845

NEP/NCP Holdco, Inc. (B/Caa1) (1M LIBOR + 3.250%)

    2,819,601       3.397     10/20/25   2,666,102

NEP/NCP Holdco, Inc. (CCC/Caa3) (1M LIBOR + 7.000%)

    3,200,000       7.147     10/19/26   2,713,600

Nielsen Finance LLC (NR/NR) (1M LIBOR + 3.750%)

    2,546,375       4.750     06/04/25   2,558,572

Prometric Holdings, Inc. (B-/B2) (1M LIBOR + 3.000%)

    1,396,447       4.000     01/29/25   1,356,648

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – (continued)

Media - Non Cable(b) – (continued)

Terrier Media Buyer, Inc. (B+/B1)

(1M LIBOR + 4.250%)

$

    4,752,000       4.397   12/17/26   $        4,750,527

(1M LIBOR + 4.250%)

    995,000       4.397     12/17/26     992,512
       

 

  48,642,453

 

Metals & Mining(b) – 0.9%

Anvil International LLC (B-/B3) (1M LIBOR + 5.000%)

    3,950,000       5.150     05/28/26   3,721,887

Crosby US Acquisition Corp. (B-/B2) (1M LIBOR + 4.750%)

    3,335,569       4.894     06/26/26   3,252,180

Oxbow Carbon LLC (BB-/B1) (1M LIBOR + 4.250%)

    3,480,938       5.000     10/13/25   3,472,235

U.S. Silica Co. (CCC+/Caa1) (1M LIBOR + 4.000%)

    1,538,478       5.000     05/01/25   1,344,245
       

 

  11,790,547

 

Oil & Gas Services(b) – 0.0%

EG Group Ltd. (B-/B3) (3M LIBOR + 4.000%)

    548,590       4.254     02/07/25   541,392

 

Packaging – 3.6%

Berlin Packaging LLC (B-/B3)(b) (1M LIBOR + 3.000%)

    4,959,314       3.160     11/07/25   4,871,931

Berry Global, Inc. (BBB-/Ba2)(c)

    3,250,000       0.000     07/01/26   3,230,922

BWAY Holding Co. (B-/B3)(b) (3M LIBOR + 3.250%)

    5,705,949       3.480     04/03/24   5,499,108

Canister International Group, Inc. (B/B2)(b) (1M LIBOR + 4.750%)

    2,387,486       4.897     12/21/26   2,375,549

Charter NEX US, Inc. (NR/NR)(b) (1M LIBOR + 4.250%)

    4,735,717       5.000     12/01/27   4,754,660

Consolidated Container Co. LLC (B+/B2)(b) (1M LIBOR + 2.750%)

    3,959,717       3.750     05/22/24   3,945,699

Flex Acquisition Co., Inc. (B/B2)(b)

(3M LIBOR + 3.000%)

    1,114,243       4.000     12/29/23   1,106,934

(3M LIBOR + 3.000%)

    3,242,609       3.225     06/29/25   3,199,644

LABL, Inc. (B/B2)(b)

(1M EURIBOR + 5.000%)

EUR

    3,050,000       5.000     07/01/26   3,726,033

(1M LIBOR + 4.500%)

$

    1,105,049       4.647     07/01/26   1,104,010

Pregis TopCo Corp. (B-/B2)(b) (1M LIBOR + 4.250%)

    1,500,000       5.000     08/01/26   1,488,750

 

 

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – (continued)

Packaging – (continued)

Pro Mach Group, Inc. (B-/B2)(b) (1M LIBOR + 2.750%)

$

    4,722,760       2.897   03/07/25   $       4,632,508

Reynolds Consumer Products, Inc (BB+/Ba1)(b) (1M LIBOR + 1.750%)

    2,735,076       1.897     02/04/27   2,714,563

Reynolds Group Holdings, Inc. (B+/B1)(b) (1M LIBOR + 3.250%)

    2,475,000       3.397     02/05/26   2,453,344

Trident TPI Holdings, Inc. (B-/B2)(b) (3M LIBOR + 3.000%)

    2,520,348       4.000     10/17/24   2,483,097
       

 

  47,586,752

 

Paper – 0.4%

Altium Packaging LLC (B+/B2)(b) (1M LIBOR + 3.000%)

    738,787       3.147     06/14/26   733,247

Clearwater Paper Corp. (BB+/Ba1)(c)

    1,206,643       0.000     07/26/26   1,209,659

Pregis TopCo Corp. (B-/B2)(b) (1M LIBOR + 3.750%)

    3,636,699       3.897     07/31/26   3,618,516
       

 

  5,561,422

 

Pipelines(b) – 2.2%

BCP Raptor LLC (B-/B3)

(1M LIBOR + 4.250%)

    1,527,108       5.250     06/24/24   1,394,448

(1M LIBOR + 4.750%)

    3,229,911       4.897     11/03/25   2,894,000

Buckeye Partners LP (BBB-/Ba1) (1M LIBOR + 2.750%)

    3,932,844       2.897     11/01/26   3,924,860

Centurion Pipeline Co. LLC (BB/B1)

(1M LIBOR + 3.250%)

    1,247,212       3.397     09/29/25   1,237,471

(1M LIBOR + 4.250%)

    1,560,000       4.147 (d)    09/28/25   1,552,200

Illuminate Buyer LLC (B+/B1) (1M LIBOR + 4.000%)

    2,593,500       4.147     06/30/27   2,592,411

Lower Cadence Holdings LLC (B-/B2) (1M LIBOR + 4.000%)

    2,216,250       4.147     05/22/26   2,159,470

NorthRiver Midstream Finance LP (BB/Ba3) (3M LIBOR + 3.250%)

    3,714,500       3.475     10/01/25   3,648,976

Prairie ECI Acquiror LP (B-/B3) (1M LIBOR + 4.750%)

    3,079,942       4.897     03/11/26   3,002,943

Traverse Midstream Partners LLC (B/B3) (1M LIBOR + 5.500%)

    2,717,508       6.500     09/27/24   2,659,761

Waterbridge Midstream Operating LLC (B-/B3) (6M LIBOR + 5.750%)

    4,141,049       6.750     06/22/26   3,543,206
       

 

  28,609,746

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – (continued)

Real Estate Investment Trust(b) – 0.8%

Brookfield Property REIT, Inc. (BB+/B1) (1M LIBOR + 2.500%)

$

    4,835,935       2.647   08/27/25   $       4,555,160

Forest City Enterprises LP (B+/B2) (1M LIBOR + 3.500%)

    2,828,354       3.647     12/08/25   2,699,325

Realogy Group LLC (BB/Ba3) (1M LIBOR + 2.250%)

    3,011,196       3.000     02/08/25   2,953,110
       

 

  10,207,595

 

Restaurants(b) – 0.4%

1011778 B.C. Unlimited Liability Co. (BB+/Ba2) (1M LIBOR + 1.750%)

    4,837,162       1.897     11/19/26   4,763,105

 

Retailers(b) – 1.8%

Bass Pro Group LLC (B+/B1) (1M LIBOR + 5.000%)

    4,984,898       5.750     09/25/24   4,993,821

Dealer Tire LLC (B-/B1) (1M LIBOR + 4.250%)

    3,339,910       4.397     12/12/25   3,309,283

EG America LLC (B-/B3) (3M LIBOR + 4.000%)

    3,980,870       4.254     02/07/25   3,928,641

Neiman Marcus Group Ltd. LLC (CCC+/Caa2) (3M LIBOR + 12.000%)

    827,336       13.000     09/25/25   877,663

OEConnection LLC (B-/B2) (1M LIBOR + 4.000%)

    3,208,483       4.147     09/25/26   3,168,377

Shutterfly, Inc. (B-/B2) (3M LIBOR + 6.000%)

    2,122,565       7.000     09/25/26   2,107,409

Staples, Inc. (B/B1) (3M LIBOR + 5.000%)

    5,363,729       5.214     04/16/26   5,185,117
       

 

  23,570,311

 

Retailing(c) – 0.1%

PetSmart, Inc. (B/B1)

    1,300,000       0.000     03/11/22   1,296,334

 

Semiconductors(b)(d) – 0.0%

Allegro Microsystems, Inc. (BB/B1) (1M LIBOR + 4.000%)

    150,000       4.147     09/30/27   149,625

 

Services Cyclical - Business Services – 0.7%

Asurion LLC (B+/Ba3)(c)

    2,668,159       0.000     11/03/24   2,644,145

EVO Payments International LLC (B/B2)(b) (1M LIBOR + 3.250%)

    2,507,227       3.400     12/22/23   2,504,093

 

 

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – (continued)

Services Cyclical - Business Services – (continued)

Travelport Finance (Luxembourg) S.a.r.l. (B-/B3)(b) (3M LIBOR + 1.500%)

$

    2,774,727       8.000   02/28/25   $       2,731,802

Travelport Finance (Luxembourg) S.a.r.l. (CCC-/Caa3)(b) (3M LIBOR + 5.000%)

    2,320,928       5.220     05/29/26   1,566,139
       

 

  9,446,179

 

Services Cyclical - Consumer Services(b) – 1.6%

Asurion LLC (B/B3) (1M LIBOR + 6.500%)

    1,769,818       6.647     08/04/25   1,780,880

Asurion LLC (B+/Ba3) (1M LIBOR + 3.000%)

    2,488,481       3.147     11/03/23   2,462,551

KUEHG Corp. (CCC+/B3) (3M LIBOR + 3.750%)

    3,685,206       4.750     02/21/25   3,484,363

Red Ventures LLC (B+/B1) (1M LIBOR + 3.500%)

    2,825,000       4.250     11/08/24   2,803,812

USIC Holdings, Inc. (B-/B2) (1M LIBOR + 3.000%)

    2,750,467       4.000     12/08/23   2,747,029

USS Ultimate Holdings, Inc. (B-/B1) (1M LIBOR + 3.750%)

    2,485,861       4.750     08/25/24   2,480,417

USS Ultimate Holdings, Inc. (CCC/Caa1) (1M LIBOR + 7.750%)

    2,225,000       8.750     08/25/25   2,213,875

Weight Watchers International, Inc. (BB/Ba2) (1M LIBOR + 4.750%)

    3,303,390       5.500     11/29/24   3,298,567
       

 

  21,271,494

 

Technology - Hardware – 0.8%

CommScope, Inc. (B/Ba3)(b) (1M LIBOR + 3.250%)

    3,224,634       3.397     04/06/26   3,196,418

Dell International LLC (BBB-/Baa3)(c)

    2,548,924       0.000     09/19/25   2,549,230

ON Semiconductor Corp. (BB+/Baa3)(b) (1M LIBOR + 2.000%)

    2,641,563       2.147     09/19/26   2,645,974

Tech Data Corp. (BBB-/Ba2)(b) (1M LIBOR + 5.500%)

    1,300,000       5.645     06/30/25   1,296,750

Xperi Corp. (BB-/Ba3)(b) (1M LIBOR + 4.000%)

    915,357       4.147     06/01/25   916,309
       

 

  10,604,681

 

Technology - Software – 2.4%

Avast Software B.V. (BB+/Ba2)(b) (3M LIBOR + 2.250%)

    490,252       3.250     09/29/23   487,497

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – (continued)

Technology - Software – (continued)

Camelot U.S. Acquisition 1 Co. (B/B2)(b) (1M LIBOR + 3.000%)

$

    2,530,827       3.147   10/30/26   $       2,517,110

Castle US Holding Corp. (B-/B2)(b) (3M LIBOR + 3.750%)

    3,796,624       4.004     01/29/27   3,717,123

Cornerstone OnDemand, Inc. (B/B1)(b) (1M LIBOR + 4.250%)

    2,061,321       4.394     04/22/27   2,068,309

Dynatrace LLC (BB-/B1)(b) (1M LIBOR + 2.250%)

    2,389,134       2.397     08/22/25   2,363,762

Flexera Software LLC (B-/B1)(c)

    1,275,000       0.000     01/26/28   1,273,406

Go Daddy Operating Co. LLC (BB/Ba1)(b) (1M LIBOR + 2.500%)

    1,265,882       2.647     08/10/27   1,269,578

Informatica LLC (B-/B1)(b) (1M LIBOR + 3.250%)

    2,411,775       3.397     02/25/27   2,389,177

Ivanti Software, Inc. (B-/B2)(c)

    1,925,000       0.000     12/01/27   1,918,378

The Ultimate Software Group, Inc. (B/B1)(b) (3M LIBOR + 4.000%)

    1,521,188       4.750     05/04/26   1,527,926

The Ultimate Software Group, Inc. (CCC/Caa1)(b) (3M LIBOR + 6.750%)

    50,000       7.500     05/03/27   51,313

Tibco Software, Inc. (B/B2)(b) (1M LIBOR + 3.750%)

    4,226,404       3.900     06/30/26   4,137,903

Uber Technologies (B/B1)(b) (1M LIBOR + 4.000%)

    1,338,172       5.000     04/04/25   1,341,798

VS Buyer LLC (B-/B1)(b) (1M LIBOR + 3.250%)

    2,431,625       3.397     02/28/27   2,416,427

Weld North Education LLC (B-/WR)(c)

    1,775,000       0.000     02/15/25   1,766,125

Zelis Healthcare Corp. (B/B2)(b) (1M LIBOR + 4.750%)

    2,679,699       4.897     09/30/26   2,683,799
       

 

  31,929,631

 

Technology - Software/Services – 11.7%

Ahead Data Blue LLC (B/B1)(b) (3M LIBOR + 5.000%)

    1,975,000       6.000     10/13/27   1,938,581

Almonde, Inc. (CCC-/Caa2)(b) (6M LIBOR + 7.250%)

    1,625,000       8.250     06/13/25   1,625,585

AppLovin Corp. (B+/B1)(b)

(1M LIBOR + 3.500%)

    2,742,732       3.647     08/15/25   2,732,447

(1M LIBOR + 4.000%)

    863,475       4.147     08/15/25   860,781

 

 

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – (continued)

Technology - Software/Services – (continued)

Aston Finance Co. S.a.r.l. (B-/B2)(b) (3M LIBOR + 4.250%)

$

    620,188       4.391   10/09/26   $         611,078

Banff Merger Sub, Inc. (B-/B2)(b) (1M LIBOR + 4.250%)

    3,764,569       4.397     10/02/25   3,744,654

Bracket Intermediate Holding Corp. (B-/B2)(b) (3M LIBOR + 4.250%)

    3,007,676       4.484     09/05/25   2,966,320

BY Crown Parent LLC (B-/B1)(c)

    1,945,113       0.000     02/02/26   1,940,250

Camelot U.S. Acquisition 1 Co. (B/B2)(b) (1M LIBOR + 3.000%)

    675,000       4.000     10/30/26   674,366

Cardtronics USA, Inc. (BB+/Ba2)(b) (1M LIBOR + 4.000%)

    2,566,427       5.000     06/29/27   2,562,141

Ceridian HCM Holding, Inc. (B+/B2)(b) (1 Week LIBOR + 2.500%)

    3,882,436       2.600     04/30/25   3,827,422

Cloudera, Inc. (NR/NR)(b) (3M LIBOR + 2.500%)

    1,400,000       3.250     12/17/27   1,396,500

ConvergeOne Holdings, Inc. (B-/B2)(b) (1M LIBOR + 5.000%)

    2,379,669       5.148     01/04/26   2,233,914

DCert Buyer, Inc. (B-/B2)(b) (1M LIBOR + 4.000%)

    3,200,813       4.147     10/16/26   3,193,387

Electronics for Imaging, Inc. (CCC+/B3)(b) (1M LIBOR + 5.000%)

    1,856,250       5.147     07/23/26   1,578,388

Emerald TopCo, Inc. (B/B2)(b) (3M LIBOR + 3.500%)

    3,476,347       3.714     07/24/26   3,428,548

Epicor Software Corp. (B-/B2)(b) (1M LIBOR + 4.250%)

    2,443,875       5.250     07/30/27   2,455,581

Epicor Software Corp. (CCC/Caa2)(b) (1M LIBOR + 7.750%)

    200,000       8.750     07/31/28   208,126

Eta Australia Holdings III Pty Ltd. (B-/B3)(b) (1M LIBOR + 4.000%)

    5,072,750       4.147     05/06/26   4,945,931

Finastra USA, Inc. (CCC+/B2)(b)(6M LIBOR + 3.500%)

    2,373,784       4.500     06/13/24   2,322,605

Genuine Financial Holdings LLC (B-/B3)(b) (1M LIBOR + 3.750%)

    4,116,963       3.897     07/11/25   3,981,433

Genuine Financial Holdings LLC (CCC/Caa3)(b) (1M LIBOR + 7.250%)

    4,300,000       7.397     07/10/26   3,341,100

Hudson River Trading LLC (BB-/Ba2)(b) (1M LIBOR + 3.000%)

    3,382,915       3.147     02/18/27   3,378,686

Huskies Parent, Inc. (B-/B2)(b)(2M LIBOR + 4.000%)

    2,871,000       4.179     07/31/26   2,856,645

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – (continued)

Technology - Software/Services – (continued)

Hyland Software, Inc. (B-/B1)(b) (1M LIBOR + 3.500%)

$

    2,532,565       4.250   07/01/24   $       2,535,376

Hyland Software, Inc. (CCC/Caa1)(b) (1M LIBOR + 7.000%)

    1,716,000       7.750     07/07/25   1,726,004

Ion Trading Technologies S.a.r.l. (B/B3)(b) (3M LIBOR + 4.000%)

    4,268,590       5.000     11/21/24   4,253,351

MA FinanceCo. LLC (BB-/B1)(b) (1M LIBOR + 2.750%)

    411,089       2.897     06/21/24   404,923

Marcel LUX IV S.a.r.l. (B/B2)(b) (1M LIBOR + 3.250%)

    4,518,458       3.395     03/15/26   4,411,145

McAfee LLC (BB-/B1)(b) (1M LIBOR + 3.750%)

    1,733,393       3.898     09/30/24   1,732,093

MH Sub I LLC (B/B2)(b) (1M LIBOR + 3.500%)

    3,580,806       3.647     09/13/24   3,528,455

Mitchell International, Inc. (NR/NR)(b) (1M LIBOR + 7.250%)

    1,100,000       7.397     12/01/25   1,061,500

Mitchell International, Inc. (B-/B2)(b)

(1M LIBOR + 3.250%)

    2,899,089       3.397     11/29/24   2,842,933

(1M LIBOR + 4.250%)

    1,745,625       4.750     11/29/24   1,744,752

Omnitracs, Inc. (B-/B2)(b)

(1M LIBOR + 2.750%)

    4,152,423       2.898     03/21/25   4,058,122

(1M LIBOR + 4.250%)

    1,100,000       4.403     03/23/25   1,102,750

Omnitracs, Inc. (CCC/Caa2)(b) (1M LIBOR + 8.000%)

    1,600,000       8.148     09/29/28   1,576,000

Park Place Technologies LLC (B-/B2)(b) (1M LIBOR + 5.000%)

    1,600,000       6.000     11/10/27   1,533,328

Pitney Bowes, Inc. (BBB-/Ba1)(b) (1M LIBOR + 5.500%)

    2,021,250       5.650     01/07/25   2,001,462

Presidio, Inc. (B/B1)(b) (3M LIBOR + 3.500%)

    1,990,000       3.720     01/22/27   1,981,921

Project Boost Purchaser LLC (B-/B2)(b) (1M LIBOR + 3.500%)

    3,763,472       3.647     06/01/26   3,721,133

QBS Parent, Inc. (B/B3)(b) (3M LIBOR + 4.250%)

    4,203,527       4.504     09/22/25   3,854,634

Quest Software US Holdings, Inc. (B+/B2)(b) (3M LIBOR + 4.250%)

    2,529,825       4.464     05/16/25   2,482,390

Refinitiv US Holdings, Inc. (B/B2)(b) (1M LIBOR + 3.250%)

    5,702,941       3.397     10/01/25   5,691,079

Rocket Software, Inc. (B-/B2)(b) (1M LIBOR + 4.250%)

    1,947,312       4.397     11/28/25   1,928,112

 

 

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – (continued)

Technology - Software/Services – (continued)

Seattle SpinCo, Inc. (BB-/B1)(b) (1M LIBOR + 2.750%)

$

    2,776,186       2.897   06/21/24   $       2,734,543

Severin Acquisition LLC (B-/B2)(b) (1M LIBOR + 3.250%)

    5,034,523       3.404     08/01/25   4,965,299

Sirius Computer Solutions, Inc. (B/Ba3)(b) (1M LIBOR + 3.500%)

    2,712,223       3.647     07/01/26   2,696,248

Syncsort, Inc. (B-/B2)(b) (3M LIBOR + 6.000%)

    4,399,328       7.000     08/16/24   4,391,101

The Dun & Bradstreet Corp. (B+/B1)

    550,000       0.000 (c)    02/06/26   549,769

(1M LIBOR + 3.750%)

    4,488,265       3.898 (b)    02/06/26   4,486,380

The Ultimate Software Group, Inc. (B/B1)(b) (1M LIBOR + 3.750%)

    4,888,125       3.897     05/04/26   4,880,500

TriTech Software Systems (CCC+/Caa1)(b) (3M LIBOR + 3.750%)

    7,352,085       4.004     08/29/25   6,841,115

TTM Technologies, Inc. (BB+/Ba1)(b) (3M LIBOR + 2.500%)

    1,456,321       2.655     09/28/24   1,449,040

Ultra Clean Holdings, Inc. (B+/B1)(b) (1M LIBOR + 4.500%)

    2,761,026       4.647     08/27/25   2,733,416

Upland Software, Inc. (B/B2)(b) (1M LIBOR + 3.750%)

    4,369,687       3.897     08/06/26   4,333,288

Virtusa Corp. (NR/NR)(c)

    3,230,000       0.000     12/01/27   3,205,775
       

 

  156,242,406

 

Telecommunication Services – 4.2%

Buzz Merger Sub Ltd. (B/B1)(b)

(1M LIBOR + 2.750%)

    2,605,313       2.897     01/29/27   2,589,029

(1M LIBOR + 3.250%)

    997,500       3.750     01/29/27   996,253

CCI Buyer, Inc. (B-/B1)(c)

    1,275,000       0.000     12/17/27   1,272,871

CenturyLink, Inc. (BBB-/Ba3)(b) (1M LIBOR + 2.250%)

    5,113,085       2.397     03/15/27   5,054,285

CNT Holdings I Corp. (NR/NR)(b) (3M LIBOR + 6.750%)

    525,000       7.500     10/16/28   532,875

CNT Holdings I Corp. (B/B2)(b)(6M LIBOR + 3.750%)

    3,350,000       4.500     11/08/27   3,344,238

Connect Finco S.a.r.l. (B+/B1)(b) (1M LIBOR + 4.500%)

    4,328,250       5.500     12/11/26   4,338,292

Hoya Midco LLC ( B-/B3)(b)(6M LIBOR + 3.500%)

    5,134,570       4.500     06/30/24   4,823,313

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – (continued)

Telecommunication Services – (continued)

Imperva, Inc. (B-/B2)(b) (3M LIBOR + 4.000%)

$

    5,630,380       5.000   01/12/26   $       5,623,342

Intelsat Jackson Holdings Ltd. (NR/WR)(b) (1M LIBOR + 8.625%)

    3,375,000       8.625     01/02/24   3,426,840

Intelsat Jackson Holdings SA (NR/NR)(b) (3M LIBOR + 5.500%)

    481,082       6.500     07/13/22   489,982

LogMeIn, Inc. (B-/B1)(b) (1M LIBOR + 4.750%)

    2,425,000       4.903     08/31/27   2,414,403

MH Sub I LLC (B/B2)(b) (1M LIBOR + 3.750%)

    1,644,119       4.750     09/13/24   1,637,543

MLN US Holding Co. LLC (B-/B3)(b) (1M LIBOR + 4.500%)

    3,322,520       4.652     11/30/25   2,996,514

Project Alpha Intermediate Holding, Inc. (B/B3)(b) (3M LIBOR + 3.500%)

    5,092,943       4.500     04/26/24   5,039,875

PUG LLC (B-/B3)(b) (1M LIBOR + 3.500%)

    2,019,899       3.647     02/12/27   1,922,277

Rackspace Hosting, Inc. (B+/B1)(b) (3M LIBOR + 3.000%)

    1,736,504       4.000     11/03/23   1,732,597

Web.com Group, Inc. (B+/B2)(b) (1M LIBOR + 3.750%)

    5,425,000       3.898     10/10/25   5,341,346

Zayo Group Holdings, Inc. (B/B1)(b) (1M LIBOR + 3.000%)

    2,915,382       3.147     03/09/27   2,893,517
       

 

  56,469,392

 

Textiles(b) – 0.4%

Kontoor Brands, Inc. (B+/Ba2) (1M LIBOR + 4.250%)

    1,709,667       4.397     05/15/26   1,701,118

Renfro Corp. (NR/NR)(d) (1M LIBOR + 9.000%)

    1,425,211       10.000     02/12/21   1,325,446

Renfro Corp. (CC/Caa3)(d)(2M LIBOR + 5.500%)

    6,189,104       6.750     03/31/21   2,175,842
       

 

  5,202,406

 

Transportation(c) – 0.2%

Genesee & Wyoming, Inc. (BB+/Ba2)

    2,568,530       0.000     12/30/26   2,560,902

 

Transportation Services(b) – 0.2%

XPO Logistics, Inc. (BBB-/Baa3) (1M LIBOR + 2.500%)

    3,200,000       2.658     02/24/25   3,196,448

 

 

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Bank Loans(a) – (continued)

Utilities - Electric(b) – 0.9%

Calpine Corp. (BB+/Ba2)

(1M LIBOR + 2.000%)

$

    1,234,375       2.147   08/12/26   $       1,216,415

(1M LIBOR + 2.500%)

    2,360,328       2.650     12/16/27   2,342,626

LMBE-MC Holdco II LLC (BB-/Ba3)(3M LIBOR + 4.000%)

    5,039,243       4.240     12/03/25   4,969,953

Lonestar II Generation Holdings LLC (B+/Ba3)

(1M LIBOR + 5.000%)

    3,318,545       5.147     04/20/26   3,241,389

(1M LIBOR + 5.000%)

    404,463       5.147     04/20/26   395,059
       

 

  12,165,442

 

Wireless Telecommunications – 0.9%

Digicel International Finance Ltd. (NR/Caa1)(b)(6M LIBOR + 3.250%)

    3,731,178       3.510     05/28/24   3,403,133

Radiate Holdco LLC (B/B1)(b)(1M LIBOR + 3.500%)

    1,925,000       4.250     09/25/26   1,925,905

Telesat Canada (BB-/Ba3)(b)(1M LIBOR + 2.750%)

    1,604,677       2.900     12/07/26   1,587,138

UPC Broadband Holding B.V. (BB-/B1)(c)

    2,225,000       0.000     01/31/29   2,226,112
    2,225,000       0.000     01/31/29   2,226,112
       

 

  11,368,400

 

Wirelines Telecommunications(b) – 0.7%

GTT Communications, Inc. (CCC/WR)(3M LIBOR + 2.750%)

    2,803,123       3.000     05/31/25   2,182,007

Level 3 Financing, Inc. (BBB-/Ba1)(1M LIBOR + 1.750%)

    3,823,623       1.897     03/01/27   3,755,906

Zacapa LLC (B-/B2)(6M LIBOR + 4.500%)

    3,677,496       4.769     07/02/25   3,662,566
  9,600,479

 

TOTAL BANK LOANS
(Cost $1,195,919,791)
  $1,178,766,681

 

       
Corporate Obligations(e) – 4.8%

Aerospace & Defense(f) – 0.1%

TransDigm, Inc. (B+/Ba3)

$

    319,000       8.000   12/15/25   $         352,894

Triumph Group, Inc. (B-/B2)

    544,000       8.875     06/01/24   598,400
       

 

  951,294

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations(e) – (continued)

Airlines(f) – 0.1%

Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd. (NR/Baa3)

$

    1,585,000       6.500   06/20/27   $         1,707,838

 

Automotive – 0.6%

Dana, Inc. (BB-/B2)

    945,000       5.625     06/15/28   1,017,056

Ford Motor Co. (BB+/Ba2)

    2,019,000       9.000     04/22/25   2,480,354

Ford Motor Credit Co. LLC (BB+/Ba2)

    2,650,000       4.140     02/15/23   2,726,572
    650,000       4.687     06/09/25   692,279

The Goodyear Tire & Rubber Co. (B+/B2)

    710,000       5.125     11/15/23   710,887
       

 

  7,627,148

 

Capital Goods(f) – 0.1%

Vertical US New Co., Inc. (B/B1)

    700,000       5.250     07/15/27   737,625

 

Chemicals(f) – 0.2%

Illuminate Buyer LLC/Illuminate Holdings IV, Inc. (B-/Caa1)

    553,000       9.000     07/01/28   608,300

Rayonier AM Products, Inc. (B-/B1)

    253,000       7.625     01/15/26   263,753

The Chemours Co. (B/B1)

    1,445,000       5.750     11/15/28   1,473,900
       

 

  2,345,953

 

Commercial Services(f) – 0.0%

Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc. (B/Ba3)

    505,000       4.625     11/01/26   522,675

 

Diversified Financial Services(f) – 0.3%

LD Holdings Group LLC (B-/B2)

    1,050,000       6.500     11/01/25   1,094,625

PennyMac Financial Services, Inc. (B+/B2)

    1,215,000       5.375     10/15/25   1,281,825

United Shore Financial Services LLC (NR/Ba3)

    1,550,000       5.500     11/15/25   1,623,625
       

 

  4,000,075

 

 

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations(e) – (continued)

Electrical – 0.2%

PG&E Corp. (BB-/B1)

$

    2,215,000       5.000   07/01/28   $       2,358,975

 

Entertainment(f) – 0.1%

Caesars Entertainment, Inc. (B/B1)

    1,785,000       6.250     07/01/25   1,901,025

 

Food & Drug Retailing(f) – 0.2%

US Foods, Inc. (B+/Caa1)

    1,300,000       5.875     06/15/24   1,314,625

US Foods, Inc. (BB-/B3)

    1,019,000       6.250     04/15/25   1,089,056
       

 

  2,403,681

 

Food Service(f) – 0.0%

Aramark Services, Inc. (B+/B1)

    400,000       6.375     05/01/25   429,000

 

Gaming – 0.2%

MGM Resorts International (BB-/Ba3)

    2,281,000       4.750     10/15/28   2,429,265

 

Healthcare Providers & Services(f) – 0.1%

DaVita, Inc. (B+/Ba3)

    1,420,000       3.750     02/15/31   1,434,200

 

Insurance(f) – 0.2%

Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer (B/B2)

    2,500,000       4.250     10/15/27   2,543,750

 

Internet(f) – 0.6%

ANGI Group LLC (BB-/Ba3)

    1,055,000       3.875     08/15/28   1,062,913

Cablevision Lightpath LLC (B+/B1)

    2,469,000       3.875     09/15/27   2,484,431

Uber Technologies, Inc. (CCC+/B3)

    1,780,000       7.500     05/15/25   1,920,175
    2,175,000       6.250     01/15/28   2,365,312
       

 

  7,832,831

 

Leisure Time(f) – 0.0%

Sabre GLBL, Inc. (B/Ba3)

    416,000       9.250     04/15/25   495,040

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations(e) – (continued)

Machinery-Diversified(f) – 0.1%

Clark Equipment Co. (BB+/Ba3)

$

    899,000       5.875   06/01/25   $          948,445

GrafTech Finance, Inc. (BB-/B1)

    1,040,000       4.625     12/15/28   1,050,400
       

 

  1,998,845

 

Media – 0.8%

Diamond Sports Group LLC/Diamond Sports Finance Co. (BB-/Ba3)(f)

    4,850,000       5.375     08/15/26   3,940,625

iHeartCommunications, Inc. (B+/B1)

    1,393,436       6.375     05/01/26   1,487,493

iHeartCommunications, Inc. (CCC+/Caa1)

    1       8.375     05/01/27   1

Nexstar Broadcasting, Inc. (B/B3)(f)

    1,894,000       4.750     11/01/28   1,976,862

Radiate Holdco LLC/Radiate Finance, Inc. (B/B1)(f)

    797,000       4.500     09/15/26   820,910

Scripps Escrow II, Inc. (CCC+/Caa1)(f)

    450,000       5.375     01/15/31   472,500

Townsquare Media, Inc. (B/B2)(f)

    957,000       6.875     02/01/26   1,000,065

Univision Communications, Inc. (B/B2)(f)

    1,500,000       6.625     06/01/27   1,610,625
       

 

  11,309,081

 

Oil Field Services – 0.3%

CNX Resources Corp. (NR/B3)(f)

    525,000       6.000     01/15/29   535,500

Exterran Energy Solutions LP/EES Finance Corp. (B/B1)

    3,700,000       8.125     05/01/25   3,089,500

Noble Holding International Ltd. (NR/WR)(g)

    1,008,000       7.750     01/15/24   18,698
       

 

  3,643,698

 

Pharmaceuticals(f) – 0.2%

Herbalife Nutrition Ltd./HLF Financing, Inc. (BB-/B1)

    2,017,000       7.875     09/01/25   2,198,530

 

Real Estate Investment Trust – 0.1%

Realogy Group LLC/Realogy Co.-Issuer Corp. (B/B3)(f)

    717,000       7.625     06/15/25   776,153

 

 

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
  Maturity
Date
  Value
Corporate Obligations(e) – (continued)

Real Estate Investment Trust – (continued)

Service Properties Trust (BB/Ba1)

$

    455,000     7.500%   09/15/25   $          528,969
       

 

        1,305,122

 

Retailing(f) – 0.3%

PetSmart, Inc. (CCC+/Caa1)

    1,875,000     8.875      06/01/25   1,921,875

Specialty Building Products Holdings LLC/SBP Finance Corp. (B-/B3)

    855,000     6.375      09/30/26   899,888

Staples, Inc. (B/B1)

    1,375,000     7.500      04/15/26   1,426,562
       

 

        4,248,325

 

TOTAL CORPORATE OBLIGATIONS
(Cost $62,664,247)
  $     64,423,976

 

       
Asset-Backed Securities(b)(f) – 0.8%

Collateralized Loan Obligations – 0.8%

Golub Capital Partners 48 LP Series 2020-48A, Class D (BBB-/NR) (3M USD LIBOR + 3.800%)

$

    5,400,000     4.018%   04/17/33   $       5,401,280

ICG US CLO LLC Series 2015-2RA, Class C (NR/Baa3)
(3M USD LIBOR + 3.500%)

    2,100,000     3.730      01/16/33   2,041,998

Race Point VIII CLO Ltd. Series 2013-8A, Class DR2 (BBB-/NR) (3M USD LIBOR + 3.500%)

    3,235,000     3.724      02/20/30   3,129,481

 

TOTAL ASSET-BACKED SECURITIES
(Cost $10,715,998)
  $     10,572,759

 

       
Shares     Description   Value
Common Stocks – 0.5%

Aerospace & Defense(d) – 0.3%

    314,360     Swissport   $       3,456,341

Energy Equipment & Services(g) – 0.1%

    58,419     FTS International, Inc. Class A   1,121,645

Media – 0.1%

    162,749     Bright Pattern Holding Co.   204,250
    579,399     Clear Channel Outdoor Holdings,
Inc.(g)
  956,008
       

 

      1,160,258

 

Specialty Retail – 0.0%

    9,541     Neiman Marcus Group, Inc.   616,349

 

TOTAL COMMON STOCKS
(Cost $12,504,216)
  $       6,354,593

 

Units   Expiration
Date
  Value
Warrant(g) – 0.0%

Aspect Software, Inc. Class B (NR/NR)(d)

162,749     //0   $            40,687

True Religion Warrant (NR/NR)

2,145     10/27/22  

True Religion Warrant 2 (NR/NR)

8,103     10/27/22  

 

TOTAL WARRANT
(Cost $—)
  $            40,687

 

       
Shares   Description   Value
Exchange Traded Funds – 2.8%
186,021    

Eaton Vance Senior
Floating-Rate
Trust (NR/NR)(h)
  $     2,368,047
641,000    

Invesco Senior
Loan ETF (NR/
NR)
  14,281,480
349,789    

Nuveen Floating
Rate Income Fund
(NR/NR)
  3,057,156
348,796    


Nuveen Floating
Rate Income
Opportunity Fund
(NR/NR)
  3,020,574
329,000    


SPDR
Blackstone/GSO
Senior Loan ETF
(NR/NR)
  15,018,850

 

TOTAL EXCHANGE TRADED FUNDS
(Cost $37,891,039)
  $     37,746,107

 

       
Shares   Dividend
Rate
  Value
Investment Company(i) – 5.4%

Goldman Sachs Financial Square Government Fund - Institutional Shares

71,938,832

(Cost $71,938,832)

   

0.026%

  $     71,938,832

 

TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE
(Cost $1,391,634,123)
  $1,369,843,635

 

       
Securities Lending Reinvestment Vehicle(i) – 0.1%

Goldman Sachs Financial Square Government Fund - Institutional Shares

1,117,675

   

0.026%

  $       1,117,675
(Cost $1,117,675)

 

TOTAL INVESTMENTS – 103.0%
(Cost $1,392,751,798)
  $1,370,961,310

 

LIABILITIES IN EXCESS OF
    OTHER ASSETS – (3.0)%
  (40,067,464)

 

NET ASSETS – 100.0%   $1,330,893,846

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
 

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

(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.
(d)   Significant unobservable inputs were used in the valuation of this portfolio security; i.e., Level 3.
(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)   Security is currently in default and/or non-income producing.
(h)   All or a portion of security is on loan.
(i)   Represents an affiliated fund.

 

 

Currency Abbreviations:
EUR  

— Euro

USD  

— U.S. Dollar

Investment Abbreviations:
CLO  

— Collateralized Loan Obligation

ETF  

— Exchange Traded Fund

LIBOR  

— London Interbank Offered Rate

LLC  

— Limited Liability Company

LP  

— Limited Partnership

PLC  

— Public Limited Company

REIT  

— Real Estate Investment Trust

 

    

 

GOLDMAN SACHS HIGH YIELD FLOATING RATE 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), due 10/29/27

     $ 235,345        $ 233,286        $ 1,392  

Intelsat Jackson Holdings SA (NR/NR), due 07/13/22

       160,361          163,327          2,966  

OEConnection LLC (B-/B2), due 09/25/26(a)

       11,607          11,462          (97

 

 

TOTAL

          $ 408,075        $ 4,261  

 

 

 

(a)   Significant unobservable inputs were used in the valuation of this portfolio security; i.e., Level 3.

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

    

USD

     4,578,238        EUR      3,722,339          01/21/21        $ 28,417  

 

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

 

Counterparty      Currency
Purchased
       Currency
Sold
       Settlement
Date
       Unrealized
Gain
 

 

 

MS & Co. Int. PLC

    

USD

     32,318,395        EUR      27,296,216          01/21/21        $ (1,045,818

 

 

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

     3      03/22/21      $ 640,688      $ (7,389

 

 

Short position contracts:

                 

Ultra 10 Year U.S. Treasury Notes

     (22)      03/22/21        (3,439,906      9,993  

2 Year U.S. Treasury Notes

     (80)      03/31/21        (17,678,125      (16,268

5 Year U.S. Treasury Notes

     (129)      03/31/21        (16,275,164      (36,625

10 Year U.S. Treasury Notes

     (93)      03/22/21        (12,841,266      (9,921

20 Year U.S. Treasury Bonds

     (2)      03/22/21        (346,375      3,004  

 

 

Total

                  $ (49,817

 

 

TOTAL FUTURES CONTRACTS

                  $ (57,206

 

 

SWAP CONTRACTS — At December 31, 2020, the Fund had the following swap contracts:

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 Sold:

                  

CDX.NA.HY Index 35

     5.000%       2.938%       12/20/25      $11,700    $ 1,105,952      $ 524,898      $ 581,054  

 

 

 

(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 HIGH YIELD FLOATING RATE FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

 

Abbreviations:
CDX.NA.HY Index 35  

— CDX North America High Yield Index 35

MS & Co. Int. PLC  

— Morgan Stanley & Co. International PLC

 

        

 

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

 

Schedule of Investments

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – 91.3%

Aerospace & Defense – 2.3%

Lockheed Martin Corp.

$

    850,000       4.070   12/15/42   $    1,101,047
    125,000       4.700 (a)    05/15/46   174,946

Northrop Grumman Corp.

    1,175,000       4.750     06/01/43   1,571,022
    380,000       4.030 (a)    10/15/47   474,221

Raytheon Technologies Corp.

    1,725,000       4.125 (a)    11/16/28   2,056,027
    370,000       5.700     04/15/40   541,558
    550,000       4.050 (a)    05/04/47   683,920
    500,000       4.625 (a)    11/16/48   679,350

The Boeing Co.(a)

    1,000,000       1.875     06/15/23   1,019,400
    1,950,000       3.450     11/01/28   2,096,211
    1,350,000       3.250     02/01/35   1,378,188
    500,000       3.550     03/01/38   510,430
    450,000       3.375     06/15/46   440,001
    575,000       3.625     03/01/48   580,164
    150,000       3.850     11/01/48   155,102
    1,450,000       5.805     05/01/50   1,994,359
       

 

        15,455,946

 

Agriculture(a) – 1.4%

Altria Group, Inc.

    2,225,000       3.800     02/14/24   2,429,611
    1,100,000       4.400     02/14/26   1,276,561

BAT Capital Corp.

    620,000       3.222     08/15/24   671,231
    675,000       2.789     09/06/24   721,825
    200,000       3.557     08/15/27   222,888
    1,875,000       2.259     03/25/28   1,938,056
    700,000       4.390     08/15/37   782,460
    175,000       5.282     04/02/50   215,652

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Agriculture(a) – (continued)

Cargill, Inc.(b)

$

    600,000       3.875   05/23/49   $       743,406
       

 

        9,001,690

 

Automotive – 1.1%

Ford Motor Credit Co. LLC

    1,475,000       5.875     08/02/21   1,506,332

General Motors Co.

    2,425,000       5.400     10/02/23   2,723,687
    625,000       6.600 (a)    04/01/36   849,000
    125,000       5.950 (a)    04/01/49   168,444

General Motors Financial Co., Inc.(a)

    1,425,000       5.650     01/17/29   1,764,264
       

 

        7,011,727

 

Automotive – 0.0%

General Motors Co.

    75,000       5.200     04/01/45   90,674
       

 

        90,674

 

Banks – 20.6%

ABN AMRO Bank NV(a)(c) (-1X 5 year EUR Swap + 4.674%)

EUR

    600,000       4.375     09/22/49   779,022

AIB Group PLC(b)

$

    1,975,000       4.750     10/12/23   2,171,275

Banco Santander SA

    1,000,000       2.746     05/28/25   1,068,900
    1,000,000       4.250     04/11/27   1,159,090
    1,000,000       3.306     06/27/29   1,124,280
    1,600,000       2.749     12/03/30   1,649,856

Bank of America Corp.

    4,850,000       4.200     08/26/24   5,429,672
    4,100,000       3.950     04/21/25   4,618,445
   

(3M USD LIBOR + 0.990%)          

 
    275,000       2.496 (a)(c)    02/13/31   291,695
   

(3M USD LIBOR + 1.040%)          

 
    5,363,000       3.419 (a)(c)    12/20/28   6,055,417
   

(3M USD LIBOR + 1.070%)          

 
    2,300,000       3.970 (a)(c)    03/05/29   2,678,672
   

(3M USD LIBOR + 1.210%)          

 
    400,000       3.974 (a)(c)    02/07/30   471,172
   

(3M USD LIBOR + 1.310%)          

 
    1,125,000       4.271 (a)(c)    07/23/29   1,338,109
   

(SOFR + 1.010%)          

 
    100,000       1.197 (a)(c)    10/24/26   101,698

 

 

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Banks – (continued)

Bank of America Corp. – (continued)

   

(SOFR + 1.370%)          

 

$

    1,150,000       1.922 %(a)(c)    10/24/31   $    1,164,835

Barclays PLC(a)(c) (3M USD LIBOR + 1.400%)

    2,425,000       4.610     02/15/23   2,531,263

BNP Paribas SA(b)

    775,000       3.375     01/09/25   848,571
   

(5 year USD Swap + 4.149%)          

 
    2,250,000       6.625 (a)(c)    03/25/49   2,456,730

BPCE SA(b)

    2,225,000       5.700     10/22/23   2,516,208
    1,350,000       4.625     09/12/28   1,626,264

CIT Bank NA(a)(c) (SOFR + 1.715%)

    650,000       2.969     09/27/25   677,476

CIT Group, Inc.(a)

    1,250,000       4.750     02/16/24   1,365,625

Citigroup, Inc.

    3,150,000       3.875     03/26/25   3,525,795
    575,000       3.400     05/01/26   648,704
    800,000       4.450     09/29/27   944,296
    1,900,000       4.125     07/25/28   2,220,625
    1,200,000       4.750     05/18/46   1,589,100

(SOFR + 1.422%)          

    1,050,000       2.976 (a)(c)    11/05/30   1,155,672

(SOFR + 3.914%)          

    575,000       4.412 (a)(c)    03/31/31   697,055

Credit Agricole SA(a)(b)(c)

   

(5 year USD Swap + 4.319%)          

 
    1,900,000       6.875     09/23/49   2,114,282

(SOFR + 1.676%)

    700,000       1.907     06/16/26   725,004

Credit Agricole SA, Class B

    2,350,000       4.375     03/17/25   2,643,914

Credit Suisse AG(b)

    3,300,000       6.500     08/08/23   3,717,780

Credit Suisse Group AG

    884,000       4.550     04/17/26   1,040,159
    1,895,000       4.282 (a)(b)    01/09/28   2,194,808
   

(SOFR + 3.730%)          

 
    1,625,000       4.194 (a)(b)(c)    04/01/31   1,910,789

Deutsche Bank AG(a)(c)

   

(SOFR + 1.870%)          

 
    1,300,000       2.129     11/24/26   1,330,368
   

(SOFR + 2.159%)          

 
    1,400,000       2.222     09/18/24   1,439,410

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Banks – (continued)

Erste Group Bank AG(a)(c) (5 year EUR Swap + 6.204%)

EUR

    600,000       6.500   04/15/49   $       816,991

First Horizon Corp.(a)

$

    825,000       3.550     05/26/23   875,086
    1,475,000       4.000     05/26/25   1,646,011

HSBC Bank USA NA

    300,000       7.000     01/15/39   475,296

HSBC Holdings PLC

    350,000       4.950     03/31/30   437,406
   

(3M USD LIBOR + 1.000%)          

 
    725,000       1.220 (a)(c)    05/18/24   729,930
   

(3M USD LIBOR + 1.211%)          

 
    1,775,000       3.803 (a)(c)    03/11/25   1,937,909
   

(SOFR + 1.538%)          

 
    1,425,000       1.645 (a)(c)    04/18/26   1,458,217

ING Groep NV(a)(b)(c) (1 Year CMT + 1.100%)

    2,050,000       1.400     07/01/26   2,082,205

JPMorgan Chase & Co.

    1,275,000       3.875     09/10/24   1,427,069
    2,353,000       3.625 (a)    12/01/27   2,673,361
   

(3M USD LIBOR + 1.245%)          

 
    1,300,000       3.960 (a)(c)    01/29/27   1,494,324
   

(3M USD LIBOR + 1.360%)          

 
    600,000       3.882 (a)(c)    07/24/38   728,862
   

(3M USD LIBOR + 3.800%)          

 
    2,375,000       4.014 (a)(c)    02/01/49   2,373,836
   

(SOFR + 2.515%)          

 
    525,000       2.956 (a)(c)    05/13/31   574,623
   

(SOFR + 3.125%)          

 
    2,325,000       4.600 (a)(c)    02/01/49   2,398,191
   

(SOFR + 3.790%)          

 
    275,000       4.493 (a)(c)    03/24/31   338,940

Macquarie Group Ltd.(a)(b)(c) (3M USD LIBOR + 1.372%)

    1,350,000       3.763     11/28/28   1,499,837

Mitsubishi UFJ Financial Group, Inc.

    1,275,000       3.751     07/18/39   1,538,912

Morgan Stanley, Inc.

    475,000       4.100     05/22/23   514,853
    4,275,000       3.950     04/23/27   4,942,840
    500,000       4.300     01/27/45   665,330
   

(3M USD LIBOR + 1.455%)          

 
    770,000       3.971 (a)(c)    07/22/38   952,136
   

(3M USD LIBOR + 1.628%)          

 
    3,550,000       4.431 (a)(c)    01/23/30   4,325,675
   

(SOFR + 1.152%)          

 
    1,075,000       2.720 (a)(c)    07/22/25   1,149,885
   

(SOFR + 3.120%)          

 
    925,000       3.622 (a)(c)    04/01/31   1,074,323

 

 

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Banks – (continued)

Natwest Group PLC

$

    700,000       6.100   06/10/23   $       782,547

Natwest Group PLC

    2,001,000       3.875     09/12/23   2,169,924
   

(3M USD LIBOR + 1.480%)          

 
    1,008,000       3.498 (a)(c)    05/15/23   1,048,391
   

(3M USD LIBOR + 1.550%)          

 
    1,475,000       4.519 (a)(c)    06/25/24   1,610,376
   

(3M USD LIBOR + 1.762%)          

 
    700,000       4.269 (a)(c)    03/22/25   773,395
   

(5 Year CMT + 2.100%)          

 
    925,000       3.754 (a)(c)    11/01/29   981,656

Santander Holdings USA, Inc.(a)

    1,275,000       4.500     07/17/25   1,445,710

Santander UK PLC

    2,050,000       2.875     06/18/24   2,195,119

State Street Corp.(a)(c) (SOFR + 2.650%)

    75,000       3.152     03/30/31   85,484

Truist Bank(a)

    1,100,000       2.250     03/11/30   1,154,175

Wells Fargo & Co.

    3,025,000       4.100     06/03/26   3,469,856
    2,175,000       4.300     07/22/27   2,551,166
    850,000       3.900     05/01/45   1,057,009
   

(3M USD LIBOR + 1.170%)          

 
    2,625,000       3.196 (a)(c)    06/17/27   2,912,227
   

(SOFR + 2.000%)          

 
    2,775,000       2.188 (a)(c)    04/30/26   2,920,132

Wells Fargo Bank NA

    799,000       5.950     08/26/36   1,138,783

Westpac Banking Corp.(a)(c)

   

(5 Year CMT + 2.000%)          

 
    325,000       4.110     07/24/34   369,060
   

(5 Year USD ICE Swap + 2.236%)           

 
    625,000       4.322     11/23/31   713,000
       

 

        136,532,094

 

Beverages – 4.2%

Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.(a)

    2,550,000       4.700     02/01/36   3,232,150
    3,600,000       4.900     02/01/46   4,682,160

Anheuser-Busch InBev Worldwide, Inc.

    2,625,000       4.750 (a)    01/23/29   3,235,890
    175,000       5.450 (a)    01/23/39   236,268
    325,000       4.950     01/15/42   425,360

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Beverages – (continued)

Anheuser-Busch InBev Worldwide, Inc. – (continued)

$

    250,000       4.600 %(a)    04/15/48   $       315,118
    1,775,000       5.550 (a)    01/23/49   2,513,151
    75,000       4.600 (a)    06/01/60   96,311

Bacardi Ltd.(a)(b)

    1,000,000       5.300     05/15/48   1,380,550

Constellation Brands, Inc.(a)

    2,625,000       4.400     11/15/25   3,052,822
    1,475,000       3.700     12/06/26   1,689,082
    600,000       4.500     05/09/47   759,456

Keurig Dr Pepper, Inc.(a)

    4,025,000       4.597     05/25/28   4,906,314
    500,000       4.500     11/15/45   639,805
    175,000       5.085     05/25/48   245,138
    200,000       3.800     05/01/50   238,768
       

 

        27,648,343

 

Biotechnology(a) – 0.3%

Amgen, Inc.

    800,000       4.400     05/01/45   1,013,144

Royalty Pharma PLC(b)

    550,000       1.200     09/02/25   558,492
    475,000       1.750     09/02/27   488,148
       

 

        2,059,784

 

Building Materials(a) – 1.3%

Carrier Global Corp.

    2,975,000       2.493     02/15/27   3,208,478
    4,775,000       2.722     02/15/30   5,102,279
    525,000       3.377     04/05/40   575,064
       

 

        8,885,821

 

Chemicals – 1.7%

Celanese US Holdings LLC(a)

    600,000       3.500     05/08/24   649,248

DuPont de Nemours, Inc.(a)

    925,000       4.725     11/15/28   1,138,194
    125,000       5.319     11/15/38   169,055

Huntsman International LLC(a)

    1,600,000       4.500     05/01/29   1,847,810

 

 

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Chemicals – (continued)

LYB International Finance B.V.(a)

$

    725,000       4.875   03/15/44   $       916,610

Nutrition & Biosciences, Inc.(a)(b)

    600,000       1.832     10/15/27   617,988
    2,175,000       2.300     11/01/30   2,236,030
    1,575,000       3.268     11/15/40   1,689,487

Syngenta Finance NV(b)

    970,000       3.933     04/23/21   977,207

The Sherwin-Williams Co.(a)

    475,000       3.450     06/01/27   538,788
    475,000       4.000     12/15/42   558,614
    150,000       3.300     05/15/50   167,718
       

 

        11,506,749

 

Commercial Services – 1.6%

CoStar Group, Inc.(a)(b)

    1,825,000       2.800     07/15/30   1,894,058

DP World PLC

    360,000       5.625     09/25/48   458,550

Global Payments, Inc.(a)

    1,925,000       2.650     02/15/25   2,062,175

IHS Markit Ltd.(a)

    900,000       3.625     05/01/24   981,702
    2,000,000       4.000 (b)    03/01/26   2,285,440

PayPal Holdings, Inc.(a)

    2,450,000       2.850     10/01/29   2,722,832
       

 

        10,404,757

 

Computers – 3.6%

Amdocs Ltd.(a)

    2,200,000       2.538     06/15/30   2,314,136

Apple, Inc.

    1,652,000       3.850     05/04/43   2,097,032

Dell International LLC / EMC Corp.(a)(b)

    724,000       5.300     10/01/29   887,045

Dell International LLC/EMC Corp.(a)(b)

    1,975,000       5.450     06/15/23   2,184,488
    3,980,000       6.020     06/15/26   4,856,317
    375,000       4.900     10/01/26   442,815

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Computers – (continued)

Dell International LLC/EMC Corp.(a)(b) – (continued)

$

    225,000       6.200   07/15/30   $       291,114
    775,000       8.100     07/15/36   1,138,785
    75,000       8.350     07/15/46   112,884

Hewlett Packard Enterprise Co.(a)

    1,300,000       4.450     10/02/23   1,431,495
    700,000       4.650     10/01/24   795,606
    5,199,000       4.900     10/15/25   6,085,430
    880,000       6.350     10/15/45   1,161,186
       

 

        23,798,333

 

Diversified Financial Services – 3.5%

AerCap Ireland Capital DAC/AerCap Global Aviation Trust(a)

    1,875,000       4.875     01/16/24   2,050,800
    2,035,000       6.500     07/15/25   2,432,680

Air Lease Corp.

    850,000       2.250     01/15/23   872,814
    2,150,000       3.375 (a)    07/01/25   2,322,559
    1,450,000       2.875 (a)    01/15/26   1,533,796
    2,000,000       3.750 (a)    06/01/26   2,205,860

Ally Financial, Inc.(a)

    750,000       1.450     10/02/23   765,480

American Express Co.(a)(c) (3M USD LIBOR + 3.285%)

    527,000       3.502     03/15/49   518,436

Avolon Holdings Funding Ltd.(a)(b)

    750,000       3.950     07/01/24   792,150

Avolon Holdings Funding, Ltd.(a)(b)

    1,325,000       4.250     04/15/26   1,431,689
    1,625,000       3.250     02/15/27   1,655,452

GE Capital International Funding Co.

    1,750,000       3.373     11/15/25   1,945,440
    600,000       4.418     11/15/35   715,416

Huarong Finance II Co. Ltd.

    200,000       3.750     05/29/24   210,500
    200,000       5.500     01/16/25   225,593
    200,000       5.000     11/19/25   225,063
    200,000       3.875 (a)    11/13/29   212,625

 

 

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Diversified Financial Services – (continued)

Intercontinental Exchange, Inc.(a)

$

    1,600,000       2.650   09/15/40   $    1,640,032

JAB Holdings BV(a)(b)

    1,200,000       2.200     11/23/30   1,203,096

Nasdaq, Inc.(a)

    175,000       3.250     04/28/50   191,259
       

 

        23,150,740

 

Electrical – 4.9%

AEP Transmission Co. LLC(a)

    700,000       3.650     04/01/50   845,439

Ameren Corp.(a)

    850,000       3.500     01/15/31   978,919

American Electric Power Co., Inc.(a)

    350,000       2.300     03/01/30   365,176

Arizona Public Service Co.(a)

    275,000       3.750     05/15/46   335,065

Berkshire Hathaway Energy Co.

    725,000       3.250 (a)    04/15/28   826,275
    1,425,000       3.700 (a)(b)    07/15/30   1,686,858
    1,017,000       6.125     04/01/36   1,502,119
    475,000       4.250 (a)(b)    10/15/50   612,061
    925,000       2.850 (a)(b)    05/15/51   947,672

CMS Energy Corp.(a)

    500,000       4.875     03/01/44   663,445

Dominion Energy, Inc.(a)

    1,225,000       3.900     10/01/25   1,392,225
    650,000       3.375     04/01/30   740,051

Duke Energy Corp.(a)

    400,000       4.800     12/15/45   527,692

Duquesne Light Holdings, Inc.(a)(b)

    1,625,000       2.532     10/01/30   1,679,259

Exelon Corp.(a)

    400,000       4.450     04/15/46   509,276
    125,000       4.700     04/15/50   165,483

FirstEnergy Corp.(a)

    525,000       2.050     03/01/25   523,682
    1,150,000       2.650     03/01/30   1,149,374

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Electrical – (continued)

Florida Power & Light Co.(a)

$

    50,000       3.950   03/01/48   $         64,704

NRG Energy, Inc.(a)(b)

    1,985,000       4.450     06/15/29   2,300,079

Ohio Power Co.(a)

    450,000       2.600     04/01/30   491,139

Pacific Gas & Electric Co.(a)

    675,000       2.100     08/01/27   686,455
    975,000       2.500     02/01/31   974,522
    375,000       3.300     08/01/40   375,394
    825,000       3.500     08/01/50   817,501

Progress Energy, Inc.

    1,275,000       7.000     10/30/31   1,825,366

Public Service Electric & Gas Co.(a)

    975,000       3.950     05/01/42   1,201,112

Puget Sound Energy, Inc.(a)

    325,000       4.223     06/15/48   412,321

Sempra Energy(a)

    570,000       3.400     02/01/28   649,635
    1,125,000       3.800     02/01/38   1,299,139

Southern California Edison Co.(a)

    500,000       4.200     03/01/29   585,980
    275,000       4.050     03/15/42   313,726
    905,000       4.125     03/01/48   1,081,050

The Southern Co.(a)

    1,800,000       3.250     07/01/26   2,018,124

Vistra Operations Co. LLC(a)(b)

    1,675,000       4.300     07/15/29   1,898,110
       

 

        32,444,428

 

Electronics(a) – 0.3%

PerkinElmer, Inc.

    1,200,000       3.300     09/15/29   1,352,196

Roper Technologies, Inc.

    800,000       3.800     12/15/26   924,408
       

 

        2,276,604

 

Engineering & Construction(a) – 0.1%

Mexico City Airport Trust

    240,000       3.875 (b)    04/30/28   247,800

 

 

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Engineering & Construction(a) – (continued)

Mexico City Airport Trust – (continued)

$

    200,000       5.500   07/31/47   $       209,000
    220,000       5.500 (b)    07/31/47   229,900
       

 

        686,700

 

Environmental(a) – 0.2%

Republic Services, Inc.

    1,300,000       1.750     02/15/32   1,302,847

 

Food & Drug Retailing(a) – 0.5%

Grupo Bimbo SAB de CV

    1,070,000       4.700     11/10/47   1,323,119

Mondelez International, Inc.

    600,000       2.625     09/04/50   602,394

Sysco Corp.

    150,000       6.600     04/01/40   218,894
    600,000       6.600     04/01/50   919,788
       

 

        3,064,195

 

Gas(a) – 0.2%

NiSource, Inc.

    225,000       3.600     05/01/30   260,435

Piedmont Natural Gas Co., Inc.

    325,000       3.350     06/01/50   364,088

The East Ohio Gas Co.(b)

    400,000       2.000     06/15/30   413,256
       

 

        1,037,779

 

Healthcare Providers & Services – 1.2%

Centene Corp.(a)

    1,250,000       4.250     12/15/27   1,330,425

CommonSpirit Health

    150,000       4.350     11/01/42   175,512

DENTSPLY SIRONA, Inc.(a)

    450,000       3.250     06/01/30   500,913

DH Europe Finance II S.a.r.l.(a)

    1,775,000       2.600     11/15/29   1,940,412

Stryker Corp.(a)

    2,025,000       1.950     06/15/30   2,081,437

Thermo Fisher Scientific, Inc.(a)

    850,000       4.497     03/25/30   1,061,149

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Healthcare Providers & Services – (continued)

Zimmer Biomet Holdings, Inc.(a)

$

    1,025,000       3.550   03/20/30   $    1,162,514
       

 

        8,252,362

 

Home Furnishings(a) – 0.1%

Whirlpool Corp.

    550,000       4.600     05/15/50   712,525

 

Household Products(a) – 0.0%

Kimberly-Clark Corp.

    150,000       3.100     03/26/30   172,481

 

Insurance – 2.2%

American International Group, Inc.

    1,850,000       3.900 (a)    04/01/26   2,109,610
    325,000       4.200 (a)    04/01/28   385,531
    1,025,000       3.400 (a)    06/30/30   1,172,610
    700,000       6.250     05/01/36   1,003,674
    598,000       4.500 (a)    07/16/44   764,256
    375,000       4.800 (a)    07/10/45   497,280

Arch Capital Finance LLC(a)

    400,000       4.011     12/15/26   464,060
    323,000       5.031     12/15/46   439,729

Arch Capital Group Ltd.

    845,000       7.350     05/01/34   1,285,989

Great-West Lifeco Finance 2018 LP(a)(b)

    425,000       4.047     05/17/28   498,041

Marsh & McLennan Cos., Inc.(a)

    1,500,000       4.375     03/15/29   1,826,085

MetLife, Inc.

    475,000       4.721     12/15/44   649,824

Principal Financial Group, Inc.

    150,000       6.050     10/15/36   213,771

Teachers Insurance & Annuity Association of America(b)

    990,000       4.900     09/15/44   1,334,936

The Hartford Financial Services Group, Inc.

    200,000       6.625     04/15/42   290,792

Willis North America, Inc.(a)

    400,000       2.950     09/15/29   436,968

 

 

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Insurance – (continued)

XLIT Ltd.

$

    998,000       4.450   03/31/25   $    1,139,476
       

 

        14,512,632

 

Internet(a) – 1.3%

Alphabet, Inc.

    700,000       1.900     08/15/40   682,605

Amazon.com, Inc.

    900,000       4.950     12/05/44   1,318,608

Booking Holdings, Inc.

    375,000       4.100     04/13/25   425,730

Expedia Group, Inc.

    3,125,000       3.600 (b)    12/15/23   3,334,531
    775,000       4.625 (b)    08/01/27   864,311
    1,825,000       3.250     02/15/30   1,891,558

Prosus NV

    200,000       3.680 (b)    01/21/30   217,125
    200,000       3.680     01/21/30   217,125
       

 

        8,951,593

 

Iron/Steel(a) – 0.2%

Steel Dynamics, Inc.

    1,250,000       1.650     10/15/27   1,285,575

 

Machinery-Diversified(a) – 0.5%

Otis Worldwide Corp.

    2,625,000       2.565     02/15/30   2,816,940
    325,000       3.112     02/15/40   354,289
       

 

        3,171,229

 

Media – 2.5%

Charter Communications Operating LLC/Charter Communications Operating Capital(a)

    3,150,000       4.908     07/23/25   3,662,253
    2,050,000       3.750     02/15/28   2,298,193
    300,000       6.484     10/23/45   425,613
    375,000       5.750     04/01/48   489,034

Comcast Corp.

    638,000       3.300 (a)    02/01/27   719,651
    175,000       3.400 (a)    04/01/30   201,798
    150,000       3.250 (a)    11/01/39   169,442

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Media – (continued)

Comcast Corp. – (continued)

$

    250,000       6.400   03/01/40   $       392,640
    475,000       3.750 (a)    04/01/40   572,237
    75,000       4.750     03/01/44   102,575
    525,000       3.400 (a)    07/15/46   602,243
    950,000       4.700 (a)    10/15/48   1,321,241
    263,000       3.999 (a)    11/01/49   332,619

Discovery Communications LLC(a)

    150,000       5.200     09/20/47   194,688
    75,000       5.300     05/15/49   99,301

Fox Corp.(a)

    225,000       5.476     01/25/39   308,927

The Walt Disney Co.

    650,000       3.800     03/22/30   773,701
    1,100,000       4.625 (a)    03/23/40   1,466,443
    50,000       4.950 (a)    10/15/45   69,300
    1,000,000       4.700 (a)    03/23/50   1,417,040

Time Warner Cable LLC(a)

    500,000       5.875     11/15/40   663,585

ViacomCBS, Inc.(a)

    450,000       5.850     09/01/43   623,192
       

 

        16,905,716

 

Mining – 0.8%

Glencore Finance Canada Ltd.(b)

    825,000       4.250     10/25/22   877,948

Glencore Funding LLC(b)

    781,000       4.625     04/29/24   874,673

Newcrest Finance Pty Ltd.(a)(b)

    375,000       3.250     05/13/30   415,688

Newmont Corp.(a)

    1,600,000       2.250     10/01/30   1,686,288

Teck Resources, Ltd.(a)

    1,225,000       3.900     07/15/30   1,362,984
       

 

        5,217,581

 

Miscellaneous Manufacturing – 0.9%

General Electric Co.

    600,000       3.450 (a)    05/15/24   654,174
    325,000       3.450 (a)    05/01/27   366,567

 

 

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Miscellaneous Manufacturing – (continued)

General Electric Co. – (continued)

$

    500,000       3.625 %(a)    05/01/30   $       569,705
    600,000       6.750     03/15/32   840,594
    625,000       6.150     08/07/37   856,312
    1,069,000       5.875     01/14/38   1,448,891
    575,000       4.350 (a)    05/01/50   694,836

Parker-Hannifin Corp.(a)

    270,000       4.000     06/14/49   336,706
       

 

        5,767,785

 

Oil Field Services – 3.6%

BP Capital Markets America, Inc.(a)

    450,000       3.410     02/11/26   504,122
    950,000       3.119     05/04/26   1,051,260
    175,000       4.234     11/06/28   208,831

Continental Resources, Inc.(a)

    216,000       4.500     04/15/23   222,480

Devon Energy Corp.(a)

    2,492,000       5.850     12/15/25   2,928,000

Diamondback Energy, Inc.(a)

    1,525,000       4.750     05/31/25   1,715,045

Gazprom PJSC Via Gaz Capital SA

    200,000       5.150 (b)    02/11/26   227,625
    70,000       8.625 (d)    04/28/34   109,463
    110,000       7.288     08/16/37   161,322

Gazprom PJSC Via Gaz Finance PLC(b)

    450,000       3.250     02/25/30   464,203

KazMunayGas National Co. JSC

    280,000       6.375     10/24/48   403,288

Lukoil International Finance B.V.

    1,030,000       4.563     04/24/23   1,102,744

Marathon Petroleum Corp.(a)

    1,250,000       3.625     09/15/24   1,359,662
    1,895,000       3.800     04/01/28   2,112,698

Occidental Petroleum Corp.(a)

    1,100,000       2.900     08/15/24   1,057,375

Ovintiv Exploration, Inc.

    1,750,000       5.625     07/01/24   1,879,062

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Oil Field Services – (continued)

Ovintiv, Inc.(a)

$

    2,025,000       3.900   11/15/21   $    2,048,166

Pertamina Persero PT(a)

    370,000       4.175     01/21/50   397,519

Phillips 66(a)

    200,000       3.850     04/09/25   225,320
    875,000       1.300     02/15/26   889,648

Shell International Finance B.V.

    225,000       6.375     12/15/38   350,737

Suncor Energy, Inc.

    400,000       2.800     05/15/23   420,940
    900,000       3.600 (a)    12/01/24   993,321
    850,000       3.100 (a)    05/15/25   931,064

Valero Energy Corp.

    1,175,000       2.700     04/15/23   1,226,817
    650,000       2.850 (a)    04/15/25   693,479
       

 

        23,684,191

 

Packaging(a) – 0.1%

Berry Global, Inc.(b)

    450,000       1.570     01/15/26   454,014

Packaging Corp. of America

    375,000       4.050     12/15/49   465,731
       

 

        919,745

 

Pharmaceuticals(a) – 6.2%

AbbVie, Inc.

    5,950,000       3.200     11/21/29   6,698,688
    3,300,000       4.050     11/21/39   3,987,126
    75,000       4.875     11/14/48   101,936
    3,350,000       4.250     11/21/49   4,208,236

Bayer US Finance II LLC(b)

    2,375,000       3.375     07/15/24   2,565,000

Becton Dickinson & Co.

    3,839,000       3.700     06/06/27   4,395,540
    500,000       4.685     12/15/44   645,370
    175,000       4.669     06/06/47   228,902
    1,175,000       3.794     05/20/50   1,395,136

 

 

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Pharmaceuticals(a) – (continued)

Bristol-Myers Squibb Co.

$

    375,000       4.550   02/20/48   $       519,184
    675,000       4.250     10/26/49   908,766

Cigna Corp.

    4,050,000       4.125     11/15/25   4,662,643
    1,425,000       2.400     03/15/30   1,514,604
    650,000       4.900     12/15/48   891,254

CVS Health Corp.

    3,300,000       3.875     07/20/25   3,736,194
    325,000       4.780     03/25/38   410,381
    720,000       5.125     07/20/45   964,814
    1,125,000       4.250     04/01/50   1,405,193

Takeda Pharmaceutical Co. Ltd.

    1,545,000       2.050     03/31/30   1,579,114

Zoetis, Inc.

    75,000       4.450     08/20/48   $100,202
       

 

  40,918,283

 

Pipelines – 4.9%

Abu Dhabi Crude Oil Pipeline LLC(b)

    490,000       4.600     11/02/47   609,897

Energy Transfer Operating LP(a)

    650,000       4.650     06/01/21   654,160
    1,540,000       5.200     02/01/22   1,596,133
    1,575,000       2.900     05/15/25   1,665,814
    1,500,000       4.200     04/15/27   1,649,760
    456,000       5.150     03/15/45   492,111
    550,000       5.300     04/15/47   603,823
    450,000       6.250     04/15/49   546,611

Enterprise Products Operating LLC(a)

    575,000       4.800     02/01/49   725,961
    (3M USD LIBOR + 2.778%)            
    4,420,000       3.003 (c)    06/01/67   3,807,300

EQM Midstream Partners LP(a)

    1,139,000       4.750     07/15/23   1,190,255

Galaxy Pipeline Assets Bidco Ltd.(b)

    200,000       2.625     03/31/36   207,000

Kinder Morgan Energy Partners LP

    650,000       6.550     09/15/40   859,950

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Pipelines – (continued)

MPLX LP(a)

$

    600,000       2.650   08/15/30   $       629,718
    400,000       4.500     04/15/38   458,124
    400,000       4.700     04/15/48   473,288
    520,000       5.500     02/15/49   682,448

Plains All American Pipeline LP/PAA Finance Corp.(a)

    400,000       3.650     06/01/22   412,116
    2,175,000       3.850     10/15/23   2,322,443
    1,769,000       4.650     10/15/25   1,977,600

Sabine Pass Liquefaction LLC(a)

    1,875,000       6.250     03/15/22   1,973,156
    4,050,000       5.625     03/01/25   4,725,945
    975,000       5.000     03/15/27   1,150,324

Sunoco Logistics Partners Operations LP(a)

    550,000       5.950     12/01/25   645,860
    100,000       5.400     10/01/47   111,740

The Williams Cos., Inc.

    150,000       6.300     04/15/40   199,761

Western Midstream Operating LP(a)

    725,000       4.100     02/01/25   743,125
    1,000,000       5.450     04/01/44   1,010,000
       

 

  32,124,423

 

Real Estate Investment Trust – 4.4%

Agree LP(a)

    375,000       2.900     10/01/30   396,964

Alexandria Real Estate Equities, Inc.(a)

    500,000       3.800     04/15/26   575,680
    1,125,000       3.375     08/15/31   1,288,980
    475,000       4.000     02/01/50   595,859

American Campus Communities Operating Partnership LP(a)

    1,100,000       3.875     01/30/31   1,232,660

American Tower Corp.

    1,550,000       5.000     02/15/24   1,755,142
    1,400,000       3.375 (a)    05/15/24   1,523,942
    1,300,000       4.000 (a)    06/01/25   1,467,297
    525,000       3.800 (a)    08/15/29   609,525

 

 

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Real Estate Investment Trust – (continued)

American Tower Corp. – (continued)

$

    1,400,000       2.100 %(a)    06/15/30   $  1,437,044

Camden Property Trust(a)

    700,000       3.150     07/01/29   788,270

Crown Castle International Corp.(a)

    625,000       3.650     09/01/27   707,862
    275,000       4.300     02/15/29   325,716
    225,000       3.300     07/01/30   252,317
    975,000       4.000     11/15/49   1,138,030
    575,000       4.150     07/01/50   695,112

Duke Realty LP(a)

    925,000       1.750     07/01/30   936,063

Essex Portfolio LP(a)

    1,200,000       3.000     01/15/30   1,326,348

Healthcare Realty Trust, Inc.(a)

    450,000       2.050     03/15/31   450,405

Kimco Realty Corp.(a)

    550,000       3.800     04/01/27   622,501

Mid-America Apartments LP(a)

    1,075,000       1.700     02/15/31   1,074,409

MPT Operating Partnership LP/MPT Finance Corp.(a)

    950,000       4.625     08/01/29   1,019,492

National Retail Properties, Inc.(a)

    700,000       3.600     12/15/26   766,640

Spirit Realty LP(a)

    1,675,000       4.000     07/15/29   1,876,218

UDR, Inc.(a)

    875,000       2.100     08/01/32   889,936

VEREIT Operating Partnership LP(a)

    1,350,000       3.400     01/15/28   1,489,914
    975,000       3.100     12/15/29   1,051,157
    550,000       2.850     12/15/32   574,475

WP Carey, Inc.(a)

    700,000       3.850     07/15/29   794,444
    1,250,000       2.400     02/01/31   1,299,325
       

 

  28,961,727

 

Retailing – 2.1%

AutoNation, Inc.(a)

    1,675,000       4.750     06/01/30   2,015,896

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Retailing – (continued)

Dollar Tree, Inc.(a)

$

    1,925,000       4.000   05/15/25   $  2,172,863

Lowe’s Cos, Inc.(a)

    1,600,000       3.000     10/15/50   1,713,360

Lowe’s Cos., Inc.(a)

    875,000       1.700     10/15/30   883,977

McDonald’s Corp.(a)

    150,000       4.450     09/01/48   195,249
    525,000       4.200     04/01/50   672,215

Starbucks Corp.(a)

    1,125,000       3.500     11/15/50   1,290,724

The Home Depot, Inc.

    400,000       5.875     12/16/36   605,572
    500,000       4.875 (a)    02/15/44   706,920
    200,000       4.400 (a)    03/15/45   266,718
    400,000       4.250 (a)    04/01/46   531,244

Tractor Supply Co(a)

    1,300,000       1.750     11/01/30   1,306,149

Walgreens Boots Alliance, Inc.(a)

    1,200,000       4.100     04/15/50   1,271,280
       

 

  13,632,167

 

Savings & Loans(a)(b)(c) – 0.2%

Nationwide Building Society (3M USD LIBOR + 1.855%)

    1,250,000       3.960     07/18/30   1,456,025

 

Semiconductors – 2.9%

Broadcom Corp./Broadcom Cayman Finance Ltd.(a)

    600,000       3.125     01/15/25   648,510
    8,675,000       3.875     01/15/27   9,747,924
    64,000       3.500     01/15/28   70,421

Broadcom, Inc.(a)

    1,875,000       4.700     04/15/25   2,149,725
    2,075,000       4.250     04/15/26   2,377,722

KLA Corp.(a)

    550,000       3.300     03/01/50   620,109

Microchip Technology, Inc.(b)

    1,350,000       2.670     09/01/23   1,413,463

NXP B.V./NXP Funding LLC/NXP USA, Inc.(a)(b)

    550,000       3.875     06/18/26   629,030

 

 

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Semiconductors – (continued)

NXP B.V./NXP Funding LLC/NXP USA, Inc.(a)(b) – (continued)

$

    1,125,000       3.400   05/01/30   $  1,275,502
       

 

  18,932,406

 

Software(a) – 1.5%

Citrix Systems, Inc.

    1,925,000       3.300     03/01/30   2,126,624

Fiserv, Inc.

    2,100,000       3.200     07/01/26   2,350,971
    1,025,000       4.400     07/01/49   1,364,183

Oracle Corp.

    750,000       3.600     04/01/40   879,300
    950,000       4.000     11/15/47   1,166,439
    425,000       3.600     04/01/50   495,656

ServiceNow, Inc.

    1,300,000       1.400     09/01/30   1,267,760
       

 

  9,650,933

 

Telecommunication Services – 7.2%

AT&T, Inc.

    4,925,000       2.300 (a)    06/01/27   5,248,868
    250,000       1.650 (a)    02/01/28   255,398
    3,100,000       2.750 (a)    06/01/31   3,310,490
    486,000       2.550 (a)(b)    12/01/33   499,637
    550,000       6.150     09/15/34   740,448
    175,000       4.900 (a)    08/15/37   218,738
    1,450,000       4.850 (a)    03/01/39   1,795,607
    300,000       6.000 (a)    08/15/40   416,121
    925,000       3.500 (a)    06/01/41   992,895
    125,000       4.300 (a)    12/15/42   145,799
    275,000       4.850 (a)    07/15/45   341,946
    250,000       4.750 (a)    05/15/46   309,250
    1,050,000       5.150 (a)    11/15/46   1,354,458
    575,000       3.650 (a)    06/01/51   600,990
    525,000       3.850 (a)    06/01/60   552,311

British Telecommunications PLC(a)(b)

    935,000       4.250     11/08/49   1,127,797

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Telecommunication Services – (continued)

Deutsche Telekom International Finance B.V.(a)(b)

$

    575,000       4.375   06/21/28   $       681,340

T-Mobile USA, Inc.(a)(b)

    1,975,000       3.500     04/15/25   2,182,780
    775,000       1.500     02/15/26   793,894
    4,800,000       3.750     04/15/27   5,458,090
    1,950,000       2.050     02/15/28   2,027,902
    4,525,000       3.875     04/15/30   5,237,393
    1,400,000       3.000     02/15/41   1,448,314

Verizon Communications, Inc.

    2,931,000       4.329     09/21/28   3,523,971
    750,000       3.875 (a)    02/08/29   881,910
    2,551,000       4.016 (a)    12/03/29   3,026,353
    475,000       3.150 (a)    03/22/30   532,371
    375,000       5.250     03/16/37   511,463
    1,100,000       2.650 (a)    11/20/40   1,111,759
    295,000       4.125     08/15/46   361,753
    400,000       4.862     08/21/46   536,824
    83,000       5.012     04/15/49   114,923
    881,000       2.987 (a)(b)    10/30/56   885,564

Vodafone Group PLC

    525,000       4.375     05/30/28   629,590
       

 

  47,856,947

 

Transportation – 0.7%

Burlington Northern Santa Fe LLC

    425,000       6.150     05/01/37   646,680
    825,000       5.750 (a)    05/01/40   1,216,033

FedEx Corp.(a)

    850,000       4.050     02/15/48   1,021,156
    700,000       5.250     05/15/50   989,338

Union Pacific Corp.(a)

    450,000       3.950     09/10/28   536,009

 

 

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

Transportation – (continued)

Union Pacific Corp.(a) – (continued)

$

    275,000       3.550   08/15/39   $       316,954
       

 

        4,726,170

 

TOTAL CORPORATE OBLIGATIONS

(Cost $551,820,802)

  $604,171,707

 

       
Foreign Debt Obligations – 3.8%

Sovereign – 3.8%

Abu Dhabi Government International Bond

$

    1,680,000       4.125   10/11/47   $    2,104,725

Perusahaan Penerbit SBSN

    1,580,000       4.550     03/29/26   1,826,381

Republic of Chile(a)

    200,000       3.500     01/25/50   229,313

Republic of Colombia(a)

    1,221,000       4.000     02/26/24   1,318,680
    350,000       4.500     03/15/29   404,250
    690,000       3.000     01/30/30   724,931
    200,000       5.200     05/15/49   252,812
    490,000       4.125     05/15/51   544,390

Republic of Indonesia

    200,000       3.700 (b)    01/08/22   206,063
    387,000       5.875     01/15/24   445,050
    350,000       4.350 (b)    01/08/27   407,641
    1,610,000       4.350     01/08/27   1,875,147
    470,000       6.750     01/15/44   720,862

Republic of Panama(a)

    380,000       2.252     09/29/32   391,020
    200,000       3.870     07/23/60   235,500

Republic of Peru(a)

    610,000       2.783     01/23/31   668,865
    290,000       2.780     12/01/60   291,885
    220,000       3.230 (e)    07/28/21   219,890

Republic of Philippines

EUR

    340,000       0.000 (f)    02/03/23   414,063
    450,000       0.700     02/03/29   551,289

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Foreign Debt Obligations – (continued)

Sovereign – (continued)

Republic of Philippines – (continued)

$

    210,000       2.650   12/10/45   $       211,575

Republic of Qatar(b)

    1,800,000       5.103     04/23/48   2,529,000

Republic of Romania(b)

EUR

    90,000       2.124     07/16/31   116,339
    70,000       2.000     01/28/32   89,551
    80,000       4.625     04/03/49   131,938

State of Israel(g)

    200,000       4.500     04/03/20   264,500

United Mexican States

EUR

    1,770,000       1.625     04/08/26   2,246,111
    130,000       1.350 (a)    09/18/27   163,777

$

    740,000       3.750     01/11/28   833,656
    2,540,000       3.250 (a)    04/16/30   2,752,725
    960,000       2.659 (a)    05/24/31   987,360
    709,000       3.771 (a)    05/24/61   737,183

 

TOTAL FOREIGN DEBT OBLIGATIONS

(Cost $21,714,240)

  $  24,896,472

 

       
Municipal Debt Obligations – 0.7%

California(a) – 0.1%

California State GO Bonds Build America Taxable Series 2009

$

    455,000       7.300   10/01/39   $       751,036

 

Illinois – 0.5%

Illinois State GO Bonds Build America Series 2010(a)

    1,625,000       6.630     02/01/35   1,861,681

Illinois State GO Bonds Taxable-Pension Series 2003

    1,360,000       5.100     06/01/33   1,463,646
       

 

        3,325,327

 

New Jersey(a) – 0.1%

New Jersey State Turnpike Authority RB Build America Bonds Taxable Series 2009 F

    350,000       7.414     01/01/40   586,950

 

TOTAL MUNICIPAL DEBT OBLIGATIONS

(Cost $3,797,150)

  $    4,663,313

 

 

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
  Interest
Rate
    Maturity
Date
  Value
U.S. Treasury Obligation – 0.1%

United States Treasury Bonds

$

  700,000     3.375   11/15/48   $       982,625

(Cost $856,709)

 

TOTAL INVESTMENTS – 95.9%

(Cost $578,188,901)

  $634,714,117

 

OTHER ASSETS IN EXCESS OF

    LIABILITIES – 4.1%

  26,937,354

 

NET ASSETS – 100.0%

  $661,651,471

 

 

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)   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.
(d)   Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect on December 31, 2020.
(e)   Actual maturity date is July 28, 2121.
(f)   Issued with a zero coupon. Income is recognized through the accretion of discount.
(g)   Actual maturity date is April 3, 2120.

 

 

Currency Abbreviations:
AUD  

— Australian Dollar

CAD  

— Canadian Dollar

EUR  

— Euro

JPY  

— Japanese Yen

NOK  

— Norwegian Krone

NZD  

— New Zealand Dollar

SEK  

— Swedish Krona

USD  

— U.S. Dollar

Investment Abbreviations:
BP  

— British Pound Offered Rate

CDOR  

— Canadian Dollar Offered Rate

CMT  

— Constant Maturity Treasury Indexes

EURO  

— Euro Offered Rate

GO  

— General Obligation

LIBOR  

— London Interbank Offered Rate

LLC  

— Limited Liability Company

LP  

— Limited Partnership

PLC  

— Public Limited Company

RB  

— Revenue Bond

SOFR  

— Secured Overnight Funding Rate

 

 

GOLDMAN SACHS INVESTMENT GRADE CREDIT 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
 

 

 

Barclays Bank PLC

    

EUR

     7,338,628        USD      8,906,379          03/17/21        $ 74,655  

MS & Co. Int. PLC

    

JPY

     538,792,671        USD      5,165,688          03/17/21          57,089  

 

 

TOTAL

 

     $ 131,744  

 

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

 

Counterparty      Currency
Purchased
       Currency
Sold
       Settlement
Date
       Unrealized
Loss
 

 

 

Barclays Bank PLC

    

USD

     3,738,756        AUD      5,001,372          03/17/21        $ (119,506
    

USD

     4,334,464        NOK      38,187,908          03/17/21          (118,083

Deutsche Bank AG

    

USD

     3,733,244        NZD      5,308,785          03/17/21          (87,662

JPMorgan Securities, Inc.

    

USD

     4,366,412        EUR      3,661,557          01/21/21          (109,116

MS & Co. Int. PLC

    

USD

     4,552,130        CAD      5,816,253          03/17/21          (18,135

State Street Bank (London)

    

USD

     725,607        EUR      612,000          01/21/21          (22,442

UBS AG (London)

    

USD

     4,826,325        SEK      40,886,162          03/17/21          (147,273

 

 

TOTAL

 

     $ (622,217

 

 

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

     202      03/22/21      $ 43,139,625      $ (184,722

2 Year U.S. Treasury Notes

     205      03/31/21        45,300,195        41,671  

10 Year U.S. Treasury Notes

     140      03/22/21        19,330,938        11,096  

20 Year U.S. Treasury Bonds

     164      03/22/21        28,402,750        (183,323

 

 

Total

 

   $ (315,278

 

 
Short position contracts:                              

Ultra 10 Year U.S. Treasury Notes

     (175)      03/22/21        (27,362,891      72,509  

5 Year U.S. Treasury Notes

     (285)      03/31/21        (35,956,758      (46,061

 

 

Total

 

   $ 26,448  

 

 

TOTAL FUTURES CONTRACTS

 

   $ (288,830

 

 

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)
 

 

 

0.000%(c)

   3M LIBOR©     07/25/24     $ 17,380 (b)    $ (5,835   $ 5,837     $ (11,672

6M CDOR(a)

   0.960%(a)     11/09/24     CAD   31,430 (b)      44,129       27,667       16,462  

0.000%(c)

   3M LIBOR©     11/10/24     $ 10,290 (b)      (8,910     10       (8,920

3M LIBOR©

   0.500(a)        03/17/26       690 (b)      1,369       470       899  

1.430(a)

   6M CDOR(a)     11/09/30     CAD     6,300 (b)      (26,260     (19,313     (6,947

3M LIBOR©

   1.245(a)        11/24/30     $ 5,240 (b)      (44,405     (5,890     (38,515

0.000(d)

   6M EURO(a)     03/17/31     EUR         430 (b)      (13,702     (13,570     (132

1.543(a)

   3M LIBOR(c)     11/25/35     $ 5,720 (b)      57,477       1,630       55,847  

 

 

TOTAL

         $ 3,863     $ (3,159   $ 7,022  

 

 

 

(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 September 30, 2020.
(c)   Payments made quarterly.
(d)   Payments made annually.

GOLDMAN SACHS INVESTMENT GRADE CREDIT 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:

             

AT&T, Inc., 2.450%, 06/30/20

    1.000%       0.550%       06/20/24     $ 2,325     $ 36,978     $ 3,754     $ 33,224  

CDX.NA.IG Index 28

    1.000           0.437           06/20/22       28,500       246,754       289,084       (42,330

CDX.NA.IG Index 34

    1.000           0.418           06/20/23       17,200       252,330       181,510       70,820  

CDX.NA.IG Index 34

    1.000           0.629           06/20/25       134,800       2,240,313       1,206,947       1,033,366  

General Electric Co. 2.700%, 10/09/22

    1.000           0.687           06/20/24       1,175       13,101       (13,921     27,022  

General Electric Co. 2.700%, 10/09/22

    1.000           0.770           12/20/24       550       5,156       (6,950     12,106  

Prudential Financial, Inc., 3.500%, 05/15/24

    1.000           0.359           06/20/24       1,150       26,029       11,910       14,119  

Republic of Colombia, 10.375%, 01/28/33

    1.000           0.554           06/20/24       1,830       28,962       (7,116     36,078  

Republic of Indonesia, 5.875%, 03/13/20

    1.000           0.449           06/20/24       70       1,362       (110     1,472  

Republic of Peru, 8.750%, 11/21/33

    1.000           0.357           06/20/24       550       12,518       6,179       6,339  

The Boeing Co., 8.750%, 08/15/21

    1.000           1.073           06/20/24       1,750       (3,778     26,333       (30,111

United Mexican States, 4.150%, 03/28/27

    1.000           0.497           06/20/24       640       11,406       (6,573     17,979  

 

 

TOTAL

          $ 2,871,131     $ 1,691,047     $ 1,180,084  

 

 

 

(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

MS & Co. Int. PLC  

— Morgan Stanley & Co. International PLC

 

 

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

 

Schedule of Investments

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Sovereign Debt Obligations – 76.6%

Argentina(a) – 0.1%

Republic of Argentina (CCC+/NR)

$

    12,578       1.000   07/09/29   $              5,471
    65,075       0.125 (b)    07/09/30   26,453
    188,322       0.125 (b)    07/09/35   68,926
       

 

  100,850

 

Brazil – 4.9%

Brazil Letras do Tesouro Nacional (NR/NR)(c)

BRL

    13,552,000       0.000     04/01/21   2,595,914

Brazil Notas do Tesouro Nacional (BB-/Ba2)

    8,473,000       10.000     01/01/25   1,885,795
       

 

  4,481,709

 

Chile – 3.2%

Bonos de la Tesoreria de la Republica en pesos (NR/NR)(d)

CLP

    55,000,000       4.700     09/01/30   90,625

Bonos de la Tesoreria de la Republica en Pesos (NR/NR)

    790,000,000       5.000     03/01/35   1,336,728

Bonos de la Tesoreria de la Republica en Pesos (NR/A1)

    935,000,000       4.500     03/01/26   1,506,958
       

 

  2,934,311

 

China – 8.6%

Agricultural Development Bank of China (NR/NR)

CNY

    21,890,000       2.960     04/17/30   3,161,219

China Development Bank (NR/NR)

    17,780,000       3.090     06/18/30   2,592,109

China Government Bond (NR/NR)

    13,900,000       2.850     06/04/27   2,084,339
       

 

  7,837,667

 

Colombia – 5.3%

Republic of Colombia (NR/NR)

COP

    1,279,041,090       3.300     03/17/27   417,929
    2,538,700,000       5.750     11/03/27   785,291
    704,100,000       7.000     06/30/32   226,753
    2,058,100,000       7.250     10/18/34   672,331

Republic of Colombia (NR/Baa2)(a)

    1,851,000,000       4.375     03/21/23   552,413

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Sovereign Debt Obligations – (continued)

Colombia – (continued)

Republic of Colombia (BBB/Baa2)

COP

    3,598,400,000       7.500   08/26/26   $       1,214,142
    3,130,500,000       6.000     04/28/28   978,241
       

 

  4,847,100

 

Czech Republic – 3.8%

Czech Republic Government Bond (NR/NR)

CZK

    33,200,000       1.000     06/26/26   1,552,002
    27,080,000       0.250     02/10/27   1,205,402

Czech Republic Government Bond (NR/Aa3)

    11,320,000       4.200     12/04/36   735,812
       

 

  3,493,216

 

Dominican Republic – 0.2%

Dominican Republic (NR/NR)

DOP

    2,800,000       10.500     04/07/23   51,163

Dominican Republic (BB-/Ba3)

$

    150,000       5.875     01/30/60   164,438
       

 

  215,601

 

Egypt(d) – 0.3%

Republic of Egypt (B/B2u)

    200,000       8.875     05/29/50   234,437

 

Hungary – 3.2%

Hungary Government Bond (NR/NR)

HUF

    179,680,000       2.750     12/22/26   650,634

Hungary Government Bond (NR/Baa3)

    124,250,000       3.000     08/21/30   453,329

Hungary Government Bond (BBB/NR)

    194,960,000       5.500     06/24/25   781,499
    292,160,000       3.000     10/27/27   1,077,046
       

 

  2,962,508

 

Indonesia – 1.5%

Indonesia Treasury Bond (NR/NR)

IDR

    12,184,000,000       7.500     06/15/35   954,585

Indonesia Treasury Bond (NR/Baa2)

    6,000,000,000       7.000     05/15/27   455,018
       

 

  1,409,603

 

 

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Sovereign Debt Obligations – (continued)

Mexico – 5.5%

United Mexican States (NR/Baa1)

MXN

    9,697,500       8.000   09/05/24   $          544,280
    4,741,100       5.750     03/05/26   249,271
    1,907,500       8.000     11/07/47   112,901

United Mexican States (BBB/Baa1)(a)

$

    200,000       2.659     05/24/31   205,700
    200,000       3.771     05/24/61   207,950

United Mexican States (BBB+/Baa1)

MXN

    17,779,300       8.500     05/31/29   1,088,060
    5,456,000       7.750     05/29/31   321,902
    8,836,600       10.000     11/20/36   621,964
    26,082,800       8.500     11/18/38   1,624,072
       

 

        4,976,100

 

Morocco(d) – 0.2%

Kingdom of Morocco (BBB-/NR)

$

    200,000       3.000     12/15/32   202,500

 

Peru – 4.2%

Republic of Peru (NR/A3)

PEN

    963,000       6.714     02/12/55   328,956

Republic of Peru (A-/A3)

    2,018,000       8.200     08/12/26   756,229
    1,269,000       6.350     08/12/28   444,648
    1,326,000       6.950     08/12/31   475,212
    2,660,000       6.150     08/12/32   894,079
    1,665,000       5.400     08/12/34   507,037
    246,000       6.900     08/12/37   83,692
    1,050,000       5.350     08/12/40   300,743
       

 

        3,790,596

 

Philippines – 0.3%

Republic of Philippines (BBB+/Baa2)

PHP

    10,000,000       6.250     01/14/36   266,442

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Sovereign Debt Obligations – (continued)

Poland – 6.3%

Republic of Poland Government Bond (NR/NR)

PLN

    9,170,000       0.750   04/25/25   $       2,490,434

Republic of Poland Government Bond (A/A2)

    5,120,000       2.500     07/25/27   1,520,952
    5,610,000       2.750     04/25/28   1,696,155
       

 

        5,707,541

 

Romania – 2.0%

Republic of Romania (NR/NR)

RON

    2,110,000       3.650     07/28/25   552,165
    700,000       4.150     01/26/28   189,718
    2,600,000       3.650     09/24/31   673,241

Republic of Romania (BBB-/Baa3)(d)

EUR

    100,000       3.624     05/26/30   145,529
    150,000       2.000     01/28/32   191,894

$

    50,000       4.000     02/14/51   54,375
       

 

        1,806,922

 

Russia – 6.0%

Russian Federation Bond (NR/NR)

RUB

    43,640,000       6.000     10/06/27   600,150
    33,630,000       7.650     04/10/30   511,665
    60,150,000       5.900     03/12/31   808,393
    45,560,000       7.700     03/23/33   692,522
    23,220,000       7.250     05/10/34   340,700
    161,060,000       7.700     03/16/39   2,480,537
       

 

        5,433,967

 

Serbia(d) – 0.1%

Republic of Serbia (NR/Ba3)

EUR

    100,000       3.125     05/15/27   137,130

 

South Africa – 9.2%

Republic of South Africa (BB/Ba2)

ZAR

    33,490,000       10.500     12/21/26      2,701,330
    6,930,000       7.000     02/28/31   404,193
    48,325,000       8.875     02/28/35   2,896,702

 

 

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Sovereign Debt Obligations – (continued)

South Africa – (continued)

Republic of South Africa (BB/Ba2) – (continued)

$

    12,200,000       8.500   01/31/37   $          689,105
    25,784,300       8.750     01/31/44   1,435,549
    4,620,000       8.750     02/28/48   257,532
       

 

  8,384,411

 

Thailand – 8.5%

Thailand Government Bond (NR/NR)

THB

    16,360,000       3.300     06/17/38   674,399
    1,220,000       3.600     06/17/67   54,319

Thailand Government Bond (NR/Baa1)

    52,996,099       1.250     03/12/28   1,766,557
    79,990,000       3.775     06/25/32   3,330,830

Thailand Government Bond (A-/Baa1)

    49,960,000       3.850     12/12/25   1,931,531
       

 

  7,757,636

 

Turkey – 2.8%

Republic of Turkey (NR/NR)

TRY

    13,490,000       12.200     01/18/23   1,755,896
    4,460,000       10.600     02/11/26   558,625
    2,080,000       11.000     02/24/27   260,665
       

 

  2,575,186

 

Ukraine(d) – 0.1%

Ukraine Government Bond (B/NR)

EUR

    100,000       4.375     01/27/30   116,553

 

Uruguay – 0.3%

Republic of Uruguay (BBB/NR)

UYU

    4,338,062       3.875     07/02/40   119,431

Republic of Uruguay (BBB/Baa2)

    4,511,236       4.375     12/15/28   122,131
       

 

  241,562

 

TOTAL SOVEREIGN DEBT OBLIGATIONS
(Cost $66,921,959)
  $     69,913,548

 

       
Corporate Obligations – 5.4%

Brazil(a)(e) – 0.2%

Banco do Brasil SA (CCC+/NR) (10 Year CMT + 4.398%)

$

    200,000       6.250   04/15/49   $          204,812

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

British Virgin Islands – 0.3%

Huarong Finance II Co. Ltd. (BBB+/Baa1)

$

    260,000       5.500   01/16/25   $          293,271

 

China(f) – 0.0%

iQIYI, Inc. (NR/NR)

    10,000       2.000     04/01/25   8,841

 

Colombia – 0.2%

Banco de Bogota SA (NR/Ba2)

    200,000       6.250     05/12/26   231,500

 

Israel(a)(d) – 0.1%

Leviathan Bond Ltd. (BB-/Ba3)

    50,000       5.750     06/30/23   53,224

 

Mexico(a) – 0.3%

Mexico City Airport Trust (BBB/Baa3)

    270,000       3.875     04/30/28   278,775

Petroleos Mexicanos (BBB/Ba2)(d)

    10,000       6.875     10/16/25   10,936
       

 

  289,711

 

Peru(a) – 1.2%

Banco de Credito del Peru (BBB+/NR)

PEN

    3,640,000       4.650     09/17/24   1,077,797

 

South Africa – 0.4%

Eastern & Southern African Trade & Development Bank (NR/Baa3)

$

    390,000       4.875     05/23/24   411,497

 

Turkey – 0.2%

Yapi ve Kredi Bankasi AS (NR/B2)

    200,000       8.250     10/15/24   219,000

 

United Kingdom(d) – 1.0%

Gazprom PJSC via Gaz Finance PLC (BB/NR)(a)(e)(5 Year CMT + 4.264%)

    200,000       4.599     10/26/49   207,750

HSBC Bank PLC (NR/NR)(c)

EGP

    11,800,000       0.000     12/23/21   666,944
       

 

  874,694

 

United States(d) – 1.2%

JPMorgan Chase Bank NA (NR/NR)

IDR

    7,753,000,000       6.500     02/15/31   573,612

 

 

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Corporate Obligations – (continued)

United States(d) – (continued)

JPMorgan Chase Bank NA (NR/NR) – (continued)

$

    6,269,000,000       7.500 %(e)    06/17/35   $     491,160
       

 

  1,064,772

 

Venezuela(g) – 0.3%

Petroleos de Venezuela SA (NR/NR)

    9,280,000       6.000     10/28/22   245,920

 

TOTAL CORPORATE OBLIGATIONS
(Cost $7,703,780)
  $  4,975,039

 

       
Structured Notes – 8.8%

United Kingdom(d) – 4.2%

Republic of Indonesia (Issuer Standard Chartered Bank) (NR/NR)

IDR

    33,591,000,000       8.750   05/19/31   $  2,821,166
    12,570,000,000       7.500     08/19/32   968,472
       

 

        3,789,638

 

United States – 4.6%

Republic of Columbia (Issuer Citibank NA) (NR/NR)

COP

    4,226,000,000       11.000     07/25/24   1,502,404

Republic of Indonesia (Issuer JPMorgan Chase Bank NA) (NR/NR)(d)

EGP

    6,900,000       0.000 (c)    07/08/21   411,136
    10,375,000       0.000 (c)    09/02/21   608,039

IDR

    15,558,000,000       7.000     05/17/27   1,179,861
    6,568,000,000       7.500     08/19/32   506,040
       

 

        4,207,480

 

TOTAL STRUCTURED NOTES
(Cost $8,618,128)
  $  7,997,118

 

       
U.S. Treasury Obligations – 0.1%

United States Treasury Notes

$

    28,000       2.875   10/15/21   $       28,600
    72,000       1.750     09/30/22   74,029

 

TOTAL U.S. TREASURY OBLIGATIONS
(Cost $100,370)
  $     102,629

 

Shares         Dividend
Rate
        Value
Investment Company(h) – 3.1%

Goldman Sachs Financial Square Government Fund - Institutional Shares

    2,800,830       0.026%       $  2,800,830

(Cost $2,800,830)

 

TOTAL INVESTMENTS – 94.0%
(Cost $86,145,067)
  $85,789,164

 

OTHER ASSETS IN EXCESS OF
    LIABILITIES – 6.0%
  5,443,166

 

NET ASSETS – 100.0%   $91,232,330

 

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)   Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on December 31, 2020.
(c)   Issued with a zero coupon. Income is recognized through the accretion of discount.
(d)   Exempt from registration under Rule 144A of the Securities Act of 1933.
(e)   Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on December 31, 2020.
(f)   Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect on December 31, 2020.
(g)   Security is currently in default and/or non-income producing.
(h)   Represents an affiliated issuer.
Security ratings disclosed, if any, are obtained from by Standard & Poor’s /Moody’s Investor Service and are unaudited. A brief description of the ratings is available in the Fund’s Statement of Additional Information.

 

 

Currency Abbreviations:
AUD  

— Australian Dollar

BRL  

— Brazilian Real

CAD  

— Canadian Dollar

CHF  

— Swiss Franc

CLP  

— Chilean Peso

CNH  

— Chinese Yuan Renminbi Offshore

CNY  

— Chinese Yuan Renminbi

COP  

— Colombian Peso

CZK  

— Czech Koruna

DOP  

— Dominican Peso

EGP  

— Egyptian Pound

EUR  

— Euro

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

PEN  

— Peruvian Nuevo Sol

PHP  

— Philippine Peso

PLN  

— Polish Zloty

RON  

— New Romanian Leu

RUB  

— Russian Ruble

SEK  

— Swedish Krona

SGD  

— Singapore Dollar

THB  

— Thai Baht

TRY  

— Turkish Lira

TWD  

— Taiwan Dollar

USD  

— U.S. Dollar

UYU  

— Uruguayan Peso

ZAR  

— South African Rand

Investment Abbreviations:
BUBOR  

— Budapest Interbank Offered Rate

CLICP  

— Sinacofi Chile Interbank Rate

CMT  

— Constant Maturity Treasury Indexes

EURO  

— Euro Offered Rate

JIBAR  

— Johannesburg Interbank Agreed Rate

KLIBOR  

— Kuala Lumpur Interbank Offered Rate

LIBOR  

— London Interbank Offered Rate

LLC  

— Limited Liability Company

NR  

— Not Rated

PLC  

— Public Limited Company

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 LOCAL EMERGING MARKETS DEBT 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

     257,211        EUR      159,103          03/17/21        $ 3,712  
    

AUD

     1,516,000        NZD      1,600,309          03/17/21          17,709  
    

AUD

     520,169        USD      393,619          03/17/21          7,660  
    

BRL

     35,000,126        USD      6,636,250          01/05/21          102,894  
    

CAD

     1,106,984        USD      866,597          03/17/21          3,244  
    

CHF

     335,389        USD      379,577          03/17/21          135  
    

CNH

     47,382,132        USD      7,211,561          03/17/21          37,318  
    

COP

     5,179,708,119        USD      1,449,991          01/29/21          66,619  
    

EUR

     144,919        JPY      18,255,246          03/17/21          395  
    

EUR

     470,178        PLN      2,123,632          03/17/21          6,737  
    

EUR

     2,037,000        USD      2,472,713          03/17/21          20,174  
    

GBP

     141,850        EUR      156,689          03/17/21          2,317  
    

GBP

     601,927        USD      804,081          03/17/21          19,454  
    

IDR

     34,805,077,981        USD      2,408,831          01/06/21          88,126  
    

IDR

     11,279,759,870        USD      794,070          03/05/21          12,819  
    

ILS

     1,003,860        USD      308,628          03/17/21          4,192  
    

INR

     189,067,703        USD      2,544,024          01/27/21          37,604  
    

JPY

     128,396,750        USD      1,232,160          03/17/21          12,451  
    

KRW

     2,540,497,918        USD      2,267,553          01/08/21          67,616  
    

KRW

     1,527,005,081        USD      1,344,266          01/15/21          59,331  
    

KRW

     1,527,005,081        USD      1,369,683          02/19/21          33,808  
    

MXN

     13,065,490        USD      642,060          03/17/21          8,781  
    

MYR

     11,720,886        USD      2,807,869          01/13/21          120,523  
    

MYR

     10,447,105        USD      2,515,920          01/26/21          94,225  
    

MYR

     1,224,141        USD      301,327          03/17/21          4,436  
    

NOK

     664,313        EUR      62,985          03/17/21          376  
    

NOK

     12,307,448        USD      1,397,936          03/17/21          37,060  
    

NZD

     1,933,650        USD      1,360,226          03/17/21          31,485  
    

PEN

     9,094,606        USD      2,497,675          07/12/21          12,868  
    

PHP

     9,115,589        USD      188,995          01/15/21          647  
    

PHP

     17,563,857        USD      364,854          02/08/21          168  
    

RON

     5,766,032        USD      1,431,829          03/17/21          9,513  
    

RUB

     157,899,570        USD      2,056,076          02/08/21          68,180  
    

SEK

     3,204,142        EUR      316,386          03/17/21          2,575  
    

SEK

     1,612,987        USD      195,062          03/17/21          1,150  
    

SGD

     939,670        USD      703,724          03/17/21          7,345  
    

THB

     52,092,833        USD      1,728,868          03/17/21          10,097  
    

TRY

     1,468,117        USD      173,188          01/11/21          23,648  
    

TRY

     2,826,164        USD      348,165          01/19/21          29,616  
    

TRY

     1,167,796        USD      146,831          01/25/21          8,922  
    

TRY

     620,189        USD      76,754          03/17/21          4,185  
    

TRY

     5,852,333        USD      689,321          08/04/21          31,503  
    

TWD

     20,584,156        USD      729,549          01/04/21          3,341  
    

TWD

     24,682,444        USD      878,015          02/05/21          5,383  
    

TWD

     5,192,498        USD      183,783          02/17/21          2,454  
    

TWD

     5,396,192        USD      194,024          03/05/21          152  
    

USD

     3,251,559        BRL      16,719,913          01/05/21          32,202  
    

USD

     184,586        JPY      19,028,797          03/17/21          131  
    

USD

     388,529        KRW      421,520,211          01/08/21          1,077  
    

USD

     34,294        KRW      37,279,761          02/19/21          29  
    

USD

     152,015        MXN      3,035,522          03/17/21          804  
    

USD

     5,541,628        PEN      19,674,353          07/12/21          110,574  
    

USD

     309,223        THB      9,215,745          03/17/21          1,583  
    

USD

     180,402        TWD      5,065,520          01/04/21          46  
    

USD

     767,439        TWD      21,406,024          02/05/21          1,304  
    

USD

     77,325        ZAR      1,141,807          03/17/21          387  
    

ZAR

     6,970,764        USD      465,670          03/17/21          4,028  

 

 

TOTAL

 

     $ 1,275,113  

 

 

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT 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

    

BRL

     16,719,913        USD      3,249,758          02/02/21        $ (32,233
    

CNH

     2,396,400        USD      367,000          03/17/21          (380
    

COP

     1,575,531,711        USD      461,897          01/29/21          (584
    

EUR

     157,764        GBP      141,695          03/17/21          (789
    

EUR

     796,153        NOK      8,514,320          03/17/21          (18,399
    

EUR

     157,821        NZD      271,756          03/17/21          (2,450
    

HUF

     71,845,074        EUR      201,609          03/17/21          (4,734
    

HUF

     124,105,335        USD      419,021          03/17/21          (996
    

MXN

     89,524,316        USD      4,473,235          03/17/21          (13,692
    

PEN

     1,996,290        USD      559,202          07/12/21          (8,132
    

PLN

     726,445        EUR      162,107          03/17/21          (3,859
    

PLN

     6,874,725        USD      1,867,885          03/17/21          (26,967
    

SEK

     3,519,310        EUR      351,000          03/17/21          (1,448
    

TWD

     20,423,672        USD      732,485          02/05/21          (1,510
    

TWD

     5,351,236        USD      192,076          02/17/21          (146
    

USD

     540,730        AUD      716,322          03/17/21          (11,869
    

USD

     3,514,784        BRL      18,280,213          01/05/21          (5,003
    

USD

     727,022        CAD      932,532          03/17/21          (5,739
    

USD

     379,439        CLP      277,944,903          03/15/21          (11,790
    

USD

     6,242,073        CNH      41,281,428          02/24/21          (83,555
    

USD

     376,003        CNH      2,463,207          03/17/21          (837
    

USD

     3,566,570        COP      12,732,601,394          01/29/21          (161,517
    

USD

     3,042,662        EUR      2,510,499          03/17/21          (29,694
    

USD

     1,054,649        GBP      781,157          03/17/21          (14,099
    

USD

     2,454,022        IDR      34,805,077,980          01/06/21          (42,934
    

USD

     698,591        ILS      2,270,526          03/17/21          (8,945
    

USD

     2,232,870        INR      165,538,904          01/27/21          (27,483
    

USD

     565,817        JPY      58,612,707          03/17/21          (2,344
    

USD

     2,501,406        KRW      2,809,949,480          01/08/21          (81,438
    

USD

     1,369,769        KRW      1,527,005,081          01/15/21          (33,827
    

USD

     273,526        MXN      5,561,206          03/17/21          (3,498
    

USD

     452,722        NOK      3,938,524          03/17/21          (6,494
    

USD

     188,567        NZD      265,056          03/17/21          (2,203
    

USD

     550,159        RUB      41,959,466          01/25/21          (15,242
    

USD

     381,788        RUB      28,946,186          02/08/21          (7,631
    

USD

     882,605        SEK      7,473,726          03/17/21          (26,536
    

USD

     620,073        SGD      824,524          03/17/21          (3,863
    

USD

     583,304        THB      17,588,202          03/17/21          (3,825
    

USD

     218,589        TRY      1,818,267          01/11/21          (25,193
    

USD

     658,219        TRY      5,304,905          01/19/21          (50,902
    

USD

     247,563        TRY      1,999,698          01/25/21          (19,143
    

USD

     44,507        TRY      360,482          03/17/21          (2,539
    

USD

     622,274        TRY      5,342,155          08/04/21          (35,713
    

USD

     551,314        TWD      15,518,636          01/04/21          (1,220
    

USD

     355,874        TWD      10,001,597          02/05/21          (2,089
    

USD

     2,105,036        ZAR      32,165,374          03/17/21          (62,307
    

ZAR

     6,216,757        USD      420,362          03/17/21          (1,469

 

 

TOTAL

 

     $ (907,260

 

 

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT 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:

                 

5 Year U.S. Treasury Notes

     1      03/31/21      $ 126,164      $ 100  

Ultra Long U.S. Treasury Bonds

     7      03/22/21        1,494,938        (7,722

Ultra 10 Year U.S. Treasury Notes

     50      03/22/21        7,817,969        (21,793

 

 

Total

 

   $ (29,415

 

 

Short position contracts:

                 

10 Year U.S. Treasury Notes

     (26)      03/22/21        (3,590,031      (1,058

20 Year U.S. Treasury Bonds

     (41)      03/22/21        (7,100,688      62,206  

2 Year U.S. Treasury Notes

     (9)      03/31/21        (1,988,789      (1,371

 

 

Total

 

   $ 59,777  

 

 

TOTAL FUTURES CONTRACTS

 

   $ 30,362  

 

 

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
  Counterparty   Termination
Date
  Notional
Amount
(000s)
    Value     Upfront
Payments
(Received) Paid
    Unrealized
Appreciation/
(Depreciation)
 

 

 

3M TELBOR(a)

   1.020%(b)   BofA Securities LLC   03/18/30   ILS    1,925     $ 25,011     $ 245     $ 24,766  

3M KLIBOR(a)

   3.650(a)      Citibank NA   02/27/24   MYR  3,020       38,988             38,988  

3M KLIBOR(a)

   3.693(a)      MS & Co. Int. PLC   03/01/24     5,490       72,547             72,547  

3M KLIBOR(a)

   3.605(a)      MS & Co. Int. PLC   03/06/24     25,010       313,269             313,269  

3M KLIBOR(a)

   3.330(a)      MS & Co. Int. PLC   05/31/24     2,610       28,800             28,800  

3M KLIBOR(a)

   3.250(a)      MS & Co. Int. PLC   12/18/24     2,000       22,677       429       22,248  

 

 

TOTAL

           $ 501,292     $ 674     $ 500,618  

 

 

 

(a)   Payments made quarterly.
(b)   Payments made annually.

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

 

Payments Made by

the Fund

   Payments
Received/(Paid)
by Fund
  Termination
Date
 

Notional
Amount

(000s)

    Market
Value
    Upfront
Premium
(Received) Paid
    Unrealized
Appreciation/
(Depreciation)
 

 

 

0.505%(a)

   6M CLICP(a)   12/16/21   CLP   7,500,000     $ (482   $     $ (482

0.250(b)

   6M WIBOR(c)   12/16/21   PLN   30,110       (8,373     (1,437     (6,936

1M BID Average(d)

   4.120%(d)   01/03/22   BRL   16,325       76,912       (30,531     107,443  

1M BID Average(d)

   4.230(d)       01/02/23     15,865       22,167       (1,698     23,865  

Mexico Interbank TIIE 28 Days(d)

   4.400(d)       03/15/23   MXN   239,990 (e)      24,880       3,593       21,287  

2.500(c)

   3M LIBOR(c)   03/17/23   CNY   13,580 (e)      (25     7,900       (7,925

6M EURO(f)

   (0.250)(a)       03/17/23   EUR   6,060 (e)      40,278       43,407       (3,129

6M BUBOR(f)

   0.800(a)       03/17/23   HUF   147,900 (e)      196       181       15  

3M LIBOR(c)

   2.500(c)       03/17/23   COP   5,679,870 (e)      8,643       1,138       7,505  

6M WIBOR(f)

   0.345(a)       06/16/23   PLN   3,189 (e)      1,751       (141     1,892  

3M JIBAR(c)

   4.000(c)       06/16/23   ZAR   29,120 (e)      9,191       (378     9,569  

1M BID Average(d)

   4.930(d)       01/02/24   BRL   23,550       57,305       (51,045     108,350  

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT 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/(Paid)
by Fund
  Termination
Date
 

Notional
Amount

(000s)

    Market
Value
    Upfront
Premium
(Received) Paid
    Unrealized
Appreciation/
(Depreciation)
 

 

 

6M LIBOR(a)

   0.750%(a)   12/16/25   THB   73,680     $ 14,316     $ (1,040   $ 15,356  

6M WIBOR(f)

   0.750(a)   12/16/25   PLN   6,030       12,195       (3,802     15,997  

Mexico Interbank TIIE 28(d) Days

   4.900(d)   03/11/26   MXN   73,370 (e)      25,390       2,842       22,548  

6M CLICP(a)

   1.700(a)   03/17/26   CLP   1,115,710 (e)      7,475       1,763       5,712  

3M JIBAR(c)

   5.250(c)   03/17/26   ZAR   33,325 (e)      35,495       2,897       32,598  

(0.250)%(f)

   6M EURO(a)   03/17/26   EUR   2,510 (e)      (31,768     (33,896     2,128  

Mexico Interbank TIIE 28 Days(d)

   5.200(d)   03/08/28   MXN   19,480 (e)      8,514       11       8,503  

(0.250)(f)

   6M EURO(a)   03/17/28   EUR   70 (e)      (813     (839     26  

0.750(a)

   3M LIBOR(c)   03/17/31   $ 1,110 (e)      21,944       23,149       (1,205

0.000(f)

   6M EURO(a)   03/17/31   EUR   210 (e)      (6,692     (6,627     (65

 

 

TOTAL

         $ 318,499     $ (44,553   $ 363,052  

 

 

 

(a)   Payments made semi-annually.
(b)   Payments made on termination date.
(c)   Payments made quarterly.
(d)   Payments made monthly.
(e)   Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to December 31, 2020.
(f)   Payments made annually.

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:

                   

People’s Republic of China, 7.500%, 10/28/27

       (1.000)%         0.057%       BofA Securities LLC     06/20/21    $ 70      $ (336   $ 76     $ (412

People’s Republic of China, 7.500%, 10/28/27

   (1.000)      0.057       Citibank NA     06/20/21      2,190        (10,530     2,169       (12,699

People’s Republic of China, 7.500%, 10/28/27

   (1.000)      0.057       JPMorgan Securities, Inc.     06/20/21      250        (1,202     238       (1,440

People’s Republic of China, 7.500%, 10/28/27

   (1.000)      0.057       UBS AG (London)     06/20/21      280        (1,346     115       (1,461

 

 

TOTAL

 

   $ (13,414   $ 2,598     $ (16,012

 

 

Protection Sold:

                   

People’s Republic of China, 7.500%, 10/28/27

      1.000%      0.133%       MS & Co. Int. PLC     12/20/23    $ 6,780      $ 178,280     $ 98,822     $ 79,458  

 

 

TOTAL

 

   $ 164,866     $ 101,420     $ 63,446  

 

 

 

(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 LOCAL EMERGING MARKETS DEBT 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:

                           
Republic of Colombia, 10.375%, 01/28/33        1.000%        0.554%        06/20/24        $ 650        $ 10,287        $ 2,776     $ 7,511  
State of Qatar, 9.750%, 06/15/30        1.000           0.270           12/20/24          950          27,983          21,402       6,581  
Republic of Peru, 8.750%, 11/21/33        1.000           0.416           12/20/24          1,000          23,575          16,700       6,875  
People’s Republic of China, 7.500%, 10/28/27        1.000           0.072           06/20/22          1,210          17,078          12,836       4,242  
Russian Federation, 7.500%, 03/31/30        1.000           0.795           06/20/25          200          1,880          (822     2,702  

 

 

TOTAL

 

     $ 80,803        $ 52,892     $ 27,911  

 

 

 

(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.

NON-DELIVERABLE BOND FORWARD CONTRACTS – 0.0%

 

Counterparty     

Notional

Amount

(000s)

       Reference Obligation   Settlement
Date
     Unrealized
Appreciation/
Depreciation)*
 

 

 

Deutsche Bank AG

     COP   3,693,500        Colombia Domestic Bond, 0.650%, 01/06/21   01/06/21      $ 8,992  
     COP   642,500        Colombia Domestic Bond, 0.750%, 01/06/21   01/06/21        3,831  

 

 

TOTAL

     $ 12,823  

 

 

 

Abbreviations:
1M BID Avg  

— 1 month Brazilian Interbank Deposit Average

MS & Co. Int. PLC  

— Morgan Stanley & Co. International PLC

Mexico IB TIIE 28D  

— Mexico Interbank TIIE 28 Days

 

 

GOLDMAN SACHS U.S. MORTGAGES FUND

 

Schedule of Investments

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Mortgage-Backed Obligations – 119.4%

Collateralized Mortgage Obligations – 6.4%

Interest Only(a) – 2.6%

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 4286, Class SN(b)(-1x1M USD LIBOR + 6.000%)

    2,331,501       5.841     12/15/43   388,163

FHLMC REMIC Series 4314, Class SE(b)(-1x 1M USD LIBOR + 6.050%)

    220,983       5.891     03/15/44   35,688

FHLMC REMIC Series 4320, Class SD(b)(-1x 1M USD LIBOR + 6.100%)

    127,066       5.941     07/15/39   25,090

FHLMC REMIC Series 4456, Class IO

    129,251       4.500     10/15/44   18,369

FHLMC REMIC Series 4468, Class SY(b)(-1x1M USD LIBOR + 6.100%)

    224,559       5.941     05/15/45   47,959

FHLMC REMIC Series 4583, Class ST(b)(-1x 1M USD LIBOR + 6.000%)

    948,805       5.841     05/15/46   164,227

FHLMC REMIC Series 4936, Class ES(b)(-1x 1M USD LIBOR + 6.000%)

    315,092       5.852     12/25/49   41,649

FHLMC REMIC Series 4936, Class PS(b)(-1x 1M USD LIBOR + 6.000%)

    267,666       5.852     12/25/49   35,222

FHLMC REMIC Series 4998, Class GI

    870,353       4.000     08/25/50   121,093

FHLMC REMIC Series 5009, Class DI

    1,462,079       2.000     09/25/50   117,163

FHLMC REMIC Series 5012, Class DI

    331,226       4.000     09/25/50   46,185

FHLMC STRIPS Series 304, Class C45

    158,716       3.000     12/15/27   8,894

FNMA REMIC Series 2007-36, Class SN(b)(-1x1M USD LIBOR + 6.770%)

    302,056       6.622     04/25/37   67,088

FNMA REMIC Series 2008-17, Class SI(b)(-1x1M USD LIBOR + 6.300%)

    389,441       6.152     03/25/38   79,257

FNMA REMIC Series 2011-124, Class SC(b)(-1x 1M USD LIBOR + 6.550%)

    198,137       6.402     12/25/41   36,061

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Mortgage-Backed Obligations – (continued)

Interest Only(a) – (continued)

FNMA REMIC Series 2012-88, Class SB(b)(-1x 1M USD LIBOR + 6.670%)

$

    258,440       6.522   07/25/42   $         43,925

FNMA REMIC Series 2015-34, Class LS(b)(-1x 1M USD LIBOR + 6.100%)

    1,615,418       5.952     06/25/45   326,407

FNMA REMIC Series 2017-104, Class SB(b)(-1x1M USD LIBOR + 6.150%)

    713,198       6.002     01/25/48   121,094

FNMA REMIC Series 2017-69, Class SG(b)(-1x1M USD LIBOR + 6.150%)

    964,379       6.002     09/25/47   178,089

FNMA REMIC Series 2017-86, Class SB(b)(-1x 1M USD LIBOR + 6.150%)

    839,790       6.002     11/25/47   151,539

FNMA REMIC Series 2018-8, Class SA(b)(-1x 1M USD LIBOR + 6.150%)

    650,351       6.002     02/25/48   97,621

FNMA REMIC Series 2019-81, Class SD(b)(-1x1M USD LIBOR + 6.000%)

    416,748       5.852     01/25/50   62,675

FNMA REMIC Series 2020-45, Class AI

    903,300       4.000     07/25/50   115,122

FNMA REMIC Series 2020-60, Class KI

    2,183,305       2.000     09/25/50   179,636

FNMA REMIC Series 2020-60, Class NI

    307,611       4.000     09/25/50   42,982

GNMA REMIC Series 2010-101, Class S(b)(-1x 1M USD LIBOR + 6.000%)

    601,953       5.848     08/20/40   118,385

GNMA REMIC Series 2010-20, Class SE(b)(-1x 1M USD LIBOR + 6.250%)

    261,863       6.098     02/20/40   52,723

GNMA REMIC Series 2010-85, Class SN(b)(-1x1M USD LIBOR + 5.940%)

    27,771       5.788     07/20/40   6,003

GNMA REMIC Series 2013-124, Class CS(b)(-1x 1M USD LIBOR + 6.050%)

    1,112,036       5.898     08/20/43   225,891

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 2014-11, Class KI

    118,276       4.500     12/20/42   9,034

 

 

GOLDMAN SACHS U.S. MORTGAGES FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Mortgage-Backed Obligations – (continued)

Interest Only(a) – (continued)

GNMA REMIC Series 2014-117, Class SJ(b)(-1x 1M USD LIBOR + 5.600%)

$

    2,643,010       5.448   08/20/44   $       440,954

GNMA REMIC Series 2014-132, Class SL(b) (-1x 1M USD LIBOR + 6.100%)

    404,210       5.948     10/20/43   58,669

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%)

    1,244,508       5.447     10/16/44   220,301

GNMA REMIC Series 2015-110, Class MS(b) (-1x 1M USD LIBOR + 5.710%)

    802,879       5.558     08/20/45   140,040

GNMA REMIC Series 2015-111, Class IM

    681,307       4.000     08/20/45   74,205

GNMA REMIC Series 2015-111, Class SM(b) (-1x1M USD LIBOR + 6.200%)

    250,089       6.048     08/20/45   45,211

GNMA REMIC Series 2015-112, Class SB(b) (-1x 1M USD LIBOR + 5.740%)

    237,890       5.588     08/20/45   40,471

GNMA REMIC Series 2015-119, Class SN(b) (-1x1M USD LIBOR + 6.250%)

    512,724       6.098     08/20/45   93,366

GNMA REMIC Series 2015-129, Class IC

    482,375       4.500     09/16/45   75,173

GNMA REMIC Series 2015-168, Class SD(b) (-1x 1M USD LIBOR + 6.200%)

    137,989       6.048     11/20/45   27,837

GNMA REMIC Series 2015-57, Class AS(b) (-1x 1M USD LIBOR + 5.600%)

    1,487,814       5.448     04/20/45   249,816

GNMA REMIC Series 2015-72, Class JI

    36,910       3.500     05/20/45   2,506

GNMA REMIC Series 2015-83, Class PI

    77,155       3.500     06/20/45   5,799

GNMA REMIC Series 2015-90, Class PI

    48,159       3.500     04/20/45   2,215

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 DI

    155,311       4.000     10/20/46   19,467

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Mortgage-Backed Obligations – (continued)

Interest Only(a) – (continued)

GNMA REMIC Series 2016-27, Class IA

$

    498,904       4.000   06/20/45   $         45,215

GNMA REMIC Series 2016-4, Class SM(b) (-1x 1M USD LIBOR + 5.650%)

    406,930       5.498     01/20/46   73,916

GNMA REMIC Series 2017-112, Class SJ(b) (-1x1M USD LIBOR + 5.660%)

    773,961       5.508     07/20/47   119,077

GNMA REMIC Series 2018-105, Class SC(b) (-1x 1M USD LIBOR + 6.200%)

    450,867       6.048     08/20/48   69,122

GNMA REMIC Series 2018-124, Class SN(b) (-1x 1M USD LIBOR + 6.200%)

    1,297,426       6.048     09/20/48   227,329

GNMA REMIC Series 2018-139, Class SQ(b) (-1x 1M USD LIBOR + 6.150%)

    791,890       5.998     10/20/48   117,809

GNMA REMIC Series 2018-67, Class PS (-1x1M USD LIBOR + 6.200%)

    1,242,496       6.048     05/20/48   197,139

GNMA REMIC Series 2018-72, Class IB

    1,800,401       4.000     04/20/46   234,885

GNMA REMIC Series 2019-1, Class SN(b) (-1x 1M USD LIBOR + 6.050%)

    672,947       5.898     01/20/49   99,316

GNMA REMIC Series 2019-110, Class SD(b) (-1x 1M USD LIBOR + 6.100%)

    1,145,687       5.948     09/20/49   176,412

GNMA REMIC Series 2019-110, Class SE(b) (-1x 1M USD LIBOR + 6.100%)

    1,213,768       5.948     09/20/49   173,933

GNMA REMIC Series 2019-128, Class IO

    1,026,653       4.000     10/20/49   121,524

GNMA REMIC Series 2019-129, Class AI

    1,561,728       3.500     10/20/49   174,019

GNMA REMIC Series 2019-151, Class IA

    4,101,743       3.500     12/20/49   443,158

GNMA REMIC Series 2019-151, Class NI

    4,029,788       3.500     10/20/49   359,702

GNMA REMIC Series 2019-20, Class SF(b) (-1x 1M USD LIBOR + 3.790%)

    1,184,068       3.638     02/20/49   100,539

GNMA REMIC Series 2019-4, Class SJ (-1x 1M USD LIBOR + 6.050%)

    1,189,599       5.898     01/20/49   187,730

 

 

GOLDMAN SACHS U.S. MORTGAGES FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Mortgage-Backed Obligations – (continued)

Interest Only(a) – (continued)

GNMA REMIC Series 2019-6, Class SA(b)(-1x 1M USD LIBOR + 6.050%)

$

    400,122       5.898   01/20/49   $         62,410

GNMA REMIC Series 2019-78, Class SE (-1x 1M USD LIBOR + 6.100%)

    461,972       5.948     06/20/49   69,615

GNMA REMIC Series 2019-97, Class SC(b) (-1x 1M USD LIBOR + 6.100%)

    903,449       5.948     08/20/49   137,954

GNMA REMIC Series 2019-98, Class SC(b) (-1x1M USD LIBOR + 6.050%)

    1,423,400       5.898     08/20/49   222,263

GNMA REMIC Series 2020-11, Class SA(b) (-1X 1M USD LIBOR + 6.050%)

    1,360,272       5.898     02/20/50   228,610

GNMA REMIC Series 2020-11, Class SN(b) (-1X 1M USD LIBOR + 6.050%)

    869,590       5.898     01/20/50   140,259

GNMA REMIC Series 2020-146, Class IM

    1,653,704       2.500     10/20/50   196,302

GNMA REMIC Series 2020-146, Class KI

    2,414,948       2.500     10/20/50   234,942

GNMA REMIC Series 2020-151, Class HI

    496,845       2.500     10/20/50   28,347

GNMA REMIC Series 2020-173, Class AI

    1,596,344       2.500     11/20/50   99,282

GNMA REMIC Series 2020-51, Class ID

    677,176       3.500     04/20/50   63,125

GNMA REMIC Series 2020-55, Class AS(b) (-1X 1M USD LIBOR + 6.050%)

    577,698       5.898     04/20/50   99,710

GNMA REMIC Series 2020-55, Class IO

    640,884       3.500     04/20/50   72,476

GNMA REMIC Series 2020-78, Class DI

    2,417,082       4.000     06/20/50   311,823

GNMA Series 2018-7, Class DS(b) (-1x1M USD LIBOR + 5.700%)

    878,419       5.548     01/20/48   144,751
       

 

  9,622,782

 

Regular Floater(b) – 1.4%

FHLMC REMIC Series 2020-DNA3, Class M2(c) (1M USD LIBOR + 3.000%)

    530,000       3.148     06/25/50   532,882

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Mortgage-Backed Obligations – (continued)

Regular Floater(b) – (continued)

FHLMC REMIC Series 4103, Class BF (1M USD LIBOR + 0.350%)

$

    75,155       0.509   12/15/38   $         75,173

FNMA REMIC Series 2011-63, Class FG (1M USD LIBOR + 0.450%)

    76,140       0.598     07/25/41   77,115

FNMA REMIC Series 2017-96, Class FA (1M USD LIBOR + 0.400%)

    1,773,550       0.548     12/25/57   1,787,470

GNMA REMIC Series 2017-182, Class FN (1M USD LIBOR + 0.300%)

    2,642,009       0.453     12/16/47   2,653,823
       

 

  5,126,463

 

Sequential Fixed Rate – 1.8%

FHLMC REMIC Series 2042, Class N

    26,383       6.500     03/15/28   29,701

FHLMC REMIC Series 3748, Class D

    171,215       4.000     11/15/39   173,679

FHLMC REMIC Series 4577, Class HM(d)

    533,601       4.000     12/15/50   601,617

FNMA REMIC Series 2000-16, Class ZG

    101,839       8.500     06/25/30   123,300

FNMA REMIC Series 2005-59, Class KZ

    611,074       5.500     07/25/35   706,668

FNMA REMIC Series 2011-52, Class GB

    329,384       5.000     06/25/41   376,947

FNMA REMIC Series 2011-99, Class DB

    356,047       5.000     10/25/41   406,445

FNMA REMIC Series 2012-111, Class B

    51,422       7.000     10/25/42   63,256

FNMA REMIC Series 2012-153, Class B

    195,872       7.000     07/25/42   246,190

FNMA REMIC Series 2017-87, Class EA

    3,475,349       3.000     04/25/44   3,745,355
       

 

  6,473,158

 

Sequential Floating Rate(b) – 0.6%

Adjustable Rate Mortgage Trust Series 2004-5, Class 2A1

    33,397       2.929     04/25/35   33,432

Bear Stearns ALT-A Trust Series 2005-5, Class 21A1

    183,326       3.377     07/25/35   181,762

Countrywide Alternative Loan Trust Series 2005-38, Class A1(12M MTA + 1.500%)

    60,968       2.109     09/25/35   52,848

 

 

GOLDMAN SACHS U.S. MORTGAGES 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)

FHLMC Structured Agency Credit Risk Debt Notes Series 2015-HQ2, Class M3(1M USD LIBOR + 3.250%)

$

    812,906       3.398   05/25/25   $       826,306

FHLMC Structured Agency Credit Risk Debt Notes Series 2020-DNA5, Class M2(c)(SOFR30A + 2.800%)

    201,000       2.882     10/25/50   203,139

FNMA Connecticut Avenue Securities Series 2016-C03, Class 1M2(1M USD LIBOR + 5.300%)

    23,709       5.448     10/25/28   24,942

FNMA Connecticut Avenue Securities Series 2016-C06, Class 1M2(1M USD LIBOR + 4.250%)

    229,463       4.398     04/25/29   237,423

HarborView Mortgage Loan Trust Series 2005-16, Class 2A1A(1M USD LIBOR + 0.480%)

    47,540       0.632     01/19/36   45,519

Impac CMB Trust Series 2004-08, Class 1A (1M USD LIBOR + 0.720%)

    25,535       0.868     10/25/34   24,484

Morgan Stanley Mortgage Loan Trust Series 2004-8AR, Class 4A1

    210,843       2.794     10/25/34   213,429

New Residential Mortgage Loan Trust Series 2015-1A, Class A1(c)

    164,856       3.750     05/28/52   175,365

Wells Fargo Mortgage Backed Securities Trust Series 2019-3,
Class A1(c)

    175,936       3.500     07/25/49   180,612
       

 

  2,199,261

 

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $23,409,423)
  $  23,421,664

 

Commercial Mortgage-Backed Securities – 4.4%

Sequential Fixed Rate – 3.9%

Morgan Stanley Capital I Trust Series 2018-L1, Class A3

$

    3,800,000       4.139   10/15/51   $    4,487,675

Cantor Commercial Real Estate Lending Series 2019-CF3, Class A4

    1,900,000       3.006     01/15/53   2,116,097

Bank Series 2018-BK15, Class D(c)

    800,000       3.000     11/15/61   632,023

BANK Series 2019-BNK19, Class D(c)

    100,000       3.000     08/15/61   93,710

Citigroup Commercial Mortgage Trust Series 2017-P8, Class D(c)

    1,000,000       3.000     09/15/50   810,671

Citigroup Commercial Mortgage Trust Series 2017-P7, Class D(c)

    125,000       3.250     04/14/50   105,267

Benchmark Mortgage Trust Series 2019-B13, Class D(c)

    300,000       2.500     08/15/57   274,743

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Mortgage-Backed Obligations – (continued)

Sequential Fixed Rate – (continued)

BANK Series 2018-BNK14, Class D(c)

$

    200,000       3.000   09/15/60   $       170,628

JPMBD Commercial Mortgage Series 2017-C7, Class D(c)

    670,000       3.000     10/15/50   527,517

Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C26, Class D(c)

    150,000       3.060     10/15/48   141,173

Morgan Stanley Capital I Trust Series 2018-L1, Class D(c)

    900,000       3.000     10/15/51   780,938

Wells Fargo Commercial Mortgage Trust Series 2017-RB1, Class D(c)

    300,000       3.401     03/15/50   281,511

GS Mortgage Securities Trust Series 2019-GC42, Class D(c)

    100,000       2.800     09/01/52   92,836

Wells Fargo Commercial Mortgage Trust Series 2017-C38, Class D(c)

    300,000       3.000     07/15/50   266,553

Wells Fargo Commercial Mortgage Trust Series 2020-C55, Class D(c)

    500,000       2.500     02/15/53   405,767

BBCMS Mortgage Trust Series 2018-C2, Class A4

    2,650,000       4.047     12/15/51   3,116,391
       

 

  14,303,500

 

Sequential Floating Rate(b) – 0.5%

Bancorp Commercial Mortgage Trust Series 2018-CRE4, Class A(c)(1M USD LIBOR + 0.900%)

    33,727       1.059     09/15/35   33,589

BANK 2018-BNK15 Series 2018-BN15, Class A4

    900,000       4.407     11/15/61   1,084,281

Benchmark Mortgage Trust Series 2018-B6, Class D(c)

    220,000       3.118     10/10/51   208,451

Citigroup Commercial Mortgage Trust Series 2016-GC36, Class C

    400,000       4.755     02/10/49   389,582

Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C23, Class D(c)

    150,000       4.145     07/15/50   147,300
       

 

  1,863,203

 

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost $14,648,463)
  $  16,166,703

 

Federal Agencies – 108.6%

Adjustable Rate FHLMC(b) – 0.0%

(1 Year CMT + 2.107%)

$

    6,354       2.253   10/01/34   $           6,704

(1 Year CMT + 2.200%)

    10,032       2.422     09/01/33   10,561

 

 

GOLDMAN SACHS U.S. MORTGAGES FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Mortgage-Backed Obligations – (continued)

Adjustable Rate FHLMC(b) – (continued)

(1 Year CMT + 2.250%)

$

    19,211       3.761   04/01/33   $         20,130
    9,611       2.375     11/01/34   10,109
    8,394       3.643     02/01/35   8,817
    30,424       3.154     06/01/35   32,009
       

 

  88,330

 

Adjustable Rate FNMA(b) – 0.1%

(1 Year CMT + 2.196%)

    9,768       3.464     02/01/35   10,287

(1 Year CMT + 2.200%)

    2,612       2.880     07/01/33   2,741

(1 Year CMT + 2.273%)

    65,764       2.677     06/01/33   69,048

(1 Year CMT + 2.309%)

    837       3.089     04/01/34   877

(12M USD LIBOR + 1.621%)

    19,037       3.621     03/01/35   19,921

(12M USD LIBOR + 1.646%)

    20,660       2.344     12/01/33   21,582

(12M USD LIBOR + 1.670%)

    10,304       2.175     11/01/34   10,810

(12M USD LIBOR + 1.810%)

    11,984       3.807     04/01/35   12,619

(12M USD LIBOR + 1.980%)

    29,561       3.892     05/01/35   31,195

(6M USD LIBOR + 1.412%)

    3,833       2.080     06/01/33   3,949

(COF + 1.250%)

    411       1.903     07/01/22   412
    6,150       1.773     07/01/27   6,194
    7,168       1.773     11/01/27   7,219
    4,209       1.773     01/01/31   4,253
    5,888       1.773     06/01/32   5,954
    5,985       1.903     08/01/32   6,052
    8,377       1.903     05/01/33   8,475
    66,730       1.779     08/01/33   67,397
    2,645       1.773     11/01/35   2,675
    13,651       1.773     12/01/37   13,750
    7,303       1.773     01/01/38   7,358
    6,641       1.773     11/01/40   6,710
       

 

  319,478

 

Adjustable Rate GNMA(b) – 0.1%

(1 Year CMT + 1.500%)

    5,139       2.875     06/20/23   5,208
    2,579       2.250     07/20/23   2,619
    2,505       2.250     08/20/23   2,545
    5,716       2.250     09/20/23   5,780
    2,062       3.000     03/20/24   2,092
    19,046       2.875     04/20/24   19,380
    2,665       2.875     05/20/24   2,722
    22,357       2.875     06/20/24   22,730
    13,739       2.250     07/20/24   13,946
    18,850       2.250     08/20/24   19,126

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Mortgage-Backed Obligations – (continued)

Adjustable Rate GNMA(b) – (continued)

$

    5,855       2.250   09/20/24   $           5,936
    7,474       3.125     11/20/24   7,602
    8,704       3.125     12/20/24   8,901
    4,980       3.000     01/20/25   5,075
    3,105       3.000     02/20/25   3,166
    12,041       2.875     05/20/25   12,304
    10,390       2.250     07/20/25   10,599
    4,401       3.000     02/20/26   4,485
    229       2.250     07/20/26   233
    11,516       3.000     01/20/27   11,778
    4,922       3.000     02/20/27   5,026
    38,060       2.875     04/20/27   38,925
    3,972       2.875     05/20/27   4,063
    5,695       2.875     06/20/27   5,826
    2,062       3.125     11/20/27   2,104
    6,018       3.125     12/20/27   6,143
    12,965       3.000     01/20/28   13,260
    4,229       3.000     02/20/28   4,324
    4,868       3.000     03/20/28   4,980
    20,933       2.250     07/20/29   21,404
    11,911       2.250     08/20/29   12,174
    2,737       2.250     09/20/29   2,800
    11,732       3.125     10/20/29   12,008
    17,150       3.125     11/20/29   17,556
    3,126       3.125     12/20/29   3,199
    4,616       3.000     01/20/30   4,735
    1,962       3.000     02/20/30   2,014
    12,661       3.000     03/20/30   12,991
    13,246       2.875     04/20/30   13,610
    36,539       2.875     05/20/30   37,689
    3,883       2.875     06/20/30   3,988
    30,271       2.250     07/20/30   31,286
    6,247       2.250     09/20/30   6,458
    10,163       3.125     10/20/30   10,417
       

 

  443,207

 

FHLMC – 11.5%

    49,755       5.000     10/01/33   56,810
    2,444       5.000     07/01/35   2,797
    1,585       4.500     08/01/35   1,775
    4,245       4.500     09/01/35   4,754
    1,535       4.500     10/01/35   1,720
    60,637       5.000     12/01/35   69,727
    1,923       5.000     02/01/37   2,213
    22,531       4.500     01/01/38   25,234
    976       4.500     06/01/38   1,094
    37,365       4.500     09/01/38   42,238
    105       4.500     01/01/39   118
    20,212       4.500     02/01/39   22,626
    7,232       4.500     03/01/39   8,095
    1,753       4.500     04/01/39   1,962
    54,906       4.500     05/01/39   61,454
    136,778       5.000     05/01/39   156,461
    166,759       4.500     06/01/39   186,646
    2,728       4.500     07/01/39   3,053
    275,561       5.000     07/01/39   317,863
    4,028       4.500     08/01/39   4,508
    9,319       4.500     09/01/39   10,431
    2,127       4.500     10/01/39   2,381
    1,351       4.500     11/01/39   1,512
    5,519       4.500     12/01/39   6,177
    5,923       4.500     01/01/40   6,629

 

 

GOLDMAN SACHS U.S. MORTGAGES FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Mortgage-Backed Obligations – (continued)

FHLMC – (continued)

$

    4,130       4.500   04/01/40   $           4,618
    6,279       4.500     05/01/40   7,020
    15,052       4.000     06/01/40   16,600
    9,080       4.500     06/01/40   10,152
    5,478       4.500     07/01/40   6,124
    1,681       4.500     08/01/40   1,879
    8,154       5.000     08/01/40   9,258
    11,843       5.000     10/01/40   13,655
    120,937       4.000     02/01/41   133,419
    33,999       4.500     02/01/41   38,007
    6,192       4.500     03/01/41   6,922
    13,267       4.500     04/01/41   14,831
    13,809       4.500     05/01/41   15,437
    29,041       4.500     06/01/41   32,464
    1,619       5.000     06/01/41   1,865
    67,931       4.500     08/01/41   75,935
    76,582       4.500     09/01/41   85,623
    52,152       4.000     10/01/41   58,533
    7,909       4.000     11/01/41   8,771
    4,602       4.500     12/01/41   5,145
    512,263       4.000     03/01/42   565,471
    62,029       4.500     03/01/42   69,341
    26,799       3.000     05/01/42   28,599
    301,258       3.500     06/01/42   331,873
    644,933       4.500     06/01/42   722,656
    95,887       3.000     08/01/42   103,973
    85,559       3.500     08/01/42   93,367
    38,643       3.000     10/01/42   41,848
    226,010       3.500     10/01/42   246,634
    538,230       3.000     11/01/42   588,830
    147,657       3.500     11/01/42   161,131
    947,121       3.000     12/01/42   1,036,165
    1,632,615       3.000     01/01/43   1,785,167
    151,053       3.000     02/01/43   162,093
    1,871,600       3.500     08/01/43   2,029,147
    858,191       4.000     08/01/43   948,207
    478,968       4.000     01/01/44   528,876
    549,278       3.500     02/01/44   597,746
    465,676       3.500     06/01/44   513,264
    13,009       4.000     11/01/44   14,654
    61,918       3.500     02/01/45   68,477
    99,813       3.500     03/01/45   110,387
    14,794       3.500     08/01/45   15,991
    17,055       3.500     09/01/45   18,435
    38,998       3.500     11/01/45   42,128
    2,934,086       3.500     03/01/46   3,211,429
    474,280       3.500     05/01/46   515,733
    599,871       3.500     06/01/46   646,902
    232,591       3.500     07/01/46   250,972
    34,590       3.500     10/01/46   37,281
    55,298       3.500     12/01/46   59,598
    11,027,524       3.000     05/01/47   11,891,968
    374,647       3.500     12/01/47   409,772
    3,886,984       3.000     01/01/48   4,224,284
    2,303,469       4.000     06/01/48   2,490,575
    2,065,895       4.000     07/01/48   2,233,704
    3,341,710       3.500     12/01/48   3,538,133
       

 

  41,879,347

 

FNMA – 6.7%

    2,352       7.000     08/01/31   2,720
    100,574       3.500     07/01/42   109,749

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Mortgage-Backed Obligations – (continued)

FNMA – (continued)

$

    93,363       3.500   08/01/42   $       101,852
    73,500       3.500     09/01/42   80,182
    9,672       3.500     10/01/42   10,552
    17,824       3.500     11/01/42   19,445
    9,651       3.500     01/01/43   10,529
    206,966       3.500     02/01/43   225,784
    24,166       3.500     05/01/43   26,363
    908,890       3.500     07/01/43   990,961
    458,404       3.500     01/01/44   500,083
    20,382       3.500     12/01/44   22,146
    393,963       4.000     03/01/45   430,968
    183,171       4.000     04/01/45   200,377
    1,987,520       4.500     06/01/51   2,249,390
    3,749,465       4.000     05/01/56   4,205,945
    4,266,024       4.000     07/01/56   4,786,725
    2,372,332       3.500     08/01/56   2,628,804
    3,980,495       3.500     10/01/56   4,436,948
    3,037,138       4.000     02/01/57   3,406,895
       

 

  24,446,418

 

GNMA – 46.9%

    3,314       6.000     04/15/26   3,517
    175       6.500     01/15/32   191
    878       6.500     02/15/32   984
    246,278       5.500     04/15/33   279,478
    4,485       5.000     11/15/33   5,050
    697       6.500     08/15/34   810
    567       6.500     02/15/36   667
    1,497       6.500     03/15/36   1,769
    2,208       6.500     04/15/36   2,554
    9,168       6.500     05/15/36   10,845
    4,915       6.500     06/15/36   5,847
    24,098       6.500     07/15/36   28,401
    27,766       6.500     08/15/36   32,528
    49,343       6.500     09/15/36   58,537
    20,848       6.500     10/15/36   24,581
    30,482       6.500     11/15/36   36,154
    13,044       6.500     12/15/36   15,339
    7,529       6.500     01/15/37   8,882
    1,608       6.500     03/15/37   1,917
    3,438       6.500     04/15/37   4,056
    1,363       6.500     05/15/37   1,584
    1,940       6.500     08/15/37   2,292
    7,259       6.500     09/15/37   8,534
    9,577       6.500     10/15/37   11,407
    2,810       6.500     11/15/37   3,281
    2,229       6.500     05/15/38   2,644
    1,737       6.500     02/15/39   2,048
    243,149       5.000     01/20/40   278,410
    212,103       4.500     05/15/40   237,473
    101,338       5.000     07/15/40   107,226
    151,946       3.500     09/15/42   165,401
    222,345       3.500     02/15/45   238,515
    58,766       4.000     05/20/45   64,455
    45,408       4.000     07/20/45   49,804
    82,937       4.000     10/20/45   90,811
    255,333       4.000     01/20/46   279,572
    984,384       4.500     03/20/46   1,087,743
    2,471,576       3.000     06/20/46   2,625,408
    1,632,757       3.500     09/20/46   1,764,434
    694,069       3.500     10/20/46   750,043
    710,457       3.500     12/20/46   767,754

 

 

GOLDMAN SACHS U.S. MORTGAGES FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Mortgage-Backed Obligations – (continued)

GNMA – (continued)

$

    718,455       3.500   01/20/47   $       776,396
    786,919       3.500     02/20/47   850,383
    4,330,148       4.500     02/20/47   4,734,845
    15,347       3.500     03/20/47   16,442
    478,272       4.500     03/20/47   524,603
    2,410,547       3.500     04/20/47   2,590,878
    26,507       3.500     05/20/47   28,399
    2,758,752       4.500     05/20/47   3,011,345
    4,065,566       4.000     06/20/47   4,379,097
    472,903       4.500     06/20/47   516,202
    145,424       4.500     07/20/47   158,739
    38,145       3.500     08/20/47   40,868
    1,384,903       4.500     08/20/47   1,511,705
    9,253       3.500     09/20/47   9,913
    15,245       3.500     10/20/47   16,333
    1,002,944       3.500     11/20/47   1,074,531
    14,223       3.500     12/20/47   15,238
    2,754,763       3.500     01/20/48   2,951,388
    768,361       4.500     09/20/48   830,308
    1,095,010       5.000     09/20/48   1,200,424
    5,313,153       5.000     11/20/48   5,814,674
    2,358,699       4.500     12/20/48   2,548,865
    1,920,746       5.000     12/20/48   2,102,049
    78,981       3.500     01/20/49   84,618
    3,428,257       4.500     01/20/49   3,700,100
    2,268,225       5.000     01/20/49   2,480,025
    2,673,483       4.000     02/20/49   2,862,323
    1,707,385       4.500     03/20/49   1,842,239
    2,645,738       5.000     03/20/49   2,889,895
    3,238,560       4.000     04/20/49   3,464,277
    2,046,023       4.000     05/20/49   2,187,985
    398,278       5.000     06/20/49   434,784
    5,714,486       3.000     07/20/49   5,985,046
    3,771,299       4.500     10/20/49   4,061,533
    755,459       4.500     12/20/49   809,899
    6,900,845       3.000     08/20/50   7,241,480
    53,000,000       2.000     TBA - 30yr(e)   55,423,753
    15,000,000       2.500     TBA - 30yr(e)   15,880,455
    7,000,000       2.500     TBA - 30yr(e)   7,396,387
    6,000,000       3.000     TBA - 30yr(e)   6,273,567
    1,000,000       3.500     TBA - 30yr(e)   1,059,704
    2,000,000       5.000     TBA - 30yr(e)   2,181,562
       

 

  171,024,203

 

UMBS – 25.3%

    468       7.000     09/01/21   470
    4,954       7.000     06/01/22   5,087
    2,914       7.000     07/01/22   2,998
    341       4.500     04/01/23   351
    36,833       5.000     07/01/23   40,683
    5,293       5.000     12/01/23   5,837

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Mortgage-Backed Obligations – (continued)

UMBS – (continued)

$

    10,164       5.000   07/01/25   $         11,240
    3,853,679       5.000     09/01/31   4,253,498
    2,202       5.000     01/01/33   2,514
    198,624       4.500     07/01/36   222,017
    16,743       4.500     12/01/36   18,714
    160,241       4.500     02/01/39   179,325
    4,151       4.500     03/01/39   4,661
    4,533       4.500     05/01/39   5,090
    2,900       4.500     07/01/39   3,254
    3,183       4.000     08/01/39   3,510
    9,437       4.500     09/01/39   10,561
    11,261       4.500     10/01/39   12,603
    28,736       4.500     02/01/40   32,468
    4,645       4.500     03/01/40   5,198
    68,838       4.500     04/01/40   76,938
    24,457       4.500     06/01/40   27,634
    4,718       4.500     09/01/40   5,331
    5,578       4.500     12/01/40   6,234
    60,484       4.500     01/01/41   67,602
    18,614       4.500     04/01/41   20,807
    35,161       4.500     06/01/41   39,302
    24,534       4.500     07/01/41   27,423
    102,039       4.500     08/01/41   114,050
    126,651       4.500     09/01/41   141,567
    106,161       3.500     10/01/41   116,841
    90,337       4.500     10/01/41   100,976
    33,213       3.500     11/01/41   36,596
    85,791       4.500     11/01/41   95,895
    51,734       4.500     12/01/41   57,826
    110,912       3.500     01/01/42   122,210
    60,563       4.500     01/01/42   67,697
    15,379       3.500     02/01/42   16,730
    442,467       4.000     03/01/42   488,293
    6,602       4.500     03/01/42   7,504

 

 

GOLDMAN SACHS U.S. MORTGAGES FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Mortgage-Backed Obligations – (continued)

UMBS – (continued)

$

    89,219       4.000   04/01/42   $         98,459
    17,370       4.500     04/01/42   19,523
    8,864       3.500     05/01/42   9,659
    41,884       3.500     06/01/42   46,203
    82,338       3.000     09/01/42   88,406
    27,894       3.500     09/01/42   30,797
    182,977       3.500     10/01/42   202,014
    443,587       3.000     12/01/42   477,112
    79,770       3.500     12/01/42   87,995
    94,134       3.000     01/01/43   103,155
    35,286       3.000     02/01/43   38,703
    269,598       3.500     02/01/43   296,738
    940,750       3.000     03/01/43   1,031,839
    1,021,819       3.500     03/01/43   1,117,786
    1,025,303       3.000     04/01/43   1,124,579
    1,050,094       3.500     04/01/43   1,138,178
    410,738       2.500     05/01/43   437,765
    1,236,227       3.000     05/01/43   1,355,926
    180,897       3.500     05/01/43   196,903
    46,252       3.000     06/01/43   50,730
    763,092       3.500     06/01/43   834,827
    369,062       3.000     07/01/43   405,143
    2,563,100       3.500     07/01/43   2,789,032
    1,269,771       3.500     08/01/43   1,377,117
    40,471       3.500     09/01/43   44,682
    85,553       3.500     01/01/44   94,454
    31,916       3.500     08/01/44   34,294
    67,955       3.500     09/01/44   73,995
    110,929       3.500     10/01/44   123,338
    43,811       5.000     12/01/44   49,493
    35,391       3.500     01/01/45   39,161
    370,967       4.000     02/01/45   412,160
    136,904       3.500     03/01/45   150,779
    71,024       3.500     04/01/45   76,838
    790,034       3.500     05/01/45   877,914
    1,860,739       4.500     06/01/45   2,076,725
    104,963       3.500     07/01/45   113,490
    17,113       3.500     11/01/45   18,482
    430,869       4.000     11/01/45   469,568

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Mortgage-Backed Obligations – (continued)

UMBS – (continued)

$

    327,266       3.500   01/01/46   $       353,851
    675,985       3.500     03/01/46   749,786
    257,845       4.000     03/01/46   280,573
    97,321       3.500     04/01/46   108,025
    597,402       3.500     05/01/46   650,973
    163,522       4.000     06/01/46   177,687
    435,930       4.500     06/01/46   476,883
    444,298       3.000     07/01/46   469,659
    479,445       4.000     07/01/46   520,975
    251,803       3.000     08/01/46   266,176
    639,984       4.000     08/01/46   695,422
    962,978       3.000     09/01/46   1,017,945
    330,272       3.000     10/01/46   349,124
    283,394       4.000     10/01/46   307,943
    1,220,700       3.000     11/01/46   1,298,335
    528,037       3.000     12/01/46   558,178
    2,157,172       3.000     01/01/47   2,280,307
    96,794       3.000     02/01/47   102,319
    1,776,128       4.000     02/01/47   1,930,732
    1,241,967       4.500     02/01/47   1,386,129
    324,251       3.000     04/01/47   343,212
    1,020,136       3.500     06/01/47   1,081,010
    1,652,379       3.000     09/01/47   1,746,699
    323,731       4.500     11/01/47   357,280
    2,873,829       4.000     02/01/48   3,137,489
    2,130,416       3.500     03/01/48   2,257,543
    633,475       4.500     05/01/48   708,031
    1,082,685       3.500     06/01/48   1,147,149
    2,801,519       4.500     06/01/48   3,036,691
    2,528,400       3.500     11/01/48   2,678,942
    2,942,448       5.000     11/01/48   3,354,189
    3,363,648       4.000     01/01/49   3,671,196
    644,438       4.500     TBA - 30yr   697,429
    9,449,311       4.500     03/01/49   10,230,719
    1,424,698       3.500     07/01/49   1,556,668
    945,722       3.500     08/01/49   1,034,369
    3,000,000       3.000     09/01/49   3,237,978

 

 

GOLDMAN SACHS U.S. MORTGAGES FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Mortgage-Backed Obligations – (continued)

UMBS – (continued)

$

    229,053       4.500   12/01/49   $       248,066
    7,566,889       4.500     01/01/50   8,197,360
    669,445       4.500     02/01/50   724,177
    381,478       4.500     03/01/50   416,563
    2,949,335       3.000     TBA -30yr   3,115,579
    994,317       3.000     08/01/50   1,050,443
       

 

  92,481,301

 

UMBS, 30 Year, Single Family(e) – 18.0%

    46,000,000       2.000     TBA -30yr   47,818,224
    14,000,000       3.000     TBA -30yr   14,667,723
    3,000,000       4.500     TBA - 30yr   3,251,250
       

 

  65,737,197

 

TOTAL FEDERAL AGENCIES   $396,419,481

 

TOTAL MORTGAGE-BACKED OBLIGATIONS
(Cost $423,855,715)
  $436,007,848

 

       
Asset-Backed Securities(b) – 7.7%

Collateralized Loan Obligations(c) – 5.0%

Arbor Realty Commercial Real Estate Notes Ltd. Series 2018-FL1, Class A (1M USD LIBOR + 1.150%)

$

    1,300,000       1.309   06/15/28   $       1,286,252

Battalion CLO Ltd. Series 2018-12A, Class A1 (3M USD LIBOR + 1.070%)

    800,000       1.292     05/17/31   796,980

Crown City CLO I Series 2020-1A, Class A2 (3M USD LIBOR + 2.550%)

    1,000,000       2.857     07/20/30   1,002,692

Crown City CLO I Series 2020-1A, Class B (3M USD LIBOR + 3.030%)

    600,000       3.337     07/20/30   600,080

Crown City CLO I Series 2020-1A, Class C (3M USD LIBOR + 4.620%)

    2,500,000       4.927     07/20/30   2,510,293

Cutwater Ltd. Series 2014-1A, Class A1AR (3M USD LIBOR + 1.250%)

    418,587       1.487     07/15/26   417,972

Elmwood CLO IV Ltd. Series 2020-1A, Class A (3M USD LIBOR + 1.240%)

    1,500,000       1.477     04/15/33   1,501,742

Halseypoint CLO 2 Ltd. Series 2020-2A, Class A1 (3M USD LIBOR + 1.860%)

    1,850,000       2.078     07/20/31   1,855,744

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Asset-Backed Securities (b)– (continued)

Collateralized Loan Obligations(c) – (continued)

Madison Park Funding XII Ltd. Series 2014-12A, Class AR (3M USD LIBOR + 1.260%)

$

    130,023       1.478   07/20/26   $       130,043

Magnetite XVI Ltd. Series 2015-16A, Class AR (3M USD LIBOR + 0.800%)

    1,479,941       1.018     01/18/28   1,474,391

Nassau Ltd. Series 2019-IA, Class ANA (3M USD LIBOR + 1.510%)

    1,000,000       1.747     04/15/31      1,000,592

Pikes Peak CLO 6 Series 2020-6A, Class C (3M USD LIBOR + 4.040%)

    800,000       4.260     08/18/30   806,995

Sound Point CLO XVIII Ltd. Series 2017-4A, Class A2A (3M USD LIBOR + 1.400%)

    850,000       1.618     01/21/31   838,231

Sound Point CLO XVIII Ltd. Series 2017-4A, Class B (3M USD LIBOR + 1.800%)

    550,000       2.018     01/21/31   524,602

Thacher Park CLO Ltd. Series 2014-1A, Class AR (3M USD LIBOR + 1.160%)

    407,497       1.378     10/20/26   407,552

York CLO 1 Ltd. Series 2014-1A, Class ARR (3M USD LIBOR + 1.120%)

    2,100,000       1.336     10/22/29   2,094,292

Zais CLO Ltd. Series 2020-15A, Class A1 (3M USD LIBOR + 2.555%)

    925,000       2.777     07/28/30   931,050
       

 

  18,179,503

 

Student Loan – 2.7%

Brazos Education Loan Authority, Inc. Series 2012-1, Class A1 (1M USD LIBOR + 0.700%)

    262,611       0.848     12/26/35   259,909

ECMC Group Student Loan Trust Series 2017-1A, Class A(c) (1M USD LIBOR + 1.200%)

    1,498,487       1.348     12/27/66   1,504,975

Goal Capital Funding Trust Series 2010-1, Class A(c) (3M USD LIBOR + 0.700%)

    1,025,544       0.907     08/25/48   1,013,456

Higher Education Funding I Series 2014-1, Class A(c) (3M USD LIBOR + 1.050%)

    1,078,821       1.257     05/25/34   1,080,903

Illinois Student Assistance Commission Series 2010-1, Class A3 (3M USD LIBOR + 0.900%)

    728,377       1.115     07/25/45   723,745

PHEAA Student Loan Trust Series 2011-1A, Class A1(c) (3M USD LIBOR + 1.100%)

    1,382,669       1.351     06/25/38   1,379,585

 

 

GOLDMAN SACHS U.S. MORTGAGES FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

Principal
Amount
    Interest
Rate
    Maturity
Date
  Value
Asset-Backed Securities (b)– (continued)

Student Loan – (continued)

PHEAA Student Loan Trust Series 2014-3A, Class A(c) (1M USD LIBOR + 0.590%)

$

    3,170,856       0.738   08/25/40   $      3,159,342

PHEAA Student Loan Trust Series 2016-1A, Class A(c) (1M USD LIBOR + 1.150%)

    731,342       1.298     09/25/65   738,719
       

 

  9,860,634

 

TOTAL ASSET-BACKED SECURITIES
(Cost $27,961,287)
  $    28,040,137

 

       
U.S. Treasury Obligations – 12.1%

United States Cash Management Bill(f)

$

    20,000,000       0.000   03/30/21   $    19,996,600

United States Treasury Bills(f)

    15,620,000       0.000     01/21/21   15,619,628

United States Treasury Bonds

    880,000       1.625     11/15/50   875,462

United States Treasury Notes

    3,790,000       0.250     12/31/25   3,792,369
    3,780,000       0.625     12/31/27   3,774,094

 

TOTAL U.S. TREASURY OBLIGATIONS
(Cost $44,043,546)
  $    44,058,153

 

       
Shares   Dividend
Rate
  Value
Investment Company(g) – 2.1%

Goldman Sachs Financial Square Government Fund - Institutional Shares

    7,654,918       0.026     $      7,654,918
(Cost $7,654,918)

 

TOTAL INVESTMENTS – 141.3%
(Cost $503,515,466)
  $  515,761,056

 

LIABILITIES IN EXCESS OF
    OTHER ASSETS – (41.3)%
  (150,753,743)

 

NET ASSETS – 100.0%   $  365,007,313

 

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)   Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.
(b)   Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on 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)   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 $153,952,625 which represents approximately 42.2% of the Fund’s net assets as of December 31, 2020.
(f)   Issued with a zero coupon. Income is recognized through the accretion of discount.
(g)   Represents an affiliated issuer.

 

 

Currency Abbreviations:
CAD  

— Canadian Dollar

USD  

— U.S. Dollar

Investment Abbreviations:
CDOR  

— Canadian Dollar Offered Rate

CLO  

— Collateralized Loan Obligation

CMT  

— Constant Maturity Treasury Indexes

COF  

— Cost of Funds Index

FHLMC  

— Federal Home Loan Mortgage Corp.

FNMA  

— Federal National Mortgage Association

GNMA  

— Government National Mortgage Association

LIBOR  

— London Interbank Offered Rate

MTA  

— Monthly Treasury Average

PI  

— Private Investment

PLC  

— Public Limited Company

REMIC  

— Real Estate Mortgage Investment Conduit

STRIPS  

— Separate Trading of Registered Interest and Principal of Securities

 

 

GOLDMAN SACHS U.S. MORTGAGES FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION

 

 

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  

 

 

UMBS, 30 Year, Single Family

       3.500    TBA-30yr      01/14/20      $ (1,000,000)        $ (1,057,188)  

UMBS, 30 Year, Single Family

       4.000      TBA-30yr      01/14/20        (3,000,000)          (3,203,672)  

UMBS, 30 Year, Single Family

       5.000      TBA-30yr      01/14/20        (1,000,000)          (1,106,562)  

 

 

TOTAL (Proceeds Receivable: $5,361,484)

 

     $ (5,367,422)  

 

 

 

(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:

                 

Ultra 10 Year U.S. Treasury Notes

     3      03/22/21      $ 469,078      $ 1,401  

20 Year U.S. Treasury Bonds

     7      03/22/21        1,212,313        643  

 

 

Total

 

   $ 2,044  

 

 

Short position contracts:

                 

Ultra Long U.S. Treasury Bonds

     (17)      03/22/21        (3,630,562      17,648  

2 Year U.S. Treasury Notes

     (142)      03/31/21        (31,378,672      (27,864

5 Year U.S. Treasury Notes

     (112)      03/31/21        (14,130,375      (13,771

10 Year U.S. Treasury Notes

     (46)      03/22/21        (6,351,594      (5,282

 

 

Total

 

   $ (29,269

 

 

TOTAL FUTURES CONTRACTS

 

   $ (27,225

 

 

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)
 

 

 

0.000%(b)

     3M LIBOR(b)      07/25/24      $ 16,200        $ (5,438    $ 5,438      $ (10,876

6M CDOR(c)

     0.960%(c)      11/09/24      CAD 14,760          20,724        15,168        5,556  

0.000(b)

     3M LIBOR(b)      11/10/24      $ 9,600          (8,313      9        (8,322

3M LIBOR(b)

     0.500(c)        03/17/26        140          278        96        182  

1.430(c)

     6M CDOR(c)      11/09/30      CAD 2,960          (12,338      (11,285      (1,053

3M LIBOR(b)

     1.245(c)        11/24/30      $ 2,520          (21,355      (3,237      (18,118

1.543(c)

     3M LIBOR(b)      11/25/35        2,780          27,934        1,336        26,598  

 

 

TOTAL

                    $ 1,492      $ 7,525      $ (6,033

 

 

 

(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 quarterly.
(c)   Payments made semi-annually.

GOLDMAN SACHS U.S. MORTGAGES FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS

 

Reference
Obligation/Index
   Financing
Rate Paid by
the Fund(a)
  Credit
Spread at
December 31,
2020(b)
  Counterparty   Termination
Date
  Notional
Amount
(000s)
    Value     Upfront
Premiums
(Received)
Paid
    Unrealized
Appreciation/
(Depreciation)
 

 

 

Protection Sold:

 

 

Markit CMBX Series 11

   3.000%   4.368%   Citibank NA   11/18/54   $ 1,500     $ (117,768   $ (218,565   $ 100,797  

Markit CMBX Series 8

   3.000      7.961      Citibank NA   10/17/57     2,200       (352,046     (509,388     157,342  

Markit CMBX Series 10

   3.000      5.517      JPMorgan
Securities, Inc.
  11/17/59     2,450       (302,549     (7,255     (295,294

Markit CMBX Series 11

   2.000      2.643      JPMorgan
Securities, Inc.
  11/18/54     2,500       (97,667     (390,354     292,687  

Markit CMBX Series 11

   3.000      4.368      JPMorgan
Securities, Inc.
  11/18/54     2,400       (188,531     (32,363     (156,168

Markit CMBX Series 9

   3.000      2.643      JPMorgan
Securities, Inc.
  09/17/58     1,200       (143,124     (5,469     (137,655

Markit CMBX Series 10

   3.000      5.517      MS & Co. Int.
PLC
  11/17/59     400       (49,463     (64,015     14,552  

 

 

TOTAL

 

  $ (1,251,148   $ (1,227,409   $ (23,739

 

 

 

(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.

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

                

6M IRS

   JPMorgan Securities, Inc.   $ 1.100       03/17/2021       5,000,000     $ 5,000,000     $ 10,169     $ 60,000     $ (49,831

 

 

Puts

                

6M IRS

   JPMorgan Securities, Inc.     0.555       06/17/2021       5,290,000       5,290,000       22,803       23,627       (824

 

 

Total purchased option contracts

 

      10,290,000     $ 10,290,000     $ 32,972     $ 83,627     $ (50,655

 

 

GOLDMAN SACHS U.S. MORTGAGES 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

                

6M IRS

   JPMorgan Securities, Inc.   $ 0.900       03/17/2021       (5,000,000   $ (5,000,000   $ (4,248   $ (40,000   $ 35,752  

6M IRS

   JPMorgan Securities, Inc.     0.700       03/17/2021       (5,000,000     (5,000,000     (1,656     (22,825     21,169  

3M IRS

   Deutsche Bank AG (London)     0.280       01/06/2021       (5,100,000     (5,100,000     (1     (5,610     5,609  

3M IRS

   Deutsche Bank AG (London)     0.310       01/20/2021       (5,090,000     (5,090,000     (768     (5,854     5,086  

 

 
           (20,190,000   $ (20,190,000   $ (6,673   $ (74,289   $ 67,616  

 

 

Puts

                

6M IRS

   JPMorgan Securities, Inc.     0.763       06/17/2021       (5,290,000     (5,290,000     (9,410     (9,270     (140

6M IRS

   JPMorgan Securities, Inc.     0.659       06/17/2021       (5,290,000     (5,290,000     (14,490     (14,357     (133

3M IRS

   Deutsche Bank AG (London)     0.480       01/06/2021       (5,100,000     (5,100,000     (431     (12,877     12,446  

3M IRS

   Deutsche Bank AG (London)     0.510       01/20/2021       (5,090,000     (5,090,000     (2,304     (14,252     11,948  

 

 
           (20,770,000   $ (20,770,000   $ (26,635   $ (50,756   $ 24,121  

 

 

Total written option contracts

 

      (40,960,000   $ (40,960,000)     $ (33,308   $ (125,045   $ 91,737  

 

 

TOTAL

           (30,670,000   $ (30,670,000 )
  $ (336   $ (41,418   $ 41,082  

 

 

 

 

Abbreviations:

MS & Co. Int. PLC-Morgan Stanley &  Co. International PLC

 

 

GOLDMAN SACHS U.S. MORTGAGES FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS

 

 

1. 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 the fair value measurement in its entirely 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 GSAM’s 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 performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.

A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:

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 will be valued at the valid closing bid price for long positions and at the valid 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.

GOLDMAN SACHS U.S. MORTGAGES FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

Private Investments — Private investments may include, but are not limited to, investments in private equity or debt instruments. The investment manager estimates the fair value of private investments based upon various factors, including, but not limited to, transactions in similar instruments, completed or pending third-party transactions in underlying investments or comparable entities, subsequent rounds of financing, recapitalizations, and other transactions across the capital structure, offerings in equity or debt capital markets, and changes in current and projected financial ratios or cash flows.

Underlying Funds (including Money Market Funds) — Underlying Funds (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share on the day of valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the Funds invest in Underlying Funds that fluctuate in value, the Funds’ shares will correspondingly fluctuate in value. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.

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.

i. Bank Loans — Bank loans (“Loans”) are interests in amounts owed by corporate, governmental, or other borrowers to lenders or lending syndicates. Loans are arranged through private negotiations between the borrower and one or more financial institutions (“Lenders”). A Fund’s investments in Loans are in the form of either participations in Loans (“Participations”) or assignments of all or a portion of Loans from third parties (“Assignments”). With respect to Participations, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participations and only upon receipt by the Lender of the payments from the borrower. A Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement with respect to Participations. Conversely, assignments result in a Fund having a direct contractual relationship with the borrower, and the Fund may be permitted to enforce compliance by the borrower with the terms of the loan agreement.

ii. 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.

iii. Mortgage-Backed and Asset-Backed Securities — Mortgage-backed securities represent direct or indirect participations in, or are collateralized by and payable from, mortgage loans secured by residential and/or commercial real estate property. Asset-backed securities include securities whose principal and interest payments are collateralized by pools of other assets or receivables. The value of certain mortgage-backed and asset-backed securities (including adjustable rate mortgage loans) may be particularly sensitive to changes in prevailing interest rates. The value of these securities may also fluctuate in response to the market’s perception of the creditworthiness of the issuers.

Asset-backed securities may present credit risks that are not presented by mortgage-backed securities because they generally do not have the benefit of a security interest in collateral that is comparable to mortgage assets. Some asset-backed securities may only have a subordinated claim on collateral.

Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all interest payments (interest-only, or “IO” and/or high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all principal payments (principal-only, or “PO”) from a pool of mortgage loans. Little to no principal will be received at the maturity of an IO; as a result, periodic adjustments are recorded to reduce the cost of the security until maturity. These adjustments are included in interest income.

iv. Mortgage Dollar Rolls — Mortgage dollar rolls are transactions whereby a Fund sells mortgage-backed-securities and simultaneously contracts with the same counterparty to repurchase similar securities on a specified future date. During the settlement period, a Fund will not be entitled to accrue interest and receive principal payments on the securities sold. The Funds account for mortgage dollar roll transactions as purchases and sales and realize gains and losses on these transactions

v. Structured Notes — The values of structured notes are based on the price movements of a reference security or index. Upon termination, a Fund will receive a payment from the issuer based on the value of the referenced instrument (notional amount multiplied by price of the referenced instrument) and record a realized gain or loss. Structured notes that are exchange traded are generally classified as Level 1 of the fair value hierarchy.

GOLDMAN SACHS U.S. MORTGAGES FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

vi. Treasury Inflation Protected Securities — TIPS are treasury securities in which the principal amount is adjusted daily to keep pace with inflation, as measured by the U.S. Consumer Pricing Index for Urban Consumers. The repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.

vii. When-Issued Securities and Forward Commitments — When-issued securities, including TBA (“To Be Announced”) securities, are securities that are authorized but not yet issued in the market and purchased in order to secure what is considered to be an advantageous price or yield to a Fund. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Although a Fund will generally purchase securities on a when-issued or forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of when-issued securities or forward commitments prior to settlement, which may result in a realized gain or loss. 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.

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 contract. 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.

i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.

A forward foreign currency exchange contract is a forward contract in which a Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date.All forward foreign currency exchange contracts are marked to market daily 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.

ii. 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.

GOLDMAN SACHS U.S. MORTGAGES FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

iii. Options — When a Fund writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on interest rate and or credit default, swap contracts.

Upon the purchase of a call option or a put option by a Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.

iv. Swap Contracts — Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.

An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in interest rates on a specified notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.

A credit default swap is an agreement that involves one party (the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive protection on a reference security or obligation, including a group of assets or exposure to the performance of an index. A Fund’s investment in credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. If a Fund buys protection through a credit default swap and no credit event occurs, its payments are limited to the periodic payments previously made to the counterparty. Upon the occurrence of a specified credit event, a Fund, as a buyer of credit protection, is entitled to receive an amount equal to the notional amount of the swap and deliver to the seller the defaulted reference obligation in a physically settled trade. A Fund may also receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade.

As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if a Fund sells protection through a credit default swap, a Fund could suffer a loss because the value of the referenced obligation and the premium payments received may be less than the notional amount of the swap paid to the buyer of protection. Upon the occurrence of a specified credit event, a Fund, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional amount of the swap in a physically settled trade. A Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade. Recovery values are at times established through the credit event auction process in which market participants are ensured that a transparent price has been set for the defaulted security or obligation. In addition, a Fund is entitled to a return of any assets, which have been pledged as collateral to the counterparty upon settlement.

The maximum potential amount of future payments (undiscounted) that a Fund as seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where a Fund bought credit protection.

A 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.

Secured Borrowings – Secured borrowings are valued at their contractual amounts, which approximate fair value, and are generally classified as Level 2 of the fair value hierarchy.

i. Reverse Repurchase Agreements — Reverse repurchase agreements involve the sale of securities held by a Fund subject to the Fund’s agreement to repurchase the securities at a mutually agreed upon date and price (including interest), under the terms of a Master Repurchase Agreement (“ MRA”). The gross value of reverse repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

GOLDMAN SACHS U.S. MORTGAGES FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

When a Fund enters into a reverse repurchase agreement, it is required to deliver securities as collateral to the counterparty that exceed the value of the reverse repurchase agreement. During the term of a reverse repurchase agreement, the value of the underlying securities pledged as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the reverse repurchase agreement, including accrued interest. If the value of those securities pledged as collateral, including accrued interest, becomes less than the value of the reverse repurchase agreement, including accrued interest, a Fund will be obligated to deliver additional collateral to the buyer. If the buyer defaults on its commitment to sell back the securities, a Fund could suffer a loss to the extent that the amount borrowed is less than the replacement cost of similar securities and the Fund’s costs associated with delay and enforcement of the reverse repurchase agreement. In addition, in the event of default or insolvency of the buyer, a court could determine that the Fund’s interest in the amount borrowed is not enforceable, resulting in additional losses to a Fund.

B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Funds’ investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV.

To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments. GSAM did not develop the unobservable inputs for the valuation of Level 3 Assets and Liabilities.

C. Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of December 31, 2020:

 

                                                                    
EMERGING MARKETS DEBT           
Investment Type      Level 1      Level 2      Level 3  
Assets           

Fixed Income

          

Sovereign Debt Obligations

     $      $ 876,699,358      $  

Corporate Obligations

              357,367,105         

Structured Notes

              13,127,098         

Investment Company

       45,527,646                
Total      $ 45,527,646      $ 1,247,193,561      $  
Derivative Type                          
Assets(a)           

Forward Foreign Currency Exchange Contracts

     $      $ 5,768,799      $  

Futures Contracts

       609,622                

Interest Rate Swap Contracts

              1,452,857         

Credit Default Swap Contracts

              4,794,140         
Total      $ 609,622      $ 12,015,796      $  
Liabilities(a)           

Forward Foreign Currency Exchange Contracts

     $      $ (10,721,626    $  

Futures Contracts

       (371,317              

Interest Rate Swap Contracts

              (215,102       

Credit Default Swap Contracts

              (886,866       
Total      $ (371,317    $ (11,823,594    $  

 

(a)   Amount shown represents unrealized gain (loss) at period end.

GOLDMAN SACHS U.S. MORTGAGES FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

                                                                    
HIGH YIELD           
Investment Type      Level 1      Level 2      Level 3  
Assets           

Fixed Income

          

Bank Loans

     $      $ 30,961,915      $  

Corporate Obligations

              2,074,171,289         

Structured Note

              1,906,450         

Common Stock and/or Other Equity Investments

          

North America

       195,448        1,699,200         

Investment Company

       1,163,749                

Exchange Traded Funds

       33,153,048                
Total      $ 34,512,245      $ 2,108,738,854      $  
Derivative Type                          
Assets(a)           

Futures Contracts

     $ 278,082      $      $  

Credit Default Swap Contracts

              8,846,813         

Total Return Swap Contracts

              312,021         
Total      $ 278,082      $ 9,158,834      $  
Liabilities(a)           

Forward Foreign Currency Exchange Contracts

     $      $ (1,021,953    $  

Futures Contracts

       (757,650              
Total      $ (757,650    $ (1,021,953    $  

 

(a)   Amount shown represents unrealized gain (loss) at period end.

 

                                                                    
HIGH YIELD FLOATING RATE           
Investment Type      Level 1      Level 2      Level 3  
Assets           

Fixed Income

          

Bank Loans

     $      $ 1,161,856,714      $ 16,909,967  

Corporate Obligations

              64,423,976         

Asset-Backed Securities

              10,572,759         

Unfunded Loan Commitments

              396,613        11,462  

Common Stock and/or Other Equity Investments(a)

          

Europe

                     3,456,341  

North America

       2,077,653        820,599         

Warrants

                     40,687  

Exchange Traded Funds

       37,746,107                

Investment Company

       71,938,832                

Securities Lending Reinvestment Vehicle

       1,117,675                
Total      $ 112,880,267      $ 1,238,070,661      $ 20,418,457  
Derivative Type                          
Assets(b)           

Forward Foreign Currency Exchange Contracts

     $      $ 28,417      $  

Futures Contracts

       12,997                

Credit Default Swap Contracts

              581,054         
Total      $ 12,997      $ 609,471      $  
Liabilities(b)           

Forward Foreign Currency Exchange Contracts

     $      $ (1,045,818    $  

Futures Contracts

       (70,203              
Total      $ (70,203    $ (1,045,818    $  

 

(a)   Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value model prices provided by an independent fair value service for international equities, resulting in a Level 2 classification.

 

(b)   Amount shown represents unrealized gain (loss) at period end.

The following is a reconciliation of Level 3 investments for the nine months ended December 31, 2020:

 

        Bank Loans      Common Stocks      Warrant  

Beginning Balance as of April 1, 2020

     $ 96,748,223      $      $ 40,687  

Realized gain (loss)

       (184,371              

Net change in unrealized gain (loss) relating to instruments still held at reporting date

       3,027,356        (713,730       

Purchases

       7,684,907        4,170,071         

Sales

       (7,542,099              

Amortization

       136,341                

Transfers into Level 3

       2,956,781                

Transfers out of Level 3

       (85,905,709              

Ending Balance as of December 31, 2020

     $ 16,921,429      $ 3,456,341      $ 40,687  

 

                                                                    
INVESTMENT GRADE CREDIT           
Investment Type      Level 1      Level 2      Level 3  
Assets           

Fixed Income

          

Corporate Obligations

     $      $ 604,171,707      $  

Foreign Debt Obligations

              24,896,472         

Municipal Debt Obligations

              4,663,313         

U.S. Treasury Obligations

       982,625                
Total      $ 982,625      $ 633,731,492      $  
Derivative Type                          
Assets(a)           

Forward Foreign Currency Exchange Contracts

     $      $ 131,744      $  

Futures Contracts

       125,276                

Interest Rate Swap Contracts

              73,208         

Credit Default Swap Contracts

              1,252,525         
Total      $ 125,276      $ 1,457,477      $  
Liabilities(a)           

Forward Foreign Currency Exchange Contracts

     $      $ (622,217    $  

Futures Contracts

       (414,106              

Interest Rate Swap Contracts

              (66,186       

Credit Default Swap Contracts

              (72,441       
Total      $ (414,106    $ (760,844    $  

 

(a)   Amount shown represents unrealized gain (loss) at period end.

 

GOLDMAN SACHS U.S. MORTGAGES FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

                                                                    
LOCAL EMERGING MARKETS DEBT           
Investment Type      Level 1      Level 2      Level 3  
Assets           

Fixed Income

          

Sovereign Debt Obligations

     $      $ 69,913,548      $  

Corporate Obligations

              4,975,039         

Structured Notes

              7,997,118         

U.S. Treasury Obligations

       102,629                

Investment Company

       2,800,830                
Total      $ 2,903,459      $ 82,885,705      $  
Derivative Type                          
Assets(a)           

Forward Foreign Currency Exchange Contracts

     $      $ 1,275,113      $  

Futures Contracts

       62,306                

Interest Rate Swap Contracts

              883,412         

Credit Default Swap Contracts

              107,369         
Total      $ 62,306      $ 2,265,894      $  
Liabilities(a)           

Forward Foreign Currency Exchange Contracts

     $      $ (907,260    $  

Futures Contracts

       (31,944              

Interest Rate Swap Contracts

              (19,742       

Credit Default Swap Contracts

              (16,012       
Total      $ (31,944    $ (943,014    $  

 

(a)   Amount shown represents unrealized gain (loss) at period end.

 

                                                                    
U.S. MORTGAGES           
Investment Type      Level 1      Level 2      Level 3  
Assets           

Fixed Income

          

Mortgage-Backed Obligations

     $      $ 436,007,848      $  

Asset-Backed Securities

              28,040,137         

U.S. Treasury Obligations

       44,058,153                

Investment Company

       7,654,918                
Total      $ 51,713,071      $ 464,047,985      $  
Liabilities           

Fixed Income

          

Mortgage-Backed Obligations — Forward Sales Contracts

     $      $ (5,367,422    $  
Total      $      $ (5,367,422    $  
Derivative Type                          
Assets           

Futures Contracts(a)

     $ 19,692      $      $  

Interest Rate Swap Contracts(a)

              32,336         

Credit Default Swap Contracts(a)

              565,378         

Options Purchased

              32,972         
Total      $ 19,692      $ 630,686      $  
Liabilities           

Futures Contracts(a)

     $ (46,917    $      $  

Interest Rate Swap Contracts(a)

              (38,369       

Credit Default Swap Contracts(a)

              (589,117       

Written option contracts

              (33,308       
Total      $ (46,917    $ (660,794    $  

 

(a)   Amount shown represents unrealized gain (loss) at period end.

GOLDMAN SACHS U.S. MORTGAGES FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

For further information regarding security characteristics, see the Schedules of Investments.

The Funds’ risks include, but are not limited to, the following:

Derivatives Risk — The Funds’ use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Funds. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.

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 a Fund, 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 a Fund from taking full advantage of rising interest rates in a timely manner. However, in a declining interest rate environment, a Fund may benefit from a lag due to an obligation’s interest rate payment not being immediately impacted by a decline in interest rates.

In 2017, the United Kingdom’s 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 a Fund’s investments resulting from a substitute reference rate may also adversely affect the Fund’s performance and/or NAV.

Foreign Custody Risk — If a Fund invests in foreign securities, the Fund may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place limitations on a Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy.

Investments in emerging markets may be subject to even greater custody risks than investments in more developed markets. Custody services in emerging market countries are very often undeveloped and may be considerably less well regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries.

GOLDMAN SACHS U.S. MORTGAGES FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

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 Underlying Fund 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 Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Underlying Funds also invest in securities of issuers located in emerging markets, these risks may be more pronounced.

Geographic Risk — If a Fund focuses its investments in securities of issuers located in a particular country or geographic region, the Fund may be subjected, to a greater extent than if its investments were less focused, to the risks of volatile economic cycles and/or conditions and developments that may be particular to that country or region, such as: adverse securities markets; adverse exchange rates; adverse social, political, regulatory, economic, business, environmental or other developments; or natural disasters.

Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Funds will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with changing interest rates may have unpredictable effects on the markets and the Funds’ investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Funds.

Investments in Other Investment Companies Risk — As a shareholder of another investment company, including an exchange-traded fund (“ETF”), a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.

Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions, 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 Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.

GOLDMAN SACHS U.S. MORTGAGES FUND

 

Schedule of Investments (continued)

December 31, 2020 (Unaudited)

 

 

NOTES TO THE SCHEDULE OF INVESTMENTS (continued)

 

 

Leverage Risk — Leverage creates exposure to potential gains and losses in excess of the initial amount invested. Borrowing and the use of derivatives may result in leverage and may make a Fund more volatile. When a Fund uses leverage, the sum of that Fund’s investment exposure may significantly exceed the amount of assets invested in the Fund, although these exposures may vary over time. Relatively small market movements may result in large changes in the value of a leveraged investment. A Fund will identify liquid assets on its books or otherwise cover transactions that may give rise to such risk, to the extent required by applicable law. The use of leverage may cause a Fund to liquidate portfolio positions to satisfy its obligations or to meet segregation requirements when it may not be advantageous to do so. The use of leverage by a Fund can substantially increase the adverse impact to which the Fund’s investment portfolio may be subject.

Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period 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 Fund’s 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 the Funds’ investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a Fund’s liquidity.

Loan-Related Investments Risk — In addition to risks generally associated with debt investments, loan-related investments (e.g., interest rate risk and default risk), loan participations and assignments are subject to other risks. Although a loan obligation may be fully collateralized at the time of acquisition, the collateral may decline in value, be relatively illiquid, or lose all or substantially all of its value subsequent to investment. Many loan investments are subject to legal or contractual restrictions on resale and 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, the Fund may not always have direct recourse against a borrower if the borrower fails to pay scheduled principal and/or interest; may be subject to greater delays, expenses and risks than if the Fund had purchased a direct obligation of the borrower; and may be regarded as the creditor of the agent lender (rather than the borrower), subjecting the Fund to the creditworthiness of that lender as well. Investors in loans, such as the Fund, may not be entitled to rely on the anti-fraud protections of the federal securities laws, although they may be entitled to certain contractual remedies. The market for loan obligations may be subject to irregular trading activity, wide bid/ask spreads and extended trade settlement periods. Because transactions in many loans are subject to extended trade settlement periods, the Fund may not receive the proceeds from the sale of a loan for a period after the sale. As a result, sale proceeds related to the sale of loans may not be available to make additional investments or to meet the Fund’s redemption obligations for a period after the sale of the loans, and, as a result, the Fund may have to sell other investments or engage in borrowing transactions, such as borrowing from its credit facility, if necessary to raise cash to meet its obligations.

Senior Loans hold the most senior position in the capital structure of a business entity, and are typically secured with specific collateral, but are nevertheless usually rated below investment grade. Because Second Lien Loans are subordinated or unsecured and thus lower in priority of payment to Senior Loans, they are subject to the additional risk that the cash flow of the borrower and property securing the loan or debt, if any, may be insufficient to meet scheduled payments after giving effect to the senior secured obligations of the borrower. Second Lien Loans generally have greater price volatility than Senior Loans and may be less liquid.

Market and Credit Risks — In the normal course of business, a 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 [a/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 a Fund and its investments. Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.

Non-Diversification Risk — Each of the Emerging Markets Debt Fund and Local Emerging Markets Debt Fund is non-diversified, meaning that they are permitted to invest a larger percentage of their assets in fewer issuers than diversified mutual funds. Thus, a Fund may be more susceptible to adverse developments affecting any single issuer held in its portfolio, and may be more susceptible to greater losses because of these developments.

Sector Risk — To the extent a Fund focuses its investments in securities of issuers in one or more sectors (such as the financial services or telecommunications sectors), the Fund may be subjected, to a greater extent than if its investments were diversified across different sectors, to the risks of volatile economic cycles and/or conditions and developments that may be particular to that sector, such as: adverse economic, business, political, environmental or other developments.